UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
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FORM N-CSR
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CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER 811-4878
SEI INSTITUTIONAL MANAGED TRUST
(Exact name of registrant as specified in charter)
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c/o CT Corporation
101 Federal St.
Boston, MA 02110
(Address of principal executive offices) (Zip code)
SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
(Name and address of agent for service)
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: 1-800-342-5734
DATE OF FISCAL YEAR END: SEPTEMBER 30, 2006
DATE OF REPORTING PERIOD: MARCH 31, 2006
ITEM 1. REPORTS TO STOCKHOLDERS.
SEI New ways
New answers.(R)
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SEI Institutional Managed Trust
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Semi-Annual Report as of March 31, 2006 (Unaudited)
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Large Cap Diversified Alpha Fund
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
U.S. Managed Volatility Fund
Real Estate Fund
Core Fixed Income Fund
High Yield Bond Fund
TABLE OF CONTENTS
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Statements of Net Assets/Schedule of Investments 1
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Statement of Assets and Liabilities 129
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Statements of Operations 130
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Statements of Changes in Net Assets 132
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Financial Highlights 136
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Notes to Financial Statements 138
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Disclosure of Fund Expenses 149
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Board of Trustees Considerations in Approving
the Advisory and Sub-Advisory Agreements 151
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The Trust files its complete schedule of portfolio holdings with the Securities
and Exchange Commission ("Commission") 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 website at http://www.sec.gov, and may be
reviewed and copied at the Commission's Public Reference Room in Washington, DC.
Information on the operation of the Public Reference Room may be obtained by
calling 1-800-SEC-0330.
A description of the policies and procedures that the Trust uses to determine
how to vote proxies relating to portfolio securities, as well as information
relating to how a Fund voted proxies relating to portfolio securities during the
most recent 12-month period ended June 30, is available (i) without charge, upon
request, by calling 1-800-DIAL-SEI; and (ii) on the Commission's website at
http://www.sec.gov.
STATEMENT OF NET ASSETS (Unaudited)
LARGE CAP DIVERSIFIED ALPHA FUND
March 31, 2006
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SECTOR WEIGHTINGS#:
[THE FOLLOWING WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
19.8% Financials
14.6% Information Technology
11.2% Health Care
11.0% Consumer Discretionary
8.4% Asset-Backed Securities
6.9% Industrials
6.4% Energy
5.6% Consumer Staples
4.8% Short-Term Investments
3.8% U.S. Government Mortgage-Backed Obligations
2.3% Materials
2.1% Utilities
1.9% Telecommunication Services
1.0% U.S. Government Agency Obligations
0.2% U.S. Treasury Obligations
#Percentages based on total investments.
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Market Value
Description Shares ($ Thousands)
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COMMON STOCK -- 85.0%
CONSUMER DISCRETIONARY -- 12.2%
Abercrombie & Fitch, Cl A (D) 20,414 $ 1,190
Advance Auto Parts* 8,595 358
Aeropostale* 13,600 410
Amazon.com* 33,054 1,207
American Eagle Outfitters 43,289 1,293
AnnTaylor Stores* 23,600 868
Apollo Group, Cl A* 56,894 2,988
Applebee's International 23,789 584
Autonation* 5,245 113
Autozone* 2,083 208
Barnes & Noble 492 23
Beazer Homes USA (D) 8,300 545
Bed Bath & Beyond* 2,841 109
Belo, Cl A 7,004 139
Best Buy 4,500 252
Black & Decker 14,763 1,283
Boyd Gaming 4,800 240
Brinker International 12,363 522
Brunswick 31,254 1,215
Building Material Holding 4,300 153
Cablevision Systems, Cl A* 35,973 960
Career Education* 34,262 1,293
CBS, Cl B 27,983 671
Centex 1,041 65
Cheesecake Factory* 1,942 73
Chico's FAS* 20,683 841
Circuit City Stores 1,600 39
Claire's Stores 35,500 1,289
Clear Channel Communications 5,380 156
Coach* 54,219 1,875
Comcast, Cl A* 39,085 1,022
Corinthian Colleges* 1,700 24
Darden Restaurants* 67,032 2,750
DIRECTV Group* 145,765 2,391
Discovery Holding, Cl A* 1,710 26
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Market Value
Description Shares ($ Thousands)
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Dollar General 10,467 $ 185
Dollar Tree Stores* 20,700 573
Dow Jones 2,100 83
DR Horton (D) 13,800 458
E.W. Scripps, Cl A 8,571 383
EchoStar Communications, Cl A* 53,969 1,612
Education Management* 22,100 919
Expedia* 19,813 402
Federated Department Stores 3,912 286
Ford Motor (D) 55,700 443
Fortune Brands (D) 29,198 2,354
Gannett 23,746 1,423
Gap 1,909 36
Gentex 694 12
Genuine Parts 15,263 669
Getty Images* 2,462 184
Gildan Activewear* 12,800 608
Goodyear Tire & Rubber* 2,139 31
GTECH Holdings 10,763 366
H&R Block (D) 121,962 2,640
Harley-Davidson 34,333 1,781
Harman International Industries 11,684 1,298
Harrah's Entertainment 3,910 305
Harte-Hanks 2,777 76
Hasbro 23,496 496
Hilton Hotels 1,724 44
Home Depot (D) 181,793 7,690
IAC/InterActive* 11,909 351
International Game Technology 125,521 4,421
Interpublic Group* 3,168 30
J.C. Penney 36,520 2,206
John Wiley & Sons, Cl A 4,888 185
Johnson Controls 6,777 515
Jones Apparel Group (D) 29,644 1,049
KB Home 13,550 880
Knight Ridder 2,350 149
Kohl's* 5,156 273
Lamar Advertising, Cl A* 3,335 175
Lennar, Cl A 11,918 720
Liberty Global, Cl A* 16,404 336
Liberty Media, Cl A* 38,916 320
Liz Claiborne 23,700 971
Lowe's (D) 19,021 1,226
Marriott International, Cl A (D) 39,169 2,687
Mattel 49,269 893
McDonald's 26,542 912
McGraw-Hill (D) 27,348 1,576
Men's Wearhouse 5,705 205
Meredith 2,600 145
MGM Mirage* 104,324 4,495
Michaels Stores 488 18
Newell Rubbermaid 21,802 549
News, Cl A* 31,877 529
Nike, Cl B 8,162 695
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SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 1
STATEMENT OF NET ASSETS (Unaudited)
LARGE CAP DIVERSIFIED ALPHA FUND (Continued)
March 31, 2006
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Market Value
Description Shares ($ Thousands)
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Nordstrom (D) 25,863 $ 1,013
NTL* 349 10
NVR* 1,188 878
O'Reilly Automotive* 3,974 145
Office Depot* 16,598 618
OfficeMax 174 5
Omnicom Group (D) 7,524 626
Outback Steakhouse 1,774 78
Pacific Sunwear of California* 4,800 106
Panera Bread, Cl A* 1,530 115
Petsmart 8,700 245
Pixar* 1,830 117
Polo Ralph Lauren 4,600 279
Pulte Homes 3,616 139
R.H. Donnelley* 1,115 65
Ross Stores 643 19
Ryland Group 347 24
Saks* 3,589 69
Sears Holdings* 1,909 252
Select Comfort* 21,033 832
ServiceMaster 8,281 109
Shaw Communications, Cl B (D)* 43,600 1,043
Sherwin-Williams 26,680 1,319
Snap-On 5,165 197
Standard-Pacific 3,221 108
Stanley Works 515 26
Staples 222,874 5,688
Starbucks* 44,159 1,662
Starwood Hotels & Resorts Worldwide 2,603 176
Station Casinos 1,094 87
Steven Madden 2,700 96
Target 48,126 2,503
Tempur-Pedic International* 22,200 314
Tiffany 6,000 225
Timberland, Cl A* 4,165 143
Time Warner (D) 53,367 896
TJX 195 5
Toll Brothers* 2,672 93
Tribune 3,177 87
Univision Communications, Cl A (D)* 55,808 1,924
VF (D) 52,729 3,000
Viacom, Cl B* 3,384 131
Walt Disney* 1,171 33
Washington Post, Cl B 74 57
Weight Watchers International* 54,071 2,779
Wendy's International 1,897 118
Whirlpool 3,794 347
Williams-Sonoma* 2,400 102
XM Satellite Radio Holdings, Cl A* 155,000 3,452
Yum! Brands 26,955 1,317
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112,715
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Market Value
Description Shares ($ Thousands)
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CONSUMER STAPLES -- 6.1%
Albertson's 3,600 $ 92
Altria Group 20,852 1,478
Anheuser-Busch 27,224 1,164
Archer-Daniels-Midland (D) 84,998 2,860
Brown-Forman, Cl B 4,712 363
Campbell Soup 3,471 112
Chiquita Brands International 19,900 334
Church & Dwight 2,906 107
Clorox (D) 35,287 2,112
Coca-Cola (D) 108,105 4,526
Coca-Cola Enterprises 48,799 993
Colgate-Palmolive 9,612 549
Costco Wholesale 2,509 136
CVS 8,501 254
Dean Foods* 11,621 451
Del Monte Foods 6,248 74
Energizer Holdings* 16,873 894
Estee Lauder, Cl A 13,100 487
General Mills 10,700 542
Hershey 6,286 328
HJ Heinz 174 7
Hormel Foods 4,727 160
JM Smucker 2,686 107
Kellogg 7,375 325
Kimberly-Clark (D) 32,209 1,862
Kraft Foods, Cl A 2,220 67
Kroger (D)* 91,621 1,865
Loews - Carolina Group 8,093 383
McCormick 1,653 56
Pepsi Bottling Group (D) 63,998 1,945
PepsiAmericas 6,635 162
PepsiCo 37,547 2,170
Pilgrim's Pride 41,504 899
Procter & Gamble 130,649 7,528
Reynolds American 19,295 2,036
Safeway 91,314 2,294
Smithfield Foods* 2,554 75
Supervalu (D) 34,635 1,067
Sysco 7,955 255
Tyson Foods, Cl A 62,237 855
UST 860 36
Wal-Mart Stores (D) 172,888 8,167
Walgreen 126,019 5,435
Whole Foods Market 12,614 838
WM Wrigley Jr 9,683 620
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57,070
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ENERGY -- 7.1%
Amerada Hess 2,915 415
Anadarko Petroleum (D) 19,398 1,959
Apache 1,043 68
Arch Coal 4,430 336
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2 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
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Market Value
Description Shares ($ Thousands)
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Baker Hughes 5,030 $ 344
BJ Services 24,518 848
Burlington Resources 9,158 842
Chesapeake Energy 8,556 269
Chevron 79,903 4,632
ConocoPhillips 64,767 4,090
Consol Energy 14,392 1,067
Cooper Cameron* 7,388 326
Denbury Resources* 1,000 32
Devon Energy (D) 51,023 3,121
Diamond Offshore Drilling 2,398 215
Dresser-Rand Group* 4,443 110
EOG Resources 8,254 594
EnCana 25,900 1,210
Exxon Mobil (D) 355,064 21,609
FMC Technologies* 3,100 159
Forest Oil* 1,518 57
Grant Prideco* 5,168 221
Halliburton 14,457 1,056
Harvest Natural Resources* 4,420 43
Helmerich & Payne 15,504 1,083
Hercules Offshore* 1,000 34
Kerr-McGee 4,086 390
Kinder Morgan 4,665 429
Marathon Oil (D) 50,604 3,855
Massey Energy 1,553 56
Murphy Oil 1,456 73
Nabors Industries* 4,882 350
National Oilwell Varco* 3,324 213
Newfield Exploration* 2,800 117
Noble Energy 800 35
Occidental Petroleum (D) 44,123 4,088
Oil States International* 10,200 376
Patterson-UTI Energy 9,110 291
Peabody Energy 688 35
Petro-Canada (D) 26,100 1,242
Pioneer Natural Resources 1,830 81
Pogo Producing 2,454 123
Schlumberger 6,738 853
Smith International 2,074 81
Southwestern Energy* 3,200 103
St. Mary Land & Exploration 21,500 878
Sunoco (D) 18,863 1,463
Talisman Energy (D) 20,100 1,069
Tesoro 947 65
Tidewater 39,442 2,178
Unit (D)* 30,694 1,711
Valero Energy 13,686 818
Western Gas Resources 6,203 299
XTO Energy 2,433 106
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66,118
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Market Value
Description Shares ($ Thousands)
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FINANCIALS -- 16.1%
A.G. Edwards 5,354 $ 267
Affiliated Managers Group* 468 50
Aflac 14,416 651
Alleghany* 306 89
Allied Capital 3,992 122
Allstate (D) 50,132 2,612
American Capital Strategies 8,206 289
American Express 8,815 463
American Financial Group 16,876 702
American International Group 26,850 1,775
AmeriCredit* 17,000 522
Ameriprise Financial 5,788 261
AmSouth Bancorp 17,295 468
Annaly Mortgage Management+ 5,600 68
Anthracite Capital+ 2,004 22
AON 21,185 879
Apartment Investment &
Management, Cl A 341 16
Archstone-Smith Trust 1,730 84
Arden Realty+ 2,347 106
Arthur J Gallagher 520 14
Ashford Hospitality Trust+ 7,119 88
Associated Banc-Corp 694 24
Assurant (D) 28,786 1,418
Astoria Financial 1,735 54
AvalonBay Communities+ 2,147 234
Bank of America (D) 213,089 9,704
Bank of Hawaii 1,041 55
Bank of New York 2,500 90
BB&T 5,139 201
Bear Stearns 5,972 828
BlackRock, Cl A 347 49
Boston Properties 1,856 173
BRE Properties, Cl A+ 3,100 174
Brown & Brown 7,188 239
Camden Property Trust+ 974 70
Capital Lease Funding+ 1,800 20
Capital One Financial 8,395 676
CapitalSource+ 8,632 215
CarrAmerica Realty+ 4,100 183
CB Richard Ellis Group, Cl A (D)* 13,900 1,122
CBL & Associates Properties+ 1,350 57
Charles Schwab 19,681 339
Chicago Mercantile Exchange
Holdings 11,574 5,179
Chubb 2,709 259
CIT Group (D) 54,607 2,923
Citigroup (D) 235,975 11,145
City National 194 15
CNA Financial* 3,600 115
Colonial BancGroup 6,200 155
Comerica (D) 31,145 1,805
Commerce Bancorp 6,587 241
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SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 3
STATEMENT OF NET ASSETS (Unaudited)
LARGE CAP DIVERSIFIED ALPHA FUND (Continued)
March 31, 2006
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Market Value
Description Shares ($ Thousands)
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Commerce Bancshares 4,920 $ 254
Compass Bancshares 174 9
Conseco* 6,265 155
Countrywide Financial 2,214 81
Crescent Real Estate Equities+ 26,687 562
Cullen/Frost Bankers 2,000 107
Developers Diversified Realty+ 347 19
Downey Financial 4,860 327
Duke Realty+ 1,200 46
E*Trade Financial* 1,400 38
Equity Office Properties Trust 4,250 143
Equity Residential 6,141 287
Erie Indemnity, Cl A 694 37
Essex Property Trust+ 1,800 196
Fannie Mae 1,047 54
Federal Realty Investment Trust+ 2,509 189
Federated Investors, Cl B 7,395 289
Fidelity National Financial 6,901 245
Fieldstone Investment+ 5,100 60
Fifth Third Bancorp 900 35
First American (D) 65,621 2,570
First Horizon National 1,321 55
FirstMerit 1,600 39
Forest City Enterprises, Cl A 4,830 228
Franklin Resources 11,581 1,091
Freddie Mac 7,635 466
Fulton Financial 2,256 39
General Growth Properties+ 3,157 154
Golden West Financial 1,397 95
Goldman Sachs Group (D) 38,779 6,087
Greenhill 700 46
Hanover Insurance Group 10,874 570
Hartford Financial Services Group 28,049 2,259
HCC Insurance Holdings 9,751 339
Health Care+ 868 33
Hospitality Properties Trust+ 4,187 183
Host Marriott+ 23,999 514
HRPT Properties Trust+ 4,878 57
Huntington Bancshares 1,100 27
IndyMac Bancorp 5,188 212
International Bancshares 2,735 79
JPMorgan Chase (D) 195,683 8,148
Keycorp (D) 31,778 1,169
Kimco Realty 835 34
LandAmerica Financial Group 1,000 68
Legg Mason 6,195 776
Lehman Brothers Holdings (D) 40,619 5,871
Leucadia National 2,100 125
Lincoln National 1,974 108
Loews 40,436 4,092
M&T Bank 3,424 391
Macerich+ 1,009 75
Markel* 194 65
Marsh & McLennan 19,297 567
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Market Value
Description Shares ($ Thousands)
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Marshall & Ilsley 2,435 $ 106
Mellon Financial (D) 28,000 997
Mercantile Bankshares 5,216 201
Mercury General 1,200 66
Merrill Lynch (D) 55,508 4,372
Metlife (D) 107,283 5,189
MGIC Investment 8,553 570
Moody's 72,118 5,154
Morgan Stanley (D) 64,688 4,064
National City (D) 42,202 1,473
New York Community Bancorp 7,960 139
North Fork Bancorporation 1,675 48
Northern Trust 4,462 234
Old Republic International 5,100 111
Pan Pacific Retail Properties+ 1,777 126
Peoples Bank 4,147 136
Philadelphia Consolidated Holding* 10,211 349
Plum Creek Timber 521 19
PMI Group (D) 24,700 1,134
PNC Financial Services Group 32,338 2,177
Principal Financial Group (D) 26,970 1,316
Progressive 8,176 852
Prologis 635 34
Protective Life 347 17
Prudential Financial 5,000 379
Public Storage 347 28
Radian Group (D) 20,777 1,252
Ramco-Gershenson Properties+ 3,700 112
Rayonier+ 5,700 260
Regency Centers+ 1,083 73
Regions Financial 4,254 150
Safeco 11,689 587
Shurgard Storage Centers, Cl A+ 4,141 276
Simon Property Group 26,938 2,267
Sky Financial Group 5,442 144
SL Green Realty+ 520 53
SLM 7,024 365
Sovereign Bancorp 2,083 46
St. Joe 1,215 76
St. Paul Travelers (D) 147,629 6,169
State Street 3,630 219
Strategic Hotels & Resorts+ 1,160 27
SunTrust Banks 13,770 1,002
Synovus Financial 4,259 115
T Rowe Price Group 2,777 217
TCF Financial 4,200 108
TD Ameritrade Holding* 9,091 190
TD Banknorth 10,206 300
Thornburg Mortgage+ 19,896 538
Torchmark 4,071 232
Transatlantic Holdings 430 25
Trizec Properties+ 174 4
UnionBanCal (D) 16,500 1,158
United Dominion Realty Trust+ 1,724 49
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4 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
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Market Value
Description Shares ($ Thousands)
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UnumProvident 4,550 $ 93
US Bancorp (D) 187,782 5,727
Vornado Realty Trust 1,162 112
Wachovia (D) 88,312 4,950
Washington Mutual 3,453 147
Wells Fargo (D) 70,606 4,510
Whitney Holding 174 6
Wilmington Trust 2,883 125
WR Berkley (D) 24,780 1,439
Zions Bancorporation 2,015 167
----------------
149,656
----------------
HEALTH CARE -- 12.5%
Abbott Laboratories 52,498 2,230
Advanced Medical Optics* 700 33
Aetna (D) 34,876 1,714
Affymetrix* 2,533 83
Allergan 54,774 5,943
AmerisourceBergen (D) 86,682 4,184
Amgen (D)* 56,639 4,120
Applera - Applied Biosystems Group 3,124 85
Barr Pharmaceuticals* 5,830 367
Bausch & Lomb 8,424 537
Baxter International 40,406 1,568
Becton Dickinson 18,748 1,154
Biogen Idec* 15,378 724
Boston Scientific* 29,847 688
Bristol-Myers Squibb 16,667 410
C.R. Bard 18,920 1,283
Cardinal Health (D) 89,275 6,653
Caremark Rx* 5,886 289
Celgene* 12,006 531
Cephalon* 297 18
Cerner* 1,988 94
Charles River Laboratories
International* 868 43
Chemed 702 42
Chiron* 10,197 467
Cigna 13,864 1,811
CNS 244 5
Community Health Systems* 1,886 68
Covance* 2,512 148
Coventry Health Care* 3,662 198
Dade Behring Holdings (D) 25,115 897
DaVita* 2,310 139
Dentsply International 7,700 448
Digene* 4,838 189
Edwards Lifesciences* 13,163 573
Eli Lilly 18,989 1,050
Emdeon* 8,200 89
Endo Pharmaceuticals Holdings* 5,456 179
Express Scripts* 6,750 593
Fisher Scientific International* 21,727 1,479
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Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Forest Laboratories* 11,822 $ 528
Genentech* 103,150 8,717
Genzyme* 2,093 141
Gilead Sciences* 6,000 373
Guidant 5,632 440
HCA 19,763 905
Health Management Associates, Cl A 6,457 139
Health Net* 74,062 3,764
Henry Schein* 30,353 1,453
Hillenbrand Industries 1,004 55
Hospira* 10,512 415
Humana* 9,905 521
Idexx Laboratories* 14,977 1,293
ImClone Systems* 5,800 197
IMS Health 2,950 76
Invitrogen* 2,533 178
Johnson & Johnson (D) 226,946 13,440
Kindred Healthcare* 2,800 70
Kinetic Concepts* 1,900 78
King Pharmaceuticals (D)* 91,098 1,571
Laboratory of America Holdings* 9,975 583
LifePoint Hospitals* 1,445 45
Lincare Holdings* 5,442 212
Manor Care 1,283 57
McKesson (D) 80,801 4,212
Medco Health Solutions* 35,332 2,022
Medimmune* 13,041 477
Medtronic 22,692 1,152
Merck 58,436 2,059
Millennium Pharmaceuticals* 10,400 105
Millipore* 4,762 348
Molecular Devices* 1,300 43
Mylan Laboratories 43,892 1,027
Neurocrine Biosciences* 12,700 820
Omnicare 10,936 601
Palomar Medical Technologies* 11,433 382
PDL BioPharma* 8,142 267
Pfizer (D) 281,017 7,003
Pharmaceutical Product Development 5,418 187
PolyMedica 5,500 233
Quest Diagnostics 22,561 1,157
Resmed* 6,812 300
Respironics* 7,886 307
Schering-Plough 20,196 383
Sepracor* 1,568 77
St. Jude Medical* 9,339 383
Stryker 12,002 532
Techne* 7,286 438
Thermo Electron* 1,594 59
Triad Hospitals* 665 28
Trizetto Group* 6,400 113
UnitedHealth Group 99,672 5,568
Universal Health Services, Cl B 2,739 139
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SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 5
STATEMENT OF NET ASSETS (Unaudited)
LARGE CAP DIVERSIFIED ALPHA FUND (Continued)
March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Varian* 600 $ 25
Varian Medical Systems* 2,883 162
VCA Antech* 8,500 242
Ventana Medical Systems* 500 21
Waters* 23,863 1,030
Watson Pharmaceuticals* 10,413 299
WellPoint* 8,845 685
West Pharmaceutical Services 349 12
Wyeth 37,556 1,822
Zimmer Holdings* 65,965 4,459
----------------
115,556
----------------
INDUSTRIALS -- 7.7%
3M 20,373 1,542
Adesa 5,110 137
Alexander & Baldwin 2,665 127
Alliant Techsystems* 521 40
American Power Conversion 5,908 137
American Standard 359 15
Ametek 903 41
AMR* 54,414 1,472
Applied Industrial Technologies 1,400 62
Aramark, Cl B 23,658 699
Armor Holdings* 7,431 433
Avery Dennison 2,430 142
Boeing 18,443 1,437
Brink's 3,195 162
Burlington Northern Santa Fe (D) 23,228 1,936
Carlisle 409 33
Caterpillar 18,507 1,329
Cendant 3,300 57
CH Robinson Worldwide 7,483 367
ChoicePoint* 2,574 115
CNF (D) 20,340 1,016
Corporate Executive Board 9,821 991
CSX 2,871 172
Cummins (D) 14,100 1,482
Danaher 2,845 181
Deere 2,853 226
Deluxe 54,537 1,427
Dover 4,500 219
Dun & Bradstreet* 174 13
Eaton 23,975 1,749
Emerson Electric 9,678 809
Equifax 11,557 430
Expeditors International Washington 61,774 5,337
Fastenal 5,174 245
FedEx 11,800 1,333
Fluor 2,591 222
General Dynamics 11,832 757
General Electric 216,138 7,517
Goodrich 1,047 46
Harsco 6,400 529
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Herman Miller 15,534 $ 503
HNI 3,583 211
Honeywell International 6,174 264
Ingersoll-Rand, Cl A 47,454 1,983
ITT Industries 9,918 558
Jacobs Engineering Group* 3,233 280
JB Hunt Transport Services 79,347 1,709
JetBlue Airways* 16,600 178
L-3 Communications Holdings 174 15
Laidlaw International (D) 38,600 1,050
Lockheed Martin (D) 54,638 4,105
Manpower 600 34
Monster Worldwide* 800 40
MSC Industrial Direct, Cl A 800 43
NCI Building Systems* 1,500 90
Norfolk Southern 77 4
Northrop Grumman (D) 39,383 2,689
Oshkosh Truck 8,948 557
Paccar 16,843 1,187
Pall 2,256 70
Pentair 1,183 48
Pitney Bowes 5,122 220
Precision Castparts 5,380 320
Raytheon 16,812 771
Republic Services 2,603 111
Robert Half International 8,600 332
Rockwell Automation 12,553 903
Rockwell Collins 2,954 166
Roper Industries 3,638 177
RR Donnelley & Sons 9,165 300
Ryder System 18,005 806
Southwest Airlines 8,788 158
SPX 694 37
Stericycle* 4,235 286
Teleflex 3,121 224
Terex* 27,538 2,182
Thomas & Betts* 14,549 748
Union Pacific (D) 28,033 2,617
United Parcel Service, Cl B 72,859 5,784
United Technologies 28,804 1,670
USG* 7,409 704
WW Grainger 26,921 2,029
----------------
71,147
----------------
INFORMATION TECHNOLOGY -- 16.2%
Activision* 2,544 35
ADC Telecommunications* 4,674 120
Adobe Systems* 3,900 136
Affiliated Computer Services, Cl A* 33,304 1,987
Agere Systems* 100,103 1,506
Agilent Technologies* 22,182 833
Akamai Technologies* 20,286 667
Alliance Data Systems* 3,300 154
- --------------------------------------------------------------------------------
6 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Altera* 15,518 $ 320
Amdocs* 22,900 826
Amphenol, Cl A 2,524 132
Analog Devices 15,262 584
Andrew* 3,992 49
Apple Computer* 23,388 1,467
Applied Materials* 87,195 1,527
Arrow Electronics* 66,523 2,147
Atmel* 147,700 697
Autodesk 15,062 580
Automatic Data Processing 6,901 315
Avaya* 6,174 70
Avnet* 98,988 2,512
Black Box 755 36
BMC Software* 12,695 275
Broadcom, Cl A* 8,458 365
CA 867 24
Cadence Design Systems* 8,082 149
CDW 2,277 134
Ceridian* 13,300 339
Checkfree* 1,215 61
Cisco Systems (D)* 277,103 6,005
Citrix Systems* 5,815 220
Cognizant Technology Solutions, Cl A* 139 8
Computer Sciences (D)* 10,537 585
Comverse Technology* 694 16
Convergys* 52,481 956
Corning* 9,168 247
Cree* 1,045 34
Cymer* 946 43
Dell* 44,693 1,330
DST Systems* 4,021 233
eBay* 129,100 5,043
Electronic Arts* 1,041 57
Electronic Data Systems 26,280 705
EMC* 64,806 883
Emulex* 1,688 29
Fair Isaac (D) 27,427 1,087
Fidelity National Information Services 5,674 230
First Data 120,656 5,649
Fiserv (D)* 52,614 2,239
Freescale Semiconductor, Cl B* 61,657 1,712
Global Payments (D) 13,865 735
Google, Cl A* 8,300 3,237
Harris 9,523 450
Hewlett-Packard (D) 235,142 7,736
Hyperion Solutions* 520 17
Ingram Micro, Cl A* 123,488 2,470
Intel (D) 373,609 7,229
International Business Machines (D) 85,375 7,041
Intersil, Cl A 10,982 318
Intuit* 125,572 6,679
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Iron Mountain* 10,694 $ 436
Jabil Circuit* 8,177 350
Juniper Networks* 174 3
Kla-Tencor 2,341 113
Lam Research (D)* 31,092 1,337
Lexmark International, Cl A* 615 28
Linear Technology 7,389 259
Maxim Integrated Products 1,909 71
McAfee* 1,041 25
MEMC Electronic Materials* 5,774 213
Mettler Toledo International* 1,562 94
Micrel* 9,418 140
Microchip Technology 1,147 42
Micron Technology* 14,100 208
Microsoft (D) 578,103 15,730
MicroStrategy, Cl A* 1,322 139
Molex 2,200 73
Motorola 152,038 3,483
National Semiconductor 72,047 2,006
NAVTEQ* 75,000 3,799
NCR* 404 17
Netlogic Microsystems* 1,571 65
Network Appliance* 1,965 71
Novellus Systems* 4,003 96
Nvidia* 17,193 984
Oracle* 141,278 1,934
Parametric Technology* 19,500 318
Paychex 105,541 4,397
QLogic* 41,508 803
Qualcomm (D) 206,829 10,468
Red Hat* 10,542 295
Reynolds & Reynolds, Cl A 5,900 168
Sabre Holdings, Cl A 23,047 542
Salesforce.com* 4,297 156
SanDisk* 80,194 4,613
Seagate Technology 120,000 3,160
Sybase* 6,367 134
Symantec* 14,556 245
Synaptics* 11,800 260
Synopsys* 26,986 603
Tech Data (D)* 76,051 2,807
Teradyne* 7,651 119
Texas Instruments (D) 153,798 4,994
Trimble Navigation* 2,083 94
Vishay Intertechnology* 694 10
Western Digital* 57,850 1,124
Xerox* 43,440 660
Xilinx 29,801 759
Yahoo!* 14,849 479
Zebra Technologies, Cl A* 800 36
Zoran* 2,800 61
----------------
150,291
----------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 7
STATEMENT OF NET ASSETS (Unaudited)
LARGE CAP DIVERSIFIED ALPHA FUND (Continued)
March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
MATERIALS -- 2.6%
Agrium (D) 39,700 $ 1,003
Airgas 900 35
Allegheny Technologies 600 37
Ashland 1,577 112
Ball 44,380 1,945
Cabot 3,400 115
Celanese, Ser A 20,546 431
Cleveland-Cliffs 3,700 322
Crown Holdings* 22,000 390
Cytec Industries 700 42
Dow Chemical 24,056 977
Eagle Materials 25,879 1,650
Ecolab 6,998 267
Engelhard 800 32
Florida Rock Industries (D) 11,600 652
Freeport-McMoRan Copper & Gold,
Cl B 16,273 973
Hercules* 15,734 217
Huntsman* 29,064 561
IPSCO (D) 200 21
Lafarge North America 5,161 433
Lubrizol 6,559 281
Martin Marietta Materials (D) 17,528 1,876
MeadWestvaco 1,388 38
Monsanto 2,006 170
Mosaic* 16,000 230
Newmont Mining 19,760 1,025
Nucor (D) 13,100 1,373
Phelps Dodge 14,900 1,200
Praxair 81,915 4,518
Quanex 300 20
Reliance Steel & Aluminum 3,300 310
Scotts Miracle-Gro, Cl A 4,518 207
Sealed Air* 3,009 174
Sigma-Aldrich 347 23
Sonoco Products 2,777 94
Temple-Inland 3,471 155
Tronox, Cl B 824 14
Valspar 15,500 432
Vulcan Materials 14,230 1,233
Weyerhaeuser 1,215 88
----------------
23,676
----------------
TELECOMMUNICATION SERVICES -- 2.1%
Alltel 12,113 784
American Tower, Cl A* 4,859 147
AT&T 99,246 2,684
BCE 28,500 686
BellSouth 36,727 1,273
Cbeyond Communications* 2,000 35
CenturyTel 4,894 191
Citizens Communications 59,111 784
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Crown Castle International* 5,115 $ 145
Nextel Partners, Cl A* 4,442 126
NII Holdings* 2,424 143
Premiere Global Services* 4,900 39
Qwest Communications International* 145,007 986
Sprint Nextel 255,478 6,602
Telephone & Data Systems 11,082 437
US Cellular* 9,190 546
Verizon Communications (D) 122,745 4,181
----------------
19,789
----------------
UTILITIES -- 2.4%
AGL Resources 3,333 120
Allegheny Energy* 521 18
Alliant Energy 33,608 1,058
Ameren 3,818 190
American Electric Power 25,143 855
Aqua America 12,176 339
Centerpoint Energy 49,387 589
Cinergy 2,603 118
CMS Energy* 21,320 276
Consolidated Edison 3,992 174
Constellation Energy Group 2,335 128
Dominion Resources 10,061 694
DPL 651 18
DTE Energy 13,272 532
Duke Energy 14,306 417
Edison International (D) 113,655 4,680
Energy East 2,159 52
Entergy 809 56
Equitable Resources 11,521 421
Exelon 4,674 247
FirstEnergy (D) 32,265 1,578
FPL Group 2,745 110
Great Plains Energy 4,039 114
KeySpan 135 5
MDU Resources Group 9,347 313
National Fuel Gas 3,800 124
NiSource 174 4
Northeast Utilities 2,000 39
NRG Energy* 11,700 529
NSTAR 4,921 141
OGE Energy 1,474 43
Oneok 4,204 136
Pepco Holdings 3,392 77
PG&E 38,236 1,487
Pinnacle West Capital 1,600 63
PPL 1,562 46
Public Service Enterprise Group 11,405 730
Puget Energy 1,624 34
Questar 7,471 523
SCANA 7,939 312
Sempra Energy 13,025 605
- --------------------------------------------------------------------------------
8 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Southern 5,727 $ 188
Southern Union* 11,000 273
TECO Energy 4,148 67
TXU (D) 55,945 2,504
UGI 5,834 123
Wisconsin Energy 11,094 444
WPS Resources 3,645 179
Xcel Energy 3,471 63
----------------
21,836
----------------
Total Common Stock
(Cost $769,700) ($ Thousands) 787,854
----------------
ASSET-BACKED SECURITIES -- 9.3%
MORTGAGE RELATED SECURITIES -- 9.3%
ABSC NIMS Trust, Ser 2005-HE6,
Cl A1 (E)
5.050%, 08/27/35 $ 285 282
ACE Securities, Ser 2003-OP1,
Cl M1 (C)
5.518%, 12/25/33 500 503
ACE Securities, Ser 2005-HE3,
Cl A2A (C)
4.918%, 05/25/35 1,020 1,021
Aegis Asset-Backed Securities Trust,
Ser 2003-3, Cl M1 (C)
5.518%, 01/25/34 250 250
American Home Mortgage Investment
Trust, Ser 2005-1, Cl 6A (C)
5.294%, 06/25/45 4,240 4,201
Ameriquest Mortgage Securities,
Ser 2003-2, Cl M1 (C)
5.718%, 03/25/33 427 430
Ameriquest Mortgage Securities,
Ser 2004-FR1, Cl A4
3.243%, 05/25/34 1,126 1,115
Argent Securities, Ser 2003-W9,
Cl M1 (C)
5.508%, 03/25/34 400 403
Asset-Backed Funding Certificates,
Ser 2005-AQ1, Cl A2 (G)
4.370%, 06/25/35 1,000 984
Asset-Backed Funding NIM Trust,
Ser 2005-WMC1, Cl N1 (E)
5.900%, 07/26/35 142 142
Asset-Backed Securities Home Equity,
Ser 2003-HE5, Cl M1 (C)
5.499%, 09/15/33 600 605
Bear Stearns Asset-Backed Securities,
Ser 2005-AQ2N, Cl A1 (E)
5.500%, 09/25/35 106 105
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Bear Stearns Asset-Backed Securities,
Ser 2005-HE11, Cl A1 (E)
5.500%, 11/25/35 $ 597 $ 593
Bear Stearns Asset-Backed Securities,
Ser 2006-PC1N, Cl A1 (E)
5.500%, 12/25/35 246 245
Centex Home Equity, Ser 2001-B, Cl A4
6.410%, 02/25/30 1,171 1,167
Centex Home Equity, Ser 2004-B,
Cl AF3 (G)
3.030%, 05/25/28 444 438
Chase Funding Mortgage Loan,
Ser 2003-6, Cl 1A3
3.340%, 05/25/26 1,000 983
Conseco Finance, Ser 2001-C, Cl A4
6.190%, 03/15/30 2,396 2,403
Countrywide Alternative Loan Trust,
Ser 2005-IM1, Cl M3 (C)
6.818%, 01/25/36 375 358
Countrywide Asset-Backed Certificates,
Ser 2004-9, Cl AF3
3.854%, 10/25/30 1,249 1,242
Countrywide Asset-Backed Certificates,
Ser 2005-7, Cl MV8 (C)
6.268%, 11/25/35 250 252
Countrywide Asset-Backed Certificates,
Ser 2006-S1, Cl A2
5.549%, 04/25/36 1,600 1,598
Countrywide Home Equity Loan Trust,
Ser 2006-D, Cl 2A (C)
4.976%, 03/15/36 2,700 2,700
Countrywide Home Loans,
Ser 2004-22, Cl A1
5.116%, 11/25/34 585 577
Countrywide Home Loans,
Ser 2006-OA4, Cl M4 (C)
5.638%, 04/25/46 285 285
Countrywide Home Loans,
Ser 2006-OA4, Cl M5 (C)
5.688%, 04/25/46 195 195
Countrywide Home Loans,
Ser 2006-OA5, Cl 1M4 (C)
5.868%, 04/25/46 275 276
FBR Securitization Trust, Ser 2005-4,
Cl M12 (C)
6.818%, 10/25/35 174 169
FBR Securitization Trust, Ser 2005-5,
Cl M12 (C)
7.068%, 11/25/35 143 141
First Franklin Mortgage Loan Asset,
Ser 2005-FF4, Cl 2A3 (C)
5.038%, 05/25/35 1,400 1,401
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 9
STATEMENT OF NET ASSETS (Unaudited)
LARGE CAP DIVERSIFIED ALPHA FUND (Continued)
March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
First Franklin Mortgage Loan,
Ser 2005-FF6, Cl N1 (E)
4.500%, 03/25/36 $ 210 $ 206
First Franklin Mortgage Loan,
Ser 2005-FFH4, Cl N1 (E)
5.682%, 12/25/35 209 207
GE-WMC Mortgage Securities NIM Trust,
Ser 2005-2A, Cl N1 (E)
5.500%, 01/25/36 407 406
GMAC Mortgage Loan Trust,
Ser 2006-HE1, Cl A (C)
5.033%, 11/25/36 3,900 3,900
GMAC Mortgage Loan Trust,
Ser 2004-HE2, Cl A2
2.880%, 10/25/33 1,614 1,589
GSAA Home Equity Trust,
Ser 2006-3N, Cl N1 (E)
5.750%, 03/25/36 170 170
Goldman Sachs Mortgage Securities,
Ser 2006-GG6, Cl AM
5.622%, 04/10/38 3,800 3,789
Greenpoint Mortgage Funding Trust,
Ser 2005-AR5, Cl M6 (C)
5.918%, 11/25/45 380 374
Hasco NIM Trust, Ser 2006-OP2A,
Cl A (E)
5.856%, 04/20/36 380 380
Home Equity Asset Trust, Ser 2005-4,
Cl 2A1 (C)
4.908%, 10/25/35 287 287
Home Equity Asset Trust,
Ser 2005-7N, Cl A (E)
6.500%, 02/27/36 887 878
Home Equity Asset Trust,
Ser 2005-9N, Cla A (E)
6.500%, 05/27/36 365 364
Home Equity Asset Trust, Ser 2006-1,
Cl 43
0.000%, 05/27/36 220 220
Indymac Index Mortgage Loan Trust,
Ser 2006-AR2, Cl M6 (C)
6.568%, 04/25/46 240 239
Indymac Index Mortgage Loan Trust,
Ser 2006-AR2, Cl M9 (C)
6.568%, 04/25/46 200 167
Indymac Index Mortgage Loan Trust,
Ser 2006-AR4, Cl M4 (C)
5.529%, 05/25/46 165 165
Lehman XS Trust, Ser 2005-5N,
Cl M3 (C)
5.818%, 11/25/35 600 599
Lehman XS Trust, Ser 2005-5N,
Cl M4 (C)
6.568%, 11/25/35 725 686
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Lehman XS Trust, Ser 2005-7N,
Cl M51 (C)
6.068%, 12/25/35 $ 150 $ 152
Lehman XS Trust, Ser 2005-7N,
Cl M7I (C)
6.568%, 12/25/35 325 300
Lehman XS Trust, Ser 2005-9N, Cl M4
6.218%, 02/25/36 225 229
Lehman XS Trust, Ser 2006-2N,
Cl M5 (C)
5.968%, 02/25/46 240 242
Long Beach Asset Holdings,
Ser 2006-2, Cl N1 (E)
5.780%, 04/25/46 160 160
Long Beach Asset Holdings,
Ser 2006-WL2, Cl N1 (E)
6.750%, 12/25/45 19 19
Long Beach Mortgage Loan Trust,
Ser 2006-WL1, Cl 1A3 (C)
5.148%, 01/25/36 1,179 1,182
Master Asset-Backed Securities NIM Trust,
Ser 2006-CI13, Cl N1 (E)
7.000%, 12/25/35 694 694
Master Asset-Backed Securities NIM Trust,
Ser 2006-CI14, Cl N1 (E)
6.000%, 07/26/35 478 476
Master Asset-Backed Securities Trust,
Ser 2002-OPT1, Cl M1 (C)
5.968%, 11/25/32 400 402
Merrill Lynch Mortgage Investors,
Ser 2004-WM4N, Cl N2 (E)
4.500%, 04/25/35 666 603
Merrill Lynch Mortgage Investors,
Ser 2005-FM1N, Cl N1 (E)
4.500%, 05/25/36 288 286
Merrill Lynch Mortgage Investors,
Ser 2006-1, Cl 1A (C)
5.357%, 02/25/36 2,500 2,495
Morgan Stanley Capital I,
Ser 2003-NC10, Cl M1 (C)
5.498%, 10/25/33 610 612
Morgan Stanley Dean Witter Capital I,
Ser 2003-NC1, Cl M2 (C)
6.868%, 11/25/32 700 704
Morgan Stanley Dean Witter Capital I,
Ser NC10, Cl M2 (C)
6.618%, 10/25/33 300 303
New Century Home Equity Loan Trust,
Ser 2003-b, Cl M1 (C)
5.468%, 09/25/33 650 656
New Century Home Equity Loan Trust,
Ser 2004-A, Cl AII3
4.450%, 08/25/34 1,200 1,191
- --------------------------------------------------------------------------------
10 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Option One Mortgage Loan Trust,
Ser 2003-4, Cl M2 (C)
6.468%, 07/25/33 $ 205 $ 207
Option One Mortgage Loan Trust,
Ser 2006-1, Cl M10 (C) (E)
7.318%, 01/25/36 100 85
Option One Mortgage Loan Trust,
Ser 2006-1, Cl M11 (C) (E)
7.318%, 01/25/36 190 152
Ownit Mortgage Loan Asset-Backed
Securities Trust, Ser 2006-1,
Cl AF1 (G)
5.424%, 12/25/36 2,964 2,948
Ownit Mortgage Loan NIM Trust,
Ser 2005-5A, Cl N1 (E)
5.500%, 10/25/36 158 158
Park Place Securities NIM Trust,
Ser 2004-WHQ1, Cl D (E)
7.384%, 09/25/34 278 279
Residential Accredit Loans,
Ser 2005-QO4, Cl M2 (C)
6.018%, 12/25/45 260 262
Residential Accredit Loans,
Ser 2006-Q01, Cl 2A3 (C)
5.218%, 02/25/46 599 599
Residential Accredit Loans,
Ser 2006-QO3, Cl M4 (C)
5.543%, 04/25/46 250 250
Residential Accredit Loans,
Ser 2006-QO3, Cl M5 (C)
5.603%, 04/25/46 250 250
Residential Asset Mortgage Products,
Ser 2003-RS2, Cl AI4
4.332%, 04/25/31 545 543
Residential Asset Mortgage Products,
Ser 2003-RS7, Cl AI3
3.680%, 09/25/27 104 104
Residential Asset Securities,
Ser 2003-KS7, Cl AI3
3.372%, 11/25/28 393 393
Residential Asset Securities,
Ser KS9, Cl AI3
3.250%, 12/25/28 1,897 1,877
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2A (C) (G)
5.059%, 02/25/36 1,750 1,750
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2B (C) (G)
5.109%, 02/25/36 1,000 1,000
Saco I Trust, Ser 2005-10, Cl 2A1 (C)
5.078%, 01/25/36 3,891 3,897
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Sail NIM Notes, Ser 2005-11A, Cl A (E)
7.500%, 01/27/36 $ 537 $ 534
Sail NIM Notes, Ser 2006-BC1A, Cl A (E)
7.000%, 03/27/36 350 350
Sharps SP I LLC NIM Trust,
Ser 2005-HE3N, Cl N (E)
5.000%, 05/25/35 538 536
Soundview NIM Trust, Ser 2005-OPT4,
Cl N1 (E)
5.682%, 12/25/35 151 151
Structured Asset Investment Loan,
Ser 2005-4, Cl M11 (C)
7.318%, 05/25/35 250 213
Structured Asset Mortgage Investments,
Ser 2006-AR1, Cl B4 (C)
5.768%, 02/25/36 191 191
Structured Asset Mortgage Investments,
Ser 2006-AR1, Cl B5 (C)
5.868%, 02/25/36 121 121
Structured Asset Securities,
Ser 2005-NC1, Cl A2 (G)
3.962%, 02/25/35 990 981
Structured Asset Securities,
Ser 2005-S1, Cl B3 (C) (E)
7.318%, 03/25/35 350 351
Terwin Mortgage Trust, Ser 2006-2HGS,
Cl A1 (E)
4.500%, 03/25/37 6,000 5,929
Terwin Mortgage Trust, Ser 2006-2HGS,
Cl AX (E)
20.000%, 03/25/37 324 100
Terwin Mortgage Trust, Ser 2006-4SL,
Cl AX
0.000%, 04/25/36 776 200
Terwin Mortgage Trust, Ser 2006-4SL,
Cl A1 (E)
4.500%, 04/25/36 6,000 5,933
Terwin Mortgage Trust, Ser 2006-HF1,
Cl A1A (E)
4.500%, 02/25/37 2,635 2,614
Wells Fargo Home Equity Trust,
Ser 2004-2, Cl A12
3.450%, 06/25/19 2,900 2,861
Wells Fargo Home Equity Trust,
Ser 2004-2, Cl M8A (C) (E)
7.818%, 03/25/33 300 300
----------------
Total Asset-Backed Securities
(Cost $86,630) ($ Thousands) 86,515
----------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 11
STATEMENT OF NET ASSETS (Unaudited)
LARGE CAP DIVERSIFIED ALPHA FUND (Continued)
March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER (B) -- 5.7%
FINANCIALS -- 5.7%
AIG Funding
4.683%, 04/10/06 $ 6,000 $ 5,993
BMW US Capital
4.822%, 04/03/06 6,000 5,997
General Electric Capital
4.693%, 04/11/06 6,000 5,992
Goldman Sachs
4.785%, 04/04/06 6,000 5,998
Household Finance
4.689%, 04/06/06 6,000 5,996
LaSalle Bank
4.746%, 04/06/06 6,000 5,996
Prudential Finance
4.689%, 04/06/06 6,000 5,996
Socnam
4.659%, 04/13/06 6,000 5,991
UBS Finance
4.668%, 04/03/06 5,000 4,999
----------------
Total Commercial Paper
(Cost $52,959) ($ Thousands) 52,958
----------------
CASH EQUIVALENT -- 5.3%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 4.560%** ++ 49,197,432 49,197
----------------
Total Cash Equivalent
(Cost $49,197) ($ Thousands) 49,197
----------------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 4.2%
FHLMC (C)
5.589%, 10/01/35 964 967
FHLMC TBA
5.500%, 04/15/35 3,500 3,417
FNMA (C)
5.547%, 01/01/36 975 977
FNMA TBA
5.500%, 04/30/35 9,000 8,783
5.000%, 04/30/20 23,500 22,905
GNMA (C)
4.500%, 08/20/34 1,014 1,013
4.000%, 02/20/35 584 584
4.000%, 01/20/36 498 490
----------------
Total U.S. Government Mortgage-Backed
Obligations (Cost $39,309) ($ Thousands) 39,136
----------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Contracts/Shares ($ Thousands)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 1.1%
FHLMC STRIP, Ser 232, IO
5.000%, 08/01/35 $ 1,435 $ 368
FHLMC STRIP, Ser 233, Cl 12, IO
5.000%, 09/15/35 1,255 301
FNMA (A) (F)
4.657%, 12/01/06 8,000 7,730
4.631%, 09/27/06 500 488
FNMA STRIP, Ser 359, Cl 6, IO
5.000%, 11/01/35 469 119
FNMA STRIP, Ser 360, Cl 2, IO
5.000%, 08/01/35 3,178 816
----------------
Total U.S. Government Agency Obligations
(Cost $9,709) ($ Thousands) 9,822
----------------
U.S. TREASURY OBLIGATION (B) -- 0.2%
U.S. Treasury Bills
4.281%, 05/25/06 2,210 2,196
----------------
Total U.S. Treasury Obligation
(Cost $2,196) ($ Thousands) 2,196
----------------
CORPORATE OBLIGATIONS (E) -- 0.1%
FINANCIALS -- 0.1%
Shinsei Finance Cayman
6.418%, 01/29/49 400 394
Washington Mutual Preferred Funding
6.534%, 03/15/49 400 387
----------------
Total Corporate Obligations
(Cost $800) ($ Thousands) 781
----------------
PURCHASED OPTIONS -- 0.0%
December 2006 1-Year Euro
Mid-CRV Future Call,
Expires 12/16/06, Strike Price $95* 98 53
----------------
Total Purchased Options
(Cost $76) ($ Thousands) 53
----------------
Total Investments -- 110.9%
(Cost $1,010,576) ($ Thousands) 1,028,512
----------------
COMMON STOCK SOLD SHORT -- (6.2)%
CONSUMER DISCRETIONARY -- (1.4)%
Amazon.com* (20,500) (748)
Cooper Tire & Rubber (23,266) (334)
Dreamworks Animation SKG* (37,446) (990)
Gentex (94,458) (1,649)
- --------------------------------------------------------------------------------
12 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Interpublic Group (96,700) $ (924)
Las Vegas Sands* (3,798) (215)
Lee Enterprises (9,518) (317)
New York Times, Cl A (35,266) (893)
OfficeMax (37,547) (1,133)
Sirius Satellite Radio* (152,808) (776)
Tiffany (27,736) (1,041)
Urban Outfitters* (27,100) (665)
Weight Watchers International (9,100) (468)
XM Satellite Radio, Cl A* (130,680) (2,910)
----------------
(13,063)
----------------
CONSUMER STAPLES -- (0.1)%
WM Wrigley Jr (15,473) (990)
----------------
ENERGY -- (1.1)%
Cameco (32,300) (1,163)
Cheniere Energy* (22,800) (925)
Enbridge (32,100) (927)
FMC Technologies* (12,500) (640)
Forest Oil* (6,627) (246)
Kinder Morgan (44,162) (4,062)
Massey Energy (13,900) (501)
Overseas Shipholding Group (14,770) (708)
Plains Exploration& Production* (5,637) (218)
Quicksilver Resources* (27,500) (1,063)
----------------
(10,453)
----------------
FINANCIALS -- (1.2)%
AMBAC Financial Group (18,886) (1,503)
Chicago Mercantile Exchange
Holdings (2,655) (1,188)
Commerce Bancorp (27,700) (1,015)
Hudson City Bancorp (199,913) (2,657)
New Century Financial+ (7,112) (327)
New York Community Bancorp (17,082) (299)
PartnerRe (7,900) (491)
St Joe (31,577) (1,984)
Xl Capital, Cl A (20,416) (1,309)
----------------
(10,773)
----------------
HEALTH CARE -- (0.5)%
Affymetrix* (23,600) (777)
American Pharmceutical Partners* (11,639) (332)
ImClone Systems* (37,273) (1,268)
OSI Pharmaceuticals* (14,160) (455)
Patterson* (27,200) (957)
Pharmaceutical Product Development (10,146) (351)
Sepracor* (8,300) (405)
----------------
(4,545)
----------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
INDUSTRIALS -- (0.6)%
Alexander & Baldwin (16,100) $ (768)
Chicago Bridge & Iron-
New York Shares (17,200) (413)
Covanta Holdings* (56,900) (949)
Foster Wheeler* (10,900) (516)
Jetblue Airways* (79,085) (848)
Joy Global (149) (9)
Pall (47,137) (1,470)
UTI Worldwide (28,500) (901)
----------------
(5,874)
----------------
INFORMATION TECHNOLOGY -- (1.0)%
Activision* (62,700) (865)
Akamai Technologies* (21,000) (691)
Diebold (12,900) (530)
F5 Networks* (14,226) (1,031)
International Rectifier* (24,900) (1,032)
Kla-Tencor (9,072) (439)
Linear Technology (25,420) (892)
Novellus Systems* (22,936) (550)
Paychex (14,956) (623)
PMC - Sierra* (43,930) (540)
Rambus* (15,600) (614)
Red Hat* (5,601) (157)
Salesforce.com* (6,815) (248)
SanDisk* (3,229) (186)
Teradyne* (28,500) (442)
----------------
(8,840)
----------------
MATERIALS -- (0.2)%
Air Products & Chemicals (7,609) (511)
Cabot (10,606) (360)
Cytec Industries (12,330) (739)
----------------
(1,610)
----------------
UTILITIES -- (0.1)%
Aqua America (32,143) (894)
Pinnacle West Capital (6,682) (261)
Reliant Energy* (16,919) (179)
----------------
(1,334)
----------------
Total Common Stock Sold Short
(Proceeds $(57,546) ($ Thousands) (57,482)
----------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 13
STATEMENT OF NET ASSETS (Unaudited)
LARGE CAP DIVERSIFIED ALPHA FUND (Concluded)
March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Contracts ($ Thousands)
- --------------------------------------------------------------------------------
WRITTEN OPTIONS -- 0.0%
December 2006 Euro 2-Year
Mid-CRV Future Call,
Expires 12/15/06, Strike Price $95* (98) $ (45)
----------------
Total Written Options
(Premium Received $(69)) ($ Thousands) (45)
----------------
OTHER ASSETS AND LIABILITIES -- (4.7)%
Payable for Investment Securities Purchased (46,140)
Investment Advisory Fees Payable (301)
Administration Fees Payable (269)
Shareholder Servicing Fees Payable (148)
Payable for Fund Shares Redeemed (47)
Other Assets and Liabilities, Net 3,303
----------------
Total Other Assets and Liabilities (43,602)
----------------
Net Assets -- 100.0% $ 927,383
================
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $ 905,462
Undistributed net investment income 162
Accumulated net realized gain on investments,
option contracts, futures contracts, swap
contracts and foreign currency 2,312
Net unrealized appreciation on investments,
securities sold short and option contracts 18,024
Net unrealized appreciation on total return swaps 113
Net unrealized appreciation on forward foreign
currency contracts, foreign currencies and
translation of other assets and liabilities
denominated in foreign currencies 5
Net unrealized appreciation on futures contracts 1,305
----------------
Net Assets $ 927,383
================
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($927,383,107 / 90,510,214 shares) $10.25
=======
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Futures -- A summary of the open futures contracts held by the fund at March 31,
2006, is as follows: (see Note 2 in Notes to Financial Statements)
- --------------------------------------------------------------------------------
UNREALIZED
APPRECIATION
TYPE OF NUMBER OF EXPIRATION (DEPRECIATION)
CONTRACT CONTRACTS DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
S&P 500 Composite Index 453 June 2006 $ 920
S&P 500 Composite Index 138 June 2006 367
U.S. 5-Year Note (CBT) (24) June 2006 14
U.S. T-Bond (CBT) 18 June 2006 (68)
U.S. 10-Year Note (28) June 2006 11
U.S. 2-Year Note (CBT) (7) July 2006 5
90-Day Euro$ (24) March 2010 9
90-Day Euro$ (13) March 2011 3
90-Day Euro$ (25) March 2007 9
90-Day Euro$ (25) March 2008 8
90 Day Euro$ (25) March 2009 8
90-Day Euro$ (24) June 2010 9
90-Day Euro$ 75 June 2006 (66)
90-Day Euro$ (25) June 2007 9
90-Day Euro$ (25) June 2008 8
90-Day Euro$ (25) June 2009 8
90-Day Euro$ (24) September 2010 10
90-Day Euro$ (25) September 2006 6
90-Day Euro$ (25) September 2007 8
90-Day Euro$ (25) September 2008 8
90-Day Euro$ (25) September 2009 8
90-Day Euro$ (24) December 2010 10
90-Day Euro$ 67 December 2006 (24)
90-Day Euro$ (25) December 2007 8
90-Day Euro$ (25) December 2008 8
90-Day Euro$ (25) December 2009 9
------
$1,305
======
Swaps -- At March 31, 2006, the following Total Return Swap agreements were
outstanding: (See Note 2 in Notes to Financial Statements)
- -----------------------------------------------------------------------------------
NOTIONAL NET UNREALIZED
EXPIRATION AMOUNT APPRECIATION
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- -----------------------------------------------------------------------------------
The Fund receives payment on the monthly
reset spread from Banc of America -
CMBS BBB Index plus 15 basis points
times the notional amount. The Fund
receives payment if the return on the
spread appreciates over the payment
period and pays if the return on the
spread depreciates over the payment
period.
(Counter Party: Bank of America) 06/30/06 $ 4,000 $ 55
The Fund receives payment on the monthly
reset spread from Banc of America -
CMBS AAA10Yr Index plus 15 basis points
times the notional amount. The Fund
receives payment if the return on the
spread appreciates over the payment
period and pays if the return on the
spread depreciates over the payment.
(Counter Party: Bank of America) 07/31/06 35,000 31
The Fund receives payment on the monthly
reset spread from Lehman Brothers -
CMBS AAA 8.5+Index less 15 basis points
times the notional amount. The Fund
receives payment if the return on the
spread appreciates over the payment
period and pays if the return on the
spread depreciates over the payment
period.
(Counter Party: Goldman Sachs) 07/01/06 15,000 27
- --------------------------------------------------------------------------------
$ 113
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
14 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
* Non-income producing security.
** Rate shown is the 7-day effective yield as of March 31, 2006.
+ Real Estate Investment Trust
++ Investment in Affiliated Registered Investment Company (See Note 3)
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(B) The rate reported is the effective yield at time of purchase.
(C) Variable Rate Security -- The rate reported on the Statement of Net
Assets is the rate in effect as of March 31, 2006.
(D) All or a portion of this security is held as collateral for securities
sold short.
(E) Securities sold within the terms of 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) Zero-coupon security. The rate reported is the effective yield at time of
purchase.
(G) Step Bonds -- The rate reflected on the Statement of Net Assets is the
effective yield on March 31, 2006. The coupon on a step bond changes on a
specific date.
