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: SEPTEMBER 30, 2006
ITEM 1. REPORTS TO STOCKHOLDERS.
[SEI LOGO OMITTED]
SEI New ways.
New answers.(R)
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SEI Institutional Managed Trust
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Annual Report as of September 30, 2006
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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
Global Managed Volatility Fund
Real Estate Fund
Enhanced Income Fund
Core Fixed Income Fund
High Yield Bond Fund
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TABLE OF CONTENTS
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Management's Discussion and Analysis of Fund Performance 2
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Schedules of Investments 23
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Statements of Assets and Liabilities 164
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Statements of Operations 168
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Statements of Changes in Net Assets 172
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Financial Highlights 176
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Notes to Financial Statements 178
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Report of Independent Registered Public Accounting Firm 190
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Trustees and Officers of the Trust 191
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Disclosure of Fund Expenses 194
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Board of Trustees Considerations in Approving
the Advisory and Sub-Advisory Agreements 196
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Notice to Shareholders 199
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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.
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SEI Institutional Managed Trust / Annual Report / September 30, 2006 1
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2006
Large Cap Diversified Alpha Fund
Objective
The investment objective of the Large Cap Diversified Alpha Fund (the "Fund") is
long-term growth of capital and income by investing in the equity securities of
large companies and in portfolio strategies designed to correlate to a portfolio
composed of large cap equity securities. While the Fund is expected to have an
absolute return and risk profile similar to the broad U.S. large cap equity
market, returns may be derived in part from investing significant portions of
the Fund in securities outside of the large cap market.
Strategy
The Fund uses a multi-manager approach under the general supervision of SEI
Investments Management Corporation ("SIMC"), allocating the assets among
multiple sub-advisers that use different investment strategies to seek to
achieve returns in excess of the performance of a broad U.S. large cap
benchmark. This allocation among investment strategies aims to diversify the
sources from which sub-advisers seek to achieve excess returns (i.e., returns in
excess of a benchmark index), and thereby diversify the relative risk of the
Fund.
Some sub-advisers may engage in short sales up to 20% of the value of their Fund
allocation and use the proceeds from the sale to purchase long positions in
additional equity securities. Some sub-advisers may also use portfolio
strategies that are designed to correlate with a portfolio of large cap equity
securities, but which are composed of derivative instruments backed by other
types of securities.
Aronson + Johnson + Ortiz, Analytic Investors, and Quantitative Management
Associates seek to overweight stocks with attractive fundamental and/or
technical characteristics and underweight or even short stocks with unattractive
fundamental and/or technical characteristics. Enhanced Investment Technologies
(INTECH) employs a volatility capture strategy, Delaware Management Company
seeks to identify stocks with underappreciated growth characteristics, while
Smith Breeden Associates seeks to generate alpha within the U.S. fixed income
market and transports it to the equity market.
Analysis
The Large Cap Diversified Alpha Fund, Class A gained 4.44% for the period
December 14, 2005 through September 30, 2006, which represents the inception
date of the Fund's Class A Shares through the fiscal year-end. The Russell 1000
Index returned 10.25% for the fiscal year ended September 30, 2006.
The U.S. Equity market returned just over 6% for the six-month period ending
September 30, 2006. Energy prices regained their strength at the start of 2006,
but healthy employment gains and strong corporate profits gave a boost to equity
markets through April 2006. The equity market turned negative in May when
Federal Reserve Board ("Fed") Chairman Ben Bernanke expressed he was more
concerned about keeping inflation at bay rather than promoting growth. The
market took this to mean that there were more interest rate hikes to come.
Bernanke's comments sent stocks with high growth expectations and longer
durations tumbling as interest rates rose. Sentiment turned again in July as the
Fed stopped raising interest rates and the markets bet that this would be a full
stop in rate hikes rather than a pause. Sharply falling energy prices towards
the end of the fiscal year only served to solidify the market's view, and
interest rates continued to fall across the yield curve. Lower interest rates
and energy prices gave a boost to equities, which staged a strong rally in the
last two months of the fiscal year.
The strategy had positive contributions from Aronson + Johnson + Ortiz, Analytic
Investors, and Quantitative Management Associates. Their emphasis on value
related factors in their model helped to drive performance, and they also
benefited from the added flexibility of shorting stocks. Smith Breeden
Associates also positively contributed to performance as it added value in the
U.S. fixed income markets and transported that to the Fund. INTECH lagged as
individual stock volatility remained low and correlations amongst stocks were
somewhat higher than history. Finally, Delaware Management Company significantly
underperformed as the market shunned stocks with high expected growth rates and
a handful of negative stock events dragged down performance.
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2 SEI Institutional Managed Trust / Annual Report / September 30, 2006
Large Cap Diversified Alpha Fund:
AVERAGE ANNUAL TOTAL RETURN 1
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Cumulative
Inception
to Date
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Large Cap Diversified Alpha Fund,
Class A 4.44%
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Large Cap Diversified Alpha Fund,
Class I 4.44%
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Comparison of Change in the Value of a $100,000 Investment in the Large Cap
Diversified Alpha Fund, Class A and Class I, versus the Russell 1000 Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Large Cap Large Cap
Diversified Alpha Diversified Alpha Russell
Fund, Class A Fund, Class I 1000 Index
12/14/05 $100,000 $100,000 $100,000
9/30/06 $104,451 $104,451 $106,486
1 For the period ended 9/30/06. Past performance is no indication of future
performance. Class I Shares performance for the period prior to 9/14/06 is
performance derived from the performance of the Class A Shares. The
performance of the Class I Shares may be lower than the performance of Class
A Shares because of different distribution fees paid by Class I shareholders.
Class A Shares were offered beginning 12/14/05 and Class I Shares were
offered beginning 9/14/06. Returns shown do not reflect the deduction of
taxes that a shareholder would pay on fund distributions or the redemption of
fund shares. The returns for certain periods reflect fee waivers and/or
reimbursements in effect for that period; absent fee waivers and
reimbursements, performance would have been lower.
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SEI Institutional Managed Trust / Annual Report / September 30, 2006 3
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2006
Tax-Managed Large Cap Fund
Objective
The investment objective of the Tax-Managed Large Cap Fund (the "Fund") is
capital appreciation by investing in the equity securities of large companies.
The Fund attempts to maximize after-tax returns to investors through lower
turnover and tax management techniques.
Strategy
With respect to this Fund, SEI Investments Management Corporation ("SIMC")
employs a multi-manager structure to gain exposure to the entire U.S. large cap
market, seeking to add value through stock selection in a tax-aware framework
while minimizing risk in the form of capitalization, valuation and economic
sector exposures. Assets of the Fund are strategically allocated among its
sub-advisers, each of which has responsibility for stock selection for its
respective assets under management.
Through various investment approaches, each sub-adviser contributes a unique
expertise to the Fund. Goldman Sachs Asset Management, Delaware Management
Company, and Montag & Caldwell focus on stocks that have growth characteristics.
Alliance Capital Management, LSV Asset Management and Aronson + Johnson + Ortiz
focus on selecting stocks that have value-oriented characteristics. Parametric
Portfolio Associates invests in both value and growth large-cap stocks through a
quantitative process which aggressively harvests tax-losses in the portfolio.
Analysis
The Tax-Managed Large Cap Fund, Class A returned 8.58% for the fiscal year ended
September 30, 2006, lagging behind the broad market. The Russell 1000 Index
returned 10.25% for the fiscal year ended September 30, 2006.
The U.S. Equity market returned just over 10% for the fiscal year ending
September 30, 2006. Energy prices regained their strength at the start of 2006,
but healthy employment gains and strong corporate profits gave a boost to equity
markets through April 2006. The equity market turned negative in May when
Federal Reserve Board ("Fed") Chairman Ben Bernanke expressed he was more
concerned about keeping inflation at bay rather than promoting growth. The
market took this to mean that there were more interest rate hikes to come.
Bernanke's comments sent stocks with high growth expectations and longer
durations tumbling as interest rates rose. Sentiment turned again in July as the
Fed stopped raising interest rates and the markets bet that this would be a full
stop in rate hikes rather than a pause. Sharply falling energy prices towards
the end of the fiscal year only served to solidify the market's view, and
interest rates continued to fall across the yield curve. Lower interest rates
and energy prices gave a boost to equities, which staged a strong rally in the
last two months of the fiscal year.
The portfolio suffered from negative stock selection within the technology and
media sectors. During the period, investors shunned the high growth, long
duration positions that our growth managers tend to favor within these sectors.
On the positive side, strong stock selection within the energy equipment and
services industry as well as financials contributed to portfolio relative
performance. Delaware Management Company was the notable laggard for the period
as the manager reversed much of the strong performance from the prior fiscal
year. Delaware Management Company had the greatest concentration of these high
growth positions. Montag & Caldwell also trailed the benchmark due to sector
positioning and negative stock selection within healthcare. Goldman Sachs Asset
Management outpaced the growth index but lagged the broad benchmark. Given the
strong performance of the value style during the fiscal year, the three value
managers performed much better than the broad market. Relative to the value
index, LSV Asset Management was ahead, while Alliance Capital Management and
Aronson + Johnson + Ortiz lagged.
During the fiscal year, SIMC concentrated the manager line-up, terminating both
Peregrine Capital Management and Franklin Portfolio Associates.
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4 SEI Institutional Managed Trust / Annual Report / September 30, 2006
Tax-Managed Large Cap Fund:
AVERAGE ANNUAL TOTAL RETURN 1
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Annualized Annualized Annualized
One Year 3 Year 5 Year Inception
Return Return Return to Date
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Tax-Managed Large Cap
Fund, Class A 8.58% 12.31% 6.89% 3.61%
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Tax-Managed Large Cap
Fund, Class Y 8.83% 12.64% 7.17% 3.77%
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Comparison of Change in the Value of a $100,000 Investment in the Tax-Managed
Large Cap Fund, Class A and Class Y, versus the Russell 1000 Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Tax-Managed Tax-Managed
Large Cap Fund, Large Cap Fund, Russell 1000
Class A Class Y Index
3/5/98 $100,000 $100,000 $100,000
9/30/98 96,177 96,177 96,849
9/30/99 127,530 127,530 122,970
9/30/00 138,574 138,574 144,871
9/30/01 97,113 97,113 103,698
9/30/02 77,263 77,321 83,467
9/30/03 95,683 96,079 104,450
9/30/04 109,126 109,925 118,969
9/30/05 124,840 126,171 135,934
9/30/06 135,551 137,312 149,867
1 For the period ended 9/30/06. Past performance is no indication of future
performance. Class Y Shares performance for the period prior to 4/8/02 is
performance derived from the performance of the Class A Shares. The
performance of Class Y Shares may be different from the performance of Class
A Shares because of different distribution fees paid by Class Y shareholders.
Class A Shares were offered beginning 3/5/98 and Class Y Shares were offered
beginning 4/8/02. Returns shown do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund shares.
The returns for certain periods reflect fee waivers and/or reimbursements in
effect for that period; absent fee waivers and reimbursements, performance
would have been lower.
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SEI Institutional Managed Trust / Annual Report / September 30, 2006 5
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2006
Large Cap Value Fund
Objective
The investment objective of the Large Cap Value Fund (the "Fund") is long-term
growth of capital and income by investing in the equity securities of large
companies. The Fund invests primarily in a diversified portfolio of high
quality, income producing common stocks, which in the adviser's opinion, are
undervalued in the marketplace at the time of purchase.
Strategy
With respect to this Fund, SEI Investments Management Corporation ("SIMC")
employs a multi-manager structure to gain exposure to the entire large cap value
sector, adding value through stock selection while managing risk in the form of
capitalization, valuation and economic sector exposures. Assets of the Fund are
strategically allocated among its four sub-advisers, each of whom has
responsibility for stock selection for its respective assets under management.
Through various investment approaches, each sub-adviser contributes a unique
expertise or sub-style to the Fund. Aronson + Johnson + Ortiz invests in
asset-rich companies selling at relatively low multiples of earnings which have
earnings and price momentum. LSV Asset Management invests in companies trading
at deep discounts to their intrinsic value, while Enhanced Investment
Technologies (INTECH) employs a volatility capture strategy. Alliance Capital
Management incorporates intensive fundamental research to invest in undervalued
stocks where there is a relationship between the current price, its future
earnings power and dividend producing capability.
Analysis
The Large Cap Value Fund, Class A gained 13.42% for the fiscal year ended
September 30, 2006, falling behind the value portion of the U.S. large cap
market. The Russell 1000 Value Index returned 14.62% for the fiscal year ended
September 30, 2006.
The U.S. Equity market returned just over 10% for the fiscal year ending
September 30, 2006. Energy prices regained their strength at the start of 2006,
but healthy employment gains and strong corporate profits gave a boost to equity
markets through April 2006. The equity market turned negative in May when
Federal Reserve Board ("Fed") Chairman Ben Bernanke expressed he was more
concerned about keeping inflation at bay rather than promoting growth. The
market took this to mean that there were more interest rate hikes to come.
Bernanke's comments sent stocks with high growth expectations and longer
durations tumbling as interest rates rose. Sentiment turned again in July as the
Fed stopped raising interest rates and the markets bet that this would be a full
stop in rate hikes rather than a pause. Sharply falling energy prices towards
the end of the fiscal year only served to solidify the market's view, and
interest rates continued to fall across the yield curve. Lower interest rates
and energy prices gave a boost to equities, which staged a strong rally in the
last two months of the fiscal year.
The Fund's sector and industry positioning generated mixed results for the
fiscal year. The negative impact of the Fund's underweight to real estate
investment trusts was offset by the benefit of being underweight in utilities
for the period. Security selection within consumer discretionary, industrials
and telecommunications contributed positively to returns, while security
selection within technology and financials detracted from results. From an
individual manager perspective, there were no significant outliers for the
period. LSV Asset Management and Aronson + Johnson + Ortiz contributed while
Alliance Capital Management and INTECH (partial period) detracted.
During the fiscal year, SIMC replaced Franklin Portfolio Associates with INTECH.
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6 SEI Institutional Managed Trust / Annual Report / September 30, 2006
Large Cap Value Fund:
AVERAGE ANNUAL TOTAL RETURN 1
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Annualized Annualized Annualized Annualized
One Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
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Large Cap Value Fund,
Class A 13.42% 16.29% 9.57% 10.06% 12.07%
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Large Cap Value Fund,
Class I 13.16% 16.00% 9.29% 9.92% 11.95%
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Comparison of Change in the Value of a $100,000 Investment in the Large Cap
Value Fund, Class A and Class I, versus the Russell 1000 Value Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Large Cap Large Cap Russell 1000
Value Fund, Value Fund, Value
Class A Class I Index
9/30/96 $100,000 $100,000 $100,000
9/30/97 144,120 144,120 142,310
9/30/98 142,102 142,102 147,419
9/30/99 166,444 166,444 175,016
9/30/00 173,885 173,885 190,610
9/30/01 165,051 165,051 173,626
9/30/02 135,243 134,946 144,197
9/30/03 165,740 164,863 179,337
9/30/04 198,325 196,731 216,137
9/30/05 229,799 227,441 252,211
9/30/06 260,638 257,463 289,084
1 For the period ended 9/30/06. Past performance is no indication of future
performance. The performance indicated above for Class A Shares begins on
10/3/94 at which time Mellon Equity Associates acted as investment adviser to
the Fund. Previous periods during which the Fund was advised by another
investment adviser are not shown. Class I Shares performance for the period
prior to 8/6/01 is performance derived from the performance of the Class A
Shares. The performance of Class I Shares may be lower than the performance
of Class A Shares because of different distribution fees paid by Class I
shareholders. Class A Shares were offered beginning 10/3/94 and Class I
Shares were offered beginning 8/6/01. Returns shown do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or the
redemption of fund shares. The returns for certain periods reflect fee
waivers and/or reimbursements in effect for that period; absent fee waivers
and reimbursements, performance would have been lower.
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SEI Institutional Managed Trust / Annual Report / September 30, 2006 7
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2006
Large Cap Growth Fund
The investment objective of the Large Cap Growth Fund (the "Fund") is capital
appreciation by investing in the equity securities of large companies. The Fund
invests in the securities of issuers believed to possess significant growth
potential that is underappreciated by the market.
Strategy
With respect to this Fund, SEI Investments Management Corporation ("SIMC")
employs a multi-manager structure to gain exposure to the entire large cap
growth sector, adding value through stock selection while managing risk in the
form of capitalization, valuation and economic sector exposures. Assets of the
Fund are strategically allocated among its sub-advisers, each of which has
responsibility for stock selection for its respective assets under management.
Through various investment approaches, each sub-adviser contributes a unique
expertise to the Fund. Goldman Sachs Asset Management invests in companies with
strong business franchises that are attractively priced relative to their
discounted cash flows. Quantitative Management Associates favors large cap
stocks that have positive news flow and attractive valuation characteristics.
Montag & Caldwell invests in large cap stocks that exhibit accelerating
earnings, are trading at a discount to fair value, and are financially stable.
Enhanced Investment Technologies (INTECH) employs a volatility capture strategy,
while Delaware Management Company invests in stocks that are attractively valued
from a cash flow basis and have strong prospects for organic growth in the
future.
Analysis
The Large Cap Growth Fund, Class A returned 3.92% for the fiscal year ended
September 30, 2006, lagging behind the growth area of the market for the period.
The Russell 1000 Growth Index returned 6.04% for the fiscal year ended September
30, 2006.
The large cap U.S. Equity market returned just over 10% for the fiscal year
ending September 30, 2006. Energy prices regained their strength at the start of
2006, but healthy employment gains and strong corporate profits gave a boost to
equity markets through April 2006. The equity market turned negative in May when
Federal Reserve Board ("Fed") Chairman Ben Bernanke expressed he was more
concerned about keeping inflation at bay rather than promoting growth. The
market took this to mean that there were more interest rates hikes to come.
Bernanke's comments sent stocks with high growth expectations and longer
durations tumbling as interest rates rose. Sentiment turned again in July as the
Fed stopped raising interest rates and the markets bet that this would be a full
stop in rate hikes rather than a pause. Sharply falling energy prices towards
the end of the fiscal year only served to solidify the market's view, and
interest rates continued to fall across the yield curve. Lower interest rates
and energy prices gave a boost to equities, which staged a strong rally in the
last two months of the fiscal year.
The portfolio suffered from negative sector and industry positioning during the
fiscal year, in particular an underweight to the rallying aerospace and defense
industry and overweight to the underperforming internet software industry.
Negative stock selection within both media and technology also weighed on
performance during the period. Investors shunned the high growth, long duration
positions that our managers tend to favor within these sectors. Delaware
Management Company had the greatest concentration of these high growth
positions. On the positive side strong stock selection within the energy
equipment and services industry as well as diversified financials contributed to
portfolio relative performance. Delaware Management Company was the notable
laggard for the period as the manager reversed much of the strong performance
from the prior fiscal year. Montag & Caldwell also trailed the benchmark due to
sector positioning and negative stock selection within healthcare. On the
positive side, Goldman Sachs Asset Management and Quantitative Management
Associates contributed to performance as did INTECH.
During the fiscal year, SIMC removed Peregrine Capital Management and added
INTECH.
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8 SEI Institutional Managed Trust / Annual Report / September 30, 2006
Large Cap Growth Fund:
AVERAGE ANNUAL TOTAL RETURN 1
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Annualized Annualized Annualized Annualized
One Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
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Large Cap Growth
Fund, Class A 3.92% 8.37% 3.72% 5.16% 8.31%
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Large Cap Growth
Fund, Class I 3.73% 8.13% 3.47% 5.02% 8.19%
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Comparison of Change in the Value of a $100,000 Investment in the Large Cap
Growth Fund, Class A and Class I, versus the Russell 1000 Growth Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Large Cap Large Cap Russell 1000
Growth Fund, Growth Fund, Growth
Class A Class I Index
9/30/96 $100,000 $100,000 $100,000
9/30/97 144,350 144,350 136,300
9/30/98 156,403 156,403 151,429
9/30/99 215,430 215,430 204,202
9/30/00 281,502 281,502 252,047
9/30/01 137,711 137,655 137,013
9/30/02 106,767 106,366 106,171
9/30/03 129,893 129,096 133,691
9/30/04 141,090 139,966 143,731
9/30/05 159,079 157,350 160,404
9/30/06 165,315 163,219 170,092
1 For the period ended 9/30/06. Past performance is no indication of future
performance. Class I Shares performance for the period prior to 8/6/01 is the
performance derived from the performance of the Class A Shares. The
performance of Class I Shares may be lower than the performance of Class A
Shares because of different distribution fees paid by Class I shareholders.
Class A Shares were offered beginning 12/20/94 and Class I Shares were
offered beginning 8/6/01. Returns shown do not reflect the deduction of taxes
that a shareholder would pay on fund distributions or the redemption of fund
shares. The returns for certain periods reflect fee waivers and/or
reimbursements in effect for that period; absent fee waivers and
reimbursements, performance would have been lower.
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SEI Institutional Managed Trust / Annual Report / September 30, 2006 9
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2006
Tax-Managed Small Cap Fund
Objective
The investment objective of the Tax-Managed Small Cap Fund (the "Fund") is
capital appreciation by investing in the equity securities of small companies.
The Fund attempts to maximize after-tax returns to investors through investing
in undervalued securities, selling stocks with the highest tax cost first and
offsetting losses with gains where possible.
Strategy
With respect to this Fund, SEI Investments Management Corporation ("SIMC")
employs a multi-manager structure to gain exposure to the entire small/mid cap
universe, adding value through stock selection while minimizing risk in the form
of capitalization, valuation and economic sector exposures. The Fund is jointly
sub-advised by seven investment managers. Assets of the Fund are strategically
allocated among the seven sub-advisers, each of which has a responsibility for
stock selection for its respective assets under management.
Through various investment approaches, each sub-adviser contributes a particular
expertise or sub-style to the Fund. BlackRock Advisors ("BlackRock") focuses on
attractively valued companies with a near-term business catalyst. David J.
Greene and Company ("DJ Greene") looks for undervalued securities that are
misunderstood by the marketplace. Delaware Management Company ("Delaware")
focuses on sustainable business models at attractive valuations. LSV Asset
Management's ("LSV") disciplined proprietary screening model ranks stocks based
on price to book, price to cash flow, past sales performance, and likelihood of
near-term appreciation. Mazama Capital Management ("Mazama") invests primarily
in stocks entering extended periods of growth not yet understood by the market.
McKinley Capital Management ("McKinley") emphasizes acceleration of the growth
rate of companies relative to the market's expectations, and companies with
positive earnings surprises. Parametric Portfolio Associates ("Parametric")
invests in both value and growth small-cap stocks through a quantitative process
which aggressively harvests tax-losses in the portfolio.
Analysis
The Russell 2500 Index gained 8.80% during the fiscal year ended September 30,
2006, with its value components outperforming growth. Financials were the
biggest contributor to the performance of the Index over the past year, as real
estate securities continued to rise despite concerns of rich valuation.
Contribution from the industrials sector, especially regarding capital goods and
transportation, slowed recently but was positive overall due to government
spending after 2005's hurricane season. Energy was the only sector posting a
negative return, as the lessening of both political turmoil and supply concerns
in the third quarter of 2006 mitigated returns previously generated during the
period. Health care also lagged the benchmark due to disappointing FDA outcomes
for many pharmaceutical and biotech companies.
The Tax-Managed Small Cap Fund, Class A gained 5.50% for the fiscal year ended
September 30, 2006. The Fund's underweight to energy, overweight to information
technology, and stock selection in both sectors added to returns. However,
positioning in the consumer discretionary sector and financials holdings
detracted from performance. Most of Mazama's outperformance came from the
information technology sector. The other growth managers, Delaware and McKinley,
underperformed, and were hurt in the health care sector but benefited from
energy holdings. Value managers struggled by having underweights to the REIT
industry which detracted from returns. Stock selection troubles came in the
industrials and materials sectors for BlackRock and LSV, respectively. DJ Greene
posted positive returns in information technology, but was hurt by holdings in
the consumer discretionary sector.
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10 SEI Institutional Managed Trust / Annual Report / September 30, 2006
Tax-Managed Small Cap Fund:
AVERAGE ANNUAL TOTAL RETURN 1
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Annualized Annualized Annualized
One Year 3 Year 5 Year Inception
Return Return Return to Date
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Tax-Managed Small Cap Fund,
Class A 5.50% 14.02% 12.71% 6.89%
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Comparison of Change in the Value of a $100,000 Investment in the Tax-Managed
Small Cap Fund, Class A, versus the Russell 2500 Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Tax-Managed Russell 2500
Small Cap Fund Index
10/31/00 $100,000 $100,000
09/30/01 81,561 83,511
09/30/02 75,460 77,290
09/30/03 100,083 104,797
9/30/04 116,396 124,195
9/30/05 140,607 150,636
9/30/06 148,340 163,892
1 For the period ended 9/30/06. Past performance is no indication of future
performance. Fund shares were offered beginning 10/31/00. Returns shown do
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares. The returns for certain
periods reflect fee waivers and/or reimbursements in effect for that period;
absent fee waivers and reimbursements, performance would have been lower.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 11
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2006
Small Cap Value Fund
Objective
The investment objective of the Small Cap Value Fund (the "Fund") is capital
appreciation by investing in equity securities of smaller companies. The Fund
invests in the stocks of companies it believes are undervalued in light of such
fundamental characteristics as earnings, book value or return on equity.
Strategy
With respect to this Fund, SEI Investments Management Corporation ("SIMC")
employs a multi-manager structure to gain exposure to the entire small cap value
sector, adding value through stock selection while minimizing risk in the form
of capitalization, valuation and economic sector exposures. The Fund is jointly
sub-advised by seven investment managers. Assets of the Fund are strategically
allocated among its seven sub-advisers, each of which has a responsibility for
stock selection for its respective assets under management.
Through various investment approaches, each sub-adviser contributes a particular
expertise or sub-style to the Fund. Using a bottom-up process, Artisan Partners
("Artisan") seeks to identify companies which are currently trading below the
intrinsic value of the businesses that have little institutional following.
BlackRock Advisors ("BlackRock") focuses on attractively valued companies with a
near term business catalyst. David J. Greene and Company ("DJ Greene") invests
in complex multi-segment businesses often possessing several growth areas masked
by a slower growing parent. Lee Munder Investments ("Lee Munder") uses a classic
value approach of identifying quality businesses at attractive valuations. LSV
Asset Management ("LSV") invests in companies trading at deep discounts to their
intrinsic value and near term earnings visibility. Martingale Asset Management
("Martingale") employs a systematic approach focused on relative valuation,
sustainable growth, and management quality. Wellington Management Company
("WMC") utilizes a unique risk/reward relative valuation assessment to identify
attractive real estate investments. Each of the aforementioned sub-styles
assumes a different importance in determining overall style risk and must
therefore be weighted accordingly.
Analysis
The Russell 2000 Value Index yielded 14.01% for the fiscal year ended September
30, 2006. Financials were the biggest contributor to the performance of the
Index over the past year, as real estate securities continued to rise despite
concerns of rich valuation. Contribution from the industrials sector, especially
capital goods and transportation, slowed recently but was positive overall due
to government spending after 2005's hurricane season. Energy was the only sector
posting a negative return, as the lessening of both political turmoil and supply
concerns in the third quarter of 2006 mitigated returns previously generated
during the period.
The Small Cap Value Fund, Class A gained 10.34% for the fiscal year ended
September 30, 2006. The benchmark was difficult for active managers to beat this
period, and of the Fund's managers, only Lee Munder led the Russell 2000 Value
Index. Positive stock selection in the financials sector and a strategic
underweight to utilities could not overcome the Fund's relative underperformance
in the capital goods and retailing areas. On a manager level, Lee Munder boosted
returns through Capital Goods and Energy holdings. Artisan was hurt from a large
overweight to energy, but made up some ground in the consumer staples area.
Consumer discretionary stocks detracted from DJ Greene's performance, though the
manager had positive stock selection in the information technology sector; the
opposite was true for BlackRock. Most of LSV's underperformance came via
information technology and consumer discretionary securities. Martingale was
hurt on a broad basis from the market's lack of focus on stocks with strong
value or growth characteristics. Finally, WMC's outperformance versus the WRESI
Index was due to strong and broad stock selection within REIT securities.
- --------------------------------------------------------------------------------
12 SEI Institutional Managed Trust / Annual Report / September 30, 2006
Small Cap Value Fund:
AVERAGE ANNUAL TOTAL RETURN 1
- --------------------------------------------------------------------------------
Annualized Annualized Annualized Annualized
One Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
- --------------------------------------------------------------------------------
Small Cap Value Fund,
Class A 10.34% 18.89% 16.27% 12.90% 13.75%
- --------------------------------------------------------------------------------
Small Cap Value Fund,
Class I 10.11% 18.59% 16.01% 12.77% 13.64%
- --------------------------------------------------------------------------------
Comparison of Change in the Value of a $100,000 Investment in the Small Cap
Value Fund, Class A and Class I, versus the Russell 2000 Value Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Small Cap Small Cap Russell 2000
Value Fund, Value Fund, Value
Class A Class I Index
9/30/96 $100,000 $100,000 $100,000
9/30/97 147,160 147,160 142,650
9/30/98 127,029 127,029 124,405
9/30/99 132,707 132,707 131,658
9/30/00 153,595 153,595 151,881
9/30/01 158,387 158,387 160,401
9/30/02 154,902 154,776 158,059
9/30/03 200,258 199,521 208,101
9/30/04 251,664 249,980 261,499
9/30/05 305,042 302,176 307,915
9/30/06 336,583 332,726 351,054
1 For the period ended 9/30/06. Past performance is no indication of future
performance. Class I Shares performance for the period prior to 2/11/02 is
performance derived from the performance of the Class A Shares. The
performance of Class I Shares may be lower than the performance of Class A
Shares because of different distribution fees paid by Class I shareholders.
Class A Shares were offered beginning 12/20/94 and Class I Shares were
offered beginning 2/11/02. Returns shown do not reflect the deduction of
taxes that a shareholder would pay on fund distributions or the redemption of
fund shares. The returns for certain periods reflect fee waivers and/or
reimbursements in effect for that period; absent fee waivers and
reimbursements, performance would have been lower.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 13
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2006
Small Cap Growth Fund
Objective
The investment objective of the Small Cap Growth Fund (the "Fund") is long-term
capital appreciation by investing in equity securities of smaller companies. The
Fund invests in the stocks of companies that have significant growth potential
in light of such characteristics as revenue and earnings growth and positive
earnings surprises.
Strategy
With respect to this Fund, SEI Investments Management Corporation ("SIMC")
employs a multi-manager structure to gain exposure to the entire universe of
small cap growth stocks, adding value through stock selection while minimizing
risk in the form of capitalization, valuation and economic sector exposures. The
Fund is jointly sub-advised by six investment managers. Assets of the Fund are
strategically allocated among its six sub-advisers, each of which has a
responsibility for stock selection for its respective assets under management.
Through various investment approaches, each sub-adviser contributes a particular
expertise or sub-style to the Fund. Mazama Capital Management ("Mazama") invests
primarily in stocks entering extended periods of growth not yet understood by
the market. Wellington Management Company ("WMC") focuses on companies that
demonstrate growth at reasonable prices. Delaware Management Company
("Delaware") focuses on companies with sustainable growth models that are
attractively valued. Lee Munder Investments ("Lee Munder") seeks companies
growing faster than the market while demonstrating skill in their ability to
differentiate an attractive stock from a good company. McKinley Capital
Management ("McKinley") emphasizes acceleration of the growth rate of companies
relative to the market's expectations and companies with positive earnings
surprises. Martingale Asset Management ("Martingale") employs a systematic
approach focused on relative valuation, sustainable growth, and management
quality. Each of the aforementioned sub-styles assumes a different importance in
determining overall style risk and must therefore be weighted accordingly.
Analysis
For the 12 months ended September 30, 2006, the Russell 2000 Growth Index gained
5.88%. The information technology and Financials sectors were the biggest
contributors to the performance of the Index over the past year. Real estate
securities continued to rise despite concerns of rich valuation, and increased
corporate capital expenditures on software and services boosted returns.
Contribution from the industrials sector, especially regarding capital goods and
transportation, slowed recently but was positive overall due to government
spending after 2005's hurricane season. Energy was one of two sectors posting a
negative return, as the lessening of both political turmoil and supply concerns
in the third quarter of 2006 mitigated returns previously generated during the
period. Health care also lagged the benchmark due to disappointing FDA outcomes
for many pharmaceutical and biotech companies.
The Small Cap Growth Fund, Class A posted a 3.92% for the fiscal year ended
September 30, 2006. Positive stock selection in the information technology and
energy sectors was mitigated by securities in the health care and retailing
areas. Three of the growth managers, Mazama, WMC and McKinley, outperformed the
broad market. Stock selection greatly helped all three managers, coming in the
information technology sector for Mazama, the financials sector for WMC, and the
energy sector for McKinley. Part of those managers' returns was mitigated by
securities in the health care area. Delaware countered some of its poor stock
selection in pharmaceuticals & biotech with its positioning and holdings in the
energy sector. Lee Munder was hurt in the information technology sector, but
made up some ground in industrials stocks. Systematic manager Martingale was
hurt on a broad basis from the market unrewarding stocks with strong value or
growth characteristics.
- --------------------------------------------------------------------------------
14 SEI Institutional Managed Trust / Annual Report / September 30, 2006
Small Cap Growth Fund:
AVERAGE ANNUAL TOTAL RETURN 1
- --------------------------------------------------------------------------------
Annualized Annualized Annualized Annualized
One Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
- --------------------------------------------------------------------------------
Small Cap Growth Fund,
Class A 3.92% 9.57% 8.49% 5.94% 11.32%
- --------------------------------------------------------------------------------
Small Cap Growth Fund,
Class I 3.68% 9.30% 8.21% 5.80% 11.22%
- --------------------------------------------------------------------------------
Comparison of Change in the Value of a $100,000 Investment in the Small Cap
Growth Fund, Class A and Class I, versus the Russell 2000 Growth Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Small Cap Small Cap Russell 2000
Growth Fund, Growth Fund, Growth
Class A Class I Index
9/30/96 $100,000 $100,000 $100,000
9/30/97 117,230 117,230 123,350
9/30/98 86,129 86,129 92,722
9/30/99 133,500 133,500 122,977
9/30/00 207,298 207,298 159,453
9/30/01 118,513 118,513 91,542
9/30/02 92,309 92,025 74,918
9/30/03 135,390 134,633 106,173
9/30/04 145,274 144,138 118,829
9/30/05 171,379 169,563 140,183
9/30/06 178,097 175,803 148,426
1 For the period ended 9/30/06. Past performance is no indication of future
performance. Class I Shares performance for the period prior to 8/6/01 is
performance derived from the performance of the Class A Shares. The
performance of Class I Shares may be lower than the performance of Class A
Shares because of different distribution fees paid by Class I shareholders.
Class A Shares were offered beginning 4/20/92 and Class I Shares were offered
beginning 8/6/01. Returns shown do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund shares.
The returns for certain periods reflect fee waivers and/or reimbursements in
effect for that period; absent fee waivers and reimbursements, performance
would have been lower.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 15
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2006
Mid-Cap Fund
Objective
The investment objective of the Mid-Cap Fund (the "Fund") is long-term capital
appreciation by investing primarily in equity securities of mid-sized companies
in a core style.
Strategy
Martingale Asset Management ("Martingale") employs a systematic approach focused
on valuation, relative performance and management quality. They select stocks of
companies that have low price-earnings ratios and price-book ratios, but that
also have high sustainable growth levels and the probability of high positive
earnings revisions.
Analysis
The Russell Mid-Cap Index continued its upward track, gaining 9.57% for the
fiscal year ended September 30, 2006. Energy was the only sector posting a
negative return, as the lessening of both political turmoil and supply concerns
in the third calendar quarter of 2006 mitigated returns previously generated
during the period. Financials were the biggest contributor to the performance of
the Index over the past year, as real estate securities continued to rise
despite concerns of a housing bubble. Contribution from the industrials sector,
especially capital goods and transportation, slowed recently but was positive
overall due to government spending after 2005's hurricane season. In addition,
the materials and telecommunication sectors outperformed, while utilities lagged
the benchmark.
The Mid-Cap Fund, Class A posted a return of 8.50% for the fiscal year ended
September 30, 2006. The Fund benefited from positive stock selection across
several areas, including information technology, consumer discretionary, and
capital goods. An underweight to energy, the worst performing sector for the
period, also boosted returns. Specific securities in the health care & equipment
and materials industries hurt the Fund. Martingale's focus on relative valuation
and management quality were beneficial as investors generally migrated toward
value stocks over this period. However, Martingale's focus on sustainable growth
and momentum detracted from the portfolio. Going forward, the portfolio will
continue to be broadly diversified across all sectors and will provide exposure
to mid-cap stocks in the domestic equity stock market.
Mid-Cap Fund:
AVERAGE ANNUAL TOTAL RETURN 1
- --------------------------------------------------------------------------------
Annualized Annualized Annualized Annualized
One Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
- --------------------------------------------------------------------------------
Mid-Cap Fund,
Class A 8.50% 19.34% 16.19% 11.81% 12.08%
- --------------------------------------------------------------------------------
Comparison of Change in the Value of a $100,000 Investment in the Mid-Cap Fund,
Class A, versus the Russell Mid-Cap Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Mid-Cap Fund Russell Mid-Cap Index
9/30/96 $100,000 $100,000
9/30/97 143,130 135,060
9/30/98 121,074 126,943
9/30/99 141,087 151,633
9/30/00 179,378 199,580
9/30/01 144,238 154,954
9/30/02 139,420 141,039
9/30/03 179,741 187,060
9/30/04 219,697 225,501
9/30/05 281,542 282,101
9/30/06 305,473 309,098
1 For the period ended 9/30/06. Past performance is no indication of future
performance. Fund shares were offered beginning 2/16/93. Returns shown do not
reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares. The returns for certain
periods reflect fee waivers and/or reimbursements in effect for that period;
absent fee waivers and reimbursements, performance would have been lower.
- --------------------------------------------------------------------------------
16 SEI Institutional Managed Trust / Annual Report / September 30, 2006
U.S. Managed Volatility Fund
Objective
The investment objective of the U.S. Managed Volatility Fund (the "Fund") is to
invest in common stocks and other equity securities and employs a broad range of
investment strategies intended to generate capital appreciation, but with a
lower level of volatility than the broad U.S. equity markets.
Strategy
The Fund uses a multi-manager approach, relying on a number of sub-advisers with
differing investment approaches to manage portions of the Fund's portfolio under
the general supervision of SEI Investments Management Corporation ("SIMC"). Each
sub-adviser, in managing its portion of the Fund's assets, employs various
investment strategies intended to achieve returns similar to that of the broad
U.S. equity markets, but with a lower level of volatility over the long-term.
The Fund seeks to achieve lower volatility by constructing a portfolio of
securities that effectively weights securities based on their total expected
risk and return, without regard to market capitalization, industry or tracking
error targets relative to the broad market. As such, the Fund is expected to
have meaningful differentiations in terms of sector weights and short-term
performance relative to broad market indices.
The Fund utilizes Aronson + Johnson + Ortiz and Analytic Investors as
sub-advisers, each brings a differentiated investment and risk model.
Analysis
The U.S. Managed Volatility Fund, Class A gained 7.64% for the fiscal year ended
September 30, 2006. The S&P 500 Composite Index returned 10.79% for the fiscal
year ended September 30, 2006.
The U.S. Equity market returned just over 10% for the fiscal year ending
September 30, 2006. During the fourth quarter of 2005, energy prices eased after
running up sharply during Hurricane Katrina. While energy prices regained their
strength at the start of 2006, healthy employment gains and strong corporate
profits gave a boost to equity markets through April 2006. Things turned
negative in May when Federal Reserve Board ("Fed") Chairman Ben Bernanke
expressed he was more concerned about keeping inflation at bay rather than
promoting growth. The market took this to mean that there were more interest
rate hikes to come. The comments sent stocks with high growth expectations and
longer durations tumbling as interest rates rose. Sentiments turned again in
July 2006 as the Fed stopped raising interest rates and the markets bet that
this would be a full stop in rate hikes rather than a pause. Sharply falling
energy prices towards the end of the fiscal year only served to solidify the
market's view, and interest rates continued to fall across the yield curve.
Lower interest rates and energy prices gave a boost to equities, which staged a
strong rally in the last two months of the fiscal year.
Given the Fund is not managed against a specific benchmark, SIMC would expect it
to vary significantly from the broad market performance on a shorter-term basis.
In particular, the Fund generally favors stocks with relatively low beta to the
overall equity market, such as utilities and consumer staples, and largely
avoids stocks with high beta, such as information technology. For the fiscal
period, an underweight to information technology and energy helped performance,
but an overweight to utilities dampened relative results. In addition, the Fund
did not own some of the largest banks in the Index, which held back relative
returns as that industry performed particularly well during the fiscal year.
There were no sub-adviser changes during the fiscal year.
U.S. Managed Volatility Fund:
AVERAGE ANNUAL TOTAL RETURN 1
- --------------------------------------------------------------------------------
Annualized
One Year Inception
Return to Date
- --------------------------------------------------------------------------------
U.S. Managed Volatility Fund, Class A 7.64% 11.69%
- --------------------------------------------------------------------------------
Comparison of Change in the Value of a $150,000 Investment in the U.S. Managed
Volatility Fund, Class A, versus the S&P 500 Composite Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
U.S. Managed Volatility S&P 500 Composite
Fund Index
10/28/04 $150,000 $150,000
9/30/05 172,385 166,245
9/30/06 185,555 184,183
1 For the period ended 9/30/06. Past performance is no indication of future
performance. Fund shares were offered beginning 10/28/04. Returns shown do
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares. The returns for certain
periods reflect fee waivers and/or reimbursements in effect for that period;
absent fee waivers and reimbursements, performance would have been lower.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 17
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2006
Real Estate Fund
Objective
The investment objective of the Real Estate Fund (the "Fund") is total return
including current income and capital appreciation by investing in real estate
securities.
Strategy
With respect to this Fund, SEI Investments Management Corporation ("SIMC")
employs a multi-manager structure to gain exposure to the entire real estate
sector in the United States. The Fund is non-diversified and expects to hold a
small number of securities, thus increasing the importance of each holding. The
Fund will invest at least 80% of its net assets in equity securities of real
estate investment companies and real estate operating companies. The Fund is
jointly sub-advised by two investment managers. Assets of the Fund are
strategically allocated among its two sub-advisers, each of which has a
responsibility for stock selection for its respective assets under management.
Through various investment approaches, each sub-adviser contributes a particular
expertise or sub-style to the Fund. Security Capital Research and Management
("Security Capital") integrates research on real estate sub-market analysis with
fundamental company analysis to find attractively priced securities. Wellington
Management Company ("WMC") utilizes a unique risk/reward relative valuation
assessment to identify attractive real estate investments.
Analysis
The Wilshire Real Estate Securities (Full Cap) Index rose 28.23% for the year
ended September 30, 2006. The continued rally in the real estate segment of the
market was broad-based with all real estate industries posting positive returns.
One of the largest contributors to the Index's performance during the period was
the apartment industry, while the manufactured homes industry was one of the
worst. Apartment REITs benefited from the slowdown in the new home building and
single family reseller markets. Commercial real estate fundamentals remained
strong as the financial health of corporations remains intact.
The Real Estate Fund, Class A returned 30.44% for the fiscal year ended
September 30, 2006. Security Capital had substantial influence on the Fund, as
its stock selection in office and regional mall holdings drove the Fund's
return. Security Capital's overweight to the outperforming apartments industry
also boosted performance. WMC positively contributed to the Fund's returns as
well, due to specific holdings in strip centers and hotels. However, an
overweight to the underperforming regional mall industry mitigated some of the
WMC's gain.
Real Estate Fund:
AVERAGE ANNUAL TOTAL RETURN 1
- --------------------------------------------------------------------------------
Annualized
One Year Inception
Return to Date
- --------------------------------------------------------------------------------
Real Estate Fund, Class A 30.44% 28.26%
- --------------------------------------------------------------------------------
Comparison of Change in the Value of a $100,000 Investment in the Real Estate
Fund, Class A, versus the Wilshire Real Estate Securities (Full Cap) Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Wilshire Real Estate
Real Estate Fund, Securities (Full Cap)
Class A Index
11/13/03 $100,000 $100,000
9/30/04 120,812 120,299
9/30/05 157,019 155,234
9/30/06 204,815 199,057
1 For the period ended 9/30/06. Past performance is no indication of future
performance. Fund shares were offered beginning 11/13/03. Returns shown do
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares. The returns for certain
periods reflect fee waivers and/or reimbursements in effect for that period;
absent fee waivers and reimbursements, performance would have been lower.
- --------------------------------------------------------------------------------
18 SEI Institutional Managed Trust / Annual Report / September 30, 2006
Core Fixed Income Fund
Objective
The investment objective of the Core Fixed Income Fund (the "Fund") is current
income and preservation of capital.
Strategy
The Fund's investment strategy focuses on sector rotation, both among and within
sectors, and issue selection. Risk is principally controlled by explicitly
limiting fund interest rate exposure relative to the Lehman Aggregate Bond
Index. The Fund's sub-advisers focus on four key areas in determining portfolio
structure: duration weighting, term structure, sector allocation and issue
selection. While the duration and term structure decision underlie the
implementation process, the sub-advisers primarily concentrate on sector and
issue selection to add value. In addition, the sub-advisers may use derivatives
(including forward currency contracts) for tactical hedging purposes and to
enhance the Fund's return.
Analysis
The U.S. investment grade bond market returned 3.47% for the fiscal year ended
September 30, 2006 as measured by the Lehman Aggregate Bond Index. The Core
Fixed Income Fund, Class A posted a 3.60% return for the same period. The
majority of the return was generated in the third quarter of 2006, when bond
prices soared in reaction to the Federal Reserve's decision not to raise
interest rates at their August and September meetings. This marked change in
monetary policy followed two years of restrictive policy during which the
Federal Reserve Board ("Fed") gradually raised the Fed Funds rate from 1.00% to
the current 5.25% in an attempt to slow formidable Gross Domestic Product
("GDP") growth while restraining inflation. While short term interest rates
climbed about 0.50% over the fiscal year, long term interest rates rose only
0.20%. This change in the shape of the yield curve to a flatter structure
indicated that investors were convinced that the Fed, led by the new chairman,
Dr. Benjamin Bernanke, would attain their long term goal of price stability.
Investors maintained their resolve in the market, even in the face of escalating
commodity prices and decelerating home prices and geopolitical forces.
The spread sectors of the market enjoyed strong results as well due to continued
strong corporate fundamentals and favorable domestic and foreign demand for the
asset class. All of the spread sectors experienced positive absolute and excess
returns for the year while the commercial mortgage-backed sector was the star
performer. On a quality basis, AA rated and BBB rated securities did the best
while the financial and utility sectors outperformed industrial bonds due to
their lessened exposure to leveraging transactions.
Various strategies in the Fund allowed it to exceed the market return, with
security selection being the primary driver of excess returns. Holdings in the
automotive sector significantly rebounded on announced turnaround strategies by
General Motors and Ford Motor Company, and energy holdings performed well in the
higher commodity price environment. Performance was also enhanced by superior
security selection in the mortgage (MBS), asset-backed (ABS) and commercial
mortgage-backed (CMBS) sectors. Identifying, analyzing and capitalizing on
relative value opportunities in and between these high quality collateralized
securities greatly contributed to performance. Sector rotation also proved to be
a positive for the Fund, through higher than benchmark allocations to MBS, ABS
and CMBS. One strategy that did not work well in 2006 was the Fund's interest
rate strategy. The tactical duration positioning of the Fund detracted from
performance as did the yield curve strategy. While tactical throughout the
period, the Fund generally maintained a longer than benchmark duration for the
first half of 2006 on the expectation that the Fed would soon stop raising
rates. Instead, interest rates rose during that timeframe, negatively impacting
performance.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 19
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2006
Core Fixed Income Fund:
AVERAGE ANNUAL TOTAL RETURN 1
- --------------------------------------------------------------------------------
Annualized Annualized Annualized Annualized
One Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
- --------------------------------------------------------------------------------
Core Fixed Income,
Class A 3.60% 3.60% 4.66% 6.28% 7.02%
- --------------------------------------------------------------------------------
Core Fixed Income,
Class I 3.44% 3.34% 4.38% 6.15% 6.95%
- --------------------------------------------------------------------------------
Comparison of Change in the Value of a $100,000 Investment in the Core Fixed
Income Fund, Class A and Class I, versus the Lehman Aggregate Bond Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Core Fixed Core Fixed Lehman
Income Fund, Income Fund, Aggregate
Class A Class I Bond Index
9/30/96 $100,000 $100,000 $100,000
9/30/97 109,800 109,790 109,740
9/30/98 122,339 122,328 122,360
9/30/99 121,165 121,154 121,907
9/30/00 129,610 129,598 130,429
9/30/01 146,459 146,550 147,319
9/30/02 155,086 154,654 159,989
9/30/03 165,368 164,505 168,628
9/30/04 172,611 171,283 174,834
9/30/05 177,496 175,531 179,729
9/30/06 183,886 181,569 186,325
1 For the period ended 9/30/06. Past performance is no indication of future
performance. Class I Shares performance for the period prior to 8/6/01 is
performance derived from the performance of the Class A Shares. The
performance of Class I Shares may be lower than the performance of Class A
Shares because of different distribution fees paid by Class I shareholders.
Class A Shares were offered beginning 5/1/87 and Class I Shares were offered
beginning 8/6/01. Returns shown do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund shares.
The returns for certain periods reflect fee waivers and/or reimbursements in
effect for that period; absent fee waivers and reimbursements, performance
would have been lower.
- --------------------------------------------------------------------------------
20 SEI Institutional Managed Trust / Annual Report / September 30, 2006
High Yield Bond Fund
Objective
The investment objective of the High Yield Bond Fund (the "Fund") is to maximize
total return by investing primarily in a diversified portfolio of higher
yielding, lower rated fixed income securities. The strategy seeks to achieve a
high level of total return through sector rotation and security selection.
Strategy
Fund strategy is to identify high yield market sectors and securities that offer
investment opportunities through the analysis of macro-economic, interest rate,
industry, and technical factors. Those companies that are best suited to benefit
from the identified trends are then selected for investment. Risk is controlled
through a high level of diversification, and by performing detailed and ongoing
credit analysis on the companies considered and purchased.
Analysis
The Merrill Lynch U.S. High Yield Master II Constrained Index posted a 7.22%
return during the 12-month period ended September 30, 2006, as strong corporate
fundamentals and low default rates continued to support the market. Air
transportation was the top performing sector as a combination of more
fare-paying passengers and fewer empty seats resulted in marked improvement for
the airlines. After entering the high yield arena in mid-2005 as two of the
largest issuers in the Index, General Motors and Ford Motor Company, continued
to set the tone for most of the fiscal year as the market observed the company's
moves to rebound from recent struggles such as soaring employee-related costs
and shrinking market share. The healthcare sector was the worst performing
sector as diagnostic imaging companies came under pressure due to concerns about
Medicare reimbursement cuts and the announcement of the Healthcare Corporation
of America (HCA) leverage buyout. Moody's U.S. issuer-based default rate
continued to trend toward historical lows. The trailing twelve month reading of
1.92% was the lowest rate during the current economic cycle. The most notable
defaults occurred during the first quarter of the fiscal year as auto supplier
Delphi, air carriers Delta and Northwest, and power generator Calpine all filed
for bankruptcy. The market is anticipating default rates to bottom in the coming
quarters and to slowly increase by the end of 2007.
The High Yield Bond Fund, Class A trailed the index with a 6.51% return for the
fiscal year ended September 30, 2006. The Fund's underweight to General Motors
was a negative for the period as their bonds were up sharply due to a reduction
in the workforce, an agreement to sell a majority stake in GMAC, and optimism
over a potential alliance with Nissan/Renault. The Fund's underweights to Qwest
Communications and Charter Communications were a negative as these were two of
the top contributors to the Index return. In the case of Charter, the company
gathered more subscribers with their triple-play offering of cable, phone, and
internet services. Qwest bonds benefited from the company continuing its recent
trend of notable operational and financial improvements. The Fund's underweight
to HCA was a positive as this company was one of the worst performers in the
Index as it was the subject of a massive leveraged buyout. The Fund's exposure
to structured credit, such as collateralized debt obligations, was a slight
positive as well.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 21
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2006
High Yield Bond Fund:
AVERAGE ANNUAL TOTAL RETURN 1
- --------------------------------------------------------------------------------
Annualized Annualized Annualized Annualized
One Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
- --------------------------------------------------------------------------------
High Yield Bond Fund,
Class A 6.51% 8.00% 9.75% 6.34% 7.76%
- --------------------------------------------------------------------------------
Comparison of Change in the Value of a $100,000 Investment in the High Yield
Bond Fund, Class A, versus the CS First Boston High Yield Index and the Merrill
Lynch U.S. High Yield Master II Constrained Index. 2*
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Merrill Lynch
High Yield U.S. High Yield
Bond Fund, CS First Boston Master II
Class A High Yield Index Constrained Index 2*
9/30/96 $100,000 $100,000 $100,000
9/30/97 115,300 115,720 115,300
9/30/98 117,894 115,118 118,159
9/30/99 122,032 119,665 122,720
9/30/00 121,923 121,963 123,825
9/30/01 116,119 115,950 116,234
9/30/02 122,447 119,255 114,979
9/30/03 146,790 152,706 148,093
9/30/04 162,702 173,046 166,353
9/30/05 173,619 183,965 177,316
9/30/06 184,922 198,204 190,118
1 For the period ended 9/30/06. Past performance is no indication of future
performance. Fund shares were offered beginning 1/11/95. Returns shown do not
reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares. The returns for certain
periods reflect fee waivers and/or reimbursements in effect for that period;
absent fee waivers and reimbursements, performance would have been lower.
2 The performance of the Merrill Lynch U.S. High Yield Master II Constrained
Index is shown on the line graph beginning from 9/30/97, with an initial
value of $115,300, which equals the value at the point in time of the
original $100,000 investment in the Fund. The Merrill Lynch U.S. High Yield
Master II Constrained Index was first established on 12/31/96.
* Previously the Fund's return had been compared to the CS First Boston High
Yield Index, but the sub-advisers believe that the Merrill Lynch U.S. High
Yield Master II Constrained Index is more representative of the Fund's
investment universe.
- --------------------------------------------------------------------------------
22 SEI Institutional Managed Trust / Annual Report / September 30, 2006
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund
September 30, 2006
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS# (UNAUDITED):
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
16.8% Financials
13.8% Information Technology
10.8% Health Care
10.6% Consumer Discretionary
9.1% Industrials
8.3% Asset-Backed Securities
6.3% Consumer Staples
5.7% Energy
5.2% Short-Term Investments
4.7% U.S. Government Mortgage-Backed Obligations
2.8% Materials
2.1% Telecommunication Services
1.8% Utilities
1.2% U.S. Government Agency Obligations
0.8% U.S. Treasury Obligations
0.0% Options
#Percentages based on total investments
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 88.3%
CONSUMER DISCRETIONARY -- 11.8%
Abercrombie & Fitch, Cl A (D) 10,400 $ 723
Advance Auto Parts 1,695 56
Amazon.com* 800 26
American Eagle Outfitters 40,889 1,792
AnnTaylor Stores* 30,700 1,285
Apollo Group, Cl A* 91,300 4,496
Autoliv 31,200 1,719
Autonation* 10,645 222
Autozone* 2,083 215
Best Buy (D) 15,600 836
Black & Decker 295 23
BorgWarner 2,000 114
Bright Horizons Family Solutions* 4,100 171
Brinker International (D) 58,763 2,356
Cablevision Systems, Cl A 106,321 2,415
Carmax* 2,100 88
CBS, Cl B (D) 42,983 1,211
Cheesecake Factory* 642 17
Chico's FAS* 24,700 532
Choice Hotels International 2,400 98
Circuit City Stores 12,800 321
Claire's Stores 8,700 254
Clear Channel Communications 7,480 216
Coach (D)* 35,495 1,221
Comcast, Cl A (D)* 135,234 4,983
Corinthian Colleges* 10,700 116
Darden Restaurants 43,804 1,860
Dillard's, Cl A 33,900 1,110
DIRECTV Group (D)* 371,803 7,317
Discovery Holding, Cl A* 5,600 81
Dollar Tree Stores* 7,900 245
Dover Downs Gaming & Entertainment 18,750 228
Dow Jones 4,500 151
DSW, Cl A* 1,100 35
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
E.W. Scripps, Cl A 1,371 $ 66
Eastman Kodak 23,800 533
EchoStar Communications, Cl A* 106,187 3,477
Expedia* 14,800 232
Family Dollar Stores 9,700 284
Federated Department Stores 22,424 969
Foot Locker 12,100 306
Ford Motor 25,696 208
Fortune Brands 377 28
GameStop, Cl A* 800 37
Gannett (D) 17,846 1,014
General Motors 72,044 2,396
Genuine Parts 9,963 430
Goodyear Tire & Rubber* 39,643 575
Gymboree* 9,100 384
Harley-Davidson 14,933 937
Harman International Industries 3,100 259
Harrah's Entertainment 710 47
Hasbro 69,796 1,588
Hilton Hotels 1,724 48
Home Depot (D) 92,858 3,368
IAC/InterActive (D)* 39,609 1,139
International Game Technology 178,921 7,425
ITT Educational Services* 35,900 2,380
J.C. Penney (D) 31,083 2,126
Jackson Hewitt Tax Service 6,300 189
Jarden* 18,400 607
Johnson Controls 20,977 1,505
Jones Apparel Group (D) 74,044 2,402
Kohl's (D)* 46,456 3,016
Lamar Advertising, Cl A* 4,035 215
Las Vegas Sands* 600 41
Liberty Global, Cl A* 6,304 162
Liberty Media Holding-Capital, Ser A* 5,845 488
Liberty Media Holding-Interactive, Cl A* 14,829 302
Limited Brands (D) 4,600 122
Liz Claiborne 5,800 229
Lowe's (D) 73,230 2,055
Marriott International, Cl A 66,408 2,566
Mattel 50,800 1,001
McDonald's (D) 38,042 1,488
McGraw-Hill (D) 37,848 2,196
Men's Wearhouse 3,400 126
Meredith 4,000 197
Meritage Homes* 5,200 216
MGM Mirage* 135,000 5,331
Michaels Stores 900 39
Newell Rubbermaid 18,502 524
News, Cl A* 89,077 1,750
Nike, Cl B 1,562 137
Nordstrom 38,263 1,618
NTL 1,949 50
Nutri/System* 2,100 131
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 23
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Office Depot (D)* 50,898 $ 2,021
OfficeMax 5,600 228
Omnicom Group 4,224 395
Panera Bread, Cl A* 630 37
Polo Ralph Lauren 3,100 201
Pool (D) 24,100 928
Rent-A-Center* 3,100 91
Ross Stores 22,400 569
Sears Holdings* 5,109 808
Select Comfort* 16,499 361
Shaw Communications, Cl B (D) 43,600 1,309
Sherwin-Williams 5,380 300
Snap-On 5,165 230
Sonic* 30,400 687
Staples 266,374 6,481
Starbucks* 19,759 673
Starwood Hotels & Resorts Worldwide 503 29
Station Casinos 4,000 231
Steven Madden 4,200 165
Target 3,645 201
Thor Industries 3,600 148
Tiffany 4,700 156
Time Warner (D) 160,967 2,934
TJX 27,751 778
Univision Communications, Cl A* 10,100 347
VF 1,218 89
Viacom, Cl B* 2,384 89
Walt Disney 92,621 2,863
Warner Music Group 1,600 41
Weight Watchers International 95,000 4,212
Wendy's International 2,797 187
Whirlpool 3,794 319
Wynn Resorts* 1,900 129
XM Satellite Radio Holdings, Cl A* 163,200 2,104
Yum! Brands (D) 27,755 1,445
--------------
127,278
--------------
CONSUMER STAPLES -- 7.1%
Alberto-Culver 1,500 76
Altria Group (D) 36,552 2,798
Anheuser-Busch (D) 34,873 1,657
Archer-Daniels-Midland (D) 124,665 4,722
Avon Products 1,300 40
BJ's Wholesale Club* 3,400 99
Brown-Forman, Cl B 25,732 1,972
Campbell Soup 6,871 251
Chattem* 14,200 499
Chiquita Brands International 59,200 792
Church & Dwight 4,600 180
Clorox 5,136 324
Coca-Cola (D) 61,705 2,757
Coca-Cola Enterprises 42,475 885
Colgate-Palmolive 12,412 771
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
ConAgra Foods 3,400 $ 83
Corn Products International 27,600 898
Costco Wholesale (D) 105,426 5,238
CVS 1,400 45
Dean Foods* 25,853 1,086
Del Monte Foods 16,548 173
Energizer Holdings* 24,161 1,739
Estee Lauder, Cl A 14,211 573
General Mills 6,700 379
Hansen Natural* 4,700 153
Herbalife* 13,600 515
Hershey 786 42
HJ Heinz 4,774 200
Hormel Foods 4,727 170
JM Smucker 13,900 667
Kellogg 6,175 306
Kimberly-Clark (D) 21,735 1,421
Kraft Foods, Cl A 10,420 372
Kroger (D)* 159,854 3,699
Loews - Carolina (D) 64,746 3,586
McCormick 5,653 215
Molson Coors Brewing, Cl B 2,400 165
Pepsi Bottling Group (D) 46,898 1,665
PepsiAmericas 5,164 110
PepsiCo (D) 50,847 3,318
Procter & Gamble (D) 149,949 9,294
Reynolds American 38,490 2,385
Safeway (D) 76,806 2,331
Smithfield Foods* 23,446 634
Supervalu 12,555 372
Sysco 1,355 45
USANA Health Sciences* 2,700 120
UST 3,800 208
Wal-Mart Stores (D) 219,288 10,815
Walgreen 132,319 5,874
Whole Foods Market 2,442 145
WM Wrigley Jr. 2,003 92
--------------
76,956
--------------
ENERGY -- 6.4%
Anadarko Petroleum 16,924 742
Apache 522 33
Arch Coal 8,848 256
Baker Hughes (D) 25,330 1,728
BJ Services 40,018 1,206
Cameron International* 7,288 352
Chesapeake Energy (D) 38,856 1,126
Chevron (D) 77,503 5,027
Cimarex Energy 1,000 35
CNX Gas* 1,700 39
ConocoPhillips (D) 63,972 3,808
Consol Energy 10,950 347
Devon Energy (D) 33,522 2,117
- --------------------------------------------------------------------------------
24 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Diamond Offshore Drilling 606 $ 44
EnCana (D) 33,100 1,545
EOG Resources 954 62
Exxon Mobil (D) 394,902 26,498
FMC Technologies* 5,900 317
Frontier Oil 2,700 72
Grant Prideco* 68 3
Halliburton 23,241 661
Helix Energy Solutions Group* 1,100 37
Helmerich & Payne 30,632 705
Hess (D) 56,813 2,353
Holly (D) 30,600 1,326
Kinder Morgan 2,665 279
Marathon Oil (D) 67,757 5,211
Nabors Industries* 45,568 1,356
Occidental Petroleum 7,250 349
Oceaneering International* 3,100 96
Overseas Shipholding Group 800 49
Patterson-UTI Energy 39,300 934
Petro-Canada (D)* 26,100 1,053
Pogo Producing 254 10
Schlumberger 3,876 240
SEACOR Holdings* 3,900 322
Smith International 874 34
Sunoco (D) 30,463 1,895
Superior Energy Services* 1,600 42
Talisman Energy (D) 39,700 650
Tesoro 8,600 499
Tetra Technologies* 1,300 31
Tidewater 45,842 2,026
Unit (D)* 24,694 1,135
Valero Energy 15,630 804
XTO Energy 31,033 1,307
--------------
68,761
--------------
FINANCIALS -- 18.2%
A.G. Edwards 44,986 2,397
Affiliated Managers Group* 3,168 317
Affordable Residential Communities+* 6,700 65
Aflac 14,316 655
Allied Capital 9,092 275
Allstate (D) 48,032 3,013
AMB Property+ 800 44
AMBAC Financial Group (D) 20,300 1,680
American Capital Strategies 4,906 194
American Express 46,001 2,580
American Financial Group 25,918 1,216
American Home Mortgage Investment+ 9,700 338
American International Group 36,450 2,415
AmeriCredit* 36,900 922
Ameriprise Financial 15,088 708
AmerUs Group 2,100 143
AmSouth Bancorp 20,495 595
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Annaly Mortgage Management+ 38,800 $ 510
Anthracite Capital+ 1,004 13
AON 71,614 2,426
Apartment Investment & Management, Cl A + 1,141 62
Archstone-Smith Trust+ 2,630 143
Arthur J Gallagher 8,020 214
Assurant (D) 16,474 880
Astoria Financial 1,735 53
AvalonBay Communities+ 3,347 403
Bank of America (D) 141,280 7,568
Bank of Hawaii 1,041 50
Bank of New York 16,500 582
BB&T 16,239 711
Bear Stearns (D) 11,972 1,677
BlackRock, Cl A 2,147 320
Boston Properties+ 1,056 109
Brandywine Realty Trust+ 1,100 36
BRE Properties, Cl A+ 5,200 311
Brown & Brown 11,188 342
Camden Property Trust+ 2,274 173
Capital One Financial 11,789 927
CapitalSource+ 10,800 279
CB Richard Ellis Group, Cl A (D)* 76,700 1,887
Charles Schwab 15,281 274
Chicago Mercantile Holdings 12,874 6,157
Chubb 10,218 531
Cincinnati Financial 2,400 115
CIT Group 30,038 1,461
Citigroup (D) 263,649 13,095
City National 194 13
CNA Financial* 3,800 137
Colonial BancGroup 13,300 326
Comerica 34,945 1,989
Commerce Bancorp 8,487 312
Commerce Bancshares 6,420 325
Compass Bancshares 3,274 187
Conseco* 9,765 205
Countrywide Financial (D) 77,614 2,720
Credicorp 21,700 911
Cullen/Frost Bankers 6,200 358
Duke Realty+ 6,800 254
E*Trade Financial* 5,000 120
East West Bancorp 6,200 246
Eaton Vance 5,100 147
Equity Office Properties Trust+ 250 10
Equity Residential+ 8,441 427
Erie Indemnity, Cl A 1,994 104
Essex Property Trust+ 2,100 255
Fannie Mae 1,647 92
Federal Realty Investment Trust+ 1,309 97
Federated Investors, Cl B 8,495 287
Fidelity National Financial 5,601 233
Fifth Third Bancorp 900 34
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 25
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
First American 25,114 $ 1,063
First Cash Financial Services* 20,100 414
First Horizon National 1,321 50
First Marblehead 22,700 1,572
Forest City Enterprises, Cl A 5,630 306
Franklin Resources 12,681 1,341
Freddie Mac 4,135 274
Fulton Financial 2,368 38
Genworth Financial, Cl A 10,600 371
Golden West Financial 3,420 264
Goldman Sachs Group (D) 34,224 5,790
Hanover Insurance Group 11,274 503
Hartford Financial Services Group 27,349 2,372
HCC Insurance Holdings 7,451 245
Horace Mann Educators 6,500 125
Hospitality Properties Trust+ 6,287 297
Host Hotels & Resorts+ (D) 130,186 2,985
Hudson City Bancorp 33,200 440
Huntington Bancshares 1,100 26
IndyMac Bancorp 30,700 1,264
Investment Technology Group* 1,600 72
Investors Financial Services 2,700 116
iStar Financial+ 15,500 646
Jefferies Group 11,300 322
JER Investors Trust+ 7,400 127
Jones Lang LaSalle 26,100 2,231
JPMorgan Chase (D) 270,983 12,725
Keycorp (D) 35,278 1,321
Kilroy Realty+ 900 68
KKR Financial+* 1,300 32
LandAmerica Financial Group 1,100 72
Legg Mason 4,895 494
Lehman Brothers Holdings (D) 76,615 5,659
Leucadia National 18,900 495
Lincoln National 2,674 166
Loews 129,443 4,906
M&T Bank 4,024 483
Macerich+ 509 39
Markel* 929 381
Marsh & McLennan 20,297 571
Marshall & Ilsley 1,735 84
MBIA 1,200 74
Mellon Financial 18,200 712
Mercantile Bankshares 8,515 309
Mercury General 1,000 50
Merrill Lynch (D) 73,104 5,718
Metlife 96,917 5,493
MGIC Investment 17,253 1,035
Moody's 103,218 6,748
Morgan Stanley (D) 76,022 5,543
Nasdaq Stock Market* 1,200 36
National City (D) 43,802 1,603
Nationwide Financial Services, Cl A 2,200 106
New Century Financial+ 11,900 468
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
New York Community Bancorp 21,560 $ 353
Newcastle Investment+ 8,600 236
North Fork Bancorporation 5,000 143
Northern Trust 8,462 494
Nuveen Investments, Cl A 6,600 338
NYSE Group* 600 45
Old Republic International 27,600 611
Peoples Bank 747 30
Philadelphia Consolidated Holding* 1,000 40
Plum Creek Timber+ 521 18
PMI Group (D) 50,100 2,195
PNC Financial Services Group 54,912 3,978
Principal Financial Group (D) 22,400 1,216
Progressive 39,104 960
Prologis+ 2,335 133
Protective Life 347 16
Prudential Financial 4,600 351
Public Storage+ 3,313 285
Radian Group (D) 45,677 2,741
Ramco-Gershenson Properties+ 7,200 230
Raymond James Financial 10,000 292
Rayonier+ 46,113 1,743
Reckson Associates Realty+ 6,500 278
Regency Centers+ 483 33
Regions Financial 13,754 506
Reinsurance Group of America 3,200 166
Safeco (D) 41,789 2,463
Simon Property Group+ 329 30
SL Green Realty+ 2,820 315
SLM 9,024 469
St. Paul Travelers (D) 48,168 2,259
Stancorp Financial Group 6,800 303
State Street 32,603 2,034
SunTrust Banks 13,770 1,064
Synovus Financial 5,659 166
T Rowe Price Group 8,554 409
Taubman Centers+ 5,374 239
TCF Financial 9,100 239
TD Ameritrade Holding 5,391 102
TD Banknorth 1,559 45
Torchmark 6,371 402
Transatlantic Holdings 1,164 70
Trizec Properties+ 4,300 124
UnionBanCal (D) 19,200 1,169
United Dominion Realty Trust+ 424 13
UnumProvident 2,550 49
US Bancorp (D) 129,023 4,286
Valley National Bancorp 10,800 276
Vornado Realty Trust+ 1,162 127
Wachovia (D) 76,632 4,276
Washington Federal 5,400 121
Washington Mutual (D) 99,502 4,325
Wells Fargo (D) 136,618 4,943
Whitney Holding 3,500 125
- --------------------------------------------------------------------------------
26 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Wilmington Trust 4,883 $ 218
WR Berkley (D) 37,135 1,314
Zions Bancorporation 5,015 400
--------------
197,106
--------------
HEALTH CARE -- 11.9%
Abbott Laboratories 17,175 834
Advanced Medical Optics* 17,000 672
Aetna (D) 29,876 1,182
Allergan 60,397 6,801
AmerisourceBergen (D) 88,617 4,006
Amgen (D)* 84,600 6,051
Amylin Pharmaceuticals* 3,200 141
Applera - Applied Biosystems Group 16,324 541
Barr Pharmaceuticals* 10,530 547
Baxter International (D) 30,970 1,408
Becton Dickinson (D) 22,548 1,594
Biogen Idec* 16,278 727
Biomet 900 29
Biosite* 2,800 129
Boston Scientific* 31,400 464
Bristol-Myers Squibb 11,367 283
C.R. Bard 600 45
Cardinal Health (D) 111,077 7,302
Caremark Rx (D) 51,386 2,912