CBT -- Chicago Board of Trade
Cl -- Class
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
IO -- Interest Only
LLC -- Limited Liability Company
NIM -- Net Interest Margin
Ser -- Series
STRIP -- Separately Traded Registered Interest and Principal Securities
TBA -- To Be Announced
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 15
STATEMENT OF NET ASSETS (Unaudited)
TAX-MANAGED LARGE CAP FUND
March 31, 2006
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS#:
[THE FOLLOWING WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
25.3% Financials
16.0% Information Technology
11.4% Consumer Discretionary
11.0% Health Care
9.0% Energy
7.0% Industrials
6.8% Consumer Staples
4.2% Short-Term Investments
3.2% Telecommunication Services
2.6% Materials
2.5% Utilities
0.9% Asset-Backed Securities
0.1% 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 -- 97.9%
CONSUMER DISCRETIONARY -- 12.5%
Abercrombie & Fitch, Cl A 22,100 $ 1,288
Amazon.com (B)* 7,700 281
American Eagle Outfitters 31,100 929
American Greetings, Cl A (B) 5,000 108
Apollo Group, Cl A (B)* 201,645 10,588
Autonation (B)* 18,800 405
Autoliv 56,200 3,180
Autozone* 3,200 319
Barnes & Noble 22,100 1,022
Beazer Homes USA 10,600 696
Bed Bath & Beyond* 69,091 2,653
Belo, Cl A 1,100 22
Best Buy (B) 15,375 860
Big Lots (B)* 6,400 89
Black & Decker 1,500 130
Borders Group 39,400 995
BorgWarner 24,500 1,471
Brinker International 3,100 131
Brunswick 2,700 105
Cablevision Systems, Cl A* 19,800 529
Career Education* 4,727 178
Carmax* 4,080 133
Carnival 98,199 4,652
Cavco Industries* 260 13
CBRL Group 5,000 220
CBS, Cl B 63,269 1,517
CEC Entertainment* 3,000 101
Centex 15,600 967
Cheesecake Factory (B)* 2,250 84
CKX* 14,000 183
Claire's Stores 23,700 861
Clear Channel Communications 9,100 264
Coach* 7,200 249
Comcast, Cl A* 216,683 5,668
Comcast, Special Cl A* 9,400 246
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Cumulus Media, Cl A* 4,800 $ 54
Dana (B) 48,000 73
Darden Restaurants* 57,100 2,343
DeVry* 2,042 47
Dick's Sporting Goods* 3,000 119
Dillard's, Cl A 4,800 125
DIRECTV Group* 29,965 491
Discovery Holding, Cl A (B)* 9,560 143
Dolby Laboratories, Cl A* 9,200 192
Dollar General 6,800 120
Dollar Tree Stores* 6,300 174
Dow Jones (B) 900 35
DR Horton 15,533 516
DreamWorks Animation SKG, Cl A* 11,200 296
Eastman Kodak (B) 58,500 1,664
EchoStar Communications, Cl A* 10,700 320
Education Management* 1,400 58
Ethan Allen Interiors (B) 30,500 1,282
Expedia* 6,870 139
Federated Department Stores 36,492 2,664
Foot Locker 10,700 256
Ford Motor 366,800 2,920
Fortune Brands 72,382 5,836
Furniture Brands International 1,800 44
GameStop, Cl A (B)* 2,900 137
GameStop, Cl B* 722 31
Gannett 60,100 3,601
Gap 25,900 484
Gentex 9,000 157
Genuine Parts 9,900 434
Goodyear Tire & Rubber (B)* 58,400 846
H&R Block 13,600 294
Harley-Davidson 12,500 649
Harrah's Entertainment 78,869 6,149
Hasbro 46,600 983
Hearst-Argyle Television 1,400 33
Hilton Hotels 16,500 420
Home Depot 107,600 4,552
IAC/InterActive (B)* 6,870 203
International Game Technology 412,400 14,525
Interpublic Group (B)* 20,600 197
ITT Educational Services (B)* 1,200 77
J.C. Penney 54,700 3,304
Johnson Controls 26,000 1,974
Jones Apparel Group 21,100 746
KB Home (B) 10,400 676
Knight Ridder 2,400 152
Kohl's (B)* 71,080 3,768
Lamar Advertising, Cl A (B)* 70,439 3,707
Lear (B) 20,100 356
Leggett & Platt (B) 68,800 1,677
Lennar, Cl A (B) 20,200 1,220
Lennar, Cl B 520 29
Liberty Global, Cl A* 4,780 98
- --------------------------------------------------------------------------------
16 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Liberty Global, Ser C (B)* 4,780 $ 94
Liberty Media, Cl A* 196,200 1,611
Limited Brands (B) 63,100 1,543
Live Nation 7,720 153
Liz Claiborne 3,400 139
Lowe's 157,717 10,163
Marriott International, Cl A 90,584 6,214
Mattel 108,500 1,967
Maytag 46,700 996
McClatchy, Cl A (B) 1,900 93
McDonald's 430,862 14,804
McGraw-Hill 273,061 15,734
MGM Mirage (B)* 278,270 11,991
Mohawk Industries* 1,900 153
Newell Rubbermaid 3,800 96
News, Cl A* 86,088 1,430
Nike, Cl B 64,063 5,452
Nordstrom 9,800 384
NVR* 1,000 739
O'Reilly Automotive (B)* 3,600 132
Office Depot (B)* 35,900 1,337
OfficeMax 1,200 36
Omnicom Group 35,617 2,965
Outback Steakhouse 2,800 123
Petsmart 3,400 96
Pulte Homes 20,000 768
Regal Entertainment Group, Cl A (B) 7,100 134
Ross Stores 5,200 152
Ruby Tuesday 2,600 83
Saks (B)* 29,950 578
Sears Holdings* 5,381 709
ServiceMaster (B) 14,400 189
Shaw Communications, Cl B* 42,300 1,011
Sherwin-Williams 45,100 2,230
Sirius Satellite Radio (B)* 33,514 170
Snap-On 3,900 149
Stanley Works (B) 24,700 1,251
Staples 731,050 18,656
Starbucks* 40,600 1,528
Starwood Hotels & Resorts Worldwide 6,300 427
Target (B) 106,900 5,560
Tempur-Pedic International (B)* 7,100 101
Tiffany (B) 2,600 98
Time Warner 1,104,367 18,542
TJX 24,000 596
Tribune (B) 36,900 1,012
Univision Communications, Cl A* 307,431 10,597
VF 48,700 2,771
Viacom, Cl B* 175,601 6,813
Walt Disney (B)* 176,400 4,920
Washington Post, Cl B 200 155
Weight Watchers International* 175,825 9,037
Wendy's International 18,600 1,154
Whirlpool 22,000 2,012
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Williams-Sonoma (B)* 4,000 $ 170
Wynn Resorts (B)* 2,200 169
XM Satellite Radio Holdings,
Cl A (B)* 507,900 11,311
Yum! Brands 9,600 469
----------------
294,494
----------------
CONSUMER STAPLES -- 7.4%
Albertson's 61,100 1,568
Altria Group 219,500 15,554
Anheuser-Busch 32,200 1,377
Archer-Daniels-Midland 41,457 1,395
Avon Products (B) 22,400 698
BJ's Wholesale Club (B)* 16,900 532
Brown-Forman, Cl B 2,400 185
Campbell Soup 83,300 2,699
Clorox 7,900 473
Coca-Cola 149,401 6,255
Coca-Cola Enterprises 9,500 193
Colgate-Palmolive 110,872 6,331
ConAgra Foods (B) 32,100 689
Constellation Brands, Cl A* 6,000 150
Costco Wholesale 53,869 2,918
CVS 29,800 890
Dean Foods* 42,021 1,632
Del Monte Foods 121,900 1,446
Energizer Holdings (B)* 17,400 922
Estee Lauder, Cl A 117,987 4,388
General Mills 55,200 2,798
Hershey (B) 86,190 4,502
HJ Heinz 3,500 133
Hormel Foods 4,000 135
Kellogg 12,500 550
Kimberly-Clark 37,100 2,144
Kraft Foods, Cl A 6,700 203
Kroger* 117,100 2,384
Loews - Carolina Group 5,300 251
McCormick 4,200 142
Molson Coors Brewing, Cl B 10,900 748
Pepsi Bottling Group (B) 33,200 1,009
PepsiAmericas 38,200 934
PepsiCo 376,287 21,746
Procter & Gamble 515,436 29,699
Reynolds American (B) 64,400 6,794
Safeway 40,634 1,021
Sara Lee 34,800 622
Smithfield Foods* 2,700 79
Supervalu (B) 79,200 2,441
Sysco (B) 26,900 862
TreeHouse Foods* 564 15
Tyson Foods, Cl A 54,645 751
UST 10,000 416
Wal-Mart Stores 451,720 21,339
Walgreen (B) 383,900 16,558
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 17
STATEMENT OF NET ASSETS (Unaudited)
TAX-MANAGED LARGE CAP FUND (Continued)
March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Whole Foods Market 5,000 $ 332
WM Wrigley Jr. (B) 89,386 5,721
----------------
174,624
----------------
ENERGY -- 10.0%
Amerada Hess 12,200 1,737
Anadarko Petroleum 45,600 4,606
Apache 10,342 677
Baker Hughes 182,670 12,495
BJ Services 6,200 215
Burlington Resources 30,300 2,785
Chesapeake Energy 78,010 2,450
Chevron 357,407 20,719
Cimarex Energy (B)* 2,285 99
ConocoPhillips (B) 315,890 19,948
Consol Energy 2,800 208
Cooper Cameron* 900 40
Cross Timbers Royalty Trust 105 5
Devon Energy (B) 105,290 6,441
El Paso (B) 147,400 1,776
EnCana 51,900 2,425
ENSCO International 12,200 628
Exxon Mobil 1,173,282 71,406
Forest Oil* 2,300 85
GlobalSantaFe 9,400 571
Grant Prideco* 9,100 390
Halliburton 161,958 11,826
Helmerich & Payne 4,300 300
Kerr-McGee 6,500 621
Kinder Morgan (B) 4,500 414
Marathon Oil 97,267 7,409
Mariner Energy* 1,861 38
Massey Energy 3,000 108
Murphy Oil 15,600 777
Nabors Industries (B)* 7,900 565
National Oilwell Varco* 10,430 669
Newfield Exploration* 10,200 427
Noble Energy 20,400 896
Occidental Petroleum 105,700 9,793
Patterson-UTI Energy 14,000 447
Peabody Energy 8,800 444
Petro-Canada 27,000 1,285
Pioneer Natural Resources 9,900 438
Pogo Producing 6,900 347
Pride International* 9,000 281
Rowan (B)* 11,200 492
Schlumberger (B) 184,178 23,311
Smith International (B) 14,400 561
Suncor Energy 133,594 10,289
Sunoco 27,500 2,133
Talisman Energy 27,000 1,436
Teekay Shipping 32,800 1,216
Tidewater 1,900 105
Unit* 9,600 535
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Valero Energy 74,930 $ 4,479
Western Gas Resources 19,000 917
Williams 10,500 225
XTO Energy 23,776 1,036
----------------
233,526
----------------
FINANCIALS -- 21.4%
21st Century Insurance Group 9,000 142
A.G. Edwards 20,000 997
Affiliated Managers Group (B)* 1,350 144
Aflac 19,300 871
Allstate 175,100 9,124
AMB Property+ 3,400 185
AMBAC Financial Group 33,900 2,698
American Express 233,199 12,255
American International Group 361,923 23,920
AmeriCredit (B)* 5,700 175
Ameriprise Financial 10,100 455
AmerUs Group (B) 1,200 72
AmSouth Bancorp 122,100 3,303
AON 40,700 1,689
Archstone-Smith Trust 9,100 444
Arden Realty+ 1,400 63
Arthur J Gallagher 1,900 53
Assurant 6,100 300
Astoria Financial 78,900 2,443
Axis Capital Holdings 70,650 2,112
Bank of America 951,625 43,337
Bank of Hawaii 5,200 277
Bank of New York 57,600 2,076
BB&T 90,800 3,559
Bear Stearns 25,800 3,578
Boston Properties 3,200 298
Brookfield Properties 48,000 1,639
Capital One Financial 8,144 656
CarrAmerica Realty+ 3,400 152
CB Richard Ellis Group, Cl A (B)* 24,900 2,009
Charles Schwab 550,793 9,479
Chicago Mercantile Exchange
Holdings (B) 33,200 14,857
Chubb 45,200 4,314
Cincinnati Financial 44,004 1,851
CIT Group 82,100 4,394
Citigroup 954,762 45,093
Citizens Banking 1,800 48
Comerica 80,000 4,638
Commerce Bancorp (B) 29,200 1,070
Compass Bancshares 4,000 202
Countrywide Financial 65,698 2,411
Crescent Real Estate Equities+ 2,000 42
Duke Realty+ (B) 11,100 421
E*Trade Financial* 3,700 100
Equity Office Properties Trust 44,600 1,498
Equity Residential (B) 17,900 838
- --------------------------------------------------------------------------------
18 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Erie Indemnity, Cl A 7,000 $ 369
Fannie Mae (B) 81,681 4,198
Fidelity National Financial 9,543 339
Fidelity National Title Group, Cl A (B) 10,670 243
First American 38,500 1,508
First Horizon National (B) 32,300 1,345
FirstMerit 5,200 128
Franklin Resources 12,800 1,206
Freddie Mac 277,337 16,918
General Growth Properties+ (B) 3,500 171
Genworth Financial, Cl A 19,600 655
Golden West Financial (B) 63,281 4,297
Goldman Sachs Group (B) 40,700 6,388
Greater Bay Bancorp 3,700 103
Hanover Insurance Group 15,400 807
Hartford Financial Services Group 65,000 5,236
HCC Insurance Holdings 3,000 104
Highwoods Properties+ (B) 1,500 51
Host Marriott+ 29,609 634
Huntington Bancshares 121,500 2,932
Independence Community Bank 11,800 492
IndyMac Bancorp (B) 36,100 1,478
Investment Technology Group (B)* 2,400 120
iStar Financial+ (B) 5,400 207
Janus Capital Group (B) 21,900 507
Jefferson-Pilot (B) 22,300 1,247
Jones Lang LaSalle 14,700 1,125
JPMorgan Chase 746,520 31,085
Keycorp 190,400 7,007
Kimco Realty 3,200 130
Legg Mason 9,300 1,166
Lehman Brothers Holdings 76,769 11,095
Liberty Property Trust+ 3,300 156
Lincoln National 50,100 2,735
Loews 32,200 3,259
M&T Bank (B) 25,900 2,956
Macerich+ (B) 1,300 96
Manulife Financial 9,245 580
Mack-Cali Realty+ 4,800 230
Marsh & McLennan (B) 14,707 432
Marshall & Ilsley 9,200 401
MBIA 28,100 1,690
Mellon Financial 25,100 894
Mercantile Bankshares 1,950 75
Merrill Lynch 248,500 19,572
Metlife (B) 65,000 3,144
MGIC Investment 29,200 1,946
Mills+ 2,222 62
Moody's 287,231 20,526
Morgan Stanley 232,900 14,631
National City (B) 236,600 8,257
Nationwide Financial Services, Cl A 25,400 1,093
Nelnet, Cl A* 6,400 267
New York Community Bancorp 4,474 78
North Fork Bancorporation 54,528 1,572
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Northern Trust (B) 5,700 $ 299
Nuveen Investments, Cl A 2,400 116
Old Republic International 42,937 937
Peoples Bank 4,500 147
Phoenix 22,400 365
Piper Jaffray* 732 40
Plum Creek Timber 7,800 288
PMI Group 53,800 2,471
PNC Financial Services Group 91,700 6,172
Popular 31,000 644
Principal Financial Group (B) 91,800 4,480
Progressive 7,800 813
Prologis 13,854 741
Protective Life 4,000 199
Prudential Financial (B) 68,700 5,208
Public Storage 4,100 333
Radian Group 32,300 1,946
Raymond James Financial 4,050 120
Regency Centers+ 1,700 114
Regions Financial 128,779 4,529
Reinsurance Group of America (B) 28,000 1,324
Safeco 58,100 2,917
Simon Property Group (B) 7,100 597
SLM 21,900 1,138
Sovereign Bancorp 15,600 342
St. Joe 2,900 182
St. Paul Travelers 189,707 7,928
State Street 4,510 273
SunTrust Banks (B) 45,000 3,274
SVB Financial Group (B)* 3,100 164
Synovus Financial 1,800 49
T Rowe Price Group 5,000 391
TCF Financial 4,400 113
TD Ameritrade Holding* 8,700 182
TD Banknorth 2,254 66
Toronto-Dominion Bank 1,081 60
Thornburg Mortgage+ (B) 6,500 176
Torchmark (B) 4,900 280
UnionBanCal 25,100 1,761
Unitrin 1,100 51
UnumProvident (B) 52,200 1,069
US Bancorp 456,561 13,925
Vornado Realty Trust (B) 3,000 288
Wachovia (B) 343,292 19,242
Waddell & Reed Financial, Cl A (B) 7,800 180
Washington Mutual (B) 185,775 7,918
Weingarten Realty Investors+ 1,400 57
Wells Fargo 113,200 7,230
Whitney Holding 2,400 85
Willis Group Holdings 50,287 1,723
WR Berkley 23,300 1,353
XL Capital, Cl A 8,200 526
Zions Bancorporation 1,600 132
----------------
503,183
----------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 19
STATEMENT OF NET ASSETS (Unaudited)
TAX-MANAGED LARGE CAP FUND (Continued)
March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
HEALTH CARE -- 12.1%
Abbott Laboratories 56,600 $ 2,404
Advanced Medical Optics* 2,444 114
Aetna 48,600 2,388
Affymetrix* 3,200 105
Alcon 3,800 396
Allergan (B) 138,909 15,072
American Pharmaceutical Partners* 1,800 51
AmerisourceBergen (B) 81,576 3,938
Amgen* 273,058 19,865
AMN Healthcare Services* 7,200 135
Applera - Applied Biosystems Group 42,800 1,162
Barr Pharmaceuticals* 3,300 208
Bausch & Lomb 1,500 96
Baxter International 22,100 858
Beckman Coulter (B) 1,200 65
Becton Dickinson 7,900 486
Biogen Idec* 10,440 492
Biomet (B)* 10,050 357
Boston Scientific (B)* 34,400 793
Bristol-Myers Squibb 111,400 2,742
C.R. Bard 3,800 258
Cardinal Health 32,930 2,454
Caremark Rx* 233,488 11,483
Celgene (B)* 8,000 354
Cigna 24,700 3,226
Coventry Health Care* 2,248 121
Cytyc* 6,000 169
Dade Behring Holdings 27,800 993
DaVita* 4,650 280
Dentsply International 900 52
Eli Lilly 202,874 11,219
Emdeon* 20,600 222
Express Scripts* 3,000 264
Fisher Scientific International (B)* 73,803 5,022
Forest Laboratories* 13,600 607
Genentech* 338,716 28,625
Genzyme* 8,700 585
Gilead Sciences* 24,000 1,493
Guidant 13,700 1,069
HCA 40,600 1,859
Health Management Associates, Cl A 14,000 302
Health Net* 3,200 163
Hospira* 4,710 186
Humana* 8,600 453
ICOS* 2,300 51
ImClone Systems (B)* 2,400 82
IMS Health 3,944 102
Invitrogen (B)* 2,700 189
Johnson & Johnson 207,009 12,259
King Pharmaceuticals* 133,500 2,303
Laboratory of America Holdings (B)* 5,300 310
Lincare Holdings (B)* 3,500 136
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Manor Care 3,700 $ 164
McKesson 39,552 2,062
Medco Health Solutions* 86,639 4,957
Medicis Pharmaceutical, Cl A 2,000 65
Medimmune* 74,560 2,727
Medtronic 363,522 18,449
Merck 442,535 15,590
Millennium Pharmaceuticals* 7,900 80
Millipore* 1,400 102
Mylan Laboratories 106,700 2,497
Omnicare (B) 2,544 140
Patterson (B)* 5,000 176
PerkinElmer 23,900 561
Pfizer 1,358,531 33,855
Pharmaceutical Product Development 8,600 298
Quest Diagnostics 4,800 246
Schering-Plough 52,462 996
Sepracor* 1,700 83
St. Jude Medical* 30,600 1,255
STERIS 5,400 133
Stryker 252,423 11,192
Thermo Electron* 7,000 260
UnitedHealth Group 341,892 19,098
Universal Health Services, Cl B 18,100 919
Valeant Pharmaceuticals International 12,000 190
Varian Medical Systems (B)* 1,600 90
Waters (B)* 5,800 250
Watson Pharmaceuticals (B)* 10,600 305
WellPoint* 22,348 1,730
Wyeth 211,225 10,249
Zimmer Holdings* 258,671 17,486
----------------
284,823
----------------
INDUSTRIALS -- 7.7%
3M 117,124 8,865
ACCO Brands* 963 21
AGCO* 1,800 37
Allied Waste Industries (B)* 13,709 168
American Power Conversion 7,400 171
American Standard 7,200 309
AMR (B)* 11,500 311
Avery Dennison 2,400 140
Boeing 42,203 3,289
Brink's 1,300 66
Burlington Northern Santa Fe 55,300 4,608
Caterpillar 28,600 2,054
Cendant 146,100 2,535
CH Robinson Worldwide 6,400 314
ChoicePoint* 2,600 116
CNF 18,500 924
Continental Airlines, Cl B (B)* 4,900 132
Crane 1,700 70
CSX 59,400 3,552
- --------------------------------------------------------------------------------
20 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Cummins (B) 24,500 $ 2,575
Danaher 10,200 648
Deere 25,600 2,024
Dover 6,100 296
Dun & Bradstreet* 1,600 123
Eaton 50,400 3,678
Emerson Electric 15,000 1,254
Equifax 7,600 283
Expeditors International
Washington (B) 193,400 16,708
Fastenal 5,600 265
FedEx 13,400 1,513
Flowserve* 12,000 700
Fluor 1,500 129
GATX 3,200 132
General Dynamics 45,600 2,918
General Electric 986,767 34,320
Goodrich 7,900 345
Harsco 2,300 190
Herman Miller 1,900 62
Honeywell International 143,000 6,116
Hubbell, Cl B 16,200 830
Hudson Highland Group* 1,500 28
IKON Office Solutions 5,300 76
Illinois Tool Works 31,808 3,063
ITT Industries 8,000 450
Jacobs Engineering Group* 1,040 90
JetBlue Airways (B)* 9,900 106
Laidlaw International 64,000 1,741
Lockheed Martin 56,000 4,207
Manpower 2,200 126
Masco (B) 73,900 2,401
Monster Worldwide (B)* 10,000 499
MSC Industrial Direct, Cl A 4,000 216
Navistar International (B)* 31,900 880
Norfolk Southern 69,700 3,769
Northrop Grumman 107,134 7,316
Paccar 8,475 597
Pall 9,500 296
Parker Hannifin 16,700 1,346
Pentair (B) 4,800 196
PHH* 1,915 51
Pitney Bowes 8,900 382
Raytheon 80,700 3,699
Republic Services 6,400 272
Robert Half International 5,800 224
Rockwell Automation 6,000 432
Rockwell Collins 18,300 1,031
RR Donnelley & Sons 77,200 2,526
Ryder System 19,800 887
Shaw Group* 3,100 94
SIRVA* 12,900 110
Skywest 8,800 258
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Southwest Airlines 37,900 $ 682
SPX 29,600 1,581
Steelcase, Cl A 8,900 160
Swift Transportation* 2,900 63
Textron 24,100 2,251
Timken 27,500 887
Union Pacific 13,500 1,260
United Parcel Service, Cl B 275,807 21,894
United Rentals (B)* 43,200 1,490
United Technologies 111,012 6,435
Viad 850 29
Waste Management 95,400 3,368
West* 2,600 116
WW Grainger 4,800 362
----------------
180,738
----------------
INFORMATION TECHNOLOGY -- 17.6%
3Com* 12,800 66
Acxiom 2,400 62
Adobe Systems* 30,012 1,048
Advanced Micro Devices* 12,900 428
Advent Software* 2,800 80
Affiliated Computer Services, Cl A* 4,200 251
Agilent Technologies* 14,100 529
Akamai Technologies (B)* 12,800 421
Altera (B)* 12,800 264
Amkor Technology (B)* 16,800 145
Amphenol, Cl A 2,200 115
Analog Devices 22,100 846
Andrew (B)* 18,500 227
Apple Computer* 25,600 1,606
Applied Materials* 43,416 760
Arrow Electronics (B)* 53,900 1,739
Autodesk 8,200 316
Automatic Data Processing 26,200 1,197
Avaya* 15,100 171
Avnet (B)* 62,000 1,574
AVX (B) 9,900 175
BEA Systems* 19,700 259
BearingPoint (B)* 12,900 110
BMC Software (B)* 8,900 193
Broadcom, Cl A* 21,900 945
CA 24,600 669
Cadence Design Systems (B)* 14,800 274
CDW (B) 3,590 211
Ceridian* 2,963 75
Checkfree (B)* 3,200 162
Cisco Systems* 842,763 18,263
Citrix Systems (B)* 28,500 1,080
Cognizant Technology Solutions, Cl A* 4,456 265
Computer Sciences* 44,200 2,455
Compuware* 7,524 59
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 21
STATEMENT OF NET ASSETS (Unaudited)
TAX-MANAGED LARGE CAP FUND (Continued)
March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Comverse Technology* 21,100 $ 496
Convergys* 112,700 2,052
Corning* 36,800 990
Cree (B)* 1,800 59
CSG Systems International* 8,100 188
Cypress Semiconductor* 12,500 212
Dell* 278,803 8,297
Diebold 5,800 238
DST Systems (B)* 1,700 98
eBay (B)* 561,026 21,914
Electronic Arts* 139,642 7,641
Electronic Data Systems 56,700 1,521
EMC* 446,346 6,084
Fair Isaac 25,750 1,020
Fairchild Semiconductor
International* 3,400 65
Fidelity National Information Services 1,400 57
First Data 668,726 31,310
Fiserv* 25,950 1,104
Flextronics International* 16,800 174
Freescale Semiconductor, Cl B* 62,034 1,723
Global Payments 4,000 212
Google, Cl A* 63,675 24,833
Harris 6,000 284
Hewlett-Packard 810,638 26,670
Ingram Micro, Cl A* 96,900 1,938
Integrated Device Technology* 9,200 137
Intel 396,562 7,673
International Business Machines 95,697 7,892
International Rectifier (B)* 1,900 79
Intersil, Cl A (B) 5,500 159
Intuit* 273,047 14,523
Iron Mountain* 6,300 257
Jabil Circuit* 5,300 227
Juniper Networks* 14,300 273
Kemet* 12,000 114
Kla-Tencor (B) 6,100 295
Lam Research* 2,600 112
Lexmark International, Cl A* 55,500 2,519
Linear Technology (B) 194,081 6,808
LSI Logic (B)* 106,512 1,231
Lucent Technologies (B)* 196,300 599
Marvell Technology Group* 7,900 427
Maxim Integrated Products 162,961 6,054
McAfee (B)* 25,900 630
Mettler Toledo International* 2,300 139
Microchip Technology 7,300 265
Micron Technology (B)* 105,900 1,559
Microsoft 1,588,922 43,235
MKS Instruments* 3,500 82
Molex 1,400 46
MoneyGram International 3,400 104
Motorola 94,500 2,165
National Semiconductor 29,200 813
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
NAVTEQ (B)* 225,225 $ 11,408
Network Appliance (B)* 10,900 393
Novell* 7,000 54
Novellus Systems* 10,600 254
Nvidia* 15,700 899
Oracle* 280,883 3,845
Paychex 492,700 20,526
Perot Systems, Cl A* 13,400 209
PMC - Sierra* 6,600 81
Polycom (B)* 11,200 243
QLogic* 8,600 166
Qualcomm 905,532 45,829
Red Hat* 7,600 213
Research In Motion* 89,090 7,562
Reynolds & Reynolds, Cl A 3,400 97
Sabre Holdings, Cl A (B) 49,600 1,167
SanDisk (B)* 246,000 14,150
Sanmina-SCI* 39,700 163
Seagate Technology (B) 375,000 9,874
Semtech (B)* 11,500 206
Silicon Laboratories* 1,600 88
Solectron* 133,300 533
Sun Microsystems* 145,000 744
Sybase (B)* 43,800 925
Symantec* 38,727 652
Symbol Technologies 7,600 80
Synopsys* 47,777 1,068
Tech Data* 16,886 623
Tektronix 3,200 114
Tellabs* 55,300 879
Teradyne (B)* 18,800 292
Texas Instruments 58,700 1,906
VeriSign* 14,900 357
Western Digital* 35,400 688
Xerox (B)* 164,700 2,503
Xilinx 22,000 560
Yahoo! (B)* 269,553 8,696
Zebra Technologies, Cl A* 900 40
----------------
412,724
----------------
MATERIALS -- 2.9%
Agrium 4,500 114
Air Products & Chemicals 9,900 665
Alcoa 132,000 4,034
Allegheny Technologies 5,710 349
Ashland 17,700 1,258
Ball 1,400 61
Bemis (B) 27,800 878
Crown Holdings* 6,000 106
Dow Chemical 85,056 3,453
E.I. Du Pont de Nemours 138,900 5,863
Eagle Materials (B) 12,945 825
Eagle Materials 1,161 74
- --------------------------------------------------------------------------------
22 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Eastman Chemical 36,500 $ 1,868
Ecolab 11,200 428
Engelhard 7,700 305
Florida Rock Industries 1,800 101
Freeport-McMoRan Copper &
Gold, Cl B 5,100 305
Hercules* 6,500 90
International Flavors & Fragrances 6,200 213
International Paper 15,900 550
IPSCO 2,800 292
Lafarge North America 3,100 260
Louisiana-Pacific (B) 35,600 968
Lubrizol 58,900 2,524
Lyondell Chemical 28,200 561
Martin Marietta Materials 28,900 3,093
MeadWestvaco 60,300 1,647
Monsanto 12,438 1,054
Newmont Mining 16,200 841
Nucor 45,400 4,758
OM Group* 20,900 481
Pactiv* 8,000 196
Phelps Dodge 1,800 145
PPG Industries 87,700 5,556
Praxair 253,440 13,977
Quanex 20,500 1,366
Rohm & Haas 21,000 1,026
RPM International 3,000 54
Sealed Air* 10,500 608
Sigma-Aldrich 2,700 178
Smurfit-Stone Container (B)* 55,600 755
Sonoco Products 18,600 630
Steel Dynamics 15,100 857
Temple-Inland 2,200 98
Tronox, Cl B 1,311 22
United States Steel (B) 3,137 190
Valspar 52,300 1,458
Vulcan Materials 4,100 355
Weyerhaeuser 39,514 2,862
----------------
68,352
----------------
TELECOMMUNICATION SERVICES -- 3.5%
Alltel 16,100 1,043
American Tower, Cl A (B)* 127,244 3,858
AT&T 618,419 16,722
BellSouth 306,700 10,627
CenturyTel 68,000 2,660
Citizens Communications 171,100 2,271
Crown Castle International (B)* 213,112 6,042
Qwest Communications International* 52,061 354
Sprint Nextel 696,291 17,992
Telephone & Data Systems 5,200 205
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Telephone & Data Systems, Special
Shares (B) 5,200 $ 196
US Cellular* 11,000 653
Verizon Communications 580,443 19,770
----------------
82,393
----------------
UTILITIES -- 2.8%
AES* 8,000 136
Allegheny Energy* 12,800 433
Alliant Energy (B) 71,600 2,253
Ameren (B) 5,600 279
American Electric Power (B) 164,700 5,603
Aqua America 2,666 74
Centerpoint Energy (B) 38,600 460
Cinergy 4,800 218
Consolidated Edison 9,400 409
Constellation Energy Group 33,800 1,849
Dominion Resources 21,900 1,512
DTE Energy (B) 86,340 3,461
Duke Energy (B) 160,500 4,679
Edison International 47,100 1,940
Energy East (B) 30,900 751
Entergy 68,700 4,736
Equitable Resources 1,800 66
Exelon 67,000 3,544
FirstEnergy 111,300 5,443
FPL Group 18,600 747
Great Plains Energy (B) 7,100 200
Idacorp 2,900 94
KeySpan 2,000 82
Nicor 4,700 186
NiSource 6,500 131
Northeast Utilities (B) 24,200 473
OGE Energy (B) 7,500 218
Pepco Holdings (B) 126,200 2,876
PG&E 36,000 1,400
Pinnacle West Capital 80,900 3,163
PPL 9,800 288
Progress Energy (B) 59,000 2,595
Public Service Enterprise Group 5,100 327
Puget Energy 11,900 252
Questar 4,200 294
Reliant Energy* 5,362 57
Sempra Energy (B) 61,400 2,853
Southern (B) 27,600 904
TECO Energy 97,000 1,564
TXU 54,600 2,444
Wisconsin Energy 69,000 2,759
Xcel Energy 152,300 2,764
----------------
64,517
----------------
Total Common Stock
(Cost $1,841,068) ($ Thousands) 2,299,374
----------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 23
STATEMENT OF NET ASSETS (Unaudited)
TAX-MANAGED LARGE CAP FUND (Continued)
March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Number of
Warrants
-------------
WARRANTS -- 0.0%
Lucent Technologies, Expires 12/10/07* 9,748 $ 6
----------------
Total Warrants
(Cost $--) ($ Thousands) 6
----------------
CORPORATE OBLIGATIONS (C) -- 5.8%
FINANCIALS -- 5.8%
Allstate Life Global Funding II
MTN (E) (F)
4.769%, 04/13/07 $ 1,747 1,747
American General Finance (E) (F)
4.779%, 04/13/07 5,506 5,505
American General Finance MTN, Ser F
3.945%, 07/14/06 380 387
Bear Stearns, EXL (E)
4.759%, 04/15/07 6,759 6,759
CIT Group MTN (E)
4.750%, 05/12/06 9,492 9,492
4.617%, 04/19/06 949 950
Caterpillar Financial Services MTN,
Ser F (E)
4.680%, 07/10/06 1,899 1,899
Countrywide Financial MTN, Ser A (E)
4.960%, 09/13/06 7,024 7,024
4.770%, 11/03/06 3,987 3,987
Dekabank (E) (F)
4.614%, 02/16/07 7,024 7,023
Irish Life & Permanent MTN,
Ser X (E) (F)
4.808%, 04/21/07 5,050 5,049
Islandsbanki (E) (F)
4.844%, 03/22/07 3,227 3,227
4.720%, 03/07/07 5,695 5,695
Jackson National Life Funding (E) (F)
4.630%, 02/01/07 8,353 8,353
Kaupthing Bank MTN (E) (F)
4.836%, 03/20/07 9,492 9,492
Landsbanki Islands (E) (F)
4.829%, 03/16/07 7,214 7,214
Liberty Lighthouse US Capital
MTN (E) (F)
4.725%, 05/10/06 3,797 3,794
Morgan Stanley EXL (E)
4.721%, 05/04/07 1,329 1,329
Morgan Stanley EXL, Ser S (E)
4.634%, 05/03/07 1,898 1,898
Natexis Banques (E) (F)
4.743%, 04/13/07 3,702 3,701
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
Nationwide Building Society (E) (F)
4.991%, 04/28/07 $ 2,088 $ 2,088
4.700%, 04/05/07 3,797 3,797
Nordbank (E) (F)
4.811%, 04/23/07 6,455 6,453
Northern Rock (E) (F)
4.650%, 05/03/07 3,911 3,911
Pacific Life Global Funding (E) (F)
4.740%, 04/13/07 2,848 2,848
Premium Asset Trust, Ser 2004-06
(E) (F)
4.857%, 06/30/06 3,607 3,610
Premium Asset Trust, Ser 2004-10
(E) (F)
4.759%, 03/15/07 5,316 5,316
SLM EXL, Ser S (E) (F)
4.570%, 03/15/07 4,177 4,177
Sigma Finance MTN (F)
4.680%, 11/09/06 2,050 2,050
Skandinav Enskilda Bank (E) (F)
4.772%, 03/19/07 4,177 4,176
Witherspoon CDO Funding (E) (F)
4.786%, 09/15/06 2,658 2,658
----------------
Total Corporate Obligations
(Cost $135,608) ($ Thousands) 135,609
----------------
CASH EQUIVALENTS -- 2.0%
First Union Cash Management
Program, 4.623% ** 4,826,552 4,827
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 4.560%** ++ 43,134,230 43,134
----------------
Total Cash Equivalents
(Cost $47,961) ($ Thousands) 47,961
----------------
ASSET-BACKED SECURITIES (C) (E) (F) -- 1.0%
MORTGAGE RELATED SECURITIES -- 1.0%
Cheyne High Grade, Ser 2004-1A,
Cl AM1
4.740%, 11/10/06 1,898 1,898
Commodore, Ser 2003-2A, Cl A1MM
4.970%, 12/12/38 1,747 1,747
Duke Funding, Ser 2004-6B, Cl A1S1
4.620%, 04/08/39 2,848 2,848
Harwood Street Funding II, Ser 2005-1A,
Cl NOTE
4.868%, 05/25/06 3,797 3,797
- --------------------------------------------------------------------------------
24 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Orchid Structured Finance CDO,
Ser 2003-1A, Cl A1MM
4.920%, 11/18/38 $ 2,912 $ 2,912
Park Place Securities Trust,
Ser 2004-MM1, Cl AM4
4.858%, 02/25/35 2,712 2,712
RMAC, Ser 2004-NS3A, Cl A1
4.720%, 03/12/25 680 680
Saturn Ventures II
4.730%, 08/07/06 3,543 3,543
TIAA Real Estate CDO, Ser 2003 1A,
Cl A1MM
4.851%, 12/28/18 2,452 2,452
Whitehawk CDO Funding, Ser 2004-1A, Cl AMMD
4.930%, 06/15/06 949 949
Whitehawk CDO Funding, Ser 2004-1A, Cl AMME
4.930%, 09/15/06 569 569
----------------
Total Asset-Backed Securities
(Cost $24,107) ($ Thousands) 24,107
----------------
MASTER NOTES (C) -- 0.6%
Bank of America
4.945%, 04/03/06 9,492 9,492
Bear Stearns
4.995%, 04/03/06 4,556 4,556
----------------
Total Master Notes
(Cost $14,048) ($ Thousands) 14,048
----------------
COMMERCIAL PAPER (C) (D) -- 0.6%
FINANCIALS -- 0.6%
CPI Funding
4.901%, 04/03/06 774 773
Eiffel Funding LLC
4.867%, 04/27/06 570 567
4.767%, 04/28/06 3,797 3,768
Elysian Funding LLC
4.706%, 04/10/06 1,898 1,885
Harbour Funding
4.763%, 04/06/06 2,823 2,817
Harwood Funding
4.881%, 04/03/06 911 911
Thornburg Mortgage Capital Resources
4.781%, 04/19/06 1,898 1,891
Transamerica Securities
4.841%, 04/03/06 447 446
----------------
Total Commercial Paper
(Cost $13,058) ($ Thousands) 13,058
----------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
TIME DEPOSIT (C) -- 0.1%
Societe Generale
4.900%, 04/03/06 $ 3,797 $ 3,797
----------------
Total Time Deposit
(Cost $3,797) ($ Thousands) 3,797
----------------
CERTIFICATE OF DEPOSIT (C) (E) -- 0.1%
US Trust of New York
4.760%, 03/13/07 1,519 1,519
----------------
Total Certificate of Deposit
(Cost $1,519) ($ Thousands) 1,519
----------------
U.S. TREASURY OBLIGATIONS (A) -- 0.1%
U.S. Treasury Bills
4.272%, 05/25/06 1,400 1,391
4.180%, 06/15/06 100 99
----------------
Total U.S. Treasury Obligations
(Cost $1,490) ($ Thousands) 1,490
----------------
REPURCHASE AGREEMENTS (C) -- 1.9%
Barclays
4.790% dated 03/31/06, to be
repurchased on 04/03/06,
repurchase price $21,952,790
(collateralized by various
U.S. Government Obligations,
ranging in par value $1,758,724-
$4,512,995, 0.000%-5.900%,
07/18/06-08/04/25; with total
market value $22,382,944) 21,944 21,944
Lehman Brothers 4.750% dated 03/31/06,
to be repurchased on 04/03/06,
repurchase price $22,106,796
(collateralized by various
U.S. Government Obligations, ranging
in par value $1,314- $2,390,
4.500%-10.700%, 10/17/08-11/23/35;
with total
market value $22,539,980) $ 22,098 22,098
----------------
Total Repurchase Agreements
(Cost $44,042) ($ Thousands) 44,042
----------------
Total Investments -- 110.1%
(Cost $2,126,698) ($ Thousands) 2,585,011
----------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 25
STATEMENT OF NET ASSETS (Unaudited)
TAX-MANAGED LARGE CAP FUND (Concluded)
March 31, 2006
- --------------------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES -- (10.1)%
Payable upon Return on Securities Loaned $ (236,180)
Payable for Investment Securities Purchased (5,420)
Payable for Fund Shares Redeemed (2,297)
Administration Fees Payable (692)
Investment Advisory Fees Payable (607)
Shareholder Servicing Fees Payable (397)
Other Assets and Liabilities, Net 8,642
----------------
Total Other Assets and Liabilities (236,951)
----------------
Net Assets -- 100.0% $ 2,348,060
================
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $ 2,334,734
Undistributed net investment income 384
Accumulated net realized loss on investments
and futures contracts (445,703)
Net unrealized appreciation on investments 458,313
Net unrealized appreciation on futures contracts 332
----------------
Net Assets $ 2,348,060
================
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($2,342,847,713 / 187,557,951 shares) $12.49
=======
Net Asset Value, Offering and Redemption
Price Per Share -- Class Y
($5,212,156 / 414,108 shares) $12.59
=======
Futures -- A summary of the open futures contracts held by the fund at March 31,
2006, is as follows: (see Note 2 in Notes to Financial Statements)
- --------------------------------------------------------------------------------
UNREALIZED
TYPE OF NUMBER OF EXPIRATION APPRECIATION
CONTRACT CONTRACTS DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
S&P 500 Composite Index 83 June 2006 $ 219
S&P 400 Index E-MINI 48 June 2006 113
------
$ 332
======
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
* Non-income producing security.
** Rate shown is the 7-day effective yield as of March 31, 2006.
+ Real Estate Investment Trust
++ Investment in Affiliated Registered Investment Company (See Note 3)
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts. The rate reported is the effective yield at time of
purchase.
(B) This security or a partial position of this security is on loan at March
31, 2006 (see Note 7). The total value of securities on loan at March 31,
2006 was $228,747 ($ Thousands).
(C) This security was purchased with cash collateral held from securities
lending (see Note 7). The total value of such securities as of March 31,
2006 was $236,180 ($ Thousands).
(D) The rate reported is the effective yield at time of purchase.
(E) Variable Rate Security -- The rate reported on the Statement of Net Assets
is the rate in effect as of March 31, 2006.
(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."
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 $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
26 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
LARGE CAP VALUE FUND
March 31, 2006
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS#:
[THE FOLLOWING WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
37.3% Financials
13.3% Energy
8.3% Consumer Discretionary
7.3% Health Care
6.5% Industrials
5.1% Information Technology
5.0% Utilities
5.0% Telecommunication Services
4.5% Consumer Staples
3.6% Materials
3.3% Short-Term Investments
0.7% Asset-Backed Securities
0.1% U.S. Treasury Obligation
#Percentages based on total investments. Includes investments held as collateral
for securities on loan (see Note 7).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 98.4%++
CONSUMER DISCRETIONARY -- 9.0%
Abercrombie & Fitch, Cl A 78,600 $ 4,582
AnnTaylor Stores* 15,700 578
Autonation* 21,700 468
Autoliv 251,100 14,207
Barnes & Noble 117,400 5,430
Beazer Homes USA 47,100 3,094
Belo, Cl A 38,500 765
Borders Group 192,800 4,866
BorgWarner (B) 138,400 8,310
CBS, Cl B 249,300 5,978
Centex 54,650 3,388
Circuit City Stores 18,100 443
Claire's Stores 107,700 3,911
Clear Channel Communications 28,300 821
Comcast, Cl A* 605,900 15,850
Dana (B) 162,600 249
Darden Restaurants* 136,300 5,592
DIRECTV Group* 21,600 354
Discovery Holding, Cl A* 18,700 280
Eastman Kodak (B) 167,400 4,761
Expedia* 59,600 1,208
Federated Department Stores 16,300 1,190
Ford Motor 1,419,900 11,302
Gannett (B) 179,100 10,732
General Motors (B) 206,400 4,390
Genuine Parts 63,700 2,792
Goodyear Tire & Rubber (B)* 280,400 4,060
Harrah's Entertainment 22,600 1,762
Hasbro 225,900 4,766
Home Depot 198,650 8,403
IAC/InterActive* 35,000 1,031
International Speedway, Cl A 2,400 122
Interpublic Group (B)* 103,400 989
J.C. Penney 168,400 10,173
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Johnson Controls 50,400 $ 3,827
Jones Apparel Group 73,000 2,582
KB Home (B) 55,900 3,632
Knight Ridder 14,300 904
Lamar Advertising, Cl A* 8,700 458
Lear (B) 91,200 1,617
Lennar, Cl A (B) 51,400 3,104
Liberty Global, Cl A* 59,100 1,210
Liberty Media, Cl A* 377,300 3,098
Limited Brands (B) 267,900 6,553
Lowe's (B) 42,100 2,713
Mattel (B) 241,600 4,380
Maytag (B) 138,500 2,954
McDonald's 825,100 28,350
McGraw-Hill 120,200 6,926
Newell Rubbermaid 65,100 1,640
News, Cl A* 115,200 1,913
NTL* 3,600 105
NVR (B)* 2,000 1,478
Office Depot* 264,000 9,831
OfficeMax 20,302 613
Polo Ralph Lauren 22,400 1,358
Pulte Homes (B) 106,200 4,080
Rent-A-Center* 2,100 54
Saks* 23,400 452
Sears Holdings* 3,100 409
ServiceMaster 40,300 529
Shaw Communications, Cl B* 221,200 5,289
Sherwin-Williams 87,700 4,336
Snap-On 37,300 1,422
Standard-Pacific 16,500 555
Stanley Works (B) 62,000 3,141
Starwood Hotels & Resorts Worldwide 19,700 1,334
Target (B) 39,900 2,075
Tiffany 33,500 1,258
Time Warner 2,379,400 39,950
Tribune (B) 123,400 3,385
Univision Communications, Cl A* 6,800 234
VF (B) 191,200 10,879
Viacom, Cl B* 157,200 6,099
Walt Disney (B)* 412,300 11,499
Wendy's International 40,500 2,513
Whirlpool 102,000 9,330
----------------
344,916
----------------
CONSUMER STAPLES -- 4.9%
Albertson's 345,600 8,872
Altria Group 668,900 47,398
Anheuser-Busch 2,100 90
Archer-Daniels-Midland 199,100 6,700
BJ's Wholesale Club* 54,900 1,730
Brown-Forman, Cl B 2,300 177
Campbell Soup 23,200 752
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 27
STATEMENT OF NET ASSETS (Unaudited)
LARGE CAP VALUE FUND (Continued)
March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Clorox 25,300 $ 1,514
Coca-Cola 207,000 8,667
Coca-Cola Enterprises 93,100 1,894
Colgate-Palmolive 122,700 7,006
ConAgra Foods 43,000 923
Constellation Brands, Cl A* 4,200 105
Costco Wholesale 13,300 720
Dean Foods* 184,200 7,152
Del Monte Foods 457,600 5,427
Energizer Holdings (B)* 48,800 2,586
General Mills 155,600 7,886
Hershey 2,100 110
Hormel Foods 30,600 1,034
JM Smucker 18,800 746
Kellogg 23,700 1,044
Kimberly-Clark 77,200 4,462
Kraft Foods, Cl A 3,200 97
Kroger (B)* 504,500 10,272
Loews - Carolina Group 20,900 988
Molson Coors Brewing, Cl B 75,400 5,174
Pepsi Bottling Group 139,000 4,224
PepsiAmericas 186,900 4,570
Procter & Gamble 42,800 2,466
Reynolds American (B) 177,600 18,737
Safeway 274,427 6,894
Smithfield Foods* 15,000 440
Supervalu (B) 304,500 9,385
Tyson Foods, Cl A 272,800 3,748
Whole Foods Market 35,200 2,339
WM Wrigley Jr. (B) 33,100 2,118
----------------
188,447
----------------
ENERGY -- 14.3%
Amerada Hess (B) 113,300 16,134
Anadarko Petroleum (B) 159,700 16,131
Apache 11,700 766
Arch Coal 26,400 2,005
Burlington Resources 188,100 17,288
Chesapeake Energy 25,800 810
Chevron 1,305,400 75,674
ConocoPhillips (B) 809,700 51,133
Consol Energy 14,300 1,061
Cooper Cameron* 15,400 679
Devon Energy (B) 389,900 23,850
El Paso (B) 515,500 6,212
EnCana 86,800 4,056
ENSCO International 38,600 1,986
Exxon Mobil 3,615,100 220,015
Forest Oil* 15,100 561
GlobalSantaFe 45,600 2,770
Helmerich & Payne 12,000 838
Kerr-McGee 31,500 3,008
Kinder Morgan 2,400 221
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Marathon Oil 402,000 $ 30,620
Nabors Industries (B)* 22,000 1,575
National Oilwell Varco* 21,100 1,353
Newfield Exploration* 19,600 821
Noble Energy 108,500 4,765
Occidental Petroleum 246,600 22,848
Pioneer Natural Resources 12,900 571
Pogo Producing 12,100 608
Pride International* 110,000 3,430
Rowan* 3,600 158
Sunoco 125,700 9,751
Talisman Energy 126,700 6,738
Tesoro 6,600 451
Tidewater 4,000 221
Unit* 42,500 2,369
Valero Energy 330,800 19,775
Western Gas Resources 2,600 125
----------------
551,377
----------------
FINANCIALS -- 35.4%
A.G. Edwards 134,000 6,681
ACE 29,500 1,534
Aflac 106,100 4,788
Alleghany* 1,938 561
Allied Capital 21,300 652
Allstate 560,800 29,223
AMB Property+ 2,000 109
AMBAC Financial Group 94,100 7,490
American Capital Strategies 34,500 1,213
American Financial Group 12,000 499
American International Group 838,800 55,436
AmeriCredit* 2,000 61
AmerUs Group 1,000 60
AmSouth Bancorp (B) 279,700 7,566
AON 219,800 9,124
Apartment Investment &
Management, Cl A 7,900 371
Archstone-Smith Trust 16,900 824
Arden Realty+ 18,200 821
Arthur J Gallagher 3,900 108
Assurant 111,600 5,496
Astoria Financial (B) 272,550 8,438
AvalonBay Communities+ 16,700 1,822
Axis Capital Holdings 146,200 4,371
Bank of America 2,789,671 127,042
Bank of Hawaii 47,800 2,548
Bank of New York 142,200 5,125
BB&T (B) 311,200 12,199
Bear Stearns 57,200 7,934
Boston Properties 8,000 746
BRE Properties, Cl A+ 22,000 1,232
Brookfield Properties 219,200 7,486
Camden Property Trust+ 7,000 504
- --------------------------------------------------------------------------------
28 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Capital One Financial 17,700 $ 1,425
CarrAmerica Realty+ 21,900 977
CB Richard Ellis Group, Cl A* 83,000 6,698
CBL & Associates Properties+ 9,400 399
Charles Schwab 294,400 5,067
Chubb 177,400 16,931
Cincinnati Financial 2,300 97
CIT Group 226,600 12,128
Citigroup 3,217,400 151,958
City National 1,100 84
Colonial BancGroup 39,700 993
Comerica (B) 339,600 19,687
Commerce Bancorp (B) 103,700 3,801
Commerce Bancshares 22,300 1,152
Compass Bancshares 3,200 162
Conseco* 28,800 715
Countrywide Financial 263,200 9,659
Crescent Real Estate Equities+ 5,700 120
Cullen/Frost Bankers 14,700 790
Developers Diversified Realty+ 1,400 77
Duke Realty+ 7,700 292
E*Trade Financial* 20,000 540
Equity Office Properties Trust 184,400 6,192
Equity Residential 31,800 1,488
Erie Indemnity, Cl A 10,900 574
Essex Property Trust+ 11,900 1,294
Fannie Mae (B) 325,700 16,741
Federal Realty Investment Trust+ 11,600 872
Federated Investors, Cl B 4,500 176
Fidelity National Financial 58,800 2,089
First American 251,800 9,860
First Horizon National 76,600 3,190
FirstMerit 3,200 79
Franklin Resources 24,700 2,328
Freddie Mac 117,000 7,137
Fulton Financial 9,000 155
General Growth Properties+ (B) 49,900 2,439
Genworth Financial, Cl A 83,600 2,795
Golden West Financial 87,300 5,928
Goldman Sachs Group 144,300 22,649
Hanover Insurance Group 7,700 404
Hartford Financial Services Group 306,500 24,689
HCC Insurance Holdings 35,000 1,218
Health Care+ 3,200 122
Host Marriott+ 8,400 180
HRPT Properties Trust+ 20,700 243
Huntington Bancshares 148,500 3,583
IndyMac Bancorp (B) 217,900 8,919
International Bancshares 13,700 394
Jefferson-Pilot (B) 133,600 7,474
JPMorgan Chase 2,306,728 96,052
Keycorp (B) 585,700 21,554
Kimco Realty 1,600 65
Legg Mason (B) 37,050 4,643
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Lehman Brothers Holdings 185,400 $ 26,796
Leucadia National 14,800 883
Lincoln National (B) 227,400 12,414
Loews 206,900 20,938
M&T Bank 15,500 1,769
Macerich+ 6,800 503
Markel* 1,300 439
Marsh & McLennan 72,600 2,132
Marshall & Ilsley 7,500 327
MBIA 110,800 6,662
Mellon Financial 28,800 1,025
Mercantile Bankshares 17,400 669
Mercury General 7,300 401
Merrill Lynch 706,200 55,620
Metlife (B) 280,800 13,582
MGIC Investment 95,200 6,343
Morgan Stanley 551,300 34,633
National City (B) 758,900 26,486
Nationwide Financial Services, Cl A 122,300 5,261
New York Community Bancorp 36,700 643
North Fork Bancorporation 280,180 8,078
Northern Trust 19,300 1,013
Old Republic International 199,237 4,347
Pan Pacific Retail Properties+ 14,000 993
Philadelphia Consolidated Holding* 3,500 119
PMI Group 175,400 8,054
PNC Financial Services Group 290,100 19,527
Popular 111,000 2,304
Principal Financial Group 345,900 16,880
Progressive 12,500 1,303
Prologis 4,200 225
Protective Life 3,000 149
Prudential Financial (B) 192,100 14,563
Public Storage 1,500 122
Radian Group 150,300 9,056
Raymond James Financial 7,550 223
Rayonier+ 31,700 1,445
Regency Centers+ 5,700 383
Regions Financial (B) 403,714 14,199
Safeco 187,200 9,399
Shurgard Storage Centers, Cl A+ 25,300 1,686
Simon Property Group 9,800 825
Sky Financial Group 24,800 657
SL Green Realty+ 12,000 1,218
Sovereign Bancorp 56,800 1,244
St. Paul Travelers 522,600 21,839
State Street 17,900 1,082
SunTrust Banks (B) 154,000 11,205
TCF Financial 6,700 173
TD Ameritrade Holding* 70,100 1,463
TD Banknorth 5,900 173
Torchmark 3,100 177
Transatlantic Holdings 3,000 175
Trizec Properties+ 7,100 183
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 29
STATEMENT OF NET ASSETS (Unaudited)
LARGE CAP VALUE FUND (Continued)
March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
UnionBanCal 119,800 $ 8,405
United Dominion Realty Trust+ 5,100 146
UnumProvident (B) 251,100 5,143
US Bancorp 1,383,500 42,197
Vornado Realty Trust 7,400 710
Wachovia (B) 1,163,212 65,198
Washington Mutual (B) 699,400 29,808
Webster Financial 1,200 58
Wells Fargo 421,200 26,902
Whitney Holding 5,200 184
Wilmington Trust 10,100 438
WR Berkley 126,100 7,321
XL Capital, Cl A (B) 28,700 1,840
Zions Bancorporation 14,200 1,175
----------------
1,362,875
----------------
HEALTH CARE -- 7.8%
Abbott Laboratories 30,100 1,278
Aetna 143,700 7,061
Alcon 16,700 1,741
AmerisourceBergen 267,800 12,927
Applera - Applied Biosystems Group 173,700 4,714
Bausch & Lomb 1,500 96
Biogen Idec* 1,600 75
Bristol-Myers Squibb 311,300 7,661
Cardinal Health 123,700 9,218
Caremark Rx* 109,100 5,366
Charles River Laboratories
International* 4,500 221
Chiron* 4,400 202
Cigna 47,100 6,152
Community Health Systems* 4,600 166
Dade Behring Holdings 126,400 4,514
Eli Lilly 91,300 5,049
Emdeon* 20,600 222
Fisher Scientific International* 2,200 150
Forest Laboratories* 52,300 2,334
Genentech* 29,000 2,451
Gilead Sciences* 41,700 2,595
HCA 120,000 5,495
Health Net* 31,400 1,596
Hillenbrand Industries 6,000 330
Hospira* 53,500 2,111
Humana* 1,900 100
Invitrogen* 5,800 407
King Pharmaceuticals* 592,600 10,222
McKesson 50,600 2,638
Medco Health Solutions* 20,800 1,190
Medimmune* 74,400 2,722
Merck 1,409,500 49,657
Millennium Pharmaceuticals* 57,200 578
Mylan Laboratories 70,400 1,647
Omnicare 50,300 2,766
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Pfizer 4,623,500 $ 115,218
Sierra Health Services* 3,500 142
Tenet Healthcare* 97,700 721
Thermo Electron* 14,000 519
Triad Hospitals* 5,800 243
UnitedHealth Group 74,900 4,184
Universal Health Services, Cl B (B) 88,000 4,470
Watson Pharmaceuticals* 71,500 2,055
WellPoint* 34,100 2,640
Wyeth 309,800 15,031
----------------
300,875
----------------
INDUSTRIALS -- 7.0%
Adesa 35,000 936
Alexander & Baldwin 20,500 977
Alliant Techsystems* 2,900 224
Avery Dennison 5,200 304
Brink's 1,600 81
Burlington Northern Santa Fe 235,300 19,608
Cendant 446,200 7,742
CNF 80,900 4,040
CSX 159,400 9,532
Cummins (B) 109,200 11,477
Deere 79,000 6,245
Deluxe 27,200 712
Dover 12,200 592
Eaton (B) 155,600 11,354
Emerson Electric 28,400 2,375
Equifax 21,500 801
General Dynamics 173,000 11,069
General Electric 1,511,600 52,573
Harsco 62,100 5,131
Honeywell International 188,000 8,041
Hubbell, Cl B 60,900 3,122
ITT Industries 10,200 573
Jacobs Engineering Group* 4,800 416
L-3 Communications Holdings 3,600 309
Laidlaw International 78,000 2,122
Lockheed Martin 175,400 13,178
Manpower 4,900 280
Masco (B) 220,400 7,161
Navistar International (B)* 118,500 3,268
Norfolk Southern 83,000 4,488
Northrop Grumman (B) 388,900 26,558
Paccar 53,500 3,771
Pentair 1,200 49
Precision Castparts 16,600 986
Raytheon 305,900 14,022
Republic Services 28,800 1,224
Rockwell Collins (B) 47,000 2,648
Roper Industries 1,100 53
RR Donnelley & Sons 144,200 4,718
Ryder System 82,900 3,712
- --------------------------------------------------------------------------------
30 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Southwest Airlines 45,000 $ 810
SPX 3,400 182
Swift Transportation (B)* 94,000 2,043
Teleflex 19,600 1,404
Terex* 3,100 246
Textron 79,700 7,443
Union Pacific 20,500 1,914
United Rentals (B)* 95,100 3,281
USG* 2,900 275
Waste Management 127,300 4,494
WW Grainger 8,300 625
----------------
269,189
----------------
INFORMATION TECHNOLOGY -- 5.5%
ADC Telecommunications (B)* 122,700 3,140
Advanced Micro Devices* 4,600 153
Affiliated Computer Services, Cl A* 900 54
Agilent Technologies* 30,300 1,138
Andrew* 6,400 79
Arrow Electronics (B)* 122,000 3,937
Avnet (B)* 116,600 2,959
BMC Software* 55,100 1,193
Broadcom, Cl A* 53,100 2,292
CA 9,700 264
Cadence Design Systems* 11,900 220
Ceridian* 50,500 1,285
Checkfree* 4,600 232
Cisco Systems* 161,400 3,498
Computer Sciences* 160,700 8,927
Convergys* 520,700 9,482
eBay* 55,400 2,164
Electronic Arts* 39,400 2,156
Electronic Data Systems (B) 224,400 6,021
EMC* 182,400 2,486
Fair Isaac 108,100 4,283
Fiserv* 94,100 4,004
Freescale Semiconductor, Cl B* 63,000 1,750
Google, Cl A* 6,000 2,340
Hewlett-Packard 2,036,600 67,004
Ingram Micro, Cl A* 218,400 4,368
Intel 334,900 6,480
International Business Machines 177,400 14,630
Intersil, Cl A 36,800 1,064
Lam Research* 85,700 3,685
LSI Logic (B)* 223,900 2,588
Marvell Technology Group (B)* 36,800 1,991
Mettler Toledo International* 1,000 60
Micron Technology* 51,300 755
Microsoft 252,300 6,865
Molex 9,400 312
Motorola 148,100 3,393
Qualcomm 39,800 2,014
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Reynolds & Reynolds, Cl A 36,500 $ 1,037
Sabre Holdings, Cl A (B) 248,000 5,835
SanDisk* 16,100 926
Sanmina-SCI* 249,400 1,023
Solectron* 596,600 2,386
Sybase (B)* 194,700 4,112
Symantec* 5,200 88
Synopsys* 201,000 4,492
Tech Data* 158,601 5,854
Tektronix 1,800 64
Tellabs* 14,900 237
Teradyne* 4,600 71
Texas Instruments 129,300 4,198
Western Digital* 149,200 2,899
----------------
212,488
----------------
MATERIALS -- 3.8%
Agrium 210,400 5,315
Airgas 6,200 242
Alcoa 169,300 5,174
Ashland 11,400 810
Bemis 75,900 2,397
Cabot 16,700 568
Cytec Industries 1,200 72
Dow Chemical 286,600 11,636
E.I. Du Pont de Nemours 199,200 8,408
Eagle Materials 112,700 7,186
Eastman Chemical (B) 182,900 9,361
Engelhard 4,600 182
International Paper 59,300 2,050
IPSCO 7,800 812
Lafarge North America 9,100 764
Lubrizol 265,600 11,381
Lyondell Chemical 163,100 3,246
Martin Marietta Materials 83,300 8,916
MeadWestvaco 188,200 5,140
Monsanto 16,600 1,407
Newmont Mining 3,300 171
Nucor 185,900 19,481
PPG Industries 200,800 12,721
Praxair 4,100 226
Rohm & Haas 213,200 10,419
Scotts Miracle-Gro, Cl A 25,900 1,185
Sealed Air* 10,300 596
Smurfit-Stone Container (B)* 62,000 841
Sonoco Products 72,200 2,445
Temple-Inland 14,800 659
Tronox, Cl B 6,352 108
Valspar 174,500 4,863
Vulcan Materials 9,600 832
Weyerhaeuser 116,000 8,402
----------------
148,016
----------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 31
STATEMENT OF NET ASSETS (Unaudited)
LARGE CAP VALUE FUND (Continued)
March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES -- 5.3%
Alltel 38,500 $ 2,493
American Tower, Cl A* 14,800 449
AT&T 2,271,110 61,411
BellSouth 1,202,200 41,656
CenturyTel 269,100 10,527
Citizens Communications 122,500 1,625
Crown Castle International* 138,800 3,935
Sprint Nextel 597,850 15,448
Verizon Communications 1,989,800 67,773
----------------
205,317
----------------
UTILITIES -- 5.4%
AGL Resources 23,900 862
Allegheny Energy* 8,700 294
Alliant Energy 302,800 9,529
Ameren 18,900 942
American Electric Power (B) 427,600 14,547
Aqua America 77,200 2,148
Centerpoint Energy (B) 155,700 1,858
Cinergy 13,300 604
CMS Energy* 7,300 95
Consolidated Edison 22,600 983
Constellation Energy Group 211,700 11,582
Dominion Resources 68,700 4,742
DPL 12,500 337
DTE Energy (B) 221,600 8,884
Duke Energy (B) 301,700 8,795
Edison International 195,800 8,063
Energen 1,900 67
Energy East 167,300 4,065
Entergy 211,800 14,601
Equitable Resources 8,100 296
Exelon (B) 201,500 10,659
FirstEnergy 315,400 15,423
FPL Group 76,100 3,055
Great Plains Energy 24,900 701
MDU Resources Group 49,800 1,666
National Fuel Gas 24,700 808
Northeast Utilities (B) 292,285 5,708
NRG Energy* 46,900 2,121
NSTAR 38,300 1,096
OGE Energy 14,400 418
Oneok 34,700 1,119
Pepco Holdings 245,200 5,588
PG&E 153,400 5,967
Pinnacle West Capital (B) 209,200 8,180
PPL 29,700 873
Progress Energy (B) 242,500 10,665
Public Service Enterprise Group 57,400 3,676
Puget Energy 6,700 142
Questar 42,800 2,998
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
SCANA 155,300 $ 6,094
Sempra Energy (B) 219,100 10,179
Southern 39,600 1,298
TECO Energy 37,600 606
TXU 71,400 3,196
UGI 46,100 971
Westar Energy 2,500 52
Wisconsin Energy 87,600 3,503
WPS Resources 25,300 1,245
Xcel Energy 393,700 7,146
----------------
208,447
----------------
Total Common Stock
(Cost $3,120,836) ($ Thousands) 3,791,947
----------------
CORPORATE OBLIGATIONS (C) -- 4.2%
FINANCIALS -- 4.2%
Allstate Life Global Funding II
MTN (E) (F)
4.769%, 04/13/07 $ 2,097 2,097
American General Finance (E) (F)
4.779%, 04/13/07 6,610 6,609
American General Finance MTN,
Ser F
3.945%, 07/14/06 456 465
Bear Stearns, EXL (E)
4.759%, 04/15/07 8,114 8,114
CIT Group MTN (E)
4.750%, 05/12/06 11,396 11,396
4.617%, 04/19/06 1,140 1,141
Caterpillar Financial Services MTN,
Ser F (E)
4.680%, 07/10/06 2,279 2,279
Countrywide Financial MTN,
Ser A (E)
4.960%, 09/13/06 8,433 8,433
4.770%, 11/03/06 4,786 4,786
Dekabank (E) (F)
4.614%, 02/16/07 8,433 8,431
Irish Life & Permanent MTN,
Ser X (E) (F)
4.808%, 04/21/07 6,063 6,061
Islandsbanki (E) (F)
4.844%, 03/22/07 3,875 3,875
4.720%, 03/07/07 6,838 6,838
Jackson National Life Funding (E) (F)
4.630%, 02/01/07 10,028 10,028
Kaupthing Bank MTN (E) (F)
4.836%, 03/20/07 11,396 11,396
Landsbanki Islands (E) (F)
4.829%, 03/16/07 8,661 8,661
- --------------------------------------------------------------------------------
32 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
Liberty Lighthouse US Capital
MTN (E) (F)
4.725%, 05/10/06 $ 4,558 $ 4,555
Morgan Stanley EXL (E)
4.721%, 05/04/07 1,595 1,595
Morgan Stanley EXL, Ser S (E)
4.634%, 05/03/07 2,279 2,279
Natexis Banques (E) (F)
4.743%, 04/13/07 4,444 4,443
Nationwide Building Society (E) (F)
4.991%, 04/28/07 2,507 2,507
4.700%, 04/05/07 4,558 4,558
Nordbank (E) (F)
4.811%, 04/23/07 7,749 7,748
Northern Rock (E) (F)
4.650%, 05/03/07 4,695 4,695
Pacific Life Global Funding (E) (F)
4.740%, 04/13/07 3,419 3,419
Premium Asset Trust, Ser 2004-06
(E) (F)
4.857%, 06/30/06 4,330 4,333
Premium Asset Trust, Ser 2004-10
(E) (F)
4.759%, 03/15/07 6,382 6,382
SLM EXL, Ser S (E) (F)
4.570%, 03/15/07 5,014 5,014
Sigma Finance MTN (F)
4.680%, 11/09/06 2,462 2,462
Skandinav Enskilda Bank (E) (F)
4.772%, 03/19/07 5,014 5,014
Witherspoon CDO Funding (E)
4.786%, 09/15/06 3,191 3,191
----------------
Total Corporate Obligations
(Cost $162,804) ($ Thousands) 162,805
----------------
CASH EQUIVALENT -- 1.6%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 4.560%** ++ 61,625,753 61,626
----------------
Total Cash Equivalent
(Cost $61,626) ($ Thousands) 61,626
----------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES (C) (E) (F) -- 0.8%
MORTGAGE RELATED SECURITIES -- 0.8%
Cheyne High Grade, Ser 2004-1A,
Cl AM1
4.740%, 11/10/06 $ 2,279 $ 2,279
Commodore, Ser 2003-2A, Cl A1MM
4.970%, 12/12/38 2,097 2,097
Duke Funding, Ser 2004-6B, Cl A1S1
4.620%, 04/08/39 3,419 3,419
Harwood Street Funding II, Ser 2005-1A,
Cl NOTE
4.868%, 05/25/06 4,558 4,558
Orchid Structured Finance CDO,
Ser 2003-1A, Cl A1MM
4.920%, 11/18/38 3,496 3,496
Park Place Securities Trust,
Ser 2004-MM1, Cl AM4
4.858%, 02/25/35 3,256 3,256
RMAC, Ser 2004-NS3A, Cl A1
4.720%, 03/12/25 816 816
Saturn Ventures II
4.730%, 08/07/06 4,254 4,254
TIAA Real Estate CDO, Ser 2003 1A,
Cl A1MM
4.851%, 12/28/18 2,943 2,943
Whitehawk CDO Funding, Ser 2004-1A, Cl AMMD
4.930%, 06/15/06 1,140 1,140
Whitehawk CDO Funding, Ser 2004-1A, Cl AMME
4.930%, 09/15/06 684 684
----------------
Total Asset-Backed Securities
(Cost $28,942) ($ Thousands) 28,942
----------------
MASTER NOTES (C) -- 0.4%
Bank of America
4.945%, 04/03/06 11,396 11,396
Bear Stearns
4.995%, 04/03/06 5,470 5,470
----------------
Total Master Notes
(Cost $16,866) ($ Thousands) 16,866
----------------
COMMERCIAL PAPER (C) (D) -- 0.4%
FINANCIALS -- 0.4%
CPI Funding
4.901%, 04/03/06 929 929
Eiffel Funding LLC
4.867%, 04/27/06 684 681
4.767%, 04/28/06 4,558 4,523
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 33
STATEMENT OF NET ASSETS (Unaudited)
LARGE CAP VALUE FUND (Concluded)
March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Elysian Funding LLC
4.706%, 04/10/06 $ 2,279 $ 2,263
Harbour Funding
4.763%, 04/06/06 3,389 3,382
Harwood Funding
4.881%, 04/03/06 1,094 1,093
Thornburg Mortgage Capital Resources
4.781%, 04/19/06 2,279 2,270
Transamerica Securities
4.841%, 04/03/06 536 536
----------------
Total Commercial Paper
(Cost $15,677) ($ Thousands) 15,677
----------------
TIME DEPOSIT (C) -- 0.1%
Societe General
4.900%, 04/03/06 4,558 4,558
----------------
Total Time Deposit
(Cost $4,558) ($ Thousands) 4,558
----------------
U.S. TREASURY OBLIGATION (A) -- 0.1%
U.S. Treasury Bills
4.232%, 05/25/06 3,180 3,159
----------------
Total U.S. Treasury Obligation
(Cost $3,161) ($ Thousands) 3,159
----------------
CERTIFICATE OF DEPOSIT (C) (E) -- 0.0%
US Trust of New York
4.760%, 03/13/07 1,823 1,823
----------------
Total Certificate of Deposit
(Cost $1,823) ($ Thousands) 1,823
----------------
REPURCHASE AGREEMENTS (C) -- 1.4%
Barclays
4.790% dated 03/31/06, to be
repurchased on 04/03/06,
repurchase price $26,355,364
(collateralized by various
U.S. Government Obligations,
ranging in par value $2,111,431-
$5,418,064, 0.000%-5.900%,
7/18/06-08/04/25; with total
market value $26,871,784) 26,345 26,345
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Lehman Brothers
4.750% dated 03/31/06, to be
repurchased on 04/03/06,
repurchase price $26,540,256
(collateralized by various
U.S. Government Obligations,
ranging in par value $1,578-
$2,869, 4.500%-10.700%,
10/17/08-11/23/35; with total
market value $27,060,313) $ 26,530 $ 26,530
----------------
Total Repurchase Agreements
(Cost $52,875) ($ Thousands) 52,875
----------------
Total Investments -- 107.4%
(Cost $3,469,168) ($ Thousands) 4,140,278
----------------
OTHER ASSETS AND LIABILITIES -- (7.4)%
Payable Upon Return on Securities Loaned (283,545)
Payable for Fund Shares Redeemed (6,088)
Payable for Investment Securities Purchased (1,443)
Administration Fees Payable (1,149)
Investment Advisory Fees Payable (935)
Shareholder Servicing Fees Payable (700)
Administration Servicing Fees Payable (5)
Other Assets and Liabilities, Net 8,547
----------------
Total Other Assets and Liabilities (285,318)
----------------
Net Assets -- 100.0% $ 3,854,960
================
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $ 2,973,983
Undistributed net investment income 841
Accumulated net realized gain on investments
and futures contracts 208,136
Net unrealized appreciation on investments 671,110
Net unrealized appreciation on futures contracts 890
----------------
Net Assets $ 3,854,960
================
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($3,827,239,835 / 171,985,555 shares) $22.25
=======
Net Asset Value, Offering and Redemption
Price Per Share -- Class I
($27,720,596 / 1,245,882 shares) $22.25
=======
- --------------------------------------------------------------------------------
34 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Futures -- A summary of the open futures contracts held by the fund at March 31,
2006, is as follows: (see Note 2 in Notes to Financial Statements)
- --------------------------------------------------------------------------------
UNREALIZED
TYPE OF NUMBER OF EXPIRATION APPRECIATION
CONTRACT CONTRACTS DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
S&P 500 Composite Index 186 June 2006 $890
* Non-income producing security.
** Rate shown is the 7-day effective yield as of March 31, 2006.
++ Narrow industries are utilized for compliance purposes, whereas broad
sectors are utilized for reporting.
+ Real Estate Investment Trust
++ Investment in Affiliated Registered Investment Company (See Note 3)
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts. The rate reported is the effective yield at time of
purchase.
(B) This security or a partial position of this security is on loan at March
31, 2006 (see Note 7). The total value of securities on loan at March 31,
2006 was $275,294 ($ Thousands).
(C) This security was purchased with cash collateral held from securities
lending (see Note 7). The total value of such securities as of March 31,
2006 was $283,545 ($ Thousands).
(D) The rate reported is the effective yield at time of purchase.
(E) Variable Rate Security -- The rate reported on the Statement of Net Assets
is the rate in effect as of March 31, 2006.
(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."