Celgene* 10,306 446
Cephalon* 6,297 389
Cerner* 12,188 553
Cigna (D) 8,864 1,031
CNS 1,744 49
Community Health Systems* 786 29
Covance* 1,512 100
Coventry Health Care (D)* 20,562 1,059
Cytyc* 27,800 681
Dade Behring Holdings (D) 23,215 932
DaVita* 1,710 99
Dentsply International 3,800 114
Eli Lilly (D) 26,789 1,527
Emdeon* 132,900 1,556
Endo Pharmaceuticals Holdings* 1,756 57
Express Scripts* 17,150 1,295
Fisher Scientific International* 1,409 110
Forest Laboratories (D)* 40,722 2,061
Genentech* 108,663 8,986
Gilead Sciences* 6,300 433
HCA 2,899 145
Health Management Associates, Cl A 957 20
Health Net* 66,683 2,902
Henry Schein* 30,592 1,534
Hillenbrand Industries 3,100 177
Hospira* 8,012 307
Humana* 13,958 923
Idexx Laboratories* 23,077 2,103
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
ImClone Systems* 14,000 $ 397
IMS Health 5,750 153
Intuitive Surgical* 500 53
Invitrogen* 433 27
Johnson & Johnson (D) 145,419 9,444
Kinetic Concepts* 1,100 35
King Pharmaceuticals* 62,298 1,061
Laboratory of America Holdings* 23,475 1,539
Lincare Holdings* 29,942 1,037
Manor Care 26,383 1,379
McKesson (D) 102,870 5,423
Medco Health Solutions (D)* 91,380 5,493
Medimmune* 9,441 276
Medtronic 26,592 1,235
Merck (D) 54,336 2,277
Millennium Pharmaceuticals* 88,800 884
Millipore* 1,962 120
Mylan Laboratories 85,992 1,731
Omnicare 8,636 372
Pediatrix Medical Group* 700 32
PerkinElmer 13,400 254
Pfizer (D) 268,717 7,621
Pharmaceutical Product Development 6,118 218
Quest Diagnostics 8,704 532
Resmed* 4,012 162
Schering-Plough 10,696 236
Sierra Health Services* 19,400 734
St. Jude Medical* 3,439 121
Stryker 504 25
Techne* 5,586 284
Tenet Healthcare* 33,511 273
Thermo Electron* 21,294 838
UnitedHealth Group 174,972 8,609
Universal Health Services, Cl B 1,239 74
Varian Medical Systems* 5,583 298
VCA Antech* 7,400 267
Vertex Pharmaceuticals* 1,300 44
Waters (D)* 18,063 818
Watson Pharmaceuticals* 3,713 97
WellCare Health Plans* 3,200 181
WellPoint* 9,345 720
West Pharmaceutical Services 349 14
Wyeth (D) 60,073 3,054
Zimmer Holdings* 82,600 5,576
--------------
129,304
--------------
INDUSTRIALS -- 10.2%
3M 6,445 480
Acuity Brands 5,500 250
AGCO* 1,100 28
Allied Waste Industries* 7,900 89
Ametek 903 39
AMR* 109,441 2,532
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 27
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Applied Industrial Technologies (D) 4,950 $ 121
Aramark, Cl B 10,074 331
Armor Holdings* 8,531 489
Avery Dennison 2,430 146
Avis Budget Group 33,800 618
Belden CDT 1,300 50
Boeing (D) 85,740 6,761
Brink's 5,500 292
Builders FirstSource* 1,500 23
Burlington Northern Santa Fe 16,928 1,243
Canadian National Railway (D) 33,300 1,397
Carlisle 9,600 807
Caterpillar 60,372 3,972
CH Robinson Worldwide 21,677 966
ChoicePoint* 4,974 178
Cintas 800 33
Con-way 19,440 871
Continental Airlines, Cl B* 3,000 85
Corporate Executive Board 5,321 478
Corrections of America* 4,500 195
Covanta Holding* 1,800 39
Crane 4,800 201
CSX 26,252 862
Cummins (D) 23,400 2,790
Danaher 3,545 243
Deere 2,300 193
Donaldson 2,600 96
Dover 12,900 612
Dun & Bradstreet (D)* 21,374 1,603
Eaton 12,175 838
Emerson Electric (D) 22,078 1,851
Equifax 3,857 142
Expeditors International Washington 122,848 5,477
Fastenal 9,300 359
FedEx 11,700 1,272
Flowserve* 17,025 861
Fluor 31,029 2,386
Gardner Denver* 21,100 698
General Dynamics 6,082 436
General Electric (D) 231,144 8,159
Genlyte Group* 300 21
Graco 1,600 62
H&E Equipment Services* 12,800 312
Harsco 1,800 140
Herman Miller (D) 30,772 1,053
HNI 5,183 216
Honeywell International (D) 132,921 5,436
Hubbell, Cl B 700 34
Illinois Tool Works (D) 24,500 1,100
Ingersoll-Rand, Cl A (D) 46,254 1,757
ITT Industries 3,318 170
Jacobs Engineering Group* 20,510 1,533
JB Hunt Transport Services 25,100 521
John H. Harland 1,400 51
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Kennametal 2,000 $ 113
L-3 Communications Holdings 7,774 609
Laidlaw International (D) 38,600 1,055
Landstar System 2,500 107
Lennox International 1,511 35
Lincoln Electric Holdings 600 33
Lockheed Martin (D) 28,637 2,465
Manitowoc 2,900 130
Manpower 5,700 349
Masco 29,400 806
MSC Industrial Direct, Cl A 3,100 126
Norfolk Southern 9,877 435
Northrop Grumman (D) 48,983 3,334
Oshkosh Truck 5,300 267
Paccar (D) 43,814 2,498
Parker Hannifin 25,201 1,959
Pitney Bowes 974 43
Precision Castparts 6,280 397
Raytheon (D) 43,312 2,079
Republic Services 1,603 64
Robert Half International 11,100 377
Rockwell Automation 8,300 482
Rockwell Collins 2,154 118
Roper Industries 1,038 46
RR Donnelley & Sons 14,065 464
Ryder System 34,100 1,762
Southwest Airlines (D) 89,188 1,486
Spherion* 4,600 33
SPX 1,494 80
Stericycle* 2,935 205
Swift Transportation* 26,349 625
Teleflex 10,200 568
Terex* 50,252 2,272
Textron 6,200 543
Thomas & Betts* 26,649 1,271
Timken 43,680 1,301
Toro 1,700 72
Trinity Industries 20,300 653
Tyco International 95,434 2,671
UAL* 19,298 513
Union Pacific 33,017 2,905
United Parcel Service, Cl B 101,359 7,292
United Rentals* 9,111 212
United Technologies 11,004 697
US Airways Group* 700 31
US Xpress Enterprises, Cl A* 3,200 74
USG* 6,701 315
Waste Management 13,200 484
WESCO International* 15,532 901
West* 1,265 61
WW Grainger 5,267 353
YRC Worldwide* 6,500 241
--------------
110,010
--------------
- --------------------------------------------------------------------------------
28 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 15.4%
Acxiom 28,200 $ 695
ADC Telecommunications* 9,700 145
Adobe Systems* 6,800 255
Advanced Energy Industries* 12,700 216
Affiliated Computer Services, Cl A* 1,400 73
Agere Systems* 100,416 1,499
Agilent Technologies (D)* 41,182 1,346
Akamai Technologies* 7,256 363
Alliance Data Systems* 5,500 304
Amphenol, Cl A 2,024 125
Analog Devices 18,800 553
Anixter International 18,500 1,045
Apple Computer* 6,448 497
Applied Materials 94,095 1,668
Ariba* 4,600 34
Arrow Electronics* 100,677 2,762
Atmel* 147,700 892
ATMI* 17,800 517
Autodesk* 1,736 60
Automatic Data Processing 9,701 459
Avaya* 11,774 135
Avnet* 110,335 2,165
Avocent* 16,700 503
BEA Systems* 9,700 147
BMC Software* 66,295 1,805
Broadcom, Cl A* 3,458 105
Cadence Design Systems (D)* 63,182 1,072
CDW 18,077 1,115
Ceridian* 16,300 364
CheckFree* 17,610 728
Cisco Systems (D)* 217,430 5,001
Citrix Systems* 6,715 243
Cognizant Technology Solutions, Cl A* 2,300 170
Computer Sciences* 30,076 1,477
Convergys* 44,600 921
DealerTrack Holdings* 300 7
Dell (D)* 53,080 1,212
Diebold 1,300 57
DST Systems* 14,221 877
eBay* 278,700 7,904
Electronic Data Systems (D) 152,086 3,729
Factset Research Systems 800 39
Fair Isaac (D) 23,627 864
Fidelity National Information Services 8,574 317
First Data 154,756 6,500
Fiserv (D)* 50,505 2,378
Freescale Semiconductor, Cl B* 40,344 1,533
Global Payments 10,365 456
Google, Cl A* 17,700 7,114
Harris 10,923 486
Hewlett-Packard (D) 294,463 10,804
Ingram Micro, Cl A* 83,683 1,603
Integrated Device Technology* 10,100 162
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Intel (D) 107,733 $ 2,216
International Business Machines (D) 134,499 11,021
Intersil, Cl A 4,582 112
Intuit* 243,772 7,823
Iron Mountain* 6,594 283
Itron* 5,800 324
Jabil Circuit* 5,093 146
Kla-Tencor 641 28
Lam Research* 9,892 448
Lexmark International, Cl A* 34,300 1,978
Linear Technology 7,389 230
Mastercard, Cl A 6,800 478
McAfee* 33,400 817
MEMC Electronic Materials (D)* 29,374 1,076
Mettler Toledo International* 3,562 236
Microchip Technology 1,047 34
Micron Technology* 11,700 204
Microsoft (D) 418,620 11,441
MicroStrategy, Cl A (D)* 10,122 1,031
Molex 9,100 355
MoneyGram International 38,400 1,116
Motorola (D) 83,896 2,097
National Instruments 3,500 96
National Semiconductor 2,036 48
NAVTEQ* 83,100 2,170
NCR* 42,528 1,679
Network Appliance* 8,065 298
Novellus Systems* 36,003 996
Nvidia* 724 21
Online Resources* 6,800 83
Oracle* 99,108 1,758
Paychex 159,641 5,883
Perficient* 4,500 71
QLogic* 57,208 1,081
Qualcomm (D) 281,129 10,219
RealNetworks* 4,600 49
Red Hat* 12,042 254
Reynolds & Reynolds, Cl A 3,200 126
Sabre Holdings, Cl A 24,147 565
SanDisk* 111,994 5,996
Seagate Technology 255,000 5,888
SonicWALL* 12,600 138
Sybase* 2,231 54
Symantec* 5,456 116
Symbol Technologies 3,600 53
Synopsys (D)* 65,486 1,291
Tech Data* 30,732 1,123
Tektronix 9,200 266
Texas Instruments (D) 102,364 3,404
Trimble Navigation* 1,000 47
VeriSign* 3,700 75
Vishay Intertechnology* 58,400 820
Websense* 17,800 385
Western Digital* 53,045 960
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 29
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Xerox* 52,388 $ 815
Xilinx 37,200 817
Yahoo!* 986 25
--------------
166,665
--------------
MATERIALS -- 3.1%
Air Products & Chemicals 1,400 93
Airgas 3,300 119
Albemarle 3,500 190
Alcoa 40,600 1,138
Allegheny Technologies 2,500 156
Ball 900 36
Bemis 7,800 256
Cabot 2,200 82
Carpenter Technology 700 75
Celanese, Ser A 86,283 1,544
Chaparral Steel* 1,800 61
Commercial Metals 2,200 45
Crown Holdings* 12,447 232
Cytec Industries 3,700 206
Dow Chemical (D) 29,894 1,165
E.I. du Pont de Nemours 3,000 129
Eagle Materials 34,479 1,161
Ecolab 10,698 458
Freeport-McMoRan Copper &
Gold, Cl B 2,600 139
Hercules* 43,236 682
Huntsman* 98,144 1,786
International Flavors & Fragrances 2,100 83
International Paper 8,400 291
IPSCO (D) 10,800 936
Lubrizol 159 7
Lyondell Chemical 12,200 310
Martin Marietta Materials (D) 11,762 995
Methanex 24,200 589
Monsanto 1,212 57
Nalco Holding* 293 5
Newmont Mining (D) 37,600 1,607
Nucor 6,100 302
OM Group* 20,300 892
Owens-Illinois* 79,573 1,227
Pactiv* 58,686 1,668
Phelps Dodge (D) 17,600 1,491
PPG Industries 700 47
Praxair 101,315 5,994
Reliance Steel & Aluminum 27,601 887
Rohm & Haas 4,500 213
RPM International 2,300 44
Scotts Miracle-Gro, Cl A 2,018 90
Sealed Air 2,309 125
Sigma-Aldrich 847 64
Smurfit-Stone Container* 17,600 197
Sonoco Products 6,277 211
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Steel Dynamics 23,700 $ 1,196
Temple-Inland 23,371 937
Titanium Metals* 1,300 33
United States Steel 26,300 1,517
Valspar 1,500 40
Vulcan Materials 25,335 1,982
Weyerhaeuser 415 26
Wheeling-Pittsburgh* 2,600 45
--------------
33,861
--------------
TELECOMMUNICATION SERVICES -- 2.3%
Alltel (D) 24,013 1,333
American Tower, Cl A* 4,559 166
AT&T (D) 109,487 3,565
BCE* 26,077 706
Bell Aliant Regional Communications
Income Fund (Canada) (H)* 2,066 65
BellSouth 41,555 1,776
CenturyTel 36,094 1,432
Citizens Communications 131,711 1,849
Crown Castle International* 10,715 378
Embarq 4,523 219
Leap Wireless International* 800 39
Qwest Communications International* 133,395 1,163
Rogers Communications, Cl B 28,200 1,547
Sprint Nextel (D) 199,387 3,420
Telephone & Data Systems 29,145 1,227
US Cellular* 36,384 2,172
Verizon Communications (D) 94,645 3,514
Windstream 5,752 76
--------------
24,647
--------------
UTILITIES -- 1.9%
AES* 23,544 480
Allegheny Energy* 3,121 125
Alliant Energy 15,100 540
American Electric Power 25,343 922
Aqua America 2,076 46
CenterPoint Energy 2,888 41
CMS Energy* 301 4
Consolidated Edison 1,392 64
Dominion Resources 5,197 397
DPL 9,922 269
DTE Energy 1,045 43
Duke Energy 1,178 36
Edison International (D) 116,146 4,836
Energen 44,962 1,883
Energy East 2,600 62
Entergy 13,600 1,064
Equitable Resources 621 22
Exelon 4,074 247
FirstEnergy (D) 14,965 836
- --------------------------------------------------------------------------------
30 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Shares/Contracts/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FPL Group 145 $ 7
Hawaiian Electric Industries 1,100 30
KeySpan 4,400 181
MDU Resources Group 15,196 339
Mirant* 3,900 106
National Fuel Gas 15,500 563
Northeast Utilities 2,000 47
NRG Energy* 15,700 711
OGE Energy 2,100 76
Oneok 1,100 42
Pepco Holdings 2,400 58
PG&E (D) 28,036 1,168
Pinnacle West Capital 300 13
PPL 562 18
Public Service Enterprise Group 11,330 693
Puget Energy 2,424 55
Questar 1,571 128
Reliant Energy* 4,000 49
SCANA 739 30
Sempra Energy 22,525 1,132
Sierra Pacific Resources* 2,500 36
Southern 1,827 63
Southern Union 10,100 267
TXU (D) 32,631 2,040
UGI 13,300 325
Wisconsin Energy 10,400 449
WPS Resources 2,700 134
Xcel Energy 5,071 105
--------------
20,782
--------------
Total Common Stock
(Cost $921,800) ($ Thousands) 955,370
--------------
PURCHASED OPTIONS -- 0.0%
December 2006 120 Day Euro
Futures Call, Expires 12/16/06,
Strike Price $95* 98 70
October 2006 90 Day Euro
Futures Put, Expires 10/14/06,
Strike Price $94.375* 33 --
--------------
Total Purchased Options
(Cost $79) ($ Thousands) 70
--------------
ASSET-BACKED SECURITIES -- 9.3%
MORTGAGE RELATED SECURITIES -- 9.3%
ABSC NIM Trust, Ser 2005-HE6,
Cl A1 (E)
5.050%, 08/27/35 $ 141 140
ACE Securities, Ser 2005-HE3,
Cl A2A (C)
5.430%, 05/25/35 253 253
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Ace Securities, Ser 2003-OP1,
Cl M1 (C)
6.030%, 10/26/06 $ 500 $ 503
Aegis Asset-Backed Securities Trust,
Ser 2003-3, Cl M1 (C)
6.030%, 10/25/06 129 129
American Home Mortgage Assets,
Ser 2006-3, Cl M5 (C)
5.330%, 10/25/46 250 250
American Home Mortgage Investment
Trust, Ser 2005-1, Cl 6A (C)
5.294%, 10/25/06 5,519 5,457
American Home Mortgage Investment
Trust, Ser 2006-1, Cl 2A3 (C)
5.100%, 10/25/06 1,435 1,422
Ameriquest Mortgage Securities,
Ser 2003-2, Cl M1 (C)
6.230%, 10/25/06 427 428
Ameriquest Mortgage Securities,
Ser 2004-FR1, Cl A4
3.243%, 05/25/34 538 532
Argent Securities, Ser 2003-W5,
Cl M1 (C)
6.030%, 10/25/06 250 253
Argent Securities, Ser 2003-W9,
Cl M1 (C)
6.020%, 10/26/06 400 402
Asset-Backed Funding Certificates,
Ser 2005-AQ1, Cl A2 (G)
4.300%, 06/25/35 1,000 987
Asset-Backed Funding NIM Trust,
Ser 2005-WMC1, Cl N1 (E)
5.900%, 07/26/35 68 68
Asset-Backed Securities Home Equity
Loan Trust, Ser 2003-HE5, Cl M1 (C)
6.080%, 10/15/06 547 550
Asset-Backed Securities Home Equity,
Ser 2003-HE5, Cl M2 (C)
7.230%, 10/15/06 275 278
Asset-Backed Securities Home Equity,
Ser 2003-HE7, Cl M2 (C)
7.080%, 10/15/06 215 219
Bear Stearns Asset-Backed Securities,
Ser 2005-AQ2N, Cl A1 (E)
5.500%, 09/25/35 31 31
Bear Stearns Asset-Backed Securities,
Ser 2005-HE11, Cl A1 (E)
5.500%, 11/25/35 249 248
Bear Stearns Asset-Backed Securities,
Ser 06-PC1N, Cl A1 (E)
5.500%, 12/25/35 88 88
Centex Home Equity, Ser 2004-B,
Cl AF3 (G)
2.946%, 05/25/28 165 164
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 31
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Chase Funding Mortgage Loan,
Ser 2003-1, Cl 2M2 (C)
6.830%, 10/25/06 $ 173 $ 174
Chase Funding Mortgage Loan,
Ser 2003-6, Cl 1A3
3.340%, 05/25/26 737 724
Conseco Finance, Ser 2001-C, Cl A4
6.190%, 03/15/30 1,255 1,256
Countrywide Alternative Loan Trust,
Ser 2005-69, Cl M3 (C)
6.480%, 10/27/06 235 238
Countrywide Alternative Loan Trust,
Ser 2005-IM1, Cl M3 (C)
7.330%, 10/27/06 375 375
Countrywide Alternative Loan Trust,
Ser 2006-OA11, Cl M3 (C)
5.760%, 10/30/06 500 500
Countrywide Alternative Loan Trust,
Ser 2006-OA16, Cl M5 (C)
5.880%, 08/25/36 225 225
Countrywide Asset-Backed Certificates,
Ser 2003-5, Cl MV2 (C)
6.930%, 01/25/34 235 237
Countrywide Asset-Backed Certificates,
Ser 2004-9, Cl AF3 (C)
3.854%, 10/25/30 427 424
Countrywide Asset-Backed Certificates,
Ser 2005-7, Cl MV8 (C)
6.780%, 10/27/06 250 254
Countrywide Asset-Backed Certificates,
Ser 2006-S1, Cl A2
5.549%, 08/25/21 1,600 1,597
Countrywide Home Equity Loan Trust,
Ser 2006-D, Cl 2A (C)
5.530%, 10/30/06 2,249 2,249
Countrywide Home Loans,
Ser 2004-22, Cl A1 (C)
5.092%, 10/01/06 518 515
Countrywide Home Loans,
Ser 2006-OA4, Cl M4 (C)
6.150%, 10/27/06 285 290
Countrywide Home Loans,
Ser 2006-OA4, Cl M5 (C)
6.200%, 10/27/06 195 197
Countrywide Home Loans,
Ser 2006-OA5, Cl 1M4 (C)
6.380%, 10/27/06 275 276
DSLA Mortgage Loan Trust,
Ser 2004-AR4, Cl B1 (C)
5.930%, 10/19/06 350 354
FBR Securitization Trust, Ser 2005-2,
Cl M10 (C)
7.580%, 10/28/06 100 83
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FBR Securitization Trust, Ser 2005-4,
Cl M11 (C)
7.330%, 10/27/06 $ 210 $ 199
FBR Securitization Trust, Ser 2005-4,
Cl M12 (C)
7.330%, 10/27/06 102 101
FBR Securitization Trust, Ser 2005-5,
Cl M12 (C)
7.580%, 10/27/06 146 145
First Franklin Mortgage Loan Asset,
Ser 2005-FFH4, Cl N1 (E)
5.682%, 12/25/35 95 95
First Franklin Mortgage Loan,
Ser 2003-FF5, Cl M6 (C)
8.830%, 10/25/06 345 348
First Franklin Mortgage Loan,
Ser 2005-FF4, Cl 2A3 (C)
5.550%, 10/25/06 1,400 1,401
GE-WMC Mortgage Securities NIM Trust,
Ser 2005-2A, Cl N1 (E)
5.500%, 01/25/36 208 207
GMAC Mortgage Loan Trust,
Ser 2004-HE2, Cl A2 (C)
2.880%, 10/25/06 751 744
GMAC Mortgage Loan Trust,
Ser 2006-HE1, Cl A (C)
5.540%, 10/25/06 3,900 3,902
GS Mortgage Securities,
Ser 2006-GG6, Cl AM
5.622%, 04/10/38 3,800 3,863
GSAA Home Equity Trust,
Ser 2006-3N, Cl N1 (E)
5.750%, 03/25/36 76 76
Greenwich Capital Commercial Funding,
Ser 2006-GG7, Cl AM (C)
6.110%, 07/10/38 2,100 2,192
Hasco NIM Trust, Ser 2006-OP2A,
Cl A (E)
5.856%, 01/26/36 149 148
Holmes Financing, Ser 2006-10A,
Cl 1C (C) (E)
5.738%, 10/16/06 600 600
Home Equity Asset Trust, Ser 2003-4,
Cl M2 (C)
7.230%, 10/25/06 370 372
Home Equity Asset Trust, Ser 2005-4,
Cl 2A1 (C)
5.420%, 10/25/06 114 114
Home Equity Asset Trust, Ser 2005-7N,
Cl A (E)
6.500%, 02/27/36 463 461
Home Equity Asset Trust, Ser 2005-9N,
Cl A (E)
6.500%, 05/27/36 210 210
- --------------------------------------------------------------------------------
32 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Home Equity Asset Trust, Ser 2006-1N,
Cl 1A (E)
6.500%, 05/27/36 $ 140 $ 140
IMPAC CMB Trust, Ser 2004-10,
Cl 4M1 (C)
5.930%, 03/25/35 461 463
IMPAC NIM Trust, Ser 2006-1, Cl N (E)
6.000%, 03/25/36 127 127
IMPAC Secured Assets, Ser 2006-3,
Cl A4 (C)
5.420%, 10/27/06 3,250 3,250
Indymac Index Mortgage Loan Trust,
Ser 2006-AR12, Cl M2 (C)
5.880%, 09/25/46 235 234
Indymac Index Mortgage Loan Trust,
Ser 2006-AR2, Cl M6 (C)
7.080%, 04/25/46 240 243
Indymac Index Mortgage Loan Trust,
Ser 2006-AR2, Cl M9 (C)
7.080%, 10/25/06 200 169
Indymac Index Mortgage Loan Trust,
Ser 2006-AR4, Cl M4 (C)
6.030%, 10/25/06 165 166
JP Morgan Chase Commercial Mortgage,
Ser 2006-LDP7, Cl AM (C)
6.066%, 10/01/06 2,700 2,810
JP Morgan Mortgage Acquisition,
Ser 2006-RM1, Cl A2 (C)
5.480%, 10/27/06 1,000 1,000
Lehman XS Trust, Ser 2005-5N,
Cl M3 (C)
6.330%, 10/25/06 600 607
Lehman XS Trust, Ser 2005-5N,
Cl M4 (C)
7.080%, 10/31/06 725 706
Lehman XS Trust, Ser 2005-7N,
Cl M51 (C)
6.580%, 12/25/35 150 152
Lehman XS Trust, Ser 2005-7N,
Cl M7I (C)
7.080%, 10/27/06 325 313
Lehman XS Trust, Ser 2005-9N,
Cl M4 (C)
6.730%, 10/30/06 225 230
Lehman XS Trust, Ser 2005-9N,
Cl M6 (C)
7.080%, 10/30/06 415 418
Lehman XS Trust, Ser 2006-11,
Cl M10 (C)
7.330%, 10/25/06 210 177
Lehman XS Trust, Ser 2006-12N,
Cl M4 (C)
5.880%, 08/25/46 270 269
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Lehman XS Trust, Ser 2006-12N,
Cl M5 (C)
5.930%, 08/25/46 $ 150 $ 150
Lehman XS Trust, Ser 2006-2N,
Cl M5 (C)
6.480%, 10/27/06 240 244
Long Beach Asset Holdings,
Ser 2006-2, Cl N1 (E)
5.780%, 04/25/46 94 93
Long Beach Mortgage Loan Trust,
Ser 2006-WL1, Cl 1A3 (C)
5.660%, 10/27/06 919 922
Master Asset-Backed Securities NIM
Trust, Ser 2006-CI13, Cl N1 (E)
7.000%, 12/25/35 335 333
Master Asset-Backed Securities NIM
Trust, Ser 2006-CI14, Cl N1 (E)
6.000%, 07/26/35 198 197
Master Asset-Backed Securities Trust,
Ser 2002-OPT1, Cl M1 (C)
6.480%, 10/27/06 161 161
Merrill Lynch Mortgage Investors,
Ser 2005-FF6, Cl N1 (E)
4.500%, 05/25/36 112 111
Merrill Lynch Mortgage Investors,
Ser 2005-FM1N, Cl N1 (E)
4.500%, 05/25/36 170 168
Merrill Lynch Mortgage Investors,
Ser 2006-1, Cl 1A (C)
5.350%, 02/25/36 2,284 2,265
Merrill Lynch Mortgage Investors,
Ser 2006-MLN1, Cl A2A (C)
5.394%, 10/29/06 1,000 1,000
Merrill Lynch Mortgage Investors,
Ser 2006-RM4, Cl A2A (C)
5.406%, 10/27/06 1,500 1,500
Morgan Stanley Capital I,
Ser 2003-NC10, Cl M1 (C)
6.010%, 10/27/06 583 585
Morgan Stanley Capital I,
Ser 2003-NC10, Cl M2 (C)
7.130%, 10/26/06 515 519
Morgan Stanley Dean Witter Capital I,
Ser 2003-NC1, Cl M2 (C)
7.380%, 10/27/06 414 415
New Century Home Equity Loan Trust,
Ser 2003-B, Cl M1 (C)
5.980%, 10/27/06 650 654
New Century Home Equity Loan Trust,
Ser 2004-A, Cl AII3 (C)
4.450%, 10/01/06 965 958
New Century Home Equity Loan Trust,
Ser 2005-A, Cl A2 (G)
4.461%, 10/25/06 2,229 2,208
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 33
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Option One Mortgage Loan Trust,
Ser 2003-4, Cl M2 (C)
6.980%, 07/25/33 $ 205 $ 207
Option One Mortgage Loan Trust,
Ser 2003-5, Cl M1 (C)
5.980%, 10/23/06 350 351
Option One Mortgage Loan Trust,
Ser 2006-1, Cl M10 (C) (E)
7.830%, 10/27/06 100 87
Option One Mortgage Loan Trust,
Ser 2006-1, Cl M11 (C) (E)
7.830%, 10/27/06 190 181
Ownit Mortgage Loan Asset-Backed
Securities Trust, Ser 2006-1,
Cl AF1 (G)
5.424%, 12/25/36 2,653 2,639
Ownit Mortgage Loan NIM Trust,
Ser 2005-5A, Cl N1 (E)
5.500%, 10/25/36 90 90
People's Financial Realty Mortgage
Security, Ser 2006-1, Cl B1 (C)
7.868%, 10/03/06 243 240
Residential Accredit Loans,
Ser 2006-Q01, Cl 2A3 (C)
5.730%, 10/27/06 590 592
Residential Accredit Loans,
Ser 2006-Q04, Cl N1 (E)
6.048%, 04/25/46 459 458
Residential Accredit Loans,
Ser 2006-Q06, Cl M5 (C)
5.830%, 10/29/06 350 349
Residential Accredit Loans,
Ser 2006-QO3, Cl M4 (C)
6.050%, 10/25/06 250 250
Residential Accredit Loans,
Ser 2006-QO3, Cl M5 (C)
6.110%, 10/25/06 250 250
Residential Asset Mortgage Products,
Ser 2003-RS10, Cl AI5
4.910%, 01/25/31 600 597
Residential Asset Mortgage Products,
Ser 2006-RZ4, Cl A1 (C)
5.420%, 10/25/06 2,500 2,500
Residential Asset Mortgage Products,
Ser 2006-RZ4, Cl M9 (C)
7.830%, 10/25/06 115 100
Residential Asset Securities,
Ser KS9, Cl AI3
3.250%, 12/25/28 718 715
Residential Asset Securitization Trust,
Ser 2004-IP2, Cl 3A1 (C)
5.276%, 10/25/06 1,951 1,950
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2A (C) (E)
5.430%, 10/25/06 $ 1,350 $ 1,350
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2B (C) (E)
5.480%, 10/25/06 1,000 1,000
SB Finance NIM Trust,
Ser 2005-HE3, Cl N1 (E)
4.750%, 09/25/35 197 196
SB Finance NIM Trust,
Ser 2006-KS4N, Cl N1 (E)
7.500%, 06/25/36 136 136
SLM Student Loan Trust,
Ser 2006-C, Cl C (C)
5.877%, 12/28/06 1,000 991
Saco I Trust, Ser 2005-10, Cl 2A1 (C)
5.590%, 10/30/06 2,888 2,893
Sail NIM Notes, Ser 2005-11A, Cl A (E)
7.500%, 01/27/36 322 318
Sail NIM Notes, Ser 2006-BC1A, Cl A (E)
7.000%, 03/27/36 217 216
Sharps SP I LLC NIM Trust,
Ser 2005-HE3N, Cl N (E)
5.000%, 05/25/35 275 275
Soundview NIM Trust, Ser 2005-OPT4,
Cl N1 (E)
5.682%, 12/25/35 52 52
Structured Adjustable Rate Mortgage
Loan, Ser 2005-16XS, Cl M2 (C)
6.230%, 10/25/06 505 508
Structured Asset Investment Loan,
Ser 2005-4, Cl M11 (C)
7.830%, 10/25/06 250 235
Structured Asset Mortgage Investments,
Ser 2006-AR1, Cl B4 (C)
6.280%, 10/27/06 191 193
Structured Asset Mortgage Investments,
Ser 2006-AR1, Cl B5 (C)
6.380%, 10/27/06 121 123
Structured Asset Securities,
Ser 2005-NC1, Cl A2 (G)
3.920%, 02/25/35 505 501
Structured Asset Securities,
Ser 2005-S1, Cl B3 (C) (E)
7.830%, 10/27/06 350 341
Terwin Mortgage Trust, Ser 2006-2HGS,
Cl A1 (C) (E)
4.500%, 03/25/37 4,252 4,209
Terwin Mortgage Trust, Ser 2006-2HGS,
Cl AX, IO (C) (E)
13.000%, 03/25/37 695 112
Terwin Mortgage Trust, Ser 2006-2HGS,
Cl B1 (C) (E)
6.110%, 10/25/06 300 302
- --------------------------------------------------------------------------------
34 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Terwin Mortgage Trust, Ser 2006-4SL,
Cl A1 (C) (E)
4.500%, 05/25/37 $ 4,494 $ 4,451
Terwin Mortgage Trust, Ser 2006-4SL,
Cl AX (C) (E)
20.000%, 05/25/37 776 90
Terwin Mortgage Trust, Ser 2006-6,
Cl A1 (C)
4.500%, 07/25/37 1,738 1,720
Terwin Mortgage Trust, Ser 2006-HF1,
Cl A1A (C) (E)
4.500%, 02/25/37 1,508 1,498
Wachovia Student Loan Trust,
Ser 2006-1, Cl B (C) (E)
5.689%, 04/25/40 3,200 3,185
Wells Fargo Home Equity Trust,
Ser 2004-2, Cl A12 (C)
3.450%, 06/25/19 2,371 2,355
Wells Fargo Home Equity Trust,
Ser 2004-2, Cl M8A (C) (E)
8.330%, 10/28/06 300 297
--------------
Total Asset-Backed Securities
(Cost $100,204) ($ Thousands) 100,608
--------------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 5.3%
FHLMC (C)
5.572%, 10/01/35 845 847
FNMA
5.500%, 11/01/20 986 985
5.500%, 12/01/20 1,960 1,960
5.500%, 01/01/21 2,959 2,959
5.500%, 02/01/21 984 983
5.500%, 03/01/21 8,815 8,811
5.500%, 06/01/21 6 6
FNMA ARM
5.581%, 05/01/36 1,956 1,963
5.524%, 01/01/36 860 861
5.504%, 05/01/36 999 1,001
FNMA TBA
6.000%, 10/20/19 3,000 3,045
5.500%, 10/15/21 14,000 13,991
5.500%, 10/01/34 11,100 10,933
5.000%, 10/01/20 4,300 4,225
GNMA
5.000%, 02/20/35 486 488
4.500%, 06/20/36 493 490
4.000%, 06/20/34 676 673
4.000%, 07/20/35 411 409
4.000%, 01/20/36 480 475
3.750%, 03/20/34 539 530
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GNMA ARM
5.500%, 10/30/06 $ 648 $ 648
4.500%, 08/20/34 772 770
4.500%, 01/20/36 469 468
--------------
Total U.S. Government Mortgage-Backed Obligations
(Cost $57,130) ($ Thousands) 57,521
--------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 1.4%
FHLMC (F)
5.370%, 01/16/07 100 98
FHLMC CMO STRIPS, Ser 232, Cl IO, IO
9.953%, 08/01/35 455 111
FHLMC CMO STRIPS, Ser 233, Cl 12, IO
11.564%, 09/15/35 1,211 280
FNMA (F)
5.145%, 03/30/07 (A) 1,100 1,072
4.657%, 12/01/06 8,000 7,933
FNMA CMO STRIPS, Ser 359, Cl 6, IO
11.852%, 11/01/35 441 105
FNMA CMO STRIPS, Ser 360, Cl 2, IO
9.966%, 08/01/35 20,843 5,080
--------------
Total U.S. Government Agency Obligations
(Cost $14,811) ($ Thousands) 14,679
--------------
CORPORATE OBLIGATIONS -- 1.0%
CONSUMER DISCRETIONARY -- 0.1%
COX Communications
4.625%, 06/01/13 375 349
Comcast
5.300%, 01/15/14 470 458
Omnicon Group
5.900%, 04/15/16 210 213
Time Warner
6.875%, 05/01/12 375 396
--------------
1,416
--------------
ENERGY -- 0.0%
Kinder Morgan Energy Partners
5.000%, 12/15/13 375 356
--------------
FINANCIALS -- 0.6%
Cit Group
5.000%, 02/13/14 500 483
Credit Suisse First Boston
6.500%, 01/15/12 250 263
Genworth Financial
5.750%, 06/15/14 375 382
Goldman Sachs Group
5.500%, 11/15/14 750 747
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 35
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Household Finance
6.375%, 10/15/11 $ 375 $ 392
Istar Financial, Ser 1
5.875%, 03/15/16 250 249
JPMorgan Chase
5.125%, 09/15/14 375 368
Lehman Brothers MTN
5.500%, 04/04/16 375 374
Merrill Lynch
6.050%, 05/16/16 375 388
Morgan Stanley
4.750%, 04/01/14 375 357
Residential Capital
6.500%, 04/17/13 630 640
Shinsei Finance Cayman (C) (E)
6.418%, 01/29/49 400 397
Simon Property Group+
5.750%, 12/01/15 250 252
5.600%, 09/01/11 210 211
Wachovia
4.875%, 02/15/14 250 242
Washington Mutual Preferred
Funding (C) (E)
6.534%, 03/15/49 400 393
Western Union (E)
5.930%, 10/01/16 250 252
--------------
6,390
--------------
HEALTH CARE -- 0.1%
Aetna
5.750%, 06/15/11 375 381
Teva Pharmaceutical Finance LLC
5.550%, 02/01/16 375 368
Wellpoint
6.800%, 08/01/12 250 267
--------------
1,016
--------------
INDUSTRIALS -- 0.1%
Harrahs Operating
5.500%, 07/01/10 375 369
Lafarge
6.150%, 07/15/11 230 235
--------------
604
--------------
TELECOMMUNICATION SERVICES -- 0.0%
Embarq
6.738%, 06/01/13 375 386
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
UTILITIES -- 0.1%
Dominion Resources
4.750%, 12/15/10 $ 250 $ 244
Exelon Generation LLC
6.950%, 06/15/11 375 398
--------------
642
--------------
Total Corporate Obligations
(Cost $10,538) ($ Thousands) 10,810
--------------
CASH EQUIVALENT -- 5.8%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.330%**++ 62,490,946 62,491
--------------
Total Cash Equivalent
(Cost $62,491) ($ Thousands) 62,491
--------------
U.S. TREASURY OBLIGATIONS (B) -- 0.9%
U.S. Treasury Bill
4.942%, 11/24/06 1,946 1,933
U.S. Treasury Bond
2.375%, 04/15/11 5,433 5,439
U.S. Treasury Note
5.125%, 05/15/16 2,583 2,679
--------------
Total U.S. Treasury Obligations
(Cost $9,927) ($ Thousands) 10,051
--------------
Total Investments -- 112.0%
(Cost $1,176,980) ($ Thousands) $ 1,211,600
==============
COMMON STOCK SOLD SHORT -- (9.6)%
CONSUMER DISCRETIONARY -- (3.0)%
Amazon.com* (64,400) (2,069)
CBS, Cl B (14,467) (408)
Clear Channel Outdoor
Holdings, Cl A* (3,700) (75)
Discovery Holding, Cl A* (205,441) (2,971)
DR Horton (2,800) (67)
Eastman Kodak (95,100) (2,130)
Four Seasons Hotels (17,400) (1,111)
Gamestop, Cl A* (17,900) (828)
Gentex (212,512) (3,020)
Hearst-Argyle Television (9,905) (227)
Hilton Hotels (10,400) (290)
International Game Technology (6,300) (261)
- --------------------------------------------------------------------------------
36 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
International Speedway, Cl A (14,332) $ (714)
Interpublic Group* (96,700) (957)
Laureate Education* (14,200) (680)
Lennar, Cl A (12,700) (575)
Liberty Media Holding-Capital, Ser A* (21,731) (1,816)
McClatchy Company, Cl A (5,432) (229)
MDC Holdings (10,155) (472)
NTL (76,531) (1,946)
O'Reilly Automotive* (28,300) (940)
OSI Restaurant Partners (42,100) (1,335)
Quiksilver* (60,000) (729)
RH Donnelley (24,241) (1,282)
Scientific Games, Cl A* (51,200) (1,628)
Sirius Satellite Radio* (140,079) (548)
Standard Pacific (2,276) (53)
Tiffany (26,143) (868)
Urban Outfitters* (102,700) (1,817)
Wynn Resorts* (10,268) (698)
XM Satellite Radio, Cl A* (131,546) (1,696)
--------------
(32,440)
--------------
CONSUMER STAPLES -- (0.1)%
Hansen Natural* (9,141) (297)
J.M. Smucker (362) (17)
WM Wrigley Jr. (16,495) (760)
WM Wrigley Jr., Cl B (1,168) (54)
--------------
(1,128)
--------------
ENERGY -- (1.2)%
Cameco (32,300) (1,181)
Cheniere Energy* (22,800) (677)
Dresser-Rand Group* (44,200) (902)
Enbridge (42,700) (1,378)
Foundation Coal Holdings (7,000) (227)
Massey Energy (45,300) (949)
Overseas Shipholding Group (20,564) (1,270)
Quicksilver Resources* (55,408) (1,768)
Rowan (25,200) (797)
Southwestern Energy* (66,300) (1,980)
Tetra Technologies* (38,900) (940)
Todco* (23,800) (823)
--------------
(12,892)
--------------
FINANCIALS -- (1.2)%
Alleghany* (55) (16)
American Capital Strategies (56,169) (2,217)
Arthur J. Gallegher (25,300) (675)
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Astoria Financial (5,100) $ (157)
Commerce Bancorp (40,200) (1,476)
Equity Residential+ (1,700) (86)
Hudson City Bancorp (213,464) (2,828)
Legg Mason (3,300) (333)
Marsh & McLennan (3,700) (104)
Moody's (3,987) (261)
New Century Financial+ (5,216) (205)
Peoples Bank (40,800) (1,616)
Popular (67,100) (1,304)
T Rowe Price Group (9,500) (455)
Valley National Bancorp (22,700) (580)
Vornado Realty Trust+ (3,600) (392)
--------------
(12,705)
--------------
HEALTH CARE -- (1.1)%
Affymetrix* (61,300) (1,322)
Allergan (2,400) (270)
Amylin Pharmaceticals* (48,155) (2,122)
Bausch & Lomb (45,304) (2,271)
Cooper (17,000) (910)
Davita* (11,500) (666)
Endo Pharmaceutical Holdings* (27,600) (898)
Kinetic Concepts* (20,800) (654)
Omnicare (8,500) (366)
Patterson* (39,400) (1,324)
PDL BioPharma* (4,199) (81)
St Jude Medical* (2,500) (88)
Vertex Pharmaceuticals* (26,200) (882)
Zimmer Holdings* (7,300) (493)
--------------
(12,347)
--------------
INDUSTRIALS -- (1.1)%
American Power Conversion (35,700) (784)
Chicago Bridge & Iron-
New York Shares (46,700) (1,124)
Copart* (1,448) (41)
Corporate Executive Board (8,400) (755)
Covanta Holdings* (56,900) (1,225)
DRS Technologies (14,919) (652)
Expeditors International Washington (4,600) (205)
Fastenal (17,200) (663)
Jetblue Airways* (63,500) (589)
Pall (61,200) (1,886)
Southwest Airlines (80,608) (1,343)
Stericycle* (9,136) (638)
UTI Worldwide (41,000) (1,147)
Walter Industries (11,900) (508)
--------------
(11,560)
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 37
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund (Concluded)
September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- (1.6)%
Activision* (62,700) $ (947)
Advanced Micro Devices* (33,700) (837)
Alliance Data Systems* (14,500) (800)
Apple Computer* (2,900) (223)
Autodesk* (10,600) (369)
Avid Technology* (22,800) (830)
Broadcom, Cl A* (10,600) (322)
CACI International, Cl A* (16,400) (902)
Ciena* (1,352) (37)
Citrix Systems* (21,800) (789)
eBay* (22,400) (635)
F5 Networks* (4,389) (236)
Fair Isaac (8,912) (326)
Jabil Circuit (15,700) (449)
JDS Uniphase* (4,618) (10)
Juniper Networks* (74,525) (1,288)
Linear Technology (1,800) (56)
NAVTEQ* (30,800) (804)
Novell* (90,600) (554)
PMC - Sierra* (166,525) (989)
Rambus* (54,258) (946)
Red Hat* (15,833) (334)
Salesforce.com* (66,086) (2,371)
SanDisk* (7,780) (417)
Silicon Laboratories* (22,353) (693)
Symantec* (17,061) (363)
Symbol Technologies (33,100) (492)
Teradyne* (2,252) (30)
Unisys* (136,000) (770)
--------------
(17,819)
--------------
MATERIALS -- (0.2)%
Cabot (10,600) (394)
Freeport-McMoRan Copper &
Gold, Cl B (4,400) (234)
Ivanhoe Mines* (116,700) (731)
Louisiana-Pacific (43,597) (818)
Sigma-Aldrich (500) (38)
--------------
(2,215)
--------------
TELECOMMUNICATION SERVICES -- (0.0)%
NeuStar, Cl A* (14,000) (389)
SBA Communications, Cl A* (2,329) (57)
--------------
(446)
--------------
UTILITIES -- (0.1)%
Aqua America (22,800) (500)
--------------
Total Common Stock Sold Short
(Proceeds $(107,744)) ($ Thousands) (104,052)
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Contracts ($ Thousands)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATION SOLD SHORT -- (0.2)%
U.S. Treasury Bond
5.125%, 05/15/16 $ (2,583) $ (2,679)
--------------
Total U.S. Treasury Obligation Sold Short
(Proceeds $(2,563)) ($ Thousands) (2,679)
--------------
WRITTEN OPTIONS -- (0.0)%
December 2006 120 Day Euro
Futures Call, Expires 12/15/06,
Strike Price $95* (98) (58)
October 2006 Euro 1-Year Futures
Put, Expires 10/14/06,
Strike Price $94.50* (33) --
--------------
Total Written Options
(Premiums Received $(71)) ($ Thousands) (58)
--------------
Futures -- A summary of the open futures contracts held by the Fund at September
30, 2006, is as follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
APPRECIATION
TYPE OF NUMBER OF EXPIRATION (DEPRECIATION)
CONTRACT CONTRACTS DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
90-Day Euro$ (66) Mar-2007 $ (15)
90-Day Euro$ (66) Mar-2008 (66)
90-Day Euro$ (47) Mar-2009 (39)
90-Day Euro$ (46) Mar-2010 (34)
90-Day Euro$ (15) Mar-2011 (9)
90-Day Euro$ (5) Jun-2007 (3)
90-Day Euro$ (56) Jun-2008 (56)
90-Day Euro$ (47) Jun-2009 (38)
90-Day Euro$ (42) Jun-2010 (29)
90-Day Euro$ (1) Jun-2011 (2)
90-Day Euro$ (48) Sep-2007 (26)
90-Day Euro$ (47) Sep-2008 (41)
90-Day Euro$ (47) Sep-2009 (38)
90-Day Euro$ (26) Sep-2010 (11)
90-Day Euro$ 163 Dec-2006 26
90-Day Euro$ (66) Dec-2007 (62)
90-Day Euro$ (47) Dec-2008 (41)
90-Day Euro$ (47) Dec-2009 (36)
90-Day Euro$ (26) Dec-2010 (11)
Euro-Bund (22) Dec-2006 (22)
S&P 500 Index 642 Dec-2006 5,269
U.S. 2-Year Note 57 Dec-2006 27
U.S. 5-Year Note 32 Dec-2006 17
U.S. 10-Year Note (45) Dec-2006 (46)
U.S. Long Treasury Bond 17 Dec-2006 25
-------
$4,739
=======
- --------------------------------------------------------------------------------
38 SEI Institutional Managed Trust / Annual Report / September 30, 2006
Swaps -- At September 30, 2006, the following Total Return Swap agreements were
outstanding (see Note 2 in Notes to Financial Statements):
- ------------------------------------------------------------------------------------------------
NOTIONAL NET UNREALIZED
EXPIRATION AMOUNT APPRECIATION
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- ------------------------------------------------------------------------------------------------
The Fund receives payment on the monthly
reset spread from Bank of America - CMBS
BBB Index 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. (Counterparty:
Bank of America) 10/31/06 $ 4,000 $ 9
The Fund receives payment on the monthly
reset spread from Bank 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.
(Counterparty: JP Morgan Chase) 01/01/07 35,000 32
The Fund receives payment on the monthly
reset spread from Bank of America - CMBS
BBB Index 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. (Counterparty:
Bank of America) 10/31/06 7,000 15
The Fund receives payment on the monthly
reset spread from Bank of America - CMBS
AAA 10Yr Index 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. (Counterparty:
Bank of America) 07/01/07 7,000 5
---
$61
===
Percentages are based on Net Assets of $1,082,122 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of September 30, 2006.
+ Real Estate Investment Trust.
++ Pursuant to an exemptive order issued by the Securities and Exchange
Commission, the Fund may invest in the SEI money market funds, provided
that investments in the money market funds do not exceed 25% of the Fund's
total assets.
(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 Schedule of Investments
is the rate in effect as of September 30, 2006. The date reported on the
Schedule of Investments is the next reset date.
(D) All or a portion of this security is held as collateral for securities
sold short. The total value of collateral for securities sold short at
September 30, 2006 was $245,172 ($Thousands).
(E) This security was sold within the terms of a 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." These securities have been
determined to be liquid under guidelines established by the Board of
Trustees.
(F) Zero Coupon Bond -- The rate reported on the Schedule of Investments is
the effective yield at time of purchase.
(G) Step Bonds -- The rate reflected on the Schedule of Investments is the
rate in effect as of September 30, 2006. The coupon on a step bond changes
on a specific date.
(H) This security is traded on a foreign stock exchange. The total value of
the security as of September 30, 2006 was $65 and represents 0.01% of Net
Assets.
ARM -- Adjustable Rate Mortgage
Cl -- Class
CMBS -- Commercial Mortgage-Backed Securities
CMO -- Collateralized Mortgage Obligation
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
IO -- Interest Only Security-face amount represents notional amount.
LLC -- Limited Liability Company
MTN -- Medium Term Note
NIM -- Net Interest Margin
Ser -- Series
STRIPS -- Separately Traded Registered Interest and Principal Securities
TBA -- To Be Announced
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 39
SCHEDULE OF INVESTMENTS
Tax-Managed Large Cap Fund
September 30, 2006
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS# (UNAUDITED):
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
29.5% Financials
14.2% Information Technology
10.9% Health Care
10.2% Consumer Discretionary
9.0% Energy
7.9% Consumer Staples
6.3% Industrials
3.2% Telecommunication Services
2.7% Materials
2.7% Utilities
2.4% Short-Term Investments
1.0% Asset-Backed Securities
0.0% U.S. Treasury Obligations
0.0% Warrants
#Percentages based on total investments. Includes investments held as collateral
for securities on loan (see Note 7).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 98.4%
CONSUMER DISCRETIONARY -- 11.5%
Abercrombie & Fitch, Cl A 4,600 $ 320
Amazon.com (B)* 10,200 328
American Eagle Outfitters 31,100 1,363
American Greetings, Cl A (B) 5,000 116
Apollo Group, Cl A (B)* 186,450 9,181
Autoliv 63,500 3,499
Autonation* 18,800 393
Autozone* 3,200 331
Barnes & Noble 22,100 838
Beazer Homes USA 1,300 51
Bed Bath & Beyond* 11,400 436
Best Buy (B) 15,375 823
Big Lots (B)* 6,400 127
Black & Decker (B) 16,300 1,293
Borders Group 39,400 804
BorgWarner 24,500 1,401
Brinker International 39,100 1,568
Brunswick 2,700 84
Cablevision Systems, Cl A 19,800 450
Carmax (B)* 4,080 170
Cavco Industries* 260 8
CBRL Group (B) 5,000 202
CBS, Cl B 116,169 3,272
CEC Entertainment* 3,000 95
Centex 5,200 274
Cheesecake Factory (B)* 2,250 61
Clear Channel Communications 9,100 263
Clear Channel Outdoor Holdings, Cl A* 19,800 404
Coach* 7,200 248
Comcast, Cl A (B)* 193,483 7,130
Comcast, Special Cl A (B)* 9,400 346
DaimlerChrysler 7,500 375
Darden Restaurants (B) 55,600 2,361
DeVry* 2,042 43
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Dick's Sporting Goods (B)* 3,000 $ 137
Dillard's, Cl A (B) 4,800 157
DIRECTV Group (B)* 134,865 2,654
Discovery Holding, Cl A* 9,560 138
Dollar Tree Stores (B)* 6,300 195
Dow Jones (B) 900 30
DR Horton 11,300 271
DreamWorks Animation SKG, Cl A* 11,200 279
Eastman Kodak (B) 58,500 1,310
EchoStar Communications, Cl A (B)* 10,700 350
Ethan Allen Interiors (B) 30,500 1,057
Expedia* 3,070 48
Federated Department Stores 29,184 1,261
Foot Locker 10,700 270
Ford Motor (B) 129,400 1,047
Fortune Brands (B) 86,622 6,506
Furniture Brands International (B) 1,800 34
GameStop, Cl A* 2,900 134
GameStop, Cl B* 722 32
Gannett (B) 58,100 3,302
Gap 69,300 1,313
General Motors (B) 16,500 549
Gentex 9,000 128
Genuine Parts 9,900 427
Getty Images* 1,200 60
Goodyear Tire & Rubber (B)* 61,700 895
H&R Block 13,600 296
Harley-Davidson 12,500 784
Harrah's Entertainment (B) 78,869 5,239
Hasbro 116,100 2,641
Hearst-Argyle Television 1,400 32
Hilton Hotels 16,500 460
Home Depot 76,500 2,775
IAC/InterActive (B)* 6,870 198
International Game Technology (B) 387,400 16,077
Interpublic Group (B)* 6,100 60
ITT Educational Services* 1,200 80
J.C. Penney (B) 59,100 4,042
Johnson Controls 26,000 1,865
Jones Apparel Group 44,600 1,447
KB Home (B) 13,300 583
Kohl's (B)* 59,380 3,855
Lamar Advertising, Cl A (B)* 64,109 3,424
Las Vegas Sands (B)* 3,700 253
Lear (B) 20,100 416
Leggett & Platt (B) 68,800 1,722
Lennar, Cl A 5,200 235
Lennar, Cl B 520 22
Liberty Global, Cl A* 4,341 112
Liberty Global, Ser C* 4,403 110
Liberty Media Holding-Capital, Ser A* 4,780 399
Liberty Media Holding-Interactive, Cl A* 23,900 487
Limited Brands 63,100 1,672
Live Nation* 7,720 158
- --------------------------------------------------------------------------------
40 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Liz Claiborne 3,400 $ 134
Lowe's 292,704 8,213
Marriott International, Cl A 115,378 4,458
Mattel 165,400 3,258
McClatchy, Cl A 8,328 351
McDonald's 281,662 11,019
McGraw-Hill 281,041 16,309
MDC Holdings 2,300 107
MGM Mirage (B)* 288,000 11,373
Mohawk Industries (B)* 1,900 141
Newell Rubbermaid 3,800 108
News, Cl A* 128,088 2,517
Nike, Cl B 5,200 456
Nordstrom 9,800 415
NTL 4,300 109
NVR* 1,200 642
O'Reilly Automotive (B)* 3,600 120
Office Depot* 72,100 2,862
OfficeMax 1,200 49
Omnicom Group 10,000 936
OSI Restaurant Partners 1,900 60
PetSmart 3,400 94
Pulte Homes 20,000 637
RadioShack 2,800 54
Regal Entertainment Group, Cl A (B) 7,100 141
Ross Stores 5,200 132
Ruby Tuesday 2,600 73
Ryland Group (B) 2,500 108
Saks (B)* 50,300 869
Sears Holdings* 5,381 851
ServiceMaster 14,400 161
Shaw Communications, Cl B 42,300 1,270
Sherwin-Williams 45,100 2,516
Sirius Satellite Radio (B)* 55,514 217
Snap-On 3,900 174
Standard-Pacific 4,900 115
Stanley Works (B) 12,600 628
Staples 681,050 16,570
Starbucks (B)* 222,600 7,580
Starwood Hotels & Resorts Worldwide 6,300 360
Target 181,240 10,013
Tempur-Pedic International (B)* 7,100 122
Tiffany 2,600 86
Time Warner 1,033,919 18,848
TJX 24,000 673
Toll Brothers (B)* 6,000 168
Tribune (B) 39,400 1,289
Univision Communications, Cl A (B)* 7,160 246
Urban Outfitters* 3,300 58
VF 48,700 3,553
Viacom, Cl B* 139,029 5,169
Walt Disney (B) 135,900 4,201
Washington Post, Cl B 200 147
Weight Watchers International 220,000 9,755
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Wendy's International 18,600 $ 1,246
Whirlpool (B) 25,184 2,118
Williams-Sonoma (B) 48,340 1,566
Wyndham Worldwide* 15,160 424
Wynn Resorts (B)* 2,200 150
XM Satellite Radio Holdings, Cl A (B)* 540,790 6,971
Yum! Brands 9,600 500
--------------
274,176
--------------
CONSUMER STAPLES -- 8.9%
Altria Group 219,500 16,803
Anheuser-Busch 32,200 1,530
Archer-Daniels-Midland 45,257 1,714
Avon Products 22,400 687
BJ's Wholesale Club* 9,000 263
Brown-Forman, Cl B 2,400 184
Campbell Soup (B) 11,300 412
Clorox 29,900 1,884
Coca-Cola 142,301 6,358
Coca-Cola Enterprises 88,200 1,837
Colgate-Palmolive 133,672 8,301
ConAgra Foods 32,100 786
Constellation Brands, Cl A* 6,000 173
Costco Wholesale (B) 119,869 5,955
CVS 29,800 957
Dean Foods* 42,021 1,766
Del Monte Foods 121,900 1,274
Energizer Holdings (B)* 38,900 2,800
Estee Lauder, Cl A (B) 105,587 4,258
General Mills 86,600 4,902
Hershey (B) 70,790 3,784
HJ Heinz 3,500 147
Hormel Foods 4,000 144
Kellogg 12,500 619
Kimberly-Clark 66,800 4,366
Kraft Foods, Cl A (B) 59,500 2,122
Kroger* 117,100 2,710
Loews - Carolina 5,300 294
McCormick 4,200 159
Molson Coors Brewing, Cl B (B) 10,900 751
Pepsi Bottling Group 33,200 1,179
PepsiAmericas (B) 38,200 815
PepsiCo 382,247 24,945
Procter & Gamble 656,736 40,704
Reynolds American (B) 110,800 6,866
Safeway 91,934 2,790
Smithfield Foods* 2,700 73
Supervalu 53,820 1,596
Sysco 26,900 900
TreeHouse Foods* 564 13
Tyson Foods, Cl A 54,645 868
UST (B) 10,000 548
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 41
SCHEDULE OF INVESTMENTS
Tax-Managed Large Cap Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Wal-Mart Stores 499,988 $ 24,659
Walgreen 512,000 22,728
Whole Foods Market 5,000 297
WM Wrigley Jr. (B) 111,732 5,146
--------------
212,067
--------------
ENERGY -- 10.2%
Anadarko Petroleum 62,800 2,753
Apache 6,342 401
Baker Hughes 260,230 17,748
BJ Services 20,000 603
Cabot Oil & Gas 1,000 48
Cameron International* 900 43
Cheniere Energy (B)* 1,800 53
Chesapeake Energy (B) 63,850 1,850
Chevron 388,962 25,228
Cimarex Energy 2,285 80
ConocoPhillips 278,988 16,608
Consol Energy 5,600 178
Cross Timbers Royalty Trust 105 5
Devon Energy 105,290 6,649
Dresser-Rand Group* 2,300 47
El Paso 39,600 540
EnCana 51,900 2,423
ENSCO International 6,000 263
EOG Resources 600 39
Exxon Mobil 1,154,082 77,439
Forest Oil* 2,300 73
Foundation Coal Holdings 4,100 133
Global Industries* 3,200 50
GlobalSantaFe 9,400 470
Grant Prideco* 9,100 346
Halliburton (B) 338,616 9,634
Helmerich & Payne 8,600 198
Hess (B) 65,400 2,709
Holly (B) 30,600 1,326
Hugoton Royalty Trust 1,417 37
Kinder Morgan 4,500 472
Marathon Oil 116,467 8,956
Mariner Energy* 1,861 34
Massey Energy 4,200 88
Murphy Oil 15,600 742
Nabors Industries (B)* 15,800 470
National Oilwell Varco* 10,430 611
Newfield Exploration* 10,200 393
Noble Energy 20,400 930
Occidental Petroleum 255,200 12,278
Patterson-UTI Energy 14,000 333
Peabody Energy (B) 8,800 324
Petro-Canada* 27,000 1,089
Pioneer Natural Resources 9,900 387
Plains Exploration & Production* 1,100 47
Pogo Producing (B) 6,900 283
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Quicksilver Resources* 2,100 $ 67
Rowan (B) 11,200 354
Schlumberger 382,626 23,734
Smith International 14,400 559
Southwestern Energy* 2,600 78
St. Mary Land & Exploration 1,400 51
Suncor Energy 161,144 11,610
Sunoco 27,500 1,710
Tetra Technologies (B)* 12,000 290
Tidewater (B) 1,900 84
Unit* 9,600 441
Valero Energy 69,330 3,568
W&T Offshore 1,500 44
Weatherford International* 64,990 2,711
Williams 11,700 279
XTO Energy 23,776 1,002
--------------
241,993
--------------
FINANCIALS -- 22.8%
21st Century Insurance Group 9,000 135
A.G. Edwards (B) 46,600 2,483
Affiliated Managers Group (B)* 1,350 135
Aflac 19,300 883
Allstate 182,300 11,436
AMB Property+ 3,400 187
AMBAC Financial Group 33,900 2,805
American Express 287,109 16,101
American International Group 403,197 26,716
AmeriCredit (B)* 5,700 142
Ameriprise Financial 10,100 474
AmerUs Group 1,200 82
AmSouth Bancorp 122,100 3,546
Annaly Mortgage Management+ 11,600 152
AON 47,000 1,592
Archstone-Smith Trust+ 9,100 495
Arthur J Gallagher 1,900 51
Assurant 6,100 326
Astoria Financial 78,900 2,432
Axis Capital Holdings 20,250 702
Bank of America 864,525 46,313
Bank of Hawaii 100 5
Bank of New York (B) 57,600 2,031
BB&T (B) 90,800 3,975
Bear Stearns 20,000 2,802
Boston Properties+ 3,200 331
Brookfield Asset Management 52,000 2,306
Capital One Financial (B) 8,144 641
CapitalSource+ 5,800 150
CB Richard Ellis Group, Cl A* 77,300 1,902
Charles Schwab 482,393 8,635
Chicago Mercantile Holdings 30,000 14,347
Chubb 83,900 4,359
Cincinnati Financial 44,004 2,115
- --------------------------------------------------------------------------------
42 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CIT Group 58,700 $ 2,855
Citigroup 1,056,662 52,484
Citizens Banking 1,800 47
Colonial Properties Trust+ 5,000 239
Comerica 92,100 5,242
Commerce Bancorp (B) 1,600 59
Compass Bancshares 4,000 228
Countrywide Financial 88,998 3,118
Credicorp 1,500 63
Crescent Real Estate Equities+ 2,000 44
Developers Diversified Realty+ 900 50
Duke Realty+ 11,100 415
E*Trade Financial* 5,000 120
Equity Office Properties Trust+ 51,800 2,060
Equity Residential+ 17,900 905
Erie Indemnity, Cl A 7,000 367
Fannie Mae 107,581 6,015
Fidelity National Financial (B) 9,543 397
Fidelity National Title Group, Cl A (B) 11,070 232
Fifth Third Bancorp 11,200 426
First American 38,500 1,630
First Horizon National 32,300 1,228
First Marblehead (B) 1,700 118
FirstMerit 5,200 120
Franklin Resources 12,800 1,354
Freddie Mac 265,337 17,600
General Growth Properties+ 4,200 200
Genworth Financial, Cl A 45,700 1,600
Golden West Financial 16,800 1,298
Goldman Sachs Group 31,000 5,244
Greater Bay Bancorp 3,700 104
Hanover Insurance Group 45,100 2,013
Hartford Financial Services Group 52,900 4,589
HCC Insurance Holdings 3,000 99
Health Care+ 1,300 52
Highwoods Properties+ (B) 1,500 56
Host Hotels & Resorts+ 33,465 767
HRPT Properties Trust+ 14,500 173
Huntington Bancshares 121,500 2,907
IndyMac Bancorp (B) 61,800 2,544
IntercontinentalExchange* 8,000 601
Investment Technology Group* 6,900 309
iStar Financial+ 5,400 225
Janus Capital Group (B) 61,300 1,209
Jones Lang LaSalle 14,700 1,257
JPMorgan Chase 726,120 34,099
Keycorp 190,400 7,129
Kilroy Realty+ 1,200 90
Kimco Realty+ 3,200 137
Legg Mason 61,120 6,165
Lehman Brothers Holdings 88,338 6,525
Liberty Property Trust+ 3,300 158
Lincoln National 70,128 4,353
Loews 96,600 3,661
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
M&T Bank 3,500 $ 420
Macerich+ 1,300 99
Mack-Cali Realty+ 4,800 249
Manulife Financial 18,490 596
Marsh & McLennan (B) 8,907 251
Marshall & Ilsley 9,200 443
MBIA 28,100 1,726
Mellon Financial 25,100 981
Mercantile Bankshares 1,950 71
Merrill Lynch 320,500 25,069
Metlife (B) 65,000 3,684
MGIC Investment (B) 29,200 1,751
Moody's 215,000 14,057
Morgan Stanley 234,900 17,127
Nasdaq Stock Market* 2,400 73
National City (B) 236,600 8,660
Nationwide Financial Services, Cl A 39,400 1,895
Nelnet, Cl A* 3,800 117
New York Community Bancorp 4,474 73
North Fork Bancorporation 54,528 1,562
Northern Trust 5,700 333
Nuveen Investments, Cl A 2,400 123
NYSE Group (B)* 800 60
Old Republic International 42,937 951
Peoples Bank 4,500 178
Phoenix 22,400 314
Piper Jaffray* 732 44
Plum Creek Timber+ 7,800 265
PMI Group (B) 53,800 2,357
PNC Financial Services Group 91,700 6,643
Popular 31,000 603
Principal Financial Group (B) 91,800 4,983
Progressive (B) 82,000 2,012
Prologis+ 13,854 790
Protective Life 4,000 183
Prudential Financial (B) 68,700 5,238
Public Storage+ 4,100 353
Radian Group (B) 32,300 1,938
Raymond James Financial 4,050 118
Realogy (B)* 18,950 430
Realty Income+ 2,100 52
Regency Centers+ 1,700 117
Regions Financial (B) 128,779 4,738
Reinsurance Group of America (B) 55,700 2,892
Safeco 80,100 4,720
Simon Property Group+ 7,100 643
SL Green Realty+ 1,500 168
SLM 21,900 1,138
Sovereign Bancorp 16,380 352
St. Joe (B) 3,500 192
St. Paul Travelers 216,607 10,157
State Street 4,510 281
SunTrust Banks 86,300 6,669
SVB Financial Group (B)* 3,100 138
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 43
SCHEDULE OF INVESTMENTS
Tax-Managed Large Cap Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Synovus Financial 1,800 $ 53
T Rowe Price Group 10,000 478
Taubman Centers+ 4,700 209
TCF Financial 4,400 116
TD Ameritrade Holding 8,700 164
TD Banknorth 2,254 65
Torchmark 4,900 309
Toronto-Dominion Bank 1,081 64
UnionBanCal 25,100 1,529
Unitrin 1,100 49
UnumProvident 52,200 1,012
US Bancorp 456,561 15,167
Ventas+ 1,500 58
Vornado Realty Trust+ 3,000 327
Wachovia (B) 332,392 18,547
Waddell & Reed Financial, Cl A 7,800 193
Washington Mutual 223,175 9,701
Weingarten Realty Investors+ 1,400 60
Wells Fargo 226,400 8,191
Whitney Holding 2,400 86
XL Capital, Cl A 8,200 563
Zions Bancorporation 1,600 128
--------------
541,913
--------------
HEALTH CARE -- 12.3%
Abbott Laboratories 119,500 5,803
Advanced Medical Optics* 2,444 97
Aetna 48,600 1,922
Alcon 3,800 435
Allergan 133,908 15,079
AmerisourceBergen 98,476 4,451
Amgen* 256,118 18,320
AMN Healthcare Services* 7,200 171
Applera - Applied Biosystems Group 22,300 738
Barr Pharmaceuticals* 3,300 171
Bausch & Lomb 1,500 75
Baxter International 22,100 1,005
Beckman Coulter 1,200 69
Becton Dickinson 16,650 1,177
Biogen Idec* 10,440 466
Biomet 10,050 324
Boston Scientific* 57,414 849
Bristol-Myers Squibb 57,400 1,430
C.R. Bard 3,800 285
Cardinal Health 32,930 2,165
Caremark Rx 258,338 14,640
Celgene (B)* 45,810 1,984
Cephalon* 800 49
Cigna 20,700 2,408
Cooper 1,200 64
Coventry Health Care* 2,848 147
Cytyc* 6,000 147
Dade Behring Holdings 27,800 1,116
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
DaVita* 4,650 $ 269
Dentsply International 1,800 54
Eli Lilly 152,176 8,674
Emdeon* 20,600 241
Express Scripts* 3,000 227
Fisher Scientific International (B)* 73,803 5,774
Forest Laboratories* 13,600 688
Genentech (B)* 330,991 27,373
Genzyme* 8,700 587
Gilead Sciences* 24,000 1,649
HCA 40,600 2,026
Health Management Associates, Cl A 14,000 293
Health Net* 3,200 139
Hospira* 4,710 180
Humana* 8,600 568
ICOS* 2,300 58
ImClone Systems* 1,300 37
IMS Health 3,944 105
Intuitive Surgical* 700 74
Invitrogen (B)* 2,700 171
Johnson & Johnson 148,230 9,626
King Pharmaceuticals (B)* 133,500 2,274
Laboratory of America Holdings (B)* 5,300 348
Lincare Holdings (B)* 3,500 121
Manor Care 3,700 193
McKesson 39,552 2,085
Medco Health Solutions* 82,539 4,961
Medicis Pharmaceutical, Cl A 2,000 65
Medimmune (B)* 226,260 6,609
Medtronic 199,729 9,275
Merck 424,135 17,771
Millennium Pharmaceuticals* 7,900 79
Millipore* 1,400 86
Mylan Laboratories 91,000 1,832
Omnicare 2,544 110
Patterson* 4,200 141
PDL BioPharma* 4,300 83
PerkinElmer 23,900 452
Pfizer 1,240,433 35,179
Pharmaceutical Product Development 8,600 307
Quest Diagnostics 4,800 294
Schering-Plough 52,462 1,159
Sepracor (B)* 2,500 121
St. Jude Medical* 236,050 8,330
STERIS 5,400 130
Stryker (B) 252,423 12,518
Tenet Healthcare (B)* 93,200 759
Thermo Electron* 7,000 275
UnitedHealth Group 396,892 19,527
Universal Health Services, Cl B 1,600 96
Valeant Pharmaceuticals International (B) 12,000 237
Varian Medical Systems (B)* 1,600 85
Vertex Pharmaceuticals* 1,900 64
- --------------------------------------------------------------------------------
44 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Waters* 5,800 $ 263
Watson Pharmaceuticals* 3,100 81
WellCare Health Plans* 1,200 68
WellPoint* 22,348 1,722
Wyeth 244,625 12,437
Zimmer Holdings (B)* 269,121 18,166
--------------
292,703
--------------
INDUSTRIALS -- 7.1%
3M 76,524 5,695
ACCO Brands* 963 21
AGCO (B)* 3,000 76
Allied Waste Industries (B)* 13,709 154
American Power Conversion 7,400 163
American Standard 7,200 302
AMR* 11,500 266
Armor Holdings* 900 52
Avery Dennison 2,400 144
Avis Budget Group 5,200 95
Boeing 42,203 3,328
Brink's 1,300 69
Burlington Northern Santa Fe 12,500 918
Caterpillar 91,000 5,988
CH Robinson Worldwide (B) 6,400 285
ChoicePoint* 2,600 93
Continental Airlines, Cl B* 4,900 139
Covanta Holding* 2,300 50
Crane 1,700 71
CSX 125,600 4,123
Cummins (B) 24,500 2,921
Danaher 10,200 700
Deere (B) 35,200 2,954
Dover 6,100 289
DRS Technologies 1,500 66
Dun & Bradstreet* 1,600 120
Eaton 37,700 2,596
Emerson Electric 40,000 3,354
Equifax 7,600 279
Expeditors International Washington (B) 306,800 13,677
Fastenal 5,600 216
FedEx 13,400 1,456
Flowserve* 12,000 607
Fluor (B) 1,500 115
Gardner Denver* 4,700 155
GATX 3,200 132
General Dynamics 31,900 2,286
General Electric 1,078,267 38,063
Goodrich 7,900 320
Harsco 2,300 179
Herman Miller 1,900 65
Honeywell International 152,700 6,245
Hubbell, Cl B 16,200 776
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Hudson Highland Group* 1,500 $ 15
IKON Office Solutions 5,300 71
Illinois Tool Works 47,200 2,119
Ingersoll-Rand, Cl A 53,000 2,013
ITT Industries 8,000 410
Jacobs Engineering Group* 1,040 78
JLG Industries 4,500 89
Joy Global 3,600 135
Kansas City Southern* 2,000 55
Kirby* 4,200 132
Lockheed Martin 56,000 4,819
Manitowoc 1,300 58
Manpower 2,200 135
Masco (B) 126,000 3,455
Monster Worldwide* 10,000 362
MSC Industrial Direct, Cl A 4,000 163
Navistar International (B)* 31,900 824
Norfolk Southern 50,100 2,207
Northrop Grumman 107,134 7,293
Paccar 12,712 725
Pall (B) 9,500 293
Parker Hannifin 12,600 979
Pentair 4,800 126
PHH* 1,915 52
Pitney Bowes 8,900 395
Quanta Services (B)* 16,200 273
Raytheon 80,700 3,874
Republic Services 6,400 257
Robert Half International 5,800 197
Rockwell Automation 6,000 349
Rockwell Collins 18,300 1,004
RR Donnelley & Sons 77,200 2,545
Ryder System 19,800 1,023
Shaw Group* 3,100 73
Skywest 8,800 216
Southwest Airlines 37,900 631
SPX 29,600 1,582
Steelcase, Cl A 8,900 140
Swift Transportation (B)* 4,200 100
Terex* 1,100 50
Textron 8,000 700
Timken (B) 27,500 819
UAL* 1,800 48
Union Pacific 13,500 1,188
United Parcel Service, Cl B (B) 249,923 17,979
United Rentals (B)* 43,200 1,004
United Technologies 111,012 7,033
URS* 1,800 70
US Airways Group (B)* 2,200 98
USG* 1,000 47
Viad 850 30
Walter Industries (B) 1,900 81
Waste Management 21,200 778
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 45
SCHEDULE OF INVESTMENTS
Tax-Managed Large Cap Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
West* 2,600 $ 126
WW Grainger 4,800 322
--------------
169,243
--------------
INFORMATION TECHNOLOGY -- 16.0%
3Com* 12,800 56
Acxiom 2,400 59
ADC Telecommunications* 6,400 96
Adobe Systems* 30,012 1,124
Advanced Micro Devices (B)* 15,900 395
Advent Software* 2,800 101
Affiliated Computer Services, Cl A* 4,200 218
Agere Systems* 43,300 646
Agilent Technologies* 14,100 461
Akamai Technologies (B)* 12,800 640
Altera* 12,800 235
Amkor Technology (B)* 16,800 87
Amphenol, Cl A 2,200 136
Analog Devices 22,100 649
Andrew* 18,500 171
Apple Computer* 110,800 8,535
Applied Materials 43,416 770
Arrow Electronics* 53,900 1,478
Atmel* 9,200 56
Autodesk* 8,200 285
Automatic Data Processing 26,200 1,240
Avaya* 15,100 173
Avnet* 80,900 1,587
AVX 9,900 175
BEA Systems* 19,700 299
BearingPoint (B)* 12,900 101
BMC Software (B)* 8,900 242
Broadcom, Cl A (B)* 24,300 737
CA 24,600 583
Cadence Design Systems (B)* 14,800 251
CDW (B) 3,590 221
Ceridian* 2,963 66
CheckFree (B)* 3,200 132
Ciena* 3,000 82
Cisco Systems* 629,933 14,488
Citrix Systems* 28,500 1,032
Cognizant Technology Solutions, Cl A* 4,456 330
Computer Sciences (B)* 31,100 1,528
Compuware* 7,524 59
Comverse Technology* 21,100 452
Convergys* 112,700 2,327
Corning* 51,400 1,255
CSG Systems International (B)* 8,100 214
Cypress Semiconductor (B)* 12,500 222
Dell* 140,313 3,205
Diebold 5,800 252
Dolby Laboratories, Cl A* 9,200 183
DST Systems* 1,700 105
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
eBay (B)* 688,668 $ 19,531
Electronic Arts* 139,642 7,775
Electronic Data Systems (B) 56,700 1,390
EMC* 440,270 5,274
F5 Networks (B)* 2,100 113
Fair Isaac (B) 25,750 942
Fairchild Semiconductor International (B)* 3,400 64
Fidelity National Information Services 1,400 52
First Data 679,199 28,526
Fiserv* 25,950 1,222
Freescale Semiconductor, Cl B* 62,034 2,358
Global Payments 4,000 176
Google, Cl A* 83,055 33,380
Harris 6,000 267
Hewlett-Packard 596,938 21,902
Ingram Micro, Cl A* 132,300 2,535
Integrated Device Technology* 9,200 148
Intel 256,500 5,276
International Business Machines 87,897 7,202
International Rectifier* 1,900 66
Intersil, Cl A 5,500 135
Intuit (B)* 500,600 16,064
Iron Mountain* 6,300 271
Jabil Circuit (B)* 5,300 151
Juniper Networks (B)* 25,700 444
Kemet* 12,000 97
Kla-Tencor (B) 6,100 271
Lam Research (B)* 2,600 118
Lexmark International, Cl A (B)* 57,400 3,310
Linear Technology (B) 194,081 6,040
LSI Logic (B)* 106,512 876
Maxim Integrated Products 9,800 275
McAfee* 8,800 215
MEMC Electronic Materials (B)* 1,600 59
Mettler Toledo International* 2,300 152
Microchip Technology 7,300 237
Micron Technology (B)* 12,800 223
Microsoft 724,154 19,791
MKS Instruments* 3,500 71
Molex 1,400 55
MoneyGram International 3,400 99
Motorola 318,860 7,971
National Semiconductor 29,200 687
NAVTEQ (B)* 211,600 5,525
Network Appliance (B)* 12,400 459
Novell* 7,000 43
Novellus Systems (B)* 10,600 293
Nvidia* 61,700 1,826
Oracle* 175,683 3,117
Paychex (B) 541,500 19,954
Perot Systems, Cl A* 13,400 185
PMC - Sierra (B)* 17,900 106
Polycom (B)* 11,200 275
- --------------------------------------------------------------------------------
46 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
QLogic* 8,600 $ 163
Qualcomm 1,019,632 37,064
Rambus* 3,200 56
Red Hat (B)* 7,600 160
Research In Motion* 159,550 16,379
Reynolds & Reynolds, Cl A 3,400 134
Sabre Holdings, Cl A 49,600 1,160
Salesforce.com* 3,000 108
SanDisk (B)* 276,300 14,793
Sanmina-SCI* 19,200 72
Seagate Technology 625,000 14,431
Semtech (B)* 11,500 147
Silicon Laboratories* 1,600 50
Solectron* 143,300 467
Sun Microsystems (B)* 145,000 721
Sybase (B)* 2,400 58
Symantec (B)* 38,727 824
Symbol Technologies 7,600 113
Synopsys* 5,577 110
Tech Data (B)* 16,886 617
Tektronix 3,200 93
Tellabs* 71,400 783
Teradyne (B)* 18,800 247
Texas Instruments 58,700 1,952
Unisys* 12,400 70
VeriSign (B)* 14,900 301
Vishay Intertechnology (B)* 116,500 1,636
Western Digital* 37,100 671
Xerox* 164,700 2,563
Xilinx 22,000 483
Yahoo! (B)* 363,343 9,185
Zebra Technologies, Cl A* 900 32
--------------
380,976
--------------
MATERIALS -- 3.0%
Air Products & Chemicals 9,900 657
Alcan 10,900 435
Alcoa 177,300 4,971
Allegheny Technologies 5,710 355
Ashland (B) 17,700 1,129
Ball 1,400 57
Bemis 27,800 913
Carpenter Technology 900 97
Chemtura 8,700 75
Crown Holdings (B)* 6,000 112
Dow Chemical 146,256 5,701
E.I. du Pont de Nemours (B) 123,900 5,308
Eagle Materials 1,506 51
Eastman Chemical 43,400 2,344
Ecolab 11,200 480
Florida Rock Industries 1,800 70
Freeport-McMoRan Copper & Gold, Cl B 5,100 272
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Hercules* 26,700 $ 421
Huntsman* 3,200 58
International Flavors & Fragrances 6,200 245
International Paper 23,800 824
IPSCO 2,800 243
Louisiana-Pacific 35,600 668
Lubrizol 58,900 2,693
Martin Marietta Materials 1,100 93
MeadWestvaco 60,300 1,599
Methanex 58,300 1,419
Monsanto 24,876 1,169
Newmont Mining 16,200 693
Nucor 75,400 3,732
OM Group (B)* 20,900 918
Owens-Illinois* 5,500 85
Pactiv* 63,700 1,810
Phelps Dodge 5,600 474
PPG Industries 76,800 5,152
Praxair 253,440 14,994
Quanex 30,750 933
Reliance Steel & Aluminum 2,400 77
Rohm & Haas 34,600 1,638
RPM International 3,000 57
Sealed Air 10,500 568
Sigma-Aldrich 2,700 204
Smurfit-Stone Container (B)* 49,800 558
Sonoco Products 18,600 626
Steel Dynamics 30,200 1,524
Temple-Inland 2,200 88
Titanium Metals* 2,900 73
Tronox, Cl B 1,310 17
United States Steel 22,937 1,323
Valspar 52,300 1,391
Weyerhaeuser (B) 39,514 2,431
--------------
71,825
--------------
TELECOMMUNICATION SERVICES -- 3.6%
Alltel 16,100 894
American Tower, Cl A (B)* 147,634 5,389
AT&T (B) 618,419 20,136
BellSouth 306,700 13,111
CenturyTel (B) 68,000 2,698
Citizens Communications (B) 171,100 2,402
Crown Castle International (B)* 213,112 7,510
Embarq 27,689 1,339
Level 3 Communications (B)* 28,800 154
Qwest Communications International (B)* 52,061 454
SBA Communications, Cl A* 5,100 124
Sprint Nextel 283,512 4,862
Telephone & Data Systems 5,200 219
Telephone & Data Systems, Special Shares 5,200 212
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 47
SCHEDULE OF INVESTMENTS
Tax-Managed Large Cap Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
US Cellular (B)* 11,000 $ 657
Verizon Communications 655,143 24,324
Windstream 16,646 220
--------------
84,705
--------------
UTILITIES -- 3.0%
AES* 9,500 194
Allegheny Energy (B)* 12,800 514
Alliant Energy 71,600 2,558
Ameren 5,600 296
American Electric Power 164,700 5,990
Aqua America 2,666 59
CenterPoint Energy (B) 38,600 553
CMS Energy (B)* 50,000 722
Consolidated Edison (B) 9,400 434
Constellation Energy Group 33,800 2,001
Dominion Resources 21,900 1,675
DTE Energy (B) 86,340 3,584
Duke Energy 167,988 5,073
Dynegy, Cl A* 13,600 75
Edison International 47,100 1,961
Energen 33,300 1,394
Energy East 2,500 59
Entergy 68,700 5,374
Equitable Resources 1,800 63
Exelon (B) 28,600 1,732
FirstEnergy 86,600 4,838
FPL Group (B) 13,800 621
Great Plains Energy 7,100 220
Idacorp 2,900 110
KeySpan 2,000 82
Nicor 4,700 201
NiSource 6,500 141
Northeast Utilities 10,800 251
OGE Energy (B) 7,500 271
Pepco Holdings 126,200 3,050
PG&E (B) 102,500 4,269
Pinnacle West Capital 80,900 3,645
PPL (B) 50,800 1,671
Progress Energy (B) 59,000 2,677
Public Service Enterprise Group 5,100 312
Puget Energy 11,900 271
Questar 4,200 344