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 / Semi-Annual Report / March 31, 2006 35
STATEMENT OF NET ASSETS (Unaudited)
LARGE CAP GROWTH FUND
March 31, 2006
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS#:
[THE FOLLOWING WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
25.4% Information Technology
16.5% Health Care
13.7% Consumer Discretionary
13.2% Financials
8.8% Consumer Staples
7.9% Industrials
5.2% Energy
4.9% Short-Term Investments
1.5% Telecommunication Services
1.4% Materials
1.2% Asset-Backed Securities
0.2% Utilities
0.1% U.S. Treasury Obligation
#Percentages based on total investments. Includes investments held as collateral
for securities on loan (see Note 7).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 97.8%++
CONSUMER DISCRETIONARY -- 15.5%
Abercrombie & Fitch, Cl A 28,432 $ 1,658
Advance Auto Parts* 75,073 3,126
Aeropostale (B)* 55,500 1,674
Amazon.com* 37,100 1,354
American Eagle Outfitters 167,303 4,996
AnnTaylor Stores* 21,796 802
Apollo Group, Cl A (B)* 554,119 29,097
Autozone* 4,269 426
Beazer Homes USA 1,475 97
Bed Bath & Beyond* 181,066 6,953
Best Buy 36,900 2,064
Boyd Gaming (B) 11,736 586
Brinker International 79,158 3,344
Brunswick 2,670 104
Building Material Holding 6,900 246
Cablevision Systems, Cl A* 17,546 468
Career Education (B)* 86,247 3,254
Carnival 207,850 9,846
CBS, Cl B 71,945 1,725
Centex 1,747 108
Cheesecake Factory* 4,281 160
Chico's FAS* 77,127 3,134
Circuit City Stores 30,200 739
Claire's Stores 49,400 1,794
Clear Channel Communications 6,823 198
Coach* 159,687 5,522
Comcast, Cl A (B)* 94,190 2,464
Darden Restaurants* 100,521 4,124
DIRECTV Group* 66,100 1,084
Dollar General 125,564 2,219
Dollar Tree Stores (B)* 9,289 257
Dow Jones 19,000 747
E.W. Scripps, Cl A 54,497 2,437
Education Management* 8,000 333
Expedia* 92,985 1,885
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Fortune Brands 151,848 $ 12,243
Gap (B) 59,449 1,110
Getty Images* 13,529 1,013
GTECH Holdings 81,999 2,792
Harley-Davidson (B) 91,931 4,769
Harman International Industries 47,643 5,295
Harrah's Entertainment 148,914 11,609
Harte-Hanks 2,570 70
Hilton Hotels 16,417 418
Home Depot (B) 410,677 17,372
IAC/InterActive* 60,267 1,776
International Game Technology 1,100,000 38,742
ITT Educational Services* 2,280 146
J.C. Penney 97,634 5,898
John Wiley & Sons, Cl A 39,478 1,494
Johnson Controls 4,100 311
KB Home 18,631 1,211
Kohl's (B)* 223,110 11,827
Lamar Advertising, Cl A (B)* 169,614 8,925
Laureate Education* 273 15
Liberty Global, Cl A* 104,482 2,139
Liberty Media, Cl A* 240,374 1,973
Lowe's 433,328 27,924
Marriott International, Cl A 226,234 15,520
McDonald's 573,200 19,695
McGraw-Hill 532,123 30,661
Men's Wearhouse 14,900 535
Meredith 24,900 1,389
MGM Mirage (B)* 797,143 34,349
Michaels Stores 8,930 336
Newell Rubbermaid 27,036 681
News, Cl A* 4,384 73
Nike, Cl B (B) 176,100 14,986
Nordstrom 33,950 1,330
NVR* 170 126
O'Reilly Automotive* 45,622 1,668
Omnicom Group 99,264 8,264
Outback Steakhouse 1,432 63
Pacific Sunwear of California* 6,100 135
Panera Bread, Cl A* 8,296 624
Petsmart (B) 88,400 2,488
Pixar* 7,184 461
Polaris Industries (B) 11,364 620
Polo Ralph Lauren 10,421 632
R.H. Donnelley* 1,177 68
Rent-A-Center (B)* 14,729 377
Saks* 1,579 30
Sears Holdings (B)* 15,326 2,027
Select Comfort (B)* 25,275 1,000
Sherwin-Williams 12,567 621
Staples 1,926,195 49,156
Starbucks* 84,700 3,188
Starwood Hotels & Resorts Worldwide 4,082 276
- --------------------------------------------------------------------------------
36 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Station Casinos 8,359 $ 663
Steven Madden 2,500 89
Target (B) 233,989 12,170
Tempur-Pedic International (B)* 88,900 1,258
Tiffany 40,200 1,509
Timberland, Cl A* 17,642 604
Time Warner 526,178 8,834
Toll Brothers* 13,704 475
Univision Communications, Cl A* 727,388 25,073
Viacom, Cl B* 241,873 9,385
Weight Watchers International* 526,716 27,073
Wendy's International 11,098 689
Williams-Sonoma* 16,900 717
XM Satellite Radio Holdings,
Cl A (B)* 1,411,380 31,431
Yum! Brands 133,154 6,506
----------------
575,952
----------------
CONSUMER STAPLES -- 9.9%
Alberto-Culver 3,800 168
Altria Group 106,740 7,564
Anheuser-Busch 90,252 3,860
Brown-Forman, Cl B 35,242 2,713
Campbell Soup 40,901 1,325
Chiquita Brands International 30,700 515
Church & Dwight 4,865 180
Coca-Cola 399,417 16,724
Coca-Cola Enterprises 20,108 409
Colgate-Palmolive 300,167 17,140
Costco Wholesale (B) 137,200 7,431
CVS 24,030 718
Energizer Holdings (B)* 13,508 716
Estee Lauder, Cl A 352,500 13,109
General Mills 1,429 72
Hershey (B) 141,439 7,387
Kellogg 6,900 304
Kimberly-Clark 40,402 2,335
Kroger* 5,400 110
Parlux Fragrances (B)* 7,617 246
Pepsi Bottling Group 124,253 3,776
PepsiCo 1,069,224 61,790
Pilgrim's Pride (B) 13,398 290
Procter & Gamble 1,561,721 89,986
Sysco (B) 65,286 2,092
Wal-Mart Stores 1,345,381 63,556
Walgreen (B) 1,109,753 47,864
Whole Foods Market 68,850 4,574
WM Wrigley Jr. (B) 183,955 11,773
----------------
368,727
----------------
ENERGY -- 5.9%
Apache 1,202 79
Arch Coal 19,533 1,483
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Baker Hughes (B) 459,423 $ 31,424
BJ Services (B) 187,999 6,505
Chesapeake Energy 253,782 7,971
Chevron 28,422 1,648
ConocoPhillips 201,743 12,740
Consol Energy 26,539 1,968
Cooper Cameron* 50,252 2,215
Denbury Resources* 14,026 444
Devon Energy 4,918 301
Diamond Offshore Drilling 7,907 708
EOG Resources 51,213 3,687
FMC Technologies* 18,400 942
Grant Prideco* 40,853 1,750
Halliburton 414,994 30,303
Helmerich & Payne 48,553 3,390
Kinder Morgan 27,427 2,523
Massey Energy 3,416 123
Murphy Oil 677 34
National Oilwell Varco* 25,977 1,666
Newfield Exploration* 60,025 2,515
Noble Energy 8,769 385
Oil States International* 3,500 129
Parker Drilling* 8,400 78
Patterson-UTI Energy 71,617 2,289
Peabody Energy 32,118 1,619
Plains Exploration & Production* 2,703 104
Quicksilver Resources* 1,904 74
Rowan (B)* 38,334 1,685
Schlumberger (B) 459,821 58,199
Smith International 7,900 308
Southwestern Energy* 53,904 1,735
Suncor Energy 287,700 22,159
Sunoco 40,046 3,106
Tesoro 6,081 416
Tidewater (B) 76,838 4,244
Unit* 59,050 3,292
Valero Energy 186 11
Western Gas Resources 42,423 2,047
Williams 7,696 165
XTO Energy 17,709 772
----------------
217,236
----------------
FINANCIALS -- 7.6%
A.G. Edwards 1,400 70
Affiliated Managers Group* 1,070 114
Aflac 58,634 2,646
American Express 576,766 30,309
American Financial Group 2,180 91
American International Group 331,030 21,878
AmeriCredit* 4,600 141
Ameriprise Financial 49,777 2,243
BlackRock, Cl A 2,805 393
Brown & Brown 43,100 1,431
Capital One Financial (B) 25,654 2,066
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 37
STATEMENT OF NET ASSETS (Unaudited)
LARGE CAP GROWTH FUND (Continued)
March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CB Richard Ellis Group, Cl A* 5,658 $ 457
Charles Schwab 1,178,499 20,282
Chicago Mercantile Exchange
Holdings (B) 100,477 44,963
Commerce Bancorp 17,042 625
Federal Realty Investment Trust+ 10,594 797
Federated Investors, Cl B 46,100 1,800
Forest City Enterprises, Cl A 43,004 2,028
Franklin Resources 33,412 3,149
Freddie Mac 501,610 30,598
General Growth Properties+ 30,994 1,515
Golden West Financial (B) 69,750 4,736
Goldman Sachs Group (B) 38,196 5,995
Hanover Insurance Group 1,058 56
HCC Insurance Holdings 39,308 1,368
Hudson City Bancorp 13,900 185
IndyMac Bancorp 17,183 703
Keycorp 11,147 410
LandAmerica Financial Group 3,600 244
Legg Mason 44,146 5,533
Lehman Brothers Holdings 10,250 1,481
Loews 2,600 263
Mellon Financial 17,700 630
MGIC Investment 418 28
Moody's 816,919 58,377
Morgan Stanley 72,672 4,565
Northern Trust (B) 46,673 2,450
Nuveen Investments, Cl A 11,365 547
Peoples Bank 22,500 737
Philadelphia Consolidated Holding* 10,281 351
Progressive 34,173 3,563
Prudential Financial 22,000 1,668
Public Storage 4,401 358
Radian Group (B) 11,721 706
Simon Property Group 7,118 599
SL Green Realty+ 1,600 162
SLM 58,318 3,029
St. Joe 2,940 185
St. Paul Travelers 47,458 1,983
State Street 12,550 758
Synovus Financial 9,053 245
T Rowe Price Group 1,512 118
TCF Financial 34,900 899
TD Ameritrade Holding* 86,566 1,807
Thornburg Mortgage+ (B) 6,100 165
US Bancorp 102,887 3,138
Ventas+ 5,700 189
Wells Fargo 46,269 2,955
Willis Group Holdings 128,580 4,405
WR Berkley 13,456 781
----------------
283,968
----------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
HEALTH CARE -- 18.6%
Abbott Laboratories 230,316 $ 9,782
Advanced Medical Optics* 3,500 163
Aetna 62,554 3,074
Affymetrix* 12,539 413
Allergan (B) 487,355 52,878
Amgen* 744,547 54,166
Barr Pharmaceuticals* 44,081 2,776
Bausch & Lomb 20,870 1,329
Baxter International 198,729 7,713
Becton Dickinson 90,584 5,578
Biogen Idec* 73,590 3,466
Boston Scientific (B)* 211,181 4,868
Bristol-Myers Squibb 30,152 742
C.R. Bard 31,562 2,140
Cardinal Health 62,888 4,686
Caremark Rx* 518,864 25,518
Celgene* 103,860 4,593
Cerner* 26,150 1,241
Chiron* 67,275 3,082
Cigna 10,907 1,425
Community Health Systems* 16,362 591
Covance* 8,556 503
Coventry Health Care* 30,789 1,662
Cytyc* 4,800 135
Dade Behring Holdings 57,022 2,036
DaVita* 11,151 671
Dentsply International 10,400 605
Digene (B)* 10,678 417
Edwards Lifesciences* 14,008 609
Eli Lilly 589,060 32,575
Emdeon* 55,500 599
Endo Pharmaceuticals Holdings* 38,377 1,259
Express Scripts* 57,440 5,049
Fisher Scientific International (B)* 154,330 10,502
Forest Laboratories* 51,729 2,309
Genentech (B)* 1,068,238 90,277
Genzyme* 24,993 1,680
Gilead Sciences* 47,384 2,948
Guidant 6,235 487
HCA 125,332 5,739
Health Management Associates, Cl A 6,765 146
Health Net* 111,436 5,663
Henry Schein* 17,966 860
Hillenbrand Industries 4,166 229
Hospira* 68,215 2,692
Humana* 6,672 351
Idexx Laboratories* 21,894 1,891
ImClone Systems* 23,100 786
Invitrogen* 2,436 171
Johnson & Johnson 859,714 50,912
Kindred Healthcare (B)* 19,200 483
Kinetic Concepts* 23,300 959
- --------------------------------------------------------------------------------
38 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Laboratory of America Holdings (B)* 46,404 $ 2,714
LifePoint Hospitals* 8,819 274
Lincare Holdings* 37,690 1,468
Manor Care 7,353 326
Matria Healthcare* 2,000 76
McKesson 91,712 4,781
Medco Health Solutions* 210,841 12,064
Medimmune* 201,067 7,355
Medtronic 969,154 49,185
Merck 287,821 10,140
Millennium Pharmaceuticals* 83,300 842
Millipore* 37,077 2,709
Mylan Laboratories 40,196 941
Neurocrine Biosciences (B)* 10,700 691
Neurometrix* 2,000 78
Omnicare 29,499 1,622
PDL BioPharma* 44,116 1,447
Pfizer 259,700 6,472
Pharmaceutical Product Development 51,604 1,786
PolyMedica 5,000 212
Quest Diagnostics 33,605 1,724
Resmed* 53,690 2,361
Respironics* 60,770 2,365
Schering-Plough 134,591 2,556
Sepracor* 1,663 81
Sierra Health Services* 408 17
St. Jude Medical* 79,386 3,255
Stryker (B) 650,767 28,855
Techne* 30,269 1,820
Thermo Electron* 12,700 471
Trizetto Group (B)* 17,700 311
UnitedHealth Group 953,720 53,275
Universal Health Services, Cl B 27,048 1,374
Varian Medical Systems* 6,009 337
VCA Antech* 80,328 2,288
Ventana Medical Systems* 3,900 163
Waters (B)* 94,049 4,058
WellPoint* 60,633 4,695
Wyeth 413,528 20,064
Zimmer Holdings (B)* 617,470 41,741
----------------
692,423
----------------
INDUSTRIALS -- 8.9%
3M 373,022 28,234
Alliant Techsystems (B)* 11,505 888
American Power Conversion 25,600 592
American Standard 483 21
Ametek 1,957 88
AMR* 65,847 1,781
Aramark, Cl B 23,204 685
Boeing 62,916 4,903
Brink's 5,200 264
Caterpillar 38,672 2,777
Cendant 97,042 1,684
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CH Robinson Worldwide 52,766 $ 2,590
ChoicePoint* 19,700 882
CNF 26,709 1,334
Corporate Executive Board 42,575 4,296
Cummins 18,300 1,923
Deere 25,477 2,014
Dover 30,500 1,481
Eaton 37,046 2,703
Emerson Electric 56,254 4,704
Equifax 72,952 2,717
Expeditors International
Washington (B) 584,500 50,495
Fastenal (B) 90,936 4,305
FedEx 18,020 2,035
General Electric 2,065,844 71,850
Goodrich 12,661 552
Harsco 5,692 470
Herman Miller 48,693 1,578
HNI 39,995 2,360
Illinois Tool Works 98,254 9,463
Ingersoll-Rand, Cl A 82,179 3,434
ITT Industries 44,556 2,505
Jacobs Engineering Group* 21,370 1,854
JB Hunt Transport Services (B) 30,000 646
JetBlue Airways* 115,600 1,239
Joy Global 4,108 245
L-3 Communications Holdings 1,700 146
Landstar System 3,200 141
Lockheed Martin 97,015 7,289
Manpower 7,700 440
Monster Worldwide* 9,800 489
MSC Industrial Direct, Cl A 9,200 497
Navistar International (B)* 21,864 603
NCI Building Systems* 1,100 66
Northrop Grumman (B) 38,248 2,612
Oshkosh Truck 888 55
Paccar (B) 64,567 4,551
Pitney Bowes 26,949 1,157
Precision Castparts 20,424 1,213
Raytheon 3,200 147
Robert Half International 67,100 2,591
Rockwell Automation 48,182 3,465
Rockwell Collins 18,947 1,068
Roper Industries 19,150 931
Ryder System 13,114 587
Southwest Airlines 67,800 1,220
Spherion* 6,200 64
Stericycle* 35,095 2,373
Thomas & Betts* 10,272 528
United Parcel Service, Cl B 808,129 64,149
United Technologies 264,300 15,321
WW Grainger 4,800 362
----------------
331,657
----------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 39
STATEMENT OF NET ASSETS (Unaudited)
LARGE CAP GROWTH FUND (Continued)
March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 27.9%
Activision* 12,414 $ 171
Adobe Systems* 61,126 2,134
Adtran 7,145 187
Advanced Micro Devices (B)* 81,599 2,706
Agere Systems* 596 9
Agilent Technologies* 89,105 3,346
Akamai Technologies* 38,604 1,270
Alliance Data Systems (B)* 53,166 2,487
Altera (B)* 111,900 2,310
Amphenol, Cl A 17,361 906
Analog Devices 51,500 1,972
Apple Computer* 69,739 4,374
Applied Materials* 470,705 8,242
Autodesk 36,793 1,417
Automatic Data Processing 48,950 2,236
Avaya* 28,300 320
Avnet* 36,995 939
BMC Software (B)* 87,732 1,900
Broadcom, Cl A* 64,170 2,770
CA 2,419 66
Cadence Design Systems (B)* 64,955 1,201
CDW (B) 22,072 1,299
Ceridian* 57,408 1,461
Checkfree (B)* 14,672 741
Cisco Systems* 2,359,586 51,132
Citrix Systems* 30,467 1,155
Cognizant Technology Solutions,
Cl A* 801 48
Compuware* 1,861 15
Comverse Technology* 1,047 25
Corning* 92,225 2,482
Dell* 891,426 26,529
Digital Insight* 34,739 1,264
DST Systems* 32,000 1,854
eBay (B)* 1,488,500 58,141
Electronic Arts* 260,569 14,258
Electronic Data Systems 14,100 378
EMC* 1,386,402 18,897
Emulex* 5,300 91
Exar* 5,300 76
Fair Isaac 51,170 2,027
Fidelity National Information Services 35,400 1,435
First Data 1,593,814 74,622
Fiserv* 128,174 5,454
Freescale Semiconductor, Cl B* 88,822 2,467
Global Payments 55,940 2,965
Google, Cl A* 166,711 65,017
Harris 43,827 2,073
Hewlett-Packard 537,500 17,684
Intel 1,369,317 26,496
International Business Machines 241,239 19,895
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Intersil, Cl A 58,182 $ 1,683
Intuit (B)* 731,150 38,890
Iron Mountain* 88,708 3,614
Jabil Circuit* 63,827 2,736
Kla-Tencor 8,121 393
Lam Research* 18,890 812
Lexmark International, Cl A (B)* 14,207 645
Linear Technology (B) 396,115 13,896
Maxim Integrated Products (B) 447,900 16,639
McAfee* 13,997 340
MEMC Electronic Materials* 62,259 2,299
Micrel (B)* 37,483 555
Microchip Technology 9,100 330
Micron Technology* 97,300 1,432
Microsoft 4,893,858 133,162
MicroStrategy, Cl A* 6,720 708
Molex 19,500 647
Motorola 497,451 11,397
National Instruments 2,385 78
National Semiconductor 254,396 7,082
NAVTEQ* 480,000 24,312
Novellus Systems (B)* 28,000 672
Nvidia* 15,059 862
Oracle* 501,765 6,869
Paychex 1,472,397 61,340
QLogic* 134,980 2,612
Qualcomm 2,509,188 126,990
RealNetworks* 8,300 68
Red Hat* 74,703 2,090
Research In Motion* 225,760 19,162
Reynolds & Reynolds, Cl A 5,292 150
Salesforce.com* 19,076 693
SanDisk (B)* 692,824 39,851
Seagate Technology (B) 1,050,000 27,646
Symantec* 8,600 145
Synaptics (B)* 29,729 654
Synopsys* 96,536 2,158
Tech Data (B)* 64,954 2,397
Tektronix 4,900 175
Teradyne* 41,610 645
Texas Instruments 402,715 13,076
Trimble Navigation* 4,070 183
United Online (B) 17,000 219
Vignette* 4,100 60
Websense (B)* 29,800 822
Western Digital* 148,456 2,884
Xerox (B)* 121,849 1,852
Xilinx 138,200 3,519
Yahoo! (B)* 507,584 16,375
Zoran (B)* 3,100 68
----------------
1,036,831
----------------
- --------------------------------------------------------------------------------
40 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
MATERIALS -- 1.6%
Allegheny Technologies 5,800 $ 355
Ball (B) 46,007 2,016
CF Industries Holdings* 8,000 136
Cleveland-Cliffs (B) 2,100 183
Dow Chemical 99,553 4,042
Eagle Materials (B) 19,870 1,267
Florida Rock Industries 20,581 1,157
Freeport-McMoRan Copper & Gold,
Cl B (B) 58,234 3,481
Martin Marietta Materials 41,173 4,407
Monsanto 11,157 946
Mosaic (B)* 8,000 115
Phelps Dodge 48,000 3,865
Praxair 661,583 36,486
Quanex 632 42
Reliance Steel & Aluminum 1,500 141
Scotts Miracle-Gro, Cl A 5,140 235
Sealed Air* 6,350 367
Vulcan Materials 8,824 765
----------------
60,006
----------------
TELECOMMUNICATION SERVICES -- 1.6%
Alltel 5,112 331
American Tower, Cl A (B)* 303,728 9,209
Crown Castle International (B)* 472,942 13,408
Nextel Partners, Cl A* 56,515 1,600
NII Holdings* 28,770 1,697
Sprint Nextel 1,350,000 34,884
----------------
61,129
----------------
UTILITIES -- 0.3%
AES* 16,060 274
Aqua America 11,087 308
Equitable Resources 73,917 2,699
Questar 18,565 1,300
Southern Union* 5,400 134
TXU 117,728 5,270
----------------
9,985
----------------
Total Common Stock
(Cost $3,118,709) ($ Thousands) 3,637,914
----------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS (C) -- 7.3%
FINANCIALS -- 7.3%
Allstate Life Global Funding II
MTN (E) (F)
4.769%, 04/13/07 $ 3,495 $ 3,495
American General Finance (E) (F)
4.779%, 04/13/07 11,015 11,014
American General Finance MTN, Ser F
3.945%, 07/14/06 759 775
Bear Stearns, EXL (E)
4.759%, 04/15/07 13,522 13,522
CIT Group MTN (E)
4.750%, 05/12/06 18,992 18,992
4.617%, 04/19/06 1,899 1,901
Caterpillar Financial Services MTN,
Ser F (E)
4.680%, 07/10/06 3,798 3,798
Countrywide Financial MTN, Ser A (E)
4.960%, 09/13/06 14,054 14,054
Countrywide Financial MTN, Ser A
(E) (F)
4.770%, 11/03/06 7,977 7,976
Dekabank (E) (F)
4.614%, 02/16/07 14,054 14,051
Irish Life & Permanent MTN, Ser X
(E) (F)
4.808%, 04/21/07 10,104 10,102
Islandsbanki (E) (F)
4.844%, 03/22/07 6,457 6,457
4.720%, 03/07/07 11,395 11,395
Jackson National Life Funding
4.630%, 02/01/07 16,713 16,713
Kaupthing Bank MTN (E) (F)
4.836%, 03/20/07 18,992 18,992
Landsbanki Islands (E) (F)
4.829%, 03/16/07 14,434 14,434
Liberty Lighthouse US Capital MTN
(E) (F)
4.725%, 05/10/06 7,597 7,592
Morgan Stanley EXL (E)
4.721%, 05/04/07 2,659 2,659
Morgan Stanley EXL, Ser S (E)
4.634%, 05/03/07 3,798 3,798
Natexis Banques (E) (F)
4.743%, 04/13/07 7,407 7,405
Nationwide Building Society (E) (F)
4.991%, 04/28/07 4,178 4,179
4.700%, 04/05/07 7,597 7,597
Nordbank (E) (F)
4.811%, 04/23/07 12,915 12,912
Northern Rock (E) (F)
4.650%, 05/03/07 7,825 7,825
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 41
STATEMENT OF NET ASSETS (Unaudited)
LARGE CAP GROWTH FUND (Concluded)
March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
Pacific Life Global Funding (E) (F)
4.740%, 04/13/07 $ 5,698 $ 5,698
Premium Asset Trust, Ser 2004-06
(E) (F)
4.857%, 06/30/06 7,217 7,222
Premium Asset Trust, Ser 2004-10
(E) (F)
4.759%, 03/15/07 10,636 10,636
SLM EXL, Ser S (E) (F)
4.570%, 03/15/07 8,356 8,356
Sigma Finance MTN (F)
4.680%, 11/09/06 4,102 4,102
Skandinav Enskilda Bank (E) (F)
4.772%, 03/19/07 8,357 8,356
Witherspoon CDO Funding (E) (F)
4.786%, 09/15/06 5,318 5,318
----------------
Total Corporate Obligations
(Cost $271,326) ($ Thousands) 271,326
----------------
CASH EQUIVALENTS -- 2.2%
First Union Cash Management
Program, 4.623% ** 5,001,892 5,002
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 4.560%** ++ 78,156,048 78,156
----------------
Total Cash Equivalents
(Cost $83,158) ($ Thousands) 83,158
----------------
ASSET-BACKED SECURITIES (C) (E) (F) -- 1.3%
MORTGAGE RELATED SECURITIES -- 1.3%
Cheyne High Grade, Ser 2004-1A, Cl AM1
4.740%, 11/10/06 3,798 3,798
Commodore, Ser 2003-2A, Cl A1MM
4.970%, 12/12/38 3,495 3,495
Duke Funding, Ser 2004-6B, Cl A1S1
4.620%, 04/08/39 5,698 5,698
Harwood Street Funding II, Ser 2005-1A,
Cl NOTE
4.868%, 05/25/06 7,597 7,597
Orchid Structured Finance CDO,
Ser 2003-1A, Cl A1MM
4.920%, 11/18/38 5,827 5,827
Park Place Securities Trust,
Ser 2004-MM1, Cl AM4
4.858%, 02/25/35 5,426 5,426
RMAC, Ser 2004-NS3A, Cl A1
4.720%, 03/12/25 1,360 1,360
Saturn Ventures II
4.730%, 08/07/06 7,089 7,089
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
TIAA Real Estate CDO, Ser 2003 1A,
Cl A1MM
4.851%, 12/28/18 $ 4,905 $ 4,905
Whitehawk CDO Funding, Ser 2004-1A,
Cl AMMD
4.930%, 06/15/06 1,899 1,899
Whitehawk CDO Funding, Ser 2004-1A,
Cl AMME
4.930%, 09/15/06 1,140 1,140
----------------
Total Asset-Backed Securities
(Cost $48,234) ($ Thousands) 48,234
----------------
MASTER NOTES (C) -- 0.8%
Bank of America
4.945%, 04/03/06 18,992 18,992
Bear Stearns
4.995%, 04/03/06 9,116 9,116
----------------
Total Master Notes
(Cost $28,108) ($ Thousands) 28,108
----------------
CERTIFICATE OF DEPOSIT (C) (E) -- 0.1%
US Trust of New York
4.760%, 03/13/07 3,039 3,039
----------------
Total Certificate of Deposit
(Cost $3,039) ($ Thousands) 3,039
----------------
COMMERCIAL PAPER (C) (D) -- 0.7%
FINANCIALS -- 0.7%
CPI Funding
4.901%, 04/03/06 1,548 1,547
Eiffel Funding LLC
4.867%, 04/27/06 1,140 1,135
4.767%, 04/28/06 7,597 7,539
Elysian Funding LLC
4.706%, 04/10/06 3,798 3,771
Harbour Funding
4.763%, 04/06/06 5,648 5,636
Harwood Funding
4.881%, 04/03/06 1,823 1,822
Thornburg Mortgage Capital Resources
4.781%, 04/19/06 3,798 3,783
Transamerica Securities
4.841%, 04/03/06 893 893
----------------
Total Commercial Paper
(Cost $26,126) ($ Thousands) 26,126
----------------
- --------------------------------------------------------------------------------
42 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
TIME DEPOSIT (C) -- 0.2%
Societe Generale
4.900%, 04/03/06 $ 7,597 $ 7,597
----------------
Total Time Deposit
(Cost $7,597) ($ Thousands) 7,597
----------------
U.S. TREASURY OBLIGATION (A) -- 0.1%
U.S. Treasury Bills
4.340%, 05/25/06 4,170 4,143
----------------
Total U.S. Treasury Obligation
(Cost $4,140) ($ Thousands) 4,143
----------------
REPURCHASE AGREEMENTS (C) -- 2.4%
Barclays
4.790%, dated 03/31/06, to be
repurchased on 04/03/06,
repurchase price $43,923,185
(collateralized by various
U.S. Government Obligations,
ranging in par value $3,518,858-
$9,029,610, 0.000%-5.900%,
07/18/06-08/04/25; with total
market value $44,783,838) 43,906 43,906
Lehman Brothers
4.750%, dated 03/31/06, to be
repurchased on 04/03/06,
repurchase price $44,231,321
(collateralized by various
U.S. Government Obligations,
ranging in par value $2,630-
$4,782, 4.500%-10.700%,
10/17/08-11/23/35; with total
market value $45,098,035) 44,214 44,214
----------------
Total Repurchase Agreements
(Cost $88,120) ($ Thousands) 88,120
----------------
Total Investments -- 112.9%
(Cost $3,678,557) ($ Thousands) 4,197,765
----------------
OTHER ASSETS AND LIABILITIES -- (12.9)%
Payable Upon Return on Securities Loaned (472,550)
Payable for Investment Securities Purchased (11,699)
Payable for Fund Shares Redeemed (4,903)
Administration Fees Payable (1,101)
Investment Advisory Fees Payable (1,080)
Shareholder Servicing Fees Payable (539)
Administration Servicing Fees Payable (5)
Other Assets and Liabilities, Net 12,905
----------------
Total Other Assets and Liabilities (478,972)
----------------
Net Assets -- 100.0% $ 3,718,793
================
- --------------------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $ 4,555,656
Undistributed net investment income 446
Accumulated net realized loss on investments
and futures contracts (1,357,550)
Net unrealized appreciation on investments 519,208
Net unrealized appreciation on futures contracts 1,033
----------------
Net Assets $ 3,718,793
================
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($3,690,430,284 / 180,155,400 shares) $20.48
=======
Net Asset Value, Offering and Redemption
Price Per Share -- Class
($28,362,996 / 1,398,089 shares) $20.29
=======
Futures -- A summary of the open futures contracts held by the fund at March 31,
2006, is as follows: (see Note 2 in Notes to Financial Statements)
- --------------------------------------------------------------------------------
UNREALIZED
TYPE OF NUMBER OF EXPIRATION APPRECIATION
CONTRACT CONTRACTS DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
S&P 500 Composite Index 216 June 2006 $1,033
* Non-income producing security.
** Rate shown is the 7-day effective yield as of March 31, 2006.
++ Narrow industries are utilized for compliance purposes, whereas broad
sectors are utilized for reporting.
+ Real Estate Investment Trust
++ Investment in Affiliated Registered Investment Company (See Note 3)
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts. The rate reported is the effective yield at time of
purchase.
(B) This security or a partial position of this security is on loan at March
31, 2006 (see Note 7). The total value of securities on loan at March 31,
2006 was $458,743 ($ Thousands).
(C) This security was purchased with cash collateral held from securities
lending (see Note 7). The total value of such securities as of March 31,
2006 was $472,550 ($ Thousands).
(D) The rate reported is the effective yield at time of purchase.
(E) Variable Rate Security -- The rate reported on the Statement of Net
Assets is the rate in effect as of March 31, 2006.
(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."
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 / Semi-Annual Report / March 31, 2006 43
STATEMENT OF NET ASSETS (Unaudited)
TAX-MANAGED SMALL CAP FUND
March 31, 2006
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS#:
[THE FOLLOWING WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
29.1% Financials
17.0% Short-Term Investments
15.9% Information Technology
10.5% Consumer Discretionary
9.0% Industrials
7.1% Health Care
3.8% Energy
3.1% Materials
2.5% Utilities
1.3% Consumer Staples
0.6% Telecommunication Services
0.1% U.S. Treasury Obligation
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 -- 94.2%
CONSUMER DISCRETIONARY -- 15.2%
1-800-FLOWERS.COM, Cl A* 8,200 $ 58
99 Cents Only Stores* 2,500 34
Aaron Rents 1,100 30
Abercrombie & Fitch, Cl A 600 35
Advance Auto Parts* 750 31
Advo 800 26
Aeropostale* 1,000 30
America's Car-Mart (B)* 1,400 30
American Eagle Outfitters 1,900 57
American Greetings, Cl A (B) 19,200 415
AnnTaylor Stores (B)* 17,150 631
Applebee's International 800 20
Arctic Cat 3,100 75
ArvinMeritor (B) 40,300 601
Autonation* 13,100 282
Autoliv (B) 17,900 1,013
Bally Technologies (B)* 23,000 391
Bandag 5,600 234
Barnes & Noble (B) 23,000 1,064
Beazer Homes USA (B) 6,200 407
Belo, Cl A 15,000 298
Big 5 Sporting Goods 1,100 22
Big Lots* 2,100 29
Blue Nile (B)* 600 21
Bob Evans Farms 800 24
Borders Group 16,200 409
BorgWarner (B) 16,600 997
Bright Horizons Family Solutions (B)* 12,300 476
Brunswick (B) 20,000 777
Build-A-Bear Workshop (B)* 9,800 300
Cabela's, Cl A (B)* 2,400 49
California Pizza Kitchen* 800 26
Carmax* 1,100 36
Carter's (B)* 23,070 1,557
Catalina Marketing 1,300 30
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Cato, Cl A 30,950 $ 738
CBRL Group 12,700 558
CEC Entertainment* 900 30
Charming Shoppes* 1,700 25
Cheesecake Factory (B)* 13,750 515
Cherokee 900 36
Circuit City Stores 9,900 242
Citadel Broadcasting (B) 1,600 18
CKX (B)* 21,900 286
Claire's Stores (B) 2,600 94
Coach (B)* 28,300 979
Coldwater Creek* 1,350 38
Columbia Sportswear (B)* 1,100 59
Corinthian Colleges (B)* 26,000 374
CROCS (B)* 20,400 513
CSK Auto* 1,600 22
Dana (B) 61,100 93
Dick's Sporting Goods (B)* 800 32
Domino's Pizza (B) 30,670 876
DreamWorks Animation SKG, Cl A* 900 24
DSW, Cl A (B)* 500 16
Education Management* 1,100 46
Ethan Allen Interiors (B) 700 29
Expedia* 1 --
Family Dollar Stores 1,100 29
Finish Line, Cl A 12,600 207
Fisher Communications* 600 27
Foot Locker 900 21
Four Seasons Hotels 6,500 330
Fred's 1,700 23
GameStop, Cl A (B)* 1,103 52
Gaylord Entertainment* 12,200 554
Gentex 1,500 26
Getty Images (B)* 500 37
Golf Galaxy (B)* 16,400 358
Goodyear Tire & Rubber (B)* 39,800 576
GTECH Holdings (B) 3,700 126
Guitar Center* 500 24
Gymboree* 18,200 474
Handleman (B) 15,500 149
Harman International Industries 7,200 800
Haverty Furniture 2,000 29
Hibbett Sporting Goods (B)* 18,000 594
Hollinger International, Cl A 2,700 23
HOT Topic* 1,600 23
Insight Enterprises* 1,400 31
Interactive Data 900 21
ITT Educational Services* 700 45
Jakks Pacific (B)* 16,800 449
Jarden (B)* 27,900 917
Jo-Ann Stores (B)* 20,900 281
John Wiley & Sons, Cl A 500 19
Jones Apparel Group (B) 35,622 1,260
Kellwood 1,000 31
- --------------------------------------------------------------------------------
44 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Kerzner International (B)* 7,500 $ 584
Lamar Advertising, Cl A (B)* 1,400 74
Landry's Restaurants (B) 18,800 664
Leapfrog Enterprises (B)* 14,600 155
Levitt, Cl A 1,000 22
Lodgenet Entertainment* 800 12
Lodgian* 1,100 15
Lone Star Steakhouse & Saloon 13,900 395
Matthews International, Cl A 1,000 38
Maytag (B) 1,200 26
McClatchy, Cl A (B) 500 24
Media General, Cl A 600 28
Meredith 1,700 95
Meritage Homes* 7,500 412
Mestek* 2,100 26
Modine Manufacturing 1,000 29
Mohawk Industries* 2,800 226
Morningstar* 2,500 112
Nautilus (B) 24,600 368
NetFlix (B)* 1,100 32
Nutri/System (B)* 10,785 513
NVR (B)* 1,600 1,182
O'Reilly Automotive* 1,600 58
OfficeMax 17,900 540
Orient-Express Hotels, Cl A 8,400 330
Outback Steakhouse 4,100 180
Panera Bread, Cl A (B)* 5,000 376
Pantry (B)* 11,265 703
PEP Boys - Manny Moe & Jack (B) 3,500 53
Petco Animal Supplies* 2,200 52
PF Chang's China Bistro (B)* 800 39
Phillips-Van Heusen 12,500 478
Pier 1 Imports (B) 35,100 408
Pinnacle Entertainment* 1,700 48
Pixar* 15,700 1,007
Polaris Industries 300 16
Polo Ralph Lauren 14,000 849
ProQuest* 14,000 299
Quiksilver (B)* 103,100 1,429
RadioShack (B) 21,700 417
Rare Hospitality International* 1,000 35
RC2* 1,000 40
Regal Entertainment Group, Cl A (B) 1,300 24
Regis (B) 12,300 424
Rent-A-Center* 3,700 95
Ross Stores 900 26
Royal Caribbean Cruises (B) 7,400 311
Ruby Tuesday 800 26
Ryland Group (B) 8,400 583
Saga Communications, Cl A* 2,900 28
Saks (B)* 13,100 253
Sauer-Danfoss 900 21
Scholastic (B)* 12,100 324
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Scientific Games, Cl A* 700 $ 25
SCP Pool 500 23
Select Comfort (B)* 900 36
Service International 3,400 27
ServiceMaster 2,000 26
Sharper Image (B)* 2,300 29
Skyline 600 25
Snap-On 9,400 358
Sonic (B)* 13,600 478
Sonic Automotive 13,900 386
Sotheby's Holdings, Cl A* 1,300 38
Sports Authority* 1,100 41
Stage Stores 2,600 77
Stamps.com* 12,880 454
Stanley Works 5,600 284
Station Casinos (B) 2,400 190
Steinway Musical Instruments* 400 13
Strayer Education 200 20
Stride Rite 38,900 563
Superior Industries International (B) 1,100 21
Technical Olympic USA (B) 18,750 382
Tempur-Pedic International (B)* 2,300 33
Tenneco* 8,800 191
Thor Industries 600 32
Tiffany 1,300 49
Tim Hortons (B)* 12,100 321
Tractor Supply* 2,600 172
Triarc, Cl A (B) 15,400 281
Triarc, Cl B 1,200 21
Triple Crown Media* 4,400 26
Under Armour, Cl A (B)* 11,900 386
Unifi* 6,900 23
United Auto Group (B) 300 13
Universal Technical Institute* 900 27
Urban Outfitters (B)* 25,800 633
Vail Resorts* 1,400 54
Valassis Communications (B)* 13,200 388
VF 5,000 284
Visteon* 53,200 245
Weight Watchers International* 20,500 1,054
Whirlpool (B) 8,500 777
Williams-Sonoma (B)* 12,100 513
WPT Enterprises (B)* 3,800 28
Wynn Resorts (B)* 8,000 615
Yankee Candle 1,100 30
Zale* 1,000 28
----------------
47,918
----------------
CONSUMER STAPLES -- 1.8%
American Italian Pasta, Cl A (B) 6,300 39
BJ's Wholesale Club (B)* 24,200 763
Boston Beer, Cl A* 800 21
Casey's General Stores 900 21
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 45
STATEMENT OF NET ASSETS (Unaudited)
TAX-MANAGED SMALL CAP FUND (Continued)
March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Central Garden & Pet* 900 $ 48
Church & Dwight (B) 4,600 170
Dean Foods* 1,400 54
Hain Celestial Group* 22,900 600
Lance 1,400 31
Molson Coors Brewing, Cl B (B) 13,400 919
Nash Finch (B) 11,300 338
NBTY* 1,200 27
Nu Skin Enterprises, Cl A 1,000 17
Pathmark Stores (B)* 20,600 215
PepsiAmericas 30,100 736
Pilgrim's Pride 8,000 173
Ralcorp Holdings* 1,100 42
Rite Aid (B)* 6,700 27
Supervalu (B) 33,600 1,036
Tyson Foods, Cl A 2,400 33
United Natural Foods (B)* 7,000 245
Universal 6,300 232
Vector Group (B) 1,050 20
WD-40 900 28
Weis Markets 500 22
----------------
5,857
----------------
ENERGY -- 5.5%
Amerada Hess (B) 8,600 1,225
Arch Coal 800 61
Atwood Oceanics* 300 30
Berry Petroleum, Cl A (B) 9,310 637
Bronco Drilling* 1,000 26
CARBO Ceramics (B) 1,500 85
CNX Gas (B)* 8,500 221
Comstock Resources* 8,900 264
Consol Energy 800 59
Cooper Cameron (B)* 15,900 701
Delta Petroleum (B)* 1,200 25
Dril-Quip* 6,960 493
ENSCO International 3,500 180
EOG Resources 800 58
EXCO Resources* 36,700 460
FMC Technologies* 1,800 92
Forest Oil (B)* 1,700 63
Foundation Coal Holdings 3,800 156
General Maritime (B) 700 23
Global Industries (B)* 65,300 946
Grant Prideco (B)* 15,200 651
Grey Wolf (B)* 2,400 18
Grupo TMM ADR, Cl A* 28,500 140
Gulf Island Fabrication 1,900 45
Gulfmark Offshore (B)* 1,000 28
Hanover Compressor (B)* 1,700 32
Harvest Natural Resources (B)* 2,600 25
Helix Energy Solutions Group (B)* 17,800 675
Hercules Offshore* 900 31
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Hornbeck Offshore Services* 14,195 $ 512
Houston Exploration* 10,200 538
Hydril* 600 47
Input/Output (B)* 27,000 262
KFX (B)* 1,200 22
Lone Star Technologies* 500 28
Mariner Energy* 1,374 28
Massey Energy 15,547 561
Maverick Tube (B)* 12,520 664
Meridian Resource* 9,300 38
National Oilwell Varco (B)* 5,100 327
Newpark Resources* 3,000 25
NS Group* 15,100 695
Occidental Petroleum 1,428 132
Oceaneering International* 500 29
Oil States International* 700 26
Parker Drilling* 2,500 23
Patterson-UTI Energy 18,500 591
Peabody Energy 2,400 121
Petroleum Development* 800 36
Plains Exploration & Production* 1,600 62
Pride International* 700 22
Range Resources 2,200 60
RPC 2,250 51
Southwestern Energy* 1,300 42
Stone Energy* 12,100 534
Superior Energy Services* 1,100 30
Swift Energy* 23,300 873
Tesoro 19,100 1,305
Tetra Technologies* 750 35
Ultra Petroleum* 5,700 355
Unit* 400 22
Universal Compression Holdings* 500 25
Veritas DGC* 12,900 586
W-H Energy Services* 900 40
Whiting Petroleum* 19,100 783
World Fuel Services 8,735 353
----------------
17,333
----------------
FINANCIALS -- 16.8%
1st Source 400 12
A.G. Edwards 2,700 135
Accredited Home Lenders Holding (B)* 10,500 537
Advance America Cash Advance Centers 2,000 29
Affiliated Managers Group (B)* 30,230 3,223
Agree Realty+ 1,700 55
Alexander's+* 100 29
Alexandria Real Estate Equities+ 200 19
Alfa 1,200 21
AllianceBernstein Holding LP 2,500 166
Allied Capital (B) 800 24
AMB Property+ 3,900 212
- --------------------------------------------------------------------------------
46 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
AmCOMP* 35,900 $ 344
American Financial Group (B) 22,200 924
American Financial Realty Trust+ 2,000 23
American Home Mortgage Investment+ 800 25
American National Insurance 500 56
AmeriCredit (B)* 26,000 799
AmerUs Group (B) 10,400 626
Amvescap ADR (B) 19,500 368
Annaly Mortgage Management+ (B) 3,400 41
Apartment Investment &
Management, Cl A 300 14
Arbor Realty Trust+ 400 11
Arden Realty+ 500 23
Arrow Financial 618 17
Arthur J Gallagher 2,300 64
Ashford Hospitality Trust+ 1,600 20
Aspen Insurance Holdings 18,400 454
Astoria Financial (B) 24,300 752
Bancorpsouth (B) 23,200 557
Bank Mutual 1,700 20
Bank of Hawaii (B) 6,300 336
Bear Stearns 7,000 971
Bedford Property Investors+ 3,900 105
BioMed Realty Trust+ 800 24
BKF Capital Group (B) 1,900 25
Brandywine Realty Trust+ 483 15
BRE Properties, Cl A+ 400 22
Brookline Bancorp 1,200 19
Calamos Asset Management, Cl A 14,200 531
Capital Lease Funding+ 2,500 28
Capital One Financial 1,210 97
Capital Trust, Cl A+ 500 16
CapitalSource+ (B) 38,427 956
Capitol Federal Financial (B) 300 10
CarrAmerica Realty+ 3,300 147
Cathay General Bancorp 500 19
CB Richard Ellis Group, Cl A (B)* 7,670 619
Cbot Holdings, Cl A (B)* 1,700 203
Central Pacific Financial 8,700 319
Charter Financial 500 19
Chemical Financial 900 29
CIT Group 6,400 343
Citizens Banking 900 24
City National (B) 15,500 1,190
Clifton Savings Bancorp 9,700 104
Colonial BancGroup 56,200 1,405
Colonial Properties Trust+ 400 20
Columbia Equity Trust+ 1,600 28
Commerce Bancorp (B) 700 26
Commerce Bancshares (B) 13,792 713
Commercial Net Lease Realty+ 1,200 28
Community Banks 700 20
Compass Bancshares 9,400 476
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CompuCredit (B)* 3,000 $ 110
Corporate Office Properties Trust+ 700 32
Cousins Properties+ 4,100 137
Crescent Real Estate Equities+ 1,000 21
Cullen/Frost Bankers 6,400 344
Delphi Financial Group, Cl A 400 21
DiamondRock Hospitality+ 1,600 22
Doral Financial 2,500 29
Downey Financial (B) 500 34
Duke Realty+ 600 23
E*Trade Financial* 101,715 2,744
East West Bancorp 11,100 428
EastGroup Properties+ 400 19
Eaton Vance 13,700 375
Education Realty Trust+ 1,800 28
Endurance Specialty Holdings 11,200 365
Entertainment Properties Trust+ 600 25
Equity Lifestyle Properties+ 400 20
Equity One+ 1,400 34
EuroBancshares* 2,200 26
Extra Space Storage+ (B) 1,900 33
Federal Agricultural Mortgage, Cl C (B) 17,000 500
Federal Realty Investment Trust+ 300 23
Financial Institutions 2,200 42
First American (B) 18,100 709
First Busey 900 19
First Commonwealth Financial 1,400 21
First Financial Bancorp 600 10
First Financial Bankshares 700 27
First Industrial Realty Trust+ (B) 900 38
First Marblehead (B) 1,300 56
First Midwest Bancorp 7,300 267
First Niagara Financial Group 21,500 315
First Potomac Realty Trust+ 800 23
FNB 400 14
Friedman Billings Ramsey Group, Cl A+ (B) 16,500 155
Fulton Financial (B) 9,000 155
Getty Realty+ 2,300 67
Glacier Bancorp 300 9
Glenborough Realty Trust+ 1,500 33
Glimcher Realty Trust+ (B) 1,100 31
Global Signal+ 200 10
Gold Banc 6,000 110
Government Properties Trust+ (B) 2,900 28
Gramercy Capital+ 1,000 25
Hancock Holding 500 23
Hanover Insurance Group (B) 29,500 1,546
Harleysville Group 400 12
Health Care Property Investors+ 2,600 74
Heritage Property Investment Trust 1,000 40
Hersha Hospitality Trust+ 2,800 27
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 47
STATEMENT OF NET ASSETS (Unaudited)
TAX-MANAGED SMALL CAP FUND (Continued)
March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Highland Hospitality+ 1,800 $ 23
Highwoods Properties+ 600 20
HomeBanc+ 3,200 28
Hospitality Properties Trust+ 400 17
Host Marriott+ (B) 23,000 492
Hudson City Bancorp (B) 5,600 74
Huntington Bancshares (B) 33,000 796
IndyMac Bancorp 2,600 106
Inland Real Estate+ 2,200 36
Innkeepers USA Trust+ 1,500 25
International Bancshares 4,100 118
Investors Financial Services (B) 4,300 202
Irwin Financial (B) 3,600 70
Janus Capital Group 1,300 30
Jefferies Group 7,600 445
JER Investors Trust+ 6,400 106
Kansas City Life Insurance 500 26
Kilroy Realty+ 400 31
Knight Capital Group, Cl A* 2,300 32
Lakeland Bancorp 1,155 18
LandAmerica Financial Group (B) 13,800 936
LaSalle Hotel Properties+ 700 29
Lazard, Cl A (B) 7,400 327
Leucadia National 500 30
Luminent Mortgage Capital+ (B) 3,800 31
Macerich+ 200 15
MAF Bancorp 600 26
Maguire Properties+ 600 22
Max Re Capital 2,000 48
Mercantile Bankshares 7,200 277
MFA Mortgage Investments+ 4,000 25
MGIC Investment (B) 5,700 380
Mid-America Apartment Communities+ 1,300 71
Mid-State Bancshares 900 26
Nara Bancorp 900 16
Nasdaq Stock Market (B)* 17,405 697
National Financial Partners 10,400 588
National Health Investors+ 900 23
National Health Realty+ 3,500 70
National Penn Bancshares 1,200 26
Nationwide Financial Services, Cl A 19,500 839
Nationwide Health Properties+ 1,200 26
NBC Capital 700 16
New Plan Excel Realty Trust+ 400 10
Newcastle Investment+ 1,000 24
NorthStar Realty Finance+ 10,300 113
Northwest Bancorp 1,100 27
Nuveen Investments, Cl A (B) 19,100 920
OceanFirst Financial 800 20
Old National Bancorp (B) 15,500 335
Old Republic International 31,875 695
One Liberty Properties+ 1,500 30
optionsXpress Holdings (B) 1,200 35
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Park National 200 $ 21
PartnerRe (B) 5,400 335
Piper Jaffray* 7,300 401
Placer Sierra Bancshares 2,400 68
Platinum Underwriters Holdings 11,200 326
Popular (B) 26,900 558
Post Properties+ 600 27
ProAssurance (B)* 19,785 1,029
PS Business Parks+ 1,400 78
Radian Group 17,400 1,048
RAIT Investment Trust+ 500 14
Ramco-Gershenson Properties+ 1,000 30
Rayonier+ 12,600 574
Reckson Associates Realty+ 9,500 435
S&T Bancorp 800 29
Saul Centers+ 900 39
Seacoast Banking of Florida 900 26
Shurgard Storage Centers, Cl A+ 1,200 80
South Financial Group 400 10
Sovereign Bancorp 6,200 136
Sovran Self Storage+ 500 28
Spirit Finance+ 2,200 27
Stancorp Financial Group 8,800 476
Sterling Financial, Washington Shares 17,700 513
Stewart Information Services 10,500 494
Strategic Hotels & Resorts+ 24,100 561
Sun Communities+ 1,200 42
Sunstone Hotel Investors+ 5,300 154
SVB Financial Group (B)* 21,900 1,162
Tanger Factory Outlet Centers+ 900 31
TCF Financial 35,300 909
TD Banknorth (B) 5,495 161
Texas Regional Bancshares, Cl A 330 10
Toronto-Dominion Bank (B) 1,294 72
Town & Country Trust+ (B) 1,000 41
Triad Guaranty* 600 28
Trizec Properties+ 400 10
Trustco Bank 3,800 46
Trustmark 10,100 320
Trustreet Properties+ 17,400 264
U-Store-It Trust+ 6,100 123
UCBH Holdings 1,000 19
Umpqua Holdings 9,700 276
UnionBanCal 14,300 1,003
United Bankshares 13,100 501
United Community Banks 700 20
United Dominion Realty Trust+ 700 20
Universal Health Realty Income Trust+ 300 11
UnumProvident (B) 56,900 1,165
Urstadt Biddle Properties, Cl A+ 1,500 27
Valley National Bancorp 4,400 113
Ventas+ 1,400 46
Virginia Financial Group 500 20
- --------------------------------------------------------------------------------
48 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Waddell & Reed Financial, Cl A 1,000 $ 23
Washington Federal 1,800 44
Washington Mutual 2,762 118
Washington Real Estate Investment Trust+ 1,600 58
Webster Financial (B) 3,200 155
Weingarten Realty Investors+ 500 20
Westamerica Bancorporation 4,900 254
Westfield Financial 800 20
Whitney Holding 1,200 43
Wilmington Trust 1,900 82
Wilshire Bancorp 700 13
Wintrust Financial 9,200 535
WR Berkley 500 29
Zenith National Insurance 4,300 207
Zions Bancorporation 3,550 294
----------------
53,066
----------------
HEALTH CARE -- 10.4%
Abaxis* 1,600 36
Abgenix* 4,600 103
Accelrys* 33,100 241
Adolor* 1,700 40
Affymetrix* 10,700 352
Align Technology (B)* 3,800 35
Alkermes* 1,300 29
Allergan 140 15
Alpharma, Cl A 23,100 620
American Medical Systems Holdings (B)* 6,000 135
Amylin Pharmaceuticals (B)* 2,400 117
Anadys Pharmaceuticals* 27,500 443
Analogic 500 33
Andrx* 1,500 36
Applera - Applied Biosystems Group 3,700 100
Applera - Celera Genomics Group (B)* 32,100 375
Apria Healthcare Group* 1,300 30
Arrow International 600 20
Atherogenics (B)* 1,500 24
AVANIR Pharmaceuticals, Cl A (B)* 950 14
Barr Pharmaceuticals* 15,500 976
Bausch & Lomb 4,400 280
Beckman Coulter 7,000 382
Bentley Pharmaceuticals (B)* 2,500 33
Bruker BioSciences* 4,400 24
Cambrex (B) 18,200 356
Centene* 1,000 29
Cephalon (B)* 26,900 1,621
Cerner (B)* 400 19
Chemed (B) 11,580 687
Community Health Systems (B)* 13,100 474
Conmed* 1,300 25
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Cooper (B) 4,000 $ 216
Covance* 500 29
Cubist Pharmaceuticals (B)* 60,120 1,381
CV Therapeutics (B)* 32,000 707
Cytyc* 1,500 42
Dade Behring Holdings (B) 23,935 855
DaVita* 6,600 397
Dendreon (B)* 73,200 345
Dentsply International 8,000 465
Depomed (B)* 43,500 284
Dionex* 500 31
Diversa* 10,400 95
DJ Orthopedics* 3,700 147
Edwards Lifesciences* 3,400 148
Emdeon* 2,700 29
Encysive Pharmaceuticals (B)* 15,100 74
Endo Pharmaceuticals Holdings* 27,500 902
Enzon Pharmaceuticals* 2,600 21
eResearch Technology (B)* 33,600 483
ev3 (B)* 2,095 37
Exelixis* 2,800 34
Express Scripts* 5,800 510
First Horizon Pharmaceutical (B)* 30,100 759
Fisher Scientific International (B)* 13,900 946
Flamel Technologies ADR (B)* 7,800 165
Gen-Probe* 700 39
Genesis HealthCare* 7,000 308
Health Net (B)* 5,300 269
Healthways (B)* 3,500 178
Henry Schein* 300 14
Hillenbrand Industries 600 33
Humana* 300 16
ICOS (B)* 800 18
Idexx Laboratories* 500 43
ImClone Systems (B)* 700 24
Immucor (B)* 15,650 449
Integra LifeSciences Holdings* 600 25
Intermagnetics General (B)* 20,958 525
Intuitive Surgical* 500 59
Invacare 800 25
Invitrogen (B)* 8,500 596
Kinetic Concepts* 9,500 391
King Pharmaceuticals* 22,600 390
KV Pharmaceutical, Cl A* 1,400 34
LifePoint Hospitals* 800 25
Ligand Pharmaceuticals, Cl B (B)* 5,500 71
Lincare Holdings* 800 31
Magellan Health Services (B)* 11,100 449
Manor Care 900 40
Martek Biosciences (B)* 1,000 33
Medarex (B)* 89,800 1,187
Medicines* 1,500 31
Medicis Pharmaceutical, Cl A (B) 800 26
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 49
STATEMENT OF NET ASSETS (Unaudited)
TAX-MANAGED SMALL CAP FUND (Continued)
March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Metabasis Therapeutics* 5,299 $ 48
MGI Pharma (B)* 30,700 537
Millennium Pharmaceuticals* 3,700 37
Millipore* 300 22
Mylan Laboratories 1,100 26
Myriad Genetics (B)* 18,400 480
Nastech Pharmaceutical (B)* 38,900 700
Nektar Therapeutics (B)* 1,600 33
Neurocrine Biosciences* 700 45
NPS Pharmaceuticals* 4,100 35
Nuvelo (B)* 2,300 41
Odyssey HealthCare* 1,800 31
Omnicare 4,100 225
Onyx Pharmaceuticals (B)* 900 24
OSI Pharmaceuticals (B)* 1,318 42
Owens & Minor 700 23
Par Pharmaceutical (B)* 800 23
Parexel International (B)* 11,200 296
PDL BioPharma (B)* 37,585 1,233
PerkinElmer 2,800 66
Perrigo 1,300 21
Pharmaceutical Product Development 800 28
Pharmacopeia Drug Discovery (B)* 15,950 95
PRA International* 600 15
PSS World Medical* 1,400 27
Psychiatric Solutions (B)* 20,930 693
Resmed* 600 26
Respironics* 700 27
Rigel Pharmaceuticals (B)* 26,800 308
Stereotaxis (B)* 1,900 24
SurModics (B)* 325 11
Sybron Dental Specialties (B)* 21,500 887
Syneron Medical (B)* 200 6
Tanox (B)* 1,400 27
Techne (B)* 6,690 402
Telik (B)* 51,000 987
Thermo Electron* 800 30
Thoratec* 1,100 21
Triad Hospitals* 6,600 277
Trimeris (B)* 7,800 105
United Surgical Partners International (B)* 3,850 136
United Therapeutics* 4,700 311
Universal Health Services, Cl B (B) 22,600 1,148
Valeant Pharmaceuticals International 1,500 24
Varian* 700 29
Varian Medical Systems (B)* 10,515 591
VCA Antech* 800 23
Vertex Pharmaceuticals* 1,100 40
ViaCell* 4,900 27
Vital Signs 2,200 121
Vnus Medical Technologies* 3,600 27
Watson Pharmaceuticals* 2,200 63
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Wright Medical Group* 1,200 $ 24
Zoll Medical* 900 24
----------------
32,707
----------------
INDUSTRIALS -- 13.0%
Aaon* 1,000 24
Actuant, Cl A 6,700 410
Adesa (B) 14,500 388
Administaff (B) 10,300 560
Advisory Board* 400 22
Airtran Holdings* 1,800 33
Alaska Air Group* 14,500 514
Albany International, Cl A 17,600 670
Alexander & Baldwin 400 19
Alliant Techsystems* 300 23
Allied Waste Industries (B)* 28,800 353
Ametek 500 22
AMR (B)* 2,200 60
Angelica 1,400 29
AO Smith 10,300 544
Applied Industrial Technologies 700 31
Applied Signal Technology 1,500 30
Arkansas Best (B) 7,800 305
Armor Holdings* 400 23
Baldor Electric 1,300 44
Banta (B) 22,700 1,180
BE Aerospace (B)* 25,905 651
Briggs & Stratton (B) 8,900 315
Brink's (B) 28,300 1,437
Casella Waste Systems, Cl A* 1,500 21
ChoicePoint* 1,000 45
CNH Global (B) 14,500 374
Compx International 5,100 82
Continental Airlines, Cl B (B)* 24,975 672
Corporate Executive Board 500 50
CoStar Group* 400 21
Covenant Transport, Cl A* 1,500 22
Crane 100 4
Cubic 7,400 177
Cummins 11,600 1,219
Curtiss-Wright 400 26
Deluxe 1,100 29
Dollar Thrifty Automotive Group* 1,200 54
Donaldson 600 20
DRS Technologies 236 13
Dun & Bradstreet* 500 38
EGL (B)* 900 40
ElkCorp 800 27
Energy Conversion Devices (B)* 3,600 177
Equifax 700 26
ESCO Technologies* 1,800 91
Fastenal 1,200 57
Federal Signal 1,500 28
- --------------------------------------------------------------------------------
50 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Flowserve (B)* 9,200 $ 537
Forward Air 1,200 45
Franklin Electric 700 38
G&K Services 700 30
Gardner Denver* 11,155 727
GATX (B) 18,500 764
Goodrich 28,000 1,221
Gorman-Rupp 800 20
Graco 500 23
GrafTech International* 5,400 33
Granite Construction 5,600 273
Harsco 12,500 1,033
Herman Miller 21,800 707
Hexcel* 9,600 211
Hubbell, Cl B 600 31
Huron Consulting Group* 8,500 257
IDEX 5,400 282
Insituform Technologies, Cl A* 1,500 40
Jacuzzi Brands (B)* 35,800 352
JB Hunt Transport Services (B) 16,800 362
JetBlue Airways (B)* 1,950 21
John H. Harland 4,500 177
Joy Global (B) 27,046 1,617
Kansas City Southern (B)* 17,300 427
Kirby* 400 27
Knoll 25,600 546
Labor Ready* 1,900 46
Laidlaw International (B) 8,700 237
Landstar System 600 26
Lennox International (B) 34,070 1,017
Lincoln Electric Holdings 500 27
MAIR Holdings (B)* 5,300 25
Manitowoc (B) 4,100 374
Manpower 900 51
McDermott International (B)* 12,015 654
McGrath Rentcorp 1,200 36
Milacron (B)* 54,160 87
Monster Worldwide (B)* 1,700 85
Moog, Cl A* 2,300 82
MSC Industrial Direct, Cl A (B) 12,800 691
Mueller Industries 24,300 867
Navigant Consulting* 1,100 23
Navistar International (B)* 38,900 1,073
Nordson 800 40
Old Dominion Freight Line* 1,050 28
Orbital Sciences (B)* 7,700 122
Oshkosh Truck (B) 9,400 585
Pacer International 800 26
Pall (B) 28,800 898
PAM Transportation Services* 1,500 37
PHH* 1,200 32
Quanta Services (B)* 9,800 157
Regal-Beloit (B) 13,600 575
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Resources Connection (B)* 16,200 $ 404
Robbins & Myers 5,300 114
Robert Half International 1,900 73
RR Donnelley & Sons (B) 4,300 141
Ryder System (B) 31,400 1,406
School Specialty* 700 24
Shaw Group* 800 24
SIRVA* 3,300 28
Skywest 1,000 29
SPX 8,000 427
Standard Register 1,000 15
Stericycle* 500 34
Tecumseh Products, Cl A (B) 15,900 390
Teledyne Technologies (B)* 10,900 388
Tennant 500 26
Tetra Tech* 1,300 25
Thomas & Betts (B)* 17,400 894
Timken 15,200 491
Toro 1,400 67
United Rentals (B)* 25,500 880
Universal Forest Products (B) 15,600 990
USG (B)* 6,800 646
UTI Worldwide (B) 33,465 1,057
Vicor 1,400 28
Wabtec (B) 19,955 651
Walter Industries (B) 25,200 1,679
Washington Group International* 14,000 803
Waste Industries USA 1,800 39
Watson Wyatt Holdings 1,300 42
Williams Scotsman International* 20,700 519
Woodward Governor 600 20
----------------
41,056
----------------
INFORMATION TECHNOLOGY -- 22.6%
24/7 Real Media* 38,500 403
3Com* 31,900 163
Activision* 42,033 580
Acxiom 1,100 28
Adaptec* 5,800 32
ADC Telecommunications (B)* 14,700 376
Adobe Systems* 966 34
Adtran (B) 2,700 71
Advanced Digital Information* 2,300 20
Advent Software* 3,700 105
Aeroflex* 2,100 29
Agere Systems* 9,150 138
Akamai Technologies (B)* 22,000 724
Alliance Semiconductor (B)* 23,800 66
Altera* 78,700 1,624
Amdocs (B)* 36,600 1,320
AMIS Holdings* 32,300 293
Amphenol, Cl A 9,000 470
Andrew* 2,200 27
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 51
STATEMENT OF NET ASSETS (Unaudited)
TAX-MANAGED SMALL CAP FUND (Continued)
March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Ansys (B)* 2,100 $ 114
aQuantive (B)* 42,600 1,003
Ariba* 2,900 28
Arris Group (B)* 25,900 356
Arrow Electronics* 1,000 32
Atheros Communications (B)* 2,200 58
Atmel* 5,200 25
ATMI* 800 24
Autodesk 1,000 39
Avanex (B)* 71,000 231
Avaya (B)* 149,600 1,690
Avid Technology (B)* 9,000 391
Avnet* 13,100 332
Avocent* 11,600 368
AVX 4,600 81
Axcelis Technologies* 5,300 31
BEA Systems* 3,400 45
BearingPoint (B)* 37,800 321
Bel Fuse, Cl B 600 21
BISYS Group* 14,800 200
Black Box 6,700 322
BMC Software* 30,400 658
Brightpoint* 14,625 454
Brocade Communications Systems (B)* 66,800 446
Brooks Automation (B)* 69,000 983
Cabot Microelectronics (B)* 1,000 37
Cadence Design Systems (B)* 2,600 48
Ceridian* 4,500 115
Check Point Software Technologies* 900 18
Checkfree (B)* 8,600 434
Ciena* 6,400 33
Citrix Systems (B)* 2,300 87
CNET Networks (B)* 52,300 743
Cogent* 19,800 363
Cognex 900 27
Cognizant Technology Solutions, Cl A (B)* 3,700 220
Cognos* 9,700 377
Coherent* 400 14
Cohu 900 19
CommScope (B)* 24,185 690
Compuware* 4,600 36
Convergys* 22,500 410
Cree (B)* 43,500 1,427
CSG Systems International (B)* 24,400 568
Cymer (B)* 8,700 395
Cypress Semiconductor (B)* 3,500 59
Diebold 800 33
Digital Insight (B)* 16,375 596
Digital River (B)* 800 35
Digitas* 5,800 84
Ditech Communications* 3,800 40
DST Systems* 800 46
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Dycom Industries* 3,700 $ 79
Earthlink (B)* 83,800 800
Echelon* 2,600 25
eFunds* 1,000 26
Electro Scientific Industries* 1,000 22
Electronics for Imaging* 12,600 352
Emulex* 800 14
Equinix* 500 32
Extreme Networks* 4,200 21
F5 Networks (B)* 8,900 645
Factset Research Systems 3,300 146
Fairchild Semiconductor International (B)* 28,700 547
FEI (B)* 11,400 226
Fidelity National Information Services (B) 900 36
Filenet* 700 19
Flextronics International* 83,300 862
Flir Systems (B)* 8,700 247
Formfactor* 700 28
Forrester Research* 900 20
Foundry Networks (B)* 13,700 249
Gartner* 2,600 36
Global Payments (B) 800 42
Greenfield Online (B)* 4,400 26
Harris 800 38
Homestore* 4,800 31
Hutchinson Technology (B)* 12,400 374
Hyperion Solutions* 8,250 269
Identix* 29,700 236
Imation 500 21
InFocus (B)* 30,900 147
Informatica (B)* 45,600 709
Infospace* 1,100 31
Ingram Micro, Cl A* 39,700 794
Interdigital Communications* 1,000 25
Intermec* 700 21
Intersil, Cl A (B) 30,400 879
Intervideo* 2,200 24
Ipass* 19,200 154
iPayment* 500 21
Iron Mountain* 800 33
Ixia* 28,900 412
Jack Henry & Associates 9,000 206
JDS Uniphase* 8,700 36
Kanbay International* 1,600 24
Keane* 2,400 38
Kemet* 2,900 27
Keynote Systems* 29,800 341
Kronos* 400 15
Lam Research (B)* 1,600 69
Lattice Semiconductor (B)* 195,000 1,299
Lawson Software (B)* 3,400 26
Leadis Technology* 4,500 26
- --------------------------------------------------------------------------------
52 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
LSI Logic (B)* 99,100 $ 1,146
Macrovision* 1,200 27
Magma Design Automation* 2,700 23
Manhattan Associates (B)* 10,600 233
Mantech International, Cl A* 900 30
MAXIMUS 500 18
Maxtor (B)* 147,500 1,410
MEMC Electronic Materials* 1,700 63
Mentor Graphics* 31,200 345
Methode Electronics 33,500 365
Mettler Toledo International* 400 24
Micrel* 2,100 31
Microsemi (B)* 47,955 1,396
MicroStrategy, Cl A* 300 32
MoneyGram International 1,000 31
Motive (B)* 11,200 44
MPS Group* 1,700 26
Multi-Fineline Electronix (B)* 14,095 824
National Instruments 1,300 42
NAVTEQ (B)* 4,400 223
NCR* 15,000 627
Ness Technologies* 2,600 33
Netlogic Microsystems (B)* 19,030 784
Newport* 1,300 25
NIC* 3,700 23
Novell* 4,200 32
Novellus Systems* 13,100 314
O2Micro International ADR* 35,700 379
Omnivision Technologies (B)* 200 6
ON Semiconductor* 4,000 29
Openwave Systems (B)* 41,800 902
Opsware* 3,500 30
Orckit Communications* 5,100 112
Palm (B)* 1,200 28
Parametric Technology (B)* 22,880 374
Paxar* 1,300 25
Pericom Semiconductor* 2,100 21
Perot Systems, Cl A (B)* 35,200 548
Pixelworks (B)* 98,100 488
Plantronics 20,300 719
Plexus* 1,200 45
PMC - Sierra* 29,000 356
Polycom (B)* 165,300 3,584
Power Integrations* 800 20
PowerDsine* 11,600 80
Powerwave Technologies (B)* 48,960 660
Progress Software* 600 17
QLogic* 1,800 35
Quantum (B)* 103,200 386
Quest Software* 1,300 22
Rackable Systems* 11,000 581
RADWARE (B)* 7,800 138
Rambus (B)* 1,900 75
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
RealNetworks (B)* 3,700 $ 31
Red Hat (B)* 14,300 400
Redback Networks (B)* 4,900 106
Reynolds & Reynolds, Cl A 10,900 310
RF Micro Devices (B)* 164,000 1,419
Rofin-Sinar Technologies* 500 27
RSA Security (B)* 32,000 574
S1* 3,900 20
Sabre Holdings, Cl A 15,700 369
SafeNet* 1,000 26
Salesforce.com (B)* 28,105 1,021
Sanmina-SCI* 6,800 28
Sapient* 3,700 28
Seachange International (B)* 26,900 209
Semtech* 2,100 38
Satyam Computer Services ADR (B)* 11,100 486
Silicon Image* 2,600 27
Silicon Laboratories* 700 38
Sirf Technology Holdings (B)* 18,700 662
Skyworks Solutions (B)* 176,900 1,201
Solectron (B)* 262,300 1,049
Sonic Solutions* 24,000 435
Startek 5,200 123
Supertex (B)* 900 34
Sybase (B)* 13,200 279
Sycamore Networks* 11,300 53
Symbol Technologies 2,000 21
Synopsys* 41,800 934
Syntel 2,100 40
Tech Data* 1,900 70
Technitrol 1,200 29
Tekelec (B)* 51,600 714
Tektronix 800 29
Tellabs* 36,300 577
Teradyne (B)* 66,000 1,024
Tessera Technologies* 900 29
THQ (B)* 31,800 823
TIBCO Software (B)* 118,100 987
Transaction Systems Architects* 700 22
Trident Microsystems (B)* 22,500 654
Trimble Navigation* 700 32
Triquint Semiconductor* 5,800 29
Ultratech (B)* 10,400 255
Unica* 35,100 407
Unisys (B)* 76,600 528
United Online 28,100 361
Utstarcom (B)* 32,300 203
Valueclick (B)* 26,665 451
Varian Semiconductor Equipment Associates* 750 21
Veeco Instruments* 1,600 37
VeriFone Holdings* 15,990 484
Viasat* 900 26
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 53
STATEMENT OF NET ASSETS (Unaudited)
TAX-MANAGED SMALL CAP FUND (Continued)
March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Vishay Intertechnology* 2,000 $ 28
WatchGuard Technologies* 21,500 110
Wavecom ADR* 10,000 138
Websense* 800 22
Western Digital (B)* 56,300 1,094
Wind River Systems (B)* 81,400 1,013
Witness Systems* 12,200 310
Zebra Technologies, Cl A* 1,600 72
Zoran (B)* 14,000 306
----------------
71,240
----------------
MATERIALS -- 4.5%
Airgas 800 31
Albemarle 2,400 109
Allegheny Technologies (B) 14,100 863
Aptargroup (B) 4,900 271
Ball 16,900 741
Bowater 6,000 178
Calgon Carbon (B) 6,500 40
Caraustar Industries* 2,500 26
Carpenter Technology 900 85
Coeur d'Alene Mines (B)* 5,200 34
Commercial Metals 700 37
Constar International (B)* 16,800 56
Crown Holdings* 20,000 355
Cytec Industries (B) 17,100 1,026
Deltic Timber 500 30
Eastman Chemical (B) 8,500 435
Engelhard 600 24
Ferro 1,300 26
FMC (B)* 16,400 1,016
Georgia Gulf 900 23
Glatfelter 1,500 28
Greif, Cl A 400 27
H.B. Fuller 800 41
Headwaters (B)* 1,300 52
Hercules (B)* 44,000 607
International Flavors & Fragrances 500 17
Lafarge North America 900 76
Louisiana-Pacific 12,000 326
Lubrizol 14,300 613
MacDermid 900 29
Martin Marietta Materials (B) 6,040 646
MeadWestvaco (B) 14,800 404
Metal Management 700 22
Mosaic (B)* 6,500 93
Neenah Paper 800 26
NN 2,200 28
Owens-Illinois* 40,600 705
Packaging of America 6,600 148
PolyOne* 37,100 346
Quanex 12,750 850
Reliance Steel & Aluminum (B) 7,550 709
Rinker Group ADR (B) 1,200 84
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Rock-Tenn, Cl A 31,200 $ 468
Royal Gold (B) 900 33
Schnitzer Steel Industries, Cl A 300 13
Schweitzer-Mauduit International 1,300 31
Sealed Air* 600 35
Sensient Technologies 1,100 20
Sigma-Aldrich (B) 2,900 191
Silgan Holdings 800 32
Smurfit-Stone Container* 26,700 362
Steel Dynamics 6,900 391
Stillwater Mining* 4,800 79
Symyx Technologies* 19,900 552
Terra Industries (B)* 11,800 83
United States Steel (B) 12,600 765
Valhi 1,400 25
Wausau Paper 2,100 30
----------------
14,393
----------------
TELECOMMUNICATION SERVICES -- 0.8%
Alaska Communications Systems
Group 2,300 28
Alltel 431 28
American Tower, Cl A* 5,615 170
Arbinet-thexchange* 4,100 30
Broadwing (B)* 4,200 62
CenturyTel (B) 19,200 751
Commonwealth Telephone Enterprises 900 31
Crown Castle International* 2,700 77
CT Communications 2,000 27
General Communication, Cl A* 1,800 22
Golden Telecom (B) 600 18
IDT, Cl B* 2,100 23
Iowa Telecommunications Services 1,600 30
Nextel Partners, Cl A* 3,800 108
NII Holdings* 800 47
North Pittsburgh Systems 1,200 28
Price Communications* 3,800 67
SBA Communications, Cl A* 28,530 668
SureWest Communications 900 22
Ubiquitel* 23,300 235
USA Mobility* 900 26
Valor Communications Group 2,200 29
----------------
2,527
----------------
UTILITIES -- 3.6%
AGL Resources 9,400 339
Allegheny Energy (B)* 1,200 41
Allete (B) 6,900 322
Avista (B) 26,200 541
Black Hills 6,100 207
California Water Service Group 600 27
Cascade Natural Gas 4,900 97
Centerpoint Energy (B) 25,300 302
- --------------------------------------------------------------------------------
54 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CH Energy Group 300 $ 14
Cleco 14,800 330
CMS Energy (B)* 61,100 791
Connecticut Water Service 1,100 29
Constellation Energy Group 7,700 421
DPL 2,300 62
Duquesne Light Holdings 2,300 38
Dynegy, Cl A* 4,200 20
El Paso Electric 2,000 38
Empire District Electric (B) 1,100 24
Energen (B) 14,100 494
EnergySouth 800 25
Equitable Resources 7,200 263
ITC Holdings (B) 12,000 315
Laclede Group 800 28
MDU Resources Group (B) 27,450 918
MGE Energy 300 10
Middlesex Water 1,600 30
New Jersey Resources 900 41
Nicor (B) 7,200 285
Northeast Utilities (B) 4,000 78
Northwest Natural Gas 1,000 36
NorthWestern (B) 14,100 439
NRG Energy* 6,600 298
Ormat Technologies (B) 2,600 99
Otter Tail 800 23
Peoples Energy (B) 600 21
Pepco Holdings 500 11
Pinnacle West Capital 14,800 579
PNM Resources 19,100 466
PPL 18,200 535
Puget Energy 16,000 339
Reliant Energy* 8,300 88
Sempra Energy (B) 15,100 702
South Jersey Industries 800 22
Southern Union (B)* 9,500 236
Southwest Gas 1,000 28
Southwest Water 1,575 25
TECO Energy 32,000 516
UGI 34,500 727
UIL Holdings 500 26
Vectren 700 18
Wisconsin Energy 4,100 164
----------------
11,528
----------------
Total Common Stock
(Cost $227,769) ($ Thousands) 297,625
----------------
Number of
Warants
----------
WARRANT -- 0.0%
Washington Mutual (D)* 100,700 17
----------------
Total Warrant
(Cost $25) ($ Thousands) 17
----------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER (C) (E) -- 19.1%
FINANCIALS -- 19.1%
ASAP Funding
4.794%, 05/16/06 $ 1,000 $ 994
Bavaria TRR
4.814%, 04/20/06 3,285 3,277
4.749%, 04/04/06 1,500 1,499
Brahms Funding
4.779%, 04/06/06 4,000 3,997
Clipper Receivables
4.797%, 04/26/06 1,000 997
4.787%, 04/24/06 4,500 4,486
Crown Point Capital LLC
4.804%, 04/04/06 4,500 4,498
Fairway Finance Company LLC
4.790%, 04/27/06 4,500 4,485
Falcon Asset Securitization
4.771%, 04/17/06 1,100 1,098
Giro Funding US
4.797%, 04/27/06 3,500 3,488
Harwood
4.815%, 04/21/06 4,000 3,989
Jupiter Securitization
4.791%, 05/02/06 5,000 4,979
Kitty Hawk Funding
4.787%, 04/24/06 4,500 4,486
Klio Funding
4.797%, 04/18/06 4,000 3,991
Mica Funding
4.653%, 04/03/06 5,000 4,999
Shefield Receivables
4.776%, 04/07/06 2,500 2,498
Stratford Receivables
4.681%, 04/12/06 2,000 1,997
Thames Asset Global
4.784%, 04/03/06 4,500 4,499
----------------
Total Commercial Paper
(Cost $60,257) ($ Thousands) 60,257
----------------
CASH EQUIVALENTS -- 6.9%
Barclays Global Investors Funds,
Prime Money Market Fund,
4.793% ** (C) 100,000 100
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 4.560%** ++ 18,170,593 18,171
The Reserve Funds,
Primary Fund, Cl 8,
4.793% ** (C) 3,562,586 3,563
----------------
Total Cash Equivalents
(Cost $21,834) ($ Thousands) 21,834
----------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 55
STATEMENT OF NET ASSETS (Unaudited)
TAX-MANAGED SMALL CAP FUND (Concluded)
March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS (C) (F) (G) -- 6.3%
FINANCIALS -- 6.3%
Harrier Finance Funding MTN
4.830%, 04/27/06 $ 3,000 $ 3,000
K2 MTN
4.830%, 05/10/06 3,000 3,000
Liberty Lighthouse US Capital MTN
4.541%, 03/01/07 5,000 4,999
Links Finance MTN
4.830%, 04/28/06 3,000 3,000
Theta MTN
4.835%, 05/05/06 3,000 3,000
Whistlejacket Capital Funding MTN
4.835%, 05/15/06 3,000 3,000
----------------
Total Corporate Obligations
(Cost $19,999) ($ Thousands) 19,999
----------------
ASSET-BACKED SECURITIES (C) (F) (G) -- 0.5%
Park Place Securities Trust,
Ser 2004-MM1, Cl AM2
4.858%, 02/25/35 1,521 1,521
----------------
Total Asset-Backed Securities
(Cost $1,521) ($ Thousands) 1,521
----------------
U.S. TREASURY OBLIGATION (A) -- 0.2%
U.S. Treasury Bills
4.306%, 05/25/06 625 621
----------------
Total U.S. Treasury Obligation
(Cost $621) ($ Thousands) 621
----------------
REPURCHASE AGREEMENTS (C) -- 17.7%
Bank of America
4.800%, dated 03/31/06, to be
repurchased on 04/03/06,
repurchase price $11,004,400
(collateralized by a U.S.
Government Obligation, par
value $11,782,509, 5.500%,
09/01/19; with total market
value $11,220,000) 11,000 11,000
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Barclays Capital
4.780%, dated 03/31/06, to be
repurchased on 04/03/06,
repurchase price $12,004,780
(collateralized by a U.S.
Government Obligation, par
value $12,274,000, 3.000%,
11/22/06; with total market
value $12,240,983) $ 12,000 $ 12,000
Deutsche Bank Securities
4.800%, dated 03/31/06, to be
repurchased on 04/03/06,
repurchase price $13,005,200
(collateralized by various
U.S. Government Obligations,
ranging in par value $1,143,000-
$12,091,000, 4.000%-11.750%,
09/02/08-11/15/14; with total
market value $13,261,066) 13,000 13,000
Goldman Sachs
4.850%, dated 03/31/06, to be
repurchased on 04/03/06,
repurchase price $11,004,446
(collateralized by a U.S.
Government Obligation,
par value $12,319,305, 4.500%,
05/01/10; with total market
value $11,200,001) 11,000 11,000
Merrill Lynch
4.820%, dated 03/31/06, to be
repurchased on 04/03/06,
repurchase price $9,003,615
(collateralized by various
U.S. Government Obligations,
ranging in par value $1,029,711-
$3,000,000, 3.254%-5.078%,
09/01/32-01/01/36; with total
market value $9,180,786) 9,000 9,000
----------------
Total Repurchase Agreements
(Cost $56,000) ($ Thousands) 56,000
----------------
Total Investments -- 144.9%
(Cost $388,026) ($ Thousands) 457,874
----------------
- --------------------------------------------------------------------------------
56 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES -- (44.9)%
Payable Upon Return on Securities Loaned $ (141,440)
Payable for Investment Securities Purchased (1,442)
Payable for Fund Shares Redeemed (284)
Investment Advisory Fees Payable (135)
Administration Fees Payable (92)
Shareholder Servicing Fees Payable (65)
Other Assets and Liabilities, Net 1,538
----------------
Total Other Assets and Liabilities (141,920)
----------------
Net Assets -- 100.0% $ 315,954
================
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $ 230,671
Undistributed net investment income 8
Accumulated net realized gain on investments
and futures contracts 14,526
Net unrealized appreciation on investments 69,848
Net unrealized appreciation on futures contracts 901
----------------
Net Assets $ 315,954
================
Net Asset Value, Offering and Redemption
Price Per Share - Class A
($315,953,542 / 22,557,975 shares) $14.01
=======
Futures -- A summary of the open futures contracts held by the fund at March 31,
2006, is as follows: (see Note 2 in Notes to Financial Statements)
- --------------------------------------------------------------------------------
UNREALIZED
TYPE OF NUMBER OF EXPIRATION APPRECIATION
CONTRACT CONTRACTS DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
Russell 2000 Index 122 June 2006 $590
S&P 400 Index E-MINI 101 June 2006 311
----
$901
====
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
* Non-income producing security.
** Rate shown is the 7-day effective yield as of March 31, 2006.
+ Real Estate Investment Trust
++ Investment in Affiliated Registered Investment Company (See Note 3)
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts. The rate reported is the effective yield at time of
purchase.
(B) This security or a partial position of this security is on loan at March
31, 2006 (see Note 7). The total value of securities on loan at March 31,
2006 was $138,237 ($ Thousands).
(C) This security was purchased with cash collateral held from securities
lending (see Note 7). The total value of such securities as of March 31,
2006 was $141,440 ($ Thousands).
(D) This warrant represents a potential distribution settlement in a legal
claim and does not have a strike price or expiration date.
(E) The rate reported is the effective yield at time of purchase.
(F) Variable Rate Security -- The rate reported on the Statement of Net Assets
is the rate in effect as of March 31, 2006.
(G) 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
Cl -- Class
LLC -- Limited Liability Company
MTN -- Medium Term Note
Ser -- Series
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 57
STATEMENT OF NET ASSETS (Unaudited)
SMALL CAP VALUE FUND
March 31, 2006
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS#:
[THE FOLLOWING WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
33.7% Financials
12.8% Consumer Discretionary
12.6% Industrials
11.6% Information Technology
8.3% Short-Term Investments
4.6% Health Care
4.2% Energy
4.2% Materials
2.5% Utilities
2.4% Asset-Backed Securities
2.3% Consumer Staples
0.4% Telecommunication Services
0.3% Exchange Traded Funds
0.1% U.S. Treasury Obligation
0.0% Warrant
#Percentages based on total investments. Includes investments held as collateral
for securities on loan (see Note 7).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 96.9%
CONSUMER DISCRETIONARY -- 16.7%
1-800 Contacts (B)* 70,800 $ 952
1-800-FLOWERS.COM, Cl A* 66,500 472
Advo 151,055 4,834
Aftermarket Technology* 89,676 2,028
Alderwoods Group* 48,600 870
American Axle & Manufacturing Holdings (B) 129,750 2,223
American Greetings, Cl A (B) 76,260 1,649
Applebee's International 44,410 1,090
Arctic Cat 100,900 2,428
ArvinMeritor (B) 376,500 5,614
Bally Technologies (B)* 224,822 3,820
Bandag 11,300 473
Belo, Cl A (B) 56,820 1,130
Bluegreen* 72,600 960
Brinker International 27,370 1,156
Brown Shoe 29,000 1,522
Building Material Holding (B) 66,400 2,366
Catalina Marketing 18,200 420
Cato, Cl A 69,000 1,646
CBRL Group 60,800 2,670
Childrens Place Retail Stores (B)* 28,200 1,633
Cooper Tire & Rubber 86,540 1,241
Corinthian Colleges (B)* 199,500 2,873
Cost Plus (B)* 28,300 484
Courier 26,243 1,164
CSK Auto* 179,290 2,487
Dana (B) 482,700 738
Emmis Communications, Cl A* 19,300 309
Ethan Allen Interiors (B) 102,100 4,290
Finish Line, Cl A (B) 61,200 1,007
Foot Locker 69,956 1,671
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Furniture Brands International (B) 212,100 $ 5,199
Gaylord Entertainment (B)* 77,300 3,508
Genesco* 20,000 778
Group 1 Automotive* 36,800 1,749
Handleman (B) 51,600 495
Interface, Cl A* 106,570 1,472
Jack in the Box (B)* 23,300 1,014
Jakks Pacific (B)* 107,600 2,877
Jarden (B)* 115,150 3,783
Jo-Ann Stores (B)* 168,300 2,265
Journal Communications, Cl A 47,000 583
K2 (B)* 41,400 520
Kellwood (B) 144,500 4,536
Kerzner International (B)* 26,500 2,062
Kimball International, Cl B 35,700 537
La-Z-Boy (B) 98,700 1,678
Landry's Restaurants (B) 86,700 3,063
Leapfrog Enterprises (B)* 154,300 1,639
Libbey 27,200 193
Lithia Motors, Cl A 14,900 517
Lone Star Steakhouse & Saloon 101,400 2,882
M/I Homes 2,300 108
Marvel Entertainment (B)* 130,800 2,632
MDC Holdings (B) 16,380 1,053
Men's Wearhouse 31,004 1,114
Mikohn Gaming* 98,300 941
Modine Manufacturing 21,300 628
Movie Gallery (B) 263,700 796
Noble International 12,300 208
OfficeMax 97,400 2,939
Orient-Express Hotels, Cl A (B) 32,600 1,279
PEP Boys - Manny Moe & Jack (B) 73,400 1,109
Petco Animal Supplies* 135,900 3,203
Phillips-Van Heusen 51,100 1,952
Pier 1 Imports (B) 284,600 3,304
ProQuest* 198,600 4,248
Quiksilver (B)* 195,500 2,710
RadioShack (B) 164,700 3,167
RC2* 45,000 1,791
Regal Entertainment Group, Cl A (B) 100,400 1,888
Regis (B) 107,260 3,698
Rent-A-Center (B)* 167,100 4,276
Russell 55,330 764
Ryan's Restaurant Group* 158,300 2,295
Ryland Group (B) 19,800 1,374
Saks (B)* 35,900 693
Sauer-Danfoss 5,100 117
Scholastic* 84,100 2,250
Sinclair Broadcast Group, Cl A 63,200 515
Sonic Automotive 142,600 3,959
Sports Authority (B)* 27,300 1,007
Stage Stores (B) 51,750 1,540
Starwood Hotels & Resorts Worldwide 138,100 9,353
Steinway Musical Instruments* 4,700 151
- --------------------------------------------------------------------------------
58 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Stewart Enterprises, Cl A (B) 127,100 $ 726
Superior Industries International (B) 163,100 3,158
Tenneco* 74,700 1,620
Too (B)* 41,790 1,435
Trans World Entertainment* 58,300 325
Triarc, Cl A 39,100 713
Tupperware Brands 47,200 972
Unifirst 49,487 1,644
United Auto Group (B) 33,900 1,458
Vail Resorts (B)* 37,500 1,433
Valassis Communications (B)* 195,460 5,741
Visteon (B)* 429,700 1,977
WCI Communities (B)* 68,600 1,908
William Lyon Homes (B)* 6,700 641
World Wrestling Entertainment 113,400 1,916
Zale (B)* 209,000 5,858
----------------
196,157
----------------
CONSUMER STAPLES -- 3.0%
BJ's Wholesale Club (B)* 115,000 3,624
Casey's General Stores 67,927 1,553
Chattem* 34,400 1,295
Chiquita Brands International 75,200 1,261
Corn Products International 72,190 2,135
Delta & Pine Land (B) 68,300 2,060
Gold Kist (B)* 153,600 1,941
Hain Celestial Group* 109,700 2,873
JM Smucker 27,375 1,087
Lancaster Colony 30,300 1,273
Longs Drug Stores 32,400 1,499
Molson Coors Brewing, Cl B 63,700 4,371
Pathmark Stores* 134,200 1,404
Premium Standard Farms 25,900 455
Ralcorp Holdings* 26,223 998
Ruddick 36,700 892
Sanderson Farms (B) 138,000 3,091
Spartan Stores* 86,600 1,104
Universal 26,300 967
Weis Markets 24,500 1,092
----------------
34,975
----------------
ENERGY -- 5.6%
Atlas America (B)* 32,610 1,559
Berry Petroleum, Cl A 31,500 2,156
Bristow Group* 7,900 244
Cabot Oil & Gas (B) 41,600 1,994
Callon Petroleum* 32,500 683
Cimarex Energy (B)* 111,300 4,815
Comstock Resources (B)* 62,900 1,868
Energy Partners (B)* 27,200 641
Forest Oil* 25,850 961
Global Industries* 196,700 2,850
Goodrich Petroleum (B)* 34,501 932
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Grupo TMM ADR, Cl A* 195,600 $ 962
Harvest Natural Resources (B)* 69,500 676
Hercules Offshore* 11,600 395
Holly 28,100 2,083
Houston Exploration (B)* 32,000 1,686
Input/Output (B)* 174,400 1,693
Lone Star Technologies* 54,600 3,025
Mariner Energy* 61,920 1,270
Massey Energy (B) 75,100 2,709
National Oilwell Varco* 24,300 1,558
Penn Virginia 14,100 1,001
Plains Exploration & Production* 114,119 4,410
Rosetta Resources* 90,000 1,616
St. Mary Land & Exploration (B) 127,400 5,202
Stone Energy* 106,900 4,717
Superior Energy Services (B)* 46,500 1,246
Swift Energy (B)* 96,950 3,632
Tesoro 11,500 786
Transmontaigne* 67,600 663
Veritas DGC (B)* 30,300 1,375
W&T Offshore (B) 44,900 1,810
W-H Energy Services* 60,840 2,707
Whiting Petroleum* 27,808 1,140
----------------
65,065
----------------
FINANCIALS -- 24.7%
Acadia Realty Trust+ 58,700 1,382
ACE Cash Express* 5,600 139
Advanta, Cl B 21,800 804
AMB Property+ 46,800 2,540
American Equity Investment
Life Holding (B) 104,751 1,502
AmericanWest Bancorp* 12,000 318
AmerUs Group (B) 24,900 1,500
Anchor Bancorp Wisconsin 26,600 806
Annaly Mortgage Management+ 148,100 1,798
Anthracite Capital+ 66,300 728
Arbor Realty Trust+ (B) 88,370 2,385
Archstone-Smith Trust (B) 116,700 5,691
Ashford Hospitality Trust+ 52,700 653
Aspen Insurance Holdings (B) 115,200 2,841
Assured Guaranty 75,700 1,892
AvalonBay Communities+ 36,800 4,015
Bancfirst 14,200 619
Bancorpsouth (B) 109,860 2,638
Bank Mutual 149,890 1,775
BankAtlantic Bancorp, Cl A (B) 139,500 2,007
Boston Private Financial Holdings (B) 54,600 1,845
Boston Properties 72,300 6,742
Boykin Lodging+* 2,500 28
Brandywine Realty Trust+ 16,500 524
Capital Lease Funding+ 23,800 264
Capital of the West (B) 4,000 147
Capital Southwest (B) 18,900 1,805
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 59
STATEMENT OF NET ASSETS (Unaudited)
SMALL CAP VALUE FUND (Continued)
March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Capital Trust, Cl A+ 12,700 $ 395
Capitol Bancorp 15,300 715
Cardinal Financial 89,350 1,209
Cathay General Bancorp (B) 61,200 2,304
CB Richard Ellis Group, Cl A* 16,000 1,291
CentraCore Properties Trust+ 10,300 258
Central Pacific Financial 44,200 1,623
Chemical Financial 30,400 982
Citizens Banking 32,400 870
City Bank 2,000 93
City Holding 13,800 508
Clark 21,400 253
CNA Surety* 18,600 311
Colonial Properties Trust+ (B) 23,800 1,193
Columbia Banking System 17,300 579
Commerce Group 23,600 1,247
Commercial Net Lease Realty+ 44,400 1,035
Community Bank System (B) 23,400 523
Community Trust Bancorp 7,290 247
CompuCredit* 45,500 1,675
Corus Bankshares (B) 48,400 2,877
Cousins Properties+ (B) 32,500 1,086
Crescent Real Estate Equities+ (B) 39,200 826
Delphi Financial Group, Cl A 35,800 1,848
DiamondRock Hospitality+ 71,900 993
Digital Realty Trust+ 32,400 913
Direct General (B) 23,500 400
Eagle Hospitality Properties Trust+ 99,400 1,002
Education Realty Trust+ (B) 110,480 1,690
Entertainment Properties Trust+ 22,500 945
Equity Inns+ 99,300 1,609
Equity One+ 81,850 2,010
Equity Residential 121,500 5,685
FBL Financial Group, Cl A 16,900 582
Federal Agricultural Mortgage, Cl C 40,400 1,189
FelCor Lodging Trust+ (B) 149,500 3,154
First American 87,500 3,426
First Community Bancorp (B) 24,600 1,418
First Financial Bancorp 107,965 1,797
First Financial Bankshares 7,300 280
First Industrial Realty Trust+ 66,800 2,852
First Merchants 20,100 533
First Midwest Bancorp 59,800 2,187
FirstFed Financial (B)* 25,300 1,513
FirstMerit (B) 70,088 1,728
Flagstar Bancorp 40,900 618
Flushing Financial 30,600 534
Fpic Insurance Group (B)* 25,800 975
Frontier Financial 9,700 320
GAMCO Investors, Cl A 41,400 1,654
General Growth Properties+ (B) 175,870 8,595
Gramercy Capital+ 25,500 636
Greater Bay Bancorp (B) 97,200 2,696
Hancock Holding (B) 62,330 2,900
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Hanmi Financial 62,700 $ 1,132
Hanover Insurance Group 74,600 3,911
Harleysville Group 6,900 205
Heritage Commerce* 8,100 202
Heritage Property Investment Trust 6,000 238
Highland Hospitality+ 23,000 292
Hilb Rogal & Hobbs (B) 166,700 6,871
HomeBanc+ (B) 165,800 1,457
Horace Mann Educators 63,240 1,189
Host Marriott+ 365,400 7,820
HRPT Properties Trust+ (B) 99,500 1,168
Hub International* 70,600 1,978
Independent Bank 5,659 161
Innkeepers USA Trust+ 182,418 3,092
IPC Holdings (B) 42,600 1,195
Irwin Financial 31,000 599
iStar Financial+ (B) 38,400 1,470
ITLA Capital* 7,500 362
Jones Lang LaSalle 8,300 635
Kimco Realty 226,800 9,217
Lakeland Financial 2,100 98
LandAmerica Financial Group 11,000 746
LaSalle Hotel Properties+ 28,100 1,152
Liberty Property Trust+ 36,800 1,735
LTC Properties+ 38,300 891
Macerich+ (B) 26,200 1,937
MAF Bancorp 21,400 937
MainSource Financial Group 9,485 179
Max Re Capital 13,300 317
Mercantile Bank 5,015 196
MeriStar Hospitality+* 118,100 1,226
Mid-State Bancshares 14,800 436
National Financial Partners 51,200 2,894
National Health Investors+ 25,400 645
Navigators Group* 9,400 466
NBT Bancorp 58,200 1,353
Novastar Financial+ (B) 12,200 408
Ocwen Financial (B)* 31,600 323
Odyssey Re Holdings (B) 30,600 664
Old National Bancorp 26,100 565
Omega Healthcare Investors+ 40,700 571
Pacific Capital Bancorp 14,666 496
Pennsylvania Real Estate
Investment Trust+ (B) 40,200 1,769
PFF Bancorp 35,250 1,188
Phoenix 74,400 1,213
Pico Holdings (B)* 77,700 2,556
Piper Jaffray (B)* 74,000 4,070
Placer Sierra Bancshares 11,700 334
Platinum Underwriters Holdings 127,713 3,716
PMI Group 32,700 1,502
Premierwest Bancorp 8,000 148
Presidential Life 32,900 836
ProAssurance* 40,540 2,108
- --------------------------------------------------------------------------------
60 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Prologis 52,500 $ 2,809
Prosperity Bancshares 27,800 840
Provident Bankshares 25,200 919
Provident Financial Holdings 5,100 166
PS Business Parks+ 27,800 1,555
Public Storage 36,600 2,973
Quanta Capital Holdings* 87,539 263
R & G Financial, Cl B 35,000 443
Rainier Pacific Financial Group 38,181 618
RAIT Investment Trust+ 30,600 864
Regency Centers+ (B) 57,600 3,870
RenaissanceRe Holdings 41,300 1,801
Republic Bancorp 87,500 1,053
Safety Insurance Group 4,000 183
Saul Centers+ (B) 23,600 1,036
Selective Insurance Group 34,800 1,844
Senior Housing Properties Trust+ (B) 23,400 424
Signature Bank (B)* 66,330 2,162
Simmons First National, Cl A 4,800 143
Simon Property Group (B) 106,900 8,995
SL Green Realty+ 8,354 848
Southwest Bancorp 10,800 240
Sterling Financial,
Pennsylvania Shares 12,325 269
Sterling Financial,
Washington Shares 127,300 3,692
Stewart Information Services 163,900 7,716
Sunstone Hotel Investors+ 20,200 585
Taylor Capital Group 51,900 2,034
Thomas Properties Group 59,200 806
TierOne 15,100 513
Tompkins Trustco 3,080 148
Trico Bancshares 6,800 193
Trustmark 52,900 1,674
Trustreet Properties+ 69,600 1,057
UMB Financial 36,840 2,587
Umpqua Holdings 70,700 2,015
United Bankshares 15,000 574
Ventas+ 148,300 4,921
Virginia Financial Group 3,300 132
Vornado Realty Trust (B) 50,500 4,848
Washington Federal 29,370 711
WesBanco 22,900 751
West Coast Bancorp 8,400 235
Westamerica Bancorporation (B) 23,200 1,205
Winston Hotels+ 101,270 1,151
Wintrust Financial (B) 43,900 2,554
WR Berkley 42,425 2,463
WSFS Financial 9,500 597
Zenith National Insurance (B) 109,850 5,287
----------------
289,806
----------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
HEALTH CARE -- 6.0%
Accelrys* 305,000 $ 2,217
Albany Molecular Research* 37,600 382
Alpharma, Cl A (B) 152,100 4,079
America Service Group* 47,300 616
American Dental Partners* 5,300 72
AMN Healthcare Services* 189,000 3,538
Analogic 21,600 1,430
Andrx* 102,700 2,438
Applera - Celera Genomics Group* 216,000 2,525
Bio-Rad Laboratories, Cl A* 12,500 779
Caliper Life Sciences (B)* 21,600 138
Cambrex (B) 127,900 2,499
CNS 35,407 763
Community Health Systems* 63,600 2,299
Conmed* 171,900 3,292
Cooper 32,100 1,734
Cross Country Healthcare* 100,900 1,954
Datascope 14,300 566
Diversa* 24,300 221
DJ Orthopedics* 99,300 3,948
Enzon Pharmaceuticals* 58,100 471
Flamel Technologies ADR (B)* 37,400 791
Genesis HealthCare* 30,000 1,318
Greatbatch (B)* 74,100 1,624
HealthTronics (B)* 86,500 715
Kindred Healthcare (B)* 19,400 488
Magellan Health Services (B)* 69,900 2,829
Medical Staffing Network
Holdings (B)* 169,300 882
Myriad Genetics (B)* 100,100 2,612
National Dentex* 74,004 1,719
Orthofix International* 23,731 945
Owens & Minor 40,622 1,331
Parexel International* 91,651 2,423
Per-Se Technologies (B)* 104,300 2,781
Perrigo 16,700 272
Pharmacopeia Drug Discovery* 133,750 793
PolyMedica 56,300 2,385
PRA International* 15,300 379
Regeneron Pharmaceuticals* 3,100 52
RehabCare Group* 7,122 134
Res-Care* 69,801 1,283
Sybron Dental Specialties (B)* 110,200 4,545
Triad Hospitals* 21,910 918
Universal Health Services, Cl B 26,900 1,366
Valeant Pharmaceuticals
International (B) 35,500 563
Varian* 12,400 511
Vertex Pharmaceuticals (B)* 21,700 794
----------------
70,414
----------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 61
STATEMENT OF NET ASSETS (Unaudited)
SMALL CAP VALUE FUND (Continued)
March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
INDUSTRIALS -- 16.5%
ABX Air* 98,600 $ 671
Accuride* 60,600 697
Actuant, Cl A 18,900 1,157
Acuity Brands 101,290 4,052
Adesa 92,800 2,481
AGCO (B)* 22,500 467
Alaska Air Group (B)* 56,600 2,006
Albany International, Cl A (B) 84,000 3,200
Amerco* 15,600 1,544
American Commercial Lines (B)* 86,900 4,102
American Railcar Industries* 75,500 2,648
AO Smith 82,400 4,351
Applied Industrial Technologies 12,750 569
Arkansas Best (B) 37,700 1,475
Banta (B) 95,360 4,957
BlueLinx Holdings 31,100 498
Briggs & Stratton (B) 56,450 1,997
Brink's 112,800 5,726
Builders FirstSource* 61,200 1,390
CDI 36,500 1,050
CIRCOR International 47,860 1,397
Consolidated Graphics* 16,100 839
Copart* 54,300 1,490
CPI Aerostructures* 10,990 87
CNH Global 57,960 1,494
Crane 10,900 447
Cubic 59,600 1,427
DiamondCluster International* 198,100 2,120
EnPro Industries* 27,200 933
Esterline Technologies* 14,900 637
Federal Signal (B) 83,640 1,547
Flanders* 83,487 975
Flowserve (B)* 50,700 2,958
Freightcar America* 23,100 1,469
GATX 109,800 4,534
General Cable* 24,600 746
Genlyte Group* 10,300 702
Geo Group* 19,700 657
Global Power Equipment Group (B)* 145,400 560
Griffon (B)* 89,800 2,231
H&E Equipment Services* 82,900 2,414
Harsco 14,900 1,231
Hexcel (B)* 38,738 851
IKON Office Solutions 96,300 1,372
Insituform Technologies, Cl A (B)* 33,161 882
Jacuzzi Brands* 179,700 1,766
John H. Harland 63,600 2,499
K&F Industries Holdings* 56,000 930
Kadant* 91,094 2,068
Kansas City Southern (B)* 169,270 4,181
Kaydon (B) 142,196 5,739
Kennametal 9,500 581
Korn/Ferry International* 78,400 1,599
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Lennox International 174,300 $ 5,205
Mesa Air Group* 58,800 673
Milacron* 440,135 709
Mueller Industries (B) 74,600 2,662
Navistar International (B)* 214,600 5,919
NCO Group* 19,200 456
Orbital Sciences (B)* 82,600 1,307
Pall (B) 179,600 5,602
PAM Transportation Services* 8,900 219
PHH* 62,900 1,679
Regal-Beloit 23,000 972
Robbins & Myers 92,120 1,990
Ryder System 111,400 4,988
School Specialty (B)* 51,670 1,783
SCS Transportation* 17,700 515
Simpson Manufacturing 72,200 3,126
SIRVA* 59,200 505
Skywest 85,700 2,508
Sourcecorp* 31,300 755
Spherion* 58,400 607
Superior Essex* 73,800 1,877
Sypris Solutions 5,900 56
Tecumseh Products, Cl A 128,900 3,163
Teledyne Technologies* 99,653 3,548
TeleTech Holdings* 71,700 797
Tetra Tech* 228,470 4,361
Thomas & Betts* 83,100 4,270
UAP Holding* 12,800 275
United Rentals (B)* 33,000 1,138
United Stationers (B)* 40,600 2,156
Universal Forest Products 72,000 4,571
US Xpress Enterprises, Cl A* 12,700 247
USA Truck* 19,800 487
Valmont Industries 6,200 261
Volt Information Sciences* 7,000 214
Walter Industries (B) 94,800 6,316
Washington Group International* 69,000 3,960
Waste Connections (B)* 45,900 1,827
Watson Wyatt Holdings 315,690 10,285
WESCO International (B)* 22,150 1,506
Woodward Governor 42,000 1,396
Xerium Technologies* 26,100 245
YRC Worldwide (B)* 3,695 141
----------------
193,678
----------------
INFORMATION TECHNOLOGY -- 15.2%
Actel (B)* 80,000 1,275
Actuate* 41,800 178
Advanced Digital Information* 287,200 2,522
Advanced Energy Industries* 9,500 134
Aeroflex* 204,710 2,811
Agilysys 112,300 1,691
Alliance Semiconductor* 326,000 903
Altiris (B)* 101,500 2,234
- --------------------------------------------------------------------------------
62 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
AMIS Holdings* 44,300 $ 401
Amkor Technology (B)* 119,900 1,036
Arris Group* 210,034 2,890
Asyst Technologies* 58,800 612
Atari (B)* 124,300 80
Avanex (B)* 575,700 1,877
Avnet (B)* 80,210 2,036
Avocent (B)* 39,439 1,252
BearingPoint (B)* 306,000 2,598
Bel Fuse, Cl B 11,300 396
Belden CDT (B) 196,000 5,337
BISYS Group* 148,674 2,004
Black Box 35,600 1,711
Borland Software* 154,200 833
Brocade Communications Systems* 696,800 4,655
CACI International, Cl A (B)* 18,800 1,236
Ciber* 198,600 1,267
Coherent* 90,602 3,181
CommScope* 48,700 1,390
Conexant Systems (B)* 96,200 332
CSG Systems International* 239,200 5,564
Cymer* 33,400 1,518
Dycom Industries (B)* 60,200 1,279
Earthlink (B)* 648,300 6,191
Electronics for Imaging* 46,600 1,303
Emulex* 147,000 2,512
Fairchild Semiconductor
International* 179,200 3,417
Filenet (B)* 42,900 1,159
Flir Systems (B)* 56,600 1,608
Foundry Networks (B)* 69,500 1,262
Global Imaging Systems* 27,300 1,037
Hutchinson Technology (B)* 18,000 543
Hyperion Solutions* 26,450 862
Imation 56,500 2,424
InFocus* 250,700 1,191
Infospace (B)* 21,700 606
Intergraph* 30,000 1,250
Internet Security Systems (B)* 18,000 432
Intervideo* 23,200 252
Ipass* 21,600 173
Keane* 187,100 2,947
Keynote Systems* 178,200 2,039
Komag (B)* 66,100 3,146
Kulicke & Soffa Industries* 32,100 306
Lawson Software (B)* 390,400 2,994
LeCroy* 66,800 1,045
Littelfuse (B)* 37,965 1,296
LTX (B)* 268,600 1,450
Magma Design Automation* 127,600 1,104
Manhattan Associates* 94,800 2,086
Mattson Technology* 68,600 823
Maxtor* 263,200 2,516
McData, Cl A (B)* 127,600 589
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Methode Electronics 98,200 $ 1,069
Mettler Toledo International* 37,990 2,292
MTS Systems 61,070 2,555
Multi-Fineline Electronix (B)* 12,500 731
Open Text* 63,000 1,035
Orbotech* 50,600 1,246
Orckit Communications* 41,100 903
Parametric Technology* 138,944 2,269
Paxar* 96,147 1,882
Perot Systems, Cl A* 93,744 1,459
Photronics (B)* 98,900 1,855
Plexus* 37,600 1,413
PMC - Sierra (B)* 114,300 1,405
Polycom* 81,800 1,773
PowerDsine* 93,700 647
Progress Software* 39,400 1,146
Quantum (B)* 1,243,500 4,651
RADWARE* 48,200 850
Richardson Electronics 104,438 982
RSA Security (B)* 222,600 3,993
Rudolph Technologies* 60,200 1,026
SafeNet* 5,900 156
Seachange International* 218,200 1,695
Skyworks Solutions* 610,600 4,146
Solectron (B)* 1,016,400 4,066
SSA Global Technologies* 17,800 285
Startek 29,700 700
Sybase (B)* 95,567 2,018
Synopsys* 70,160 1,568
Technitrol 15,500 372
Tekelec (B)* 142,100 1,965
THQ (B)* 40,145 1,039
TIBCO Software (B)* 587,900 4,915
Ultratech (B)* 84,300 2,064
Unisys (B)* 620,400 4,275
United Online (B) 298,800 3,843
Utstarcom (B)* 261,300 1,644
WatchGuard Technologies* 118,300 603
Wavecom ADR* 68,900 954
webMethods* 133,700 1,126
Zoran (B)* 66,000 1,444
----------------
177,856
----------------
MATERIALS -- 5.4%
Albemarle 65,200 2,957
Aptargroup 74,570 4,120
Arch Chemicals 64,517 1,961
Bemis (B) 37,523 1,185
Buckeye Technologies* 81,100 734
Century Aluminum (B)* 30,100 1,278
Commercial Metals 54,800 2,931
Constar International* 143,500 478
Crown Holdings* 74,200 1,316
Cytec Industries (B) 101,100 6,067
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 63
STATEMENT OF NET ASSETS (Unaudited)
SMALL CAP VALUE FUND (Continued)
March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
FMC* 22,960 $ 1,423
Greif, Cl A 36,800 2,518
H.B. Fuller 16,900 868
Hercules (B)* 267,600 3,693
Innospec 20,400 523
Koppers Holdings 25,100 493
MacDermid 63,000 2,026
Metal Management 62,900 1,991
Neenah Paper (B) 54,505 1,785
NewMarket* 46,860 2,230
NN 9,400 121
Olin (B) 169,930 3,648
OM Group* 65,900 1,516
Quanex (B) 77,700 5,177
Reliance Steel & Aluminum 14,600 1,371
Rock-Tenn, Cl A 38,900 583
Ryerson (B) 38,300 1,025
Schnitzer Steel Industries, Cl A 51,800 2,220
Schweitzer-Mauduit International 53,550 1,285
Silgan Holdings 54,600 2,193
Steel Dynamics 32,900 1,866
Texas Industries (B) 9,800 593
Tronox, Cl A (B) 79,900 1,355
Wellman 68,200 434
----------------
63,964
----------------
TELECOMMUNICATION SERVICES -- 0.5%
Centennial Communications* 105,100 770
Commonwealth Telephone
Enterprises 33,530 1,155
Golden Telecom (B) 28,300 851
IDT* 58,500 640
IDT, Cl B (B)* 59,600 660
SureWest Communications 2,600 63
Talk America Holdings* 43,500 371
USA Mobility* 51,500 1,467
Valor Communications Group 28,700 378
----------------
6,355
----------------
UTILITIES -- 3.3%
AGL Resources 59,150 2,132
Allete (B) 38,100 1,775
Avista (B) 63,300 1,307
Black Hills (B) 48,600 1,652
Cascade Natural Gas 49,900 983
Centerpoint Energy (B) 138,600 1,654
Cleco (B) 30,900 690
CMS Energy (B)* 175,800 2,277
El Paso Electric 174,000 3,313
Empire District Electric (B) 39,460 877
Idacorp (B) 56,370 1,833
ITC Holdings (B) 56,000 1,470
Laclede Group 30,000 1,033
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
New Jersey Resources (B) 29,800 $ 1,348
Nicor 8,200 324
NorthWestern 44,700 1,392
Oneok (B) 16,900 545
Ormat Technologies 21,400 815
PNM Resources 109,500 2,672
SEMCO Energy (B)* 165,100 915
Southern Union* 76,800 1,907
UIL Holdings (B) 24,200 1,267
Unisource Energy 44,400 1,354
Westar Energy 121,039 2,519
WGL Holdings (B) 33,394 1,016
Wisconsin Energy 27,511 1,100
----------------
38,170
----------------
Total Common Stock
(Cost $904,857) ($ Thousands) 1,136,440
----------------
EXCHANGE TRADED FUNDS -- 0.5%
iShares Russell 2000 Index Fund (B) 67,430 5,124
iShares S&P SmallCap 600/BARRA
Value Index Fund 3,580 261
----------------
Total Exchange Traded Funds
(Cost $4,435) ($ Thousands) 5,385
----------------
Number of
Warrants
----------
WARRANT -- 0.0%
Washington Mutual (D)* 383,342 65
----------------
Total Warrant
(Cost $55) ($ Thousands) 65
----------------
CORPORATE OBLIGATIONS (C) -- 17.5%
FINANCIALS -- 17.5%
Allstate Life Global Funding II
MTN (F) (G)
4.769%, 04/13/07 $ 2,649 2,649
American General Finance (F) (G)
4.779%, 04/13/07 8,349 8,348
American General Finance MTN, Ser F
3.945%, 07/14/06 576 587
Bear Stearns, EXL (F)
4.759%, 04/15/07 10,249 10,249
CIT Group MTN (F)
4.750%, 05/12/06 14,394 14,394
4.617%, 04/19/06 1,439 1,441
Caterpillar Financial Services MTN,
Ser F (F)
4.680%, 07/10/06 2,879 2,879
Countrywide Financial MTN, Ser A (F)
4.960%, 09/13/06 10,652 10,652
4.770%, 11/03/06 6,046 6,045
- --------------------------------------------------------------------------------
64 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Dekabank (F) (G)
4.614%, 02/16/07 $ 10,652 $ 10,650
Irish Life & Permanent MTN,
Ser X (F) (G)
4.808%, 04/21/07 7,658 7,656
Islandsbanki (F) (G)
4.844%, 03/22/07 4,894 4,894
4.720%, 03/07/07 8,637 8,637
Jackson National Life Funding (F) (G)
4.630%, 02/01/07 12,667 12,667
Kaupthing Bank MTN (F) (G)
4.836%, 03/20/07 14,394 14,394
Landsbanki Islands (F) (G)
4.829%, 03/16/07 10,940 10,940
Liberty Lighthouse US Capital
MTN (F) (G)
4.725%, 05/10/06 5,758 5,754
Morgan Stanley EXL (F)
4.721%, 05/04/07 2,015 2,015
Morgan Stanley EXL, Ser S (F)
4.634%, 05/03/07 2,879 2,879
Natexis Banques (F) (G)
4.743%, 04/13/07 5,614 5,613
Nationwide Building Society (F) (G)
4.991%, 04/28/07 3,167 3,167
4.700%, 04/05/07 5,758 5,758
Nordbank (F) (G)
4.811%, 04/23/07 9,788 9,786
Northern Rock (F) (G)
4.650%, 05/03/07 5,931 5,931
Pacific Life Global Funding (F) (G)
4.740%, 04/13/07 4,318 4,318
Premium Asset Trust,
Ser 2004-06 (F) (G)
4.857%, 06/30/06 5,470 5,474
Premium Asset Trust,
Ser 2004-10 (F) (G)
4.759%, 03/15/07 8,061 8,061
SLM EXL, Ser S (F) (G)
4.570%, 03/15/07 6,334 6,334
Sigma Finance MTN (G)
4.680%, 11/09/06 3,109 3,109
Skandinav Enskilda Bank (F) (G)
4.772%, 03/19/07 6,334 6,333
Witherspoon CDO Funding (F) (G)
4.786%, 09/15/06 4,030 4,030
----------------
Total Corporate Obligations
(Cost $205,644) ($ Thousands) 205,644
----------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES (C) (F) (G) -- 3.1%
MORTGAGE RELATED SECURITIES -- 3.1%
Cheyne High Grade, Ser 2004-1A, Cl AM1
4.740%, 11/10/06 $ 2,879 $ 2,879
Commodore, Ser 2003-2A, Cl A1MM
4.970%, 12/12/38 2,649 2,649
Duke Funding, Ser 2004-6B, Cl A1S1
4.620%, 04/08/39 4,318 4,318
Harwood Street Funding II,
Ser 2005-1A, Cl NOTE
4.868%, 05/25/06 5,758 5,758
Orchid Structured Finance CDO,
Ser 2003-1A, Cl A1MM
4.920%, 11/18/38 4,416 4,416
Park Place Securities Trust,
Ser 2004-MM1, Cl AM4
4.858%, 02/25/35 4,113 4,113
RMAC, Ser 2004-NS3A, Cl A1
4.720%, 03/12/25 1,031 1,031
Saturn Ventures II
4.730%, 08/07/06 5,373 5,373
TIAA Real Estate CDO, Ser 2003 1A,
Cl A1MM
4.851%, 12/28/18 3,718 3,718
Whitehawk CDO Funding,
Ser 2004-1A, Cl AMMD
4.930%, 06/15/06 1,439 1,439
Whitehawk CDO Funding,
Ser 2004-1A, Cl AMME
4.930%, 09/15/06 864 864
----------------
Total Asset-Backed Securities
(Cost $36,558) ($ Thousands) 36,558
----------------
CASH EQUIVALENTS -- 2.8%
First Union Cash Management
Program, 4.623%** 1,783,246 1,783
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 4.560%**++ 31,561,696 31,562
----------------
Total Cash Equivalents
(Cost $33,345) ($ Thousands) 33,345
----------------
MASTER NOTES (C) -- 1.8%
Bank of America
4.945%, 04/03/06 14,395 14,395
Bear Stearns
4.995%, 04/03/06 6,909 6,909
----------------
Total Master Notes
(Cost $21,304) ($ Thousands) 21,304
----------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 65
STATEMENT OF NET ASSETS (Unaudited)
SMALL CAP VALUE FUND (Concluded)
March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER (C) (E) -- 1.7%
FINANCIALS -- 1.7%
CPI Funding
4.901%, 04/03/06 $ 1,173 $ 1,173
Eiffel Funding LLC
4.867%, 04/27/06 864 860
4.767%, 04/28/06 5,758 5,714
Elysian Funding LLC
4.706%, 04/10/06 2,879 2,858
Harbour Funding
4.763%, 04/06/06 4,281 4,272
Harwood Funding
4.881%, 04/03/06 1,382 1,381
Thornburg Mortgage Capital Resources
4.781%, 04/19/06 2,879 2,867
Transamerica Securities
4.841%, 04/03/06 677 677
----------------
Total Commercial Paper
(Cost $19,802) ($ Thousands) 19,802
----------------
TIME DEPOSIT (C) -- 0.5%
Societe Generale
4.900%, 04/03/06 5,758 5,758
----------------
Total Time Deposit
(Cost $5,758) ($ Thousands) 5,758
----------------
CERTIFICATE OF DEPOSIT (C) (F) -- 0.2%
US Trust of New York
4.760%, 03/13/07 2,303 2,303
----------------
Total Certificate of Deposit
(Cost $2,303) ($ Thousands) 2,303
----------------
U.S. TREASURY OBLIGATION (A) -- 0.1%
U.S. Treasury Bills
4.225%, 05/25/06 715 710
----------------
Total U.S. Treasury Obligation
(Cost $711) ($ Thousands) 710
----------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS (C) -- 5.7%
Barclays
4.790%, dated 03/31/06, to be
repurchased on 04/03/06, repurchase
price $33,290,278 (collateralized by
various U.S. Government Obligations,
ranging in par value $2,667,015-
$6,843,725, 0.000%-5.900%,
07/18/06-08/04/25; with total
market value $33,942,584) $ 33,277 $ 33,277
Lehman Brothers 4.750%,
dated 03/31/06, to be
repurchased on 04/03/06, repurchase
price $33,523,821 (collateralized by
various U.S. Government Obligations,
ranging in par value $1,993-
$3,624, 4.500%-10.700%,
10/17/08-11/23/35; with total
market value $34,180,721) 33,510 33,510
----------------
Total Repurchase Agreements
(Cost $66,787) ($ Thousands) 66,787
----------------
Total Investments -- 130.8%
(Cost $1,301,559) ($ Thousands) 1,534,101
----------------
OTHER ASSETS AND LIABILITIES -- (30.8)%
Payable Upon Return on Securities Loaned (358,155)
Payable for Investment Securities Purchased (10,634)
Payable for Fund Shares Redeemed (1,239)
Investment Advisory Fees Payable (631)
Administration Fees Payable (340)
Shareholder Servicing Fees Payable (202)
Administration Servicing Fees Payable (3)
Other Assets and Liabilities, Net 10,256
----------------
Total Other Assets and Liabilities (360,948)
----------------
Net Assets -- 100.0% $ 1,173,153
================
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $ 882,609
Distribution in excess of net investment income (984)
Accumulated net realized gain on investments
and futures contracts 57,855
Net unrealized appreciation on investments 232,542
Net unrealized appreciation on futures contracts 1,131
----------------
Net Assets $ 1,173,153
================
- --------------------------------------------------------------------------------
66 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($1,158,621,718 / 53,691,381 shares) $21.58
=======
Net Asset Value, Offering and Redemption
Price Per Share -- Class I
($14,531,570 / 675,485 shares) $21.51
=======
Futures -- A summary of the open futures contracts held by the fund at March 31,
2006, is as follows: (see Note 2 in Notes to Financial Statements)
- --------------------------------------------------------------------------------
UNREALIZED
TYPE OF NUMBER OF EXPIRATION APPRECIATION
CONTRACT CONTRACTS DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
Russell 2000 Index 227 June 2006 $ 1,131
* Non-income producing security.
** Rate shown is the 7-day Effective yield as of March 31, 2006.
+ Real Estate Investment Trust
++ Investment in Affiliated Registered Investment Company (See Note 3)
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts. The rate reported is the effective yield at time of
purchase.
(B) This security or a partial position of this security is on loan at March
31, 2006 (see Note 7). The total value of securities on loan at March 31,
2006 was $345,276 ($ Thousands).
(C) This security was purchased with cash collateral held from securities
lending (see Note 7). The total value of such securities as of March 31,
2006 was $358,155 ($ Thousands).
(D) This warrant represents a potential distribution settlement in a legal
claim and does not have a strike price or expiration date.
(E) The rate reported is the effective yield at time of purchase.
(F) Variable Rate Security -- The rate reported on the Statement of Net Assets
is the rate in effect as of March 31, 2006.
(G) Securities sold within the terms of private placement memorandum, except
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."
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 / Semi-Annual Report / March 31, 2006 67
STATEMENT OF NET ASSETS (Unaudited)
SMALL CAP GROWTH FUND
March 31, 2006
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS#:
[THE FOLLOWING WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
38.9% Information Technology
12.5% Health Care
10.9% Consumer Discretionary
8.6% Short-Term Investments
8.2% Industrials
7.7% Financials
6.3% Energy
2.8% Asset-Backed Securities
2.4% Materials
0.9% Consumer Staples
0.7% Telecommunication Services
0.1% U.S. Treasury Obligation
0.0% Utilities
0.0% Warrant
#Percentages based on total investments. Includes investments held as collateral
for securities on loan (see Note 7).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 95.8%++
CONSUMER DISCRETIONARY -- 14.9%
Ameristar Casinos 36,400 $ 939
Arbitron (B) 7,400 250
Audible (B)* 213,900 2,248
Bally Technologies* 75,900 1,290
BJ's Restaurants* 85,800 2,317
Blount International* 88,200 1,421
Blue Nile (B)* 31,900 1,123
Bluegreen* 96,300 1,273
Bright Horizons Family Solutions (B)* 16,612 643
Buffalo Wild Wings (B)* 7,374 307
Build-A-Bear Workshop (B)* 23,700 726
Building Material Holding (B) 80,000 2,851
Carter's* 54,100 3,651
Catalina Marketing 92,700 2,141
Champion Enterprises (B)* 143,879 2,152
Charming Shoppes* 164,200 2,442
Cheesecake Factory (B)* 64,300 2,408
Childrens Place Retail Stores (B)* 11,700 677
Coach* 137,000 4,737
Corinthian Colleges (B)* 218,500 3,146
Cosi* 91,989 1,011
CROCS (B)* 108,200 2,721
CSK Auto* 227,200 3,151
Ctrip.com International ADR* 26,200 2,167
Dick's Sporting Goods (B)* 27,500 1,091
Domino's Pizza 109,830 3,136
Dover Downs Gaming & Entertainment 21,100 459
Eddie Bauer Holdings* 251,500 3,018
Escala Group (B)* 94,700 2,480
Fleetwood Enterprises (B)* 48,900 546
Focus Media Holding ADR* 17,226 1,000
FTD Group* 17,300 168
Gaiam, Cl A* 25,100 404
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
GameStop, Cl A (B)* 59,900 $ 2,824
Genesco (B)* 83,700 3,255
Gildan Activewear* 48,000 2,281
Golf Galaxy* 68,500 1,497
Gray Television 340,000 2,856
Group 1 Automotive* 58,300 2,772
GSI Commerce (B)* 143,548 2,440
Guess? (B)* 16,200 634
Guitar Center* 55,200 2,633
Gymboree (B)* 89,000 2,318
Hibbett Sporting Goods (B)* 202,009 6,664
HOT Topic (B)* 265,950 3,856
iRobot (B)* 28,600 795
Jack in the Box (B)* 49,700 2,162
Jackson Hewitt Tax Service 32,800 1,036
Jakks Pacific (B)* 70,900 1,896
Laureate Education* 20,400 1,089
Life Time Fitness (B)* 16,286 763
Lin TV, Cl A* 230,500 2,075
LKQ* 46,474 967
Maidenform Brands* 24,000 264
Marvel Entertainment (B)* 161,250 3,244
McCormick & Schmick's Seafood
Restaurants* 121,100 3,084
Meritage Homes* 41,400 2,275
Monarch Casino & Resort* 29,800 846
Morgans Hotel Group (B)* 121,600 2,147
NetFlix (B)* 122,000 3,537
Nutri/System (B)* 92,863 4,413
Outdoor Channel Holdings* 132,200 1,347
Pacific Sunwear of California* 11,600 257
Pantry (B)* 89,705 5,597
Petco Animal Supplies* 21,800 514
Phillips-Van Heusen 24,700 944
Priceline.com (B)* 92,400 2,295
ProQuest* 36,800 787
Quiksilver (B)* 417,500 5,787
RCN (B)* 82,500 2,137
Reader's Digest Association (B) 124,600 1,838
Red Robin Gourmet Burgers (B)* 61,379 2,897
Regis (B) 83,100 2,865
Ruby Tuesday (B) 47,900 1,537
Sauer-Danfoss 14,900 342
Sinclair Broadcast Group, Cl A 138,900 1,132
Sonic (B)* 72,400 2,543
Stamps.com (B)* 70,000 2,468
Standard-Pacific (B) 47,000 1,580
Strayer Education (B) 23,300 2,383
Sunterra* 55,000 785
Thor Industries (B) 23,200 1,238
Timberland, Cl A (B)* 58,300 1,996
Too* 79,600 2,734
Tractor Supply (B)* 32,600 2,163
Tupperware Brands 28,600 589
- --------------------------------------------------------------------------------
68 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Under Armour, Cl A (B)* 59,900 $ 1,941
Urban Outfitters (B)* 112,600 2,763
Value Line 20,800 770
VistaPrint* 55,237 1,649
Volcom* 21,800 775
Yankee Candle 164,200 4,494
----------------
183,864
----------------
CONSUMER STAPLES -- 1.2%
Chattem (B)* 48,500 1,826
Gold Kist (B)* 198,900 2,514
Lance 62,300 1,402
Longs Drug Stores (B) 36,500 1,689
NBTY* 150,700 3,394
Parlux Fragrances (B)* 27,700 893
Premium Standard Farms 150,100 2,634
Spartan Stores* 48,900 624
---------------
14,976
----------------
ENERGY -- 8.1%
Alon USA Energy 97,200 2,393
Arlington Tankers 92,500 2,127
Atwood Oceanics* 16,300 1,646
Basic Energy Services* 174,600 5,203
Berry Petroleum, Cl A 36,725 2,514
Bronco Drilling (B)* 112,700 2,964
Cabot Oil & Gas 43,600 2,090
Denbury Resources* 89,352 2,830
Dresser-Rand Group* 32,900 818
Dril-Quip (B)* 29,680 2,103
Encore Acquisition* 86,000 2,666
Energy Partners (B)* 110,500 2,606
EXCO Resources* 34,900 437
Helix Energy Solutions Group (B)* 149,900 5,681
Hercules Offshore* 159,000 5,408
Hornbeck Offshore Services* 63,160 2,278
Hydril (B)* 71,715 5,590
Input/Output (B)* 223,300 2,168
KCS Energy* 90,200 2,345
KFX (B)* 127,000 2,311
Maritrans 79,500 1,942
Maverick Tube (B)* 58,545 3,102
Natural Gas Services Group* 31,400 561
Penn Virginia 32,600 2,315
Petroleum Development* 46,000 2,087
Rentech (B)* 637,000 2,771
SEACOR Holdings* 26,500 2,099
St. Mary Land & Exploration (B) 35,600 1,454
Stone Energy* 62,500 2,758
Superior Energy Services* 113,800 3,049
Syntroleum (B)* 218,900 1,810
Tetra Technologies* 66,076 3,108
Todco, Cl A 22,400 883
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Union Drilling* 204,300 $ 2,987
Vaalco Energy* 54,400 364
W&T Offshore (B) 55,100 2,221
W-H Energy Services* 109,300 4,863
Western Refining* 145,800 3,152
World Fuel Services 54,785 2,216
----------------
99,920
----------------
FINANCIALS -- 9.9%
Acadia Realty Trust+ 112,000 2,638
Advance America Cash Advance
Centers (B) 84,100 1,209
Affiliated Managers Group (B)* 36,715 3,914
American Equity Investment Life
Holding (B) 129,700 1,860
American Home Mortgage
Investment+ (B) 81,700 2,550
Amerisafe* 118,500 1,422
Asset Acceptance Capital* 41,900 816
Asta Funding 19,500 649
Bank of the Ozarks (B) 9,500 347
Boston Private Financial Holdings (B) 72,350 2,445
Brookline Bancorp 94,000 1,456
Calamos Asset Management, Cl A (B) 71,200 2,663
Capital of the West (B) 4,500 165
Cascade Bancorp 29,850 882
Center Financial 52,400 1,270
Cohen & Steers 1,600 39
Community Bancorp* 6,100 189
CompuCredit (B)* 55,100 2,028
Corus Bankshares (B) 61,900 3,679
Delphi Financial Group, Cl A 72,750 3,756
DiamondRock Hospitality+ 185,900 2,568
Digital Realty Trust+ 22,000 620
Education Realty Trust+ 162,900 2,492
Encore Capital Group (B)* 111,600 1,646
First Cash Financial Services* 142,300 2,845
First Regional Bancorp* 5,200 463
First Republic Bank 63,700 2,409
FirstFed Financial (B)* 32,600 1,950
Glacier Bancorp (B) 20,212 628
Greenhill (B) 31,600 2,089
Hanmi Financial 53,400 964
HCC Insurance Holdings 84,400 2,937
Highbury Financial* 123,000 819
Housevalues (B)* 55,100 454
IntercontinentalExchange (B)* 38,500 2,658
Investment Technology Group (B)* 66,690 3,321
Jones Lang LaSalle 5,900 452
Kansas City Life Insurance 29,900 1,532
KNBT Bancorp 115,500 1,888
Medical Properties Trust+ 232,000 2,505
MFA Mortgage Investments+ (B) 275,000 1,746
Midwest Banc Holdings (B) 82,600 2,143
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 69
STATEMENT OF NET ASSETS (Unaudited)
SMALL CAP GROWTH FUND (Continued)
March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Nara Bancorp 55,000 $ 965
Nasdaq Stock Market (B)* 68,000 2,723
NorthStar Realty Finance+ 101,800 1,115
Old Second Bancorp 6,700 220
optionsXpress Holdings (B) 79,500 2,312
PFF Bancorp 90,660 3,056
Placer Sierra Bancshares 48,400 1,382
Platinum Underwriters Holdings 74,860 2,178
Portfolio Recovery Associates (B)* 69,900 3,273
Preferred Bank 7,400 374
Premierwest Bancorp 5,900 109
ProAssurance* 47,525 2,471
RAIT Investment Trust+ 51,600 1,457
Saxon Capital+ 167,800 1,752
SeaBright Insurance Holdings* 29,900 521
Signature Bank (B)* 80,700 2,630
Strategic Hotels & Resorts+ 112,200 2,612
SVB Financial Group (B)* 128,400 6,812
TAC Acquisition* 386,000 2,625
TAL International Group* 116,000 2,797
Thomas Weisel Partners Group* 72,700 1,592
TradeStation Group* 64,300 889
UCBH Holdings 15,500 293
United PanAm Financial* 42,900 1,326
Wilshire Bancorp 39,100 727
World Acceptance* 16,400 449
Zenith National Insurance 46,750 2,250
----------------
122,016
----------------
HEALTH CARE -- 17.2%
Adolor* 12,900 307
Advanced Medical Optics* 5,400 252
Align Technology (B)* 186,900 1,714
Alkermes (B)* 164,309 3,623
Alliance Imaging* 328,500 2,116
Allion Healthcare* 83,600 1,134
Alpharma, Cl A 115,000 3,084
American Dental Partners* 16,400 221
Amsurg (B)* 85,000 1,929
Amylin Pharmaceuticals (B)* 38,153 1,868
Anadys Pharmaceuticals* 156,200 2,516
Applera - Celera Genomics Group* 254,300 2,973
Arena Pharmaceuticals (B)* 93,900 1,700
Ariad Pharmaceuticals (B)* 356,900 2,348
Array Biopharma* 255,300 2,333
Arthrocare (B)* 14,300 684
Aspect Medical Systems* 20,494 562
AtriCure* 34,200 274
Bio-Rad Laboratories, Cl A (B)* 39,800 2,481
BioScrip* 157,400 1,135
Biosite (B)* 50,500 2,622
Candela* 32,200 695
Cantel Medical* 14,900 244
Caraco Pharmaceutical Laboratories* 33,700 438
Cardiome Pharma* 43,500 552
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Cell Genesys (B)* 343,300 $ 2,740
Centene (B)* 96,200 2,806
Cephalon (B)* 138,200 8,327
Chemed 54,630 3,242
China Medical Technologies ADR (B)*31,644 956
Coley Pharmaceutical Group (B)* 25,800 391
Combinatorx (B)* 56,000 666
Conceptus (B)* 121,300 1,590
Conor Medsystems* 58,300 1,714
Cubist Pharmaceuticals (B)* 332,300 7,633
Cutera* 17,800 483
CV Therapeutics (B)* 240,000 5,299
Cyberonics (B)* 124,200 3,201
Cynosure* 59,900 1,108
Dade Behring Holdings 55,615 1,986
deCODE genetics (B)* 78,400 680
Depomed (B)* 82,600 539
Digene (B)* 123,345 4,823
Discovery Laboratories (B)* 55,139 404
DJ Orthopedics* 15,000 596
Encore Medical* 80,900 414
Encysive Pharmaceuticals (B)* 520,600 2,546
Endo Pharmaceuticals Holdings* 105,300 3,455
Enzon Pharmaceuticals* 77,900 631
Exelixis (B)* 319,321 3,835
Five Star Quality Care* 31,100 339
Genesis HealthCare* 21,300 936
Greatbatch* 107,700 2,360
HealthTronics* 93,200 771
Human Genome Sciences (B)* 203,500 2,212
Idenix Pharmaceuticals (B)* 13,600 185
Illumina* 4,200 100
Immucor* 69,400 1,991
Incyte (B)* 409,300 2,464
Intermagnetics General (B)* 143,583 3,597
IRIS International (B)* 35,209 550
Ista Pharmaceuticals (B)* 135,300 859
Keryx Biopharmaceuticals (B)* 120,900 2,310
KV Pharmaceutical, Cl A (B)* 22,800 550
Kyphon (B)* 41,400 1,540
Lifecell (B)* 44,900 1,012
Luminex* 20,100 299
Martek Biosciences (B)* 27,400 900
Medarex (B)* 538,800 7,123
Medcath* 123,500 2,361
Medicis Pharmaceutical, Cl A 29,500 962
Mentor 38,400 1,740
MGI Pharma (B)* 142,100 2,487
Micrus Endovascular* 114,900 1,625
Molecular Devices* 46,100 1,529
Myogen* 18,200 659
Myriad Genetics (B)* 94,785 2,473
Nastech Pharmaceutical (B)* 189,700 3,415
Nektar Therapeutics (B)* 149,700 3,051
- --------------------------------------------------------------------------------
70 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Neopharm (B)* 27,600 $ 231
Neurocrine Biosciences (B)* 26,256 1,695
Neurometrix* 11,500 448
NuVasive* 53,600 1,010
NxStage Medical (B)* 41,200 529
Odyssey HealthCare* 102,900 1,771
Onyx Pharmaceuticals* 22,000 578
OraSure Technologies (B)* 337,100 3,472
Orchid Cellmark* 92,900 533
Pain Therapeutics (B)* 119,100 1,295
PainCare Holdings (B)* 403,200 770
Palomar Medical Technologies* 35,900 1,201
Panacos Pharmaceuticals (B)* 116,900 884
Par Pharmaceutical (B)* 41,600 1,172
PDL BioPharma (B)* 162,625 5,334
Pediatrix Medical Group* 3,600 369
Phase Forward* 65,200 726
PolyMedica 67,200 2,847
PRA International* 26,900 667
PSS World Medical (B)* 128,500 2,479
Psychiatric Solutions (B)* 76,340 2,529
Renovis (B)* 12,100 258
Rigel Pharmaceuticals* 132,300 1,520
Rotech Healthcare* 62,300 904
Salix Pharmaceuticals* 24,500 404
Senomyx (B)* 37,000 609
SeraCare Life Sciences (B)* 17,400 63
Somanetics (B)* 17,200 380
SurModics (B)* 77,800 2,751
Symmetry Medical* 55,600 1,179
Syneron Medical* 37,500 1,095
Taro Pharmaceuticals Industries* 108,200 1,508
Techne* 31,260 1,880
Telik* 265,400 5,138
Tercica (B)* 141,900 951
Third Wave Technologies* 179,100 561
Thoratec (B)* 97,320 1,875
Transgenomic (B)* 390,200 312
Trizetto Group (B)* 107,200 1,886
U.S. Physical Therapy* 20,100 344
United Therapeutics (B)* 62,500 4,142
Vasogen* 156,800 331
Ventiv Health (B)* 78,665 2,613
Viropharma* 43,700 555
Vital Signs 5,900 324
West Pharmaceutical Services 26,700 927
----------------
211,320
----------------
INDUSTRIALS -- 11.1%
Aaon* 9,500 227
ABX Air (B)* 115,900 789
Active Power (B)* 109,500 546
Administaff 48,585 2,641
Advisory Board* 65,963 3,679
AGCO (B)* 151,000 3,132
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Amerco* 15,600 $ 1,544
American Commercial Lines (B)* 36,700 1,732
American Reprographics* 105,001 3,643
American Science & Engineering (B)* 8,900 831
Apogee Enterprises (B) 48,100 812
Applied Industrial Technologies 17,200 767
Aries Maritime Transport 152,500 2,130
Armor Holdings (B)* 41,100 2,396
Aviall* 28,181 1,073
BE Aerospace (B)* 121,200 3,045
Beacon Roofing Supply (B)* 15,099 614
Builders FirstSource* 69,900 1,587
Ceradyne* 5,350 267
Clean Harbors (B)* 10,800 320
Columbus McKinnon* 13,800 372
Comfort Systems USA 28,400 383
Consolidated Graphics* 36,700 1,913
Continental Airlines, Cl B (B)* 134,600 3,621
CoStar Group* 17,862 927
CRA International (B)* 18,500 911
EDO (B) 42,300 1,305
ESCO Technologies (B)* 49,100 2,487
ExpressJet Holdings* 60,800 452
Freightcar America* 40,500 2,576
Gardner Denver* 60,970 3,975
Genlyte Group* 7,797 531
GrafTech International* 410,300 2,503
Grubb & Ellis Realty Advisors* 340,500 2,196
Grupo Aeroportuario del Sureste ADR 66,500 2,220
H&E Equipment Services* 67,400 1,963
Herman Miller 99,900 3,238
Hexcel* 99,100 2,177
HUB Group, Cl A (B)* 88,960 4,055
IHS, Cl A* 39,200 1,072
Insteel Industries 31,000 1,760
JLG Industries (B) 33,000 1,016
John H. Harland 22,100 869
Kenexa* 62,058 1,908
Knight Transportation (B) 95,325 1,883
Knoll 176,965 3,773
Labor Ready* 51,400 1,231
Lamson And Sessions Company (B)* 159,165 4,430
Lennox International 175,530 5,241
Lincoln Electric Holdings 57,100 3,083
McGrath Rentcorp 17,200 517
Mine Safety Appliances (B) 50,500 2,121
MTC Technologies* 17,100 479
Navigant Consulting (B)* 69,900 1,492
NCI Building Systems (B)* 127,550 7,624
Nordson 15,000 748
Resources Connection (B)* 70,500 1,756
Ritchie Bros. Auctioneers 38,000 1,881
Simpson Manufacturing 82,100 3,555
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 71
STATEMENT OF NET ASSETS (Unaudited)
SMALL CAP GROWTH FUND (Continued)
March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Skywest 32,600 $ 954
Sun Hydraulics 31,900 682
Sypris Solutions 77,045 727
TeleTech Holdings* 81,300 903
Terex* 30,800 2,441
UAP Holding* 28,200 606
United Industrial (B) 34,400 2,096
United Rentals (B)* 86,200 2,974
Universal Truckload Services* 95,500 2,392
USA Truck* 46,800 1,152
Wabtec 74,100 2,416
Waste Connections (B)* 24,800 987
WESCO International (B)* 30,000 2,040
World Air Holdings* 3,900 38
----------------
136,427
----------------
INFORMATION TECHNOLOGY -- 29.6%
Adaptec* 405,100 2,240
Adtran 24,300 636
Advanced Energy Industries (B)* 141,800 2,004
Advent Software* 88,600 2,518
Aeroflex* 50,500 693
Akamai Technologies (B)* 116,100 3,819
Altera (B)* 395,800 8,169
Amkor Technology (B)* 64,500 557
Ansoft* 5,100 213
aQuantive (B)* 263,023 6,192
Arris Group* 62,300 857
Art Technology Group (B)* 267,845 860
Aspen Technology (B)* 51,924 657
Asyst Technologies (B)* 202,800 2,111
ATMI* 40,390 1,220
Avid Technology (B)* 38,400 1,669
BISYS Group* 81,500 1,099
Blackbaud 127,094 2,693
Blackboard* 19,174 545
Blue Coat Systems* 15,300 333
Brightpoint (B)* 68,065 2,114
Brooks Automation (B)* 354,200 5,044
CNET Networks (B)* 76,910 1,093
Cogent (B)* 40,000 734
Cognex (B) 38,192 1,132
CommScope* 119,930 3,424
Covansys* 20,000 344
Credence Systems (B)* 760,340 5,581
Cree (B)* 184,800 6,063
CSG Systems International* 157,600 3,666
Cymer (B)* 135,100 6,139
Daktronics 17,700 646
DealerTrack Holdings* 12,300 262
Digimarc* 359,800 2,688
Digital Insight* 103,555 3,769
Digital River (B)* 10,900 475
Digitas* 85,500 1,231
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Diodes (B)* 93,343 $ 3,874
Dot Hill Systems* 262,000 1,860
Eagle Test Systems (B)* 52,300 805
Earthlink (B)* 170,400 1,627
eCollege.com (B)* 54,300 1,023
EFJ* 136,300 1,471
Emulex (B)* 150,500 2,572
Equinix (B)* 12,439 799
Euronet Worldwide (B)* 112,000 4,237
F5 Networks (B)* 39,100 2,834
Factset Research Systems (B) 45,700 2,027
Flir Systems (B)* 40,687 1,156
Genesis Microchip (B)* 114,600 1,953
Harmonic* 92,500 589
Heartland Payment Systems (B)* 52,100 1,290
Homestore* 694,700 4,557
Hutchinson Technology (B)* 152,100 4,589
i2 Technologies (B)* 16,500 284
Imation 46,500 1,995
Immersion* 575,200 4,993
Informatica (B)* 255,600 3,975
Infospace (B)* 109,600 3,063
infoUSA 54,500 707
Interdigital Communications* 32,000 785
Intergraph* 7,800 325
International DisplayWorks (B)* 226,550 1,484
International Rectifier (B)* 26,300 1,090
Internet Security Systems (B)* 55,600 1,333
InterVoice* 28,000 241
Iomega* 375,500 1,232
Itron (B)* 79,000 4,728
Ixia* 140,700 2,006
IXYS* 33,700 311
j2 Global Communications (B)* 12,900 606
Jupitermedia (B)* 144,400 2,596
Knot* 35,100 635
Komag (B)* 92,800 4,417
Kronos (B)* 15,700 587
Kulicke & Soffa Industries* 41,200 393
Lattice Semiconductor (B)* 1,177,800 7,844
Leadis Technology* 241,100 1,369
Lionbridge Technologies* 198,900 1,573
Liquidity Services* 55,779 683
LoJack (B)* 54,500 1,307
Marchex, Cl B (B)* 235,000 5,052
Mastec* 52,200 740
Mattson Technology* 33,000 396
MAXIMUS 52,000 1,871
Maxtor* 392,300 3,750
Mentor Graphics (B)* 153,100 1,692
Metrologoc Instruments* 20,300 470
Micrel (B)* 93,600 1,387
Micros Systems (B)* 28,750 1,324
Microsemi (B)* 234,563 6,828
- --------------------------------------------------------------------------------
72 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
MicroStrategy, Cl A* 29,700 $ 3,127
MIPS Technologies* 31,900 238
MTS Systems 30,400 1,272
Multi-Fineline Electronix (B)* 73,115 4,276
Neoware (B)* 47,190 1,398
Net 1 UEPS Technologies* 36,700 1,039
Netgear* 17,500 333
Netlogic Microsystems (B)* 89,010 3,668
Nuance Communications (B)* 344,000 4,063
O2Micro International ADR* 173,800 1,847
Omnivision Technologies (B)* 141,500 4,273
ON Semiconductor (B)* 327,300 2,376
Online Resources* 122,600 1,594
Openwave Systems (B)* 73,200 1,580
Opsware (B)* 88,200 756
OSI Systems (B)* 129,500 2,736
PAR Technology* 35,400 628
Parametric Technology* 56,800 928
Parkervision (B)* 223,000 2,433
Perot Systems, Cl A (B)* 111,800 1,740
Photronics* 20,400 383
Pixelworks* 561,050 2,788
Plantronics (B) 99,200 3,515
Plexus (B)* 48,900 1,837
PLX Technology* 333,199 4,182
Polycom (B)* 681,800 14,781
Portalplayer (B)* 58,100 1,292
Powerwave Technologies (B)* 194,300 2,621
Presstek (B)* 99,200 1,180
Quality Systems (B) 84,222 2,788
Rackable Systems* 44,100 2,331
RealNetworks (B)* 255,700 2,109
Reynolds & Reynolds, Cl A 69,000 1,960
RF Micro Devices (B)* 795,000 6,877
RightNow Technologies (B)* 63,897 1,014
Rudolph Technologies* 109,800 1,872
Seachange International* 227,500 1,768
Secure Computing (B)* 237,100 2,736
Semtech (B)* 104,800 1,875
Silicon Laboratories (B)* 21,200 1,165
Sirf Technology Holdings (B)* 148,066 5,243
Skyworks Solutions* 646,500 4,390
Solectron* 714,100 2,856
Sonic Solutions (B)* 41,800 757
Spatialight (B)* 393,900 1,394
Spatialight (D) (G)* 100,000 319
SSA Global Technologies* 39,400 632
Standard Microsystems* 28,700 746
STATS ChipPAC ADR (B)* 198,282 1,557
Stratasys (B)* 40,573 1,196
Symmetricom (B)* 201,100 1,719
Synaptics (B)* 43,200 950
Synenco Energy* 31,600 660
Taleo, Cl A* 66,200 864
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Tekelec (B)* 159,700 $ 2,209
Tessera Technologies (B)* 97,051 3,113
THQ (B)* 191,672 4,962
TIBCO Software* 237,900 1,989
TNS* 14,700 311
Trident Microsystems (B)* 129,480 3,763
Triquint Semiconductor (B)* 976,900 4,806
Ultra Clean Holdings* 178,700 1,340
United Online 185,600 2,387
Universal Display (B)* 16,200 233
Valueclick (B)* 159,295 2,695
Vasco Data Security International (B)* 49,900 408
VeriFone Holdings* 188,545 5,711
WebEx Communications (B)* 37,800 1,273
Websense (B)* 48,600 1,340
Website Pros (B)* 65,900 926
Wind River Systems (B)* 412,800 5,139
Witness Systems* 59,200 1,504
Wright Express (B)* 113,500 3,184
----------------
364,780
----------------
MATERIALS -- 2.7%
ADA-ES (B)* 23,400 565
AK Steel Holding* 84,500 1,267
Carpenter Technology (B) 28,100 2,656
Cleveland-Cliffs (B) 23,700 2,065
Eagle Materials (B) 37,800 2,410
Greif, Cl A 4,600 315
Headwaters (B)* 45,200 1,798
Olin 78,600 1,688
Quanex 50,800 3,385
Reliance Steel & Aluminum 54,405 5,110
Schnitzer Steel Industries, Cl A 78,200 3,351
Silgan Holdings 10,400 418
Steel Dynamics 46,200 2,621
Symyx Technologies (B)* 98,900 2,743
Wheeling-Pittsburgh (B)* 129,400 2,376
----------------
32,768
----------------
TELECOMMUNICATION SERVICES -- 1.1%
Centennial Communications* 89,900 659
Fairpoint Communications 272,000 3,759
Premiere Global Services* 143,600 1,156
SBA Communications, Cl A* 228,925 5,359
Syniverse Holdings* 76,200 1,204
Time Warner Telecom, Cl A* 40,910 735
----------------
12,872
----------------
UTILITIES -- 0.0%
New Jersey Resources 9,800 444
----------------
Total Common Stock
(Cost $1,026,033) ($ Thousands) 1,179,387
----------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 73
STATEMENT OF NET ASSETS (Unaudited)
SMALL CAP GROWTH FUND (Continued)
March 31, 2006
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FOREIGN STOCK -- 1.9%
CANADA -- 1.9%
Canaccord Capital 218,700 $ 3,899
Dundee Real Estate Investment Trust 69,500 1,656
Dundee Wealth Management 196,991 1,948
First Quantum Minerals 105,000 4,320
Grande Cache Coal* 467,000 1,057
OPTI Canada* 94,500 3,586
Railpower Technologies* 430,600 1,661
Sherritt International 222,600 2,032
Synenco Energy, Cl A* 138,100 2,883
Synenco Energy (D) (G)* 37,852 632
----------------
Total Foreign Stock
(Cost $18,351) ($ Thousands) 23,674
----------------
Number of
Warrants
----------
WARRANT -- 0.0%
Parkervision (D) (G)* 17,500 86
----------------
Total Warrant
(Cost $37) ($ Thousands) 86
----------------
CORPORATE OBLIGATIONS (C) -- 21.5%
FINANCIALS -- 21.5%
Allstate Life Global Funding II
MTN (F) (H)
4.769%, 04/13/07 $ 3,401 3,401
American General Finance (F) (H)
4.779%, 04/13/07 10,720 10,719
American General Finance MTN, Ser F
3.945%, 07/14/06 739 754
Bear Stearns, EXL (F)
4.759%, 04/15/07 13,160 13,160
CIT Group MTN (F)
4.750%, 05/12/06 18,483 18,483
4.617%, 04/19/06 1,848 1,850
Caterpillar Financial Services MTN,
Ser F (F)
4.680%, 07/10/06 3,697 3,697
Countrywide Financial MTN, Ser A (F)
4.960%, 09/13/06 13,677 13,677
4.770%, 11/03/06 7,763 7,762
Dekabank (F) (H)
4.614%, 02/16/07 13,677 13,675
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Irish Life & Permanent MTN,
Ser X (F) (H)
4.808%, 04/21/07 $ 9,833 $ 9,831
Islandsbanki (F) (H)
4.844%, 03/22/07 6,284 6,284
4.720%, 03/07/07 11,090 11,090
Jackson National Life Funding (F) (H)
4.630%, 02/01/07 16,265 16,265
Kaupthing Bank MTN (F) (H)
4.836%, 03/20/07 18,483 18,483
Landsbanki Islands (F) (H)
4.829%, 03/16/07 14,047 14,047
Liberty Lighthouse US Capital
MTN (F) (H)
4.725%, 05/10/06 7,393 7,388
Morgan Stanley EXL (F)
4.721%, 05/04/07 2,588 2,588
Morgan Stanley EXL, Ser S (F)
4.634%, 05/03/07 3,697 3,696
Natexis Banques (F) (H)
4.743%, 04/13/07 7,208 7,207
Nationwide Building Society (F) (H)
4.991%, 04/28/07 4,066 4,067
4.700%, 04/05/07 7,393 7,393
Nordbank (F) (H)
4.811%, 04/23/07 12,568 12,566
Northern Rock (F) (H)
4.650%, 05/03/07 7,615 7,615
Pacific Life Global Funding (F) (H)
4.740%, 04/13/07 5,545 5,545
Premium Asset Trust,
Ser 2004-06 (F) (H)
4.857%, 06/30/06 7,024 7,028
Premium Asset Trust,
Ser 2004-10 (F) (H)
4.759%, 03/15/07 10,350 10,350
SLM EXL, Ser S (F) (H)
4.570%, 03/15/07 8,132 8,132
Sigma Finance MTN (H)
4.680%, 11/09/06 3,992 3,992
Skandinav Enskilda Bank (F) (H)
4.772%, 03/19/07 8,133 8,132
Witherspoon CDO Funding (F) (H)
4.786%, 09/15/06 5,175 5,175
----------------
Total Corporate Obligations
(Cost $264,052) ($ Thousands) 264,052
----------------
- --------------------------------------------------------------------------------
74 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES (C) (F) (H) -- 3.8%
MORTGAGE RELATED SECURITIES -- 3.8%
Cheyne High Grade, Ser 2004-1A, Cl AM1
4.740%, 11/10/06 $ 3,697 $ 3,697
Commodore, Ser 2003-2A, Cl A1MM
4.970%, 12/12/38 3,401 3,401
Duke Funding, Ser 2004-6B, Cl A1S1
4.620%, 04/08/39 5,545 5,545
Harwood Street Funding II,
Ser 2005-1A, Cl NOTE
4.868%, 05/25/06 7,393 7,393
Orchid Structured Finance CDO,
Ser 2003-1A, Cl A1MM
4.920%, 11/18/38 5,671 5,671
Park Place Securities Trust,
Ser 2004-MM1, Cl AM4
4.858%, 02/25/35 5,281 5,281
RMAC, Ser 2004-NS3A, Cl A1
4.720%, 03/12/25 1,323 1,323
Saturn Ventures II
4.730%, 08/07/06 6,899 6,899
TIAA Real Estate CDO, Ser 2003 1A,
Cl A1MM
4.851%, 12/28/18 4,774 4,774
Whitehawk CDO Funding,
Ser 2004-1A, Cl AMMD
4.930%, 06/15/06 1,848 1,848
Whitehawk CDO Funding,
Ser 2004-1A, Cl AMME
4.930%, 09/15/06 1,109 1,109
----------------
Total Asset-Backed Securities
(Cost $46,941) ($ Thousands) 46,941
----------------
MASTER NOTES (C) -- 2.2%
Bank of America
4.945%, 04/03/06 18,483 18,483
Bear Stearns
4.995%, 04/03/06 8,872 8,872
----------------
Total Master Notes
(Cost $27,355) ($ Thousands) 27,355
----------------
CASH EQUIVALENTS -- 2.0%
First Union Cash Management
Program, 4.623%** 2,567,102 2,567
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 4.560%**++ 22,011,787 22,012
----------------
Total Cash Equivalents
(Cost $24,579) ($ Thousands) 24,579
----------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER (C) (E) -- 2.1%
FINANCIALS -- 2.1%
CPI Funding
4.901%, 04/03/06 $ 1,507 $ 1,506
Eiffel Funding LLC
4.867%, 04/27/06 1,109 1,104
4.767%, 04/28/06 7,393 7,336
Elysian Funding LLC
4.706%, 04/10/06 3,697 3,670
Harbour Funding
4.763%, 04/06/06 5,496 5,485
Harwood Funding
4.881%, 04/03/06 1,774 1,774
Thornburg Mortgage Capital Resources
4.781%, 04/19/06 3,697 3,682
Transamerica Securities
4.841%, 04/03/06 869 869
----------------
Total Commercial Paper
(Cost $25,426) ($ Thousands) 25,426
----------------
TIME DEPOSIT (C) -- 0.6%
Societe Generale
4.900%, 04/03/06 7,393 7,393
----------------
Total Time Deposit
(Cost $7,393) ($ Thousands) 7,393
----------------
CERTIFICATE OF DEPOSIT (C) (F) -- 0.2%
US Trust of New York
4.760%, 03/13/07 2,957 2,957
----------------
Total Certificate of Deposit
(Cost $2,957) ($ Thousands) 2,957
----------------
U.S. TREASURY OBLIGATION (A) -- 0.2%
U.S. Treasury Bills
4.203%, 05/25/06 2,290 2,275
----------------
Total U.S. Treasury Obligation
(Cost $2,276) ($ Thousands) 2,275
----------------
REPURCHASE AGREEMENTS (C) -- 7.0%
Barclays
4.790%, dated 03/31/06, to be
repurchased on 04/03/06, repurchase
price $42,745,708 (collateralized by
various U.S. Government Obligations,
ranging in par value $3,424,526-
$8,787,547, 0.000%-5.900%,
07/18/06-08/04/25; with total
market value $43,583,288) 42,729 42,729
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 75
STATEMENT OF NET ASSETS (Unaudited)
SMALL CAP GROWTH FUND (Concluded)
March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Lehman Brothers
4.750% dated 03/31/06, to be
repurchased on 04/03/06, repurchase
price $43,045,583 (collateralized by
various U.S. Government Obligations,
ranging in par value $2,559-
$4,645, 4.500%-10.700%,
10/17/08-11/23/35; with total
market value $43,889,063) $ 43,028 $ 43,028
----------------
Total Repurchase Agreements
(Cost $85,757) ($ Thousands) 85,757
----------------
Total Investments -- 137.3%
(Cost $1,531,157) ($ Thousands) 1,689,882
----------------
OTHER ASSETS AND LIABILITIES -- (37.3)%
Payable Upon Return on Securities Loaned (459,882)
Payable for Investment Securities Purchased (8,547)
Payable for Fund Shares Redeemed (1,662)
Investment Advisory Fees Payable (656)
Administration Fees Payable (357)
Shareholder Servicing Fees Payable (145)
Administration Servicing Fees Payable (2)
Other Assets and Liabilities, Net 12,594
----------------
Total Other Assets & Liabilities (458,657)
----------------
Net Assets -- 100.0% $ 1,231,225
================
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $ 1,110,583
Accumulated net investment loss (2,605)
Accumulated net realized loss on investments
and futures contracts (36,865)
Net unrealized appreciation on investments 158,725
Net unrealized appreciation on futures contracts 1,387
----------------
Net Assets $ 1,231,225
================
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($1,218,037,324 / 58,779,858 shares) $20.72
=======
Net Asset Value, Offering and Redemption
Price Per Share -- Class I
($13,187,160 / 644,072 shares) $20.47
=======
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Futures -- A summary of the open futures contracts held by the fund at March 31,
2006, is as follows: (see Note 2 in Notes to Financial Statements)
- --------------------------------------------------------------------------------
UNREALIZED
TYPE OF NUMBER OF EXPIRATION APPRECIATION
CONTRACT CONTRACTS DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
Russell 2000 Index 278 June 2006 $ 1,387
* Non-income producing security.