Reliant Energy* 7,762 96
Sempra Energy 44,100 2,215
Southern (B) 27,600 951
TECO Energy (B) 97,000 1,518
TXU 54,600 3,414
Wisconsin Energy 69,000 2,977
Xcel Energy 129,800 2,680
--------------
71,136
--------------
Total Common Stock
(Cost $1,851,965) ($ Thousands) 2,340,737
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Number of
Warrants
-----------
WARRANTS -- 0.0%
Lucent Technologies, Expires 12/10/07* 9,748 $ 2
--------------
Total Warrants
(Cost $--) ($ Thousands) 2
--------------
CORPORATE OBLIGATIONS (C) -- 7.2%
FINANCIALS -- 7.2%
Allstate Life Global Funding II
MTN (E) (F)
5.370%, 10/16/06 $ 2,622 2,622
American General Finance (E) (F)
5.360%, 10/16/06 8,266 8,265
Bear Stearns EXL (E)
5.370%, 10/16/06 10,147 10,147
Countrywide Financial MTN (E)
5.448%, 12/27/06 3,420 3,420
Countrywide Financial MTN, Ser A (E)
5.548%, 11/03/06 5,986 5,986
Dekabank (E) (F)
5.490%, 10/19/06 10,546 10,545
Glitner Banki (E) (F)
5.380%, 10/10/06 8,551 8,551
Irish Life & Permanent MTN,
Ser X (E) (F)
5.370%, 10/23/06 7,582 7,581
Islandsbanki (E) (F)
5.380%, 10/23/06 4,846 4,846
Jackson National Life Funding (E) (F)
5.330%, 10/02/06 12,541 12,541
Kaupthing Bank MTN (E) (F)
5.390%, 10/20/06 14,251 14,251
Lakeside Funding (E)
5.330%, 10/10/06 3,408 3,408
Landsbanki Islands (E) (F)
5.410%, 10/16/06 10,831 10,831
Morgan Stanley EXL (E)
5.390%, 10/04/06 1,995 1,995
Morgan Stanley EXL, Ser S (E)
5.350%, 10/03/06 2,850 2,850
Natexis Banques (E) (F)
5.310%, 10/16/06 5,558 5,558
Nationwide Building Society (E) (F)
5.424%, 12/28/06 3,135 3,135
5.360%, 10/10/06 5,701 5,701
Nordbank (E) (F)
5.360%, 10/23/06 9,691 9,690
Northern Rock (E) (F)
5.370%, 10/03/06 5,872 5,872
- --------------------------------------------------------------------------------
48 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Pacific Life Global Funding (E) (F)
5.380%, 10/13/06 $ 4,275 $ 4,275
Premium Asset Trust,
Ser 2004-10 (E) (F)
5.370%, 10/16/06 7,981 7,981
SLM EXL, Ser S (E) (F)
5.330%, 10/16/06 6,271 6,271
Sigma Finance MTN (F)
4.745%, 11/09/06 3,078 3,078
Skandinav Enskilda Bank (E) (F)
5.320%, 10/18/06 6,271 6,270
Stanfield Victoria MTN (F)
5.445%, 06/11/07 5,701 5,701
--------------
Total Corporate Obligations
(Cost $171,371) ($ Thousands) 171,371
--------------
COMMERCIAL PAPER (C) (D) -- 2.1%
Broadhollow Funding
5.502%, 10/02/06 11,401 11,398
Citius I Funding
5.313%, 10/17/06 2,850 2,843
Elysian Funding LLC
5.427%, 11/27/06 5,116 5,072
5.401%, 11/20/06 4,575 4,540
5.390%, 11/06/06 5,701 5,669
Georgetown Funding
5.349%, 10/24/06 1,468 1,463
Mica Funding LLC
5.299%, 10/12/06 5,701 5,690
Ocala Funding
5.321%, 10/20/06 2,850 2,842
5.318%, 10/10/06 6,500 6,491
Rhineland Funding Capital
5.470%, 10/12/06 2,850 2,845
5.378%, 12/12/06 1,876 1,856
--------------
Total Commercial Paper
(Cost $50,709) ($ Thousands) 50,709
--------------
ASSET-BACKED SECURITIES (C) (E) (F) -- 1.2%
MORTGAGE RELATED SECURITIES -- 1.2%
Cheyne High Grade, Ser 2004-1A, Cl AM1
5.466%, 11/10/06 2,850 2,850
Commodore, Ser 2003-2A, Cl A1MM
5.470%, 12/12/06 2,622 2,622
Duke Funding, Ser 2004-6B, Cl A1S1
5.577%, 10/10/06 4,275 4,275
Newcastle CDO, Ser 2005-6A, Cl IM1
5.350%, 10/24/06 1,140 1,140
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl AM6
5.360%, 10/25/06 $ 2,533 $ 2,533
Saturn Ventures II
5.390%, 10/10/06 4,591 4,591
TIAA Real Estate CDO, Ser 2003 1A,
Cl A1MM
5.354%, 10/30/06 4,239 4,239
Whitehawk CDO Funding, Ser 2004-1A
5.340%, 10/16/06 4,920 4,920
--------------
Total Asset-Backed Securities
(Cost $27,170) ($ Thousands) 27,170
--------------
CASH EQUIVALENTS -- 1.3%
Merrill Lynch EBP Master
5.220%** 1,904,821 1,905
SEI Daily Income Trust, Prime
Obligation Fund, Cl A, 5.330%**++ 27,964,629 27,965
--------------
Total Cash Equivalents
(Cost $29,870) ($ Thousands) 29,870
--------------
MASTER NOTE (C) -- 0.6%
Bank of America
5.445%, 10/02/06 14,251 14,251
--------------
Total Master Note
(Cost $14,251) ($ Thousands) 14,251
--------------
CERTIFICATES OF DEPOSIT (C) -- 0.5%
Barclays Bank (E)
5.440%, 06/11/07 2,850 2,850
CC USA MTN (F)
5.520%, 06/18/07 5,701 5,701
U.S. Trust of New York (E)
5.370%, 10/13/06 2,280 2,280
--------------
Total Certificates of Deposit
(Cost $10,831) ($ Thousands) 10,831
--------------
U.S. TREASURY OBLIGATIONS (A) (D) -- 0.0%
U.S. Treasury Bills
5.105%, 12/14/06 100 99
4.983%, 11/24/06 883 877
--------------
Total U.S. Treasury Obligations
(Cost $976) ($ Thousands) 976
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 49
SCHEDULE OF INVESTMENTS
Tax-Managed Large Cap Fund (Concluded)
September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS (C) (G) -- 1.4%
Barclays
5.350%, dated 09/29/06, to be
repurchased on 10/02/06,
repurchase price $7,922,489
(collateralized by a U.S. Government
Obligation, par value $7,563,359,
6.000%, 05/15/11; with total market
value $8,077,390) $ 7,919 $ 7,919
Deutsche Bank
5.330%, dated 09/29,06, to be
repurchased on 10/02/06,
repurchase price $11,406,139
(collateralized by various
U.S. Government Obligations,
ranging in par value $98,619-
$3,336,696, 3.750%-5.300%,
02/21/08-04/25/14; with total
market value $11,629,132) 11,401 11,401
Lehman Brothers
5.330%, dated 09/29/06, to be
repurchased on 10/02/06,
repurchase price $14,257,673
(collateralized by various
U.S. Government Obligations,
ranging in par value $983,913-
$1,753,485, 2.500%-5.705%,
01/30/07-05/18/16; with total
market value $14,536,532) 14,251 14,251
--------------
Total Repurchase Agreements
(Cost $33,571) ($ Thousands) 33,571
--------------
Total Investments -- 112.7%
(Cost $2,190,714) ($ Thousands) $ 2,679,488
==============
Futures -- A summary of the open futures contracts held by the fund at September
30, 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 53 Dec-2006 $503
S&P 400 Index E-MINI 32 Dec-2006 42
----
$545
====
Percentages are based on Net Assets of $2,378,065 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of September 30, 2006.
+ Real Estate Investment Trust.
++ Pursuant to an exemptive order issued by the Securities and Exchange
Commission, the Fund may invest in the SEI money market funds, provided
that investments in the money market funds do not exceed 25% of the Fund's
total assets.
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(B) This security or a partial position of this security is on loan at
September 30, 2006 (see Note 7). The total value of securities on loan at
September 30, 2006 was $297,902 ($ Thousands).
(C) This security was purchased with cash collateral held from securities on
loan (see Note 7). The total value of such securities as of September 30,
2006 was $307,903 ($ Thousands).
(D) The rate reported is the effective yield at time of purchase.
(E) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of September 30, 2006. The date reported on the
Schedule of Investments is the next reset date.
(F) This security was sold within the terms of a private placement memorandum,
exempt from registration under Section 3A-4, 4(2) or 144A of the
Securities Act of 1933, as amended, and may be sold only to dealers in
that program or other "accredited investors." These securities have been
determined to be liquid under guidelines established by the Board of
Trustees.
(G) Tri-Party Repurchase Agreement.
CDO -- Collateralized Debt Obligation
Cl -- Class
EXL -- Extendable Maturity
LLC -- Limited Liability Company
MTN -- Medium Term Note
NIM -- Net Interest Margin
Ser -- Series
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
50 SEI Institutional Managed Trust / Annual Report / September 30, 2006
Large Cap Value Fund
September 30, 2006
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS# (UNAUDITED):
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
40.9% Financials
11.3% Energy
8.0% Consumer Discretionary
6.9% Health Care
6.4% Industrials
6.4% Consumer Staples
5.2% Telecommunication Services
4.4% Utilities
3.6% Information Technology
3.5% Materials
2.4% Short-Term Investments
0.9% Asset-Backed Securities
0.1% U.S. Treasury Obligation
#Percentages based on total investments. Includes investments held as collateral
for securities on loan (see Note 7).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 98.5%+++
CONSUMER DISCRETIONARY -- 8.9%
AnnTaylor Stores* 5,400 $ 226
Autoliv 262,700 14,477
Autonation* 20,500 428
Barnes & Noble 94,200 3,574
Black & Decker (B) 53,100 4,213
Borders Group 175,000 3,570
BorgWarner (B) 136,700 7,815
Brinker International 40,500 1,624
Cablevision Systems, Cl A 28,600 649
CBS, Cl B (B) 466,800 13,150
Circuit City Stores 10,600 266
Clear Channel Communications 7,100 205
Comcast, Cl A (B)* 463,600 17,084
DaimlerChrysler 28,100 1,404
Darden Restaurants (B) 136,300 5,789
Dillard's, Cl A (B) 168,400 5,512
DIRECTV Group* 240,400 4,731
Dollar Tree Stores* 38,600 1,195
Eastman Kodak (B) 167,400 3,750
Family Dollar Stores 35,000 1,023
Federated Department Stores 8,300 359
Foot Locker 52,100 1,316
Ford Motor (B) 943,000 7,629
Gannett (B) 108,900 6,189
Gap 191,600 3,631
General Motors (B) 206,400 6,865
Genuine Parts 34,200 1,475
Goodyear Tire & Rubber (B)* 280,400 4,066
Harrah's Entertainment 3,200 213
Hasbro (B) 434,800 9,892
IAC/InterActive* 2,000 58
Interpublic Group (B)* 103,400 1,024
J.C. Penney (B) 73,800 5,047
Johnson Controls 59,900 4,297
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Jones Apparel Group 197,500 $ 6,407
KB Home (B) 50,500 2,212
Kohl's* 27,500 1,785
Lennar, Cl A (B) 44,400 2,009
Liberty Global, Cl A* 3,600 93
Liberty Media Holding-Capital, Ser A* 19,300 1,613
Liberty Media Holding-Interactive, Cl A* 6,800 139
Limited Brands (B) 210,800 5,584
Mattel 575,100 11,329
McDonald's 614,800 24,051
McGraw-Hill 120,200 6,975
Newell Rubbermaid 50,100 1,419
News, Cl A* 385,000 7,565
NTL 14,100 359
NVR* 2,000 1,070
Office Depot* 105,400 4,184
OfficeMax 133,002 5,418
Pulte Homes 102,200 3,256
Saks (B)* 169,000 2,920
Sears Holdings* 1,400 221
Shaw Communications, Cl B 221,200 6,640
Sherwin-Williams 3,400 190
Snap-On 28,600 1,274
Stanley Works 39,397 1,964
Starwood Hotels & Resorts Worldwide 900 51
Target 39,900 2,204
Tiffany 12,500 415
Time Warner 2,684,800 48,944
Toyota Motor ADR 9,400 1,024
Tribune (B) 117,600 3,848
Univision Communications, Cl A* 42,000 1,442
VF 185,000 13,496
Viacom, Cl B* 109,000 4,053
Walt Disney (B) 293,800 9,081
Warner Music Group 22,600 586
Wendy's International 50,300 3,370
Whirlpool (B) 87,500 7,360
Wyndham Worldwide* 39,060 1,092
--------------
338,389
--------------
CONSUMER STAPLES -- 7.1%
Alberto-Culver 6,200 314
Altria Group 609,100 46,627
Anheuser-Busch 10,100 480
Archer-Daniels-Midland 297,700 11,277
BJ's Wholesale Club* 54,900 1,602
Campbell Soup 43,100 1,573
Clorox 26,300 1,657
Coca-Cola 176,600 7,890
Coca-Cola Enterprises 266,300 5,547
Colgate-Palmolive 121,300 7,533
ConAgra Foods (B) 53,400 1,307
Corn Products International 38,000 1,237
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 51
SCHEDULE OF INVESTMENTS
Large Cap Value Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Costco Wholesale 44,300 $ 2,201
CVS 10,400 334
Dean Foods* 156,200 6,564
Del Monte Foods 441,300 4,612
Energizer Holdings (B)* 125,600 9,042
Estee Lauder, Cl A (B) 164,200 6,622
General Mills 113,100 6,401
HJ Heinz 21,900 918
Hormel Foods 38,100 1,371
JM Smucker 2,300 110
Kellogg 15,100 748
Kimberly-Clark 149,200 9,752
Kraft Foods, Cl A (B) 217,600 7,760
Kroger* 535,800 12,398
Loews - Carolina 52,000 2,880
McCormick 14,700 558
Molson Coors Brewing, Cl B (B) 87,000 5,994
Pepsi Bottling Group 151,600 5,382
PepsiAmericas 170,100 3,630
PepsiCo 108,100 7,055
Procter & Gamble 746,700 46,280
Reynolds American (B) 315,600 19,558
Safeway (B) 231,827 7,036
Smithfield Foods* 4,200 113
Supervalu 226,185 6,706
Tyson Foods, Cl A 250,100 3,972
UST 24,500 1,343
Walgreen 58,300 2,588
--------------
268,972
--------------
ENERGY -- 12.7%
Anadarko Petroleum 170,200 7,460
BJ Services (B) 68,600 2,067
Chesapeake Energy 4,500 130
Chevron 1,206,100 78,228
ConocoPhillips 897,993 53,458
Devon Energy 293,800 18,553
EnCana 86,800 4,053
Exxon Mobil 3,434,900 230,482
Frontier Oil 25,000 665
GlobalSantaFe (B) 45,600 2,280
Hess (B) 255,100 10,566
Holly 96,200 4,168
Marathon Oil (B) 431,800 33,205
Murphy Oil 7,400 352
Nabors Industries (B)* 44,000 1,309
National Oilwell Varco* 1,300 76
Noble Energy (B) 100,600 4,586
Occidental Petroleum 240,500 11,570
Overseas Shipholding Group 5,400 334
Pride International* 1,200 33
SEACOR Holdings* 1,700 140
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Sunoco 57,500 $ 3,576
Unit* 42,500 1,954
Valero Energy 225,900 11,627
--------------
480,872
--------------
FINANCIALS -- 36.2%
A.G. Edwards 181,400 9,665
ACE 49,100 2,687
Allied Capital 47,400 1,432
Allstate (B) 497,500 31,208
AMB Property+ 9,400 518
AMBAC Financial Group 123,700 10,236
American Capital Strategies 16,300 643
American Financial Group 29,600 1,389
American International Group 896,400 59,395
AmeriCredit* 2,000 50
Ameriprise Financial 30,700 1,440
AmerUs Group 13,800 939
AmSouth Bancorp 285,900 8,303
AON 282,400 9,565
Apartment Investment & Management, Cl A 17,400 947
Archstone-Smith Trust+ 26,100 1,421
Arthur J Gallagher 9,300 248
Assurant 128,700 6,874
Astoria Financial 263,300 8,115
AvalonBay Communities+ 23,700 2,853
BancorpSouth 11,000 305
Bank of America 2,546,050 136,392
Bank of Hawaii 14,800 713
Bank of New York 65,000 2,292
BB&T (B) 354,400 15,516
Bear Stearns 38,600 5,408
Boston Properties+ 13,800 1,426
Brandywine Realty Trust+ 3,700 120
BRE Properties, Cl A+ 33,000 1,971
Brookfield Asset Management 166,800 7,396
Camden Property Trust+ 22,900 1,741
Capital One Financial 14,400 1,133
CapitalSource+ 20,700 534
CB Richard Ellis Group, Cl A* 249,000 6,125
Chicago Mercantile Holdings 5,700 2,726
Chubb 249,900 12,985
Cincinnati Financial 18,500 889
CIT Group 239,900 11,666
Citigroup 3,168,500 157,379
City National 1,100 74
Colonial BancGroup 71,900 1,762
Colonial Properties Trust+ 1,200 57
Comerica (B) 331,200 18,852
Commerce Bancshares 28,700 1,451
Compass Bancshares 24,700 1,407
- --------------------------------------------------------------------------------
52 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Conseco* 47,200 $ 991
Countrywide Financial 227,700 7,979
Credicorp 6,600 277
Cullen/Frost Bankers 24,900 1,440
Duke Realty+ 34,800 1,300
E*Trade Financial* 22,000 526
Equity Office Properties Trust+ 179,400 7,133
Equity Residential+ 43,400 2,195
Erie Indemnity, Cl A 12,000 628
Essex Property Trust+ 9,000 1,093
Fannie Mae 315,000 17,612
Federal Realty Investment Trust+ 6,600 490
Fidelity National Financial 41,100 1,712
First American 162,700 6,889
First Horizon National 156,200 5,937
Franklin Resources 24,700 2,612
Freddie Mac 117,000 7,761
Friedman Billings Ramsey Group, Cl A+ (B) 274,800 2,207
Fulton Financial 1,650 27
Genworth Financial, Cl A 197,300 6,907
Golden West Financial 19,300 1,491
Goldman Sachs Group (B) 120,800 20,436
Hanover Insurance Group 100,000 4,463
Hartford Financial Services Group 248,800 21,583
HCC Insurance Holdings 30,800 1,013
Hospitality Properties Trust+ 2,800 132
Host Hotels & Resorts+ 70,260 1,611
Hudson City Bancorp 63,400 840
Huntington Bancshares 136,000 3,255
IndyMac Bancorp (B) 197,900 8,146
iStar Financial+ 3,100 129
Janus Capital Group (B) 173,600 3,423
Jefferies Group 66,900 1,907
Jones Lang LaSalle (B) 47,700 4,077
JPMorgan Chase 2,265,228 106,375
Keycorp 597,300 22,363
Kimco Realty+ 8,100 347
Lehman Brothers Holdings 327,200 24,167
Leucadia National 113,000 2,957
Lincoln National 299,767 18,610
Loews 667,900 25,313
M&T Bank 19,000 2,279
Mack-Cali Realty+ 5,600 290
Markel* 200 82
Marsh & McLennan 60,500 1,703
Marshall & Ilsley 1,900 92
MBIA (B) 112,900 6,937
Mellon Financial 28,000 1,095
Mercantile Bankshares 25,400 921
Mercury General 2,800 139
Merrill Lynch 701,700 54,887
Metlife (B) 190,200 10,781
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
MGIC Investment (B) 79,600 $ 4,774
Morgan Stanley 492,900 35,937
National City (B) 754,400 27,611
Nationwide Financial Services, Cl A 121,200 5,830
New Century Financial+ 7,400 291
New York Community Bancorp 59,200 970
North Fork Bancorporation 149,100 4,270
Northern Trust 10,000 584
NYSE Group* 2,100 157
Old Republic International 247,137 5,474
Pan Pacific Retail Properties+ 1,400 97
Philadelphia Consolidated Holding* 3,300 131
PMI Group 193,900 8,495
PNC Financial Services Group 210,500 15,249
Popular 111,000 2,158
Principal Financial Group (B) 118,300 6,421
Progressive 33,200 815
Prologis+ 18,400 1,050
Protective Life 5,700 261
Prudential Financial (B) 95,100 7,251
Public Storage+ 1,400 120
Radian Group 180,900 10,854
Raymond James Financial 64,450 1,885
Rayonier+ 20,700 782
Realogy* 48,825 1,107
Reckson Associates Realty+ 43,000 1,840
Regions Financial (B) 418,914 15,412
Reinsurance Group of America 18,100 940
Safeco (B) 237,600 14,002
Sovereign Bancorp (B) 57,015 1,226
St. Paul Travelers 595,100 27,904
Stancorp Financial Group 39,600 1,767
State Street 14,200 886
SunTrust Banks 311,100 24,042
Synovus Financial 3,300 97
Taubman Centers+ 3,100 138
TCF Financial 4,800 126
TD Banknorth 10,300 297
Torchmark 15,200 959
Transatlantic Holdings 900 54
Trizec Properties+ 47,100 1,362
UnionBanCal 123,600 7,527
UnumProvident (B) 220,400 4,274
US Bancorp 1,305,800 43,379
Valley National Bancorp 63,180 1,616
Ventas+ 3,200 123
Vornado Realty Trust+ 10,100 1,101
Wachovia (B) 766,412 42,766
Washington Federal 17,600 395
Washington Mutual 696,900 30,294
Wells Fargo 712,000 25,760
Whitney Holding 29,600 1,059
Wilmington Trust 33,800 1,506
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 53
SCHEDULE OF INVESTMENTS
Large Cap Value Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
WR Berkley 54,350 $ 1,923
XL Capital, Cl A 28,700 1,972
Zions Bancorporation 28,300 2,259
--------------
1,375,388
--------------
HEALTH CARE -- 7.8%
Abbott Laboratories 7,800 379
Aetna 116,700 4,616
Alcon 16,700 1,912
AmerisourceBergen 260,800 11,788
Applera - Applied Biosystems Group 24,400 808
Becton Dickinson (B) 40,300 2,848
Bristol-Myers Squibb 23,600 588
Cardinal Health 73,200 4,812
Caremark Rx 166,700 9,447
Cigna 33,200 3,862
Dade Behring Holdings 126,400 5,076
Eli Lilly 71,900 4,098
Fisher Scientific International* 3,800 297
Genentech* 29,000 2,398
Gilead Sciences* 41,700 2,865
HCA (B) 89,700 4,475
Health Net* 6,900 300
Hillenbrand Industries 14,800 843
IMS Health 9,200 245
Johnson & Johnson 95,600 6,208
King Pharmaceuticals (B)* 638,600 10,875
Laboratory of America Holdings (B)* 65,200 4,275
McKesson 35,100 1,851
Medco Health Solutions* 26,200 1,575
Medimmune (B)* 74,400 2,173
Merck 1,279,100 53,594
Omnicare 21,200 914
Pfizer 4,386,900 124,413
Tenet Healthcare (B)* 396,700 3,229
Thermo Electron* 49,700 1,955
UnitedHealth Group 74,900 3,685
Universal Health Services, Cl B 8,100 486
Watson Pharmaceuticals* 5,500 144
WellPoint* 17,300 1,333
Wyeth 323,000 16,421
--------------
294,788
--------------
INDUSTRIALS -- 7.1%
AGCO* 6,600 167
Allied Waste Industries* 37,400 421
AMR* 28,300 655
Armor Holdings* 7,300 419
Avis Budget Group 19,530 357
Boeing 29,600 2,334
Brink's 8,500 451
Carlisle 2,800 235
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Corrections of America* 13,200 $ 571
Crane 29,000 1,212
CSX 376,200 12,351
Cummins (B) 101,400 12,090
Deere 100,800 8,458
Dover 15,100 716
Dun & Bradstreet* 63,600 4,769
Eaton 156,700 10,789
Emerson Electric 41,600 3,489
Equifax 2,800 103
Flowserve* 6,300 319
General Dynamics 29,100 2,086
General Electric 2,227,800 78,641
Honeywell International 184,400 7,542
Hubbell, Cl B 2,200 105
Ingersoll-Rand, Cl A 182,400 6,928
Kennametal 8,100 459
L-3 Communications Holdings 1,800 141
Laidlaw International 78,000 2,132
Lockheed Martin 152,400 13,116
Manpower 8,600 527
Masco (B) 345,300 9,468
Navistar International (B)* 118,500 3,060
Norfolk Southern 137,400 6,052
Northrop Grumman 395,000 26,888
Paccar 82,850 4,724
Parker Hannifin 22,400 1,741
Raytheon 285,500 13,707
Republic Services 4,700 189
Rockwell Collins 47,000 2,577
RR Donnelley & Sons 123,800 4,080
Ryder System 125,400 6,481
Southwest Airlines 114,000 1,899
SPX 8,200 438
Swift Transportation (B)* 73,900 1,753
Terex* 33,900 1,533
Textron 46,600 4,078
UAL* 8,100 215
Union Pacific 57,500 5,060
United Rentals (B)* 101,100 2,351
United Technologies 15,800 1,001
USG* 600 28
Waste Management 40,300 1,478
WW Grainger 12,800 858
--------------
271,242
--------------
INFORMATION TECHNOLOGY -- 4.0%
Affiliated Computer Services, Cl A* 4,100 213
Agere Systems (B)* 176,200 2,631
Apple Computer* 38,200 2,943
Arrow Electronics (B)* 94,400 2,589
Avaya* 9,100 104
Avnet* 124,600 2,445
- --------------------------------------------------------------------------------
54 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Broadcom, Cl A (B)* 53,100 $ 1,611
Cadence Design Systems* 10,000 170
Ceridian* 10,400 233
Cisco Systems* 161,400 3,712
Computer Sciences (B)* 152,000 7,466
Convergys* 320,800 6,625
Electronic Arts* 39,400 2,194
Electronic Data Systems 262,000 6,424
Fair Isaac 96,600 3,533
Fidelity National Information Services 7,100 263
Fiserv* 94,100 4,431
Freescale Semiconductor, Cl B* 52,100 1,980
Google, Cl A* 6,000 2,411
Hewlett-Packard 964,400 35,384
Ingram Micro, Cl A (B)* 218,500 4,186
Integrated Device Technology* 54,000 867
Intel 334,900 6,889
International Business Machines 172,200 14,110
Intersil, Cl A 14,700 361
Lexmark International, Cl A (B)* 89,100 5,138
LSI Logic (B)* 223,900 1,840
Micron Technology* 43,400 755
Microsoft 163,200 4,460
Motorola 2,700 68
NCR* 10,900 430
Novellus Systems* 5,100 141
Nvidia* 83,600 2,474
Reynolds & Reynolds, Cl A 9,800 387
Sabre Holdings, Cl A 234,900 5,494
Sanmina-SCI* 249,400 933
Solectron* 596,600 1,945
Symbol Technologies 8,700 129
Synopsys* 50,000 986
Tech Data (B)* 79,800 2,915
Tektronix 17,800 515
Tellabs* 22,300 244
Vishay Intertechnology (B)* 343,800 4,827
Western Digital* 149,200 2,701
Yahoo! (B)* 60,400 1,527
--------------
151,684
--------------
MATERIALS -- 4.0%
Air Products & Chemicals 6,500 431
Airgas 2,500 90
Albemarle 21,900 1,190
Alcan 49,500 1,974
Alcoa 410,000 11,496
Ashland (B) 50,400 3,215
Bemis 119,400 3,923
Cabot 8,000 298
Commercial Metals 17,100 348
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Cytec Industries 17,900 $ 995
Dow Chemical 403,400 15,725
E.I. du Pont de Nemours 105,100 4,502
Eastman Chemical 85,800 4,635
Freeport-McMoRan Copper & Gold, Cl B 4,800 256
Hercules* 153,100 2,414
International Flavors & Fragrances 10,800 427
International Paper 208,400 7,217
IPSCO 7,800 676
Louisiana-Pacific 150,100 2,817
Lubrizol 230,600 10,545
MeadWestvaco 184,300 4,886
Methanex 207,800 5,058
Newmont Mining 18,900 808
Nucor 245,500 12,150
Pactiv* 175,200 4,979
Phelps Dodge 32,500 2,753
PPG Industries 209,600 14,060
Reliance Steel & Aluminum 16,600 534
Rohm & Haas (B) 126,100 5,971
Scotts Miracle-Gro, Cl A 5,800 258
Sealed Air 2,800 152
Sigma-Aldrich 6,700 507
Smurfit-Stone Container (B)* 263,600 2,952
Sonoco Products (B) 98,300 3,307
Steel Dynamics 56,600 2,855
Temple-Inland 4,800 192
United States Steel 73,500 4,239
Valspar 180,600 4,804
Weyerhaeuser (B) 110,200 6,781
--------------
150,420
--------------
TELECOMMUNICATION SERVICES -- 5.8%
Alltel 13,300 738
AT&T (B) 2,169,900 70,652
BellSouth 1,169,800 50,009
CenturyTel (B) 273,200 10,838
Citizens Communications 80,300 1,127
Crown Castle International* 16,000 564
Embarq (B) 96,292 4,658
Leap Wireless International* 16,500 800
Sprint Nextel 715,050 12,263
Verizon Communications (B) 1,810,300 67,216
Windstream 14,626 193
--------------
219,058
--------------
UTILITIES -- 4.9%
AGL Resources 4,500 164
Alliant Energy 321,600 11,491
American Electric Power 336,000 12,220
Aqua America 10,500 230
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 55
SCHEDULE OF INVESTMENTS
Large Cap Value Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CMS Energy (B)* 227,600 $ 3,287
Consolidated Edison 1,100 51
Constellation Energy Group 187,400 11,094
Dominion Resources 54,900 4,199
DPL 12,500 339
DTE Energy (B) 187,500 7,783
Duke Energy (B) 298,948 9,028
Edison International 154,800 6,446
Energen 98,500 4,124
Energy East 181,900 4,315
Entergy 173,100 13,542
Exelon (B) 118,300 7,162
FirstEnergy 270,800 15,127
KeySpan 23,600 971
MDU Resources Group 82,300 1,839
Mirant* 25,200 688
National Fuel Gas 31,300 1,138
Northeast Utilities (B) 121,285 2,822
NRG Energy* 59,800 2,709
NSTAR 6,400 213
OGE Energy 22,600 816
Oneok 6,900 261
Pepco Holdings 5,500 133
PG&E (B) 267,400 11,137
Pinnacle West Capital (B) 291,900 13,150
PPL 110,300 3,629
Progress Energy (B) 242,500 11,005
Public Service Enterprise Group 48,000 2,937
Puget Energy 600 14
Questar 4,500 368
Reliant Energy* 10,100 124
SCANA (B) 121,800 4,905
Sempra Energy 21,300 1,070
Southern 14,800 510
TXU 71,400 4,464
Wisconsin Energy 87,600 3,779
Xcel Energy (B) 308,400 6,368
--------------
185,652
--------------
Total Common Stock
(Cost $2,969,786) ($ Thousands) 3,736,465
--------------
CORPORATE OBLIGATIONS (C) -- 6.6%
FINANCIALS -- 6.6%
Allstate Life Global Funding II
MTN (E) (F)
5.370%, 10/16/06 $ 3,807 3,807
American General Finance (E) (F)
5.360%, 10/16/06 12,000 11,999
Bear Stearns EXL (E)
5.370%, 10/16/06 14,730 14,730
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Financial MTN (E)
5.448%, 12/27/06 $ 4,965 $ 4,965
Countrywide Financial MTN, Ser A (E)
5.548%, 11/03/06 8,689 8,689
Dekabank (E) (F)
5.490%, 10/19/06 15,310 15,309
Glitner Banki (E) (F)
5.380%, 10/10/06 12,413 12,413
Irish Life & Permanent MTN,
Ser X (E) (F) 5.370%, 10/23/06 11,007 11,006
Islandsbanki (E) (F)
5.380%, 10/23/06 7,034 7,034
Jackson National Life Funding (E) (F)
5.330%, 10/02/06 18,206 18,206
Kaupthing Bank MTN (E) (F)
5.390%, 10/20/06 20,689 20,689
Lakeside Funding (E)
5.330%, 10/10/06 4,947 4,947
Landsbanki Islands (E) (F)
5.410%, 10/16/06 15,724 15,724
Morgan Stanley EXL (E)
5.390%, 10/04/06 2,896 2,896
Morgan Stanley EXL, Ser S (E)
5.350%, 10/03/06 4,138 4,138
Natexis Banques (E) (F)
5.310%, 10/16/06 8,069 8,068
Nationwide Building Society (E) (F)
5.424%, 12/28/06 4,552 4,552
5.360%, 10/10/06 8,276 8,276
Nordbank (E) (F)
5.360%, 10/23/06 14,069 14,067
Northern Rock (E) (F)
5.370%, 10/03/06 8,524 8,524
Pacific Life Global Funding (E) (F)
5.380%, 10/13/06 6,207 6,207
Premium Asset Trust, Ser 2004-10 (E) (F)
5.370%, 10/16/06 11,586 11,586
SLM EXL, Ser S (E) (F)
5.330%, 10/16/06 9,103 9,103
Sigma Finance MTN (F)
4.745%, 11/09/06 4,469 4,469
Skandinav Enskilda Bank (E) (F)
5.320%, 10/18/06 9,103 9,103
Stanfield Victoria MTN (E) (F)
5.445%, 06/11/07 8,276 8,275
--------------
Total Corporate Obligations
(Cost $248,782) ($ Thousands) 248,782
--------------
- --------------------------------------------------------------------------------
56 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER (C) (D) -- 1.9%
Broadhollow Funding
5.502%, 10/02/06 $ 16,551 $ 16,546
Citius I Funding
5.313%, 10/17/06 4,138 4,127
Elysian Funding LLC
5.427%, 11/27/06 7,427 7,363
5.401%, 11/20/06 6,641 6,591
5.390%, 11/06/06 8,276 8,230
Georgetown Funding
5.349%, 10/24/06 2,130 2,123
Mica Funding LLC
5.299%, 10/12/06 8,276 8,261
Ocala Funding
5.321%, 10/20/06 4,138 4,126
5.318%, 10/10/06 9,437 9,422
Rhineland Funding Capital
5.470%, 10/12/06 4,138 4,130
5.378%, 12/12/06 2,724 2,695
--------------
Total Commercial Paper
(Cost $73,614) ($ Thousands) 73,614
--------------
ASSET-BACKED SECURITIES (C) (E) (F) -- 1.0%
MORTGAGE RELATED SECURITIES -- 1.0%
Cheyne High Grade, Ser 2004-1A,Cl AM1
5.466%, 11/10/06 4,138 4,138
Commodore, Ser 2003-2A, Cl A1MM
5.470%, 12/12/06 3,807 3,807
Duke Funding, Ser 2004-6B, Cl A1S1
5.577%, 10/10/06 6,206 6,206
Newcastle CDO, Ser 2005-6A, Cl IM1
5.350%, 10/24/06 1,655 1,655
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl AM6
5.360%, 10/25/06 3,678 3,678
Saturn Ventures II
5.390%, 10/10/06 6,664 6,664
TIAA Real Estate CDO, Ser 2003 1A,Cl A1MM
5.354%, 10/30/06 6,154 6,154
Whitehawk CDO Funding, Ser 2004-1A
5.340%, 10/16/06 7,142 7,142
--------------
Total Asset-Backed Securities
(Cost $39,444) ($ Thousands) 39,444
--------------
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CASH EQUIVALENT -- 1.4%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.330%**++ 53,153,296 $ 53,153
--------------
Total Cash Equivalent
(Cost $53,153) ($ Thousands) 53,153
--------------
MASTER NOTE (C) -- 0.5%
Bank of America
5.445%, 10/02/06 $ 20,689 20,689
--------------
Total Master Note
(Cost $20,689) ($ Thousands) 20,689
--------------
CERTIFICATES OF DEPOSIT (C) -- 0.4%
Barclays Bank (E)
5.440%, 06/11/07 4,138 4,138
CC USA MTN (F)
5.520%, 06/18/07 8,276 8,276
U.S. Trust of New York (E)
5.370%, 10/13/06 3,310 3,310
--------------
Total Certificates of Deposit
(Cost $15,724) ($ Thousands) 15,724
--------------
U.S. TREASURY OBLIGATION (A) (D) -- 0.1%
U.S. Treasury Bill
5.011%, 11/24/06 1,945 1,932
--------------
Total U.S. Treasury Obligation
(Cost $1,931) ($ Thousands) 1,932
--------------
REPURCHASE AGREEMENTS (C) (G) -- 1.3%
Barclays
5.350%, dated 09/29/06, to be
repurchased on 10/02/06,
repurchase price $11,501,261
(collateralized by a U.S.