** Rate shown is the 7-day effective yield as of March 31, 2006.
++ Narrow industries are utilized for compliance purposes, whereas broad
sectors are utilized for reporting.
+ Real Estate Investment Trust
++ Investment in Affiliated Registered Investment Company (See Note 3)
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts. The rate reported is the effective yield at time of
purchase.
(B) This security or a partial position of this security is on loan at March
31, 2006. The total value of securities on loan at March 31, 2006 was
$444,626 ($ Thousands).
(C) This security was purchased with cash collateral held from securities
lending. The total value of such securities as of March 31, 2006 was
$459,882 ($ 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 March 31, 2006 was
$1,037 ($ Thousands) and represented 0.08% of Net Assets.
(E) The rate reported is the effective yield at time of purchase.
(F) Variable Rate Security -- The rate reported on the Statement of Net Assets
is the rate in effect as of March 31, 2006.
(G) Securities considered illiquid. The total value of such securities as of
March 31, 2006 was $1,037 ($Thousands) and represents 0.08% 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 / Semi-Annual Report / March 31, 2006
MID-CAP FUND
March 31, 2006
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS#:
[THE FOLLOWING WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
26.9% Financials
15.8% Information Technology
9.3% Consumer Discretionary
8.6% Health Care
8.6% Industrials
7.8% Materials
7.6% Short-Term Investments
4.9% Utilities
4.2% Energy
4.0% Consumer Staples
1.9% Asset-Backed Securities
0.3% Telecommunication Services
0.1% U.S. Treasury Obligation
#Percentages based on total investments. Includes investments held as collateral
for securities on loan (see Note 7).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 96.2%
CONSUMER DISCRETIONARY -- 11.3%
Abercrombie & Fitch, Cl A 3,000 $ 175
American Eagle Outfitters 4,900 146
AnnTaylor Stores* 6,400 235
Autoliv 2,000 113
Barnes & Noble 39,800 1,841
Brinker International 13,700 579
Brunswick 2,200 86
Darden Restaurants* 24,300 997
Dollar General 33,800 597
Dollar Tree Stores (B)* 3,700 102
Eastman Kodak (B) 13,900 395
EchoStar Communications, Cl A* 31,500 941
Goodyear Tire & Rubber (B)* 97,200 1,408
International Game Technology 1,500 53
J.C. Penney 16,800 1,015
Men's Wearhouse 2,300 83
Meredith 900 50
Nordstrom 4,500 176
NVR (B)* 300 222
Penn National Gaming (B)* 41,400 1,746
Rent-A-Center (B)* 13,250 339
TRW Automotive Holdings* 13,100 305
Whirlpool 14,800 1,354
----------------
12,958
----------------
CONSUMER STAPLES -- 4.9%
Archer-Daniels-Midland 22,500 757
Del Monte Foods 25,000 297
Energizer Holdings (B)* 11,200 594
Kroger (B)* 101,300 2,062
Loews - Carolina Group 25,100 1,187
Pepsi Bottling Group 10,400 316
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Pilgrim's Pride (B) 12,800 $ 277
Supervalu (B) 2,400 74
----------------
5,564
----------------
ENERGY -- 5.1%
Chesapeake Energy 6,400 201
Kerr-McGee 10,700 1,022
Patterson-UTI Energy 31,000 991
Pioneer Natural Resources 13,000 575
Plains Exploration & Production* 26,600 1,028
Sunoco 11,400 884
Tidewater (B) 3,900 215
Unit* 17,300 965
----------------
5,881
----------------
FINANCIALS -- 18.4%
A.G. Edwards 12,500 623
American Financial Group 13,700 570
Assurant 6,400 315
Bank of Hawaii 18,500 986
Camden Property Trust+ 3,000 216
CBL & Associates Properties+ 28,800 1,223
City National 15,400 1,183
Comerica 10,600 614
Conseco* 6,300 156
Crescent Real Estate Equities+ 800 17
E*Trade Financial* 4,600 124
East West Bancorp (B) 20,800 802
Federated Investors, Cl B 42,400 1,656
First American 15,100 591
Genworth Financial, Cl A 18,100 605
HCC Insurance Holdings 28,350 987
Hospitality Properties Trust+ (B) 39,700 1,734
HRPT Properties Trust+ 34,000 399
Kimco Realty 12,300 500
Nationwide Financial Services, Cl A 40,000 1,721
Nuveen Investments, Cl A 26,400 1,271
Philadelphia Consolidated Holding* 12,800 437
Public Storage 10,900 885
SL Green Realty+ 8,300 842
Stancorp Financial Group 9,900 536
Synovus Financial 21,800 591
UnionBanCal 17,200 1,207
WR Berkley 2,900 168
----------------
20,959
----------------
HEALTH CARE -- 10.6%
AmerisourceBergen 18,600 898
Applera - Applied Biosystems Group 13,200 358
Barr Pharmaceuticals (B)* 2,300 145
Bausch & Lomb 21,600 1,376
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 77
STATEMENT OF NET ASSETS (Unaudited)
MID-CAP FUND (Continued)
March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Celgene (B)* 4,000 $ 177
Cephalon (B)* 4,200 253
Community Health Systems* 18,700 676
Dade Behring Holdings 31,600 1,128
Invitrogen (B)* 4,500 316
Kinetic Concepts* 18,800 774
King Pharmaceuticals* 56,100 968
Kos Pharmaceuticals (B)* 3,100 148
Lincare Holdings (B)* 24,500 954
McKesson 24,200 1,262
Medimmune* 7,100 260
Millipore* 4,400 321
PDL BioPharma (B)* 10,500 344
Techne (B)* 4,800 289
Universal Health Services, Cl B (B) 28,000 1,422
----------------
12,069
----------------
INDUSTRIALS -- 10.5%
American Standard 13,400 574
CSX 9,200 550
Cummins (B) 17,800 1,871
Eaton 6,500 474
Equifax 8,200 305
Herman Miller 15,100 490
JB Hunt Transport Services (B) 17,900 386
Laidlaw International 62,800 1,708
Norfolk Southern 7,800 422
Parker Hannifin 3,400 274
Republic Services 19,700 838
Rockwell Automation (B) 4,200 302
RR Donnelley & Sons 5,100 167
Ryder System 8,800 394
Teleflex (B) 21,000 1,504
USG (B)* 18,000 1,709
----------------
11,968
----------------
INFORMATION TECHNOLOGY -- 19.4%
Advanced Micro Devices* 1,400 46
Agilent Technologies* 5,700 214
Amphenol, Cl A 9,800 511
Arrow Electronics* 48,400 1,562
BMC Software (B)* 73,300 1,588
Cadence Design Systems (B)* 25,900 479
Ceridian* 38,200 972
Computer Sciences* 27,100 1,505
Electronic Data Systems (B) 18,100 486
Fair Isaac 34,900 1,383
Freescale Semiconductor, Cl B* 37,000 1,027
Global Payments 23,200 1,230
Harris 30,200 1,428
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Intuit* 3,400 $ 181
Jabil Circuit* 20,900 896
Lam Research (B)* 18,900 813
Lexmark International, Cl A (B)* 11,500 522
MEMC Electronic Materials (B)* 10,700 395
Mettler Toledo International* 16,100 972
Micron Technology (B)* 41,100 605
National Semiconductor 52,500 1,462
Nvidia (B)* 12,000 687
VeriSign* 16,100 386
Western Digital* 91,200 1,772
Xerox (B)* 67,000 1,018
----------------
22,140
----------------
MATERIALS -- 9.6%
Crown Holdings* 27,400 486
Eastman Chemical 10,300 527
Florida Rock Industries 5,600 315
FMC* 13,500 837
Freeport-McMoRan Copper & Gold,
Cl B (B) 28,000 1,673
Huntsman* 7,400 143
Lubrizol 17,600 754
Lyondell Chemical 24,000 478
Martin Marietta Materials 17,900 1,916
Nucor 6,500 681
Phelps Dodge 25,800 2,078
Temple-Inland (B) 22,500 1,002
Tronox, Cl B 2,158 37
----------------
10,927
----------------
TELECOMMUNICATION SERVICES -- 0.4%
CenturyTel 12,400 485
----------------
UTILITIES -- 6.0%
AES* 47,900 817
American Electric Power (B) 52,800 1,796
Centerpoint Energy (B) 48,300 576
Edison International 2,200 91
National Fuel Gas 38,400 1,256
Pepco Holdings (B) 23,000 524
PG&E 7,600 296
PPL 14,000 412
Sempra Energy 13,224 614
Wisconsin Energy 11,400 456
----------------
6,838
----------------
Total Common Stock
(Cost $94,891) ($ Thousands) 109,789
----------------
- --------------------------------------------------------------------------------
78 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS (C) -- 13.2%
FINANCIALS -- 13.2%
Allstate Life Global Funding II
MTN (E) (F)
4.769%, 04/13/07 $ 194 $ 194
American General Finance (E) (F)
4.779%, 04/13/07 611 611
American General Finance MTN, Ser F
3.945%, 07/14/06 42 43
Bear Stearns, EXL (E)
4.759%, 04/15/07 750 750
CIT Group MTN (E)
4.750%, 05/12/06 1,053 1,053
4.617%, 04/19/06 105 105
Caterpillar Financial Services MTN,
Ser F (E)
4.680%, 07/10/06 211 211
Countrywide Financial MTN, Ser A (E)
4.960%, 09/13/06 779 779
4.770%, 11/03/06 442 442
Dekabank (E) (F)
4.614%, 02/16/07 779 779
Irish Life & Permanent MTN,
Ser X (E) (F)
4.808%, 04/21/07 560 560
Islandsbanki (E) (F)
4.844%, 03/22/07 358 358
4.720%, 03/07/07 632 632
Jackson National Life Funding (E) (F)
4.630%, 02/01/07 927 927
Kaupthing Bank MTN (E) (F)
4.836%, 03/20/07 1,053 1,053
Landsbanki Islands (E) (F)
4.829%, 03/16/07 800 800
Liberty Lighthouse US Capital
MTN (E) (F)
4.725%, 05/10/06 421 421
Morgan Stanley EXL (E)
4.721%, 05/04/07 147 147
Morgan Stanley EXL, Ser S (E)
4.634%, 05/03/07 211 211
Natexis Banques (E) (F)
4.743%, 04/13/07 411 410
Nationwide Building Society (E) (F)
4.991%, 04/28/07 232 232
4.700%, 04/05/07 421 421
Nordbank (E) (F)
4.811%, 04/23/07 716 716
Northern Rock (E) (F)
4.650%, 05/03/07 434 434
Pacific Life Global Funding (E) (F)
4.740%, 04/13/07 316 316
Premium Asset Trust, Ser 2004-06 (E) (F)
4.857%, 06/30/06 400 400
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
Premium Asset Trust, Ser 2004-10 (E) (F)
4.759%, 03/15/07 $ 590 $ 590
SLM EXL, Ser S (E) (F)
4.570%, 03/15/07 463 463
Sigma Finance MTN (F)
4.680%, 11/09/06 227 227
Skandinav Enskilda Bank (E) (F)
4.772%, 03/19/07 463 463
Witherspoon CDO Funding (E) (F)
4.786%, 09/15/06 295 295
----------------
Total Corporate Obligations
(Cost $15,043) ($ Thousands) 15,043
----------------
CASH EQUIVALENT -- 3.2%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 4.560%**++ 3,705,045 3,705
----------------
Total Cash Equivalent
(Cost $3,705) ($ Thousands) 3,705
----------------
ASSET-BACKED SECURITIES (C) (E) (F) -- 2.3%
MORTGAGE RELATED SECURITIES -- 2.3%
Cheyne High Grade, Ser 2004-1A,
Cl AM1
4.740%, 11/10/06 211 211
Commodore, Ser 2003-2A, Cl A1MM
4.970%, 12/12/38 194 194
Duke Funding, Ser 2004-6B, Cl A1S1
4.620%, 04/08/39 316 316
Harwood Street Funding II,
Ser 2005-1A, Cl NOTE
4.868%, 05/25/06 421 421
Orchid Structured Finance CDO,
Ser 2003-1A, Cl A1MM
4.920%, 11/18/38 323 323
Park Place Securities Trust,
Ser 2004-MM1, Cl AM4
4.858%, 02/25/35 301 301
RMAC, Ser 2004-NS3A, Cl A1
4.720%, 03/12/25 75 75
Saturn Ventures II
4.730%, 08/07/06 393 393
TIAA Real Estate CDO, Ser 2003 1A,
Cl A1MM
4.851%, 12/28/18 272 272
Whitehawk CDO Funding,
Ser 2004-1A, Cl AMMD
4.930%, 06/15/06 105 105
Whitehawk CDO Funding,
Ser 2004-1A, Cl AMME
4.930%, 09/15/06 63 63
----------------
Total Asset-Backed Securities
(Cost $2,674) ($ Thousands) 2,674
----------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 79
STATEMENT OF NET ASSETS (Unaudited)
MID-CAP FUND (Concluded)
March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MASTER NOTES (C) -- 1.4%
Bank of America
4.945%, 04/03/06 $ 1,053 $ 1,053
Bear Stearns
4.995%, 04/03/06 505 505
----------------
Total Master Notes
(Cost $1,558) ($ Thousands) 1,558
----------------
COMMERCIAL PAPER (C) (D) -- 1.3%
FINANCIALS -- 1.3%
CPI Funding
4.901%, 04/03/06 86 86
Eiffel Funding LLC
4.867%, 04/27/06 63 63
4.767%, 04/28/06 421 418
Elysian Funding LLC
4.706%, 04/10/06 211 209
Harbour Funding
4.763%, 04/06/06 313 312
Harwood Funding
4.881%, 04/03/06 101 101
Thornburg Mortgage Capital Resources
4.781%, 04/19/06 211 210
Transamerica Securities
4.841%, 04/03/06 50 50
----------------
Total Commercial Paper
(Cost $1,449) ($ Thousands) 1,449
----------------
TIME DEPOSIT (C) -- 0.4%
Societe Generale
4.900%, 04/03/06 421 421
----------------
Total Time Deposit
(Cost $421) ($ Thousands) 421
----------------
CERTIFICATE OF DEPOSIT (C) (E) -- 0.2%
US Trust of New York
4.760%, 03/13/07 168 168
----------------
Total Certificate of Deposit
(Cost $168) ($ Thousands) 168
----------------
U.S. TREASURY OBLIGATION (A) -- 0.2%
U.S. Treasury Bills
4.180%, 06/15/06 200 198
----------------
Total U.S. Treasury Obligation
(Cost $198) ($ Thousands) 198
----------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS (C) -- 4.2%
Barclays
4.790%, dated 03/31/06, to be
repurchased on 04/03/06, repurchase
price $2,435,162 (collateralized by
various U.S. Government Obligations,
ranging in par value $195,090-
$500,614, 0.000%-5.900%,
07/18/06-08/04/25; with total
market value $2,482,878) $ 2,434 $ 2,434
Lehman Brothers
4.750%, dated 03/31/06, to be
repurchased on 04/03/06, repurchase
price $2,452,246 (collateralized by
various U.S. Government Obligations,
ranging in par value $146-$265,
4.500%-10.700%, 10/17/08-
11/23/35; with total market
value $2,500,298) 2,451 2,451
----------------
Total Repurchase Agreements
(Cost $4,885) ($ Thousands) 4,885
----------------
Total Investments -- 122.6%
(Cost $124,992) ($ Thousands) 139,890
----------------
OTHER ASSETS AND LIABILITIES -- (22.6)%
Payable Upon Return on Securities Loaned (26,199)
Payable for Fund Shares Redeemed (86)
Investment Advisory Fees Payable (36)
Administration Fees Payable (32)
Shareholder Servicing Fees Payable (23)
Other Assets and Liabilities, Net 620
----------------
Total Other Assets and Liabilities (25,756)
----------------
Net Assets -- 100.0% $ 114,134
================
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $ 94,664
Undistributed net investment income 32
Accumulated net realized gain on investments
and futures contracts 4,452
Net unrealized appreciation on investments 14,898
Net unrealized appreciation on futures contracts 88
----------------
Net Assets $ 114,134
================
- --------------------------------------------------------------------------------
80 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($114,134,477 / 5,458,417 shares) $20.91
=======
Futures -- A summary of the open futures contracts held by the fund at March 31,
2006, is as follows: (see Note 2 in Notes to Financial Statements)
- --------------------------------------------------------------------------------
UNREALIZED
TYPE OF NUMBER OF EXPIRATION APPRECIATION
CONTRACT CONTRACTS DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
S&P 400 Index E-MINI 47 June 2006 $88
* Non-income producing security.
** Rate shown is the 7-day effective yield as of March 31, 2006.
+ Real Estate Investment Trust
++ Investment in Affiliated Registered Investment Company (See Note 3)
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts. The rate reported is the effective yield at time of
purchase.
(B) This security or a partial position of this security is on loan at March
31, 2006 (see Note 7). The total value of securities on loan at March 31,
2006 was $25,369 ($ Thousands).
(C) This security was purchased with cash collateral held from securities
lending (see Note 7). The total value of such securities as of March 31,
2006 was $26,199 ($ Thousands).
(D) The rate reported is the effective yield at time of purchase.
(E) Variable Rate Security -- The rate reported on the Statement of Net Assets
is the rate in effect as of March 31, 2006.
(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 / Semi-Annual Report / March 31, 2006 81
STATEMENT OF NET ASSETS (Unaudited)
U.S. MANAGED VOLATILITY FUND
March 31, 2006
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS#:
[THE FOLLOWING WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
18.4% Financials
16.1% Health Care
11.8% Consumer Staples
11.0% Utilities
8.3% Industrials
8.2% Consumer Discretionary
7.5% Information Technology
5.5% Energy
4.8% Short-Term Investment
4.1% Materials
4.1% Telecommunication Services
0.2% U.S. Treasury Obligation
#Percentages based on total investments.
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 94.2%
CONSUMER DISCRETIONARY -- 8.2%
Autoliv 15,900 $ 900
Belo, Cl A 16,100 320
Choice Hotels International 18,800 861
Dillard's, Cl A 16,000 417
DIRECTV Group* 50,300 825
Fortune Brands 34,421 2,775
Gildan Activewear* 10,700 508
GTECH Holdings 19,100 650
Harte-Hanks 28,900 790
Hearst-Argyle Television 74,392 1,738
International Speedway, Cl A 7,300 372
ITT Educational Services* 11,600 743
John Wiley & Sons, Cl A 16,800 636
McClatchy, Cl A 4,400 215
NTL* 18,034 525
Pacific Sunwear of California* 24,700 547
Panera Bread, Cl A* 8,400 631
Polaris Industries 13,300 726
R.H. Donnelley* 5,149 300
Shaw Communications, Cl B* 37,000 885
TRW Automotive Holdings* 36,600 853
Valassis Communications* 12,800 376
VF 33,468 1,904
Weight Watchers International* 8,200 421
Yum! Brands 1,900 93
----------------
19,011
----------------
CONSUMER STAPLES -- 11.7%
Anheuser-Busch 20,800 890
Brown-Forman, Cl B 19,338 1,488
Campbell Soup 28,750 932
Church & Dwight 23,700 875
Clorox 22,846 1,367
Dean Foods* 92,480 3,591
General Mills 20,300 1,029
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Hershey 17,500 $ 914
HJ Heinz 4,900 186
Hormel Foods 107,964 3,649
JM Smucker 8,585 341
Kellogg 81,425 3,586
McCormick 15,000 508
Pepsi Bottling Group 50,646 1,539
PepsiAmericas 109,835 2,686
PepsiCo 7,720 446
Pilgrim's Pride 17,900 388
Supervalu 2,800 86
Sysco 76,663 2,457
TreeHouse Foods* 10,406 276
----------------
27,234
----------------
ENERGY -- 5.5%
Cameco 25,800 929
Enbridge 28,900 834
Exxon Mobil 61,560 3,747
Helmerich & Payne 6,300 440
Imperial Oil Limited 9,600 1,032
Nexen 12,600 693
Petro-Canada 21,600 1,028
Plains Exploration & Production* 23,900 923
Quicksilver Resources* 15,900 615
Suncor Energy 6,700 516
Sunoco 4,000 310
Transcanada 31,400 908
Western Gas Resources 15,400 743
----------------
12,718
----------------
FINANCIALS -- 18.3%
Alleghany* 2,040 591
Allied Capital 29,067 889
American Financial Group 29,556 1,230
Bancorpsouth 6,100 146
BlackRock, Cl A 7,300 1,022
BOK Financial 20,994 998
Brookfield Properties 28,400 970
Cincinnati Financial 17,000 715
CNA Financial* 10,472 333
Commerce Bancshares 48,453 2,504
Commerce Group 28,981 1,531
Crescent Real Estate Equities+ 70,107 1,477
East West Bancorp 16,300 628
Federated Investors, Cl B 18,700 730
Fidelity National Title Group, Cl A 15,898 362
Fulton Financial 44,000 757
Hospitality Properties Trust+ 15,405 673
International Bancshares 39,499 1,135
iStar Financial+ 10,045 384
Leucadia National 12,237 730
Liberty Property Trust+ 17,483 824
Loews 28,862 2,921
- --------------------------------------------------------------------------------
82 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Markel* 8,118 $ 2,741
Mercury General 22,407 1,230
Nuveen Investments, Cl A 15,000 722
Pan Pacific Retail Properties+ 5,295 375
Peoples Bank 12,634 414
Philadelphia Consolidated Holding* 26,643 910
PMI Group 20,200 928
Popular 44,300 920
Reinsurance Group of America 37,612 1,779
RenaissanceRe Holdings 10,100 441
Safeco 52,537 2,638
Simon Property Group 3,631 305
Stancorp Financial Group 13,800 747
Student Loan 4,745 1,106
Synovus Financial 7,800 211
Torchmark 19,242 1,099
Valley National Bancorp 30,000 769
Wachovia 5,278 296
Washington Federal 58,992 1,428
Webster Financial 19,937 966
Whitney Holding 24,600 872
----------------
42,447
----------------
HEALTH CARE -- 15.9%
Alcon 7,300 761
American Pharmaceutical Partners* 8,500 242
AmerisourceBergen 48,806 2,356
Barr Pharmaceuticals* 12,200 768
Cardinal Health 37,872 2,822
Celgene* 11,600 513
Dade Behring Holdings 26,696 953
Dentsply International 28,504 1,658
Edwards Lifesciences* 36,869 1,604
Endo Pharmaceuticals Holdings* 24,300 797
Express Scripts* 5,070 446
Health Net* 5,992 305
Henry Schein* 58,312 2,791
Hillenbrand Industries 60,744 3,340
Hologic* 15,200 841
Idexx Laboratories* 23,793 2,055
Invitrogen* 4,200 295
Johnson & Johnson 46,240 2,738
King Pharmaceuticals* 42,300 730
Laboratory of America Holdings* 13,000 760
Manor Care 9,168 407
McKesson 68,270 3,559
Medco Health Solutions* 4,619 264
Merck 6,900 243
Patterson* 22,100 778
Quest Diagnostics 4,200 215
Respironics* 46,382 1,805
Techne* 13,100 788
Triad Hospitals* 20,600 863
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
VCA Antech* 15,600 $ 444
Zimmer Holdings* 12,500 845
----------------
36,986
----------------
INDUSTRIALS -- 8.2%
Alexander & Baldwin 8,700 415
Alliant Techsystems* 8,800 679
CH Robinson Worldwide 20,200 992
Chicago Bridge & Iron 16,300 391
Dun & Bradstreet* 4,708 361
GATX 12,500 516
Harsco 11,000 909
JetBlue Airways* 49,500 531
Laidlaw International 32,600 887
Landstar System 15,200 671
Lockheed Martin 7,368 553
Northrop Grumman 38,109 2,602
Pitney Bowes 65,386 2,807
Republic Services 58,062 2,468
Robert Half International 3,600 139
Stericycle* 28,233 1,909
Teleflex 4,184 300
Union Pacific 8,400 784
UTI Worldwide 25,500 806
Waste Management 9,025 318
----------------
19,038
----------------
INFORMATION TECHNOLOGY -- 7.4%
Adtran 20,900 547
Affiliated Computer Services, Cl A* 14,400 859
ATI Technologies* 24,500 421
Cognizant Technology Solutions, Cl A* 9,600 571
Fair Isaac 21,100 836
Fairchild Semiconductor International* 18,200 347
Flir Systems* 16,200 460
Harris 10,200 483
Hewitt Associates, Cl A* 7,500 223
Ingram Micro, Cl A* 98,047 1,961
Lexmark International, Cl A* 16,600 753
Qualcomm 12,000 607
Reynolds & Reynolds, Cl A 97,808 2,778
Silicon Laboratories* 17,800 978
Sybase* 24,300 513
Tech Data* 74,784 2,760
Tektronix 25,700 918
Total System Services 20,700 413
Zebra Technologies, Cl A* 16,700 747
----------------
17,175
----------------
MATERIALS -- 4.0%
Agrium 30,900 781
Ball 4,100 180
Bemis 25,500 805
Eagle Materials 14,100 899
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 83
STATEMENT OF NET ASSETS (Unaudited)
U.S. MANAGED VOLATILITY FUND (Concluded)
March 31, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Freeport-McMoRan Copper & Gold,
Cl B 5,800 $ 347
Martin Marietta Materials 8,400 899
Methanex 11,400 234
Newmont Mining 9,759 506
Nova Chemicals 12,900 368
Packaging of America 31,300 702
Pactiv* 37,400 918
Sonoco Products 25,200 854
Steel Dynamics 16,100 913
Vulcan Materials 11,200 971
----------------
9,377
----------------
TELECOMMUNICATION SERVICES -- 4.1%
BCE 42,400 1,020
CenturyTel 24,500 958
Citizens Communications 65,500 869
Telephone & Data Systems 67,414 2,659
US Cellular* 48,124 2,857
Verizon Communications 30,300 1,032
----------------
9,395
----------------
UTILITIES -- 10.9%
AGL Resources 21,700 782
Alliant Energy 26,600 837
Consolidated Edison 22,500 979
Constellation Energy Group 13,700 750
DPL 16,100 435
DTE Energy 16,000 641
Edison International 22,000 906
Energen 23,400 819
Energy East 29,000 705
Great Plains Energy 21,700 611
Hawaiian Electric Industries 54,704 1,484
MDU Resources Group 26,400 883
Northeast Utilities 38,700 756
NSTAR 46,306 1,325
OGE Energy 88,568 2,568
Pepco Holdings 51,961 1,184
PG&E 23,500 914
Puget Energy 32,700 693
SCANA 21,000 824
Sempra Energy 18,300 850
TECO Energy 44,000 709
TXU 22,500 1,007
Vectren 31,824 839
Westar Energy 21,700 452
Wisconsin Energy 22,600 904
WPS Resources 48,352 2,380
----------------
25,237
----------------
Total Common Stock
(Cost $203,211) ($ Thousands) 218,618
----------------
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CASH EQUIVALENT -- 4.8%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 4.560%**++ 11,065,557 $ 11,066
----------------
Total Cash Equivalent
(Cost $11,066) ($ Thousands) 11,066
----------------
U.S. TREASURY OBLIGATION (A) -- 0.2%
U.S. Treasury Bills
4.238%, 05/25/06 $ 470 467
----------------
Total U.S. Treasury Obligation
(Cost $467) ($ Thousands) 467
----------------
Total Investments -- 99.2%
(Cost $214,744) ($ Thousands) 230,151
----------------
OTHER ASSETS AND LIABILITIES -- 0.8%
Investment Advisory Fees Payable (104)
Payable for Fund Shares Redeemed (94)
Administration Fees Payable (67)
Shareholder Servicing Fees Payable (38)
Other Assets and Liabilities, Net 2,245
----------------
Total Other Assets and Liabilities 1,942
----------------
Net Assets -- 100.0% $ 232,093
================
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $ 214,857
Undistributed net investment income 26
Accumulated net realized gain on investments
and futures contracts 1,805
Net unrealized appreciation on investments 15,407
Net unrealized depreciation on futures contracts (2)
----------------
Net Assets $ 232,093
================
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($232,093,429 / 19,885,990 shares) $11.67
=======
Futures -- A summary of the open futures contracts held by the fund at March 31,
2006, is as follows: (see Note 2 in Notes to Financial Statements)
- --------------------------------------------------------------------------------
UNREALIZED
TYPE OF NUMBER OF EXPIRATION DEPRECIATION
CONTRACT CONTRACTS DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
S&P 500 Index E-MINI 74 June 2006 $(2)
* Non-income producing security.
** Rate shown is the 7-day effective yield as of March 31, 2006.
+ Real Estate Investment Trust
++ Investment in Affiliated Registered Investment Company (See Note 3)
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts. The rate reported is the effective yield at time of
purchase.
Cl -- Class
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
84 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
REAL ESTATE FUND
March 31, 2006
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS#:
[THE FOLLOWING WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
86.5% Financials
8.7% Consumer Discretionary
4.2% Short-Term Investments
0.4% Exchange Traded Fund
0.2% Asset-Backed Securities
#Percentages based on total investments. Includes investments held as collateral
for securities on loan (see note 7).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 98.2%
CONSUMER DISCRETIONARY -- 9.1%
Starwood Hotels & Resorts Worldwide 172,800 $ 11,703
WCI Communities (B)* 47,800 1,330
----------------
13,033
----------------
FINANCIALS -- 89.1%
Acadia Realty Trust+ 31,900 751
AMB Property+ 32,700 1,775
Apartment Investment & Management,
Cl A 46,100 2,162
Archstone-Smith Trust 148,950 7,264
AvalonBay Communities+ 69,800 7,615
Boston Properties 47,800 4,457
Brandywine Realty Trust+ 79,900 2,538
Camden Property Trust+ 41,400 2,983
CB Richard Ellis Group, Cl A* 10,900 880
Corporate Office Properties Trust+ 75,300 3,444
DiamondRock Hospitality+ 9,800 135
DiamondRock Hospitality+ 34,500 476
Equity Office Properties Trust 52,700 1,770
Equity Residential 158,200 7,402
Essex Property Trust+ 13,300 1,446
Extra Space Storage+ 112,500 1,934
Federal Realty Investment Trust+ 37,700 2,835
General Growth Properties+ (B) 126,310 6,173
Host Marriott+ 381,900 8,173
iStar Financial+ 23,700 907
Kimco Realty 146,300 5,946
Liberty Property Trust+ 26,500 1,250
Macerich+ 54,900 4,060
Mack-Cali Realty+ 74,300 3,566
Post Properties+ 55,050 2,450
Prologis 140,200 7,501
PS Business Parks+ 16,600 928
Public Storage 25,200 2,047
Reckson Associates Realty+ 79,450 3,640
Regency Centers+ 61,500 4,132
Saul Centers+ 20,100 883
Shurgard Storage Centers, Cl A+ 33,100 2,206
Simon Property Group 127,950 10,766
SL Green Realty+ 23,400 2,375
Taubman Centers+ 26,550 1,106
Thomas Properties Group 19,600 267
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Trizec Properties+ 111,400 $ 2,866
Ventas+ 103,800 3,444
Vornado Realty Trust 35,900 3,446
----------------
127,999
----------------
Total Common Stock
(Cost $108,528) ($ Thousands) 141,032
----------------
EXCHANGE TRADED FUND -- 0.4%
iShares Cohen & Steers Realty
Majors Index Fund 6,000 515
----------------
Total Exchange Traded Fund
(Cost $382) ($ Thousands) 515
----------------
CASH EQUIVALENT -- 4.0%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 4.560%**++ 5,677,920 5,678
----------------
Total Cash Equivalent
(Cost $5,678) ($ Thousands) 5,678
----------------
CORPORATE OBLIGATIONS (C) -- 1.0%
FINANCIALS -- 1.0%
Allstate Life Global Funding II
MTN (D) (E)
4.769%, 04/13/07 $ 19 19
American General Finance (D) (E)
4.779%, 04/13/07 60 60
American General Finance MTN, Ser F
3.945%, 07/14/06 4 4
Bear Stearns, EXL (D)
4.759%, 04/15/07 74 74
CIT Group MTN (D)
4.750%, 05/12/06 104 104
4.617%, 04/19/06 10 10
Caterpillar Financial Services MTN,
Ser F (D)
4.680%, 07/10/06 21 21
Countrywide Financial MTN, Ser A (D)
4.960%, 09/13/06 77 77
4.770%, 11/03/06 44 44
Dekabank (D) (E)
4.614%, 02/16/07 77 77
Irish Life & Permanent MTN,
Ser X (D) (E)
4.808%, 04/21/07 55 55
Islandsbanki (D) (E)
4.844%, 03/22/07 35 35
4.720%, 03/07/07 62 62
Jackson National Life Funding (D) (E)
4.630%, 02/01/07 91 91
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 85
STATEMENT OF NET ASSETS (Unaudited)
REAL ESTATE FUND (Concluded)
March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Kaupthing Bank MTN (D) (E)
4.836%, 03/20/07 $ 104 $ 104
Landsbanki Islands (D) (E)
4.829%, 03/16/07 79 79
Liberty Lighthouse US Capital
MTN (D) (E)
4.725%, 05/10/06 42 41
Morgan Stanley EXL (D)
4.721%, 05/04/07 15 15
Morgan Stanley EXL, Ser S (D)
4.634%, 05/03/07 21 21
Natexis Banques (D) (E)
4.743%, 04/13/07 40 40
Nationwide Building Society (D) (E)
4.991%, 04/28/07 23 23
4.700%, 04/05/07 42 42
Nordbank (D) (E)
4.811%, 04/23/07 71 71
Northern Rock (D) (E)
4.650%, 05/03/07 43 43
Pacific Life Global Funding (D) (E)
4.740%, 04/13/07 31 31
Premium Asset Trust, Ser 2004-06 (D) (E)
4.857%, 06/30/06 39 39
Premium Asset Trust, Ser 2004-10 (D) (E)
4.759%, 03/15/07 58 58
SLM EXL, Ser S (D) (E)
4.570%, 03/15/07 46 46
Sigma Finance MTN (E)
4.680%, 11/09/06 22 22
Skandinav Enskilda Bank (D) (E)
4.772%, 03/19/07 46 46
Witherspoon CDO Funding (D) (E)
4.786%, 09/15/06 29 29
----------------
Total Corporate Obligations
(Cost $1,483) ($ Thousands) 1,483
----------------
ASSET-BACKED SECURITIES (C) (D) (E) -- 0.2%
MORTGAGE RELATED SECURITIES -- 0.2%
Cheyne High Grade, Ser 2004-1A,
Cl AM1
4.740%, 11/10/06 21 21
Commodore, Ser 2003-2A, Cl A1MM
4.970%, 12/12/38 19 19
Duke Funding, Ser 2004-6B, Cl A1S1
4.620%, 04/08/39 31 31
Harwood Street Funding II,
Ser 2005-1A, Cl NOTE
4.868%, 05/25/06 42 42
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Orchid Structured Finance CDO,
Ser 2003-1A, Cl A1MM
4.920%, 11/18/38 $ 32 $ 32
Park Place Securities Trust,
Ser 2004-MM1, Cl AM4
4.858%, 02/25/35 30 30
RMAC, Ser 2004-NS3A, Cl A1
4.720%, 03/12/25 7 7
Saturn Ventures II
4.730%, 08/07/06 39 39
TIAA Real Estate CDO, Ser 2003 1A,
Cl A1MM
4.851%, 12/28/18 27 27
Whitehawk CDO Funding,
Ser 2004-1A, Cl AMMD
4.930%, 06/15/06 10 10
Whitehawk CDO Funding,
Ser 2004-1A, Cl AMME
4.930%, 09/15/06 6 6
----------------
Total Asset-Backed Securities
(Cost $264) ($ Thousands) 264
----------------
MASTER NOTES (C) -- 0.1%
Bank of America
4.945%, 04/03/06 104 104
Bear Stearns
4.995%, 04/03/06 50 50
----------------
Total Master Notes
(Cost $154) ($ Thousands) 154
----------------
COMMERCIAL PAPER (A) (C) -- 0.1%
FINANCIALS -- 0.1%
CPI Funding
4.901%, 04/03/06 8 8
Eiffel Funding LLC
4.867%, 04/27/06 6 6
4.767%, 04/28/06 42 41
Elysian Funding LLC
4.706%, 04/10/06 21 21
Harbour Funding
4.763%, 04/06/06 31 31
Harwood Funding
4.881%, 04/03/06 10 10
Thornburg Mortgage Capital Resources
4.781%, 04/19/06 21 21
Transamerica Securities
4.841%, 04/03/06 5 5
----------------
Total Commercial Paper
(Cost $143) ($ Thousands) 143
----------------
- --------------------------------------------------------------------------------
86 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
TIME DEPOSIT (C) (D) -- 0.0%
Societe Generale
4.900%, 04/03/06 $ 42 $ 42
----------------
Total Time Deposit
(Cost $42) ($ Thousands) 42
----------------
CERTIFICATE OF DEPOSIT (C) (D) -- 0.0%
US Trust of New York
4.760%, 03/13/07 16 16
----------------
Total Certificate of Deposit
(Cost $16) ($ Thousands) 16
----------------
REPURCHASE AGREEMENTS (C) -- 0.3%
Barclays
4.790%, dated 03/31/06, to be
repurchased on 04/03/06, repurchase
price $240,112 (collateralized by
various U.S. Government Obligations,
ranging in par value $19,236-
$49,362, 0.000%-5.900%,
07/18/06-08/04/25; with total
market value $244,817) 240 240
Lehman Brothers
4.750%, dated 03/31/06, to be
repurchased on 04/03/06, repurchase
price $241,996 (collateralized by
various U.S. Government Obligations,
ranging in par value $14-$26
4.500%-10.700%, 10/17/08-
11/23/35; with total market
value $246,534) 242 242
----------------
Total Repurchase Agreements
(Cost $482) ($ Thousands) 482
----------------
Total Investments -- 104.3%
(Cost $117,172) ($ Thousands) 149,809
----------------
OTHER ASSETS AND LIABILITIES -- (4.3)%
Payable for Investment Securities Purchased (3,647)
Payable Upon Return on Securities Loaned (2,583)
Payable for Fund Shares Redeemed (920)
Investment Advisory Fees Payable (70)
Administration Fees Payable (41)
Shareholder Servicing Fees Payable (18)
Other Assets and Liabilities, Net 1,103
----------------
Total Other Assets and Liabilities (6,176)
----------------
Net Assets -- 100.0% $ 143,633
================
- --------------------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
NET ASSETS:
Paid-in-Capital -- Class A
(unlimited authorization -- no par value) $ 106,212
Distributions in excess of net
investment income (57)
Accumulated net realized gain on investments 4,841
Net unrealized appreciation on investments 32,637
----------------
Net Assets $ 143,633
================
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($143,632,956 / 8,231,955 shares) $17.45
=======
* Non-income producing security.
** Rate shown is the 7-day effective yield as of March 31, 2006.
+ Real Estate Investment Trust
++ Investment in Affiliated Registered Investment Company (See Note 3)
(A) The rate reported is the effective yield at time of purchase.
(B) This security or a partial position of this security is on loan at March
31, 2006. The total value of securities on loan at March 31, 2006 was
$2,499 ($ Thousands).
(C) This security was purchased with cash collateral held from securities
lending. The total value of such securities as of March 31, 2006 was
$2,583 ($ Thousands).
(D) Variable Rate Security -- The rate reported on the Statement of Net Assets
is the rate in effect as of March 31, 2006.
(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."
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 / Semi-Annual Report / March 31, 2006 87
SCHEDULE OF INVESTMENTS (Unaudited)
CORE FIXED INCOME FUND
March 31, 2006
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS*:
[THE FOLLOWING WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
25.2% U.S. Government Mortgage-Backed Obligations
24.3% Corporate Obligations
22.2% Asset-Backed Securities
12.4% U.S. Treasury Obligations
7.4% Short-Term Investments
6.1% U.S. Government Agency Obligations
2.2% Commercial Paper
0.2% Certificates of Deposit
0.0% 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)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 36.2%
FHLMC
7.500%, 11/01/29 to 09/01/32 $ 3,760 $ 3,929
7.000%, 12/01/06 to 02/01/32 4,893 4,989
6.500%, 12/01/13 to 10/01/31 16,305 16,636
6.000%, 03/01/20 to 02/01/36 54,775 54,961
5.861%, 02/01/36 (A) 5,042 5,072
5.500%, 12/01/13 to 04/01/34 25,808 25,613
5.150%, 01/01/36 9,500 9,356
5.000%, 10/01/18 to 12/01/35 59,684 57,419
4.500%, 01/01/19 to 11/01/35 63,216 59,421
4.000%, 04/01/19 to 10/01/33 3,288 2,942
FHLMC TBA
6.500%, 06/01/31 44,677 45,445
6.000%, 04/01/16 6,137 6,208
5.500%, 04/15/33 to 04/15/35 97,300 95,012
5.000%, 04/21/18 to 04/01/36 6,425 6,313
4.500%, 05/01/19 3,844 3,666
FNMA
9.000%, 07/01/07
8.000%, 10/01/15 31 33
7.000%, 09/01/26 to 04/01/32 5,965 6,149
6.500%, 05/01/17 to 12/01/34 49,340 50,310
6.000%, 03/01/33 to 10/01/35 19,012 19,026
5.655%, 10/01/35 25,886 26,494
5.645%, 11/01/35 6,485 6,637
5.635%, 02/01/36 (A) 989 992
5.500%, 06/01/14 to 02/01/35 84,911 83,616
5.382%, 02/01/36 (A) 3,242 3,230
5.327%, 12/01/35 1,317 1,304
5.240%, 02/01/36 (A) 2,241 2,230
5.112%, 12/01/35 (A) 4,514 4,480
5.003%, 12/01/35 1,938 1,921
5.003%, 01/01/36 (A) 3,201 3,171
5.000%, 03/01/20 to 09/01/33 30,295 29,453
4.508%, 04/01/09 1,872 1,832
4.500%, 07/25/15 to 09/01/35 34,345 32,531
4.000%, 08/01/20 2,993 2,799
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FNMA ARM
5.661%, 11/01/35 $ 3,264 $ 3,341
5.657%, 11/01/35 3,280 3,357
5.656%, 11/01/35 3,288 3,365
5.654%, 11/01/35 3,246 3,322
5.651%, 11/01/35 3,295 3,372
FNMA TBA
6.000%, 05/20/14 to 04/30/35 64,049 64,010
5.500%, 04/30/20 to 04/30/35 240,478 234,951
5.000%, 04/30/20 to 04/25/36 327,290 312,569
4.500%, 04/14/33 to 04/25/36 19,020 17,540
GNMA
8.000%, 11/15/29 to 01/15/31 330 355
7.500%, 03/15/29 to 01/15/32 647 679
7.000%, 08/15/13 224 231
6.500%, 10/15/23 to 09/15/35 24,096 24,983
6.000%, 03/15/14 to 04/28/36 93,265 94,395
5.000%, 05/15/33 to 10/15/35 7,847 7,610
4.500%, 08/20/34 2,028 2,025
4.000%, 06/20/35 1,865 1,857
4.000%, 02/20/36 to 03/20/36 (A) 3,105 3,060
3.942%, 08/16/25 936 902
3.750%, 12/20/33 to 05/20/34 (A) 27,727 27,188
GNMA TBA
6.000%, 04/15/35 3,200 3,236
5.000%, 04/01/33 14,740 14,275
----------------
Total U.S. Government Mortgage-Backed Obligations
(Cost $1,514,927) ($ Thousands) 1,499,813
----------------
CORPORATE OBLIGATIONS -- 34.9%
CONSUMER DISCRETIONARY -- 2.0%
American Achievement
8.250%, 04/01/12 900 918
Beazer Homes
8.625%, 05/15/11 500 523
Boyd Gaming (J)
7.125%, 02/01/16 350 355
6.750%, 04/15/14 570 569
CBS (J)
5.625%, 08/15/12 1,430 1,406
COX Communications
7.875%, 08/15/09 750 794
7.125%, 10/01/12 655 687
4.625%, 06/01/13 805 733
CSC Holdings
7.625%, 07/15/18 80 79
Caesars Entertainment
8.125%, 05/15/11 540 587
Cisco Systems
5.500%, 02/22/16 1,310 1,290
Clear Channel Communications
4.250%, 05/15/09 990 943
- --------------------------------------------------------------------------------
88 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Comcast
6.500%, 01/15/15 $ 1,475 $ 1,511
5.900%, 03/15/16 530 520
5.850%, 11/15/15 465 456
5.650%, 06/15/35 805 702
5.450%, 11/15/10 525 519
5.300%, 01/15/14 2,340 2,225
Comcast Cable Communications
8.375%, 03/15/13 1,070 1,203
6.750%, 01/30/11 (J) 7,430 7,724
Continental Cablevision
9.000%, 09/01/08 1,150 1,236
8.300%, 05/15/06 985 988
DaimlerChrysler
8.500%, 01/18/31 625 731
7.300%, 01/15/12 1,400 1,479
6.500%, 11/15/13 1,800 1,831
5.875%, 03/15/11 1,125 1,120
Echostar DBS (B)
7.125%, 02/01/16 1,970 1,938
Ford Motor
9.980%, 02/15/47 3,800 3,116
9.215%, 09/15/21 1,000 800
7.500%, 08/01/26 1,900 1,337
7.450%, 07/16/31 (J) 2,940 2,183
7.125%, 11/15/25 4,961 3,485
6.375%, 02/01/29 5,537 3,682
General Motors
8.375%, 07/15/33 449 329
8.250%, 07/15/23 (J) 3,100 2,232
Harrahs Operating (J)
5.750%, 10/01/17 1,455 1,378
Hertz (B)
8.875%, 01/01/14 725 752
Inn of the Mountain Gods
12.000%, 11/15/10 1,010 1,091
JC Penney
7.400%, 04/01/37 720 776
Jacuzzi Brands
9.625%, 07/01/10 870 933
Kabel Deutschland (B)
10.625%, 07/01/14 1,235 1,318
Knight-Ridder
5.750%, 09/01/17 655 603
Liberty Media (A)
6.410%, 09/17/06 3,091 3,104
MGM Mirage
8.500%, 09/15/10 160 171
Mandalay Resort Group
9.500%, 08/01/08 440 468
Nationsrent
9.500%, 10/15/10 150 163
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
News America
6.400%, 12/15/35 (B) $ 1,320 $ 1,262
6.200%, 12/15/34 395 370
Omnicon Group
5.900%, 04/15/16 2,165 2,131
Quebecor Media (B)
7.750%, 03/15/16 470 483
Reader's Digest Association
6.500%, 03/01/11 390 389
River Rock Entertainment
9.750%, 11/01/11 930 1,004
Rogers Cable
7.875%, 05/01/12 550 589
6.750%, 03/15/15 1,015 1,035
Russell
9.250%, 05/01/10 820 851
Station Casinos (B)
6.625%, 03/15/18 1,495 1,461
Time Warner
8.375%, 07/15/33 745 858
7.700%, 05/01/32 6,675 7,341
6.875%, 05/01/12 2,455 2,574
Visteon (J)
8.250%, 08/01/10 800 660
----------------
81,996
----------------
CONSUMER STAPLES -- 0.5%
Altria Group
7.750%, 01/15/27 3,860 4,415
7.000%, 11/04/13 795 855
Anheuser-Busch
5.050%, 10/15/16 940 899
Delhaize America
9.000%, 04/15/31 980 1,133
General Mills
6.000%, 02/15/12 750 764
Kellogg, Ser B
6.600%, 04/01/11 890 931
Kraft Foods
6.500%, 11/01/31 550 574
5.625%, 11/01/11 940 941
Philip Morris Capital
7.500%, 07/16/09 1,750 1,830
RJ Reynolds Tobacco Holdings, Ser B
7.750%, 05/15/06 7,230 7,266
Tyson Foods
6.600%, 04/01/16 1,490 1,472
Wal-Mart Stores
5.250%, 09/01/35 1,420 1,288
----------------
22,368
----------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 89
SCHEDULE OF INVESTMENTS (Unaudited)
CORE FIXED INCOME FUND (Continued)
March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ENERGY -- 2.0%
Amerada Hess
7.300%, 08/15/31 $ 5,450 $ 6,068
Amerigas
7.125%, 05/20/16 1,105 1,100
Anadarko Finance, Ser B
6.750%, 05/01/11 2,510 2,645
Apache
6.250%, 04/15/12 1,385 1,449
Canadian National Resources
5.850%, 02/01/35 800 759
Conoco Funding
7.250%, 10/15/31 530 620
6.950%, 04/15/29 4,060 4,593
6.350%, 10/15/11 (J) 920 959
ConocoPhillips (J)
5.900%, 10/15/32 1,875 1,877
4.750%, 10/15/12 3,990 3,848
Devon Energy
7.950%, 04/15/32 1,710 2,094
Duke Capital LLC
8.000%, 10/01/19 985 1,150
7.500%, 10/01/09 1,530 1,621
El Paso (B)
6.950%, 06/01/28 6,750 6,244
El Paso MTN
7.800%, 08/01/31 2,280 2,291
7.750%, 01/15/32 (J) 5,075 5,113
Encana
6.500%, 08/15/34 544 569
Halliburton
8.750%, 02/15/21 1,281 1,624
5.500%, 10/15/10 745 747
Kansas Gas & Electric
5.647%, 03/29/21 1,255 1,199
Kinder Morgan
6.500%, 09/01/12 470 486
Kinder Morgan Energy Partners
5.000%, 12/15/13 2,015 1,908
Kinder Morgan Finance
5.350%, 01/05/11 685 674
Magellan Midstream Partners
5.650%, 10/15/16 845 822
Pemex Project Funding Master Trust
7.375%, 12/15/14 355 379
6.625%, 06/15/35 605 584
6.625%, 06/15/35 (B) 1,260 1,217
Petro-Canada
5.950%, 05/15/35 660 629
Pogo Producing
6.875%, 10/01/17 1,000 988
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Semgroup (B)
8.750%, 11/15/15 $ 110 $ 112
Sonat
7.625%, 07/15/11 2,850 2,936
Suburban Propane Partners
6.875%, 12/15/13 1,845 1,771
Tosco
8.125%, 02/15/30 400 507
Vastar Resources
6.500%, 04/01/09 3,490 3,625
Vintage Petroleum
8.250%, 05/01/12 480 511
Western Oil Sands
8.375%, 05/01/12 1,195 1,326
Williams
8.750%, 03/15/32 (J) 7,050 8,249
7.750%, 06/15/31 1,880 1,993
Williams, Ser A
7.500%, 01/15/31 1,490 1,546
XTO Energy
7.500%, 04/15/12 850 928
6.250%, 04/15/13 690 714
YPF Sociedad Anonima MTN, Ser A
7.750%, 08/27/07 5,000 5,075
----------------
83,550
----------------
FINANCIALS -- 21.9%
AMBAC Financial Group
5.950%, 12/05/35 395 381
ASIF Global Financing XIX (B)
4.900%, 01/17/13 880 849
Aiful (B)
5.000%, 08/10/10 1,420 1,374
Allstate Life Global Funding II MTN
(A) (B) (K) (L)
4.769%, 04/13/07 6,652 6,652
American General Finance
(A) (B) (K) (L)
4.779%, 04/13/07 20,967 20,965
American General Finance MTN,
Ser F (K) (L)
3.945%, 07/14/06 1,446 1,475
American International Group (B) (J)
4.700%, 10/01/10 3,075 2,976
Arch Capital Group
7.350%, 05/01/34 1,317 1,410
BAC Capital Trust VI
5.625%, 03/08/35 1,200 1,115
Bank One
7.875%, 08/01/10 3,525 3,842
- --------------------------------------------------------------------------------
90 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Bank of America
7.400%, 01/15/11 (J) $ 6,240 $ 6,744
5.375%, 06/15/14 2,100 2,072
Banponce Trust I, Ser A
8.327%, 02/01/27 2,590 2,736
Bear Stearns
4.500%, 10/28/10 4,030 3,875
Bear Stearns, EXL (A) (K) (L)
4.759%, 04/15/07 25,739 25,739
Boeing Capital
6.500%, 02/15/12 465 489
5.800%, 01/15/13 425 433
Bunge Finance
4.375%, 12/15/08 425 413
CIT Group
6.000%, 04/01/36 1,290 1,241
5.000%, 02/01/15 2,015 1,904
4.250%, 02/01/10 1,595 1,527
CIT Group MTN
4.750%, 08/15/08 1,330 1,313
4.750%, 05/12/06 (A) (K) (L) 36,151 36,151
4.617%, 04/19/06 (A) (K) (L) 3,615 3,618
CNA Financial
6.950%, 01/15/18 335 345
5.850%, 12/15/14 985 958
Capital One Bank
6.700%, 05/15/08 1,830 1,878
4.875%, 05/15/08 4,683 4,636
Capital One Financial
8.750%, 02/01/07 2,095 2,151
5.500%, 06/01/15 1,310 1,271
Caterpillar Financial Services MTN,
Ser F (A) (K) (L)
4.680%, 07/10/06 7,230 7,230
China Development Bank
5.000%, 10/15/15 500 474
Citigroup
5.875%, 02/22/33 2,680 2,604
5.125%, 02/14/11 1,970 1,943
5.000%, 09/15/14 5,565 5,326
Countrywide Financial MTN,
Ser A (A) (K) (L)
4.960%, 09/13/06 26,751 26,751
4.770%, 11/03/06 15,183 15,182
Countrywide Home Loans MTN, Ser L
2.875%, 02/15/07 3,320 3,250
Credit Suisse First Boston
London (A) (B) (M)
0.000%, 03/24/10 8,663 7,660
0.000%, 03/24/10 2,387 2,111
Credit Suisse First Boston USA
4.875%, 08/15/10 3,680 3,593
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Danske Bank (A) (B)
5.914%, 12/29/49 $ 4,150 $ 4,167
Dekabank (A) (B) (K) (L)
4.614%, 02/16/07 26,751 26,746
Deutsche Bank Capital Funding
Trust (B)
5.628%, 01/19/49 3,720 3,586
Developers Divers Realty MTN++
7.000%, 03/19/07 1,300 1,316
Developers Divers Realty++
5.375%, 10/15/12 1,470 1,431
Di Finance, Ser B
9.500%, 02/15/13 100 104
Dow Jones CDX HY, Ser 5-T1 (B) (J)
8.750%, 12/29/10 5,050 5,214
Dow Jones CDX HY, Ser 6-T1 (B)
8.625%, 06/29/11 5,000 4,984
Dryden Investor Trust (B) (I)
7.157%, 07/23/08 4,000 4,071
Equity One ++
3.875%, 04/15/09 7,480 7,090
Farmers Exchange Capital (B)
7.200%, 07/15/48 1,465 1,456
7.050%, 07/15/28 4,434 4,495
Farmers Insurance Exchange
Capital (B)
8.625%, 05/01/24 3,717 4,344
First Industrial
7.600%, 07/15/28 3,675 3,949
First Industrial MTN
7.500%, 12/01/17 1,800 1,977
Ford Motor Credit
7.875%, 06/15/10 7,405 6,942
7.375%, 10/28/09 (J) 18,150 17,061
7.250%, 10/25/11 336 306
6.625%, 06/16/08 6,285 5,949
Forest City Enterprises
7.625%, 06/01/15 500 527
6.500%, 02/01/17 270 267
GE Capital Franchise MTN++
6.860%, 06/15/07 1,850 1,883
GE Global Insurance
7.500%, 06/15/10 105 112
7.000%, 02/15/26 395 433
General Electric Capital (J)
4.875%, 03/04/15 860 825
General Electric Capital MTN, Ser A
6.000%, 06/15/12 (J) 3,115 3,199
3.750%, 12/15/09 2,041 1,931
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 91
SCHEDULE OF INVESTMENTS (Unaudited)
CORE FIXED INCOME FUND (Continued)
March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
General Motors Acceptance
8.000%, 11/01/31 $ 4,150 $ 3,922
7.750%, 01/19/10 (J) 2,430 2,369
7.250%, 03/02/11 (J) 3,520 3,335
7.020%, 12/01/14 (A) 3,068 2,794
6.875%, 09/15/11 1,735 1,617
6.150%, 04/05/07 (J) 1,290 1,267
6.125%, 02/01/07 650 640
6.125%, 08/28/07 460 446
5.850%, 01/14/09 (J) 970 907
5.625%, 05/15/09 (J) 22,070 20,539
5.550%, 07/16/07 (A) 3,460 3,360
5.125%, 05/09/08 (J) 970 913
Genworth Financial
4.950%, 10/01/15 1,595 1,508
Goldman Sachs Capital I (J)
6.345%, 02/15/34 1,690 1,676
Goldman Sachs Group
6.875%, 01/15/11 3,775 3,985
5.350%, 01/15/16 925 893
5.250%, 10/15/13 3,565 3,471
5.125%, 01/15/15 (J) 3,035 2,901
HSBC Finance
8.000%, 07/15/10 3,475 3,792
7.000%, 05/15/12 1,505 1,609
6.375%, 11/27/12 585 606
5.000%, 06/30/15 1,000 944
4.750%, 05/15/09 2,155 2,116
4.750%, 04/15/10 4,705 4,579
4.625%, 09/15/10 650 627
4.125%, 12/15/08 1,000 970
Health Care++
6.200%, 06/01/16 1,015 1,009
Hexion US Financial
9.000%, 07/15/14 250 257
Highwoods Realty++
7.500%, 04/15/18 4,400 4,717
7.125%, 02/01/08 3,000 3,069
Host Marriott++ (B)
6.750%, 06/01/16 980 979
ILFC E-Capital Trust I (A) (B)
5.900%, 12/21/65 410 398
International Lease Finance
4.750%, 01/13/12 1,176 1,122
International Lease Finance MTN
5.450%, 03/24/11 2,320 2,302
Irish Life & Permanent MTN,
Ser X (A) (B) (K) (L)
4.808%, 04/21/07 19,232 19,228
Islandsbanki (A) (K)
4.844%, 03/22/07 12,291 12,291
4.720%, 03/07/07 21,690 21,690
Istar Financial, Ser 1++
5.875%, 03/15/16 795 778
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
JPMorgan Capital Trust II
7.950%, 02/01/27 $ 580 $ 612
JPMorgan Chase
6.750%, 02/01/11 1,705 1,792
5.750%, 01/02/13 6,435 6,478
5.150%, 10/01/15 2,000 1,914
JPMorgan Chase Capital XV (J)
5.875%, 03/15/35 2,430 2,271
Jackson National Life Funding
(A) (B) (K) (L)
4.630%, 02/01/07 31,812 31,812
Kaupthing Bank MTN (A) (B) (K)
4.836%, 03/20/07 36,151 36,151
Korea Development Bank
4.625%, 09/16/10 1,000 964
4.250%, 11/13/07 755 742
Landsbanki Islands (A) (B) (K)
4.829%, 03/16/07 27,474 27,474
Lazard Group
7.125%, 05/15/15 3,265 3,392
Lehman Brothers
6.500%, 04/15/08 695 711
Lehman Brothers Holdings
7.000%, 02/01/08 3,395 3,492
Lehman Brothers Holdings MTN,
Ser H (A) (N)
0.000%, 11/30/10 3,570 3,253
Lehman Brothers MTN
5.500%, 04/04/16 785 771
Liberty Lighthouse US Capital
MTN (A) (B) (K) (L)
4.725%, 05/10/06 14,460 14,451
Liberty Mutual Group (B)
6.500%, 03/15/35 1,525 1,440
Liberty Mutual Insurance (B)
7.875%, 10/15/26 410 461
MUFG Capital Finance 1 (A)
6.346%, 07/29/49 3,650 3,592
Marsh & Mclennan
5.150%, 09/15/10 557 544
Merrill Lynch
7.430%, 09/01/22 4 4
4.790%, 08/04/10 2,400 2,334
Merrill Lynch MTN, Ser B
3.375%, 09/14/07 2,100 2,044
Merrill Lynch MTN, Ser C
4.790%, 03/12/07 (A) 2,460 2,442
4.250%, 02/08/10 2,690 2,583
Met Life (J)
5.700%, 06/15/35 860 810
Met Life Global Funding (B)
4.750%, 06/20/07 1,100 1,086
Monumental Global Funding (B)
5.200%, 01/30/07 625 625
- --------------------------------------------------------------------------------
92 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Morgan Stanley
5.375%, 10/15/15 (J) $ 1,605 $ 1,555
4.750%, 04/01/14 1,220 1,138
4.000%, 01/15/10 3,710 3,525
Morgan Stanley EXL (A) (K) (L)
4.721%, 05/04/07 5,061 5,061
Morgan Stanley EXL, Ser S (A) (K) (L)
4.634%, 05/03/07 7,230 7,229
NB Capital Trust IV
8.250%, 04/15/27 4,500 4,781
Natexis Banques (A) (B) (K) (L)
4.743%, 04/13/07 14,099 14,096
National Capital Trust II (A) (B)
5.486%, 12/29/49 2,231 2,157
Nationwide Building Society
(A) (B) (K) (L)
4.991%, 04/28/07 7,953 7,954
4.700%, 04/05/07 14,460 14,460
Nationwide Mutual Insurance (B)
8.250%, 12/01/31 3,575 4,249
6.600%, 04/15/34 3,590 3,479
Nordbank (A) (B) (K) (L)
4.811%, 04/23/07 24,582 24,577
North Front Pass-Through Trust (A) (B)
5.810%, 12/15/24 4,200 4,082
Northern Rock (A) (B) (K) (L)
4.650%, 05/03/07 14,894 14,894
Odyssey Re Holdings
6.875%, 05/01/15 2,400 2,310
PNC Funding
5.250%, 11/15/15 1,310 1,267
Pacific Life Global Funding
(A) (B) (K) (L)
4.740%, 04/13/07 10,845 10,845
Power Receivables Financial
6.290%, 01/01/12 4,452 4,499
6.290%, 01/01/12 (B) 365 367
Premium Asset Trust, Ser 2004-06
(A) (B) (K) (L)
4.857%, 06/30/06 13,737 13,747
Premium Asset Trust, Ser 2004-10
(A) (B) (K) (L)
4.759%, 03/15/07 20,244 20,244
Prime Property Funding (B)
5.600%, 06/15/11 2,220 2,206
Prologis++
5.500%, 04/01/12 1,290 1,275
5.250%, 11/15/10 (B) 460 453
Rabobank Capital Fund Trust II (A) (B)
5.260%, 12/29/49 200 192
Rabobank Capital Fund Trust III (A) (B)
5.254%, 10/21/16 420 397
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Residential Capital
6.875%, 06/30/15 $ 225 $ 235
6.335%, 06/29/07 (A) 980 987
6.125%, 11/21/08 3,520 3,526
6.000%, 02/22/11 3,890 3,859
Resona Bank (A) (B)
5.850%, 09/29/49 1,450 1,407
SLM (A)
5.120%, 03/15/11 1,635 1,634
SLM EXL, Ser S (A) (K) (L)
4.570%, 03/15/07 15,906 15,906
SLM MTN, Ser A
5.000%, 10/01/13 1,595 1,528
SLM, Ser CPI (A)
4.540%, 04/01/09 5,580 5,402
Shinsei Finance Cayman (B)
6.418%, 01/29/49 4,100 4,035
Sigma Finance MTN (A) (B) (K) (L)
4.680%, 11/09/06 7,808 7,808
Simon Property Group++
5.750%, 12/01/15 (B) 910 899
5.375%, 06/01/11 (B) (J) 2,060 2,030
4.600%, 06/15/10 745 718
Skandinav Enskilda Bank (A) (B) (K) (L)
4.772%, 03/19/07 15,906 15,905
St. Paul
5.750%, 03/15/07 525 524
Sumitomo Mitsui Banking (A) (B)
5.625%, 10/15/15 2,620 2,542
Toyota Motor Credit
5.500%, 12/15/08 120 121
US Bancorp MTN, Ser N
3.125%, 03/15/08 2,215 2,130
Unumprovident Finance (B)
6.850%, 11/15/15 615 625
Ventas Realty++
9.000%, 05/01/12 180 202
6.500%, 06/01/16 (B) 1,280 1,274
Wachovia
5.500%, 08/01/35 605 551
4.875%, 02/15/14 875 830
Wachovia Capital Trust III (J)
5.800%, 03/15/11 2,230 2,191
Washington++
5.350%, 05/01/15 687 657
Washington Mutual
4.625%, 04/01/14 4,175 3,817
4.000%, 01/15/09 746 720
Washington Mutual Bank
5.125%, 01/15/15 1,115 1,054
Washington Mutual Preferred
Funding (B)
6.534%, 03/15/49 1,600 1,550
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 93
SCHEDULE OF INVESTMENTS (Unaudited)
CORE FIXED INCOME FUND (Continued)
March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Westfield Capital (B)
4.375%, 11/15/10 $ 4,153 $ 3,951
Witherspoon CDO Funding (A) (K)
4.786%, 09/15/06 10,122 10,122
Woodbourne Pass-Through
Trust (A) (B)
5.791%, 04/08/49 2,500 2,503
XL Capital
6.375%, 11/15/24 825 820
ZFS Finance USA Trust II (A) (B)
6.450%, 12/15/65 2,600 2,502
Zurich Capital Trust I (B)
8.376%, 06/01/37 7,362 7,877
----------------
908,374
----------------
HEALTH CARE -- 0.5%
Coventry Health Care
6.125%, 01/15/15 465 462
Davita
7.250%, 03/15/15 2,155 2,166
HCA
6.500%, 02/15/16 (J) 1,375 1,340
5.750%, 03/15/14 6,470 6,053
Omnicare
6.875%, 12/15/15 1,000 997
Tenet Healthcare (J)
7.375%, 02/01/13 336 307
Teva Pharmaceutical Finance LLC
6.150%, 02/01/36 1,815 1,711
5.550%, 02/01/16 935 902
Unitedhealth Group
5.375%, 03/15/16 985 963
Wellpoint
6.800%, 08/01/12 1,000 1,062
5.850%, 01/15/36 655 619
5.250%, 01/15/16 465 448
Wyeth
5.500%, 02/15/16 2,410 2,367
----------------
19,397
----------------
INDUSTRIALS -- 2.9%
Air 2 US (B)
8.027%, 10/01/19 3,169 3,153
America West Airlines, Ser 1999-1
7.930%, 01/02/19 8,761 9,120
American Airlines, Ser 1999-1 (J)
7.024%, 10/15/09 4,630 4,780
American Airlines, Ser 2001-2
7.858%, 10/01/11 3,000 3,193
Burlington North Santa Fe
6.750%, 07/15/11 1,610 1,698
Cedar Brakes I LLC (B)
8.500%, 02/15/14 4,390 4,811
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Cedar Brakes II LLC (B)
9.875%, 09/01/13 $ 3,182 $ 3,594
Continental Airlines, Ser 1999-2
7.256%, 03/15/20 1,836 1,874
Continental Airlines, Ser 2000-2 (J)
7.707%, 04/02/21 1,732 1,801
7.487%, 10/02/10 1,730 1,795
Continental Airlines, Ser 971A
7.461%, 04/01/15 506 491
Continental Airlines, Ser 974A (J)
6.900%, 01/02/18 7,674 7,818
DRS Technologies
6.625%, 02/01/16 505 502
Delta Air Lines (G)
5.373%, 01/25/08 3,258 3,262
Delta Air Lines, Ser 2000-1,
Cl A2 (G) (I) (J)
7.570%, 11/18/10 1,739 1,739
Delta Air Lines, Ser 2001-1,
Cl A-2 (G) (J)
7.111%, 09/18/11 179 179
Delta Air Lines, Ser 2002-1, Cl G-1
6.718%, 01/02/23 6,478 6,543
Delta Air Lines, Ser 2002-1, Cl G-2
6.417%, 07/02/12 3,900 3,921
Eastman Kodak (J)
7.250%, 11/15/13 2,740 2,662
Electronic Data Systems
7.125%, 10/15/09 3,680 3,864
Federal Express, Ser A3
8.400%, 03/23/10 600 620
General Electric
5.000%, 02/01/13 1,160 1,128
General Motors
7.700%, 04/15/16 12,020 8,745
Horizon Lines LLC
9.000%, 11/01/12 1,130 1,195
L-3 Communications, Cl B
6.375%, 10/15/15 520 512
Lockheed Martin
8.500%, 12/01/29 925 1,201
Norfolk Southern
7.050%, 05/01/37 940 1,059
Northrup Grumman
4.079%, 11/16/06 1,400 1,390
Northwest Airlines, Cl 1A-1 (G) (J)
7.041%, 04/01/22 1,689 1,689
OMI
7.625%, 12/01/13 600 614
Raytheon
6.000%, 12/15/10 24 24
5.500%, 11/15/12 55 55
5.375%, 04/01/13 555 548
- --------------------------------------------------------------------------------
94 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Systems 2001 Asset Trust (B)
6.664%, 09/15/13 $ 1,505 $ 1,569
Teekay Shipping
8.875%, 07/15/11 1,785 1,964
Terex
7.375%, 01/15/14 470 482
Tyco International Group
7.000%, 06/15/28 250 263
6.875%, 01/15/29 (J) 7,140 7,455
6.750%, 02/15/11 2,190 2,278
6.375%, 10/15/11 7,275 7,468
6.000%, 11/15/13 915 919
United Airlines, Ser A-3 (G) (I)
8.390%, 01/21/11 973 170
United Technologies
6.500%, 06/01/09 2,365 2,454
Waste Management
7.125%, 12/15/17 5,305 5,796
7.100%, 08/01/26 1,710 1,855
Xerox
6.400%, 03/15/16 450 447
----------------
118,700
----------------
INFORMATION TECHNOLOGY -- 0.1%
Compagnie Generale de
Geophysique (B)
7.500%, 05/15/15 550 567
Oracle
5.000%, 01/15/11 1,315 1,284
Sungard Data Systems (B)
10.250%, 08/15/15 725 763
----------------
2,614