Government Obligation, par
value $10,797,903, 6.000%,
05/15/11; with total market
value $11,726,134) 11,496 11,496
Deutsche Bank
5.330%, dated 09/29,06, to be
repurchased on 10/02/06,
repurchase price $16,558,556
(collateralized by various
U.S. Government Obligations,
ranging in par value $143,168-
4,843,958, 3.750%-5.300%,
02/21/08-04/25/14; with total
market value $16,882,280) 16,551 16,551
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 57
SCHEDULE OF INVESTMENTS
Large Cap Value Fund (Concluded)
September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Lehman Brothers
5.330%, dated 09/29/06, to be
repurchased on 10/02/06,
repurchase price $20,698,195
(collateralized by various
U.S. Government Obligations,
ranging in par value $1,428,369-
2,545,575, 2.500%-5.705%,
01/30/07-05/18/16; with total
market value $21,103,020) $ 20,689 $ 20,689
--------------
Total Repurchase Agreements
(Cost $48,736) ($ Thousands) 48,736
--------------
Total Investments -- 111.7%
(Cost $3,471,859) ($ Thousands) $ 4,238,539
=============
Futures -- A summary of the open futures contracts held by the Fund at September
30, 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 120 Dec-2006 $1,177
======
Percentages are based on Net Assets of $3,793,409 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of September 30, 2006.
+++ Narrow industries are utilized for compliance purposes, whereas broad
sectors are utilized for reporting.
+ Real Estate Investment Trust.
++ Pursuant to an exemptive order issued by the Securities and Exchange
Commission, the Fund may invest in the SEI money market funds, provided
that investments in the money market funds do not exceed 25% of the Fund's
total assets.
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(B) This security or a partial position of this security is on loan at
September 30, 2006 (see Note 7). The total value of securities on loan at
September 30, 2006 was $432,010 ($ Thousands).
(C) This security was purchased with cash collateral held from securities on
loan (see Note 7). The total value of such securities as of September 30,
2006 was $446,989 ($ Thousands).
(D) The rate reported is the effective yield at time of purchase.
(E) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of September 30, 2006. The date reported on the
Schedule of Investments is the next reset date.
(F) This security was sold within the terms of a private placement memorandum,
exempt from registration under Section 3A-4, 4(2) or 144A of the
Securities Act of 1933, as amended, and may be sold only to dealers in
that program or other "accredited investors." These securities have been
determined to be liquid under guidelines established by the Board of
Trustees.
(G) Tri-Party Repurchase Agreement.
ADR -- American Depositary Receipt
CDO -- Collateralized Debt Obligation
Cl -- Class
EXL -- Extendable Maturity
LLC -- Limited Liability Company
MTN -- Medium Term Note
NIM -- Net Interest Margin
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
58 SEI Institutional Managed Trust / Annual Report / September 30, 2006
Large Cap Growth Fund
September 30, 2006
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS# (UNAUDITED):
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
24.4% Information Technology
16.5% Health Care
16.3% Financials
12.7% Consumer Discretionary
9.7% Consumer Staples
9.1% Industrials
5.3% Energy
2.5% Short-Term Investments
1.7% Materials
0.8% Telecommunication Services
0.8% Asset-Backed Securities
0.2% Utilities
0.0% 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 -- 98.2%+++
CONSUMER DISCRETIONARY -- 14.0%
Advance Auto Parts 6,673 $ 220
Amazon.com* 3,200 103
American Eagle Outfitters 46,692 2,046
AnnTaylor Stores* 39,896 1,670
Apollo Group, Cl A (B)* 500,000 24,620
Autozone* 1,469 152
Best Buy (B) 117,500 6,293
BorgWarner 2,300 131
Brinker International 108,158 4,336
Brunswick 2,670 83
Cablevision Systems, Cl A 16,846 383
Carmax* 15,300 638
CBS, Cl B 14,663 413
Chico's FAS* 40,800 878
Choice Hotels International 14,700 601
Circuit City Stores 77,700 1,951
Claire's Stores 55,200 1,610
Coach* 140,541 4,835
Coldwater Creek* 5,200 150
Comcast, Cl A (B)* 228,090 8,405
Corinthian Colleges (B)* 13,700 148
Darden Restaurants 83,121 3,530
Dick's Sporting Goods* 3,100 141
DIRECTV Group* 361,700 7,118
Discovery Holding, Cl A* 19,700 285
Dollar General 5,664 77
Dollar Tree Stores (B)* 20,589 637
Dow Jones 18,500 620
EchoStar Communications, Cl A* 5,200 170
Expedia* 23,600 370
Family Dollar Stores 63,800 1,865
Federated Department Stores 3,600 156
Foot Locker 12,700 321
Fortune Brands 176,100 13,227
GameStop, Cl A* 5,900 273
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Gymboree (B)* 14,500 $ 612
Harley-Davidson 18,031 1,131
Harman International Industries 21,100 1,761
Harrah's Entertainment (B) 146,500 9,732
Hilton Hotels 9,817 273
Home Depot 356,277 12,922
IAC/InterActive* 132,367 3,807
International Game Technology 963,400 39,981
ITT Educational Services (B)* 52,180 3,460
J.C. Penney (B) 76,634 5,241
Jarden (B)* 44,300 1,461
Johnson Controls 47,900 3,436
Kohl's (B)* 197,010 12,790
Lamar Advertising, Cl A (B)* 154,854 8,271
Las Vegas Sands* 9,400 642
Laureate Education* 2,773 133
Leggett & Platt 8,000 200
Liberty Global, Cl A* 11,182 288
Liberty Media Holding-Interactive, Cl A* 76,793 1,565
Limited Brands 37,000 980
Lowe's 863,042 24,217
Marriott International, Cl A 230,094 8,891
McDonald's 265,500 10,386
McGraw-Hill 589,273 34,196
Men's Wearhouse 16,200 603
Meredith 23,700 1,169
MGM Mirage (B)* 800,000 31,592
Michaels Stores 7,500 327
Newell Rubbermaid 12,536 355
News, Cl A* 79,084 1,554
Nike, Cl B 1,800 158
Nutri/System* 17,100 1,065
O'Reilly Automotive* 9,522 316
Office Depot* 47,400 1,882
Omnicom Group 19,764 1,850
Panera Bread, Cl A* 3,096 180
Polo Ralph Lauren 2,621 170
Pool (B) 69,100 2,660
Rent-A-Center (B)* 12,729 373
Ross Stores 71,400 1,814
Scientific Games, Cl A* 5,000 159
Sherwin-Williams 42,867 2,391
Sonic (B)* 16,600 375
Staples 1,712,095 41,655
Starbucks (B)* 594,100 20,229
Steven Madden 3,050 120
Target 405,369 22,397
Thor Industries 22,000 906
Tiffany 6,500 216
Time Warner 12,938 236
TJX 53,500 1,500
Univision Communications, Cl A* 59,100 2,029
Viacom, Cl B* 240,791 8,953
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 59
SCHEDULE OF INVESTMENTS
Large Cap Growth Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Walt Disney 72,283 $ 2,234
Warner Music Group 21,300 553
Weight Watchers International (B) 525,000 23,278
Wendy's International 22,598 1,514
Williams-Sonoma 94,480 3,060
Wynn Resorts* 17,300 1,177
XM Satellite Radio Holdings,Cl A (B)* 1,307,820 16,858
Yum! Brands 111,154 5,786
--------------
476,526
--------------
CONSUMER STAPLES -- 10.7%
Alberto-Culver 6,400 324
Altria Group 146,140 11,187
Anheuser-Busch 80,252 3,813
Archer-Daniels-Midland 3,800 144
Avon Products 5,000 153
Brown-Forman, Cl B 41,042 3,146
Campbell Soup (B) 60,601 2,212
Chattem (B)* 22,600 794
Chiquita Brands International 85,100 1,139
Coca-Cola 322,417 14,406
Colgate-Palmolive 307,767 19,112
Costco Wholesale (B) 283,900 14,104
CVS 7,800 251
Energizer Holdings (B)* 22,342 1,608
Estee Lauder, Cl A (B) 168,400 6,792
General Mills 14,500 821
Hansen Natural* 35,300 1,147
Hershey (B) 135,584 7,247
HJ Heinz 33,400 1,400
Kellogg 7,881 390
Kimberly-Clark 44,402 2,902
Kroger* 7,800 180
McCormick 21,500 817
Pepsi Bottling Group 79,253 2,813
PepsiCo 924,674 60,344
Procter & Gamble 1,182,205 73,273
Reynolds American (B) 25,300 1,568
Sysco 7,395 247
UST 25,500 1,398
Wal-Mart Stores 1,363,381 67,242
Walgreen 1,225,553 54,402
Whole Foods Market 3,050 181
WM Wrigley Jr. 212,975 9,810
--------------
365,367
--------------
ENERGY -- 5.8%
Arch Coal 10,366 300
Baker Hughes 667,121 45,498
BJ Services 153,999 4,640
Cameron International* 35,552 1,717
Chesapeake Energy (B) 249,354 7,226
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Chevron 28,422 $ 1,843
Consol Energy 4,078 129
Diamond Offshore Drilling 6,408 464
El Paso 56,600 772
EOG Resources 4,013 261
Exxon Mobil 32,100 2,154
FMC Technologies* 34,200 1,837
Frontier Oil 13,500 359
Global Industries* 9,300 145
Grant Prideco* 7,053 268
Halliburton (B) 680,088 19,348
Helmerich & Payne 135,846 3,129
Holly 19,500 845
Kinder Morgan 8,827 925
Nabors Industries (B)* 46,800 1,392
Occidental Petroleum 201,900 9,713
Oceaneering International* 18,900 582
Parker Drilling* 5,200 37
Patterson-UTI Energy (B) 65,300 1,552
Peabody Energy 5,818 214
Pride International* 4,300 118
Schlumberger 843,912 52,348
SEACOR Holdings* 2,200 181
Suncor Energy 343,000 24,713
Sunoco 38,046 2,366
Superior Energy Services* 12,100 318
Tetra Technologies* 27,100 655
Tidewater (B) 37,200 1,644
Unit* 60,850 2,797
Valero Energy 186 10
Weatherford International* 138,510 5,779
XTO Energy 34,309 1,445
--------------
197,724
--------------
FINANCIALS -- 9.6%
Affiliated Managers Group* 20,470 2,049
Aflac 38,534 1,763
AMBAC Financial Group 8,100 670
American Express 606,846 34,032
American Home Mortgage Investment+ 15,700 548
American International Group 335,903 22,257
AmeriCredit (B)* 30,700 767
Ameriprise Financial 31,741 1,489
Arthur J Gallagher 17,200 459
Bank of New York 11,900 420
Bear Stearns 3,700 518
BlackRock, Cl A 15,005 2,236
Brown & Brown 73,800 2,255
Capital One Financial (B) 27,954 2,199
CapitalSource+ 48,800 1,260
CB Richard Ellis Group, Cl A* 173,174 4,260
Charles Schwab 1,101,399 19,715
Chicago Mercantile Holdings 85,177 40,736
- --------------------------------------------------------------------------------
60 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Commerce Bancorp 23,442 $ 861
Countrywide Financial 34,800 1,219
Cullen/Frost Bankers 7,500 434
Developers Diversified Realty+ 3,500 195
E*Trade Financial* 23,800 569
East West Bancorp 41,100 1,628
Eaton Vance 20,800 600
Essex Property Trust+ 3,700 449
Federal Realty Investment Trust+ 3,394 252
Federated Investors, Cl B 47,500 1,606
First Cash Financial Services* 21,500 443
First Marblehead 15,000 1,039
Forest City Enterprises, Cl A 38,904 2,113
Franklin Resources 35,212 3,724
Freddie Mac 547,810 36,336
General Growth Properties+ 1,594 76
Golden West Financial 9,100 703
Goldman Sachs Group 81,896 13,854
HCC Insurance Holdings 18,108 595
Hudson City Bancorp 181,700 2,408
IntercontinentalExchange* 12,800 961
Investment Technology Group* 14,500 649
Investors Financial Services 21,200 913
JER Investors Trust+ 7,000 120
Jones Lang LaSalle 27,800 2,376
Keycorp 11,147 417
Kilroy Realty+ 8,100 610
Legg Mason 144,716 14,596
Lehman Brothers Holdings 69,800 5,156
Mellon Financial 25,600 1,001
Merrill Lynch 255,900 20,017
MGIC Investment 4,318 259
Moody's 673,908 44,060
Morgan Stanley 73,672 5,371
Northern Trust 39,518 2,309
Nuveen Investments, Cl A 41,500 2,126
Peoples Bank 3,100 123
Philadelphia Consolidated Holding* 4,300 171
Principal Financial Group 2,900 157
Progressive 105,692 2,594
Prudential Financial 15,600 1,190
Public Storage+ 3,653 314
Radian Group 10,521 631
Ramco-Gershenson Properties+ 6,000 192
SL Green Realty+ 18,400 2,055
SLM 56,718 2,948
Spirit Finance+ 5,400 63
State Street 41,150 2,568
Synovus Financial 4,253 125
T Rowe Price Group 28,424 1,360
TCF Financial 28,200 741
TD Ameritrade Holding 21,966 414
United Dominion Realty Trust+ 8,100 245
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
US Bancorp 72,087 $ 2,395
Ventas+ 1,900 73
Wells Fargo 39,638 1,434
WR Berkley 33,284 1,178
--------------
328,649
--------------
HEALTH CARE -- 18.2%
Abbott Laboratories 282,116 13,700
Advanced Medical Optics (B)* 24,300 961
Aetna 2,254 89
Allergan (B) 392,329 44,180
AmerisourceBergen 4,200 190
Amgen* 699,107 50,007
Amylin Pharmaceuticals* 23,400 1,031
Applera - Applied Biosystems Group 49,600 1,642
Barr Pharmaceuticals* 64,381 3,344
Baxter International 166,229 7,557
Becton Dickinson 98,525 6,963
Biogen Idec* 73,590 3,288
Boston Scientific* 218,281 3,228
Bristol-Myers Squibb 5,400 135
C.R. Bard 4,200 315
Cardinal Health 64,988 4,272
Caremark Rx 541,074 30,663
Celgene* 160,860 6,965
Cephalon* 40,700 2,513
Cerner (B)* 46,350 2,104
Cigna 8,707 1,013
Community Health Systems* 3,362 126
Covance* 12,656 840
Coventry Health Care* 38,089 1,962
Cytyc (B)* 23,300 570
Dade Behring Holdings 4,136 166
DaVita* 11,051 640
Dentsply International 18,900 569
Edwards Lifesciences* 2,800 130
Eli Lilly (B) 425,420 24,249
Emdeon* 324,500 3,800
Endo Pharmaceuticals Holdings* 11,877 387
Express Scripts* 94,740 7,152
Fisher Scientific International (B)* 156,030 12,208
Forest Laboratories* 30,429 1,540
Genentech* 837,738 69,281
Gilead Sciences* 41,084 2,822
HCA 1,632 81
Health Net* 85,036 3,701
Henry Schein* 18,166 911
Hillenbrand Industries 13,500 769
Hospira* 25,415 973
Humana* 25,172 1,664
Idexx Laboratories* 27,894 2,542
ImClone Systems (B)* 48,600 1,376
IMS Health 20,900 557
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 61
SCHEDULE OF INVESTMENTS
Large Cap Growth Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Intuitive Surgical* 2,300 $ 243
Johnson & Johnson 466,322 30,283
Kinetic Concepts* 4,800 151
Laboratory of America Holdings (B)* 74,304 4,872
LifePoint Hospitals (B)* 2,900 102
Lincare Holdings* 81,090 2,809
Manor Care 33,753 1,765
McKesson 48,512 2,558
Medco Health Solutions* 224,741 13,509
Medimmune (B)* 460,997 13,466
Medtronic 582,790 27,065
Merck 237,221 9,940
Millennium Pharmaceuticals (B)* 160,300 1,595
Millipore* 13,577 832
Mylan Laboratories 61,396 1,236
Pediatrix Medical Group* 4,400 201
Pharmaceutical Product Development 52,004 1,856
Quest Diagnostics (B) 37,683 2,305
Resmed* 38,090 1,533
Schering-Plough 39,391 870
Sierra Health Services (B)* 49,608 1,877
St. Jude Medical (B)* 469,410 16,565
Stryker (B) 541,670 26,861
Techne* 8,469 431
Thermo Electron* 41,000 1,613
UnitedHealth Group 1,107,920 54,510
Universal Health Services, Cl B 4,500 270
Varian Medical Systems* 26,709 1,426
VCA Antech (B)* 62,628 2,258
Vertex Pharmaceuticals* 4,300 145
Waters* 66,949 3,031
WellCare Health Plans* 24,200 1,370
WellPoint* 67,233 5,180
Wyeth 414,028 21,049
Zimmer Holdings (B)* 676,420 45,658
--------------
622,611
--------------
INDUSTRIALS -- 10.0%
3M 130,322 9,699
Acuity Brands 4,600 209
Alliant Techsystems (B)* 10,786 874
Allied Waste Industries* 11,200 126
AMR* 73,247 1,695
Applied Industrial Technologies 2,250 55
Aramark, Cl B 45,504 1,495
Avery Dennison 2,000 120
Avis Budget Group 1,224 22
Boeing 78,616 6,199
Brink's 27,900 1,480
Burlington Northern Santa Fe 96,900 7,116
Carlisle 21,300 1,791
Caterpillar 280,272 18,442
Ceradyne (B)* 14,000 575
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CH Robinson Worldwide 94,066 $ 4,193
ChoicePoint* 19,300 691
Con-way 66,809 2,994
Continental Airlines, Cl B* 37,500 1,062
Copart* 6,500 183
Corporate Executive Board 32,675 2,938
Corrections of America* 23,750 1,027
Covanta Holding* 20,400 439
CSX 44,700 1,468
Cummins (B) 46,500 5,544
Danaher 6,400 440
Donaldson 13,600 502
Dover 67,600 3,207
Dun & Bradstreet* 4,300 322
Emerson Electric 168,854 14,160
Equifax 7,152 263
Expeditors International Washington (B) 879,400 39,204
Fastenal 55,500 2,141
FedEx 65,020 7,066
Fluor 3,400 261
Gardner Denver* 61,900 2,048
General Electric 1,468,344 51,833
Goodrich 12,400 502
Graco 14,600 570
Harsco 12,900 1,002
Herman Miller 67,571 2,312
HNI 13,495 561
Honeywell International 49,100 2,008
Hubbell, Cl B 10,600 508
Illinois Tool Works 38,408 1,725
Ingersoll-Rand, Cl A 72,679 2,760
ITT Industries 2,456 126
Jacobs Engineering Group* 15,070 1,126
JB Hunt Transport Services 15,600 324
John H. Harland (B) 4,200 153
Joy Global 6,707 252
Kirby* 5,000 157
L-3 Communications Holdings 22,100 1,731
Landstar System 13,400 572
Lincoln Electric Holdings 10,900 594
Lockheed Martin 107,415 9,244
Manitowoc 21,600 968
Manpower 33,200 2,034
Monster Worldwide* 3,900 141
MSC Industrial Direct, Cl A 20,800 847
Norfolk Southern 59,800 2,634
Northrop Grumman 47,548 3,237
Oshkosh Truck 33,500 1,691
Paccar 88,950 5,072
Parker Hannifin 48,000 3,731
Pitney Bowes (B) 18,049 801
Precision Castparts 18,421 1,164
Raytheon 51,100 2,453
- --------------------------------------------------------------------------------
62 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Republic Services 14,100 $ 567
Robert Half International 76,900 2,612
Rockwell Automation 43,500 2,527
Rockwell Collins 12,147 666
Roper Industries 2,750 123
Southwest Airlines 304,700 5,076
Stericycle* 20,795 1,451
Swift Transportation (B)* 24,400 579
Terex* 13,400 606
Textron 17,600 1,540
Thomas & Betts* 91,772 4,378
Toro 14,300 603
Trinity Industries (B) 65,100 2,094
Union Pacific 31,200 2,746
United Parcel Service, Cl B 708,475 50,968
United Technologies 264,100 16,731
US Airways Group* 5,500 244
Walter Industries 1,400 60
Waste Management 101,800 3,734
WESCO International* 12,800 743
WW Grainger 3,400 228
--------------
341,160
--------------
INFORMATION TECHNOLOGY -- 26.9%
Acxiom 29,400 725
Adobe Systems* 55,426 2,076
Affiliated Computer Services, Cl A* 4,800 249
Agere Systems* 60,596 905
Agilent Technologies (B)* 212,605 6,950
Akamai Technologies* 65,004 3,250
Alliance Data Systems* 32,700 1,805
Amphenol, Cl A 17,461 1,081
Analog Devices (B) 86,400 2,539
Apple Computer* 257,639 19,846
Applied Materials 422,305 7,487
Ariba* 15,900 119
ATMI* 25,000 727
Autodesk* 3,493 121
Automatic Data Processing 54,750 2,592
Avaya* 19,600 224
Avocent* 26,400 795
BEA Systems* 63,500 965
BMC Software (B)* 80,832 2,200
Broadcom, Cl A* 14,070 427
Cadence Design Systems (B)* 255,455 4,332
CDW (B) 18,572 1,146
Ceridian* 57,408 1,284
Cisco Systems* 1,687,456 38,811
Citrix Systems* 48,167 1,744
Cognizant Technology Solutions,Cl A* 17,401 1,289
Corning* 4,825 118
Dell (B)* 608,276 13,893
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Diebold 7,000 $ 305
DST Systems (B)* 49,300 3,040
eBay (B)* 1,705,500 48,368
Electronic Arts (B)* 260,310 14,494
Electronic Data Systems 52,600 1,290
EMC* 793,473 9,506
Factset Research Systems 8,000 389
Fair Isaac 27,806 1,017
Fidelity National Information Services 15,900 588
First Data 1,593,914 66,944
Fiserv* 99,874 4,703
Freescale Semiconductor, Cl B* 3,022 115
Global Payments 71,040 3,126
Google, Cl A (B)* 205,571 82,619
Harris 51,427 2,288
Hewlett-Packard 798,700 29,304
Integrated Device Technology* 51,200 822
Intel 672,187 13,827
International Business Machines 253,039 20,734
Intersil, Cl A 16,682 410
Intuit* 1,168,500 37,497
Iron Mountain* 41,608 1,787
Itron (B)* 6,900 385
Jabil Circuit* 4,749 136
Lam Research* 45,090 2,044
Lexmark International, Cl A (B)* 44,407 2,560
Linear Technology (B) 392,660 12,220
Mastercard, Cl A (B) 7,100 499
McAfee* 48,800 1,194
MEMC Electronic Materials (B)* 138,559 5,075
Mettler Toledo International* 14,300 946
Micron Technology* 69,400 1,208
Microsoft 2,425,528 66,290
MicroStrategy, Cl A (B)* 17,120 1,743
Molex 62,600 2,440
MoneyGram International 39,800 1,157
Motorola 757,181 18,930
National Instruments 29,400 804
National Semiconductor 12,019 283
NAVTEQ (B)* 503,600 13,149
NCR* 15,700 620
Netratings* 12,100 172
Network Appliance* 32,100 1,188
Novellus Systems* 2,400 66
Nvidia* 25,118 743
Oracle* 466,565 8,277
Paychex 1,458,668 53,752
QLogic* 234,480 4,432
Qualcomm 2,715,488 98,708
Rambus* 6,200 108
RealNetworks* 7,000 74
Red Hat* 92,603 1,952
Research In Motion* 355,280 36,473
Reynolds & Reynolds, Cl A 20,200 798
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 63
SCHEDULE OF INVESTMENTS
Large Cap Growth Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
SanDisk (B)* 693,124 $ 37,110
Seagate Technology 1,650,000 38,098
Silicon Laboratories* 4,500 140
Symbol Technologies 27,200 404
Synopsys* 192,136 3,789
Tektronix 40,800 1,180
Texas Instruments 334,015 11,106
Trimble Navigation* 9,300 438
VeriSign* 11,300 228
Vishay Intertechnology (B)* 216,200 3,035
Websense* 39,400 851
Western Digital* 159,556 2,888
Xerox* 10,700 166
Xilinx (B) 113,700 2,496
Yahoo! (B)* 679,580 17,180
--------------
918,408
--------------
MATERIALS -- 1.8%
Air Products & Chemicals 8,100 538
Alcoa 156,900 4,400
Allegheny Technologies 28,000 1,741
Carpenter Technology 6,500 699
Chaparral Steel* 20,900 712
E.I. du Pont de Nemours 18,700 801
Eagle Materials 89,970 3,030
Ecolab 32,000 1,370
Freeport-McMoRan Copper & Gold, Cl B 10,200 543
International Flavors & Fragrances 11,700 463
Martin Marietta Materials 1,847 156
Monsanto 14,714 692
Newmont Mining 133,400 5,703
Packaging of America 12,400 288
Pactiv* 55,200 1,569
Phelps Dodge 12,400 1,050
PPG Industries 4,300 288
Praxair 603,183 35,684
Rohm & Haas 16,600 786
Scotts Miracle-Gro, Cl A 1,840 82
Sealed Air 1,250 68
Sigma-Aldrich 5,700 431
Titanium Metals* 33,500 847
--------------
61,941
--------------
TELECOMMUNICATION SERVICES -- 0.9%
American Tower, Cl A (B)* 327,278 11,946
Crown Castle International (B)* 495,642 17,466
Leap Wireless International* 8,900 432
NeuStar, Cl A* 800 22
NII Holdings* 5,370 334
SBA Communications, Cl A* 9,100 221
-------------
30,421
-------------
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
UTILITIES -- 0.3%
AES* 44,660 $ 911
Allegheny Energy* 32,900 1,322
DPL 4,800 130
Equitable Resources 1,817 63
Exelon 52,000 3,148
NRG Energy* 4,500 204
TXU 82,528 5,160
--------------
10,938
--------------
Total Common Stock
(Cost $2,909,551) ($ Thousands) 3,353,745
--------------
CORPORATE OBLIGATIONS (C) -- 5.8%
FINANCIALS -- 5.8%
Allstate Life Global Funding II
MTN (E) (F)
5.370%, 10/16/06 $ 3,024 3,024
American General Finance (E) (F)
5.360%, 10/16/06 9,532 9,532
Bear Stearns EXL (E)
5.370%, 10/16/06 11,701 11,701
Countrywide Financial MTN (E)
5.448%, 12/27/06 3,944 3,944
Countrywide Financial MTN, Ser A (E)
5.548%, 11/03/06 6,903 6,903
Dekabank (E) (F)
5.490%, 10/19/06 12,162 12,161
Glitner Banki (E) (F)
5.380%, 10/10/06 9,861 9,861
Irish Life & Permanent MTN,
Ser X (E) (F)
5.370%, 10/23/06 8,743 8,743
Islandsbanki (E) (F)
5.380%, 10/23/06 5,588 5,588
Jackson National Life Funding (E) (F)
5.330%, 10/02/06 14,462 14,462
Kaupthing Bank MTN (E) (F)
5.390%, 10/20/06 16,435 16,435
Lakeside Funding (E)
5.330%, 10/10/06 3,930 3,930
Landsbanki Islands (E) (F)
5.410%, 10/16/06 12,490 12,490
Morgan Stanley EXL (E)
5.390%, 10/04/06 2,301 2,301
Morgan Stanley EXL, Ser S (E)
5.350%, 10/03/06 3,287 3,287
Natexis Banques (E) (F)
5.310%, 10/16/06 6,410 6,409
Nationwide Building Society (E) (F)
5.424%, 12/28/06 3,616 3,616
5.360%, 10/10/06 6,574 6,574
- --------------------------------------------------------------------------------
64 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Nordbank (E) (F)
5.360%, 10/23/06 $ 11,176 $ 11,174
Northern Rock (E) (F)
5.370%, 10/03/06 6,771 6,771
Pacific Life Global Funding (E) (F)
5.380%, 10/13/06 4,930 4,930
Premium Asset Trust,
Ser 2004-10 (E) (F)
5.370%, 10/16/06 9,203 9,203
SLM EXL, Ser S (E) (F)
5.330%, 10/16/06 7,231 7,231
Sigma Finance MTN (F)
4.745%, 11/09/06 3,550 3,550
Skandinav Enskilda Bank (E) (F)
5.320%, 10/18/06 7,231 7,231
Stanfield Victoria MTN (E) (F)
5.445%, 06/11/07 6,574 6,573
--------------
Total Corporate Obligations
(Cost $197,624) ($ Thousands) 197,624
--------------
COMMERCIAL PAPER (C) (D) -- 1.7%
Broadhollow Funding
5.502%, 10/02/06 13,148 13,144
Citius I Funding
5.313%, 10/17/06 3,287 3,279
Elysian Funding LLC
5.427%, 11/27/06 5,900 5,849
5.401%, 11/20/06 5,276 5,235
5.390%, 11/06/06 6,574 6,538
Georgetown Funding
5.349%, 10/24/06 1,692 1,686
Mica Funding LLC
5.299%, 10/12/06 6,574 6,562
Ocala Funding
5.321%, 10/20/06 3,287 3,277
5.318%, 10/10/06 7,496 7,485
Rhineland Funding Capital
5.470%, 10/12/06 3,287 3,281
5.378%, 12/12/06 2,164 2,141
--------------
Total Commercial Paper
(Cost $58,477) ($ Thousands) 58,477
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES (C) (E) (F) -- 0.9%
MORTGAGE RELATED SECURITIES -- 0.9%
Cheyne High Grade, Ser 2004-1A,
Cl AM1
5.466%, 11/10/06 $ 3,287 $ 3,287
Commodore, Ser 2003-2A, Cl A1MM
5.470%, 12/12/06 3,024 3,024
Duke Funding, Ser 2004-6B, Cl A1S1
5.577%, 10/10/06 4,930 4,930
Newcastle CDO, Ser 2005-6A, Cl IM1
5.350%, 10/24/06 1,315 1,314
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl AM6
5.360%, 10/25/06 2,922 2,922
Saturn Ventures II
5.390%, 10/10/06 5,294 5,294
TIAA Real Estate CDO, Ser 2003 1A,
Cl A1MM
5.354%, 10/30/06 4,889 4,889
Whitehawk CDO Funding, Ser 2004-1A
5.340%, 10/16/06 5,673 5,673
--------------
Total Asset-Backed Securities
(Cost $31,333) ($ Thousands) 31,333
--------------
CASH EQUIVALENTS -- 1.6%
Merrill Lynch EBP Master,
5.220%** 5,382,767 5,383
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.330%**++ 50,021,630 50,022
--------------
Total Cash Equivalents
(Cost $55,405) ($ Thousands) 55,405
--------------
MASTER NOTE (C) -- 0.5%
Bank of America
5.445%, 10/02/06 16,435 16,435
--------------
Total Master Note
(Cost $16,435) ($ Thousands) 16,435
--------------
CERTIFICATES OF DEPOSIT (C) -- 0.4%
Barclays Bank (E)
5.440%, 06/11/07 3,287 3,287
CC USA MTN (F)
5.520%, 06/18/07 6,574 6,574
U.S. Trust of New York (E)
5.370%, 10/13/06 2,629 2,629
--------------
Total Certificates of Deposit
(Cost $12,490) ($ Thousands) 12,490
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 65
SCHEDULE OF INVESTMENTS
Large Cap Growth Fund (Concluded)
September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATION (A) (D) -- 0.0%
U.S. Treasury Bill
4.990%, 11/24/06 $ 1,274 $ 1,265
-------------
Total U.S. Treasury Obligation
(Cost $1,264) ($ Thousands) 1,265
-------------
REPURCHASE AGREEMENTS (C) (G) -- 1.1%
Barclays
5.350%, dated 09/29/06, to be
repurchased on 10/02/06,
repurchase price $9,136,244
(collateralized by a U.S.