----------------
MATERIALS -- 0.2%
Alcan
6.125%, 12/15/33 610 599
Celulosa Arauco y Constitucion
5.625%, 04/20/15 765 735
Codelco (B)
5.625%, 09/21/35 890 839
4.750%, 10/15/14 960 898
Potash of Saskatchewan
4.875%, 03/01/13 1,220 1,161
Westlake Chemicals
6.625%, 01/15/16 610 603
Weyerhaeuser
6.750%, 03/15/12 4,540 4,726
----------------
9,561
----------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
SOVEREIGN -- 1.9%
Canadian Government Real Return
Inflation Index Note (TIPS)
4.000%, 12/01/31 $ 3,813 $ 4,932
Federal Republic of Brazil (J)
11.000%, 08/17/40 7,326 9,399
Queensland Treasury, Ser 11G
6.000%, 06/14/11 10,640 7,720
Republic of Colombia
11.750%, 02/25/20 3,030 4,318
Republic of Panama
6.700%, 01/26/36 2,024 2,020
Republic of Peru (J)
8.750%, 11/21/33 1,936 2,159
7.350%, 07/21/25 1,740 1,710
Republic of South Africa
6.500%, 06/02/14 320 336
Russian Federation (D)
5.000%, 03/31/30 (B) 675 738
5.000%, 03/31/30 14,560 15,975
United Mexican States (J)
5.625%, 01/15/17 6,628 6,419
United Mexican States MTN
8.300%, 08/15/31 2,760 3,335
United Mexican States MTN, Ser A
7.500%, 04/08/33 15,405 17,177
6.750%, 09/27/34 (J) 937 967
5.875%, 01/15/14 785 780
----------------
77,985
----------------
TELECOMMUNICATION SERVICES -- 1.2%
AT&T
9.050%, 11/15/11 550 594
6.450%, 06/15/34 625 615
6.150%, 09/15/34 1,985 1,885
5.100%, 09/15/14 3,140 2,980
4.125%, 09/15/09 795 760
America Movil
6.375%, 03/01/35 885 832
BellSouth
6.000%, 11/15/34 850 793
4.750%, 11/15/12 170 161
British Telecommunications PLC
8.875%, 12/15/30 1,095 1,401
8.375%, 12/15/10 1,250 1,394
Cincinnati Bell
7.000%, 02/15/15 970 960
Cingular Wireless
6.500%, 12/15/11 1,455 1,521
Deutsche Telekom International Finance
8.000%, 06/15/10 925 1,007
5.750%, 03/23/16 1,920 1,876
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 95
SCHEDULE OF INVESTMENTS (Unaudited)
CORE FIXED INCOME FUND (Continued)
March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Intelsat
6.500%, 11/01/13 $ 160 $ 120
Koninklije
8.000%, 10/01/10 650 698
New Cingular Wireless Services
8.125%, 05/01/12 2,260 2,538
New Jersey Bell Telephone
7.850%, 11/15/29 1,135 1,207
Qwest
5.625%, 11/15/08 430 427
Qwest Communications International (A)
8.249%, 02/15/09 1,635 1,672
Sprint Capital
8.750%, 03/15/32 (J) 400 500
8.375%, 03/15/12 3,430 3,876
7.625%, 01/30/11 745 806
6.125%, 11/15/08 1,490 1,516
6.000%, 01/15/07 2,725 2,738
4.780%, 08/17/06 (D) 4,450 4,441
Telecom Italia Capital
5.250%, 11/15/13 1,445 1,369
5.250%, 10/01/15 90 84
4.950%, 09/30/14 1,250 1,150
4.875%, 10/01/10 655 631
Telefonica Europe
7.750%, 09/15/10 1,925 2,072
Verizon Communications
5.850%, 09/15/35 1,105 991
5.350%, 02/15/11 985 972
Verizon New Jersey, Ser A
5.875%, 01/17/12 2,175 2,156
Verizon Wireless Capital
5.375%, 12/15/06 1,665 1,665
Vodafone Group
5.500%, 06/15/11 2,620 2,596
----------------
51,004
----------------
UTILITIES -- 1.7%
American Electric Power, Ser C
5.375%, 03/15/10 924 916
Arizona Public Services
8.000%, 12/30/15 3,572 3,822
Cleveland Electric Illumination
5.650%, 12/15/13 500 496
Cogentrix Energy (B)
8.750%, 10/15/08 7,758 8,444
Commonwealth Edison
5.900%, 03/15/36 970 924
Dominion Resources
5.700%, 09/17/12 3,270 3,240
4.750%, 12/15/10 1,895 1,820
4.125%, 02/15/08 810 790
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Dominion Resources, Ser B
5.950%, 06/15/35 $ 605 $ 558
Duke Energy
6.250%, 01/15/12 2,105 2,169
5.625%, 11/30/12 500 501
Empresa Nacional Electric
8.625%, 08/01/15 670 764
Energy Transfer Partners (B)
5.650%, 08/01/12 1,470 1,445
Exelon (J)
5.625%, 06/15/35 2,050 1,861
Exelon Generation LLC (B)
6.950%, 06/15/11 1,825 1,926
FPL Energy American Wind (B)
6.639%, 06/20/23 6,772 6,895
FirstEnergy, Ser A
5.500%, 11/15/06 2,850 2,851
FirstEnergy, Ser B (J)
6.450%, 11/15/11 600 621
FirstEnergy, Ser C (J)
7.375%, 11/15/31 6,830 7,587
Midamerican Energy Holdings (B)
6.125%, 04/01/36 645 631
NRG Energy
7.250%, 02/01/14 1,610 1,636
Nevada Power (B)
6.650%, 04/01/36 445 443
5.950%, 03/15/16 910 896
Oncor Electric Delivery
6.375%, 01/15/15 660 681
PSEG Power (J)
8.625%, 04/15/31 860 1,093
Pacific Gas & Electric (J)
6.050%, 03/01/34 2,610 2,554
Progress Energy
6.850%, 04/15/12 2,495 2,633
Public Service
7.875%, 10/01/12 1,330 1,504
Southern California Edison
6.000%, 01/15/34 1,505 1,492
Swepco Capital Trust I (A)
5.250%, 10/01/43 4,255 4,198
TXU Energy (J)
7.000%, 03/15/13 780 812
TXU, Ser R
6.550%, 11/15/34 4,510 4,070
----------------
70,273
----------------
Total Corporate Obligations
(Cost $1,439,629) ($ Thousands) 1,445,822
----------------
- --------------------------------------------------------------------------------
96 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 31.9%
AUTOMOTIVE -- 0.9%
AESOP Funding, Ser 2003-4A,
Cl A1 (A) (B)
5.006%, 08/20/07 $ 1,750 $ 1,751
AmeriCredit Automobile Receivables
Trust, Ser 2003-DM, Cl A4
2.840%, 08/06/10 2,714 2,672
AmeriCredit Automobile Receivables
Trust, Ser 2005-DA, Cl A2
4.750%, 11/06/08 1,151 1,149
AmeriCredit Automobile Receivables
Trust, Ser 2006-1, Cl A3
5.110%, 10/06/10 1,117 1,113
Capital Auto Receivables Asset Trust,
Ser 2004-1, Cl A3
2.000%, 11/15/07 885 876
Capital Auto Receivables Asset Trust,
Ser 2004-2, Cl A2
3.350%, 02/15/08 694 686
Capital Auto Receivables Asset Trust,
Ser 2006-1, Cl A3
5.030%, 10/15/09 1,313 1,307
Capital One Prime Auto Receivables
Trust, Ser 2006-1, Cl A3
4.990%, 09/15/10 1,642 1,636
Chase Manhattan Auto Owner Trust,
Ser 2003-A, Cl A4
2.060%, 12/15/09 1,053 1,030
Chase Manhattan Auto Owner Trust,
Ser 2004-A, Cl A3
2.080%, 05/15/08 1,828 1,809
DaimlerChrysler Auto Trust,
Ser 2004-B, Cl A3
3.180%, 09/08/08 1,812 1,794
DriveTime Auto Owner Trust,
Ser 2004-B, Cl A2 (B)
2.586%, 06/15/07 41 41
Ford Credit Auto Owner Trust,
Ser 2005-A, Cl A3
3.480%, 11/15/08 2,211 2,184
Ford Credit Auto Owner Trust,
Ser 2005-B, Cl A3
4.170%, 01/15/09 1,498 1,484
Ford Credit Auto Owner Trust,
Ser 2006-A, Cl A4
5.070%, 12/15/10 2,735 2,721
Franklin Auto Trust, Ser 2005-1, Cl A2
4.840%, 09/22/08 463 462
Honda Auto Receivables Trust,
Ser 2004-2, Cl A3
3.300%, 06/16/08 3,361 3,330
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Household Automotive Trust,
Ser 2005-3, Cl A2
4.700%, 01/20/09 $ 1,115 $ 1,112
Hyundai Auto Receivables Trust,
Ser 2005-A, Cl A4
4.180%, 02/15/12 1,298 1,255
Nissan Auto Lease Trust, Ser 2005-A,
Cl A2
4.610%, 01/15/08 1,018 1,015
Nissan Auto Receivables Owner
Trust, Ser 2005-B, Cl A2
3.750%, 09/17/07 631 630
Nissan Auto Receivables Owner
Trust, Ser 2006-A, Cl A4
4.770%, 07/15/11 657 648
Triad Auto Receivables Owner Trust,
Ser 2006-A, Cl A3
4.770%, 01/12/11 1,644 1,629
USAA Auto Owner Trust, Ser 2005-3,
Cl A2
4.520%, 06/16/08 1,017 1,013
WFS Financial Owner Trust,
Ser 2003-1, Cl A4
2.740%, 09/20/10 299 296
WFS Financial Owner Trust,
Ser 2003-4, Cl A4
3.150%, 05/20/11 457 449
WFS Financial Owner Trust,
Ser 2005-3, Cl A3A
4.250%, 06/17/10 444 438
WFS Financial Owner Trust,
Ser 2005-3, Cl A4
4.390%, 05/17/13 1,871 1,831
Wachovia Auto Owner Trust,
Ser 2005-B, Cl A2
4.820%, 02/20/09 1,665 1,661
----------------
38,022
----------------
CREDIT CARDS -- 0.5%
Advanta Business Card Master Trust,
Ser 2006-A1, Cl A1
5.150%, 10/20/10 983 981
Cabela's Master Credit Card Trust,
Ser 2005-1A, Cl A1 (B)
4.970%, 10/15/13 2,000 1,981
Capital One Master Trust,
Ser 2001-3A, Cl A
5.450%, 03/16/09 4,320 4,322
Capital One Multi-Asset Execution
Trust, Ser 2005-A3, Cl A3
4.050%, 03/15/13 575 551
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 97
SCHEDULE OF INVESTMENTS (Unaudited)
CORE FIXED INCOME FUND (Continued)
March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Citibank Credit Card Issuance Trust,
Ser 2003-A6, Cl A6
2.900%, 05/17/10 $ 5,000 $ 4,770
Citibank Credit Card Issuance Trust,
Ser 2004-A1, Cl A1
2.550%, 01/20/09 767 751
Citibank Credit Card Issuance Trust,
Ser 2005-B1, Cl B1
4.400%, 09/15/10 1,051 1,028
Citibank Credit Card Issuance Turst,
Ser 2006-A3, Cl A3
5.300%, 03/15/18 4,264 4,209
MBNA Credit Card Master Note Trust,
Ser 2006-A1, Cl A1
4.900%, 07/15/11 963 957
----------------
19,550
----------------
MORTGAGE RELATED SECURITIES -- 29.7%
ABFS Mortgage Loan Trust,
Ser 2002-1, Cl A5 (D)
6.510%, 12/15/32 2,497 2,525
ABS Home Equity Loan Trust,
Ser 2001-HE3, Cl A1 (A)
5.289%, 11/15/31 1,055 1,055
ABS Home Equity Loan Trust,
Ser 2003-HE4, Cl M2 (A)
6.749%, 08/15/33 1,100 1,113
ABS Home Equity Loan Trust,
Ser 2003-HE5, Cl M1 (A)
5.499%, 09/15/33 1,900 1,915
AFC Home Equity Loan Trust,
Ser 1998-1, Cl 1A2 (A)
4.931%, 04/25/28 187 189
AFC Home Equity Loan Trust,
Ser 2000-1, Cl 2A (A)
4.901%, 03/25/30 7,834 7,843
Ace Securities, Ser 2003-OP1,
Cl M1 (A)
5.518%, 12/25/33 1,000 1,006
Ace Securities, Ser 2005-HE4,
Cl A2A (A)
4.928%, 07/25/35 596 596
Ace Securities, Ser 2005-HE7,
Cl A1B2 (A)
5.118%, 11/25/35 2,138 2,138
Adjustable Rate Mortgage Trust,
Ser 2005-4, Cl A (B)
5.500%, 12/27/35 1,385 1,355
Aegis Asset-Backed Securities Trust,
Ser 2003-3, Cl M1 (A)
5.518%, 01/25/34 700 701
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Aegis Asset-Backed Security Trust,
Ser 2004-5, Cl 1A1 (A)
5.008%, 10/25/13 $ 1,675 $ 1,675
American Home Mortgage Investment
Trust, Ser 2004-1, Cl 4A (A)
3.280%, 04/25/44 971 939
American Home Mortgage Investment
Trust, Ser 2004-4, Cl 4A (A)
4.390%, 02/25/45 3,883 3,777
American Home Mortgage Investment
Trust, Ser 2005-1, Cl 6A (A)
5.294%, 06/25/45 2,852 2,826
Ameriquest Mortgage Securities,
Ser 2003-2, Cl M1 (A)
5.718%, 03/25/33 1,424 1,432
Ameriquest Mortgage Securities,
Ser 2004-R12, Cl A3 (A)
5.098%, 01/25/35 1,727 1,728
Argent Securities, Ser 2003-W9,
Cl M1 (A)
5.508%, 03/25/34 1,500 1,511
Asset Securitization, Ser 1996-D2,
Cl A1
6.920%, 02/14/29 1,858 1,864
Asset-Backed Funding Certificates,
Ser 2003-WF1, Cl A2 (A)
5.331%, 12/25/32 2,754 2,790
Asset-Backed Funding Certificates,
Ser 2005-AQ1, Cl A1B
4.250%, 06/25/35 13,333 13,263
Asset-Backed Funding Certificates,
Ser 2005-AQ1, Cl A2
4.300%, 06/25/35 3,500 3,445
Atlantic City Electric Transition Funding,
Ser 2003-1 Cl A1
2.890%, 07/20/11 265 256
Banc of America Commercial Mortgage,
Ser 2005-3, Cl A4
4.668%, 07/10/43 11,300 10,580
Banc of America Commercial Mortgage,
Ser 2006-1, Cl A4 (A)
5.372%, 09/10/45 7,282 7,164
Banc of America Funding, Ser 2005-B,
Cl 2A1 (A)
5.116%, 04/20/35 7,802 7,693
Banc of America Mortgage Securities,
Ser 2003-1, Cl 2A4 (A)
5.000%, 02/25/18 7,146 6,923
Bear Stearns Asset-Backed Securities,
Ser 2000-2, Cl M2
8.280%, 08/25/30 8,000 8,234
Bear Stearns Asset-Backed Securities,
Ser 2003-1, Cl A1 (A)
5.318%, 11/25/42 4,926 4,939
- --------------------------------------------------------------------------------
98 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Bear Stearns Asset-Backed Securities,
Ser 2005-AQ2N, Cl A1 (B)
5.500%, 09/25/35 $ 450 $ 446
Bear Stearns Asset-Backed Securities,
Ser 2005-FR1, Cl A1 (B)
5.000%, 06/25/35 799 795
Bear Stearns Asset-Backed Securities,
Ser 2006-HE1, Cl 2A1 (A)
4.908%, 02/25/36 7,810 7,809
Bear Stearns Commercial Mortgage
Securities, Ser 2004-ESA, Cl B (A)
4.888%, 05/14/16 370 365
Bear Stearns Commercial Mortgage
Securities, Ser 2005-PWR8, Cl AAB
4.581%, 06/11/41 2,511 2,377
Bear Stearns Commercial Mortgage
Securities, Ser 2006-PW11,
Cl AAB (A)
5.626%, 03/11/39 1,640 1,638
Bear Stearns Commercial Mortgage,
Ser 2004-ESA, Cl C (B)
4.937%, 05/14/16 2,202 2,176
Carrington Mortgage Loan Trust,
Ser 2005-NC3, Cl A1B (A)
4.978%, 06/25/35 1,641 1,641
Carrington Mortgage Loan Trust,
Ser 2005-OPT2, Cl A1B (A)
4.968%, 05/25/35 1,086 1,086
Centex Home Equity, Ser 2004-B,
Cl AF3 (D)
2.946%, 05/25/28 847 835
Centex Home Equity, Ser 2004-D,
Cl AV4 (A)
5.118%, 11/25/31 11,000 11,011
Chase Commercial Mortgage Securities,
Ser 2000-3, Cl A2
7.319%, 10/15/32 2,575 2,748
Chase Funding Mortgage Loan,
Ser 2002-1, Cl 2A2 (A)
5.068%, 03/25/32 3,483 3,488
Chase Funding Mortgage Loan,
Ser 2003-6, Cl 1A3
3.340%, 05/25/26 4,000 3,930
Chase Manhattan Commercial Mortgage
Trust, Ser 99-C2, Cl A2 (A)
7.546%, 11/17/32 5,610 5,939
Chase Mortgage Finance, Ser 2005-A1,
Cl 2A3 (A)
5.255%, 12/25/35 12,400 12,177
Cheyne High Grade, Ser 2004-1A,
Cl AM1 (A) (B) (K) (L)
4.740%, 11/10/06 7,230 7,230
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Citigroup Mortgage Loan Trust,
Ser 2005-HE4, Cl A2C (A)
5.088%, 10/25/35 $ 4,800 $ 4,805
Citigroup/Deutsche Bank Commercial
Mortgage Trust, Ser 2005-CD1,
Cl A4 (A)
5.225%, 07/15/44 1,643 1,611
Citigroup/Deutsche Bank Commercial
Mortgage Trust, Ser 2006-CD2,
Cl AAB (A)
5.575%, 01/15/46 3,219 3,195
Commercial Mortgage Pass-Through
Certificate, Ser 1999-1, Cl E (A)
7.091%, 05/15/32 1,380 1,438
Commercial Mortgage Pass-Through
Certificate, Ser 2000-C1, Cl C
7.706%, 08/15/33 391 422
Commercial Mortgage Pass-Through
Certificate, Ser 2005-C6, Cl A3 (A)
5.144%, 06/10/44 12,000 11,746
Commodore, Ser 2003-2A, Cl A1MM
(A) (B) (K) (L)
4.970%, 12/12/38 6,652 6,652
Conseco Finance Home Loan Trust,
Ser 2000-E, Cl M1
8.130%, 08/15/31 2,273 2,363
Conseco Finance Securitization,
Ser 2000-4, Cl A6
8.310%, 05/01/32 1,500 1,237
Conseco Finance, Ser 2001-D,
Cl A5 (D)
6.190%, 11/15/32 3,833 3,876
Contimortgage Home Equity Loan Trust,
Ser 1997-1, Cl A9
7.050%, 03/15/28 148 149
Contimortgage Home Equity Loan Trust,
Ser 1997-2, Cl A9
7.090%, 04/15/28 211 210
Countrywide Alternative Loan Trust,
Ser 2004-J1, Cl 1A1
6.000%, 02/25/34 1,727 1,717
Countrywide Alternative Loan Trust,
Ser 2005-27, Cl 2A1 (A)
4.968%, 08/25/35 11,294 11,294
Countrywide Alternative Loan Trust,
Ser 2005-27, Cl 3A2 (A)
4.718%, 08/25/35 2,806 2,814
Countrywide Alternative Loan Trust,
Ser 2005-56, Cl 4A1 (A)
5.128%, 11/25/35 16,235 16,285
Countrywide Alternative Loan Trust,
Ser 2005-59, Cl 1A1 (A)
5.106%, 11/20/35 18,263 18,356
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 99
SCHEDULE OF INVESTMENTS (Unaudited)
CORE FIXED INCOME FUND (Continued)
March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Alternative Loan Trust,
Ser 2005-59, Cl 2X, IO (F)
1.905%, 11/20/35 $ 31,872 $ 1,275
Countrywide Alternative Loan Trust,
Ser 2005-J4, Cl 2A1B (A)
4.938%, 07/25/35 777 776
Countrywide Alternative Loan Trust,
Ser 2006-OA2, Cl X1P (I)
0.000%, 05/20/46 49,870 2,571
Countrywide Asset-Backed Certificates,
Ser 2003-2, Cl M2 (A)
6.468%, 03/26/33 1,200 1,208
Countrywide Asset-Backed Certificates,
Ser 2003-C2, Cl 2A1 (A)
5.118%, 06/25/33 127 127
Countrywide Asset-Backed Certificates,
Ser 2004-11, Cl A2 (A)
5.198%, 03/25/33 4,018 4,025
Countrywide Asset-Backed Certificates,
Ser 2004-14, Cl A4 (A)
5.098%, 06/25/35 3,944 3,957
Countrywide Asset-Backed Certificates,
Ser 2004-3N, Cl NOTE (A) (B)
5.018%, 05/25/09 127 127
Countrywide Asset-Backed Certificates,
Ser 2005-12, Cl 1A1 (A)
4.968%, 02/25/36 963 963
Countrywide Asset-Backed Certificates,
Ser 2005-15, Cl 1AF1 (A)
4.721%, 04/25/36 18,186 18,185
Countrywide Asset-Backed Certificates,
Ser 2005-17, Cl 1AF2 (A)
5.363%, 05/25/36 659 655
Countrywide Asset-Backed Certificates,
Ser 2005-BC4, Cl 2A1 (A)
4.938%, 08/25/35 679 679
Countrywide Asset-Backed Certificates,
Ser 2006-IM1, Cl A1 (A)
4.908%, 04/25/36 9,953 9,953
Countrywide Asset-Backed Certificates,
Ser 2006-S1, Cl A2
5.549%, 04/25/36 2,572 2,569
Countrywide Home Equity Loan Trust,
Ser 2001-A, Cl A (A)
4.989%, 04/15/27 3,191 3,191
Countrywide Home Equity Loan Trust,
Ser 2004-K, Cl A2 (A)
5.049%, 02/15/34 4,375 4,383
Countrywide Home Equity Loan Trust,
Ser 2005-F, Cl 2A (A)
4.989%, 12/15/35 13,832 13,845
Countrywide Home Equity Loan Trust,
Ser 2005-H, Cl 2A (A)
4.989%, 12/15/35 13,235 13,252
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Home Loans,
Ser 2005-HY10, Cl 1A1 (A)
5.292%, 02/20/36 $ 3,542 $ 3,525
Countrywide Home Loans,
Ser 2005-HYB9, Cl 1A1 (A)
5.150%, 02/20/36 2,139 2,117
Countrywide Home Loans,
Ser 2005-HYB9, Cl 1A2 (A)
5.150%, 02/20/36 465 460
Countrywide Home Loans,
Ser 2005-R3, Cl AF (A) (B)
5.218%, 09/25/35 9,904 9,911
Countrywide Home Loans,
Ser 2006-HYB1, Cl 1A1 (A)
5.424%, 03/20/36 8,108 8,038
Credit Suisse First Boston Mortgage
Securities, Ser 1998-C2, Cl A2
6.300%, 11/11/30 11,437 11,652
Credit Suisse First Boston Mortgage
Securities, Ser 2001-CP4, Cl A4
6.180%, 12/15/35 1,967 2,028
Credit Suisse First Boston Mortgage
Securities, Ser 2001-MH29, Cl A (D)
5.600%, 09/25/31 1,852 1,756
Credit Suisse First Boston Mortgage
Securities, Ser 2002-CKS4, Cl A2
5.183%, 11/15/36 1,876 1,846
Credit Suisse First Boston Mortgage
Securities, Ser 2002-CP3, Cl A3
5.603%, 07/15/35 1,610 1,620
Credit Suisse First Boston Mortgage
Securities, Ser 2003-AR24,
Cl 2A4 (A)
4.033%, 10/25/33 12,000 11,670
Credit Suisse First Boston Mortgage
Securities, Ser 2003-C4, Cl A4 (A)
5.137%, 08/15/36 2,889 2,816
Credit Suisse First Boston Mortgage
Securities, Ser 2004-C2, Cl A2 (A)
5.416%, 05/15/36 1,960 1,931
Credit Suisse First Boston Mortgage
Securities, Ser 2005-C6, Cl B (A)
5.230%, 12/15/40 825 793
Credit Suisse Mortgage Capital
Certificates, Ser 2006-C1, Cl B (A)
5.738%, 02/15/39 655 651
Criimi Mae Commercial Mortgage,
Ser 1998-C1, Cl A2 (B)
7.000%, 06/02/33 11,815 11,977
DLJ Commercial Mortgage,
Ser 1999-CG1, Cl A1B
6.460%, 03/10/32 5,030 5,171
- --------------------------------------------------------------------------------
100 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
DSLA Mortgage Loan Trust,
Ser 2004-AR2, Cl A2B (A)
5.176%, 11/19/44 $ 9,995 $ 10,035
DSLA Mortgage Loan Trust,
Ser 2004-AR3, Cl B2 (A)
5.876%, 07/19/44 1,128 1,128
Duke Funding, Ser 2004-6B, Cl A1S1
(A) (B) (K) (L)
4.620%, 04/08/39 10,845 10,845
EMC Mortgage Loan Trust,
Ser 2002-AA, Cl A1 (A) (B)
5.288%, 05/25/39 3,027 3,042
EQCC Trust, Ser 2002-1, Cl 2A (A)
5.118%, 11/25/31 811 812
Equivantage Home Equity Loan Trust,
Ser 1997-2, Cl A3 (D)
7.775%, 07/25/28 356 355
FFCA Secured Lending, Ser 1999-1A,
IO (A) (B) (I)
1.468%, 09/18/25 12,238 461
First Franklin Mortgage Loan Asset,
Ser 2004-FF11, Cl 1A2 (A)
5.168%, 01/25/35 1,808 1,810
First Franklin Mortgage Loan Asset,
Ser 2005-FF10, Cl A4 (A)
5.138%, 11/25/35 8,400 8,407
First Franklin Mortgage Loan Asset,
Ser 2005-FF3, Cl A1 (A)
4.898%, 04/25/35 2,738 2,739
First Franklin Mortgage Loan Asset,
Ser 2005-FF9, Cl A3 (A)
5.098%, 10/25/35 9,500 9,505
First Franklin Mortgage Loan Asset-
Backed Securities, Ser 2004-FF10,
Cl A2 (A) 5.218%, 12/25/32 2,595 2,601
First Franklin Mortgage Loan Asset-
Backed Securities, Ser 2004-FF2,
Cl A3 (A) 5.018%, 03/25/34 500 500
First Franklin Mortgage Loan Asset-
Backed Securities, Ser 2004-FFA,
Cl A2A (A) 4.928%, 03/25/25 1,452 1,452
First Franklin Mortgage Loan Asset-
Backed Securities, Ser 2004-FFH3,
Cl 2A1 (A) 4.948%, 09/25/35 13,668 13,670
First Franklin Mortgage Loan,
Ser 2005-FFH4, Cl N1 (B)
5.682%, 12/25/35 322 320
First Horizon, Ser 2004-HE2, Cl A (A)
5.038%, 02/25/34 4,516 4,518
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
First Union National Bank,
Ser 2001-C3, Cl A3
6.423%, 08/15/33 $ 2,070 $ 2,156
First Union National Bank,
Ser 2001-C4, Cl B
6.417%, 12/12/33 809 846
Fleet Home Equity Trust, Ser 2001-1,
Cl A (A)
4.986%, 05/20/31 371 371
Fund America Investors, Ser 1993-A,
Cl A2 (A)
6.112%, 06/25/23 439 437
GE Capital Commercial Mortgage,
Ser 2001-3, Cl A2
6.070%, 06/10/38 1,967 2,027
GE Capital Commercial Mortgage,
Ser 2002-1A, Cl A3
6.269%, 12/10/35 5,610 5,841
GE Capital Commercial Mortgage,
Ser 2002-2A, Cl A3
5.349%, 08/11/36 2,111 2,100
GE Capital Commercial Mortgage,
Ser 2002-3A, Cl A2
4.996%, 12/10/37 786 768
GE Capital Commercial Mortgage,
Ser 2003-C2, Cl A4
5.145%, 07/10/37 656 641
GE Capital Commercial Mortgage,
Ser 2006-C1, Cl A3 (A)
5.519%, 03/10/44 2,455 2,427
GE Capital Mortgage Services,
Ser 1997-HE3, Cl A6
6.720%, 10/25/27 457 455
GMAC Commercial Mortgage Securities,
Ser 2006-C1, Cl B (A)
5.429%, 11/10/45 1 ,314 1,282
GMAC Commercial Mortgage Securities,
Ser 1998-C1, Cl A2
6.700%, 05/15/30 9,299 9,494
GMAC Commercial Mortgage Securities,
Ser 1999-C2, Cl A2
6.945%, 09/15/33 100 104
GMAC Commercial Mortgage Securities,
Ser 2002-C2, Cl A3
5.713%, 10/15/38 533 541
GMAC Commercial Mortgage Securities,
Ser 2002-C3, Cl A2
4.930%, 07/10/39 1,932 1,874
GMAC Commercial Mortgage Securities,
Ser 2004-C1, Cl A1
3.118%, 03/10/38 725 701
GMAC Commercial Mortgage Securities,
Ser 2004-C2, Cl A1
3.896%, 08/10/38 240 234
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SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 101
SCHEDULE OF INVESTMENTS (Unaudited)
CORE FIXED INCOME FUND (Continued)
March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GMAC Commercial Mortgage Securities,
Ser2003-C3, Cl A4
5.023%, 04/10/40 $ 3,624 $ 3,502
GMAC Mortgage Loan Trust,
Ser 2004-HE2, Cl A2 (A)
2.880%, 10/25/33 2,819 2,776
GS Mortgage Securities,
Ser 1998-GLII, Cl A2
6.562%, 04/13/31 3,608 3,682
GS Mortgage Securities,
Ser 2005-GG4, Cl AABA
4.680%, 07/10/39 350 335
GS Mortgage Securities,
Ser 2006-C1, Cl B
6.970%, 10/18/30 1,189 1,230
GS Mortgage Securities,
Ser 2006-GG6, Cl AM (A)
5.622%, 04/10/38 11,200 11,169
GS Mortgage Securities,
Ser, 2006-GG6, Class A4 (A)
5.553%, 04/10/38 1,966 1,962
GSAA Home Equity Trust,
Ser 2005-2, Cl 2A1 (A)
4.958%, 12/25/34 870 870
GSAA Home Equity Trust,
Ser 2006-2, Cl 2A1 (A)
4.918%, 12/25/35 18,939 18,939
GSAMP Trust, Ser 2003-SEA,
Cl A1 (A)
5.218%, 02/25/33 5,800 5,828
GSR Mortgage Loan Trust,
Ser 2003-13, Cl 1A1 (A)
4.502%, 10/25/33 8,657 8,288
Green Tree Financial,
Ser 1993-4, Cl A5
7.050%, 01/15/19 674 682
Green Tree Financial,
Ser 1996-5, Cl A6
7.750%, 07/15/27 1,834 1,906
Green Tree Financial,
Ser 1998-6, Cl A6
6.270%, 06/01/30 496 496
Greenwich Capital Commercial Funding,
Ser 2005-GG3, Cl AAB (A)
4.619%, 08/10/42 6,305 6,009
Greenwich Capital Commercial Funding,
Ser 2005-GG5, Cl AAB (A)
5.190%, 04/10/37 1,696 1,659
HSI Asset Securitization Trust,
Ser 2005-I1, Cl 2A3 (A)
5.108%, 11/25/35 8,000 8,005
HSI Asset Securitization Trust,
Ser 2005-NC1, Cl 2A4 (A)
5.138%, 07/25/35 2,309 2,310
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Harborview Mortgage Loan Trust,
Ser 2005-01, Cl X, IO (F)
0.563%, 03/19/35 $ 38,418 $ 900
Harborview Mortgage Loan Trust,
Ser 2005-10, Cl X, IO (A) (I)
1.682%, 11/19/35 46,684 1,430
Harborview Mortgage Loan Trust,
Ser 2005-12, Cl X2B, IO (A) (I)
1.512%, 10/19/35 40,000 1,225
Harley-Davidson Motorcycle Trust,
Ser 2003-1, Cl A2
2.630%, 11/15/10 704 688
Harwood Street Funding II, Ser 2005-1A,
Cl NOTE (A) (B) (K) (L)
4.868%, 05/25/06 14,460 14,460
Heller Financial Commercial Mortgage,
Ser 1999-PH1, Cl C (A)
6.879%, 05/15/31 250 261
Home Equity Asset Trust,
Ser 2005-5N, Cl A (B)
5.500%, 12/27/35 1,113 1,096
IMPAC CMB Trust, Ser 2003-12,
Cl A1 (A)
5.198%, 12/25/33 3,780 3,780
Illinois Power Special Purpose Trust,
Ser 1198-1, Cl A6
5.540%, 06/25/09 807 809
Indymac INDA Mortgage Loan Trust,
Ser 2005-AR2, Cl 1A1 (A)
4.918%, 01/25/36 843 837
Indymac Indx Mortgage Loan Trust,
Ser 2004-AR12, Cl AX2, IO (F) (I)
0.810%, 12/25/34 32,197 825
JP Morgan Chase Commercial
Mortgage, Ser 2001-CIB2, Cl A3
6.429%, 04/15/35 5,170 5,384
JP Morgan Chase Commercial
Mortgage, Ser 2003-CB7, Cl A4 (A)
4.879%, 01/12/38 1,670 1,601
JP Morgan Chase Commercial
Mortgage, Ser 2005-CB11, Cl ASB (A)
5.201%, 08/12/37 400 394
JP Morgan Chase Commercial
Mortgage, Ser 2005-CB12, Cl A4
4.895%, 09/12/37 680 647
JP Morgan Chase Commercial
Mortgage, Ser 2005-LDP4, Cl A4 (A)
4.918%, 10/15/42 3,700 3,521
JP Morgan Chase Commercial
Mortgage, Ser 2005-LDP5, Cl B (A)
5.334%, 12/15/44 459 449
JP Morgan Chase Commercial
Mortgage, Ser 2006-CB14, Cl A3B (A)
5.671%, 12/12/44 4,266 4,248
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102 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
JP Morgan Mortgage Aquisition,
Ser 2005-OPT2, Cl A3 (A)
5.058%, 12/25/35 $ 1,636 $ 1,638
JP Morgan Mortgage Trust,
Ser 2005-A3, Cl 11A2 (A)
4.514%, 06/25/35 12,385 11,685
JP Morgan Mortgage Trust,
Ser 2006-A2, Cl 2A2 (A)
5.773%, 04/25/36 12,600 12,658
LB Commercial Conduit Mortgage,
Ser 1999-C2, Cl A1
7.105%, 10/15/32 1,192 1,199
LB Commercial Mortgage Trust,
Ser 1999-C2, Cl B
7.425%, 10/15/32 378 402
LB-UBS Commercial Mortgage Trust,
Ser 2003-C7, Cl A4 (A)
4.931%, 09/15/35 880 849
Lehman Brothers Commercial
Mortgage, Ser 1998-C2, Cl A2
6.560%, 11/18/35 3,120 3,179
Lehman XS Trust, Ser 2005-5N,
Cl 1A1 (A)
5.118%, 11/25/35 14,696 14,659
Lehman XS Trust, Ser 2005-5N,
Cl M4 (A)
6.568%, 11/25/35 1,800 1,704
Lehman XS Trust, Ser 2005-5N,
Class 3A3A (A)
5.008%, 11/25/35 4,179 4,180
Long Beach Asset Holdings,
Ser 2005-WL1, Cl N1 (B)
5.193%, 06/25/45 1,133 1,128
Long Beach Asset Holdings,
Ser 2006-WL2, Cl N1 (B)
6.750%, 12/25/45 66 67
Long Beach Mortgage Loan Trust,
Ser 2006-WL1, Cl 1A3 (A)
5.148%, 01/25/36 2,673 2,680
MLCC Mortgage Investors,
Ser 2004-B, Cl A3 (A)
5.756%, 05/25/29 3,481 3,522
Master Asset Backed Securities Trust,
Ser 2004-FRE1, Cl A2 (A)
5.158%, 07/25/34 564 565
Master Asset Backed Securities Trust,
Ser 2004-OPT2, Cl A2 (A)
5.168%, 09/25/34 321 322
Master Asset Backed Securities Trust,
Ser 2005-AB1, Cl A1B (D)
5.143%, 11/25/35 1,401 1,393
Master Asset-Backed Securities Trust,
Ser 2002-OPT1, Cl M1 (A)
5.968%, 11/25/32 1,400 1,408
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Master Asset-Backed Securities Trust,
Ser 2006-AB1, Cl A1 (A)
4.968%, 02/25/36 $ 22,492 $ 22,499
Master Reperforming Loan Trust,
Ser 2005-1, Cl 1A1 (B)
6.000%, 08/25/34 6,596 6,553
Master Seasoned Securities Trust,
Ser 2004-2, Cl A2
6.500%, 08/25/32 6,955 7,001
Merrill Lynch Mortgage Investors,
Ser 1996-C2, Cl A3
6.960%, 11/21/28 358 358
Merrill Lynch Mortgage Investors,
Ser 2003-OPT1, Cl A3 (A)
5.178%, 07/25/34 3,095 3,101
Merrill Lynch Mortgage Investors,
Ser 2004-A1, Cl 4A (A)
5.347%, 02/25/34 9,460 9,216
Merrill Lynch Mortgage Investors,
Ser 2005-HE2, Cl A2A (A)
4.928%, 09/25/36 2,508 2,508
Merrill Lynch Mortgage Investors,
Ser 2005-SD1, Cl A1 (A)
4.998%, 05/25/46 1,167 1,167
Merrill Lynch Mortgage Investors,
Ser 2006-WMC2, Cl A2D (D)
5.895%, 03/25/37 5,200 5,200
Merrill Lynch Mortgage Trust,
Ser 2005-CKI1, Cl ASB (A)
5.245%, 11/12/37 1,721 1,699
Merrill Lynch Mortgage Trust,
Ser 2005-MCP1, Cl A4 (A)
4.747%, 06/12/43 3,780 3,557
Mid-State Trust, Ser 11, Cl A1
4.864%, 07/15/38 6,182 5,776
Morgan Stanley Capital I,
Ser 2003-NC8, Cl A2 (A)
5.178%, 09/25/33 529 529
Morgan Stanley Capital I,
Ser 2003-NC8, Cl M1 (A)
5.518%, 09/25/33 2,200 2,210
Morgan Stanley Capital I,
Ser 2003-NC8, Cl M3 (A)
6.918%, 09/25/33 600 609
Morgan Stanley Capital I,
Ser 2003-T11, Cl A4
5.150%, 06/13/41 3,045 2,970
Morgan Stanley Capital I,
Ser 2004-HQ4, Cl A2
3.920%, 04/14/40 1,227 1,194
Morgan Stanley Capital I,
Ser 2004-WMC2, Cl A2 (A)
5.178%, 07/25/34 1,368 1,368
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 103
SCHEDULE OF INVESTMENTS (Unaudited)
CORE FIXED INCOME FUND (Continued)
March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Morgan Stanley Capital I,
Ser 2005-HE2, Cl A3B (A)
5.038%, 01/25/35 $ 3,282 $ 3,285
Morgan Stanley Capital I,
Ser 2005-HQ6, Cl A4A (J)
4.989%, 08/13/42 8,841 8,473
Morgan Stanley Capital I,
Ser 2006-NC1, Cl A1 (A)
4.898%, 12/25/35 1,229 1,229
Morgan Stanley Dean Witter Capital I,
Ser 2003-NC4, Cl M2 (A)
6.818%, 04/25/33 780 787
Morgan Stanley Dean Witter Capital I,
Ser NC10, Cl M2 (A)
6.618%, 10/25/33 300 303
Morgan Stanley Dean Witter Capital,
Ser 2000-LIFE, Cl A2
7.570%, 11/15/36 3,500 3,732
Mortgage Capital Funding,
Ser 1998-MC2, Cl A2
6.423%, 06/18/30 5,171 5,258
New Century Home Equity Loan Trust,
Ser 2003-B, Cl M1 (A)
5.468%, 09/25/33 2,200 2,219
New Century Home Equity Loan Trust,
Ser 2004-A, Cl AII3
4.450%, 08/25/34 5,500 5,459
New Century Home Equity Loan Trust,
Ser 2005-A, Cl A1F (D)
4.359%, 08/25/35 4,209 4,187
New Century Home Equity Loan Trust,
Ser 2005-B, Cl A2A (A)
4.938%, 10/25/35 11,478 11,480
Northstar Education Finance,
Ser 2005-1, Cl A5
4.740%, 01/01/43 1,155 1,132
Novastar Home Equity Loan,
Ser 1998-2, Cl A2 (A)
5.056%, 08/25/28 515 514
Novastar Home Equity Loan,
Ser 2005-2, Cl A2B (A)
4.968%, 10/25/35 1,086 1,086
Oncor Electric Delivery Transition
Bond, Ser 2003-1, Cl A2
4.030%, 02/15/12 5,000 4,858
Option One Mortgage Loan Trust,
Ser 2001-4, Cl A (A)
5.418%, 01/25/32 1,231 1,231
Option One Mortgage Loan Trust,
Ser 2006-1, Cl 2A1 (A)
4.888%, 01/25/36 1,554 1,554
Option One Mortgage Loan Trust,
Ser 2006-1, Cl M10 (A) (B)
7.318%, 01/25/36 130 110
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Option One Mortgage Loan Trust,
Ser 2006-1, Cl M11 (A) (B)
7.318%, 01/25/36 $ 280 $ 225
Option One Mortgage Securities,
Ser 2005-3A, Cl N1 (B)
5.438%, 08/26/35 1,453 1,442
Orchid Structured Finance CDO,
Ser 2003-1A, Cl A1MM
(A) (B) (K) (L)
4.920%, 11/18/38 11,091 11,091
Ownit Mortgage Loan Asset-Backed
Securities Trust, Ser 2006-1,
Cl AF1 (D)
5.424%, 12/25/36 12,406 12,338
Ownit Mortgage Loan NIM Trust,
Ser 2005-5A, Cl N1 (B)
5.500%, 10/25/36 253 252
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl AM4 (A) (B) (K) (L)
4.858%, 02/25/35 10,329 10,329
RMAC, Ser 2004-NS3A, Cl A1
(A) (B) (K) (L)
4.720%, 03/12/25 2,588 2,588
Residential Accredit Loans,
Ser 2005-QO4, Cl M2 (A)
6.018%, 12/25/45 499 504
Residential Accredit Loans,
Ser 2006-Q01, Cl 2A3 (A)
5.218%, 02/25/46 1,349 1,349
Residential Asset Mortgage Products,
Ser 2003-RS3, Cl AII (A)
5.178%, 04/25/33 462 463
Residential Asset Mortgage Products,
Ser 2003-RS6, Cl AI3
3.080%, 12/25/28 438 437
Residential Asset Mortgage Products,
Ser 2004-SL1, Cl A8
6.500%, 11/25/31 4,468 4,514
Residential Asset Mortgage,
Ser 2003-RS2, Cl AII (A)
5.158%, 03/25/33 281 282
Residential Asset Securities,
Ser 2002-KS7, Cl A2 (A)
5.188%, 11/25/32 4,819 4,824
Residential Asset Securities,
Ser 2006-EMX2, Cl A1 (A)
4.650%, 02/25/36 8,671 8,671
Residential Asset Securitization Trust,
Ser 2004-IP2, Cl 2A1 (A)
5.241%, 12/25/34 6,356 6,311
Residential Funding Mortgage
Securities, Ser 2000-HI1, Cl AI7 (D)
8.290%, 02/25/25 5,589 5,611
- --------------------------------------------------------------------------------
104 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Residential Funding Mortgage
Securities, Ser 2005-HS1, Cl AI1 (A)
4.938%, 09/25/35 $ 13,167 $ 13,132
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2A (A)
0.000%, 05/25/36 8,000 8,000
SB Finance NIM Trust, Ser 2005-HE3,
Cl 2N1 (B)
5.000%, 06/25/35 2,884 2,860
SB Finance NIM Trust, Ser 2005-HE3,
Cl N1 (B)
4.750%, 09/25/35 3,427 3,394
Saco I Trust, Ser 2005-9, Cl A1 (A)
5.068%, 12/25/35 2,388 2,388
Saco I Trust, Ser 2005-WM3, Cl A1 (A)
5.078%, 09/25/35 6,014 6,014
Sail NIM Notes, Ser 2005-11A, Cl A (B)
7.500%, 01/27/36 619 615
Salomon Brothers Mortgage Securities
VII, Ser 2001-C2, Cl A3
6.499%, 10/13/11 5,750 6,022
Sasco NIM Trust, Ser 2005-WF3A,
Cl A (B)4.750%, 07/27/35 833 830
Saturn Ventures II (A) (K)
4.730%, 08/07/06 13,494 13,494
Securitized Asset Backed Receivables
LLC, Ser 2005-FR4, Cl A3 (A)
5.018%, 01/25/36 6,194 6,195
Sharps SP I LLC NIM Trust,
Ser 2005-HE5N, Cl A1 (B)
5.800%, 08/25/35 1,091 1,080
Sharps SP I LLC NIM Trust,
Ser 2005-WF1N, Cl NA (B)
6.150%, 05/25/35 1,028 1,017
Soundview Home Equity Loan Trust,
Ser 2005-OPT4, Cl M8 (A)
7.318%, 12/25/35 500 446
Specialty Underwriting & Residential
Finance, Ser 2005-BC1, Cl A1B (A)
5.048%, 12/25/35 1,780 1,781
Specialty Underwriting & Residential
Finance, Ser 2005-BC4, Cl A2A (A)
4.928%, 09/25/36 1,587 1,587
Start, Ser 2003-1, Cl X
4.130%, 01/21/10 7,095 7,042
Start, Ser 2003-2, Cl X (A)
4.600%, 01/21/09 9,252 9,252
Structured Adjustable Rate Mortgage
Loan, Ser 2005-19XS, Cl 1A1 (A)
5.138%, 10/25/35 5,832 5,859
Structured Asset Investment Loan
Trust, Ser 2005-11, Cl A4 (A)
4.908%, 01/25/36 1,609 1,609
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Structured Asset Investment Loan
Trust, Ser 2005-11, Cl A6 (A)
5.038%, 01/25/36 $ 1,434 $ 1,435
Structured Asset Investment Loan
Trust, Ser 2005-5, Cl A2 (A)
4.908%, 06/25/35 374 374
Structured Asset Investment Loan
Trust, Ser 2005-8, Cl A2 (A)
4.948%, 10/25/35 3,531 3,531
Structured Asset Investment Loan,
Ser 2003-BC4, Cl M2 (A)
6.818%, 06/25/33 300 302
Structured Asset Securities,
Ser 2004-19XS, Cl A2 (D)
4.370%, 10/25/34 2,000 1,982
Structured Asset Securities,
Ser 2005-S1, Cl B3 (A) (B)
7.318%, 03/25/35 500 501
TIAA Real Estate CDO, Ser 2003 1A,
Cl A1MM (A) (B) (K) (L)
4.851%, 12/28/18 9,337 9,337
TMS SBA Loan Trust, Ser 1999-1,
Cl A (A)
5.300%, 07/15/25 556 552
Terwin Mortgage Trust,
Ser 2005-9HGS, Cl A1 (A) (B)
4.000%, 08/25/35 8,562 8,431
Terwin Mortgage Trust,
Ser 2006-2HGS, Cl A1 (A) (B)
4.500%, 03/25/37 18,295 18,077
Terwin Mortgage Trust, Ser 2006-2HGS,
Cl AX (A) (B)
20.000%, 03/25/37 1,946 600
Terwin Mortgage Trust, Ser 2006-4SL,
Cl AX (A) (B)
20.000%, 05/25/37 2,912 750
Terwin Mortgage Trust, Ser 2006-4SL,
Cl A1 (B)
4.500%, 04/25/36 17,500 17,305
Terwin Mortgage Trust, Ser 2006-HF1,
Cl A1A (A)
4.500%, 02/25/37 12,046 11,952
Thornburg Mortgage Securities Trust,
Ser 2005-3, Cl 2A1 (A)
5.058%, 10/25/35 15,470 15,462
Thornburg Mortgage Securities Trust,
Ser 2006-1, Cl A3 (A)
4.988%, 01/25/36 24,893 24,843
Wachovia Bank Commercial Mortgage Trust,
Ser 2003-C6, Cl A3
4.957%, 08/15/35 737 720
Wachovia Bank Commercial Mortgage Trust,
Ser 2003-C8, Cl A3
4.445%, 11/15/35 839 806
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 105
SCHEDULE OF INVESTMENTS (Unaudited)
CORE FIXED INCOME FUND (Continued)
March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Wachovia Bank Commercial Mortgage
Trust, Ser 2005-C17, Cl A4 (A)
5.083%, 03/15/42 $ 936 $ 903
Wachovia Bank Commercial Mortgage
Trust, Ser 2005-C19, Cl APB
4.621%, 05/15/44 2,013 1,907
Wachovia Bank Commercial Mortgage
Trust, Ser 2005-C21, Cl A4 (A)
5.195%, 10/15/44 1,416 1,384
Wachovia Bank Commercial Mortgage
Trust, Ser 2006-C23, Cl A4 (A)
5.418%, 01/15/45 3,347 3,299
Wachovia Bank Commercial Mortgage
Trust, Ser 2006-C24, Cl A3 (A)
5.558%, 03/15/45 3,220 3,207
Washington Mutual Asset Securities,
Ser 2005-C1A, Cl AJ (A)
5.190%, 05/25/36 1,358 1,335
Washington Mutual Mortgage,
Ser 2003-MS1, Cl 1A
5.000%, 02/25/18 3,030 2,930
Washington Mutual Mortgage,
Ser 2003-MS2, Cl 3A1
5.000%, 03/25/18 8,291 8,032
Washington Mutual, Ser 2005-AR13,
Cl A1A1 (A)
5.108%, 10/25/45 12,723 12,783
Washington Mutual, Ser 2005-AR15,
Cl A1A2 (A)
5.098%, 11/25/45 15,720 15,755
Washington Mutual, Ser 2005-AR16,
Cl 1A4A (A)
5.123%, 12/25/35 12,955 12,616
Washington Mutual,
Ser 2005-Ar19, Cls A1A2 (A)
5.108%, 12/25/45 19,744 19,791
Wells Fargo Home Equity Trust,
Ser 2004-2, Cl A12 (A)
3.450%, 06/25/19 10,600 10,458
Wells Fargo Home Equity Trust,
Ser 2004-2, Cl M8B (A) (B)
5.000%, 03/25/33 590 545
Wells Fargo, Ser 2004-H, Cl A-1 (A)
4.526%, 06/25/34 9,373 9,064
Whitehawk CDO Funding,
Ser 2004-1A, Cl AMMD (A) (B) (K) (L)
4.930%, 06/15/06 3,615 3,615
Whitehawk CDO Funding,
Ser 2004-1A, Cl AMME (A) (B) (K) (L)
4.930%, 09/15/06 2,169 2,169
----------------
1,229,992
----------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
OTHER ASSET-BACKED SECURITIES -- 0.8%
Comed Transitional Funding Trust,
Ser 1998-1, Cl A7
5.740%, 12/25/10 $ 339 $ 342
Comed Transitional Funding Trust,
Ser 2005-1, Cl A6
5.630%, 06/25/09 1,690 1,695
Embarcadero Aircraft, Ser 2000-A,
Cl A1 (A) (B)
5.229%, 08/15/25 7,500 5,681
Encore Credit Receivables Trust,
Ser 2005-3, Cl 2A1 (A)
4.938%, 10/25/35 1,534 1,534
MSDWCC Heloc Trust, Ser 2005-1,
Cl A (A)
5.008%, 07/25/17 1,674 1,675
Massachusetts RRB Special Purpose
Trust, Ser 2001-1, Cl A
6.530%, 06/01/15 1,051 1,097
PG&E Energy Recovery Funding,
Ser 2005-1, Cl A2
3.870%, 06/25/11 1,557 1,521
PG&E Energy Recovery Funding,
Ser 2005-1, Cl A4
4.370%, 06/25/14 656 629
PG&E Energy Recovery Funding,
Ser 2005-2, Cl A1
4.850%, 06/25/11 2,569 2,553
PG&E Energy Recovery Funding,
Ser 2005-2, Cl A3
5.120%, 12/25/14 1,273 1,258
Peco Energy Transition Trust,
Ser 1999-A, Cl A6
6.050%, 03/01/09 1,468 1,475
Peco Energy Transition Trust,
Ser 2001-A, Cl A1
6.520%, 12/31/10 1,035 1,081
SLM Student Loan Trust,
Ser 2003-11, Cl A5 (B)
2.990%, 12/15/22 2,966 2,919
SLM Student Loan Trust,
Ser 2004-1, Cl A2 (A)
4.763%, 07/25/18 1,359 1,364
SLM Student Loan Trust,
Ser 2005-7, Cl A3
4.410%, 07/25/25 1,219 1,201
SLM Student Loan Trust,
Ser 2005-8, Cl A4
4.250%, 01/25/28 3,279 3,206
Stingray Pass-Through Trust (B)
5.902%, 01/12/15 4,500 4,317
----------------
33,548
----------------
Total Asset-Backed Securities
(Cost $1,337,619) ($ Thousands) 1,321,112
----------------
- --------------------------------------------------------------------------------
106 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 17.9%
U.S. Treasury Bills
4.206%, 04/06/06 (H) $ 1,000 $ 1,000
U.S. Treasury Bonds
10.375%, 11/15/12 7,950 8,623
8.875%, 08/15/17 (J) 2,780 3,712
8.125%, 08/15/19 (J) 3,816 4,952
6.250%, 08/15/23 to 05/15/30 (J) 72,876 84,391
6.125%, 11/15/27 to 08/15/29 (J) 32,439 36,978
6.000%, 02/15/26 (J) 13,851 15,455
5.375%, 02/15/31 (J) 17,373 18,288
4.500%, 02/15/16 to 02/15/36 (J) 14,009 13,355
3.875%, 04/15/29 (E) 5,282 6,779
3.625%, 04/15/28 (E) (J) 12,343 15,172
2.375%, 01/15/25 (E) (J) 28,261 28,401
2.000%, 01/15/26 (J) 2,108 1,997
U.S. Treasury Notes
5.000%, 08/15/11 (J) 5,074 5,119
4.875%, 02/15/12 (J) 68,460 68,567
4.500%, 02/15/09 to 11/15/15 (J) 56,907 55,748
4.375%, 12/15/10 (J) 31,423 30,823
4.250%, 10/31/07 to 08/15/15 (J) 119,524 114,473
4.250%, 10/15/10 to 01/15/11 5,593 5,460
4.125%, 08/15/08 (J) 2,990 2,947
4.000%, 04/15/10 (J) 14,750 14,303
3.875%, 05/15/10 (J) 8,000 7,716
3.750%, 05/15/08 1,070 1,047
3.500%, 11/15/09 to 02/15/10 (J) 37,088 35,452
3.375%, 10/15/09 (J) 42,826 40,823
3.375%, 01/15/07 to 01/15/12 (E) 2,561 2,605
3.125%, 09/15/08 to 10/15/08 4,490 4,310
2.000%, 07/15/14 (E) (J) 14,556 14,196
1.875%, 07/15/13 to
07/15/15 (E) (J) 32,785 31,603
0.875%, 04/15/10 (E) (J) 5,536 5,244
U.S. Treasury STRIPS (H) (J)
5.927%, 08/15/09 to 11/15/21 90,547 59,845
----------------
Total U.S. Treasury Obligations
(Cost $748,261) ($ Thousands) 739,384
----------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 8.7%
FHLB
3.625%, 11/14/08 40 39
FHLB CMO, Ser 2015, Cl A
5.460%, 11/27/15 18,911 18,912
FHLMC
6.625%, 09/15/09 (J) 23,252 24,327
5.625%, 11/23/35 (J) 6,440 6,183
4.955%, 01/18/07 (F) 34,973 33,628
4.756%, 08/04/06 (C) (F) 100 98
4.625%, 05/28/13 3,750 3,536
4.125%, 07/12/10 (J) 7,617 7,322
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FHLMC CMO STRIP, Ser 233,
Cl 6, IO
4.500%, 08/15/35 $ 583 $ 145
FHLMC CMO, Ser 1, Cl Z
9.300%, 04/15/19 286 285
FHLMC CMO, Ser 1611, Cl Z
6.500%, 11/15/23 12,791 13,135
FHLMC CMO, Ser 1983, Cl Z
6.500%, 12/15/23 2,152 2,196
FHLMC CMO, Ser 2043, Cl CJ
6.500%, 04/15/28 5,034 5,178
FHLMC CMO, Ser 2277, Cl B
7.500%, 01/15/31 1,142 1,143
FHLMC CMO, Ser 2389, Cl CD
6.000%, 03/15/16 6,834 6,883
FHLMC CMO, Ser 2399, Cl XG
6.500%, 01/15/32 10,317 10,505
FHLMC CMO, Ser 2515, Cl MG
4.000%, 09/15/17 2,696 2,571
FHLMC CMO, Ser 2544, Cl IW, IO
5.500%, 03/15/26 5,307 351
FHLMC CMO, Ser 2579, Cl PI, IO
5.500%, 03/15/27 2,113 114
FHLMC CMO, Ser 2625, Cl IO, IO
5.000%, 12/15/31 3,130 407
FHLMC CMO, Ser 2631, Cl MT
3.500%, 01/15/22 218 213
FHLMC CMO, Ser 2645, Cl MK
3.500%, 07/15/22 1,779 1,732
FHLMC CMO, Ser 2692, Cl YB
3.500%, 05/15/16 69 67
FHLMC CMO, Ser 2731, Cl PK
3.500%, 05/15/26 10,523 10,219
FHLMC CMO, Ser 2733, Cl ME
5.000%, 01/15/34 5,995 5,493
FHLMC CMO, Ser 2736, Cl DB
3.300%, 11/15/26 4,382 4,201
FHLMC CMO, Ser 2809, Cl HX, IO
6.000%, 10/15/24 5,195 382
FHLMC CMO, Ser 2890, Cl AP
3.750%, 12/15/11 3,313 3,216
FHLMC CMO, Ser 2893, Cl PA
4.000%, 04/15/25 3,550 3,467
FHLMC CMO, Ser 2945, Cl SA
3.746%, 03/15/20 7,917 7,353
FHLMC CMO, Ser 2957, Cl KJ
4.500%, 10/15/24 3,112 3,058
FHLMC CMO, Ser 2960, Cl EH
4.500%, 05/15/24 1,184 1,165
FHLMC CMO, Ser 2963, Cl Wl
4.500%, 07/15/25 3,011 2,956
FHLMC CMO, Ser 2982, Cl LC
4.500%, 01/15/25 5,567 5,465
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 107
SCHEDULE OF INVESTMENTS (Unaudited)
CORE FIXED INCOME FUND (Continued)
March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FHLMC CMO, Ser 2992, Cl OG
5.500%, 06/15/33 $ 615 $ 594
FHLMC CMO, Ser 3014, Cl NA
4.500%, 11/15/25 5,064 4,956
FHLMC CMO, Ser 3035, Cl DM
5.500%, 11/15/25 3,392 3,396
FHLMC CMO, Ser 3044, Cl LJ
5.500%, 03/15/35 883 857
FHLMC CMO, Ser 3044, Cl MD
5.500%, 02/15/35 4,854 4,707
FHLMC CMO, Ser 3057, Cl PE
5.500%, 11/15/34 2,720 2,639
FHLMC CMO, Ser 3059, Cl CA
5.000%, 03/15/25 5,433 5,381
FHLMC CMO, Ser 3086, Cl PA
5.500%, 05/15/26 4,075 4,077
FHLMC DN (C)
0.000%, 09/27/06 750 732
FHLMC STRIP, Ser 232, IO
5.000%, 08/01/35 4,330 1,112
FHLMC STRIP, Ser 233, Cl 12, IO
5.000%, 09/15/35 4,055 972
FHLMC, Ser 2591, Cl PB
4.000%, 02/15/30 33,273 3,087
FHLMC, Ser 2852, Cl NY
5.000%, 09/15/33 2,558 2,374
FHLMC, Ser 3102, Cl PH
5.000%, 07/15/31 4,690 4,489
FHLMC, Ser 3117, Cl PC
5.000%, 06/15/31 9,984 9,723
FHLMC, Ser 3117, Cl PL
5.000%, 08/15/34 7,936 7,438
FNMA
6.250%, 02/01/11 8,000 8,300
6.000%, 05/15/11 (J) 14,736 15,277
4.857%, 08/23/06 (C) (F) 50 49
4.620%, 07/19/06 (C) 400 395
4.510%, 05/15/06 (C) (H) 2,830 2,814
FNMA CMO STRIP, Ser 365, Cl 4, IO
5.000%, 04/01/36 1,600 427
FNMA CMO, Ser 1999-11, Cl Z
5.500%, 03/25/29 8,535 8,379
FNMA CMO, Ser 2001-T2, Cl B
6.022%, 11/25/10 4,500 4,622
FNMA CMO, Ser 2002-94, Cl BJ, IO
5.500%, 04/25/16 1,202 101
FNMA CMO, Ser 2002-M3, Cl B
4.370%, 09/25/10 813 787
FNMA CMO, Ser 2003-113, Cl PN
3.500%, 02/25/13 2,125 2,074
FNMA CMO, Ser 2003-76, Cl DE
4.000%, 09/25/31 7,420 6,946
FNMA CMO, Ser 2003-92, Cl KQ
3.500%, 06/25/23 2,668 2,600
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FNMA CMO, Ser 2004-7, Cl JK
4.000%, 02/25/19 $ 582 $ 516
FNMA CMO, Ser 2005-57, Cl EG (A)
5.118%, 03/25/35 4,671 4,670
FNMA CMO, Ser 2005-65, Cl WG
4.500%, 08/25/26 4,496 4,418
FNMA CMO, Ser 2005-77, Cl BX
4.500%, 07/25/28 16,262 15,950
FNMA CMO, Ser 2005-92, Cl NM
3.500%, 04/25/13 2,334 2,276
FNMA CMO, Ser 2005-99, Cl KC
5.500%, 02/25/28 90 90
FNMA CMO, Ser 51, Cl KC
4.500%, 01/25/25 1,851 1,815
FNMA CMO, Ser 63, Cl QP
3.500%, 10/25/31 5,547 5,126
FNMA STRIP, Ser 359, Cl 6, IO
5.000%, 11/01/35 1,606 408
FNMA STRIP, Ser 360, Cl 2, IO
5.000%, 08/01/35 17,898 4,592
FNMA, Ser 2006-10, Cl FD (A)
5.168%, 03/25/36 8,900 8,940
GNMA CMO, Ser 2001-18, Cl WH (A)
10.377%, 04/20/31 579 606
GNMA CMO, Ser 2002-51, Cl SG (A)
11.802%, 04/20/31 494 549
GNMA CMO, Ser 2003-58, Cl LG, IO
5.500%, 05/17/29 4,036 600
GNMA CMO, Ser 2003-86, Cl LC, IO
5.500%, 10/20/27 7,127 393
GNMA CMO, Ser 2004-80, Cl IP, IO
5.500%, 07/20/34 9,724 1,010
GNMA CMO, Ser 2006-3, Cl A
4.212%, 01/16/28 610 589
GNMA, Ser 205-93, Cl PA
5.500%, 06/20/33 8,067 8,058
Small Business Administration CMO,
Ser 2003-P10A, Cl 1
4.524%, 02/10/13 5,622 5,340
----------------
Total U.S. Government Agency Obligations
(Cost $366,214) ($ Thousands) 361,196
----------------
COMMERCIAL PAPER (H) -- 3.2%
FINANCIALS -- 3.2%
AIG Funds
4.709%, 04/06/06 20,000 19,987
CPI Funding (K)
4.901%, 04/03/06 2,947 2,946
Eiffel Funding LLC (K)
4.867%, 04/27/06 2,169 2,160
4.767%, 04/28/06 14,460 14,350
- --------------------------------------------------------------------------------
108 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
Elysian Funding LLC (K)
4.706%, 04/10/06 $ 7,230 $ 7,178
Harbour Funding (K)
4.763%, 04/06/06 10,750 10,728
Harwood Funding (K)
4.881%, 04/03/06 3,470 3,469
Lloyds TSB Bank
4.770%, 04/05/06 8,913 8,908
Merrill Lynch
4.776%, 04/07/06 10,000 9,992
Raobank USA Financial
4.830%, 04/03/06 11,831 11,828
Socnam
4.770%, 04/06/06 9,359 9,353
Thornburg Mortgage Capital
Resources (K)
4.781%, 04/19/06 7,230 7,201
Transamerica Securities (K)
4.841%, 04/03/06 1,701 1,699
UBS Finance
4.830%, 04/03/06 21,831 21,825
----------------
Total Commercial Paper
(Cost $131,624) ($ Thousands) 131,624
----------------
MASTER NOTES (K) -- 1.3%
Bank of America
4.945%, 04/03/06 36,151 36,151
Bear Stearns
4.995%, 04/03/06 17,352 17,352
----------------
Total Master Notes
(Cost $53,503) ($ Thousands) 53,503
----------------
CASH EQUIVALENTS (A) -- 0.7%
Evergreen Select Money Market
Fund, Institutional Class, 4.793%** 326,091 326
SEI Daily Income Trust, Prime
Obligation Fund,
Cl A, 4.560%** + 27,934,265 27,934
----------------
Total Cash Equivalents
(Cost $28,260) ($ Thousands) 28,260
----------------
CERTIFICATES OF DEPOSIT -- 0.4%
BNP Paribus
4.520%, 04/13/06 9,000 9,000
US Trust of New York (K)
4.760%, 03/13/07 5,784 5,784
----------------
Total Certificates of Deposit
(Cost $14,784) ($ Thousands) 14,784
----------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Contracts ($ Thousands)
- --------------------------------------------------------------------------------
TIME DEPOSIT (K) -- 0.3%
Societe Generale
4.900%, 04/03/06 $ 14,460 $ 14,460
----------------
Total Time Deposit
(Cost $14,460) ($ Thousands) 14,460
----------------
MUNICIPAL BOND -- 0.0%
Brazos Higher Education Authority RB,
Ser 2006-1, Cl A2R (A)
5.030%, 12/01/41 1,641 1,641
----------------
Total Municipal Bond
(Cost $1,641) ($ Thousands) 1,641
----------------
PURCHASED OPTIONS -- 0.0%
December 2006 Euro 1-Year Mid-CRV
Future Call, Expires 12/16/06,
Strike Price $95* 340 185
June 2006 90-Day Euro Future Call,
Expires 06/19/06, Strike Price $95.25* 336 2
May 2006 U.S. 10-Year T-Note Future Call,
Expires 05/26/06, Strike Price: $106* 121 68
September 2006 90-Day Euro Future Call,
Expires 09/18/06, Strike Price $94.75* 85 28
September 2006 90-Day Euro Future Call,
Expires 09/18/06, Strike Price $95* 133 17
----------------
Total Purchased Options
(Cost $597) ($ Thousands) 300
----------------
REPURCHASE AGREEMENTS -- 8.3%
Barclays
4.790%, dated 03/31/06, to be
repurchased on 04/03/06,
repurchase price $83,605,536
(collateralized by various
U.S. Government Obligations,
ranging in par value $6,697,967-
$17,187,400, 0.000%-5.900%,
07/18/06-08/04/25; with total
market value $85,243,744)(K) 83,572 83,572
Lehman Brothers
4.750%, dated 03/31/06, to be
repurchased on 04/03/06,
repurchase price $84,624,484
(collateralized by various
U.S. Government Obligations,
ranging in par value $19,215,000-
$36,000,000, 5.500%-6.000%,
08/20/19-07/21/25; with total
market value $86,282,739) 84,591 84,591
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 109
SCHEDULE OF INVESTMENTS (Unaudited)
CORE FIXED INCOME FUND (Continued)
March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Contracts ($ Thousands)
- --------------------------------------------------------------------------------
Lehman Brothers
4.80%, dated 03/31/06, to be
repurchased on 04/03/06,
repurchase price $84,192,057
(collateralized by various
U.S. Government Obligations,
ranging in par value $5,005-
$9,102, 0.000%-5.900%,
07/18/06-08/04/25; with total
market value $85,841,803)(K) $ 84,158 $ 84,158
Merrill Lynch
4.780%, dated 03/31/06, to be
repurchased on 04/03/06,
repurchase price $90,144,893
(collateralized by a
U.S. Government Obligation,
par value $86,915,000, 6.000%,
05/15/11; with total market
value $91,912,613) 90,109 90,109
----------------
Total Repurchase Agreements
(Cost $342,430) ($ Thousands) 342,430
----------------
Total Investments -- 143.8%
(Cost $5,993,949) ($ Thousands) $ 5,954,329
================
WRITTEN OPTIONS -- 0.0%
December 2006 Euro 2-Year Mid-CRV
Future Call, Expires 12/15/06,
Strike Price $95* (340) (157)
June 2006 Euro-BOBL Future Call,
Expires 06/16/06, Strike Price $95.50* (168) (5)
June 2006 Euro-BOBL Future Call,
Expires 06/16/06, Strike Price $95.75* (168) (2)
September 2006 90-Day Euro Future Call,
Expires 09/18/06, Strike Price $95.25* (133) (17)
May 2006 U.S. 10-Year T-Note Future Call,
Expires 05/26/06, Strike Price $108* (175) (314)
May 2006 U.S. Bond (CBT) Call, Expiration:
04/21/06, Strike Price: $114* (128) (2)
May 2006 U.S. Bond (CBT) Put, Expiration:
04/21/06, Strike Price: $109* (128) (84)
May 2006 U.S. Bond (CBT) Put, Expiration:
05/26/06, Strike Price: $109* (71) (80)
----------------
Total Written Options
(Premium Received $(674)) ($ Thousands) (661)
----------------
Futures -- A summary of the open futures contracts held by the fund at March 31,
2006, 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. 5-Year Note (CBT) 2,004 June 2006 $ (916)
U.S. T-Bond (CBT) (335) June 2006 592
U.S. 10-Year Note 425 June 2006 (263)
U.S. 2-Year Note (CBT) 99 July 2006 (10)
10-Year Swap (2) June 2006 5
90-Day Euro$ 8 March 2010 (6)
90-Day Euro$ 810 March 2007 (675)
90-Day Euro$ 13 March 2008 (6)
90-Day Euro$ 13 March 2009 (6)
90-Day Euro$ 8 June 2010 (6)
90-Day Euro$ 13 June 2006 (4)
90-Day Euro$ 13 June 2007 (6)
90-Day Euro$ 13 June 2008 (6)
90-Day Euro$ 13 June 2009 (6)
90-Day Euro$ 8 September 2010 (6)
90-Day Euro$ 1,164 September 2006 (998)
90-Day Euro$ 429 September 2007 (230)
90-Day Euro$ 13 September 2008 (6)
90-Day Euro$ 13 September 2009 (6)
90-Day Euro$ 16 December 2010 (12)
90-Day Euro$ 13 December 2006 (6)
90-Day Euro$ 13 December 2007 (6)
90-Day Euro$ 13 December 2008 (6)
90-Day Euro$ 13 December 2009 (6)
90-Day Euro$ 476 December 2006 (696)
---------------
$ (3,291)
===============
Forward Foreign Currency Contracts -- The following forward foreign currency
contracts were outstanding at March 31,2006: (See Note 2 in Notes to Financial
Statements)
- --------------------------------------------------------------------------------
UNREALIZED
CURRENCY CURRENCY CONTRACT APPRECIATION
MATURITY TO DELIVER TO RECEIVE VALUE (DEPRECIATION)
DATES ($ THOUSANDS) ($ THOUSANDS) ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
5/10/06 AUD 11,084 USD 8,313 $ 7,895 $ 419
5/10/06 CAD 5,776 USD 5,036 4,958 77
9/20/06 CNY 360,400 USD 46,081 45,781 299
9/20/06 USD 360,400 CNY 46,137 45,781 (355)
------------- -------
$ 104,415 $ 440
============= =======
- --------------------------------------------------------------------------------
110 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
Swaps -- At March 31, 2006, 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 $ (9)
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 (9)
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 (13)
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 (8)
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 (7)
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 (8)
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 (9)
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 (14)
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 (10)
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 (9)
- --------------------------------------------------------------------------------
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 $ (8)
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 (8)
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 (9)
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 (8)
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 (12)
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 (8)
-----------------------------------------------------------------------------
$(149)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 111
SCHEDULE OF INVESTMENTS (Unaudited)
CORE FIXED INCOME FUND (Concluded)
March 31, 2006
Swaps -- At March 31, 2006, the following Total Return Swap agreements were
outstanding: (See Note 2 in Notes to Financial Statements)
- --------------------------------------------------------------------------------
NOTIONAL NET UNREALIZED
EXPIRATION AMOUNT DEPRECIATION
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
The Fund receives payment on the
monthly reset spread from
Lehman Brothers - CMBS AA
Index plus 25 basis points
times the notional amount. The
Fund receives payment if the
return on the spread
appreciates over the payment
period and pays if the return
on the spread depreciates over
the payment period.
(Counter Party: Bank of America) 05/31/06 $ 10,000 $39
The Fund receives payment on the
monthly reset spread from Banc
of America - CMBS AAA 10Yr
Index plus 15 basis points
times the notional amount. The
Fund receives payment if the
return on the spread
appreciates over the payment
period and pays if the return
on the spread depreciates over
the payment.
(Counter Party: Bank of America) 07/31/06 20,000 17
The Fund receives payment on the
monthly reset spread from
Lehman Brothers - CMBS AAA
8.5+Index plus 20 basis points
times the notional amount. The
Fund receives payment if the
return on the spread
appreciates over the payment
period and pays if the return
on the spread depreciates over
the payment period.
(Counter Party: Merrill Lynch) 05/01/06 20,000 36
The Fund receives payment on the
monthly reset spread from Banc
of America - CMBS AAA 10Yr
Index plus 27 basis points
times the notional amount. The
Fund receives payment if the
return on the spread
appreciates over the payment
period and pays if the return
on the spread depreciates over
the payment period.
(Counter Party: Bank of America) 05/31/06 20,000 17
- --------------------------------------------------------------------------------
$109
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $4,141,603 ($ Thousands)
* Non-income producing securities.
** Rate shown is the 7-day effective yield as of March 31, 2006.
+ Investment in Affiliated Registered Investment Company (See Note 3)
++ Real Estate Investment Trust
(A) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of March 31, 2006.
(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 contracts. The rate reported is the effective yield at time of
purchase.
(D) Step Bonds -- The rate reflected on the Schedule of Investments is the
effective yield on March 31, 2006. 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
March 31, 2006 was $11,497 ($ Thousands) and represented 0.28% of Net
Assets.
(J) This security or a partial position of this security is on loan at March
31, 2006 (see Note 7). The total value of securities on loan at March 31,
2006 was $861,640 ($ Thousands).
(K) This security was purchased with cash collateral held from securities
lending (see Note 7). The total value of such securities as of March 31,
2006 was $899,474 ($ Thousands).
(L) The date reported on the Schedule of Investments is the date in effect as
of March 31, 2006.
(M) The note accrues 9.65% annual coupon for any day that the 3-year swap rate
exceeds the 1-year swap rate by 22 or more basis points.
(N) The note accrues 12.50% annual coupon for any day that the 5-year swap
rate exceeds the 2-year swap rate by 30 or more basis points.
AUD -- Australian Dollar
CAD -- Canadian Dollar
CBT -- Chicago Board of Trade
Cl -- Class
CDO -- Collateralized Debt Obligation
CMO -- Collateralized Mortgage Obligation
CNY -- Chinese Yuan Renminbi
EXL -- Extendable Maturity
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
IO -- Interest Only
LLC -- Limited Liability Company
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
TIPS -- Treasury Inflation-Protected Securities
USD -- U.S. Dollar
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
112 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
STATEMENT OF NET ASSETS (Unaudited)
HIGH YIELD BOND FUND
March 31, 2006
- --------------------------------------------------------------------------------
[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR GRAPH IN THE PRINTED MATERIAL.]
SECTOR WEIGHTINGS#:
20.6% Consumer Discretionary
13.3% Financials
11.7% Industrials
9.1% Materials
7.4% Energy
7.0% Telecommunication Services
5.4% Short-Term Investments
5.4% Collateralized Loan Obligations
4.3% Health Care
4.1% Loan Participations
3.2% Utilities
2.2% Consumer Staples
2.0% Information Technology
1.7% Collateralized Debt Obligations
1.4% Asset-Backed Securities
0.6% U.S. Government Agency Obligations
0.4% Common Stock
0.2% Preferred/Convertible Stocks
0.0% Convertible Bond
0.0% 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 -- 87.2%
CONSUMER DISCRETIONARY -- 22.6%
155 E Tropicana LLC
8.750%, 04/01/12 $ 1,689 $ 1,668
AEP Industries
7.875%, 03/15/13 500 503
AMC Entertainment
9.875%, 02/01/12 125 123
8.000%, 03/01/14 2,105 1,879
AMF Bowling Worldwide
10.000%, 03/01/10 830 851
Acco Brands
7.625%, 08/15/15 1,585 1,506
Adelphia Communications, Ser B (C)
9.500%, 01/15/08 2,085 1,188
Adesa
7.625%, 06/15/12 525 537
Alderwoods Group
7.750%, 09/15/12 275 283
American Tower (G)
7.500%, 05/01/12 125 131
Amscan Holdings
8.750%, 05/01/14 1,910 1,714
Arvinmeritor
8.750%, 03/01/12 500 493
Asbury Automotive
9.000%, 06/15/12 4,184 4,273
Aztar (G)
7.875%, 06/15/14 3,038 3,289
Beazer Homes
8.625%, 05/15/11 779 814
Bon-Ton Department Stores (A) (G)
10.250%, 03/15/14 277 266
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Boyd Gaming
7.750%, 12/15/12 $ 300 $ 314
7.125%, 02/01/16 750 760
Broder Brothers, Ser B
11.250%, 10/15/10 1,260 1,254
Brookstone (A)
12.000%, 10/15/12 675 621
Brown Shoe
8.750%, 05/01/12 925 976
CBD Media Holdings
9.250%, 07/15/12 275 280
8.625%, 06/01/11 250 253
CCH I Holdings LLC
20.010%, 01/15/14 (B) (G) 900 554
10.000%, 05/15/14 328 166
CCH II LLC
10.250%, 09/15/10 1,539 1,512
CCH L LLC (G)
11.000%, 10/01/15 2,508 2,085
CCM Merger (A) (G)
8.000%, 08/01/13 2,500 2,487
CCO Holdings LLC (G)
8.750%, 11/15/13 3,316 3,225
CSC Holdings, Ser B
8.125%, 08/15/09 275 284
CSK Auto
7.000%, 01/15/14 100 95
Cablevision Systems, Ser B
8.716%, 04/01/09 (D) 2,260 2,370
8.000%, 04/15/12 (G) 1,970 1,921
Caesars Entertainment
8.875%, 09/15/08 190 203
8.125%, 05/15/11 300 326
7.875%, 03/15/10 650 691
Canwest Media
8.000%, 09/15/12 2,015 2,065
Carmike Cinemas
7.500%, 02/15/14 1,250 1,147
Charter Communications Holdings (A)
8.000%, 04/30/12 36 36
Cinemark (B)
8.690%, 03/15/14 900 689
Collins & Aikman Floorcovering, Ser B
9.750%, 02/15/10 350 331
Cooper Standard Auto
8.375%, 12/15/14 1,300 1,014
Cornell
10.750%, 07/01/12 500 525
Corrections of America
6.750%, 01/31/14 450 455
6.250%, 03/15/13 2,257 2,220
Del Laboratories
8.000%, 02/01/12 2,035 1,648
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 113
STATEMENT OF NET ASSETS (Unaudited)
HIGH YIELD BOND FUND (Continued)
March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Delco Remy International (G)
9.375%, 04/15/12 $ 200 $ 96
Denny's (G)
10.000%, 10/01/12 1,750 1,807
Dex Media
8.000%, 11/15/13 675 695
8.000%, 11/15/13 (B) 2,000 1,690
Dex Media East
9.875%, 11/15/09 629 671
Directv Holdings (G)
6.375%, 06/15/15 1,818 1,795
Dura Operating, Ser D
9.000%, 05/01/09 275 136
Echostar DBS
7.125%, 02/01/16 (A) 2,140 2,105
6.625%, 10/01/14 418 404
6.375%, 10/01/11 1,182 1,155
5.750%, 10/01/08 1,450 1,435
El Dorado Casino Shreveport PIK (G)
10.000%, 08/01/12 1,065 849
Elizabeth Arden
7.750%, 01/15/14 1,150 1,179
Eye Care Centers of America (G)
10.750%, 02/15/15 450 448
Federal-Mogul (C)
7.750%, 07/01/06 800 340
Ford Motor
9.500%, 09/15/11 925 821
9.215%, 09/15/21 350 280
8.900%, 01/15/32 500 393
8.875%, 01/15/22 50 39
7.450%, 07/16/31 2,428 1,803
French Lick Resorts (A)
10.750%, 04/15/14 3,763 3,763
GSC Holdings (A)
8.405%, 10/01/11 (D) 1,566 1,601
8.000%, 10/01/12 (G) 1,353 1,343
General Motors
8.375%, 07/15/33 (G) 3,073 2,251
8.250%, 07/15/23 648 467
Goodyear Tire & Rubber
9.000%, 07/01/15 974 989
Gregg Appliances
9.000%, 02/01/13 2,867 2,659
Group 1 Automotive
8.250%, 08/15/13 2,423 2,447
HMH Properties, Ser B
7.875%, 08/01/08 75 76
Harrahs Operating
8.000%, 02/01/11 25 27
Harry & David Operations
9.000%, 03/01/13 2,212 2,112
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Herbst Gaming
8.125%, 06/01/12 $ 1,986 $ 2,063
7.000%, 11/15/14 100 100
Hertz (A)
10.500%, 01/01/16 (G) 956 1,037
8.875%, 01/01/14 7,620 7,906
Houghton Mifflin
9.875%, 02/01/13 750 806
Hydrochem Industrial (A)
9.250%, 02/15/13 500 496
Inn of the Mountain Gods
12.000%, 11/15/10 525 567
Intelsat
5.250%, 11/01/08 375 354
Intrawest
7.500%, 10/15/13 1,792 1,817
Isle of Capri Casinos
9.000%, 03/15/12 22 23
7.000%, 03/01/14 2,249 2,221
Jacuzzi Brands
9.625%, 07/01/10 1,170 1,255
Jo-Ann Stores (G)
7.500%, 03/01/12 325 285
Kabel Deutschland (A)
10.625%, 07/01/14 2,947 3,146
LBI Media (B)
10.200%, 10/15/13 675 503
Lamar Media
6.625%, 08/15/15 75 75
Lazydays RV Center
11.750%, 05/15/12 2,375 2,363
Leslie's Poolmart
7.750%, 02/01/13 150 151
Levi Strauss
12.250%, 12/15/12 2,165 2,460
9.280%, 04/01/12 (D) 2,675 2,769
8.875%, 04/01/16 (A) 335 336
Lin Television
6.500%, 05/15/13 1,200 1,128
Little Traverse Bay Bands of
Odawa Indians (A)
10.250%, 02/15/14 225 222
Lodgenet Entertainment
9.500%, 06/15/13 500 540
MAAX Holdings (B)
20.760%, 12/15/12 3,125 1,219
MGM Mirage
8.500%, 09/15/10 100 107
6.750%, 09/01/12 620 619
6.750%, 04/01/13 (A) 1,330 1,323
5.875%, 02/27/14 1,800 1,696
Majestic Star LLC (A)
9.750%, 01/15/11 2,475 2,500
- --------------------------------------------------------------------------------
114 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Mandalay Resort Group, Ser B
10.250%, 08/01/07 $ 25 $ 26
Mediacom LLC (G)
9.500%, 01/15/13 2,328 2,305
Medianews Group
6.875%, 10/01/13 200 186
Metaldyne (G)
10.000%, 11/01/13 1,623 1,518
Mohegan Tribal Gaming
6.875%, 02/15/15 925 919
6.125%, 02/15/13 375 370
Nationsrent
9.500%, 10/15/10 3,945 4,290
Neiman Marcus Group (A)
10.375%, 10/15/15 (G) 725 770
9.000%, 10/15/15 475 502
Nexstar Holdings LLC (B)
10.910%, 04/01/13 1,450 1,189
O'Charley's
9.000%, 11/01/13 150 153
Pantry
7.750%, 02/15/14 675 687
Penn National Gaming
6.750%, 03/01/15 970 970
Perry Ellis International, Ser B
8.875%, 09/15/13 2,905 2,905
Petro Stopping Centers
9.000%, 02/15/12 375 377
Phillips Van-Heusen
8.125%, 05/01/13 375 398
7.250%, 02/15/11 (G) 75 77
Pinnacle Entertainment
8.250%, 03/15/12 2,204 2,309
Polypore International (B)
13.940%, 10/01/12 2,000 1,270
Primedia
8.875%, 05/15/11 650 634
Quebecor Media (A)
7.750%, 03/15/16 1,700 1,747
Quicksilver
6.875%, 04/15/15 275 267
RH Donnelley (A)
8.875%, 01/15/16 2,313 2,406
6.875%, 01/15/13 3,750 3,506
RJ Tower (C) (G)
12.000%, 06/01/13 1,775 1,163
Rent-A-Center, Ser B
7.500%, 05/01/10 250 250
Rexnord
10.125%, 12/15/12 855 938
Riddell Bell Holdings
8.375%, 10/01/12 1,485 1,496
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Russell
9.250%, 05/01/10 $ 1,000 $ 1,037
Sealy Mattress
8.250%, 06/15/14 1,500 1,567
Service
7.500%, 06/15/17 (A) 2,020 2,055
6.750%, 04/01/16 225 223
6.500%, 03/15/08 1,467 1,474
Simmons (B)
9.920%, 12/15/14 2,775 1,776
Sinclair Broadcast Group (A) (B)
4.875%, 07/15/18 450 395
Six Flags
9.750%, 04/15/13 1,139 1,148
9.625%, 06/01/14 966 973
8.875%, 02/01/10 537 535
Sonic Automotive, Ser B (G)
8.625%, 08/15/13 3,646 3,646
Spectrum Brands
7.375%, 02/01/15 1,518 1,321
Stanadyne (G)
10.000%, 08/15/14 1,325 1,269
Stanadyne Holdings (B)
13.680%, 02/15/15 1,350 705
Starwood Hotels Resorts
7.875%, 05/01/12 1,500 1,631
7.375%, 05/01/07 725 738
7.375%, 11/15/15 500 540
Station Casinos
6.875%, 03/01/16 2,256 2,267
6.625%, 03/15/18 (A) 1,447 1,414
Steinway Musical Instruments (A)
7.000%, 03/01/14 2,600 2,600
Stewart Enterprises (A)
7.750%, 02/15/13 1,165 1,118
Sun Media
7.625%, 02/15/13 75 77
Superior Essex Com & Essex Group
9.000%, 04/15/12 654 657
Tenneco Automotive (G)
8.625%, 11/15/14 4,676 4,676
Town Sports International
9.625%, 04/15/11 (G) 1,258 1,324
9.580%, 02/01/14 (B) 4,584 3,467
Turning Stone Casino Entertainment (A)
9.125%, 12/15/10 2,601 2,705
United Components (G)
9.375%, 06/15/13 3,683 3,554
United Rentals North America
7.750%, 11/15/13 4,909 4,909
7.000%, 02/15/14 1,000 962
6.500%, 02/15/12 800 784
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 115
STATEMENT OF NET ASSETS (Unaudited)
HIGH YIELD BOND FUND (Continued)
March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Universal City Florida
9.430%, 05/01/10 (D) $ 5,847 $ 5,935
8.375%, 05/01/10 200 202
Vail Resorts
6.750%, 02/15/14 800 790
Vertis
9.750%, 04/01/09 200 205
Vicorp Restaurants
10.500%, 04/15/11 550 513
Videotron
6.875%, 01/15/14 1,775 1,784
6.375%, 12/15/15 25 24
Visant Holding (B)
10.260%, 12/01/13 2,396 1,833
Visteon (G)
8.250%, 08/01/10 700 578
7.000%, 03/10/14 925 712
Wynn Las Vegas LLC
6.625%, 12/01/14 2,447 2,377
Yell Finance
10.750%, 08/01/11 1,450 1,553
10.230%, 08/01/11 (B) 815 841
----------------
228,510
----------------
CONSUMER STAPLES -- 2.4%
B&G Foods Holding
8.000%, 10/01/11 525 545
Carrols (G)
9.000%, 01/15/13 570 573
Dave & Buster's (A)
11.250%, 03/15/14 239 242
Del Laboratories (A) (D)
9.680%, 11/01/11 480 492
Del Monte
6.750%, 02/15/15 456 444
Fleming (C)
10.125%, 04/01/08 1,125 174
9.250%, 06/15/10 200 29
General Nutrition Center
8.500%, 12/01/10 825 782
Ingles Markets
8.875%, 12/01/11 748 782
Jean Countu Group (G)
8.500%, 08/01/14 1,640 1,505
Le-Natures (A)
10.000%, 06/15/13 2,976 3,125
Natural Beef Pack
10.500%, 08/01/11 2,189 2,211
Playtex Products
9.375%, 06/01/11 1,750 1,829
RJ Reynolds Tobacco Holdings
6.500%, 07/15/10 1,302 1,312
6.500%, 06/01/07 (G) 1,146 1,152
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Rite Aid
12.500%, 09/15/06 $ 175 $ 180
7.700%, 02/15/27 (G) 150 118
7.500%, 01/15/15 801 777
6.875%, 08/15/13 (G) 100 87
6.875%, 12/15/28 375 276
Stater Brothers Holdings
8.410%, 06/15/10 (D) 2,526 2,580
8.125%, 06/15/12 (G) 2,263 2,260
Visant Holding (A)
8.750%, 12/01/13 1,830 1,757
Winn-Dixie Pass-Thru Trust (A) (C)
8.181%, 09/01/24 (G) 704 571
7.803%, 09/01/17 442 358
----------------
24,161
----------------
ENERGY -- 8.0%
Allis-Chalmers Energy (A)
9.000%, 01/15/14 1,844 1,816
Atlas Pipeline Partners (A)
8.125%, 12/15/15 1,103 1,150
Baytex Energy
9.625%, 07/15/10 550 582
Belden & Blake
8.750%, 07/15/12 1,383 1,425
Chaparral Energy
8.500%, 12/01/15 (A) 3,199 3,327
Chesapeake Energy
7.750%, 01/15/15 (G) 1,784 1,864
7.500%, 06/15/14 356 373
7.000%, 08/15/14 464 474
6.875%, 01/15/16 2,250 2,267
6.500%, 08/15/17 3,375 3,333
6.500%, 08/15/17 (A) 1,685 1,664
6.375%, 06/15/15 50 49
Clayton William Energy
7.750%, 08/01/13 2,294 2,156
Colorado Interstate Gas
5.950%, 03/15/15 275 264
Compton Pet Finance
7.625%, 12/01/13 500 500
Comstock Resources
6.875%, 03/01/12 75 74
Copano Energy LLC (A)
8.125%, 03/01/16 1,164 1,205
Denbury Resources
7.500%, 04/01/13 1,254 1,295
7.500%, 12/15/15 2,092 2,176
Dynegy Holding (A)
8.375%, 05/01/16 125 124
- --------------------------------------------------------------------------------
116 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
El Paso
9.625%, 05/15/12 (A) $ 91 $ 101
7.625%, 09/01/08 (A) 784 800
7.625%, 08/16/07 320 326
7.420%, 02/15/37 (A) 775 736
7.000%, 05/15/11 625 627
6.750%, 05/15/09 325 324
6.700%, 02/15/27 (A) 900 907
El Paso MTN
8.050%, 10/15/30 650 668
7.800%, 08/01/31 150 151
7.375%, 12/15/12 (G) 425 432
El Paso Natural Gas
8.375%, 06/15/32 325 368
El Paso Production Holdings
7.750%, 06/01/13 125 130
Encore Acquisition
7.250%, 12/01/17 375 376
6.000%, 07/15/15 275 256
Energy Partners
8.750%, 08/01/10 1,408 1,440
Forest Oil
8.000%, 12/15/11 1,070 1,150
Giant Industries
8.000%, 05/15/14 800 826
Grant Prideco, Ser B
6.125%, 08/15/15 300 293
Hanover Compressor
9.000%, 06/01/14 1,654 1,778
8.625%, 12/15/10 1,293 1,356
7.500%, 04/15/13 1,055 1,055
Hanover Equipment Trust, Ser 2001 B
8.750%, 09/01/11 2,533 2,650
Hilcorp Energy (A)
10.500%, 09/01/10 3,060 3,370
7.750%, 11/01/15 524 523
Holly Energy Partners
6.250%, 03/01/15 625 591
Inergy Finance
6.875%, 12/15/14 815 774
Markwest Energy, Ser B
6.875%, 11/01/14 1,500 1,418
Massey Energy (A)
6.875%, 12/15/13 1,226 1,201
Newfield Exploration
7.625%, 03/01/11 1,201 1,278
6.625%, 04/15/16 830 829
Pacific Energy
6.250%, 09/15/15 225 219
Parker Drilling
9.625%, 10/01/13 236 262
9.570%, 09/01/10 (D) 4,915 5,062
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Pogo Producing
6.875%, 10/01/17 $ 1,650 $ 1,629
Pogo Producing, Ser B
8.250%, 04/15/11 773 805
Premcor Refining
7.500%, 06/15/15 1,753 1,850
Pride International
7.375%, 07/15/14 859 902
Quicksilver Resources
7.125%, 04/01/16 2,236 2,208
Range Resources
6.375%, 03/15/15 350 345
SESI LLC
8.875%, 05/15/11 1,025 1,071
Sierra Pacific Resources
8.625%, 03/15/14 1,000 1,085
Sonat
7.625%, 07/15/11 3,250 3,348
Teco Energy (D)
6.680%, 05/01/10 414 426
Tesoro (A)
6.625%, 11/01/15 1,270 1,257
Transmontaigne
9.125%, 06/01/10 290 308
United Refining (G)
10.500%, 08/15/12 4,777 5,052
Veneco
8.750%, 12/15/11 700 704
Whiting Petroleum (A)
7.000%, 02/01/14 500 495
Williams
7.625%, 07/15/19 750 799
7.125%, 09/01/11 45 46
6.375%, 10/01/10 (A) 775 767
----------------
81,492
----------------
FINANCIALS -- 13.3%
Alamosa Delaware
8.500%, 01/31/12 2,190 2,360
Allstate Life Global Funding II
MTN (D) (H) (K)
4.769%, 04/13/07 821 821
American General Finance
(A) (D) (H) (K)
4.779%, 04/13/07 2,589 2,589
American General Finance MTN,
Ser F (H) (K)
3.945%, 07/14/06 179 182
Arch Western Finance
6.750%, 07/01/13 3,352 3,327
Bear Stearns, EXL (D) (H) (K)
4.759%, 04/15/07 3,179 3,179
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 117
STATEMENT OF NET ASSETS (Unaudited)
HIGH YIELD BOND FUND (Continued)
March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Beazer Homes USA
6.875%, 07/15/15 $ 2,110 $ 2,004
CB Richard Ellis Service
11.250%, 06/15/11 500 534
9.750%, 05/15/10 321 347
CIT Group MTN (D) (H) (K)
4.750%, 05/12/06 4,465 4,465
4.617%, 04/19/06 446 447
Cardtronics (A)
9.250%, 08/15/13 150 150
Caterpillar Financial Services MTN,
Ser F (D) (H) (K)
4.680%, 07/10/06 893 893
Choctaw Resort Development Entity (A)
7.250%, 11/15/19 1,100 1,105
Countrywide Financial MTN,
Ser A (D) (H) (K)
4.960%, 09/13/06 3,304 3,304
4.770%, 11/03/06 1,875 1,875
Credit Suisse First Boston London
(A) (D) (L)
0.000%, 03/24/10 3,849 3,403
0.000%, 03/24/10 2,611 2,309
Crystal US Holdings, Ser B (B)
9.000%, 10/01/14 625 484
Dekabank (D) (H) (K)
4.614%, 02/16/07 3,304 3,303
Dow Jones CDX HY, Ser 6-T1 (A)
8.625%, 06/29/11 6,500 6,479
FTI Consulting
7.625%, 06/15/13 350 368
Festival Fun Park LLC (A)
10.875%, 04/15/14 2,218 2,218
Ford Motor Credit
7.375%, 10/28/09 3,985 3,746
7.375%, 02/01/11 675 621
7.250%, 10/25/11 150 137
7.000%, 10/01/13 (G) 4,719 4,221
6.625%, 06/16/08 1,050 994
6.170%, 01/15/10 (D) 1,300 1,176
General Motors Acceptance
8.000%, 11/01/31 (G) 2,557 2,417
6.875%, 08/28/12 4,185 3,861
6.750%, 12/01/14 (G) 6,611 5,951
6.125%, 08/28/07 300 291
H-Lines Finance Holding (B)
9.460%, 04/01/13 801 665
Hexion US Financial
9.000%, 07/15/14 1,059 1,091
Host Marriot++
7.125%, 11/01/13 100 102
Host Marriot, Ser M++
7.000%, 08/15/12 125 128
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Host Marriott++ (A)
6.750%, 06/01/16 $ 1,595 $ 1,593
Host Marriott, Ser O++
6.375%, 03/15/15 425 418
Innophos Investments (D) (G)
12.749%, 02/15/15 2,315 2,332
Irish Life & Permanent MTN,
Ser X (D) (H) (K)
4.808%, 04/21/07 2,375 2,375
Islandsbanki (D) (H)
4.844%, 03/22/07 1,518 1,518
4.720%, 03/07/07 2,679 2,679
Jackson National Life Funding
(A) (D) (H) (K)
4.630%, 02/01/07 3,929 3,929
K&F Acquisition (G)
7.750%, 11/15/14 575 582
Kaupthing Bank MTN (D) (H)
4.836%, 03/20/07 4,465 4,465
Landsbanki Islands (A) (D) (H)
4.829%, 03/16/07 3,393 3,393
Liberty Lighthouse US Capital
MTN (D) (H) (K)
4.725%, 05/10/06 1,786 1,785
Longview Fibre++
10.000%, 01/15/09 1,042 1,094
Mirant North America (A) (G)
7.375%, 12/31/13 2,225 2,269
Morgan Stanley EXL (D) (H) (K)
4.721%, 05/04/07 625 625
Morgan Stanley EXL, Ser S (D) (H) (K)
4.634%, 05/03/07 893 893
Natexis Banques (A) (D) (H) (K)
4.743%, 04/13/07 1,741 1,741
National Mentor
9.625%, 12/01/12 825 932
Nationwide Building Society
(A) (D) (H) (K)
4.991%, 04/28/07 982 982
4.700%, 04/05/07 1,786 1,786
Noble Group (A)
6.625%, 03/17/15 1,050 928
Nordbank (A) (D) (H) (K)
4.811%, 04/23/07 3,036 3,035
Northern Rock (A) (D) (H) (K)
4.650%, 05/03/07 1,839 1,839
Pacific Life Global Funding
(A) (D) (H) (K)
4.740%, 04/13/07 1,339 1,339
Premium Asset Trust, Ser 2004-06
(A) (D) (H) (K)
4.857%, 06/30/06 1,697 1,698
- --------------------------------------------------------------------------------
118 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Premium Asset Trust, Ser 2004-10
(A) (D) (H) (K)
4.759%, 03/15/07 $ 2,500 $ 2,500
SLM EXL, Ser S (D) (H) (K)
4.570%, 03/15/07 1,964 1,964
Senior Housing++
7.875%, 04/15/15 671 701
Sigma Finance MTN (H) (K)
4.680%, 11/09/06 964 964
Skandinav Enskilda Bank (D) (H) (K)
4.772%, 03/19/07 1,964 1,964
Skilled Healthcare Group (A)
11.000%, 01/15/14 450 468
Stripes Acquisition/Susser Financial (A)
10.625%, 12/15/13 314 329
Targa Resources (A) (G)
8.500%, 11/01/13 75 78
Terra Capital
11.500%, 06/01/10 1,000 1,105
Trains HY, Ser 2005-1 (A)
6.975%, 06/15/15 1,299 1,313
Trustreet Properties
7.500%, 04/01/15 1,000 1,003
UGS
10.000%, 06/01/12 2,135 2,348
Universal City Development
11.750%, 04/01/10 1,225 1,351
Ventas Realty++
8.750%, 05/01/09 175 186
7.125%, 06/01/15 75 77
6.625%, 10/15/14 375 375
WMG Holdings (B)
9.020%, 12/15/14 1,575 1,160
Witherspoon CDO Funding (D) (H)
4.786%, 09/15/06 1,250 1,250
----------------
134,913
----------------
HEALTH CARE -- 4.7%
Alliance Imaging
7.250%, 12/15/12 150 130
Bio-Rad Laboratories
6.125%, 12/15/14 575 552
Biovail
7.875%, 04/01/10 3,467 3,536
CRC Health (A)
10.750%, 02/01/16 700 721
Concentra Operating
9.500%, 08/15/10 275 289
Extendicare Health Services
9.500%, 07/01/10 1,544 1,631
6.875%, 05/01/14 520 536
Fisher Scientific International
6.125%, 07/01/15 1,048 1,023
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Fresenius Medical Capital Trust
7.875%, 02/01/08 $ 1,260 $ 1,291
Genesis Healthcare
8.000%, 10/15/13 1,300 1,375
HCA
8.750%, 09/01/10 975 1,058
7.500%, 11/06/33 1,172 1,148
6.750%, 07/15/13 635 633
6.500%, 02/15/16 (G) 4,208 4,100
6.250%, 02/15/13 373 362
Iasis Healthcare (G)
8.750%, 06/15/14 1,150 1,150
Insight Health Services, Ser B
9.875%, 11/01/11 475 261
Kinetic Concepts
7.375%, 05/15/13 293 300
Leiner Health Products
11.000%, 06/01/12 150 147
MQ Associates (B)
28.430%, 08/15/12 934 262
Medcath Holdings
9.875%, 07/15/12 75 78
Medquest, Ser B (G)
11.875%, 08/15/12 1,695 1,280
NBTY (A)
7.125%, 10/01/15 3,055 2,887
Norcross Safety Products, Ser B
9.875%, 08/15/11 1,315 1,364
Omega Healthcare Investors (A)
7.000%, 01/15/16 450 450
Polypore
8.750%, 05/15/12 575 546
Primedia (D)
10.124%, 05/15/10 870 883
Radiologix, Ser B (G)
10.500%, 12/15/08 109 79
Res-Care (A)
7.750%, 10/15/13 675 678
Select Medical
7.625%, 02/01/15 3,045 2,748
Sybron Dental Specialties
8.125%, 06/15/12 525 554
Team Health (A)
11.250%, 12/01/13 550 564
Tenet Healthcare
9.500%, 02/01/15 (A) 2,006 2,011
6.500%, 06/01/12 375 337
Triad Hospitals
7.000%, 05/15/12 975 975
7.000%, 11/15/13 775 763
US Oncology Holdings
10.750%, 08/15/14 5,293 5,783
10.320%, 03/15/15 (D) (G) 3,298 3,306
9.000%, 08/15/12 125 129
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 119
STATEMENT OF NET ASSETS (Unaudited)
HIGH YIELD BOND FUND (Continued)
March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
VWR International
8.000%, 04/15/14 (G) $ 475 $ 474
6.875%, 04/15/12 125 123
WH Holdings
9.500%, 04/01/11 1,037 1,120
----------------
47,637
----------------
INDUSTRIALS -- 12.8%
ALH Finance
8.500%, 01/15/13 1,700 1,666
Accellent (A)
10.500%, 12/01/13 1,440 1,537
Acih (A) (B)
11.620%, 12/15/12 750 570
Ahern Rentals
9.250%, 08/15/13 800 834
Ainsworth Lumber
8.710%, 10/01/10 (D) 3,547 3,547
7.250%, 10/01/12 1,504 1,361
6.750%, 03/15/14 2,325 2,017
Air 2 US (A)
8.027%, 10/01/19 1,631 1,623
Alliant Techsystems
6.750%, 04/01/16 575 582
Allied Waste North America
6.125%, 02/15/14 1,000 950
Allied Waste North America, Ser B
8.875%, 04/01/08 2,682 2,816
7.375%, 04/15/14 55 54
Ames True Temper
10.000%, 07/15/12 400 334
8.600%, 01/15/12 (D) 1,000 973
Amsted Industries (A)
10.250%, 10/15/11 975 1,075
Armstrong Holdings (C)
7.450%, 05/15/29 825 584
Associated Materials
14.800%, 03/01/14 (B) 1,125 647
9.750%, 04/15/12 350 363
Autocam
10.875%, 06/15/14 175 117
Basell (A)
8.375%, 08/15/15 800 794
Buhrmann US
8.250%, 07/01/14 1,750 1,820
7.875%, 03/01/15 625 633
Builders Firstsource (D)
8.999%, 02/15/12 4,059 4,161
Case New Holland (A)
7.125%, 03/01/14 817 807
Cenveo
9.625%, 03/15/12 833 897
7.875%, 12/01/13 1,294 1,265
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Champion Enterprises
7.625%, 05/15/09 $ 1,631 $ 1,623
Chart Industries (A)
9.125%, 10/15/15 325 336
Chukchansi Economic Development
Authority (A) (D)
8.060%, 11/15/12 546 558
Columbus McKinnon
10.000%, 08/01/10 270 297
Continental Airlines, Ser RJ04
9.558%, 09/01/19 610 617
Continental Airlines, Ser 1999-2
7.256%, 03/15/20 411 420
Continental Airlines, Ser 2000-2 (G)
7.707%, 04/02/21 519 540
Continental Airlines, Ser 971A
7.461%, 04/01/15 445 433
Continental Airlines, Ser 982A
6.410%, 04/15/07 266 265
Corrections Corp of America
7.500%, 05/01/11 206 212
Covalence Specialty Mate (A)
10.250%, 03/01/16 590 620
D R Horton
5.625%, 09/15/14 150 141
5.625%, 01/15/16 (G) 1,000 930
5.250%, 02/15/15 1,890 1,723
DRS Technologies
7.625%, 02/01/18 985 1,015
6.875%, 11/01/13 75 75
6.625%, 02/01/16 425 423
Dayton Superior
13.000%, 06/15/09 1,638 1,368
10.750%, 09/15/08 703 716
Delta Air Lines, Ser 2000-1,
Cl A2 (C)
7.570%, 11/18/10 3,936 3,936
Delta Air Lines, Ser 2001-1,
Cl A-2 (C) (G)
7.111%, 09/18/11 59 59
Delta Air Lines, Ser 2002-1,
Cl C (C)
7.779%, 01/02/12 426 400
Dex Media West, Ser B
9.875%, 08/15/13 1,000 1,106
Fastentech
11.500%, 05/01/11 1,194 1,194
Gencorp
9.500%, 08/15/13 1,154 1,246
General Motors
7.700%, 04/15/16 1,062 773
Greenbrier
8.375%, 05/15/15 1,152 1,207
- --------------------------------------------------------------------------------
120 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Gulfmark Offshore
7.750%, 07/15/14 $ 1,771 $ 1,806
Harvest Operations
7.875%, 10/15/11 1,000 980
Hexion US Financial (D)
9.350%, 07/15/10 1,979 2,004
Horizon Lines LLC
9.000%, 11/01/12 1,103 1,166
Indalex Holding (A)
11.500%, 02/01/14 2,218 2,174
Interface
9.500%, 02/01/14 275 282
Intermec
7.000%, 03/15/08 400 400
Invensys PLC (A)
9.875%, 03/15/11 1,917 2,037
Iron Mountain
8.250%, 07/01/11 125 126
7.750%, 01/15/15 1,000 1,008
6.625%, 01/01/16 1,875 1,763
J.B. Poindexter
8.750%, 03/15/14 175 139
K Hovnanian Enterprises (G)
6.250%, 01/15/16 525 476
L-3 Communications
6.125%, 07/15/13 42 41
5.875%, 01/15/15 4,306 4,101
L-3 Communications, Cl B
6.375%, 10/15/15 524 516
Language Line
11.125%, 06/15/12 275 254
MMI Products, Ser B
11.250%, 04/15/07 204 201
Maax Holdings
9.750%, 06/15/12 550 470
Magnachip Semiconductor (D)
8.160%, 12/15/11 2,151 2,178
Meritage Homes
7.000%, 05/01/14 1,675 1,566
6.250%, 03/15/15 2,150 1,903
Millar Western Forest
7.750%, 11/15/13 2,205 1,698
Monitronics International
11.750%, 09/01/10 1,453 1,457
Mueller Holdings (B)
9.950%, 04/15/14 900 734
NCL
10.625%, 07/15/14 575 595
NTK Holdings (G)
10.340%, 03/01/14 375 274
Nebraska Book
8.625%, 03/15/12 250 230
Nortek
8.500%, 09/01/14 1,500 1,526
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
North American Energy Partner
8.750%, 12/01/11 $ 200 $ 195
Owens Corning (C)
7.500%, 08/01/18 (G) 375 301
7.000%, 03/15/09 1,225 974
Park-Ohio Industries
8.375%, 11/15/14 1,125 1,060
Plastipak Holdings (A)
8.500%, 12/15/15 654 667
Ply Gem
9.000%, 02/15/12 1,325 1,232
Primedia
8.000%, 05/15/13 1,175 1,075
Propex Fabrics
10.000%, 12/01/12 1,025 974
Quality Distributors
9.000%, 11/15/10 1,050 990
Quebecor World Capital (A)
8.750%, 03/15/16 590 575
Rainbow National Services LLC (A)
10.375%, 09/01/14 525 588
8.750%, 09/01/12 1,260 1,342
Schuler Homes
10.500%, 07/15/11 225 239
Sea Containers, Ser B
10.750%, 10/15/06 300 294
Ship Finance MTN
8.500%, 12/15/13 1,848 1,737
Southern States (A)
10.500%, 11/01/10 728 772
Spectrum Brands
8.500%, 10/01/13 1,000 925
Stanley-Martin Communications (A)
9.750%, 08/15/15 2,338 2,139
Sunstate Equipment (A)
10.500%, 04/01/13 960 1,003
TRW Automotive
9.375%, 02/15/13 1,006 1,088
Tech Olympic USA (G)
10.375%, 07/01/12 3,013 3,043
7.500%, 03/15/11 225 205
Tembec Industries
8.625%, 06/30/09 150 90
8.500%, 02/01/11 (G) 1,125 655
7.750%, 03/15/12 675 381
Tempur Pedic
10.250%, 08/15/10 722 773
Terex
9.250%, 07/15/11 525 558
7.375%, 01/15/14 1,000 1,025
Terra Capital
12.875%, 10/15/08 110 127
Thermadyne Holdings (G)
9.250%, 02/01/14 450 405
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 121
STATEMENT OF NET ASSETS (Unaudited)
HIGH YIELD BOND FUND (Continued)
March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Transdigm
8.375%, 07/15/11 $ 2,364 $ 2,470
UCAR Finance
10.250%, 02/15/12 2,915 3,112
US Concrete
8.375%, 04/01/14 875 901
United Air Lines (C)
9.125%, 01/15/12 1,075 26
6.201%, 09/01/08 (G) 1,540 1,524
United Air Lines, Ser 2000-2
7.032%, 10/01/10 1,488 1,484
United Air Lines, Ser 2001-1, Cl A-1
6.071%, 03/01/13 765 756
United Air Lines, Ser 95A1
9.020%, 04/19/12 570 319
United Air Lines, Ser 95A2
9.560%, 10/19/18 896 482
United Air Lines, Ser A (C)
10.670%, 05/01/04 525 12
Vanguard Health Holdings II
9.000%, 10/01/14 947 968
Visant
7.625%, 10/01/12 2,975 2,938
WCI Communities (G)
6.625%, 03/15/15 175 155
William Lyon Homes
10.750%, 04/01/13 735 741
Xerox
6.400%, 03/15/16 1,145 1,136
Xerox Capital Trust I (G)
8.000%, 02/01/27 1,111 1,150
----------------
129,971
----------------
INFORMATION TECHNOLOGY -- 2.2%
Aavid Thermal Technology
12.750%, 02/01/07 825 846
Activant Solutions
10.530%, 04/01/10 (A) (D) 2,360 2,407
10.500%, 06/15/11 758 840
Advanced Micro Devices
7.750%, 11/01/12 652 682
Amkor Technologies
7.750%, 05/15/13 (G) 325 299
7.125%, 03/15/11 450 414
Celestica
7.875%, 07/01/11 650 663
Compagnie Generale de Geophysique
7.500%, 05/15/15 875 901
7.500%, 05/15/15 (A) 100 103
SGS International (A)
12.000%, 12/15/13 1,350 1,387
SS&C Technologies (A) (G)
11.750%, 12/01/13 1,260 1,348
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Seitel
11.750%, 07/15/11 $ 275 $ 313
Serena Software (A)
10.375%, 03/15/16 1,590 1,670
Smart Modular (D)
10.030%, 04/01/12 670 717
Spansion LLC (A)
11.250%, 01/15/16 1,175 1,128
Stoneridge
11.500%, 05/01/12 1,578 1,428
Sungard Data Systems (A)
10.250%, 08/15/15 (G) 3,699 3,893
9.431%, 08/15/13 (D) 1,438 1,517
9.125%, 08/15/13 712 753
Unisys
8.000%, 10/15/12 500 491
Viasystems
10.500%, 01/15/11 450 452
----------------
22,252
----------------
MATERIALS -- 10.0%
AK Steel (G)
7.875%, 02/15/09 825 829
Abitibi Consolidated (G)
8.375%, 04/01/15 2,600 2,535
Appleton Papers
8.125%, 06/15/11 825 829
Appleton Papers, Ser B
9.750%, 06/15/14 3,213 3,189
BCI US Finance (A) (D)
10.100%, 07/15/10 830 847
Ball
6.625%, 03/15/18 1,275 1,269
Berry Plastics
10.750%, 07/15/12 550 605
Boise Cascade LLC
7.475%, 10/15/12 (D) 610 618
7.125%, 10/15/14 1,307 1,258
Bowater
9.500%, 10/15/12 500 530
7.910%, 03/15/10 (D) (G) 643 646
Bowater Canada Finance
7.950%, 11/15/11 3,882 3,872
Bway
10.000%, 10/15/10 674 713
Cascades
7.250%, 02/15/13 705 663
Catalyst Paper
7.375%, 03/01/14 455 430
Catalyst Paper, Ser D
8.625%, 06/15/11 682 685
Century Aluminum
7.500%, 08/15/14 1,563 1,626
- --------------------------------------------------------------------------------
122 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Consolidated Containers (G)
10.125%, 07/15/09 $ 350 $ 306
Constar International (G)
11.000%, 12/01/12 691 539
Crown Americas (A) (G)
7.750%, 11/15/15 3,221 3,342
Crown Cork & Seal
8.000%, 04/15/23 1,725 1,660
Domtar
7.125%, 08/15/15 250 221
Equistar Chemical
10.625%, 05/01/11 1,773 1,919
10.125%, 09/01/08 2,322 2,467
Freeport-McMoRan
10.125%, 02/01/10 841 906
6.875%, 02/01/14 1,257 1,257
Georgia Gulf
7.125%, 12/15/13 300 305
Georgia-Pacific
8.125%, 05/15/11 350 364
8.000%, 01/15/24 650 656
7.750%, 11/15/29 695 681
7.700%, 06/15/15 2,475 2,487
Gibraltar Industries (A)
8.000%, 12/01/15 2,204 2,226
Graham Packaging
9.875%, 10/15/14 (G) 2,301 2,330
8.500%, 10/15/12 200 202
Graphic Packaging International
9.500%, 08/15/13 125 117
8.500%, 08/15/11 (G) 2,265 2,242
Huntsman International LLC
9.875%, 03/01/09 150 157
7.875%, 01/01/15 (A) (G) 1,680 1,697
Huntsman LLC
11.850%, 07/15/11 (D) (G) 629 662
11.625%, 10/15/10 576 652
11.500%, 07/15/12 2,233 2,568
5.000%, 02/16/08 1 26
Ineos Group Holdings PLC (A)
8.500%, 02/15/16 5,660 5,377
Innophos
9.625%, 08/15/14 550 572
Intertape Polymer
8.500%, 08/01/14 275 271
Ispat Inland
11.280%, 04/01/10 (D) 250 258
9.750%, 04/01/14 820 928
Jarden
9.750%, 05/01/12 530 547
Jefferson Smurfit
7.500%, 06/01/13 730 686
Kraton Polymers (G)
8.125%, 01/15/14 775 777
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Lyondell Chemical
10.875%, 05/01/09 $ 1,339 $ 1,359
10.500%, 06/01/13 1,750 1,938
Massey Energy
6.625%, 11/15/10 782 796
Mercer International (G)
9.250%, 02/15/13 400 356
Metals USA (A)
11.125%, 12/01/15 2,151 2,366
Methanex
6.000%, 08/15/15 175 164
Nalco (G)
8.875%, 11/15/13 2,130 2,215
7.750%, 11/15/11 2,141 2,168
NewPage
10.930%, 05/01/12 (D) 230 244
10.000%, 05/01/12 (G) 419 440
Newark Group
9.750%, 03/15/14 950 865
Nova Chemicals (D)
7.561%, 11/15/13 836 840
Novelis (A) (G)
7.750%, 02/15/15 900 864
Owens-Brockway Glass
8.875%, 02/15/09 175 182
8.250%, 05/15/13 (G) 2,930 3,062
6.750%, 12/01/14 175 171
Owens-Illinois
7.350%, 05/15/08 2,500 2,525
Peabody Energy
5.875%, 04/15/16 979 932
Polyone
10.625%, 05/15/10 600 650
8.875%, 05/01/12 1,045 1,071
Rathgibson (A)
11.250%, 02/15/14 429 448
Rockwood Specialties Group
10.625%, 05/15/11 142 156
7.500%, 11/15/14 (G) 1,225 1,231
Ryerson Tull (G)
8.250%, 12/15/11 2,204 2,193
Smurfit-Stone Container
9.750%, 02/01/11 3,101 3,186
Solo Cup (G)
8.500%, 02/15/14 3,268 3,072
Solutia (C)
11.250%, 07/15/09 1,100 1,089
6.720%, 10/15/37 225 191
Steel Dynamics
9.500%, 03/15/09 545 571
9.500%, 03/15/09 2,263 2,370
Tronox Worldwide (A) (G)
9.500%, 12/01/12 2,741 2,878
----------------
101,142
----------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 123
STATEMENT OF NET ASSETS (Unaudited)
HIGH YIELD BOND FUND (Continued)
March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES -- 7.6%
Adelphia Communications (C) (G)
9.500%, 03/01/05 $ 1,383 $ 1,355
Airgate PCS (D)
8.350%, 10/15/11 1,350 1,396
American Cellular, Ser B
10.000%, 08/01/11 2,225 2,414
American Tower
7.125%, 10/15/12 675 702
Centennial Communications
10.750%, 12/15/08 303 309
10.250%, 01/01/13 (A) (D) 100 104
10.125%, 06/15/13 2,695 2,944
10.000%, 01/01/13 (A) 2,200 2,285
10.000%, 01/01/13 (G) 450 467
8.125%, 02/01/14 3,640 3,713
Cincinnati Bell
8.375%, 01/15/14 (G) 2,250 2,287
7.250%, 07/15/13 100 103
Citizens Communications
9.250%, 05/15/11 1,400 1,536
6.250%, 01/15/13 1,000 972
Consolidated Communication Holdings
9.750%, 04/01/12 1,448 1,535
Digicel (A)
9.250%, 09/01/12 225 238
Dobson Cellular Systems
9.875%, 11/01/12 260 284
9.430%, 11/01/11 (D) 290 300
Dobson Communications
8.875%, 10/01/13 690 693
GCI
7.250%, 02/15/14 1,025 1,007
Hawaiian Telecom Communications
(A) (G)
12.500%, 05/01/15 1,675 1,658
9.750%, 05/01/13 825 829
Horizon PCS
11.375%, 07/15/12 1,250 1,428
IPCS
11.500%, 05/01/12 1,000 1,140
IWO Holdings
18.560%, 01/15/15 (B) 250 187
8.350%, 01/15/12 (D) 1,250 1,302
Insight Communications (B)
10.940%, 02/15/11 1,500 1,594
Intelsat
7.625%, 04/15/12 625 516
6.500%, 11/01/13 875 654
Intelsat Bermuda (A)
9.614%, 01/15/12 (D) 2,843 2,889
8.250%, 01/15/13 385 392
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Intelsat Sub Holding
9.614%, 01/15/12 (D) $ 57 $ 58
8.625%, 01/15/15 (G) 1,100 1,136
8.500%, 01/15/13 325 331
Level 3 Financing (A) (G)
12.250%, 03/15/13 712 737
Lucent Technologies
6.450%, 03/15/29 1,200 1,083
NTL Cable PLC (G)
8.750%, 04/15/14 550 564
New Skies Satellites (D)
9.573%, 11/01/11 804 828
Nextel Communications, Ser E
6.875%, 10/31/13 1,230 1,269
Panamsat (B)
9.900%, 11/01/14 2,738 1,971
Primus Telecommunications
12.750%, 10/15/09 (G) 600 447
8.000%, 01/15/14 725 493
Qwest
8.875%, 03/15/12 3,285 3,671
8.160%, 06/15/13 1,296 1,426
7.625%, 06/15/15 832 890
7.500%, 06/15/23 (G) 400 407
7.250%, 09/15/25 225 231
7.250%, 10/15/35 1,225 1,223
6.875%, 09/15/33 375 360
5.625%, 11/15/08 150 149
Qwest Capital Funding
7.750%, 08/15/06 1,016 1,022
Qwest Communications International
8.249%, 02/15/09 (D) 2,380 2,434
7.250%, 02/15/11 125 128
Qwest Communications International,
Ser B (G)
7.500%, 02/15/14 1,120 1,154
Rogers Wireless
8.035%, 12/15/10 (D) 1,651 1,705
8.000%, 12/15/12 (G) 1,624 1,723
7.500%, 03/15/15 312 335
7.250%, 12/15/12 (G) 250 263
6.375%, 03/01/14 2,375 2,369
Rural Cellular
9.875%, 02/01/10 100 107
9.410%, 03/15/10 (D) 150 154
8.250%, 03/15/12 850 884
Securus Technologies (G)
11.000%, 09/01/11 475 408
Syniverse Technologies, Ser B
7.750%, 08/15/13 150 150
Telenet Group Holdings (A) (B) (G)
9.510%, 06/15/14 696 582
Triton (G)
8.500%, 06/01/13 1,200 1,140
- --------------------------------------------------------------------------------
124 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
US Unwired, Ser B
10.000%, 06/15/12 $ 450 $ 505
9.160%, 06/15/10 (D) 950 978
Ubiquitel
9.875%, 03/01/11 1,200 1,311
Valor Telecom Enterprises
7.750%, 02/15/15 2,050 2,147
Wind Acquisitions Finance (A)
10.750%, 12/01/15 3,020 3,262
Zeus Special Sub (A) (B) (G)
9.380%, 02/01/15 230 159
----------------
77,427
----------------
UTILITIES -- 3.6%
AES
9.375%, 09/15/10 775 845
8.875%, 02/15/11 1,600 1,724
Airgas
9.125%, 10/01/11 419 444
Aquila
9.000%, 11/15/21 629 643
8.000%, 03/01/23 2,535 2,573
CMS Energy
7.500%, 01/15/09 575 592
Calpine Generating (C)
13.216%, 04/01/11 1,100 1,204
Edison Mission Energy
9.875%, 04/15/11 189 214
7.730%, 06/15/09 500 512
Inergy LP (A)
8.250%, 03/01/16 885 907
Midwest Generation LLC (G)
8.750%, 05/01/34 1,723 1,865
Mirant Americas
8.500%, 10/01/21 7,301 7,429
8.300%, 05/01/11 565 585
Mission Energy Holding
13.500%, 07/15/08 3,414 3,918
NRG Energy
7.375%, 02/01/16 3,850 3,932
7.250%, 02/01/14 1,640 1,667
Northwest Pipeline
8.125%, 03/01/10 225 237
Pacific Energy Partners
7.125%, 06/15/14 225 229
Reliant Energy
9.250%, 07/15/10 225 225
6.750%, 12/15/14 2,235 1,972
Reliant Resources
9.500%, 07/15/13 235 235
Sierra Pacific Resources
7.803%, 06/15/12 450 472
6.750%, 08/15/17 (A) 100 100
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Sonat
7.000%, 02/01/18 $ 400 $ 388
Southern Natural Gas
8.875%, 03/15/10 375 399
Tenaska Alabama (A)
7.000%, 06/30/21 863 866
Tennessee Gas Pipeline
7.500%, 04/01/17 419 446
Transcont Gas Pipeline
7.250%, 12/01/26 1,251 1,306
----------------
35,929
----------------
Total Corporate Obligations
(Cost $884,366) ($ Thousands) 883,434
----------------
COLLATERALIZED LOAN OBLIGATIONS -- 5.9%
FINANCIALS -- 5.9%
Ares VR, Ser 2006-1A, Cl SUB,
Preferred Shares (A) 7,000 6,580
Babson, Ser 2005-2A, Cl C1 (A) (D)
6.301%, 07/20/19 2,250 2,222
Babson, Ser 2005-2A, Cl SUB
7.000%, 07/20/19 11,000 11,000
Gleneagles, Preferred Shares (A) 13 12,500
ING Investment Management (A) (D)
0.000%, 12/01/17 13 12,500
Marathon, Ser 2005-2A,
Preferred Shares (A) 3,000 3,000
Pamco, Ser 1998-1A, Cl B2 (A)
6.030%, 05/01/10 2,500 2,350
Stanfield Bristol, Ser 2005-1A,
Cl D (A) (D)
9.150%, 10/15/19 2,700 2,700
Stanfield Bristol, Ser 2005-1A,
Cl SUB, Preferred Shares (A) 6,300 6,755
----------------
Total Collateralized Loan Obligations
(Cost $58,142) ($ Thousands) 59,607
----------------
LOAN PARTICIPATIONS -- 4.5%
FINANCIALS -- 4.5%
Amkor Technology
9.274%, 10/27/10 4,000 4,165
Aquila
10.251%, 09/19/09 1,000 1,030
CCFC (D)
10.826%, 08/26/09 2,090 2,231
Cooper Standard
7.500%, 12/01/11 2,244 2,253
Delphi
0.000%, 06/14/11 2,025 2,096
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 125
STATEMENT OF NET ASSETS (Unaudited)
HIGH YIELD BOND FUND (Continued)
March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
El Paso (D)
7.750%, 11/22/09 $ 1,464 $ 1,484
El Paso Letter of Credit (D)
5.438%, 11/22/09 1,500 1,519
Georgia Pacific B
6.749%, 12/23/12 499 503
6.749%, 02/14/13 1,500 1,512
Georgia Pacific C
7.749%, 12/23/12 500 511
7.749%, 02/14/14 1,900 1,940
Kgen Partners
7.604%, 08/15/11 3,960 3,960
Level 3 (D)
11.823%, 12/01/11 3,000 3,176
Mirant Americas
6.441%, 01/15/13 2,000 2,018
Murray
12.625%, 01/31/11 4,963 5,111
Neiman Marcus
6.475%, 03/13/13 1,797 1,815
Northwest Air
11.320%, 11/19/09 1,250 1,275
Targa Resources
6.830%, 10/05/07 1,000 1,005
United Air Lines
8.625%, 02/01/12 1,500 1,521
Warner Chilcott
7.440%, 01/04/12 4,967 5,017
Wembley 2nd Lien
7.830%, 07/18/12 1,625 1,649
----------------
Total Loan Participations
(Cost $45,486) ($ Thousands) 45,791
----------------
CASH EQUIVALENT -- 3.0%
SEI Daily Income Trust, Prime
Obligation Fund, Cl A, 4,560%**+ 30,817,702 30,818
----------------
Total Cash Equivalent
(Cost $30,818) ($ Thousands) 30,818
----------------
COLLATERALIZED DEBT OBLIGATIONS (F) -- 1.8%
FINANCIALS -- 1.8%
Connecticut Valley Structured Credit,
Ser 2006-3A, Cl NOTE,
Preferred Shares (A) 2,200 2,200
Peritus I, Preferred Shares 6,750 2,025
Peritus I, Ser 2005-1A, Cl C (A)
9.000%, 05/24/15 14,965 14,029
----------------
Total Collateralized Debt Obligations
(Cost $16,945) ($ Thousands) 18,254
----------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 1.5%
MORTGAGE RELATED SECURITIES -- 1.5%
Chase Funding Mortgage Loan,
Ser 2003-4, Cl 2A2 (D)
5.118%, 05/25/33 $ 584 $ 585
Cheyne High Grade, Ser 2004-1A,
Cl AM1 (D) (H) (K)
4.740%, 11/10/06 893 893
Commodore, Ser 2003-2A, Cl A1MM
(D) (H) (K)
4.970%, 12/12/38 822 822
Duke Funding, Ser 2004-6B, Cl
A1S1 (H) (K) (D)
4.620%, 04/08/39 1,339 1,339
Harborview Mortgage Loan Trust,
Ser 2005-01, Cl X, IO (E)
1.243%, 03/19/35 18,407 431
Harborview Mortgage Loan Trust,
Ser 2005-10, Cl X, IO (D) (F)
1.682%, 11/19/35 28,016 858
Harborview Mortgage Loan Trust,
Ser 2005-12, Cl X2A, IO (D)
0.569%, 10/19/35 89,560 1,231
Harwood Street Funding II,
Ser 2005-1A, Cl NOTE (D) (H) (K)
4.868%, 05/25/06 1,786 1,786
Indymac Indx Mortgage Loan Trust,
Ser 2004-AR12, Cl AX2, IO (E) (F)
0.810%, 12/25/34 13,531 347
Orchid Structured Finance CDO,
Ser 2003-1A, Cl A1MM (D) (H) (K)
4.920%, 11/18/38 1,370 1,370
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl AM4 (D) (H) (K)
4.858%, 02/25/35 1,276 1,276
RMAC, Ser 2004-NS3A, Cl A1 (D) (H) (K)
4.720%, 03/12/25 320 320
Residential Asset Mortgage Products,
Ser 2003-RS1, Cl AII (D)
5.208%, 02/25/33 259 259
Saturn Ventures II (D) (H)
4.730%, 08/07/06 1,667 1,667
TIAA Real Estate CDO, Ser 2003 1A,
Cl A1MM (D) (H) (K)
4.851%, 12/28/18 1,153 1,153
Whitehawk CDO Funding, Ser 2004-1A,
Cl AMMD (D) (H) (K)
4.930%, 06/15/06 446 446
Whitehawk CDO Funding, Ser 2004-1A,
Cl AMME (D) (H) (K)
4.930%, 09/15/06 268 268
----------------
Total Asset-Backed Securities
(Cost $15,130) ($ Thousands) 15,051
----------------
- --------------------------------------------------------------------------------
126 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER (I) -- 1.2%
FINANCIALS -- 1.2%
CPI Funding (H)
4.901%, 04/03/06 $ 364 $ 364
Damiler Chrysler
4.880%, 05/04/06 5,675 5,650
Eiffel Funding LLC (H)
4.867%, 04/27/06 268 267
4.767%, 04/28/06 1,786 1,772
Elysian Funding LLC (H)
4.706%, 04/10/06 893 886
Harbour Funding (H)
4.763%, 04/06/06 1,328 1,325
Harwood Funding (H)
4.881%, 04/03/06 429 428
Thornburg Mortgage Capital
Resources (H)
4.781%, 04/19/06 893 889
Transamerica Securities (H)
4.841%, 04/03/06 210 210
----------------
Total Commercial Paper
(Cost $11,791) ($ Thousands) 11,791
----------------
MASTER NOTES (H) -- 0.6%
Bank of America
4.945%, 04/03/06 4,465 4,465
Bear Stearns
4.995%, 04/03/06 2,143 2,143
----------------
Total Master Notes
(Cost $6,608) ($ Thousands) 6,608
----------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.7%
FINANCIAL SERVICES -- 0.7%
FHLMC (E)
4.682%, 04/26/06 2,940 2,933
4.664%, 05/02/06 3,080 3,068
FHLMC (E) (J)
4.641%, 05/22/06 3 3
FHLMC CMO, Ser 2596, Cl IJ, IO
5.000%, 01/15/17 2,185 226
FHLMC CMO, Ser 2603, Cl LI, IO
5.500%, 09/15/28 712 84
FHLMC CMO, Ser 2696, Cl NI, IO
5.500%, 03/15/23 470 14
FNMA (E)
4.651%, 05/31/06 227 225
FNMA CMO, Ser 2003-37, Cl IG, IO
5.500%, 05/25/32 654 101
FNMA STRIPS, Ser 342, Cl 2, IO (I)
6.000%, 10/01/33 506 124
----------------
Total U.S. Government Agency Obligations
(Cost $6,769) ($ Thousands) 6,778
----------------
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 0.4%
American Tower, Cl A* 8,941 $ 271
Core-Mark Holding* 12,817 490
Huntsman* 8,061 156
Mirant* 110,486 2,762
Shreveport Gaming Holdings I,
Private Company (G) (F)* 13,948 119
UAL (G)* 8,868 354
----------------
Total Common Stock
(Cost $2,704) ($ Thousands) 4,152
----------------
PREFERRED/CONVERTIBLE STOCKS -- 0.2%
General Nutrition Center, Ser A PIK 900 833
Paxson Communications PIK (G)* 1 6
Rural Cellular PIK (G)* 374 396
Rural Cellular, Ser B PIK* 350 426
----------------
Total Preferred/Convertible Stocks
(Cost $1,434) ($ Thousands) 1,661
----------------
CERTIFICATE OF DEPOSIT (H) (D) -- 0.1%
US Trust of New York
4.760%, 03/13/07 $ 714 714
----------------
Total Certificate of Deposit
(Cost $714) ($ Thousands) 714
----------------
CONVERTIBLE BOND -- 0.0%
Flextronics CV to 64.4122
1.000%, 08/01/10 500 451
----------------
Total Convertible Bond
(Cost $484) ($ Thousands) 451
----------------
Number of
Warrants
----------
WARRANTS -- 0.0%
Grande Communications,
Expires 04/01/11* 850 9
Pegasus Communications,
Expires 01/01/07 (F)* 250 --
Travelcenters of America,
Expires 05/01/09 (F)* 7,500 1
Travelcenters of America,
Expires 05/01/09 (F)* 2,500 --
----------------
Total Warrants
(Cost $31) ($ Thousands) 10
----------------
TIME DEPOSIT (H) -- 0.2%
Societe Generale
4.900%, 04/03/06 1,786 1,786
----------------
Total Time Deposit
(Cost $1,786) ($ Thousands) 1,786
----------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 127
STATEMENT OF NET ASSETS (Unaudited)
HIGH YIELD BOND FUND (Concluded)
March 31, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS (H) -- 2.0%
Barclays
4.790%, dated 03/31/06, to be
repurchased on 04/03/06,
repurchase price $10,325,183
collateralized by various
U.S. Government Obligations,
ranging in par value $827,191-
$2,122,623, 0.000%-5.900%,
07/18/06-08/04/25; with total
market value $10,527,500) $ 10,321 $ 10,321
Lehman Brothers 4.800%, dated 03/31/06,
to be repurchased on 04/03/06,
repurchase price $10,397,618
(collateralized by various
U.S. Government Obligations, ranging
in par value $618-$1,124, 4.500%-10
700%, 10/17/08- 11/23/35; with total
market value $10,601,359) 10,393 10,393
----------------
Total Repurchase Agreements
(Cost $20,714) ($ Thousands) 20,714
----------------
Total Investments -- 109.3%
(Cost $1,103,922) ($ Thousands) 1,107,620
----------------
OTHER ASSETS AND LIABILITIES -- (9.3)%
Payable upon Return on Securities Loaned (111,084)
Payable for Investment Securities Purchased (31,660)
Payable for Fund Shares Redeemed (2,120)
Income Distribution Payable (653)
Investment Advisory Fees Payable (392)
Administration Fees Payable (320)
Shareholder Servicing Fees Payable (52)
Other Assets and Liabilities, Net 51,854
----------------
Total Other Assets and Liabilities (94,427)
----------------
Net Assets -- 100.0% $ 1,013,193
================
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $ 1,177,228
Undistributed net investment income 16
Accumulated net realized loss on investments
and futures contracts (167,674)
Net unrealized appreciation on investments 3,698
Net unrealized depreciation on futures contracts (75)
----------------
Net Assets $ 1,013,193
================
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($1,013,193,398 / 119,779,103 shares) $8.46
======
Futures -- A summary of the open futures contracts held by the fund at March 31,
2006, is as follows: (see Note 2 in Notes to Financial Statements)
- --------------------------------------------------------------------------------
UNREALIZED
APPRECIATION
TYPE OF NUMBER OF EXPIRATION (DEPRECIATION)
CONTRACT CONTRACTS DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
U.S. Long Treasury Bond (CBT) (47) June 2006 $ 172
U.S. Two year Note (CBT) 546 June 2006 (247)
-----
$ (75)
=====
* Non-income producing security.
** Rate shown is the 7-day effective yield as of March 31, 2006.
+ Investment in Affiliated Registered Investment Company (See Note 3)
++ 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 March 31, 2006. The coupon on a step bond changes on a
specified date.
(C) Security in default on interest payments.
(D) Variable Rate Security -- The rate reported on the Statement of Net Assets
is the rate in effect as of March 31, 2006.
(E) Zero-coupon security. Rate shown is the effective yield at the date of
purchase.
(F) Securities considered illiquid. The total value of such securities as of
March 31, 2006 was $18,254 and represented 1.8% of Net Assets.
(G) This security or a partial position of this security is on loan at March
31, 2006 (see Note 7). The total value of securities on loan at March 31,
2006 was $103,301 ($ Thousands).
(H) This security was purchased with cash collateral held from securities
lending (see Note 7). The total value of such securities as of March 31,
2006 was $111,084 ($ 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 effect as
of March 31, 2006.
(L) The note accrues 9.65% annual coupon for any day that the 3-year swap rate
exceeds the 1-year swap rate by 22 or more basis points.
CBT -- Chicago Board of Trade
CDO -- Collateralized Debt Obligation
Cl -- Class
CMO -- Collateralized Mortgage Obligation
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
STRIPS -- Separate Trading of Register Interest and Principal of Securities
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
128 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
STATEMENT OF ASSETS AND LIABILITIES ($ Thousands)
March 31, 2006 (Unaudited)
- -------------------------------------------------------------------------------------------
CORE FIXED
INCOME
FUND
- -------------------------------------------------------------------------------------------
ASSETS:
Investments at value (Cost $5,623,585) $5,583,965
Repurchase agreement (Cost $342,430) 342,430
Affiliated investment, at value (Cost $27,934) 27,934
Foreign currency, at value (Cost $276) 270
Receivable for investment securities sold 999,284
Accrued income 37,200
Receivable for fund shares sold 3,370
Variation margin receivable 203
Unrealized gain on forward foreign currency contracts 440
- -------------------------------------------------------------------------------------------
Total Assets 6,995,096
- -------------------------------------------------------------------------------------------
LIABILITIES:
Payable for investment securities purchased 1,928,513
Payable upon return on securities loaned 899,474
Payable to custodian 10,983
Payable for fund shares redeemed 7,187
Administration fees payable 988
Income distribution payable 947
Investment advisory fees payable 927
Shareholder servicing fees payable 258
Options written, at value (premiums received $674) 661
Unrealized loss on swaps 40
Administration servicing fees payable 2
Accrued expense payable 166
Other Payables 3,347
- -------------------------------------------------------------------------------------------
Total Liabilities 2,853,493
- -------------------------------------------------------------------------------------------
Total Net Assets $4,141,603
- -------------------------------------------------------------------------------------------
NET ASSETS:
Paid-in-Capital -- (unlimited authorization -- no par value) $4,237,703
Undistributed net investment income 1,588
Accumulated net realized loss on investments, option contracts, futures,
credit default swaps and foreign currency (55,007)
Net unrealized depreciation on investments and option contracts (39,607)
Net unrealized depreciation on futures contracts (3,291)
Net unrealized depreciation on swaps (40)
Net unrealized appreciation on forward foreign currency contracts,
foreign currencies and translation of other assets and liabilities
denominated in foreign currencies 257
- -------------------------------------------------------------------------------------------
Total Net Assets -- 100.0% $4,141,603
- -------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price Per Share -- Class A
($4,128,916,729 / 405,900,526 shares) $10.17
- -------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price Per Share -- Class I
($12,686,149 / 1,247,653 shares) $10.17
- -------------------------------------------------------------------------------------------
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 129
STATEMENTS OF OPERATIONS ($ Thousands)
For the six month period ended March 31, 2006 (Unaudited)
- -----------------------------------------------------------------------------------------------------------------------------------
LARGE CAP TAX-MANAGED LARGE CAP LARGE CAP TAX-MANAGED
DIVERSIFIED ALPHA LARGE CAP VALUE GROWTH SMALL CAP
FUND(1) FUND FUND FUND FUND
- -----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends $ 3,236 $ 18,873 $ 48,804 $ 18,259 $ 1,174
Dividends from Affiliated Registered
Investment Company* 819 599 1,628 1,633 285
Interest Income 1,643 283 215 666 8
Income from Securities Lending -- 156 254 239 116
Less: Foreign Taxes Withheld (4) (11) (39) (6) (2)
- -----------------------------------------------------------------------------------------------------------------------------------
Total Investment Income 5,694 19,900 50,862 20,791 1,581
- -----------------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 1,007 4,484 6,928 7,731 921
Administration Fees 881 3,918 6,928 6,764 496
Shareholder Servicing Fees (A) 630 2,796 4,917 4,798 354
Shareholder Servicing Fees (I) -- -- 32 33 --
Shareholder Servicing Fees (Y) -- 4 -- -- --
Administration Servicing Fees (I) -- -- 32 33 --
Trustee Fees 3 13 24 23 2
Dividend Expenses 203 -- -- -- --
Short Sale Expenses 80 -- -- -- --
Registration Fees 24 11 27 21 2
Printing Fees 17 51 88 87 7
Custodian/Wire Agent Fees 15 59 106 102 7
Professional Fees 9 37 66 64 5
Other Expenses 9 22 48 42 4
- -----------------------------------------------------------------------------------------------------------------------------------
Total Expenses 2,878 11,395 19,196 19,698 1,798
- -----------------------------------------------------------------------------------------------------------------------------------
Less:
Waiver of Investment Advisory Fees (58) (1,089) (1,404) (1,130) (184)
Waiver of Shareholder Servicing Fees (144) (591) (471) (1,765) (1)
Fees Paid Indirectly -- (83) (265) (161) (40)
Payment by Affiliate* -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Net Expenses 2,676 9,632 17,056 16,642 1,573
- -----------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS) 3,018 10,268 33,806 4,149 8
- -----------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
NET REALIZED GAIN (LOSS) ON:
Investments 1,590 60,036 235,630 149,950 16,563
Futures Contracts 617 538 8,002 4,693 369
Written Options -- -- -- -- --
Swap Contracts 106 -- -- -- --
Foreign Currency Transactions (1) -- -- -- --
NET CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON:
Investments 18,024 74,832 (17,976) 102,180 17,702
Futures Contracts 1,305 450 1,022 1,121 899
Written Options -- -- -- -- --
Swap Contracts 113 -- -- -- --
Foreign Currency and Translation of Other Assets
and Liabilities Denominated in Foreign Currency 5 -- -- -- --
Payment by Affiliate* -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 24,777 $ 146,124 $ 260,484 $ 262,093 $ 35,541
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
SMALL SMALL U.S. MANAGED
CAP VALUE CAP GROWTH MID-CAP VOLATILITY REAL ESTATE
FUND FUND FUND FUND FUND
- -----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends $ 5,636 $ 2,306 $ 742 $ 1,787 $ 1,726
Dividends from Affiliated Registered
Investment Company* 480 743 62 226 78
Interest Income 41 67 3 11 --
Income from Securities Lending 352 615 13 -- 13
Less: Foreign Taxes Withheld (3) (29) -- (16) --
- -----------------------------------------------------------------------------------------------------------------------------------
Total Investment Income 6,506 3,702 820 2,008 1,817
- -----------------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 3,534 3,619 190 633 374
Administration Fees 1,903 1,949 166 341 202
Shareholder Servicing Fees (A) 1,343 1,377 119 243 144
Shareholder Servicing Fees (I) 16 14 -- -- --
Shareholder Servicing Fees (Y) -- -- -- -- --
Administration Servicing Fees (I) 16 14 -- -- --
Trustee Fees 6 6 -- 1 1
Dividend Expenses -- -- -- -- --
Short Sale Expenses -- -- -- -- --
Registration Fees 5 8 1 1 1
Printing Fees 25 25 2 5 2
Custodian/Wire Agent Fees 29 32 3 5 5
Professional Fees 18 18 1 3 2
Other Expenses 14 12 1 2 1
- -----------------------------------------------------------------------------------------------------------------------------------
Total Expenses 6,909 7,074 483 1,234 732
- -----------------------------------------------------------------------------------------------------------------------------------
Less:
Waiver of Investment Advisory Fees (1) (66) (1) (105) (22)
Waiver of Shareholder Servicing Fees (705) (698) (3) (48) (63)
Fees Paid Indirectly (152) (116) -- -- (7)
Payment by Affiliate* -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Net Expenses 6,051 6,194 479 1,081 640
- -----------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS) 455 (2,492) 341 927 1,177
- -----------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
NET REALIZED GAIN (LOSS) ON:
Investments 71,910 68,258 5,209 1,855 4,864
Futures Contracts 1,178 3,703 298 197 --
Written Options -- -- -- -- --
Swap Contracts -- -- -- -- --
Foreign Currency Transactions -- (3) -- -- --
NET CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON:
Investments 48,775 98,838 4,905 6,938 18,327
Futures Contracts 1,267 1,508 76 (33) --
Written Options -- -- -- -- --
Swap Contracts -- -- -- -- --
Foreign Currency and Translation of Other Assets
and Liabilities Denominated in Foreign Currency -- -- -- -- --
Payment by Affiliate* -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ 123,585 $ 169,812 $ 10,829 $ 9,884 $ 24,368
- -----------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------
CORE FIXED HIGH YIELD
INCOME FUND BOND FUND
- ---------------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends $ -- $ 927
Dividends from Affiliated Registered
Investment Company* 1,162 691
Interest Income 97,538 51,587
Income from Securities Lending 823 514
Less: Foreign Taxes Withheld (44) --
- ---------------------------------------------------------------------------------------
Total Investment Income 99,479 53,719
- ---------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 5,646 3,143
Administration Fees 5,748 2,257
Shareholder Servicing Fees (A) 5,117 1,612
Shareholder Servicing Fees (I) 16 --
Shareholder Servicing Fees (Y) -- --
Administration Servicing Fees (I) 16 --
Trustee Fees 24 8
Dividend Expenses -- --
Short Sale Expenses -- --
Registration Fees 21 10
Printing Fees 93 29
Custodian/Wire Agent Fees 110 34
Professional Fees 68 22
Other Expenses 247 59
- ---------------------------------------------------------------------------------------
Total Expenses 17,106 7,174
- ---------------------------------------------------------------------------------------
Less:
Waiver of Investment Advisory Fees (261) (458)
Waiver of Shareholder Servicing Fees (3,696) (1,169)
Fees Paid Indirectly -- --
Payment by Affiliate* (239) --
- ---------------------------------------------------------------------------------------
Net Expenses 12,910 5,547
- ---------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS) 86,569 48,172
- ---------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
NET REALIZED GAIN (LOSS) ON:
Investments (68,315) (32,555)
Futures Contracts 24,849 (1,118)
Written Options 336 --
Swap Contracts 91 --
Foreign Currency Transactions (1,081) --
NET CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON:
Investments (39,864) 21,165
Futures Contracts (4,788) 106
Written Options 24 --
Swap Contracts 196 --
Foreign Currency and Translation of Other Assets
and Liabilities Denominated in Foreign Currency 247 --
Payment by Affiliate* -- 3
- ---------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $ (1,736) $ 35,773
- ---------------------------------------------------------------------------------------
Amounts designated as "--" are $0 or have been rounded to $0.
* See Note 3 in Notes to Financial Statements.