Government Obligation, par
value $8,722,094, 6.000%,
05/15/11; with total market
value $9,314,876) 9,132 9,132
Deutsche Bank
5.330%, dated 09/29,06, to be
repurchased on 10/02/06,
repurchase price $13,153,602
(collateralized by various
U.S. Government Obligations,
ranging in par value $113,728-
$3,847,890, 3.750%-5.300%,
02/21/08-04/25/14; with total
market value $13,410,758) 13,148 13,148
Lehman Brothers
5.330%, dated 09/29/06, to be
repurchased on 10/02/06,
repurchase price $16,442,002
(collateralized by various
U.S. Government Obligations,
ranging in par value $1,134,652-
$2,022,126, 2.500%-5.705%,
01/30/07-05/18/16; with total
market value $16,763,582) 16,435 16,435
-------------
Total Repurchase Agreements
(Cost $38,715) ($ Thousands) 38,715
-------------
Total Investments -- 110.2%
(Cost $3,321,294) ($ Thousands) $ 3,765,489
==============
Futures -- A summary of the open futures contracts held by the Fund at September
30, 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 79 Dec-2006 $775
====
Percentages are based on Net Assets of $3,415,529 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of September 30, 2006.
+++ Narrow industries are utilized for compliance purposes, whereas broad
sectors are utilized for reporting.
+ Real Estate Investment Trust.
++ Pursuant to an exemptive order issued by the Securities and Exchange
Commission, the Fund may invest in the SEI money market funds, provided
that investments in the money market funds do not exceed 25% of the Fund's
total assets.
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(B) This security or a partial position of this security is on loan at
September 30, 2006 (see Note 7). The total value of securities on loan at
September 30, 2006 was $343,450 ($ Thousands).
(C) This security was purchased with cash collateral held from securities on
loan (see Note 7). The total value of such securities as of September 30,
2006 was $355,074 ($ Thousands).
(D) The rate reported is the effective yield at time of purchase.
(E) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of September 30, 2006. The date reported on the
Schedule of Investments is the next reset date.
(F) This Security was sold within the terms of a private placement memorandum,
exempt from registration under Section 3A-4, 4(2) or 144A of the
Securities Act of 1933, as amended, and may be sold only to dealers in
that program or other "accredited investors." These securities have been
determined to be liquid under guidelines established by the Board of
Trustees.
(G) Tri-Party Repurchase Agreement.
CDO -- Collateralized Debt Obligation
Cl -- Class
EXL -- Extendable Maturity
LLC -- Limited Liability Company
MTN -- Medium Term Note
NIM -- Net Interest Margin
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
66 SEI Institutional Managed Trust / Annual Report / September 30, 2006
Tax-Managed Small Cap Fund
September 30, 2006
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS# (UNAUDITED):
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
31.4% Financials
14.7% Short-Term Investments
14.5% Information Technology
10.4% Consumer Discretionary
8.7% Industrials
7.9% Health Care
3.6% Energy
3.3% Materials
2.8% Utilities
1.7% Consumer Staples
0.5% Telecommunication Services
0.4% Asset-Backed Security
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 -- 94.4%
CONSUMER DISCRETIONARY -- 14.8%
99 Cents Only Stores* 3,500 $ 41
Aaron Rents 1,200 28
Abercrombie & Fitch, Cl A 3,265 227
Advance Auto Parts 5,500 181
Aeropostale* 1,000 29
America's Car-Mart (B)* 1,400 23
American Eagle Outfitters 1,900 83
American Greetings, Cl A (B) 19,200 444
AnnTaylor Stores (B)* 7,850 329
Applebee's International 1,900 41
Arbitron 800 30
ArvinMeritor (B) 43,400 618
Autoliv 17,900 986
Autonation* 10,115 211
Bally Technologies (B)* 19,600 345
Bandag (B) 6,900 283
Barnes & Noble 23,000 873
Beazer Homes USA (B) 6,900 269
Bebe Stores 1,700 42
Belo, Cl A 15,000 237
Big Lots (B)* 10,800 214
Blyth 2,700 66
Bob Evans Farms 800 24
Borders Group 17,600 359
BorgWarner (B) 16,600 949
Boyd Gaming 10,200 392
Bright Horizons Family Solutions (B)* 15,200 634
Brunswick 19,400 605
Build-A-Bear Workshop (B)* 1,300 30
Cabela's, Cl A (B)* 2,400 52
Callaway Golf 2,200 29
Carmax* 10,030 418
Carter's (B)* 19,600 517
Catalina Marketing 1,300 36
Cato, Cl A (B) 30,950 678
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CBRL Group 800 $ 32
CEC Entertainment* 900 28
Champion Enterprises* 4,000 28
Charming Shoppes* 1,700 24
Cherokee 900 33
Chipotle Mexican Grill, Cl A (B)* 10,700 531
Circuit City Stores 16,000 402
Citadel Broadcasting 4,300 40
CKX (B)* 21,900 273
Claire's Stores (B) 2,600 76
Coach* 21,700 746
Coldwater Creek* 1,350 39
Columbia Sportswear* 1,300 73
Corinthian Colleges (B)* 28,100 304
Cosi* 5,500 29
CROCS (B)* 26,500 900
Crown Media Holdings, Cl A* 7,100 32
Dana 89,500 93
Dick's Sporting Goods (B)* 800 36
Dollar Tree Stores* 4,700 146
Domino's Pizza (B) 5,600 144
Dover Motorsports 19,800 107
DSW, Cl A (B)* 1,600 50
Entercom Communications 1,100 28
Ethan Allen Interiors (B) 700 24
Finish Line, Cl A 23,100 292
Fisher Communications* 600 25
Foot Locker 11,339 286
Fossil* 1,300 28
Four Seasons Hotels 6,600 421
GameStop, Cl A (B)* 4,503 208
Gaylord Entertainment* 8,700 381
Gemstar-TV Guide International* 8,500 28
Getty Images (B)* 300 15
Goodyear Tire & Rubber (B)* 36,400 528
Great Wolf Resorts* 2,400 29
GSI Commerce* 2,700 40
Guess?* 5,460 265
Guitar Center* 700 31
Gymboree* 27,815 1,173
Handleman 13,300 101
Harman International Industries (B) 12,000 1,001
Hasbro 11,372 259
Haverty Furniture 2,000 32
Hibbett Sporting Goods (B)* 26,200 686
Hooker Furniture 1,800 26
Hovnanian Enterprises, Cl A* 1,000 29
IHOP 1,900 88
Interactive Data* 900 18
ITT Educational Services* 5,210 345
Jakks Pacific* 16,800 300
Jarden (B)* 17,700 584
Jo-Ann Stores (B)* 26,000 435
Jones Apparel Group (B) 23,022 747
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 67
SCHEDULE OF INVESTMENTS
Tax-Managed Small Cap Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
K-Swiss, Cl A 1,100 $ 33
KB Home (B) 600 26
Kellwood 1,000 29
Kimball International, Cl B 1,600 31
Lamar Advertising, Cl A (B)* 1,400 75
Landry's Restaurants (B) 35,982 1,085
Laureate Education* 9,100 436
Leapfrog Enterprises (B)* 26,300 209
Lee Enterprises 1,100 28
Levitt, Cl A (B) 1,000 12
Life Time Fitness* 9,000 417
Live Nation* 1,300 27
LKQ (B)* 12,375 272
Lodgenet Entertainment* 800 15
Lodgian* 2,300 31
Martha Stewart Living Omnimedia, Cl A (B)* 13,600 242
Mattel 15,800 311
Matthews International, Cl A 3,400 125
McClatchy, Cl A 1,900 80
Media General, Cl A 700 26
Meredith 1,700 84
Meritage Homes (B)* 8,100 337
Mestek Inc* 2,100 30
Modine Manufacturing 1,200 29
Morningstar* 3,800 140
NetFlix (B)* 1,100 25
New York* 2,900 38
Nutri/System (B)* 5,855 365
NVR (B)* 1,600 856
O'Reilly Automotive* 1,600 53
Orient-Express Hotels, Cl A 10,200 381
Oxford Industries 800 34
Palm Harbor Homes (B)* 1,800 27
Panera Bread, Cl A (B)* 7,400 431
Pantry (B)* 8,955 505
Payless Shoesource* 11,700 291
Penn National Gaming* 13,600 497
Petco Animal Supplies* 2,200 63
PetSmart (B) 6,600 183
PF Chang's China Bistro (B)* 11,200 389
Phillips-Van Heusen 10,320 431
Pier 1 Imports (B) 54,300 403
Polaris Industries (B) 700 29
Polo Ralph Lauren (B) 12,600 815
Pool 500 19
Pre-Paid Legal Services (B) 800 32
Priceline.com (B)* 9,635 354
ProQuest (B)* 17,400 227
Quiksilver (B)* 130,400 1,584
RadioShack (B) 30,100 581
Rare Hospitality International* 700 21
RC2* 1,000 34
RCN* 8,600 243
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Reader's Digest Association 2,200 $ 29
Regal Entertainment Group, Cl A (B) 1,300 26
Rent-A-Center* 3,700 108
Ross Stores 900 23
Ruby Tuesday 800 23
Ryland Group (B) 8,200 354
Saks (B)* 34,640 599
Salem Communications, Cl A* 2,600 29
Sauer-Danfoss 900 22
Scholastic (B)* 13,300 414
Scientific Games, Cl A* 700 22
Select Comfort (B)* 1,350 30
Service International 3,400 32
Sharper Image (B)* 2,300 24
Shuffle Master (B)* 1,000 27
Six Flags (B)* 5,200 27
Skyline 600 23
Snap-On 5,700 254
Sonic (B)* 35,815 810
Sonic Automotive 13,900 321
Sotheby's Holdings, Cl A* 11,990 387
Stage Stores 2,600 76
Standard-Pacific (B) 1,200 28
Station Casinos (B) 2,400 139
Stein Mart 2,400 36
Strayer Education 300 32
Stride Rite (B) 38,900 543
Sun-Times Media Group, Cl A (B) 4,700 31
Sunterra* 24,135 273
Talbots 15,596 425
Technical Olympic USA 6,450 63
Tempur-Pedic International (B)* 2,300 39
Texas Roadhouse, Cl A (B)* 2,400 29
Thor Industries 600 25
Tiffany 1,000 33
Toll Brothers* 1,100 31
Tractor Supply* 400 19
Triarc, Cl A (B) 6,300 105
Triarc, Cl B 1,200 18
Tuesday Morning (B) 3,400 47
Under Armour, Cl A (B)* 29,825 1,194
Unifi* 6,900 17
United Auto Group 600 14
Vail Resorts* 1,400 56
Valassis Communications (B)* 12,500 221
VF 3,700 270
Visteon (B)* 32,800 267
Volcom (B)* 13,000 293
Weight Watchers International (B) 23,500 1,042
Wet Seal, Cl A (B)* 28,900 177
Whirlpool (B) 8,500 715
Williams-Sonoma (B) 1,500 49
Winnebago Industries (B) 900 28
WMS Industries* 1,500 44
- --------------------------------------------------------------------------------
68 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
World Wrestling Entertainment 1,700 $ 28
Wynn Resorts (B)* 6,100 415
Xerium Technologies 2,600 29
XM Satellite Radio Holdings, Cl A (B)* 5,800 75
Yankee Candle 1,100 32
Zale* 1,000 28
--------------
46,553
--------------
CONSUMER STAPLES -- 2.5%
American Italian Pasta, Cl A (B) 6,300 49
BJ's Wholesale Club* 10,200 298
Boston Beer, Cl A (B)* 800 26
Casey's General Stores 900 20
Chattem* 1,400 49
Church & Dwight (B) 4,600 180
Dean Foods* 14,700 618
Delta & Pine Land 2,100 85
Diamond Foods 1,900 27
Gold Kist* 4,200 88
Hain Celestial Group* 39,090 999
Lance 1,800 40
Molson Coors Brewing, Cl B 15,900 1,095
Nash Finch (B) 11,300 266
NBTY* 1,200 35
Pathmark Stores* 23,300 232
PepsiAmericas (B) 30,100 642
Pilgrim's Pride 16,900 462
Playtex Products* 3,500 47
Prestige Brands Holdings* 4,600 51
Ralcorp Holdings* 1,100 53
Rite Aid (B)* 6,700 30
Supervalu (B) 47,100 1,397
TreeHouse Foods* 1,400 33
Tyson Foods, Cl A 2,400 38
United Natural Foods (B)* 15,165 470
Universal 6,600 241
Village Super Market 1,700 114
WD-40 900 32
Weis Markets 500 20
Wild Oats Markets* 1,800 29
--------------
7,766
--------------
ENERGY -- 5.2%
Arch Coal (B) 1,600 46
ATP Oil & Gas* 800 29
Atwood Oceanics (B)* 600 27
Berry Petroleum, Cl A 3,400 96
Bristow Group* 1,800 62
Cameron International (B)* 14,100 681
Cheniere Energy* 1,100 33
Consol Energy 7,600 241
Core Laboratories* 4,400 281
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Delek US Holdings* 1,800 $ 33
Delta Petroleum (B)* 2,000 45
Denbury Resources* 1,000 29
Dresser-Rand Group* 14,800 302
Dril-Quip (B)* 6,960 471
Energy Partners (B)* 2,400 59
EOG Resources 800 52
EXCO Resources* 36,700 455
FMC Technologies* 12,590 676
Forest Oil* 1,700 54
Foundation Coal Holdings (B) 3,800 123
General Maritime (B) 700 26
Global Industries (B)* 48,000 747
Grant Prideco (B)* 19,500 742
Grey Wolf (B)* 2,400 16
Gulf Island Fabrication 1,200 31
Gulfmark Offshore* 1,000 32
Hanover Compressor (B)* 1,700 31
Harvest Natural Resources (B)* 2,600 27
Helix Energy Solutions Group (B)* 29,700 992
Helmerich & Payne 1,300 30
Hercules Offshore* 900 28
Hess (B) 25,800 1,069
Holly (B) 6,130 266
Hornbeck Offshore Services* 700 23
Houston Exploration* 6,000 331
Hydril* 600 34
Input/Output (B)* 41,400 411
Lone Star Technologies* 500 24
Mariner Energy* 1,374 25
Maverick Tube* 1,400 91
National Oilwell Varco (B)* 2,100 123
Newfield Exploration* 7,200 277
NS Group (B)* 18,880 1,219
Occidental Petroleum 2,856 137
Oceaneering International* 1,000 31
Oil States International* 700 19
Parker Drilling* 2,500 18
Patterson-UTI Energy 13,200 314
Peabody Energy 2,400 88
PetroHawk Energy* 2,800 29
Petroleum Development* 800 32
Plains Exploration & Production* 1,600 69
Range Resources 17,700 447
RPC 2,250 41
Southwestern Energy* 16,100 481
Stone Energy* 12,100 490
Superior Energy Services* 1,100 29
Swift Energy (B)* 23,300 974
Tesoro 16,300 945
Tetra Technologies* 14,600 353
Ultra Petroleum* 900 43
Universal Compression Holdings* 500 27
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 69
SCHEDULE OF INVESTMENTS
Tax-Managed Small Cap Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Veritas DGC (B)* 14,000 $ 921
W-H Energy Services* 900 37
Whiting Petroleum* 1,000 40
World Fuel Services 8,735 353
--------------
16,308
--------------
FINANCIALS -- 18.0%
1st Source 440 13
A.G. Edwards 2,900 155
Acadia Realty Trust+ 1,200 31
Accredited Home Lenders
Holding (B)* 13,600 489
Advance America Cash Advance Centers 2,000 29
Affiliated Managers Group (B)* 31,130 3,116
Agree Realty+ 1,700 56
Alexander's+* 100 31
Alexandria Real Estate Equities+ 4,900 460
Alfa 1,200 21
AllianceBernstein Holding 1,232 85
Allied Capital (B) 800 24
AMB Property+ (B) 3,900 215
AmCOMP* 45,900 446
Amcore Financial 1,600 48
American Capital Strategies (B) 700 28
American Financial Group (B) 22,200 1,042
American Financial Realty Trust+ 2,600 29
American Home Mortgage Investment+ (B) 800 28
American National Insurance 500 58
AmeriCredit* 14,200 355
AmerUs Group (B) 10,400 707
Amvescap ADR 26,700 585
Annaly Mortgage Management+ (B) 3,400 45
Anthracite Capital+ 2,300 30
Apartment Investment & Management, Cl A+ 300 16
Arrow Financial 637 16
Ashford Hospitality Trust+ 1,600 19
Aspen Insurance Holdings 18,400 475
Astoria Financial (B) 24,300 749
BancFirst 700 33
BancorpSouth (B) 23,200 644
Bank Mutual 1,700 21
Bank of Hawaii 6,300 303
BankAtlantic Bancorp, Cl A 1,900 27
Bankunited Financial, Cl A 9,020 235
Bear Stearns (B) 7,000 981
BioMed Realty Trust+ 7,200 218
Boston Private Financial Holdings 14,200 396
Brandywine Realty Trust+ 3,183 104
BRE Properties, Cl A+ 400 24
Calamos Asset Management, Cl A 3,200 94
Capital Lease Funding+ 2,500 28
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Capital One Financial 1,210 $ 95
Capital Trust, Cl A+ 500 20
CapitalSource+ (B) 22,962 593
Capitol Federal Financial (B) 300 11
Cathay General Bancorp 500 18
CB Richard Ellis Group, Cl A (B)* 23,010 566
CentraCore Properties Trust+ 2,200 70
Central Pacific Financial 7,800 285
Charter Financial (B) 1,100 44
Chemical Financial (B) 900 27
CIT Group 7,300 355
City National 12,000 805
Clifton Savings Bancorp (B) 9,700 109
Colonial BancGroup (B) 56,800 1,392
Colonial Properties Trust+ (B) 400 19
Columbia Equity Trust+ 1,600 27
Commerce Bancorp (B) 700 26
Commerce Bancshares (B) 13,792 697
Community Banks (B) 735 20
CompuCredit (B)* 3,000 91
Corporate Office Properties Trust+ 10,900 488
Cousins Properties+ 4,100 140
Crawford, Cl B 16,500 112
Crescent Real Estate Equities+ (B) 1,000 22
Cullen/Frost Bankers 4,800 278
Deerfield Triarc Capital+ 3,200 42
Delphi Financial Group, Cl A 600 24
DiamondRock Hospitality+ 1,600 27
Downey Financial 500 33
Duke Realty+ 900 34
E*Trade Financial* 78,600 1,880
East West Bancorp (B) 11,100 440
EastGroup Properties+ 400 20
Eaton Vance (B) 17,100 494
Education Realty Trust+ 2,400 35
Endurance Specialty Holdings 15,577 549
Entertainment Properties Trust+ 800 39
Equity Lifestyle Properties+ 700 32
Evercore Partners, Cl A* 11,000 317
Extra Space Storage+ (B) 3,600 62
Federal Agricultural Mortgage, Cl C (B) 17,000 450
Federal Realty Investment Trust+ 300 22
Financial Federal 1,000 27
Financial Institutions 2,200 51
First American (B) 20,800 881
First Bancorp Puerto Rico 3,100 34
First Busey (B) 900 20
First Cash Financial Services* 32,000 659
First Charter (B) 3,100 75
First Commonwealth Financial (B) 4,800 63
First Financial Bancorp 4,200 67
First Financial Bankshares (B) 1,500 57
- --------------------------------------------------------------------------------
70 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
First Horizon National 700 $ 27
First Marblehead (B) 1,300 90
First Midwest Bancorp 6,400 242
First Niagara Financial Group 53,300 777
First Potomac Realty Trust+ 800 24
FNB 8,300 138
FNB (Virginia) 400 14
Franklin Street Properties+ (B) 2,400 48
Fulton Financial 9,450 153
Getty Realty+ 4,400 129
GFI Group* 5,100 282
Glacier Bancorp 900 31
Gladstone Capital (B) 1,200 26
Glenborough Realty Trust+ 1,500 39
Glimcher Realty Trust+ (B) 4,900 121
Global Signal+ 200 10
GMH Communities Trust+ 2,500 32
Gramercy Capital+ 1,000 25
Greenhill (B) 14,200 952
Hancock Holding 500 27
Hanover Insurance Group (B) 29,900 1,334
Harleysville Group 400 14
Hersha Hospitality Trust+ 2,900 28
Highland Hospitality+ 3,100 44
Highwoods Properties+ 600 22
Home Bancshares 13,100 289
Horace Mann Educators 3,500 67
Hospitality Properties Trust+ (B) 11,100 524
Host Hotels & Resorts+ (B) 28,400 651
Housevalues (B)* 5,300 31
Hudson City Bancorp (B) 5,600 74
Huntington Bancshares 33,000 790
IndyMac Bancorp (B) 2,600 107
Inland Real Estate+ 7,000 123
Innkeepers USA Trust+ 13,600 222
International Bancshares 4,100 122
Investment Technology Group* 6,010 269
Investors Financial Services (B) 4,300 185
Irwin Financial (B) 3,600 70
Janus Capital Group 1,800 35
Jefferies Group (B) 25,700 732
JER Investors Trust+ 1,800 31
Kilroy Realty+ 400 30
Knight Capital Group, Cl A* 2,300 42
Lakeland Bancorp (B) 1,213 17
LandAmerica Financial Group (B) 13,800 908
LaSalle Hotel Properties+ 700 30
Lazard, Cl A (B) 2,500 100
Leucadia National 1,000 26
Lexington Corporate Properties
Trust+ (B) 3,800 80
Luminent Mortgage Capital+ 3,800 39
Macerich+ 5,500 420
MAF Bancorp 600 25
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Maguire Properties+ 600 $ 24
Markel* 500 205
Marshall & Ilsley 2,145 103
Max Re Capital 2,000 46
MFA Mortgage Investments+ 4,000 30
MGIC Investment 5,700 342
Mid-America Apartment Communities+ 1,300 80
Mid-State Bancshares 900 25
Move* 102,200 502
Nara Bancorp 900 16
Nasdaq Stock Market (B)* 3,200 97
National Financial Partners 10,251 421
National Health Investors+ 1,300 37
National Health Realty+ 1,600 32
National Penn Bancshares (B) 3,605 71
National Retail Properties+ 1,200 26
Nationwide Financial Services, Cl A 19,500 938
Nationwide Health Properties+ 400 11
Navigators Group* 800 38
NBT Bancorp 3,100 72
New Century Financial+ (B) 13,300 523
New Plan Excel Realty Trust+ 13,700 371
Newcastle Investment+ (B) 1,400 38
NorthStar Realty Finance+ 10,300 131
Northwest Bancorp 1,100 28
Nuveen Investments, Cl A (B) 25,400 1,301
OceanFirst Financial 1,700 36
Old National Bancorp (B) 14,200 271
Old Republic International 31,875 706
One Liberty Properties+ (B) 1,500 34
optionsXpress Holdings (B)* 1,200 33
Parkway Properties+ 600 28
PartnerRe 700 47
Piper Jaffray* 16,300 988
Platinum Underwriters Holdings 17,000 524
Popular (B) 23,100 449
Portfolio Recovery Associates* 4,500 197
Post Properties+ 600 29
ProAssurance (B)* 3,700 182
PS Business Parks+ 1,400 84
Public Storage+ 984 85
R & G Financial, Cl B 4,000 30
Radian Group 17,400 1,044
RAIT Investment Trust+ 1,100 32
Ramco-Gershenson Properties+ 1,000 32
Rayonier+ 2,850 108
Realty Income+ 7,400 183
Republic Bancorp 10,600 141
S&T Bancorp 900 29
Saul Centers+ 1,300 59
Saxon Capital+ 2,500 35
Seacoast Banking of Florida 900 27
South Financial Group 400 10
Sovereign Bancorp (B) 3,345 72
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 71
SCHEDULE OF INVESTMENTS
Tax-Managed Small Cap Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Sovran Self Storage+ (B) 1,100 $ 61
Spirit Finance+ 3,300 38
St. Joe (B) 600 33
Stancorp Financial Group 8,800 393
Sterling Bancshares 1,500 30
Sterling Financial, Washington Shares 15,802 512
Stewart Information Services 9,000 313
Strategic Hotels & Resorts+ (B) 46,800 930
Sun Communities+ (B) 3,900 125
Sunstone Hotel Investors+ (B) 5,300 158
SVB Financial Group (B)* 18,300 817
Tanger Factory Outlet Centers+ 900 32
TCF Financial (B) 35,300 928
TD Banknorth (B) 5,895 170
Technology Investment Capital (B) 4,500 66
Tejon Ranch* 2,100 89
Texas Regional Bancshares, Cl A 330 13
Toronto-Dominion Bank 1,494 88
Triad Guaranty* 600 31
Trizec Properties+ 7,000 202
Trustmark 700 22
Trustreet Properties+ (B) 2,400 30
U-Store-It Trust+ (B) 6,100 131
Umpqua Holdings (B) 8,300 237
UnionBanCal 14,300 871
United Bankshares (B) 13,100 488
United Community Banks 700 21
United Dominion Realty Trust+ 700 21
Universal American Financial* 15,100 243
Universal Health Realty Income Trust+ 300 11
UnumProvident (B) 39,200 760
Valley National Bancorp 4,620 118
Ventas+ 1,400 54
Virginia Financial Group (B) 750 21
Waddell & Reed Financial, Cl A 1,000 25
Washington Federal 1,800 40
Washington Mutual 2,762 120
Washington Real Estate Investment
Trust+ 1,600 64
Webster Financial (B) 8,500 400
WesBanco 1,500 44
Westfield Financial (B) 800 25
Whitney Holding 1,200 43
Wilmington Trust 1,900 85
Wilshire Bancorp 700 13
Winston Hotels+ 26,500 326
Wintrust Financial 8,900 446
Zions Bancorporation 250 20
--------------
56,632
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
HEALTH CARE -- 11.3%
Abaxis* 2,200 $ 51
Accelrys (B)* 41,200 259
Adolor* 1,700 24
Affymetrix (B)* 36,500 787
Albany Molecular Research* 3,100 29
Align Technology (B)* 4,700 53
Alkermes* 32,700 518
Allscripts Healthcare Solutions (B)* 1,700 38
Alpharma, Cl A (B) 23,100 540
American Medical Systems Holdings (B)* 6,000 111
Amylin Pharmaceuticals (B)* 2,400 106
Anadys Pharmaceuticals* 10,800 31
Analogic 500 26
Andrx* 1,500 37
Applera - Applied Biosystems Group 3,700 122
Applera - Celera Genomics Group (B)* 35,600 496
Apria Healthcare Group (B)* 20,700 409
Arrow International 600 19
Arthrocare* 6,035 283
Axcan Pharma (B)* 22,308 305
Barr Pharmaceuticals* 12,400 644
Beckman Coulter 500 29
Bruker BioSciences* 4,400 31
Cambrex (B) 22,600 468
Cardiome Pharma* 17,300 200
Cephalon (B)* 29,600 1,828
Cerner (B)* 400 18
Chemed 2,100 68
Coley Pharmaceutical Group* 2,500 29
Community Health Systems (B)* 15,000 560
Conmed* 1,300 27
Cooper (B) 17,500 936
Covance* 500 33
Cubist Pharmaceuticals (B)* 64,320 1,398
CV Therapeutics (B)* 70,500 785
Cytyc* 1,500 37
Dade Behring Holdings (B) 15,200 610
Dendreon (B)* 35,900 160
Depomed (B)* 44,000 180
Dionex* 500 25
Discovery Laboratories (B)* 26,400 56
Diversa (B)* 10,400 83
DJO* 15,900 660
Edwards Lifesciences (B)* 4,000 186
Emdeon* 9,900 116
Endo Pharmaceuticals Holdings* 26,100 850
Enzon Pharmaceuticals* 2,600 21
eResearch Technology (B)* 51,000 414
- --------------------------------------------------------------------------------
72 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
ev3 (B)* 2,795 $ 48
Exelixis* 2,800 24
Express Scripts (B)* 10,100 762
Fisher Scientific International (B)* 1,400 110
Flamel Technologies ADR (B)* 8,900 167
Foxhollow Technologies (B)* 1,400 48
Gen-Probe* 700 33
Geron (B)* 4,200 26
Health Net (B)* 5,300 231
HealthSpring (B)* 15,200 293
Healthways (B)* 9,075 405
Henry Schein* 300 15
Hillenbrand Industries 600 34
Hologic (B)* 20,435 889
Human Genome Sciences* 2,500 29
Humana* 300 20
ICOS (B)* 1,400 35
ICU Medical* 700 32
Idenix Pharmaceuticals (B)* 3,200 31
Idexx Laboratories* 3,700 337
Immucor (B)* 25,075 562
Integra LifeSciences Holdings* 600 22
Intermagnetics General (B)* 3,900 105
Intralase* 1,700 34
Intuitive Surgical* 500 53
Invacare 1,300 31
inVentiv Health* 9,415 302
Inverness Medical Innovations (B)* 1,000 35
Invitrogen (B)* 13,300 843
Kendle International* 8,315 266
King Pharmaceuticals* 22,600 385
Kos Pharmaceuticals* 6,300 311
KV Pharmaceutical, Cl A (B)* 1,900 45
Kyphon* 700 26
Lifecell* 3,200 103
LifePoint Hospitals* 800 28
Ligand Pharmaceuticals, Cl B (B)* 5,500 55
Lincare Holdings* 3,900 135
Magellan Health Services* 11,000 469
Manor Care (B) 4,400 230
Medarex (B)* 115,600 1,242
Medicines* 2,900 65
Merit Medical Systems* 2,500 34
Metabasis Therapuetics* 5,299 30
MGI Pharma (B)* 29,800 513
Micrus Endovascular* 40,900 530
Millennium Pharmaceuticals* 3,700 37
Millipore (B)* 400 25
Mylan Laboratories 1,100 22
Myriad Genetics (B)* 22,500 555
Nastech Pharmaceutical (B)* 48,800 745
Nektar Therapeutics (B)* 1,600 23
Neurocrine Biosciences (B)* 13,600 146
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
NPS Pharmaceuticals* 6,200 $ 24
NuVasive* 1,600 32
Nuvelo (B)* 2,300 42
Odyssey HealthCare* 1,800 26
Omnicare 4,000 172
OSI Pharmaceuticals (B)* 1,318 49
Owens & Minor 700 23
Par Pharmaceutical* 2,100 38
Parexel International (B)* 4,400 146
Patterson 900 30
PDL BioPharma (B)* 32,600 626
Pediatrix Medical Group (B)* 6,580 300
Per-Se Technologies (B)* 13,000 296
PerkinElmer 2,800 53
Perrigo 1,300 22
Pharmaceutical Product Development 12,225 436
Pharmacopeia Drug Discovery* 21,850 83
Pharmion* 1,700 37
PolyMedica 1,300 56
PRA International* 600 16
PSS World Medical* 19,165 383
Psychiatric Solutions (B)* 20,930 713
Radiation Therapy Services (B)* 13,387 391
Replidyne* 10,100 95
Resmed* 600 24
Rigel Pharmaceuticals (B)* 33,500 344
Sciele Pharma (B)* 37,300 703
Stereotaxis (B)* 1,900 20
SurModics (B)* 1,725 61
Symmetry Medical* 3,700 56
Tanox* 1,400 17
Telik (B)* 71,800 1,277
Tenet Healthcare* 5,100 42
Thermo Electron (B)* 800 31
Trimeris (B)* 12,900 114
Trizetto Group* 2,800 42
United Therapeutics* 16,500 867
Universal Health Services, Cl B (B) 15,400 923
Valeant Pharmaceuticals International 1,500 30
Varian* 700 32
Varian Medical Systems (B)* 1,000 53
VCA Antech* 800 29
Ventana Medical Systems* 6,040 247
Vertex Pharmaceuticals (B)* 1,100 37
Viasys Healthcare* 1,400 38
Viropharma* 2,300 28
Vital Signs 1,000 57
Vnus Medical Technologies* 4,400 29
Watson Pharmaceuticals* 1,100 29
Wright Medical Group* 2,900 70
Zoll Medical* 900 32
--------------
35,593
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 73
SCHEDULE OF INVESTMENTS
Tax-Managed Small Cap Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
INDUSTRIALS -- 12.4%
AAON 1,000 $ 23
ACCO Brands* 1,400 31
Actuant, Cl A (B)* 1,500 75
Adesa (B) 24,500 566
Advisory Board* 1,200 61
Airtran Holdings* 1,800 18
Alaska Air Group* 14,500 552
Albany International, Cl A (B) 17,600 560
Alliant Techsystems* 300 24
Allied Waste Industries (B)* 46,600 525
American Commercial Lines* 5,020 298
American Superconductor (B)* 2,800 26
American Woodmark (B) 800 27
Ametek 500 22
AMR (B)* 1,800 42
Angelica 1,400 24
AO Smith 10,300 406
Applied Industrial Technologies 1,050 26
Arkansas Best (B) 7,800 336
Armor Holdings* 400 23
Baldor Electric 2,100 65
Banta (B) 15,900 757
BE Aerospace (B)* 25,905 546
Beacon Roofing Supply* 1,400 28
Briggs & Stratton 8,900 245
Brink's (B) 20,800 1,104
CNH Global 13,800 320
Coinstar* 1,200 35
Compx International 7,200 112
Continental Airlines, Cl B (B)* 17,250 488
Copart* 12,100 341
Corporate Executive Board 1,000 90
Covenant Transport, Cl A* 1,500 18
Crane 100 4
Cubic (B) 13,800 270
Cummins (B) 11,600 1,383
Curtiss-Wright 1,100 33
Deluxe 18,700 320
Dollar Thrifty Automotive Group* 1,200 53
Donaldson 600 22
Dun & Bradstreet* 500 37
Dynamic Materials (B) 20,200 655
EGL* 900 33
Energy Conversion Devices (B)* 2,600 96
EnPro Industries* 800 24
ESCO Technologies* 1,800 83
Fastenal 1,200 46
Flowserve (B)* 9,200 465
Forward Air 900 30
Franklin Electric 700 37
Gardner Denver (B)* 13,725 454
GATX (B) 3,600 149
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Genlyte Group (B)* 4,125 $ 294
Global Cash Access* 29,300 442
Goodman Global* 7,500 100
Goodrich 27,700 1,122
Gorman-Rupp 800 26
Graco 500 20
Granite Construction 3,200 171
Grupo TMM ADR, Cl A* 30,100 87
Harsco 5,500 427
Heartland Express 1,800 28