(1) The Large Cap Diversified Alpha Fund commenced operations on December 14,
2005.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
130 & 131 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
STATEMENTS OF CHANGES IN NET ASSETS ($ Thousands)
For the six month period ended March 31, 2006 (Unaudited) and the year ended
September 30, 2005
- -----------------------------------------------------------------------------------------------------------------------------------
LARGE CAP DIVERSIFIED TAX-MANAGED LARGE CAP
ALPHA FUND (4) LARGE CAP FUND VALUE FUND
- -----------------------------------------------------------------------------------------------------------------------------------
12/14/05 10/1/05 10/1/04 10/1/05 10/1/04
to 3/31/06 to 3/31/06 to 9/30/05 to 3/31/06 to 9/30/05
- -----------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income (Loss) $ 3,018 $ 10,268 $ 22,722 $ 33,806 $ 69,593
Net Realized Gain from Investments,
Futures Contracts, Written Options and
Swap Contracts 2,313 60,574 95,780 243,632 272,404(2)
Net Realized Loss on Foreign Currency
Transactions (1) -- -- -- --
Net Change in Unrealized Appreciation
(Depreciation) on Investments,
Futures Contracts, Written Options and
Swap Contracts 19,442 75,282 160,927 (16,954) 283,473
Net Change in Unrealized Appreciation
on Foreign Currencies and Translation
of Other Assets and Liabilities
Denominated in Foreign Currency 5 -- -- -- --
Payment by Affiliate* -- -- -- -- --
- --------------------------------------------------------------------------------------------------- ------------------------------
Net Increase in Net Assets
from Operations 24,777 146,124 279,429 260,484 625,470
- --------------------------------------------------------------------------------------------------- ------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (2,856) (13,856) (22,704) (48,410) (68,972)
Class I -- -- -- (270) (308)
Class Y -- (34) (58) -- --
Net Realized Gains:
Class A -- -- -- (246,892) (23,633)
Class I -- -- -- (1,453) (119)
- --------------------------------------------------------------------------------------------------- ------------------------------
Total Dividends and Distributions (2,856) (13,890) (22,762) (297,025) (93,032)
- --------------------------------------------------------------------------------------------------- ------------------------------
CAPITAL SHARE TRANSACTIONS(1):
Class A:
Proceeds from Shares Issued 931,325 220,148 380,056 300,751 713,922
Reinvestment of Dividends & Distributions 2,855 13,148 21,568 280,618 87,568
Cost of Shares Redeemed (28,718) (195,245) (462,655) (948,365) (1,253,909)(3)
- --------------------------------------------------------------------------------------------------- ------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 905,462 38,051 (61,031) (366,996) (452,419)
- --------------------------------------------------------------------------------------------------- ------------------------------
Class I:
Proceeds from Shares Issued -- -- -- 4,285 5,971
Reinvestment of Dividends & Distributions -- -- -- 1,667 415
Cost of Shares Redeemed -- -- -- (2,907) (4,608)
- --------------------------------------------------------------------------------------------------- ------------------------------
Increase (Decrease) in Net Assets Derived
from Class I Transactions -- -- -- 3,045 1,778
- --------------------------------------------------------------------------------------------------- ------------------------------
Class Y:
Proceeds from Shares Issued -- 161 7 -- --
Reinvestment of Dividends & Distributions -- 34 58 -- --
Cost of Shares Redeemed -- (372) (541) -- --
- --------------------------------------------------------------------------------------------------- ------------------------------
Decrease in Net Assets Derived
from Class Y Transactions -- (177) (476) -- --
- --------------------------------------------------------------------------------------------------- ------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions 905,462 37,874 (61,507) (363,951) (450,641)
- --------------------------------------------------------------------------------------------------- ------------------------------
Net Increase (Decrease) in Net Assets 927,383 170,108 195,160 (400,492) 81,797
- --------------------------------------------------------------------------------------------------- ------------------------------
NET ASSETS:
BEGINNING OF YEAR/PERIOD -- 2,177,952 1,982,792 4,255,452 4,173,655
- --------------------------------------------------------------------------------------------------- ------------------------------
END OF YEAR/PERIOD $ 927,383 $ 2,348,060 $ 2,177,952 $ 3,854,960 $ 4,255,452
- --------------------------------------------------------------------------------------------------- ------------------------------
UNDISTRIBUTED NET INVESTMENT INCOME/
(DISTRIBUTION IN EXCESS OF NET INVESTMENT
INCOME)/(ACCUMULATED NET INVESTMENT LOSS)
INCLUDED IN NET ASSETS AT PERIOD END $ 162 $ 384 $ 4,006 $ 841 $ 15,715
- --------------------------------------------------------------------------------------------------- ------------------------------
- ----------------------------------------------------------------------------------------------------------
LARGE CAP TAX-MANAGED
GROWTH FUND SMALL CAP FUND
- ----------------------------------------------------------------------------------------------------------
10/1/05 10/1/04 10/1/05 10/1/04
to 3/31/06 to 9/30/05 to 3/31/06 to 9/30/05
- ----------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income (Loss) $ 4,149 $ 18,547 $ 8 $ (416)
Net Realized Gain from Investments,
Futures Contracts, Written Options and
Swap Contracts 154,643 159,985 16,932 17,111
Net Realized Loss on Foreign Currency
Transactions -- -- -- --
Net Change in Unrealized Appreciation
(Depreciation) on Investments,
Futures Contracts, Written Options and
Swap Contracts 103,301 297,342 18,601 28,494
Net Change in Unrealized Appreciation
on Foreign Currencies and Translation
of Other Assets and Liabilities
Denominated in Foreign Currency -- -- -- --
Payment by Affiliate* -- 2 -- --
- ----------------------------------------------------------------------------------------------------------
Net Increase in Net Assets
from Operations 262,093 475,876 35,541 45,189
- ----------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (4,335) (17,804) -- --
Class I -- (111) -- --
Class Y -- -- -- --
Net Realized Gains:
Class A -- -- (15,044) (15,584)
Class I -- -- -- --
- ----------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (4,335) (17,915) (15,044) (15,584)
- ----------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS(1):
Class A:
Proceeds from Shares Issued 351,623 678,539 36,964 58,769
Reinvestment of Dividends & Distributions 4,127 16,943 14,133 14,572
Cost of Shares Redeemed (925,765) (992,030) (25,159) (48,286)
- ----------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions (570,015) (296,548) 25,938 25,055
- ----------------------------------------------------------------------------------------------------------
Class I:
Proceeds from Shares Issued 3,946 5,995 -- --
Reinvestment of Dividends & Distributions -- 109 -- --
Cost of Shares Redeemed (6,932) (8,152) -- --
- ----------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class I Transactions (2,986) (2,048) -- --
- ----------------------------------------------------------------------------------------------------------
Class Y:
Proceeds from Shares Issued -- -- -- --
Reinvestment of Dividends & Distributions -- -- -- --
Cost of Shares Redeemed -- -- -- --
- ----------------------------------------------------------------------------------------------------------
Decrease in Net Assets Derived
from Class Y Transactions -- -- -- --
- ----------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions (573,001) (298,596) 25,938 25,055
- ----------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (315,243) 159,365 46,435 54,660
- ----------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR/PERIOD 4,034,036 3,874,671 269,519 214,859
- ----------------------------------------------------------------------------------------------------------
END OF YEAR/PERIOD $ 3,718,793 $ 4,034,036 $ 315,954 $ 269,519
- ----------------------------------------------------------------------------------------------------------
UNDISTRIBUTED NET INVESTMENT INCOME/
(DISTRIBUTION IN EXCESS OF NET INVESTMENT
(ACCUMULATED NET INVESTMENT LOSS)
INCLUDED IN NET ASSETS AT PERIOD END $ 446 $ 632 $ 8 $ --
- ----------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------
SMALL CAP SMALL CAP
VALUE FUND GROWTH FUND
- ----------------------------------------------------------------------------------------------------------
10/1/05 10/1/04 10/1/05 10/1/04
to 3/31/06 to 9/30/05 to 3/31/06 to 9/30/05
- ----------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income (Loss) $ 455 $ 2,739 $ (2,492) $ (6,167)
Net Realized Gain from Investments,
Futures Contracts, Written Options and
Swap Contracts 73,088 120,394 71,961 103,912
Net Realized Loss on Foreign Currency
Transactions -- -- (3) (112)
Net Change in Unrealized Appreciation
(Depreciation) on Investments,
Futures Contracts, Written Options and
Swap Contracts 50,042 72,742 100,346 74,132
Net Change in Unrealized Appreciation
on Foreign Currencies and Translation
of Other Assets and Liabilities
Denominated in Foreign Currency -- -- -- --
Payment by Affiliate* -- -- -- --
- ----------------------------------------------------------------------------------------------------------
Net Increase in Net Assets
from Operations 123,585 195,875 169,812 171,765
- ----------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (2,083) (2,588) -- --
Class I (10) (9) -- --
Class Y -- -- -- --
Net Realized Gains:
Class A (110,921) (145,253) -- --
Class I (1,326) (1,314) -- --
- ----------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (114,340) (149,164) -- --
- ----------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS(1):
Class A:
Proceeds from Shares Issued 121,565 249,447 167,160 281,272
Reinvestment of Dividends & Distributions 108,033 140,124 -- --
Cost of Shares Redeemed (146,276) (311,616) (175,576) (363,804)
- ----------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 83,322 77,955 (8,416) (82,532)
- ----------------------------------------------------------------------------------------------------------
Class I:
Proceeds from Shares Issued 2,812 6,593 1,887 5,104
Reinvestment of Dividends & Distributions 1,318 1,308 -- --
Cost of Shares Redeemed (2,446) (3,102) (1,548) (4,136)
- ----------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class I Transactions 1,684 4,799 339 968
- ----------------------------------------------------------------------------------------------------------
Class Y:
Proceeds from Shares Issued -- -- -- --
Reinvestment of Dividends & Distributions -- -- -- --
Cost of Shares Redeemed -- -- -- --
- ----------------------------------------------------------------------------------------------------------
Decrease in Net Assets Derived
from Class Y Transactions -- -- -- --
- ----------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions 85,006 82,754 (8,077) (81,564)
- ----------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 94,251 129,465 161,735 90,201
- ----------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR/PERIOD 1,078,902 949,437 1,069,490 979,289
- ----------------------------------------------------------------------------------------------------------
END OF YEAR/PERIOD $ 1,173,153 $ 1,078,902 $ 1,231,225 $ 1,069,490
- ----------------------------------------------------------------------------------------------------------
UNDISTRIBUTED NET INVESTMENT INCOME/
(DISTRIBUTION IN EXCESS OF NET INVESTMENT
INCOME)/(ACCUMULATED NET INVESTMENT LOSS)
INCLUDED IN NET ASSETS AT PERIOD END $ (984) $ 654 $ (2,605) $ (113)
- ----------------------------------------------------------------------------------------------------------
Amounts 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 $306,542 due to in-kind redemption (see note 9).
(3) Includes redemptions as a result of in-kind transaction of securities (see
note 9).
(4) The Large Cap Diversified Alpha Fund commenced operations on December 14,
2005.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
131 &132 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
STATEMENTS OF CHANGES IN NET ASSETS ($ Thousands)
For the six month period ended March 31, 2006 (Unaudited) and the period ended
September 30, 2005
- -------------------------------------------------------------------------------------------------------------------------------
U.S. MANAGED
MID-CAP FUND VOLATILITY FUND (2)
- -------------------------------------------------------------------------------------------------------------------------------
10/1/05 10/1/04 10/1/05 10/28/04
to 3/31/06 to 9/30/05 to 3/31/06 to 9/30/05
- -------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 341 $ 176 $ 927 $ 909
Net Realized Gain (Loss) on Investments, Options, Written Options,
Futures Contracts and Swap Contracts 5,507 8,565 2,052 2,303
Net Realized Gain (Loss) on Foreign Currency Transactions -- -- -- --
Net Change in Unrealized Appreciation (Depreciation)
on Investments, Options, Written Options,
Futures Contracts and Swap Contracts 4,981 4,995 6,905 8,500
Net Change in Unrealized Appreciation on
Foreign Currencies and Translation of
Other Assets and Liabilities Denominated
in Foreign Currency -- -- -- --
Payment by Affiliate* -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 10,829 13,736 9,884 11,712
- -------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (369) (174) (1,208) (631)
Class I -- -- -- --
Class Y -- -- -- --
Net Realized Gains:
Class A (6,635) (5,707) (2,511) (10)
Class I -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (7,004) (5,881) (3,719) (641)
- -------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS(1):
Class A:
Proceeds from Shares Issued 46,440 51,196 85,488 164,307(3)
Reinvestment of Dividends & Distributions 6,433 5,126 3,662 634
Cost of Shares Redeemed (13,726) (46,657) (23,269) (15,965)
- -------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 39,147 9,665 65,881 148,976
- -------------------------------------------------------------------------------------------------------------------------------
Class I:
Proceeds from Shares Issued -- -- -- --
Reinvestment of Dividends & Distributions -- -- -- --
Cost of Shares Redeemed -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Increase in Net Assets Derived
from Class I Transactions -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions 39,147 9,665 65,881 148,976
- -------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 42,972 17,520 72,046 160,047
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR/PERIOD 71,162 53,642 160,047 --
- -------------------------------------------------------------------------------------------------------------------------------
END OF YEAR/PERIOD $ 114,134 $ 71,162 $ 232,093 $ 160,047
- -------------------------------------------------------------------------------------------------------------------------------
UNDISTRIBUTED NET INVESTMENT INCOME/
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME) INCLUDED IN
NET ASSETS AT PERIOD END $ 32 $ 60 $ 26 $ 307
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE CORE FIXED
FUND INCOME FUND
- -------------------------------------------------------------------------------------------------------------------------------
10/1/05 10/1/04 10/1/05 10/28/04
to 3/31/06 to 9/30/05 to 3/31/06 to 9/30/05
- -------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 1,177 $ 1,299 $ 86,569 $ 156,497
Net Realized Gain (Loss) on Investments, Options, Written Options,
Futures Contracts and Swap Contracts 4,864 3,078 (43,039) 24,010
Net Realized Gain (Loss) on Foreign Currency Transactions -- -- (1,081) 469
Net Change in Unrealized Appreciation (Depreciation)
on Investments, Options, Written Options,
Futures Contracts and Swap Contracts 18,327 11,944 (44,432) (68,716)
Net Change in Unrealized Appreciation on
Foreign Currencies and Translation of
Other Assets and Liabilities Denominated
in Foreign Currency -- -- 247 10
Payment by Affiliate* -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 24,368 16,321 (1,736) 112,270
- -------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (1,718) (1,134) (90,316) (159,782)
Class I -- -- (260) (423)
Class Y -- -- -- --
Net Realized Gains:
Class A (2,301) (1,045) (13,424) (35,292)
Class I -- -- (40) (93)
- -------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (4,019) (2,179) (104,040) (195,590)
- -------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS(1):
Class A:
Proceeds from Shares Issued 43,340 68,657 547,781 921,351
Reinvestment of Dividends & Distributions 3,882 2,109 97,435 182,677
Cost of Shares Redeemed (20,343) (23,511) (504,857) (994,004)
- -------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 26,879 47,255 140,359 110,024
- -------------------------------------------------------------------------------------------------------------------------------
Class I:
Proceeds from Shares Issued -- -- 2,555 5,179
Reinvestment of Dividends & Distributions -- -- 299 509
Cost of Shares Redeemed -- -- (2,824) (2,887)
- -------------------------------------------------------------------------------------------------------------------------------
Increase in Net Assets Derived
from Class I Transactions -- -- 30 2,801
- -------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions 26,879 47,255 140,389 112,825
- -------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 47,228 61,397 34,613 29,505
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR/PERIOD 96,405 35,008 4,106,990 4,077,485
- -------------------------------------------------------------------------------------------------------------------------------
END OF YEAR/PERIOD $ 143,633 $ 96,405 $4,141,603 $4,106,990
- -------------------------------------------------------------------------------------------------------------------------------
UNDISTRIBUTED NET INVESTMENT INCOME/
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME) INCLUDED IN
NET ASSETS AT PERIOD END $ (57) $ 484 $ 1,588 $ 1,066
- -------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------
HIGH YIELD
BOND FUND
- ---------------------------------------------------------------------------------------------------
10/1/05 10/1/04
to 3/31/06 to 9/30/05
- ---------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 48,172 $ 100,497
Net Realized Gain (Loss) on Investments, Options, Written Options,
Futures Contracts and Swap Contracts (33,673) 6,127
Net Realized Gain (Loss) on Foreign Currency Transactions -- --
Net Change in Unrealized Appreciation (Depreciation)
on Investments, Options, Written Options,
Futures Contracts and Swap Contracts 21,271 (21,064)
Net Change in Unrealized Appreciation on
Foreign Currencies and Translation of
Other Assets and Liabilities Denominated
in Foreign Currency -- --
Payment by Affiliate* 3 --
- ---------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 35,773 85,560
- ---------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (48,246) (100,331)
Class I -- --
Class Y -- --
Net Realized Gains:
Class A -- --
Class I -- --
- ---------------------------------------------------------------------------------------------------
Total Dividends and Distributions (48,246) (100,331)
- ---------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS(1):
Class A:
Proceeds from Shares Issued 288,680 717,406
Reinvestment of Dividends & Distributions 44,111 94,053
Cost of Shares Redeemed (907,046) (394,321)
- ---------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions (574,255) 417,138
- ---------------------------------------------------------------------------------------------------
Class I:
Proceeds from Shares Issued -- --
Reinvestment of Dividends & Distributions -- --
Cost of Shares Redeemed -- --
- ---------------------------------------------------------------------------------------------------
Increase in Net Assets Derived
from Class I Transactions -- --
- ---------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions (574,255) 417,138
- ---------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (586,728) 402,367
- ---------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR/PERIOD 1,599,921 1,197,554
- ---------------------------------------------------------------------------------------------------
END OF YEAR/PERIOD $1,013,193 $1,599,921
- ---------------------------------------------------------------------------------------------------
UNDISTRIBUTED NET INVESTMENT INCOME/
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME) INCLUDED IN
NET ASSETS AT PERIOD END $ 16 $ 90
- ---------------------------------------------------------------------------------------------------
Amounts designated as "--" are $0 or have been rounded to $0.
* See Note 3 in Notes to Financial Statements.
(1) See Note 4 in the notes to financial statements for additional
information.
(2) The U.S. Managed Volatility commenced operations on October 28, 2004.
(3) 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.
- --------------------------------------------------------------------------------
134 & 135 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
FINANCIAL HIGHLIGHTS
For the period ended March 31, 2006 (Unaudited) and the periods ended September 30,
For a Share Outstanding Throughout the Periods
- ---------------------------------------------------------------------------------------------------------------------------------
Net
Realized
and Distributions
Net Asset Net Unrealized Dividends from Total
Value, Investment Gains from Net Realized Dividends
Beginning Income (Losses) on Total from Investment Capital and
of Period (Loss) Securities Operations Income Gains Distributions
- ---------------------------------------------------------------------------------------------------------------------------------
LARGE CAP DIVERSIFIED ALPHA FUND
Class A
2006(2)* $10.00 $ 0.04(1) $ 0.24(1) $ 0.28 $(0.03) $ -- $ (0.03)
TAX-MANAGED LARGE CAP FUND
Class A
2006* $11.78 $ 0.06(1) $ 0.72(1) $ 0.78 $(0.07) $ -- $ (0.07)
2005 10.41 0.12(1) 1.37(1) 1.49 (0.12) -- (0.12)
2004 9.20 0.08(1) 1.21(1) 1.29 (0.08) -- (0.08)
2003 7.50 0.08(1) 1.70(1) 1.78 (0.08) -- (0.08)
2002 9.49 0.06 (1.98) (1.92) (0.07) -- (0.07)
2001 13.62 0.07 (4.13) (4.06) (0.07) -- (0.07)
Class Y
2006* $11.86 $ 0.07(1) $ 0.74(1) $ 0.81 $(0.08) $ -- $ (0.08)
2005 10.45 0.16(1) 1.38(1) 1.54 (0.13) -- (0.13)
2004 9.21 0.12(1) 1.20(1) 1.32 (0.08) -- (0.08)
2003 7.50 0.10(1) 1.71(1) 1.81 (0.10) -- (0.10)
2002(3) 10.45 0.05 (2.98) (2.93) (0.02) -- (0.02)
LARGE CAP VALUE FUND
Class A
2006* $22.45 $ 0.18(1) $ 1.21(1) $ 1.39 $(0.27) $ (1.32) $ (1.59)
2005 19.80 0.35(1) 2.76(1) 3.11 (0.34) (0.12) (0.46)
2004 16.81 0.30(1) 2.99(1) 3.29 (0.30) -- (0.30)
2003 13.94 0.25(1) 2.86(1) 3.11 (0.24) -- (0.24)
2002 17.39 0.21 (3.26) (3.05) (0.21) (0.19) (0.40)
2001 18.70 0.21 (1.14) (0.93) (0.22) (0.16) (0.38)
Class I
2006* $22.43 $ 0.16(1) $ 1.21(1) $ 1.37 $(0.23) $ (1.32) $ (1.55)
2005 19.78 0.29(1) 2.77(1) 3.06 (0.29) (0.12) (0.41)
2004 16.80 0.25(1) 2.98(1) 3.23 (0.25) -- (0.25)
2003 13.94 0.21(1) 2.86(1) 3.07 (0.21) -- (0.21)
2002 17.39 0.19 (3.28) (3.09) (0.17) (0.19) (0.36)
2001(4) 19.38 0.03 (2.02) (1.99) -- -- --
LARGE CAP GROWTH FUND
Class A
2006* $19.23 $ 0.02(1) $ 1.25(1) $ 1.27 $(0.02) $ -- $ (0.02)
2005 17.13 0.09(1) 2.09(1) 2.18 (0.08) -- (0.08)
2004 15.77 (0.01)(1) 1.37(1) 1.36 -- -- --
2003 12.97 --(1) 2.81(1) 2.81 (0.01)(10) -- (0.01)(10)
2002 16.73 (0.04)(1) (3.72)(1) (3.76) -- -- --
2001 36.24 (0.06) (17.75) (17.81) -- (1.70) (1.70)
Class I
2006* $19.04 $ --(1) $ 1.25(1) $ 1.25 $ -- $ -- $ --
2005 17.00 0.04(1) 2.07(1) 2.11 (0.07) -- (0.07)
2004 15.68 (0.05)(1) 1.37(1) 1.32 -- -- --
2003 12.92 (0.03)(1) 2.79(1) 2.76 --** -- --**
2002 16.72 (0.07)(1) (3.73)(1) (3.80) -- -- --
2001(4) 20.60 (0.01) (3.87) (3.88) -- -- --
TAX-MANAGED SMALL CAP FUND
Class A
2006* $13.13 $ --(1) $ 1.60(1) $ 1.60 $ -- $ (0.72) $ (0.72)
2005 11.63 (0.02)(1) 2.36(1) 2.34 -- (0.84) (0.84)
2004 10.00 (0.04)(1) 1.67(1) 1.63 -- -- --
2003 7.54 (0.02)(1) 2.48(1) 2.46 -- -- --
2002 8.15 (0.01) (0.60) (0.61) -- -- --
2001(5) 10.00 -- (1.84) (1.84) (0.01)(10) -- (0.01)(10)
SMALL CAP VALUE FUND
Class A
2006* $21.58 $ 0.01(1) $ 2.29(1) $ 2.30 $(0.04) $ (2.26) $ (2.30)
2005 20.74 0.06(1) 4.02(1) 4.08 (0.05) (3.19) (3.24)
2004 17.45 0.03(1) 4.32(1) 4.35 (0.06) (1.00) (1.06)
2003 13.99 0.08(1) 3.91(1) 3.99 (0.09) (0.44) (0.53)
2002 15.66 0.08 (0.21) (0.13) (0.09) (1.45) (1.54)
2001 16.13 0.13 0.36 0.49 (0.14) (0.82) (0.96)
Class I
2006* $21.52 $ (0.02)(1) $ 2.43(1) $ 2.41 $(0.16) $ (2.26) $ (2.42)
2005 20.71 (0.01)(1) 4.03(1) 4.02 (0.02) (3.19) (3.21)
2004 17.44 (0.02)(1) 4.31(1) 4.29 (0.02) (1.00) (1.02)
2003 13.99 0.04(1) 3.90(1) 3.94 (0.05) (0.44) (0.49)
2002(6) 16.47 0.02 (2.49) (2.47) (0.01) -- (0.01)
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of
Ratio of Expenses
Expenses to Average Ratio of Net
to Average Net Assets Investment
Ratio of Net Assets (Excluding Income
Net Asset Net Assets Expenses (Excluding Fees Paid (Loss) Portfolio
Value, End Total End of Period to Average Fees Paid Indirectly to Average Turnover
of Period Return+ ($Thousands) Net Assets Indirectly) and Waivers) Net Assets Rate+
- ------------------------------------------------------------------------------------------------------------------------------------
LARGE CAP DIVERSIFIED ALPHA FUND
Class A
2006(2)* $10.25 2.82% $ 927,383 1.05% 1.05% 1.13% 1.19% 23%
TAX-MANAGED LARGE CAP FUND
Class A
2006* $12.49 6.68% $2,342,848 0.86% 0.86% 1.02% 0.92% 52%
2005 11.78 14.40 2,172,885 0.86 0.86 1.02 1.08 31
2004 10.41 14.05 1,977,883 0.85 0.85 1.02 0.83 29
2003 9.20 23.84 1,757,292 0.85 0.85 1.02 0.85 99
2002 7.50 (20.44) 1,436,467 0.85 0.85 1.03 0.65 80
2001 9.49 (29.92) 1,658,097 0.85 0.85 1.01 0.60 84
Class Y
2006* $12.59 6.85% $ 5,212 0.56% 0.56% 0.72% 1.22% 52%
2005 11.86 14.78 5,067 0.56 0.56 0.72 1.39 31
2004 10.45 14.41 4,909 0.55 0.55 0.72 1.13 29
2003 9.21 24.26 3,834 0.55 0.55 0.72 1.17 99
2002(3) 7.50 (28.05) 2,631 0.55 0.55 0.72 1.03 80
LARGE CAP VALUE FUND
Class A
2006* $22.25 6.74% $3,827,240 0.86% 0.86% 0.97% 1.71% 38%
2005 22.45 15.87 4,230,717 0.86 0.86 0.97 1.63 44
2004 19.80 19.66 4,153,475 0.85 0.85 0.97 1.59 46
2003 16.81 22.55 3,527,686 0.85 0.85 0.97 1.61 106
2002 13.94 (18.06) 2,896,977 0.85 0.85 0.97 1.23 41
2001 17.39 (5.08) 3,590,194 0.85 0.85 0.97 1.11 89
Class I
2006* $22.25 6.65% $ 27,720 1.11% 1.11% 1.22% 1.45% 38%
2005 22.43 15.61 24,735 1.11 1.11 1.22 1.37 44
2004 19.78 19.33 20,180 1.10 1.10 1.22 1.33 46
2003 16.80 22.17 9,086 1.10 1.10 1.22 1.36 106
2002 13.94 (18.24) 6,175 1.10 1.10 1.22 1.01 41
2001(4) 17.39 (10.27) 152 1.10 1.10 1.22 1.09 89
LARGE CAP GROWTH FUND
Class A
2006* $20.48 6.62% $3,690,430 0.86% 0.86% 1.02% 0.22% 58%
2005 19.23 12.75 4,004,347 0.86 0.86 1.02 0.47 52
2004 17.13 8.62 3,846,240 0.85 0.85 1.02 (0.03) 36
2003 15.77 21.66 3,564,487 0.85 0.85 1.02 0.02 72
2002 12.97 (22.47) 2,904,802 0.85 0.85 1.02 (0.21) 62
2001 16.73 (51.08) 3,487,142 0.85 0.85 1.03 (0.29) 112
Class I
2006* $20.29 6.57% $ 28,363 1.11% 1.11% 1.27% (0.03)% 58%
2005 19.04 12.42 29,689 1.11 1.11 1.27 0.22 52
2004 17.00 8.42 28,431 1.10 1.10 1.27 (0.28) 36
2003 15.68 21.37 12,323 1.10 1.10 1.27 (0.24) 72
2002 12.92 (22.73) 7,934 1.10 1.10 1.27 (0.41) 62
2001(4) 16.72 (18.83) 81 1.10 1.10 1.28 (0.45) 112
TAX-MANAGED SMALL CAP FUND
Class A
2006* $14.01 12.83% $ 315,954 1.11% 1.11% 1.27% 0.01% 38%
2005 13.13 20.80 269,519 1.11 1.11 1.27 (0.17) 99
2004 11.63 16.30 214,859 1.10 1.10 1.27 (0.31) 86
2003 10.00 32.63 181,773 1.10 1.10 1.27 (0.21) 142
2002 7.54 (7.48) 143,764 1.10 1.10 1.26 (0.21) 86
2001(5) 8.15 (18.46) 125,129 1.10 1.10 1.30 (0.04) 82
SMALL CAP VALUE FUND
Class A
2006* $21.58 11.76% $1,158,622 1.11% 1.11% 1.27% 0.09% 37%
2005 21.58 21.21 1,066,189 1.11 1.11 1.27 0.27 71
2004 20.74 25.67 942,037 1.10 1.10 1.27 0.17 89
2003 17.45 29.28 795,501 1.10 1.10 1.27 0.52 99
2002 13.99 (2.20) 691,668 1.10 1.10 1.27 0.46 48
2001 15.66 3.12 794,109 1.10 1.10 1.26 0.78 99
Class I
2006* $21.51 11.61% $ 14,531 1.36% 1.36% 1.52% (0.16)% 37%
2005 21.52 20.88 12,713 1.36 1.36 1.52 (0.03) 71
2004 20.71 25.29 7,400 1.35 1.35 1.52 (0.09) 89
2003 17.44 28.91 2,572 1.35 1.35 1.52 0.23 99
2002(6) 13.99 (14.99) 727 1.35 1.35 1.52 0.21 48
- --------------------------------------------------------------------------------
136 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- ---------------------------------------------------------------------------------------------------------------------------------
Net
Realized
and Distributions
Net Asset Net Unrealized Dividends from Total
Value, Investment Gains from Net Realized Dividends
Beginning Income (Losses) on Total from Investment Capital and
of Period (Loss) Securities Operations Income Gains Distributions
- ---------------------------------------------------------------------------------------------------------------------------------
SMALL CAP GROWTH FUND
Class A
2006* $17.86 $ (0.04)(1) $ 2.90(1) $ 2.86 $ -- $ -- $ --
2005 15.14 (0.10)(1) 2.82(1) 2.72 -- -- --
2004 14.11 (0.10)(1) 1.13(1) 1.03 -- -- --
2003 9.62 (0.08)(1) 4.57(1) 4.49 -- -- --
2002 12.35 (0.09)(1) (2.64)(1) (2.73) -- -- --
2001 30.57 (0.14) (10.81) (10.95) -- (7.27) (7.27)
Class I
2006* $17.67 $ (0.06)(1) $ 2.86(1) $ 2.80 $ -- $ -- $ --
2005 15.02 (0.14)(1) 2.79(1) 2.65 -- -- --
2003 9.59 (0.11)(1) 4.55(1) 4.44 -- -- --
2002 12.35 (0.08)(1) (2.68)(1) (2.76) -- -- --
2001(4) 15.59 (0.02) (3.22) (3.24) -- -- --
MID-CAP FUND
Class A
2006* $20.29 $ 0.07(1) $ 2.03(1) $ 2.10 $ (0.08) $(1.40) $(1.48)
2005 17.84 0.06(1) 4.61(1) 4.67 (0.06) (2.16) (2.22)
2004 14.96 0.09(1) 3.19(1) 3.28 (0.11) (0.29) (0.40)
2003 11.74 0.11(1) 3.25(1) 3.36 (0.08) (0.06) (0.14)
2002 12.19 0.06 (0.46)(9) (0.40) (0.05) -- (0.05)
2001 17.42 0.07 (3.22) (3.15) (0.08) (2.00) (2.08)
U.S. MANAGED VOLATILITY FUND
Class A
2006* $11.41 $ 0.05(1) $ 0.43(1) $ 0.48 $ (0.07) $(0.15) $(0.22)
2005(7) 10.00 0.10(1) 1.39(1) 1.49 (0.08) --** (0.08)
REAL ESTATE FUND
Class A
2006* $14.86 $ 0.16(1) $ 2.99(1) $ 3.15 $ (0.24) $(0.32) $(0.56)
2005 11.89 0.27(1) 3.22(1) 3.49 (0.26) (0.26) (0.52)
2004(8) 10.00 0.21(1) 1.85(1) 2.06 (0.17) -- (0.17)
CORE FIXED INCOME FUND
Class A
2006* $10.44 $ 0.22(1) $ (0.24)(1) $ (0.02) $ (0.22) $(0.03) $(0.25)
2005 10.65 0.40(1) (0.11)(1) 0.29 (0.41) (0.09) (0.50)
2004 10.71 0.37(1) 0.08(1) 0.45 (0.38) (0.13) (0.51)
2003 10.67 0.40(1) 0.28(1) 0.68 (0.42) (0.22) (0.64)
2002 10.75 0.52 0.08 0.60 (0.52) (0.16) (0.68)
2001 10.08 0.61 0.67 1.28 (0.61) -- (0.61)
Class I
2006* $10.43 $ 0.20(1) $ (0.22)(1) $ (0.02) $ (0.21) $(0.03) $(0.24)
2005 10.65 0.38(1) (0.12)(1) 0.26 (0.39) (0.09) (0.48)
2004 10.71 0.34(1) 0.09(1) 0.43 (0.36) (0.13) (0.49)
2003 10.67 0.37(1) 0.28(1) 0.65 (0.39) (0.22) (0.61)
2002 10.76 0.49 0.07 0.56 (0.49) (0.16) (0.65)
2001(4) 10.60 0.08 0.16 0.24 (0.08) -- (0.08)
HIGH YIELD BOND FUND
Class A
2006* $ 8.50 $ 0.31(1) $ (0.03)(1) $ 0.28 $ (0.32) $ -- $(0.32)
2005 8.58 0.64(1) (0.08)(1) 0.56 (0.64) -- (0.64)
2004 8.37 0.67(1) 0.21(1) 0.88 (0.67) -- (0.67)
2003 7.60 0.68(1) 0.77(1) 1.45 (0.68) -- (0.68)
2002 7.86 0.70 (0.26) 0.44 (0.70) -- (0.70)
2001 9.15 0.88 (1.29) (0.41) (0.88) -- (0.88)
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of
Ratio of Expenses
Expenses to Average Ratio of Net
to Average Net Assets Investment
Ratio of Net Assets (Excluding Income
Net Asset Net Assets Expenses (Excluding Fees Paid (Loss) Portfolio
Value, End Total End of Period to Average Fees Paid Indirectly to Average Turnover
of Period Return+ ($Thousands) Net Assets Indirectly) and Waivers) Net Assets Rate+
- ------------------------------------------------------------------------------------------------------------------------------------
SMALL CAP GROWTH FUND
Class A
2006* $20.72 16.01% $1,218,038 1.11% 1.11% 1.27% (0.44)% 52%
2005 17.86 17.97 1,058,413 1.11 1.11 1.27 (0.60) 116
2004 15.14 7.30 970,759 1.10 1.10 1.27 (0.63) 124
2003 14.11 46.67 875,906 1.10 1.10 1.27 (0.66) 166
2002 9.62 (22.11) 606,999 1.10 1.10 1.27 (0.69) 156
2001 12.35 (42.83) 821,391 1.10 1.10 1.29 (0.80) 157
Class I
2006* $20.47 15.85% $ 13,187 1.36% 1.36% 1.52% (0.69)% 52%
2005 17.67 17.64 11,077 1.36 1.36 1.52 (0.85) 124
2003 14.03 46.30 5,339 1.35 1.35 1.52 (0.91) 166
2002 9.59 (22.35) 1,879 1.35 1.35 1.53 (0.71) 156
2001(4) 12.35 (20.78) 46 1.35 1.35 1.54 (1.12) 157
MID-CAP FUND
Class A
2006* $20.91 10.95% $ 114,134 1.01% 1.01% 1.02% 0.72% 43%
2005 20.29 28.15 71,162 1.01 1.01 1.03 0.30 137
2004 17.84 22.23 53,642 1.00 1.00 1.02 0.53 121
2003 14.96 28.92 41,502 1.00 1.00 1.03 0.86 109
2002 11.74 (3.34) 25,499 1.00 1.00 1.02 0.39 222
2001 12.19 (19.59) 32,976 1.00 1.00 1.02 0.51 193
U.S. MANAGED VOLATILITY FUND
Class A
2006* $11.67 4.30% $ 232,093 1.11% 1.11% 1.27% 0.95% 65%
2005(7) 11.41 14.94 160,047 1.11 1.11 1.27 1.03 102
REAL ESTATE FUND
Class A
2006* $17.45 21.79% $ 143,633 1.11% 1.11% 1.27% 2.04% 29%
2005 14.86 29.97 96,405 1.11 1.11 1.27 1.95 58
2004(8) 11.89 20.82 35,008 1.10 1.10 1.30 2.20 98
CORE FIXED INCOME FUND
Class A
2006* $10.17 (0.09)% $4,128,917 0.63% 0.63% 0.82% 4.22% 261%
2005 10.44 2.83 4,094,011 0.61 0.61 0.84 3.83 557
2004 10.65 4.38 4,067,065 0.61*** 0.61*** 0.84 3.52 430
2003 10.71 6.63 3,823,429 0.60 0.60 0.84 3.77 470
2002 10.67 5.89 3,686,946 0.60 0.60 0.84 4.96 379
2001 10.75 13.00 3,519,061 0.60 0.60 0.84 5.79 358
Class I
2006* $10.17 (0.12)% $ 12,686 0.88% 0.88% 1.07% 3.97% 261%
2005 10.43 2.48 12,979 0.86 0.86 1.09 3.60 557
2004 10.65 4.12 10,420 0.86*** 0.86*** 1.09 3.25 430
2003 10.71 6.37 5,931 0.85 0.85 1.09 3.46 470
2002 10.67 5.53 4,268 0.85 0.85 1.09 4.52 379
2001(4) 10.76 2.28 86 0.85 0.85 1.09 5.01 358
HIGH YIELD BOND FUND
Class A
2006* $ 8.46 3.32% $1,013,193 0.86% 0.86% 1.11% 7.47% 71%
2005 8.50 6.71 1,599,921 0.86 0.86 1.12 7.46 132
2004 8.58 10.84 1,197,554 0.85 0.85 1.11 7.84 179
2003 8.37 19.88 976,659 0.85 0.85 1.12 8.50 129
2002 7.60 5.45 745,525 0.85 0.85 1.12 8.67 126
2001 7.86 (4.76) 721,314 0.85 0.85 1.12 10.27 105
+ Returns and turnover rates are for the period indicated and have not been
annualized.
* For the six month period ended March 31, 2006. All ratios for the period
have 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 December 14, 2005. All ratios for the period have
been annualized.
(3) Commenced operations on April 8, 2002. All ratios for the period have been
annualized.
(4) Commenced operations on August 6, 2001. All ratios for the period have
been annualized.
(5) Commenced operations on October 31, 2000. All ratios for the period have
been annualized.
(6) Commenced operations on February 11, 2002. All ratios for the period have
been annualized.
(7) Commenced operations on October 28, 2004. All ratios for the period have
been annualized.
(8) Commenced operations on November 13, 2003. All ratios for the period have
been annualized.
(9) 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.
(10) 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 / Semi-Annual Report / March 31, 2006 137
NOTES TO FINANCIAL STATEMENTS (Unaudited)
March 31, 2006
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 15 Funds: Large Cap Diversified Alpha,
Tax-Managed Large Cap, Large Cap Value, Large Cap Growth, Tax-Managed Small Cap,
Small Cap Value, Small Cap Growth, Mid-Cap, U.S. Managed Volatility, Real
Estate, Core Fixed Income, High Yield Bond, Enhanced Income, Global Managed
Volatility 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 Diversified Alpha, Large Cap Value, Large Cap Growth,
Small Cap Value, Small Cap Growth, Small/Mid Cap Equity, Mid-Cap and Core Fixed
Income Funds, and Class Y shares of Tax-Managed Large Cap Fund. The assets of
each Fund are segregated, and a shareholder's interest is limited to the Fund in
which shares are held. The Funds' prospectuses provide a description of each
Fund's investment objective, policies, and strategies.
As of March 31, 2006, the Small/Mid Cap Equity, Enhanced Income and Global
Managed Volatility 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
- --------------------------------------------------------------------------------
138 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
basis of specific identification. Dividend income is recognized on the
ex-dividend date, and interest income is recognized using the accrual basis of
accounting.
Distributions received on securities that represent a return of capital or
capital gain are recorded as a reduction of cost of investments and/or as a
realized gain. The trust estimates the components of distributions received that
may be considered nontaxable distributions or capital gain distributions.
Amortization and accretion is calculated using the scientific interest method,
which approximates the effective interest method over the holding period of the
security. Amortization of premiums and discounts is included in interest income.
REPURCHASE AGREEMENTS -- Securities pledged as collateral for repurchase
agreements are held by each Fund's custodian bank until the repurchase date of
the repurchase agreement. The Funds also invest in tri-party repurchase
agreements. Securities held as collateral for tri-party repurchase agreements
are maintained by the broker's custodian bank in a segregated account until the
repurchase date of the repurchase agreement. Provisions of the repurchase
agreements and the Trust's policies require that the market value of the
collateral, including accrued interest thereon, is sufficient in the event of
default by the counterparty. Tri-Party Repurchase agreements purchased as
collateral for securities on loan are maintained by the securities lending agent
(see note 7). 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. The Core
Fixed Income Fund may also engage in currency transactions to enhance the Fund's
returns. All commitments are "marked-to-market" daily at the applicable foreign
exchange rate, and any resulting unrealized gains or losses are recorded
currently. The 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
period ended March 31, 2006 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 period ended March 31, 2006. 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 may use futures contracts for tactical hedging purposes as well as to
enhance the Fund's returns. 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.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 139
NOTES TO FINANCIAL STATEMENTS (Unaudited)(Continued)
March 31, 2006
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. The Core Fixed Income Fund may also invest
in financial option contracts to enhance the Fund's returns. When the Fund
writes or purchases an option, an amount equal to the premium received or paid
by the Fund is recorded as a liability or an asset and is subsequently adjusted
to the current market value of the option written or purchased. Premiums
received or paid from writing or purchasing options which expire unexercised are
treated by the Fund on the expiration date as realized gains or losses. The
difference between the premium and the amount paid or received on effecting a
closing purchase or sale transaction, including brokerage commissions, is also
treated as a realized gain or loss. If an option is exercised, the premium paid
or received is added to the cost of the purchase or proceeds from the sale in
determining whether the Fund has realized a gain or a loss on investment
transactions. The Large Cap Diversified Alpha and Core Fixed Income Funds had
option contracts as of March 31, 2006 as disclosed in the Funds' Statement of
Net Assets or 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 six month period ended March
31, 2006 are summarized as follows:
- ------------------------------------------------------------------------------
Large Cap Diversified Alpha Core Fixed Income
- ------------------------------------------------------------------------------
# of Premium # of Premium
Contracts ($Thousands) Contracts ($Thousands)
- ------------------------------------------------------------------------------
Balance at the
beginning of period -- $ -- 812 $ 332
Written 98 69 1,649 800
Expired -- -- (706) (276)
Closing Buys -- -- (444) (182)
- ------------------------------------------------------------------------------
Balance at the
end of period 98 $ 69 1,311 $ 674
==============================================================================
At March 31, 2006 the Large Cap Diversified Alpha and Core Fixed Income Funds
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. Total return swaps allow an investor to benefit
from the cash flow without ever actually owning the underlying security. The
receiver must pay any decline in value to the payer at the end of the total
return swap. However, the investor does not need to make a payment if there is
no decline in price. Payments can be made on various indices, bonds (i.e.
mortgage backed securities, bank debt and corporate), loans or commodities. The
value of a total return swap is equal to the change in value of the underlying
asset versus the accrued income payment based on LIBOR or some other form of
indices on the notional amount. 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
- --------------------------------------------------------------------------------
140 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
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 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 March 31, 2006, the following Fund 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 Fund has 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 March 31, 2006, were as follows:
NUMBER ACQUISITION RIGHT TO ACQUIRE COST MARKET VALUE % OF NET
OF SHARES DATE DATE ($THOUSANDS) ($THOUSANDS) ASSETS
- --------------------------------------------------------------------------------------------------------------
SMALL CAP GROWTH FUND
Parkervision Warrants 17,500 06/20/05 06/20/05 $ 36 $ 86 0.0%
Synenco Energy 37,852 08/19/05 08/19/05 530 632 0.1
Spatialight 100,000 01/12/06 01/12/06 262 319 0.0
---- ------ ----
$828 $1,037 0.1%
==== ====== ====
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment
income are declared and paid to shareholders quarterly for the Large Cap
Diversified Alpha, Tax-Managed Large Cap, Large Cap Value, Large Cap Growth,
Tax-Managed Small Cap, Small Cap Value, Small Cap Growth, Mid-Cap, U.S. Managed
Volatility and Real Estate Funds; and declared daily and paid monthly for the
Core Fixed Income and High Yield Bond Funds. Any net realized capital gains on
sales of securities are distributed to shareholders at least annually. Dividends
and distributions are recorded on the ex-dividend date.
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 AND TRANSFER AGENCY AGREEMENT -- The Trust and SEI Investments
Global Funds Services (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 Large Cap Diversified Alpha, Tax-Managed Large Cap Class A, Large Cap
Value, Large Cap Growth, Tax-Managed Small Cap, Small Cap Value,
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006 141
NOTES TO FINANCIAL STATEMENTS (Unaudited)(Continued)
March 31, 2006
Small Cap Growth, Mid-Cap, U.S. Managed Volatility, Real Estate and High Yield
Bond Funds; 0.15% of average daily net assets of the Tax-Managed Large Cap Class
Y; and 0.28% of the average daily net assets of the Core Fixed Income Fund. The
Administrator has agreed to waive all or a portion of its fee in order to limit
the operating 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, exclu- sive of short sale expenses, 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
- ----------------------------------------------------------------------------
Large Cap Diversified Alpha Fund, Class A 0.4000% 0.9500%(1)
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
U.S. 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 0.6400(2)
Core Fixed Income Fund, Class I 0.2750 0.8900(2)
High Yield Bond Fund, Class A 0.4875 0.8600
(1)Currently this fund has short sale expenses which are excluded from the
expense limitations. The Fund's voluntary expenses for the six months ended
March 31, 2006 were 1.05%.
(2)During the current period the sub-adviser reimbursed sub-adviser fees for the
Fund. This reimbursement resulted in the Fund running below its expense cap.
As of March 31, 2006, SIMC has entered into investment sub-advi- sory agreements
with the following parties:
- ----------------------------------------------------------------------------
Currently Managing
Date of a Portion of Fund
Investment Sub-Adviser Agreement (Y/N)
- ----------------------------------------------------------------------------
LARGE CAP DIVERSIFIED ALPHA FUND
Analytic Investors, Inc. 07/01/03 Y
Aronson + Johnson + Ortiz, LP 10/11/05 Y
Delaware Management Company 10/18/05 Y
Enhanced Investment Technologies, LLC 10/21/05 Y
Quantitative Management Associates LLC 07/01/03 Y
Smith Breeden Associates, Inc. 09/29/05 Y
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
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
LARGE CAP VALUE FUND
Alliance Capital Management LP 10/02/00 Y
Aronson + Johnson + Ortiz, LP 07/01/03 Y
Enhanced Investment Technologies, LLC 03/09/06 Y
LSV Asset Management 03/31/95 Y
LARGE CAP GROWTH FUND
Delaware Management Company 04/27/05 Y
Enhanced Investment Technologies, LLC 10/21/05 Y
Goldman Sachs Asset Management, L.P. 01/24/03 Y
Montag and Caldwell, Inc. 03/12/02 Y
Quantitative 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. 12/09/02 Y
Wellington Management Company, LLP 07/28/03 Y
SMALL CAP GROWTH FUND
Delaware Management Company 07/01/03 Y
Lee Munder Investments, Ltd. 12/09/02 Y
Martingale Asset Management, L.P. 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
U.S. 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 07/01/03 Y
Wellington Management Company, LLP 11/12/03 Y
CORE FIXED INCOME FUND
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
Western Asset Management
Company Limited 11/07/05 Y
- --------------------------------------------------------------------------------
142 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
- ----------------------------------------------------------------------------
Currently Managing
Date of a Portion of Fund
Investment Sub-Adviser Agreement (Y/N)
- ----------------------------------------------------------------------------
HIGH YIELD BOND FUND
ING Investment Management Co. 11/13/03 Y
J.P. Morgan Investment Management, Inc. 10/03/05 Y
Metropolitan West Asset Management LLC 11/07/03 Y
Nomura Corporate Research and
Asset Management Inc. 09/22/99 Y
Under the investment sub-advisory agreements, each party receives an annual fee
paid by SIMC.
PAYMENT BY AFFILIATE -- During the six months ended March 31, 2006, the Core
Fixed Income Fund was reimbursed by a sub-adviser, deemed as a "Payment by
Affiliate" in the Statement of Operations, for sub-advisory fees received of
$239,132. After terminating its sub-advisory agreement with the Fund the
sub-advisor agrees to reimburse the Fund for sub-advisory fees received since
their hiring in September 2005. During the six months ended March 31, 2006, the
High Yield Bond Fund was reimbursed by the sub-adviser, deemed as a "Payment by
Affiliate" in the Statement of Operations and Statement of Changes, for losses
incurred of $2,947 due to the sale 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) on
investments section on the statement of operations. The reimbursement has no
impact on the Fund's total return. 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 Changes, for losses incurred of
$1,930 due to the purchase of shares in a specific company in excess of the
amount permitted under applicable Securities and Exchange Commission rules. This
amount is included in the net realized and unrealized gain (loss) on investments
section on the statement of operations. The reimbursement has no impact on the
Fund's total return.
DISTRIBUTION AGREEMENT -- SEI Investments Distribution Co. (the "Distributor"),
a wholly-owned subsidiary of SEI Investments Company ("SEI Investments"), serves
as each Fund's Distributor pursuant to a distribution agreement with the Trust.
The Trust has adopted a shareholder servicing plan for Class A, Class I and
Class Y shares (the "Shareholder Servicing Plans") under which a shareholder
servicing fee of up to 0.25% of average daily net assets attributable to Class A
and Class I shares, and a shareholder servicing fee of up to 0.15% of average
daily net assets attributable to Class Y shares, will be paid to the
Distributor. In addition to the Shareholder Servicing Plans, the Class I shares
have adopted administrative service plans that provide for administrative
service fees payable to the Distributor of up to 0.25% of the average daily net
assets attributed to that class.
OTHER -- The Distribution Agreement between the Distributor and the Trust
provides that the Distributor may receive compensation on fund transactions
effected for the Trust in accordance with the rules of the Securities and
Exchange Commission ("SEC"). Accordingly, it is expected that fund transactions
may result in brokerage commissions being paid to the Distributor. SEC rules
require that such commissions not exceed usual and customary commissions.
Such commissions for the six month period ended March 31, 2006
were as follows ($ Thousands):
Tax-Managed Large Cap Fund $ 83
Large Cap Value Fund 265
Large Cap Growth Fund 161
Tax-Managed Small Cap Fund 40
Small Cap Value Fund 152
Small Cap Growth Fund 116
Real Estate Fund 7
----
$824
====
Under both the Shareholder Servicing Plans and administrative service plan, the
Distributor may retain as profit any difference between the fee it receives and
the amount it pays to third parties. For the six month period ended March 31,
2006, the Distributor retained 100% of the shareholder servicing fees, less the
waiver, and 100% of the administration servicing fees.
Certain officers and/or trustees of the Trust are also officers of the
Administrator or the Adviser. The Trust pays each unaffiliated Trustee an annual
fee for attendance at quarterly, interim and committee meetings. Compensation of
officers and affiliated Trustees of the Trust is paid by the Adviser or
Administrator.
LSV Asset Management (a partially-owned subsidiary of SIMC) serves as the
sub-adviser to the Tax-Managed Large Cap, Large Cap Value, Tax-Managed Small Cap
and Small Cap Value Funds. For this service LSV Asset Management is entitled to
receive a fee from SIMC. Such fees for the six month period ended March 31, 2006
were as follows ($ Thousands):
Tax-Managed Large Cap Fund $ 155
Large Cap Value Fund 740
Tax-Managed Small Cap Fund 123
Small Cap Value Fund 287
------
$1,305
======
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 six month period ended March 31, 2006, 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 / Semi-Annual Report / March 31, 2006 143
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
March 31, 2006
4. CAPITAL SHARE TRANSACTIONS
Capital Share Transactions for the Funds were as follows (Thousands):
For the six month period ended March 31, 2006 (Unaudited) and the year or period
ended September 30, 2005
- -----------------------------------------------------------------------------------------------------------------------------------
LARGE CAP
DIVERSIFIED TAX-MANAGED LARGE CAP LARGE CAP
ALPHA FUND(1) LARGE CAP FUND VALUE FUND GROWTH FUND
- -----------------------------------------------------------------------------------------------------------------------------------
12/14/05 10/1/05 10/1/04 10/1/05 10/1/04 10/1/05 10/1/04
to 3/31/06 to 3/31/06 to 9/30/05 to 3/31/06 to 9/30/05 to 3/31/06 to 9/30/05
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS A:
Shares Issued 93,073 18,219 34,030 13,901 33,561 17,805 37,545
Shares Issued in Lieu of
Dividends & Distributions 281 1,089 1,942 13,448 4,168 206 913
Shares Redeemed (2,844) (16,156) (41,498) (43,854) (59,040)(3) (46,118) (54,683)
- -----------------------------------------------------------------------------------------------------------------------------------
Total Class A Transactions 90,510 3,152 (5,526) (16,505) (21,311) (28,107) (16,225)
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS I:
Shares Issued -- -- -- 197 279 199 334
Shares Issued in Lieu of
Dividends & Distributions -- -- -- 80 20 -- 6
Shares Redeemed -- -- -- (134) (216) (360) (453)
- -----------------------------------------------------------------------------------------------------------------------------------
Total Class I Transactions -- -- -- 143 83 (161) (113)
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS Y:
Shares Issued -- 14 -- -- -- -- --
Shares Issued in Lieu of
Dividends & Distributions -- 3 5 -- -- -- --
Shares Redeemed -- (30) (48) -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Total Class Y Transactions -- (13) (43) -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Capital Share Transactions 90,510 3,139 (5,569) (16,362) (21,228) (28,268) (16,338)
- -----------------------------------------------------------------------------------------------------------------------------------
TAX-MANAGED SMALL CAP SMALL CAP
SMALL CAP FUND VALUE FUND GROWTH FUND
- -------------------------------------------------------------------------------------------------------------------------------
10/1/05 10/1/04 10/1/05 10/1/04 10/1/05 10/1/04
to 3/31/06 to 9/30/05 to 3/31/06 to 9/30/05 to 3/31/06 to 9/30/05
- -------------------------------------------------------------------------------------------------------------------------------
CLASS A:
Shares Issued 2,813 4,781 5,876 12,101 9,136 17,025
Shares Issued in Lieu of
Dividends & Distributions 1,122 1,210 5,504 7,107 -- --
Shares Redeemed (1,910) (3,938) (7,098) (15,221) (9,605) (21,881)
- -------------------------------------------------------------------------------------------------------------------------------
Total Class A Transactions 2,025 2,053 4,282 3,987 (469) (4,856)
- -------------------------------------------------------------------------------------------------------------------------------
CLASS I:
Shares Issued -- -- 136 317 101 311
Shares Issued in Lieu of
Dividends & Distributions -- -- 67 67 -- --
Shares Redeemed -- -- (119) (150) (84) (252)
- -------------------------------------------------------------------------------------------------------------------------------
Total Class I Transactions -- -- 84 234 17 59
- -------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Capital
Share Transactions 2,025 2,053 4,366 4,221 (452) (4,797)
- -------------------------------------------------------------------------------------------------------------------------------
MID-CAP U.S. MANAGED REAL ESTATE
FUND VOLATILITY FUND(2) FUND
- ---------------------------------------------------------------------------------------------------------------------------
10/1/05 10/1/04 10/1/05 10/28/04 10/1/05 10/1/04
to 3/31/06 to 9/30/05 to 3/31/06 to 9/30/05 to 3/31/06 to 9/30/05
- ---------------------------------------------------------------------------------------------------------------------------
Class A:
Shares Issued 2,294 2,758 7,585 15,432(4) 2,802 5,103
Shares Issued in Lieu of
Dividends & Distributions 332 292 325 58 256 156
Shares Redeemed (675) (2,551) (2,057) (1,457) (1,313) (1,715)
- ---------------------------------------------------------------------------------------------------------------------------
Total Class A Transactions 1,951 499 5,853 14,033 1,745 3,544
- ---------------------------------------------------------------------------------------------------------------------------
Class I:
Shares Issued -- -- -- -- -- --
Shares Issued in Lieu of
Dividends & Distributions -- -- -- -- -- --
Shares Redeemed -- -- -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------
Total Class I Transactions -- -- -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Capital Share Transactions 1,951 499 5,853 14,033 1,745 3,544
- ---------------------------------------------------------------------------------------------------------------------------
CORE FIXED HIGH YIELD
INCOME FUND BOND FUND
- -------------------------------------------------------------------------------------------
10/1/05 10/1/04 10/1/05 10/1/04
to 3/31/06 to 9/30/05 to 3/31/06 to 9/30/05
- -------------------------------------------------------------------------------------------
Class A:
Shares Issued 53,084 87,292 34,361 83,256
Shares Issued in Lieu of
Dividends & Distributions 9,471 17,306 5,246 10,907
Shares Redeemed (48,982) (94,180) (108,042) (45,595)
- -------------------------------------------------------------------------------------------
Total Class A Transactions 13,573 10,418 (68,435) 48,568
- -------------------------------------------------------------------------------------------
Class I:
Shares Issued 248 490 -- --
Shares Issued in Lieu of
Dividends & Distributions 29 48 -- --
Shares Redeemed (273) (273) -- --
- -------------------------------------------------------------------------------------------
Total Class I Transactions 4 265 -- --
- -------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Capital Share Transactions 13,577 10,683 (68,435) 48,568
- -------------------------------------------------------------------------------------------
(1) The Large Cap Diversified Alpha Fund commenced operations on December 14,
2005.
(2) The Managed Volatility Fund commenced operations on October 28, 2004.
(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).
Amounts designated as "--" are zero or have been rounded to zero.
- --------------------------------------------------------------------------------
144 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
5. INVESTMENT TRANSACTIONS
The cost of security purchases and proceeds from the sale of securities, other
than temporary cash investments and futures, during the six month period ended
March 31, 2006, were as follows:
- --------------------------------------------------------------------------
U.S. Gov't Other Total
($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------
LARGE CAP DIVERSIFIED
ALPHA FUND
Purchases ....... $ 77,882 $ 970,221 $ 1,048,103
Sales ........... 36,708 226,187 262,895
TAX-MANAGED
LARGE CAP FUND
Purchases ....... -- 1,155,765 1,155,765
Sales ........... -- 1,142,836 1,142,836
LARGE CAP VALUE FUND
Purchases ....... -- 1,490,741 1,490,741
Sales ........... -- 2,148,727 2,148,727
LARGE CAP GROWTH FUND
Purchases ....... -- 2,180,454 2,180,454
Sales ........... -- 2,804,250 2,804,250
TAX-MANAGED
SMALL CAP FUND
Purchases ....... -- 108,021 108,021
Sales ........... -- 103,330 103,330
SMALL CAP VALUE FUND
Purchases ....... -- 394,576 394,576
Sales ........... -- 421,356 421,356
SMALL CAP GROWTH FUND
Purchases ....... -- 564,567 564,567
Sales ........... -- 576,177 576,177
MID-CAP FUND
Purchases ....... -- 70,730 70,730
Sales ........... -- 39,552 39,552
- --------------------------------------------------------------------------
U.S. Gov't Other Total
($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------
U.S. MANAGED VOLATILITY FUND
Purchases ....... -- 179,409 179,409
Sales ........... -- 120,541 120,541
REAL ESTATE FUND
Purchases ....... -- 57,998 57,998
Sales ........... -- 32,366 32,366
CORE FIXED INCOME FUND
Purchases ....... 9,550,353 926,626 10,476,979
Sales 9,430,018 1,173,646 10,603,664
HIGH YIELD BOND FUND
Purchases ....... 10,940 762,330 773,270
Sales ........... 11,978 1,224,420 1,236,398
6. FEDERAL TAX INFORMATION
It is each Fund's intention to continue to qualify as a regulated investment
company under Subchapter M of The Internal Revenue Code and distribute all of
its taxable income (including net capital gains). Accordingly, no provision for
Federal income taxes is required.
Dividends from net investment income and distributions from net realized capital
gains are determined in accordance with U.S. Federal income tax regulations,
which may differ from those amounts determined under accounting principles
generally accepted in the United States. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are permanent,
they are charged or credited to paid-in capital, undistributed net investment
income or accumulated net realized gain, as appropriate, in the period that the
differences arise.
The tax character of dividends and distributions paid during the years or period
ended September 30, 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
U.S. 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 / Semi-Annual Report / March 31, 2006 145
NOTES TO FINANCIAL STATEMENTS (Unaudited)(Continued)
March 31, 2006
As of September 30, 2005, the components of Distributable Earnings/(Accumulated
Losses) were as follows:
- ---------------------------------------------------------------------------------------------
Undistributed Undistributed Capital Post
Ordinary Long-Term Loss October
Income Capital Gain Carryforwards Losses
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- ---------------------------------------------------------------------------------------------
Tax-Managed Large Cap Fund $ 4,006 $ -- $ (478,618) $ --
Large Cap Value Fund 57,195 192,922 -- --
Large Cap Growth Fund 635 -- (1,387,498) --
Tax-Managed Small Cap Fund 4,108 10,023 -- --
Small Cap Value Fund 35,530 68,715 -- --
Small Cap Growth Fund -- -- (97,124) (112)
Mid-Cap Fund 3,069 2,766 -- --
U.S. Managed Volatility Fund 2,715 101 -- --
Real Estate Fund* 486 2,416 -- --
Core Fixed Income Fund 16,085 13,008 -- --
High Yield Bond Fund 10,352 -- (125,765) (5,401)
- -------------------------------------------------------------------------------------------
Unrealized Other Total
Appreciation Temporary Distributable Earnings/
(Depreciation) Differences (Accumulated Losses)
($ Thousands) ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------------------
Tax-Managed Large Cap Fund $ 355,704 $ -- $ (118,908)
Large Cap Value Fund 667,401 -- 917,518
Large Cap Growth Fund 292,242 -- (1,094,621)
Tax-Managed Small Cap Fund 50,655 -- 64,786
Small Cap Value Fund 177,054 -- 281,299
Small Cap Growth Fund 48,066 -- (49,170)
Mid-Cap Fund 9,810 -- 15,645
U.S. Managed Volatility Fund 8,255 -- 11,071
Real Estate Fund* 14,170 -- 17,072
Core Fixed Income Fund (4,891) (14,526) 9,676
High Yield Bond Fund (20,486) (10,262) (151,562)
*Information reflects Fund activity based on Fund's December 31, 2004 tax
reporting year.
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 $13,158,690, respectively, of capital loss
carryforward to offset capital gains.
For Federal income tax purposes, the cost of securities owned at March 31, 2006,
and the net realized gains or losses on securities sold for the period, were
different from amounts reported for financial reporting purposes, primarily due
to wash sales which cannot be used for Federal income tax purposes in the
current year and have been deferred for use in future years. The Federal tax
cost and aggregate gross unrealized appreciation and depreciation on investments
held by the Funds at March 31, 2006, were as follows:
- --------------------------------------------------------------------------------
Net Unrealized
Appreciated Depreciated Appreciation
Securities Securities (Depreciation)
($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Large Cap Diversified Alpha Fund $37,747 $(19,811) $17,936
Tax-Managed Large Cap Fund 503,098 (44,785) 458,313
Large Cap Value Fund 748,548 (77,438) 671,110
Large Cap Growth Fund 613,623 (94,415) 519,208
Tax-Managed Small Cap Fund 74,410 (4,562) 69,848
Small Cap Value Fund 264,537 (31,995) 232,542
Small Cap Growth Fund 233,514 (74,789) 158,725
Mid-Cap Fund 16,554 (1,656) 14,898
U.S. Managed Volatility Fund 18,876 (3,469) 15,407
Real Estate 32,644 (7) 32,637
Core Fixed Income Fund 34,267 (73,887) (39,620)
High Yield Bond Fund 19,653 (15,955) 3,698
- --------------------------------------------------------------------------------
146 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
7. SECURITIES LENDING
Each Fund may lend portfolio securities to brokers, dealers and other financial
organizations that meet capital and other credit requirements or other criteria
established by the Trust's Board of Trustees. These loans may not exceed 33 1/3%
of the total asset value of the Fund (including the loan collateral). No Fund
will lend portfolio securities to its Adviser, sub-adviser or their affiliates
unless it has applied for and received specific authority to do so from the SEC.
Loans of portfolio securities will be fully collateralized by cash. Collateral
will be maintained in an amount equal to at least 100% of the current market
value of the loaned securities by marking to market daily, although the borrower
will be required to deliver collateral of 102% and 105% of the market value of
borrowed securities for domestic and foreign securities, respectively. However,
due to market fluctuations during the day, the value of securities loaned on a
particular day may, during the course of the day, exceed the value of
collateral. On each business day, the amount of collateral is adjusted based on
the prior day's market fluctuations and the current day's lending activity.
Income from lending activity is determined by the amount of interest earned on
collateral, less any amounts payable to the borrowers of the securities and the
lending agent. Lending securities involves certain risks, including the risk
that the Fund may be delayed or prevented from recovering the collateral if the
borrower fails to return the securities.
Cash collateral received in connection with securities lending is invested in
short-term investments by the lending agent. These investments may include
repurchase agreements, which are collateralized by United States Treasury and
Government Agency securities, and high-quality, short-term instruments, such as
floating rate corporate obligations, commercial paper, and private placements
with an average weighted maturity not to exceed 60 days and a maturity not to
exceed 397 days.
8. CONCENTRATIONS/RISKS
In the normal course of business, the Funds enter into contracts that provide
general indemnifications by the Funds to the counterparty to the contract. The
Funds' maximum exposure under these arrangements is dependent on future claims
that may be made against the Funds and, therefore, cannot be estimated; however,
based on experience, the risk of loss from such claims is considered remote.
The market values of the Core Fixed Income 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 U.S. 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
U.S. 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,
subsequently agreed to sell the Note to Duty Free International. The final
installment of the purchase price of the Note was received by the Fund in
December 2005. The litigation proceeded to jury trial against British Airport
Authority in December 2003, and the jury found against the plaintiffs on all
counts. Plaintiffs subsequently appealed. In January 2006, the Court of Appeals
ruled in favor of plantiffs and remanded for a new trial. 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 / Semi-Annual Report / March 31, 2006 147
NOTES TO FINANCIAL STATEMENTS (Unaudited)(Concluded)
March 31, 2006
11. OTHER
On March 31, 2006, number of shareholders below held the following percentage of
the outstanding shares of the Funds.
- ------------------------------------------------------------------------------
Number of % of Outstanding
Shareholders Shares
- ------------------------------------------------------------------------------
Large Cap Diversified Alpha Fund, Class A 5 71.68%
Tax-Managed Large Cap Fund, Class A 1 86.35
Tax-Managed Large Cap Fund, Class Y 1 100.00
Large Cap Value Fund, Class A 1 82.96
Large Cap Value Fund, Class I 3 50.91
Large Cap Growth Fund, Class A 1 83.17
Large Cap Growth Fund, Class I 3 62.14
Tax-Managed Small Cap Fund, Class A 1 81.35
Small Cap Value Fund, Class A 1 69.84
Small Cap Value Fund, Class I 2 32.21
Small Cap Growth Fund, Class A 1 61.23
Small Cap Growth Fund, Class I 2 47.76
Mid-Cap Fund, Class A 1 74.23
U.S. Managed Volatility Fund, Class A 3 74.48
Real Estate Fund, Class A 2 70.66
Core Fixed Income Fund, Class A 1 73.83
Core Fixed Income Fund, Class I 2 46.23
High Yield Bond Fund, Class A 1 64.23
These shareholders are comprised of omnibus accounts, which are held on behalf
of several individual shareholders.
12. CHANGE IN INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
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.
- --------------------------------------------------------------------------------
148 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
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 / Semi-Annual Report / March 31, 2006 149
DISCLOSURE OF FUND EXPENSES (Unaudited) (Concluded)
- ----------------------------------------------------------------------------
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
9/30/05 3/31/06 RATIOS PERIOD*
- ----------------------------------------------------------------------------
LARGE CAP DIVERSIFIED ALPHA FUND+
- ----------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,028.20 1.05% $3.15
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,011.47 1.05% $3.12
- ----------------------------------------------------------------------------
TAX-MANAGED LARGE CAP FUND
- ----------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,066.80 0.86% $4.43
Class Y Shares $1,000.00 $1,068.50 0.56% $2.89
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,020.64 0.86% $4.33
Class Y Shares $1,000.00 $1,022.14 0.56% $2.82
- ----------------------------------------------------------------------------
LARGE CAP VALUE FUND
- ----------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,067.40 0.86% $4.43
Class I Shares $1,000.00 $1,066.50 1.11% $5.72
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,020.64 0.86% $4.33
Class I Shares $1,000.00 $1,019.40 1.11% $5.59
- ----------------------------------------------------------------------------
LARGE CAP GROWTH FUND
- ----------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,066.20 0.86% $4.43
Class I Shares $1,000.00 $1,065.70 1.11% $5.72
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,020.64 0.86% $4.33
Class I Shares $1,000.00 $1,019.40 1.11% $5.59
- ----------------------------------------------------------------------------
TAX-MANAGED SMALL CAP FUND
- ----------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,128.30 1.11% $5.89
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,019.40 1.11% $5.59
- ----------------------------------------------------------------------------
SMALL CAP VALUE FUND
- ----------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,117.60 1.11% $5.86
Class I Shares $1,000.00 $1,116.10 1.36% $7.18
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,019.40 1.11% $5.59
Class I Shares $1,000.00 $1,018.15 1.36% $6.84
- ----------------------------------------------------------------------------
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
9/30/05 3/31/06 RATIOS PERIOD*
- ----------------------------------------------------------------------------
SMALL CAP GROWTH FUND
- ----------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,160.10 1.11% $5.98
Class I Shares $1,000.00 $1,158.50 1.36% $7.32
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,019.40 1.11% $5.59
Class I Shares $1,000.00 $1,018.15 1.36% $6.84
- ----------------------------------------------------------------------------
MID-CAP FUND
- ----------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,109.50 1.01% $5.31
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,019.90 1.01% $5.09
- ----------------------------------------------------------------------------
U.S. MANAGED VOLATILITY FUND
- ----------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,043.00 1.11% $5.65
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,019.40 1.11% $5.59
- ----------------------------------------------------------------------------
REAL ESTATE FUND
- ----------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,217.90 1.11% $6.14
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,019.40 1.11% $5.59
- ----------------------------------------------------------------------------
CORE FIXED INCOME FUND
- ----------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 999.10 0.63% $3.14
Class I Shares $1,000.00 $ 998.80 0.88% $4.39
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,021.79 0.63% $3.18
Class I Shares $1,000.00 $1,020.54 0.88% $4.43
- ----------------------------------------------------------------------------
HIGH YIELD BOND FUND
- ----------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,033.20 0.86% $4.36
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,020.64 0.86% $4.33
*Expenses are equal to the Fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by 182/365 (to reflect
one-half year period shown).
+The Large Cap Diversified Alpha Fund commenced operations on December 14, 2005.
Expenses are equal to the Fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by 107/365 (to reflect the
period shown).
- --------------------------------------------------------------------------------
150 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
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 separate sub-advisory agreements (the "Sub-Advisory
Agreements" and, together with the Advisory Agreement, the "Investment Advisory
Agreements") with SIMC, and under the supervision of SIMC and the Trust's Board
of Trustees (the "Board"), the Sub-Advisers are responsible for the day-to-day
investment management of all or a discrete portion of the assets of the Funds.
The Sub-Advisers also are responsible for managing their employees who provide
services to these Funds. The Sub-Advisers are selected based primarily upon the
research and recommendations of SIMC, which evaluates quantitatively and
qualitatively each Sub-Adviser's skills and investment results in managing
assets for specific asset classes, investment styles and strategies.
The Investment Company Act of 1940, as amended (the "1940 Act") requires that
the initial approval of, as well as the continuation of, each Fund's Investment
Advisory Agreements must be specifically approved: (i) by the vote of the Board
of Trustees or by a vote of the shareholders of the Fund; and (ii) by the vote
of a majority of the Trustees who are not parties to the Investment Advisory
Agreements or "interested persons" of any party (the "Independent Trustees"),
cast in person at a meeting called for the purpose of voting on such approval.
In connection with their consideration of such approvals, the Fund's Trustees
must request and evaluate, and SIMC and the Sub-Advisers are required to
furnish, such information as may be reasonably necessary to evaluate the terms
of the Investment Advisory Agreements. In addition, the Securities and Exchange
Commission ("SEC") takes the position that, as part of their fiduciary duties
with respect to a mutual fund's fees, mutual fund boards are required to
evaluate the material factors applicable to a decision to approve an Investment
Advisory Agreement.
Consistent with these responsibilities, the Trust's Board of Trustees calls and
holds meetings each year that are dedicated to considering whether to renew the
Investment Advisory Agreements between the Trust and SIMC and SIMC and each of
the Sub-Advisers with respect to the Funds of the Trust. In preparation for
these meetings, the Board requests and reviews a wide variety of materials
provided by SIMC and the Sub-Advisers, including information about SIMC's and
the Sub-Advisers' affiliates, personnel and operations. The Board also receives
extensive data provided by third parties. This information is in addition to the
detailed information about the Funds that the Board reviews during the course of
each year, including information that relates to Fund operations and Fund
performance. The Trustees also receive a memorandum from Fund counsel and
independent counsel to the Independent Trustees regarding the responsibilities
of Trustees in connection with their consideration of whether to approve the
Trust's Investment Advisory Agreements. Finally, the Independent Trustees
receive advice from independent counsel to the Independent Trustees, meet in
executive session outside the presence of Fund management and participate in
question and answer sessions with representatives of SIMC and the Sub-Advisers.
Specifically, the Board requested and received written materials from SIMC and
each Sub-Adviser regarding: (a) the quality of SIMC's and the Sub-Adviser's
investment management and other services; (b) SIMC's and the Sub-Adviser's
investment management personnel; (c) SIMC's and the Sub-Adviser's operations and
financial condition; (d) SIMC's and the Sub-Adviser's brokerage practices
(including any soft dollar arrangements) and investment strategies; (e) the
level of the advisory fees that SIMC and each Sub-Adviser charge a Fund compared
with the fees each charge 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-Adviser's compliance systems; (i) SIMC's and the
Sub-Adviser's policies on and compliance procedures for personal securities
transactions; (j) SIMC's and the Sub-Adviser's 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 / Semi-Annual Report / March 31, 2006 151
BOARD OF TRUSTEES CONSIDERATIONS IN APPROVING THE ADVISORY AND SUB-ADVISORY
AGREEMENTS (Unaudited)(Concluded)
At the April 27, 2005, June 23, 2005, September 20, 2005, September 21, 2005,
December 7, 2005, December 8, 2005, March 8, 2006 and March 9, 2006 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.
- --------------------------------------------------------------------------------
152 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2006
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. When
considering the profitability of the Sub-Advisers, the Board took into account
the fact that the Sub-Advisers are compensated by SIMC, and not by the Funds
directly, and such compensation with respect to any Sub-Adviser reflects an
arms-length negotiation between the Sub-Adviser and SIMC. 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 / Semi-Annual Report / March 31, 2006 153
NOTES
NOTES
NOTES
SEI INSTITUTIONAL MANAGED TRUST SEMI-ANNUAL REPORT MARCH 31, 2006
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
Robert A. Nesher
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
Russell Emery
CHIEF COMPLIANCE OFFICER
Nicole Welch
ANTI-MONEY LAUNDERING COMPLIANCE OFFICER
INVESTMENT ADVISER
SEI Investments Management Corporation
ADMINISTRATOR
SEI Investments Global Funds Services
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 New ways
New answer*
SEI Investments Distribution Co.
Oaks, PA 19456 1 800.DIAL.SEI 1.800.342.5734
SEI-F-092 (3/06)
ITEM 2. CODE OF ETHICS.
Not applicable for semi-annual report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable for semi-annual report.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable for semi-annual report.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to open-end management investment companies.
ITEM 6. SCHEDULE OF INVESTMENTS.
Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable to open-end management investment companies.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable. Effective for closed-end management investment companies for
fiscal years ending on or after December 31, 2005
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT COMPANY AND
AFFILIATED PURCHASERS.
Not applicable to open-end management investment companies.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
The Trust has a standing Nominating Committee (the "Committee") currently
consisting of the Independent Trustees. The Committee is responsible for
evaluating and recommending nominees for election to the Trust's Board of
Trustees (the "Board"). Pursuant to the Committee's Charter, adopted on June 18,
2004, the Committee will review all shareholder recommendations for nominations
to fill vacancies on the Board if such recommendations are submitted in writing
and addressed to the Committee at the Trust's office.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The certifying officers, whose certifications are included herewith, have
evaluated the registrant's disclosure controls and procedures within 90 days of
the filing date of this report. Based on their evaluation, 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) Not applicable for semi-annual report.
(a)(2) A separate certification for the principal executive officer and the
principal financial officer of the registrant as required by Rule 30a-2(a) under
the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed
herewith.
(b) Officer certifications as required by Rule 30a-2(b) under the Investment
Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing
as an Exhibit.
- --------------------------------------------------------------------------------
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/ Robert A. Nesher
---------------------------------
Robert A. Nesher, President & CEO
Date: May 26, 2006
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/ Robert A. Nesher
---------------------------------
Robert A. Nesher, President & CEO
Date: May 26, 2006
By (Signature and Title)* /s/ Stephen F. Panner
-----------------------------------
Stephen F. Panner, Controller & CFO
Date: May 26, 2006
* Print the name and title of each signing officer under his or her signature.