Herman Miller (B) 18,800 643
HUB Group, Cl A* 13,250 302
Hubbell, Cl B 600 29
Huron Consulting Group* 3,000 118
Infrasource Services* 1,600 28
Insituform Technologies, Cl A* 1,500 36
Jacuzzi Brands* 13,700 137
JB Hunt Transport Services 17,000 353
JetBlue Airways (B)* 2,600 24
John H. Harland 200 7
Joy Global 25,901 974
Kansas City Southern (B)* 19,100 522
Kaydon 700 26
Kirby* 10,400 326
Knoll 34,600 699
Laidlaw International (B) 8,700 238
Lamson & Sessions (B)* 10,880 259
Landstar System 3,300 141
Lennox International 3,800 87
Lincoln Electric Holdings 500 27
MAIR Holdings* 5,300 30
Manitowoc 7,800 349
Manpower 700 43
McDermott International* 5,902 247
Mesa Air Group* 3,600 28
Milacron (B)* 67,360 59
Monster Worldwide (B)* 13,700 496
Moog, Cl A* 2,300 80
MSC Industrial Direct, Cl A (B) 15,800 644
MTC Technologies* 1,300 31
Mueller Industries (B) 24,300 855
Navistar International (B)* 46,400 1,198
NCI Building Systems* 4,190 244
Nordson 800 32
Old Dominion Freight Line* 1,050 32
Orbital Sciences (B)* 7,700 145
Oshkosh Truck (B) 9,800 495
Pacer International 800 22
Pall (B) 33,300 1,026
PAM Transportation Services (B)* 1,500 38
PGT (B)* 2,500 35
PHH* 1,200 33
Quanta Services (B)* 25,725 434
- --------------------------------------------------------------------------------
74 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
RBC Bearings* 11,715 $ 283
Regal-Beloit (B) 10,800 470
Republic Airways Holdings* 2,900 45
Resources Connection (B)* 1,900 51
Robbins & Myers (B) 9,600 297
Robert Half International 1,900 65
Roper Industries 5,900 264
RR Donnelley & Sons 1,500 49
Ryder System 28,600 1,478
School Specialty* 900 32
Skywest 1,000 24
SPX 8,000 427
Stericycle* 500 35
Taser International (B)* 4,000 31
Tecumseh Products, Cl A (B)* 23,200 353
Teledyne Technologies (B)* 12,800 507
TeleTech Holdings* 2,300 36
Tetra Tech* 1,300 23
Thomas & Betts (B)* 6,730 321
Timken 8,700 259
Toro 1,400 59
TurboChef Technologies (B)* 2,800 39
United Rentals (B)* 25,500 593
Universal Forest Products (B) 12,700 623
URS* 700 27
US Airways Group* 600 27
USG (B)* 6,800 320
UTI Worldwide 19,000 531
Viad 1,200 42
Wabtec (B) 40,055 1,087
Walter Industries (B) 9,700 414
Washington Group International (B)* 11,400 671
Waste Industries USA 1,800 49
Waste Services (B)* 2,900 26
Watson Wyatt Worldwide, Cl A 14,325 586
Watts Water Technologies, Cl A 1,000 32
WESCO International (B)* 8,900 516
Williams Scotsman International* 38,460 821
Woodward Governor 16,800 563
YRC Worldwide* 17,300 641
--------------
39,014
--------------
INFORMATION TECHNOLOGY -- 20.7%
24/7 Real Media (B)* 31,300 267
3Com* 31,900 141
Activision (B)* 65,200 985
Acxiom 1,100 27
Adaptec* 5,800 26
ADC Telecommunications* 2,900 44
Adobe Systems* 966 36
Adtran (B) 2,700 64
Advent Software* 15,700 568
Aeroflex* 2,100 22
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Agere Systems* 19,300 $ 288
Akamai Technologies* 32,430 1,621
Alliance Semiconductor (B)* 29,600 99
Altera (B)* 106,100 1,950
Amdocs (B)* 37,700 1,493
AMIS Holdings* 7,400 70
Amphenol, Cl A 6,200 384
Andrew* 3,400 31
Ansys (B)* 2,100 93
aQuantive (B)* 40,700 961
Ariba* 2,900 22
Arris Group (B)* 27,800 319
Arrow Electronics* 1,000 27
Aspen Technology* 23,580 257
Atheros Communications (B)* 2,200 40
Atmel* 5,200 31
Autodesk* 1,000 35
Avanex (B)* 72,200 125
Avaya (B)* 150,300 1,719
Avnet* 12,000 235
Avocent* 1,600 48
AVX 4,600 81
Axcelis Technologies* 5,300 37
BEA Systems* 3,400 52
BearingPoint (B)* 27,200 214
Bel Fuse, Cl B 600 19
BISYS Group* 2,700 29
Black Box 6,200 241
Blackboard (B)* 12,100 321
BMC Software* 4,800 131
Brightpoint (B)* 17,550 250
Brocade Communications Systems (B)* 109,600 774
Brooks Automation (B)* 80,900 1,056
Cabot Microelectronics (B)* 3,100 89
CACI International, Cl A* 3,000 165
Cadence Design Systems (B)* 2,600 44
Ceridian* 4,500 101
CheckFree (B)* 17,800 735
Citrix Systems* 15,000 543
CNET Networks (B)* 77,500 742
Cogent (B)* 2,500 34
Cognizant Technology Solutions, Cl A (B)* 3,700 274
Coherent* 400 14
CommScope (B)* 18,605 611
Comtech Telecommunications* 1,000 33
Comverse Technology* 1,900 41
Convergys* 22,500 465
Cree (B)* 27,800 559
CSG Systems International (B)* 3,400 90
Cymer (B)* 9,700 426
Cypress Semiconductor* 3,500 62
Diebold 800 35
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 75
SCHEDULE OF INVESTMENTS
Tax-Managed Small Cap Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Digimarc* 15,700 $ 122
Digital Insight* 3,000 88
Digital River (B)* 800 41
Digitas* 5,800 56
Ditech Networks* 3,800 29
DSP Group* 2,300 53
DST Systems* 800 49
Earthlink (B)* 107,100 779
Echelon (B)* 2,600 21
eFunds* 1,400 34
Electro Scientific Industries* 1,000 21
Electronics for Imaging* 20,100 460
Emcore (B)* 3,800 22
Emulex* 13,500 245
Entegris* 3,600 39
Equinix (B)* 500 30
Euronet Worldwide* 1,100 27
F5 Networks (B)* 1,000 54
Factset Research Systems 8,700 423
Fairchild Semiconductor International (B)* 27,100 507
FEI (B)* 4,800 101
Fidelity National Information Services (B) 900 33
Filenet* 700 24
Flextronics International* 83,300 1,053
Flir Systems (B)* 15,100 410
Formfactor (B)* 9,065 382
Forrester Research* 900 24
Foundry Networks (B)* 78,900 1,038
Gartner* 2,600 46
Global Payments (B) 800 35
Greenfield Online (B)* 4,400 46
Harris 800 36
Hewitt Associates, Cl A* 9,100 221
Hyperion Solutions* 1,950 67
Imation 5,800 233
InFocus (B)* 34,000 97
Informatica (B)* 47,200 641
Ingram Micro, Cl A* 1,200 23
Integrated Device Technology* 29,118 468
Interdigital Communications* 6,500 222
Internet Security Systems* 1,700 47
Intersil, Cl A (B) 29,800 732
Intervideo* 2,200 28
Intevac* 13,860 233
Iron Mountain* 800 34
Itron* 600 33
Ixia* 4,400 39
Jack Henry & Associates 14,200 309
Kanbay International* 4,800 99
Keane* 4,200 61
Kemet* 28,755 232
Keynote Systems (B)* 31,700 334
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Kopin* 8,800 $ 29
Kronos* 1,000 34
L-1 Identity Solutions (B)* 12,723 166
Lam Research (B)* 1,600 73
Lattice Semiconductor (B)* 196,900 1,343
Lawson Software (B)* 3,400 25
Lexmark International, Cl A* 9,000 519
Littelfuse* 800 28
LSI Logic* 99,100 815
Macrovision* 1,200 28
Manhattan Associates* 10,600 256
Mantech International, Cl A* 900 30
MEMC Electronic Materials* 1,700 62
Mentor Graphics (B)* 31,200 439
Methode Electronics 33,500 319
Mettler Toledo International* 400 26
Micrel* 2,700 26
Microsemi (B)* 38,500 726
MicroStrategy, Cl A* 300 31
Midway Games (B)* 3,800 33
MoneyGram International 10,015 291
MPS Group* 1,700 26
Multi-Fineline Electronix (B)* 1,600 41
National Instruments 1,300 36
NAVTEQ* 1,100 29
Ness Technologies* 2,600 35
Net 1 UEPS Technologies (B)* 1,300 30
Netgear* 1,300 27
Netlogic Microsystems (B)* 13,585 345
Newport* 1,300 21
NIC* 3,700 19
Novell* 4,200 26
Novellus Systems (B)* 21,500 595
ON Semiconductor* 4,000 24
Openwave Systems* 3,600 34
Opsware* 3,500 32
Palm (B)* 1,200 17
Parametric Technology (B)* 22,400 391
Pericom Semiconductor* 2,100 20
Perot Systems, Cl A (B)* 47,300 652
Photronics* 2,800 40
Pixelworks* 98,100 289
Plantronics 1,600 28
Plexus* 1,200 23
PMC - Sierra* 26,600 158
Polycom (B)* 128,000 3,140
PowerDsine* 24,300 231
Powerwave Technologies* 4,200 32
Presstek* 3,500 19
Progress Software* 1,200 31
QLogic* 1,800 34
Quantum (B)* 128,400 280
Quest Software* 1,300 19
Rackable Systems (B)* 25,885 708
- --------------------------------------------------------------------------------
76 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
RADWARE* 10,200 $ 138
Rambus (B)* 2,500 44
RealNetworks* 3,700 39
Red Hat (B)* 26,800 565
Redback Networks (B)* 4,900 68
Renaissance Learning 2,000 29
RF Micro Devices (B)* 171,600 1,301
Riverbed Technology* 1,100 21
Rofin-Sinar Technologies* 500 30
S1* 3,900 18
Sabre Holdings, Cl A 15,700 367
SafeNet* 1,500 27
Salesforce.com (B)* 16,300 585
Sanmina-SCI* 12,900 48
Sapient* 5,700 31
Satyam Computer Services ADR (B) 18,900 731
Scansource* 1,200 36
Seachange International (B)* 38,500 342
Seagate Technology 21,659 500
Semtech* 4,000 51
Silicon Image* 3,800 48
Silicon Laboratories* 700 22
Sirf Technology Holdings* 1,200 29
SkillSoft ADR* 36,495 233
Skyworks Solutions (B)* 227,600 1,181
Solectron* 258,200 842
Sonic Solutions* 15,000 229
Sonus Networks* 6,500 34
Startek 5,200 65
Supertex (B)* 900 35
Sybase (B)* 22,900 555
Sycamore Networks* 11,300 43
SYKES Enterprises* 11,665 237
Symbol Technologies 2,500 37
Synaptics* 1,300 32
Synopsys* 39,300 775
Syntel 2,100 48
Take-Two Interactive Software (B)* 2,600 37
Talx 1,300 32
Tech Data* 1,900 69
Technitrol 1,200 36
Tekelec (B)* 39,700 515
Tektronix 800 23
Tellabs* 48,100 527
Teradyne (B)* 54,000 711
Tessera Technologies* 900 31
THQ (B)* 34,100 995
TIBCO Software (B)* 215,700 1,937
Transaction Systems Architects* 700 24
Trident Microsystems (B)* 40,800 949
Trimble Navigation* 6,945 327
Triquint Semiconductor* 5,800 30
Ultratech (B)* 16,400 218
Unisys (B)* 95,300 539
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
United Online 29,300 $ 357
Utstarcom (B)* 43,900 389
Valueclick* 1,400 26
Varian Semiconductor Equipment Associates* 1,450 53
Veeco Instruments* 1,600 32
VeriFone Holdings (B)* 15,990 457
Verint Systems* 1,000 30
Viasat* 900 23
Vishay Intertechnology* 55,500 779
WatchGuard Technologies* 7,600 32
Wavecom ADR* 14,900 188
WebEx Communications* 8,760 342
Websense* 1,500 32
Western Digital (B)* 50,500 914
Wind River Systems (B)* 100,700 1,079
Wright Express* 9,445 227
Zoran (B)* 5,900 95
--------------
64,979
--------------
MATERIALS -- 4.7%
Airgas 17,500 633
Albemarle 2,400 130
Allegheny Technologies (B) 13,300 827
Aptargroup (B) 7,400 377
Balchem 19,400 384
Ball 16,900 684
Cabot 1,400 52
Carpenter Technology 3,270 352
Chesapeake 2,500 36
Coeur d'Alene Mines (B)* 5,200 25
Commercial Metals 9,900 201
Compass Minerals International (B) 1,100 31
Constar International (B)* 20,900 125
Crown Holdings* 41,500 772
Cytec Industries (B) 17,700 984
Deltic Timber 700 33
Eagle Materials 800 27
Eastman Chemical (B) 8,500 459
Florida Rock Industries 900 35
FMC (B) 16,400 1,051
Glatfelter 2,300 31
Greif, Cl A 600 48
H.B. Fuller 1,600 38
Headwaters (B)* 600 14
Hercules (B)* 42,500 670
International Flavors & Fragrances 500 20
Louisiana-Pacific 12,000 225
Lubrizol (B) 14,300 654
MacDermid 900 29
Martin Marietta Materials (B) 6,040 511
MeadWestvaco (B) 14,800 392
Metal Management 700 20
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 77
SCHEDULE OF INVESTMENTS
Tax-Managed Small Cap Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Mosaic (B)* 6,500 $ 110
Neenah Paper 800 27
NL Industries 2,700 27
NN 2,200 26
Owens-Illinois* 18,500 285
Packaging of America 900 21
PolyOne* 37,100 309
Quanex (B) 19,125 580
Reliance Steel & Aluminum (B) 10,810 347
Rinker Group ADR 1,200 62
Rock-Tenn, Cl A (B) 31,200 618
Royal Gold (B) 900 24
Schnitzer Steel Industries, Cl A (B) 300 9
Schweitzer-Mauduit International 1,500 29
Scotts Miracle-Gro, Cl A (B) 12,400 552
Sealed Air 600 33
Sensient Technologies 2,500 49
Sigma-Aldrich (B) 2,900 219
Silgan Holdings 800 30
Smurfit-Stone Container* 2,800 31
Steel Dynamics 6,900 348
Stillwater Mining* 4,200 35
Symyx Technologies* 26,100 553
Terra Industries (B)* 11,800 91
United States Steel 6,400 369
Valhi 1,400 33
Wausau Paper 4,400 59
--------------
14,746
--------------
TELECOMMUNICATION SERVICES -- 0.8%
Alaska Communications Systems Group 2,300 31
American Tower, Cl A* 5,315 194
Broadwing (B)* 4,200 53
Cbeyond* 1,500 41
CenturyTel 19,200 762
Commonwealth Telephone Enterprises 3,100 128
Crown Castle International* 2,700 95
CT Communications 2,000 44
Fairpoint Communications 1,900 33
General Communication, Cl A* 1,800 22
IDT, Cl B* 2,100 30
Iowa Telecommunications Services 1,600 32
Level 3 Communications* 5,500 29
NII Holdings* 800 50
North Pittsburgh Systems 1,200 30
Orckit Communications (B)* 22,500 197
Price Communications* 3,800 73
SBA Communications, Cl A* 21,375 520
Windstream (B) 2,200 29
--------------
2,393
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
UTILITIES -- 4.0%
AGL Resources 11,300 $ 413
Allegheny Energy (B)* 1,500 60
Allete (B) 8,000 348
Avista (B) 26,200 621
Black Hills 6,100 205
Cascade Natural Gas 4,900 128
CenterPoint Energy (B) 44,900 643
CH Energy Group 1,700 88
Cleco (B) 14,800 374
CMS Energy (B)* 48,600 702
Constellation Energy Group 7,700 456
DPL 2,300 62
Duquesne Light Holdings 2,300 45
Dynegy, Cl A* 4,200 23
El Paso Electric 2,000 45
Empire District Electric (B) 1,100 25
Energen (B) 4,800 201
EnergySouth 800 27
ITC Holdings 1,000 31
Laclede Group 1,500 48
MDU Resources Group (B) 55,075 1,230
MGE Energy 2,200 71
National Fuel Gas 2,400 87
New Jersey Resources 900 44
Nicor (B) 7,200 308
Northeast Utilities (B) 4,000 93
Northwest Natural Gas 1,300 51
NorthWestern (B) 4,600 161
NRG Energy* 9,500 430
Ormat Technologies (B) 4,900 160
Otter Tail 2,200 64
Peoples Energy (B) 600 24
Pepco Holdings 11,700 283
Pinnacle West Capital (B) 12,700 572
PNM Resources 15,200 419
PPL 18,200 599
Puget Energy 16,000 364
Reliant Energy* 8,300 102
Sempra Energy (B) 15,100 759
Southern Union (B) 29,700 784
Southwest Gas 1,000 33
TECO Energy (B) 31,100 487
UGI (B) 34,500 844
UIL Holdings 833 31
Vectren 700 19
Wisconsin Energy 4,100 177
--------------
12,741
--------------
Total Common Stock
(Cost $252,059) ($ Thousands) 296,725
--------------
- --------------------------------------------------------------------------------
78 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Number of
Warrants
-----------
WARRANTS -- 0.0%
Washington Mutual (D)* 116,700 $ 13
--------------
Total Warrants
(Cost $27) ($ Thousands) 13
--------------
COMMERCIAL PAPER (C) (E) -- 18.1%
ASAP Funding
5.290%, 10/19/06 $ 5,000 4,987
ATLAS Capital Funding
5.310%, 02/12/07 4,000 4,000
Bavaria TRR
5.300%, 10/25/06 4,000 3,986
Brahms Funding
5.295%, 10/23/06 5,000 4,984
5.290%, 10/10/06 1,000 999
Citius Funding
5.280%, 10/25/06 5,000 4,982
GIRO Balanced Funding
5.290%, 10/16/06 5,000 4,989
Harwood
5.290%, 10/04/06 3,500 3,498
Mica Funding
5.290%, 10/04/06 4,500 4,498
Mint II
5.300%, 10/20/06 5,000 4,986
Shefield Receivables
5.275%, 10/03/06 5,000 4,999
Ticonderoga Funding
5.280%, 10/25/06 5,000 4,982
Von Karman
5.350%, 10/13/06 5,000 4,991
--------------
Total Commercial Paper
(Cost $56,881) ($ Thousands) 56,881
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS (C) (F) -- 8.8%
FINANCIALS -- 8.8%
Banco Santander (G)
5.330%, 08/22/11 $ 2,000 $ 2,000
Beta Finance MTN (G)
5.403%, 05/10/07 3,000 3,000
Cheyne Finance LLC MTN (G)
5.405%, 04/16/07 4,000 3,999
K2 LLC MTN (G)
5.340%, 04/18/07 1,000 1,000
Liberty Lighthouse US Capital MTN (G)
5.290%, 03/01/07 5,000 5,000
Links Finance LLC MTN (G)
5.415%, 05/21/07 3,000 3,000
Premier Asset Collateralization LLC
5.310%, 04/25/07 3,500 3,500
Sigma Finance MTN (G)
5.340%, 04/18/07 4,000 4,000
Wachovia Bank
5.425%, 05/22/07 2,000 2,000
--------------
Total Corporate Obligations
(Cost $27,499) ($ Thousands) 27,499
--------------
ASSET-BACKED SECURITY (C) (F) (G) -- 0.6%
MORTGAGE RELATED SECURITY -- 0.6%
Lothian Mortgages Master Issue Trust,
Ser 2006-1A, Cl A1
5.300%, 01/24/28 1,813 1,813
--------------
Total Asset-Backed Security
(Cost $1,813) ($ Thousands) 1,813
--------------
CASH EQUIVALENTS -- 6.4%
Barclays Global Investors Funds,
Prime Money Market Fund,
5.193%** (C) 5,000 5
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.330%**++ 17,660,724 17,661
The Reserve Funds,
Primary Fund, Cl 8,
5.207%** (C) 2,533,148 2,533
--------------
Total Cash Equivalents
(Cost $20,199) ($ Thousands) 20,199
--------------
U.S. TREASURY OBLIGATION (A) (E) -- 0.2%
U.S. Treasury Bill
4.973%, 11/24/06 614 610
--------------
Total U.S. Treasury Obligation
(Cost $610) ($ Thousands) 610
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 79
SCHEDULE OF INVESTMENTS
Tax-Managed Small Cap Fund (Concluded)
September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS (C) (H) -- 14.6%
Bank of America
5.350%, dated 09/29/06, to be
repurchased on 10/02/06,
repurchase price $9,004,013
(collateralized by a U.S.
Government Obligation, par
value $9,089,409, 6.000%,
09/01/36; with total market
value $9,180,000) $ 9,000 $ 9,000
Deutsche Bank
5.350%, dated 09/29/06, to be
repurchased on 10/02/06,
repurchase price $14,006,242
(collateralized by various
U.S. Government Obligations,
ranging in par value
$3,414,854-$16,878,901,
5.000%, 09/01/19-04/01/34;
with total market value
$14,280,000) 14,000 14,000
Goldman Sachs
5.380%, dated 09/29/06, to be
repurchased on 10/02/06,
repurchase price $7,003,138
(collateralized by various
U.S. Government Obligations,
ranging in par value
$2,689,544-$10,000,000,
4.944%-6.500%,
01/15/28-07/15/36; with total
market value $7,350,000) 7,000 7,000
Lehman Brothers
5.380%, dated 09/29/06, to be
repurchased on 10/02/06,
repurchase price $8,003,587
(collateralized by various
U.S. Government Obligations,
ranging in par value $271,353-
$8,932,436, 4.500%-6.500%,
03/01/18-03/01/20; with total
market value $8,161,210) 8,000 8,000
Merrill Lynch
5.350%, dated 09/29/06, to be
repurchased on 10/02/06,
repurchase price $8,003,567
(collateralized by a U.S.
Government Obligation, par
value $8,235,000, 0.000%,
05/01/16; with total market
value $8,162,159) 8,000 8,000
--------------
Total Repurchase Agreements
(Cost $46,000) ($ Thousands) 46,000
--------------
Total Investments -- 143.1%
(Cost $405,088) ($ Thousands) $ 449,740
==============
Futures -- A summary of the open futures contracts held by the Fund at September
30, 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 E-MINI 119 Dec-2006 $185
S&P 400 Index E-MINI 100 Dec-2006 114
----
$299
====
Percentages are based on Net Assets of $314,333 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of September 30, 2006.
+ Real Estate Investment Trust.
++ Pursuant to an exemptive order issued by the Securities and Exchange
Commission, the Fund may invest in the SEI money market funds, provided
that investments in the money market funds do not exceed 25% of the Fund's
total assets.
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(B) This security or a partial position of this security is on loan at
September 30, 2006 (see Note 7). The total value of securities on loan at
September 30, 2006 was $126,837 ($ Thousands).
(C) This security was purchased with cash collateral held from securities on
loan (see Note 7). The total value of such securities as of September 30,
2006 was $134,731 ($ 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 Schedule of Investments
is the rate in effect as of September 30, 2006. The date reported on the
Schedule of Investments is the next reset date.
(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." These securities have been determined to be liquid
under guidelines established by the Board of Trustees.
(H) Tri-Party Repurchase Agreement.
ADR -- American Depositary Receipt
Cl -- Class
LLC -- Limited Liability Company
MTN -- Medium Term Note
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
80 SEI Institutional Managed Trust / Annual Report / September 30, 2006
Small Cap Value Fund
September 30, 2006
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS# (UNAUDITED):
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
38.1% Financials
12.3% Information Technology
11.8% Consumer Discretionary
10.3% Industrials
5.5% Short-Term Investments
4.8% Health Care
4.6% Materials
4.4% Energy
3.0% Utilities
2.5% Consumer Staples
1.8% Asset-Backed Securities
0.5% Telecommunication Services
0.3% Exchange Traded Funds
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 -- 95.6%+++
CONSUMER DISCRETIONARY -- 14.8%
1-800 Contacts (B)* 72,000 $ 1,079
Advance Auto Parts 29,300 965
Aftermarket Technology* 130,564 2,319
America's Car-Mart (B)* 20,100 331
American Axle & Manufacturing Holdings (B) 44,850 749
American Greetings, Cl A (B) 78,671 1,819
Applebee's International (B) 187,068 4,024
Arctic Cat 76,400 1,268
ArvinMeritor (B) 365,100 5,199
Bally Technologies (B)* 173,649 3,056
Bandag (B) 11,300 464
Bare Escentuals 3,300 90
Belo, Cl A (B) 69,988 1,107
Big 5 Sporting Goods 48,100 1,097
Bob Evans Farms 4,300 130
Books-A-Million (B) 18,169 324
Brinker International 25,424 1,019
Brown Shoe 118,300 4,240
Building Material Holding (B) 38,900 1,012
Cato, Cl A 69,000 1,512
CBRL Group 53,800 2,175
Citadel Broadcasting 30,400 286
Claire's Stores 39,760 1,159
Cooper Tire & Rubber (B) 64,354 647
Core-Mark Holding* 5,500 172
Corinthian Colleges (B)* 178,100 1,925
Courier 30,148 1,120
Cox Radio, Cl A* 25,500 391
CSK Auto (B)* 171,423 2,417
Cumulus Media, Cl A (B)* 90,900 869
Dana (B) 561,300 584
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Deckers Outdoor* 3,200 $ 151
Directed Electronics (B)* 118,407 1,788
Ethan Allen Interiors (B) 107,600 3,729
Finish Line, Cl A 138,238 1,745
FTD Group* 15,500 239
Furniture Brands International (B) 212,100 4,038
Gaylord Entertainment (B)* 39,600 1,736
Genesco* 25,900 893
Group 1 Automotive 67,100 3,348
Guitar Center* 23,600 1,054
Handleman 51,600 392
Haverty Furniture 18,300 292
HOT Topic (B)* 87,121 971
Interface, Cl A* 112,281 1,446
Jack in the Box (B)* 23,300 1,216
Jackson Hewitt Tax Service 39,700 1,191
Jakks Pacific (B)* 107,600 1,919
Jarden (B)* 77,650 2,560
Jo-Ann Stores (B)* 163,600 2,735
Journal Communications, Cl A 79,500 896
Journal Register (B) 99,600 565
K2* 107,900 1,266
Kellwood (B) 135,500 3,906
Kimball International, Cl B 35,700 689
La-Z-Boy (B) 98,700 1,378
Landry's Restaurants (B) 77,403 2,334
Leapfrog Enterprises (B)* 177,900 1,411
Lodgian (B)* 12,500 166
Lone Star Steakhouse & Saloon 1,400 39
M/I Homes (B) 2,300 81
MarineMax (B)* 30,200 769
Marvel Entertainment (B)* 173,700 4,193
Media General, Cl A 20,500 773
Men's Wearhouse 24,399 908
Modine Manufacturing (B) 21,300 518
Movie Gallery (B)* 36,700 72
Orient-Express Hotels, Cl A 62,300 2,329
Outdoor Channel Holdings (B)* 84,000 915
Pacific Sunwear of California* 48,624 733
Perry Ellis International* 12,200 377
Phillips-Van Heusen 46,900 1,959
Pier 1 Imports (B) 311,000 2,308
Pinnacle Entertainment (B)* 68,700 1,932
Progressive Gaming International (B)* 102,600 841
ProQuest* 110,500 1,439
Quiksilver (B)* 225,800 2,743
RadioShack (B) 191,900 3,704
RC2* 18,447 619
Regal Entertainment Group, Cl A (B) 105,100 2,083
Regis 61,508 2,205
Rent-A-Center (B)* 114,800 3,362
Ryan's Restaurant Group* 72,200 1,146
Ryland Group (B) 19,800 856
Saks (B)* 107,200 1,852
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 81
SCHEDULE OF INVESTMENTS
Small Cap Value Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Scholastic* 119,000 $ 3,707
Shuffle Master (B)* 34,600 935
Sinclair Broadcast Group, Cl A 63,200 496
Sonic Automotive 131,300 3,032
Starwood Hotels & Resorts Worldwide 150,400 8,601
Steinway Musical Instruments* 11,600 325
Sunterra* 24,889 282
Superior Industries International (B) 90,000 1,511
Talbots (B) 97,085 2,646
Tempur-Pedic International (B)* 46,800 804
Tenneco (B)* 107,500 2,514
Trans World Entertainment* 58,300 353
Tuesday Morning (B) 114,700 1,592
Tupperware Brands 42,400 825
Unifirst 58,800 1,837
United Auto Group 4,600 108
Vail Resorts (B)* 74,700 2,990
Valassis Communications (B)* 163,337 2,883
Vertrue* 8,300 326
Visteon (B)* 207,900 1,694
Warnaco Group (B)* 49,016 948
WCI Communities (B)* 68,600 1,196
Westwood One (B) 71,800 508
World Wrestling Entertainment 86,200 1,416
Xerium Technologies 26,100 289
Zale (B)* 209,000 5,798
--------------
173,975
--------------
CONSUMER STAPLES -- 3.2%
BJ's Wholesale Club* 52,600 1,535
Casey's General Stores 58,213 1,296
Chattem* 46,400 1,630
Chiquita Brands International 48,700 652
Corn Products International 66,721 2,171
Delta & Pine Land 14,600 591
Gold Kist* 106,800 2,226
Hain Celestial Group* 114,600 2,929
JM Smucker 28,369 1,360
Lancaster Colony 30,300 1,356
Longs Drug Stores 10,400 478
Molson Coors Brewing, Cl B (B) 60,900 4,196
NBTY* 73,700 2,157
Nu Skin Enterprises, Cl A 59,000 1,034
Pathmark Stores* 130,400 1,297
Performance Food Group (B)* 38,260 1,075
Pilgrim's Pride 43,200 1,182
Prestige Brands Holdings* 1,900 21
Ralcorp Holdings* 54,882 2,647
Sanderson Farms (B) 123,000 3,980
Spartan Stores 86,600 1,464
Universal (B) 26,300 961
Weis Markets (B) 24,500 975
--------------
37,213
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
ENERGY -- 5.5%
Atlas America (B)* 32,099 $ 1,370
Atwood Oceanics (B)* 17,300 778
Berry Petroleum, Cl A 68,377 1,925
Bois d'Arc Energy* 4,900 75
Cabot Oil & Gas 18,400 882
Callon Petroleum* 56,300 763
CARBO Ceramics (B) 12,300 443
Cimarex Energy (B) 111,300 3,917
Comstock Resources (B)* 133,400 3,622
Dresser-Rand Group* 83,000 1,693
Energy Partners (B)* 50,600 1,247
Forest Oil* 63,650 2,011
Global Industries (B)* 191,200 2,975
Goodrich Petroleum (B)* 64,001 1,928
Hercules Offshore* 47,601 1,478
Holly (B) 8,900 386
Hornbeck Offshore Services* 36,300 1,216
Input/Output (B)* 268,600 2,667
Lone Star Technologies* 64,400 3,116
Mariner Energy* 129,020 2,370
Maverick Tube (B)* 12,700 823
Oceaneering International* 48,800 1,503
OMI (B) 63,300 1,374
Plains Exploration & Production (B)* 23,819 1,022
Rosetta Resources (B)* 100,600 1,727
RPC 121,500 2,226
SEACOR Holdings (B)* 30,600 2,525
St. Mary Land & Exploration (B) 132,600 4,868
Stone Energy* 94,900 3,842
Superior Energy Services* 39,900 1,048
Swift Energy (B)* 132,930 5,559
Tesoro 8,800 510
Universal Compression Holdings* 22,000 1,176
W-H Energy Services* 46,042 1,909
--------------
64,974
--------------
FINANCIALS -- 27.5%
Acadia Realty Trust+ 58,700 1,497
Advanta, Cl B (B) 21,800 804
Affirmative Insurance Holdings 27,900 409
AMB Property+ 37,800 2,083
Amcore Financial 44,045 1,334
American Equity Investment Life Holding (B) 87,967 1,079
American Home Mortgage Investment+ (B) 56,100 1,956
American Physicians Capital* 6,400 310
Ameris Bancorp 1,700 46
AmerUs Group 23,500 1,598
Anchor Bancorp Wisconsin (B) 26,600 760
Annaly Mortgage Management+ 192,800 2,533
Anthracite Capital+ 221,400 2,847
- --------------------------------------------------------------------------------
82 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Arbor Realty Trust+ 59,370 $ 1,518
Archstone-Smith Trust+ 134,800 7,339
Argonaut Group* 1,500 47
Ashford Hospitality Trust+ (B) 9,800 117
Aspen Insurance Holdings (B) 120,200 3,105
Assured Guaranty 96,900 2,513
AvalonBay Communities+ 32,400 3,901
BancFirst 14,200 663
BancorpSouth 103,438 2,871
Bank Mutual 152,828 1,854
BankAtlantic Bancorp, Cl A (B) 140,688 2,001
Bankunited Financial, Cl A (B) 93,400 2,435
BioMed Realty Trust+ 58,800 1,784
Boston Private Financial Holdings 89,200 2,487
Boston Properties+ 65,200 6,738
British Land (United Kingdom) (H) 20,638 526
Capital Southwest (B) 8,100 965
Capital Trust, Cl A+ 14,200 578
Capitol Bancorp 6,900 307
Cardinal Financial 95,245 1,044
Cash America International 68,700 2,685
Cathay General Bancorp (B) 62,000 2,238
Central Pacific Financial 46,300 1,694
Chemical Financial 30,400 902
Citizens Banking (B) 42,800 1,124
City Bank 2,000 94
City Holding 13,800 550
Clark 15,300 172
CNA Surety* 18,600 376
Columbia Bancorp 6,000 148
Columbia Banking System 23,100 739
Commerce Group 47,200 1,418
Community Bancorp* 5,800 177
Community Bank System 23,400 519
Community Trust Bancorp 7,290 275
Compass Diversified Trust* 16,100 246
CompuCredit (B)* 16,900 511
Corporate Office Properties Trust+ 50,300 2,251
Corus Bankshares (B) 99,200 2,218
Cousins Properties+ 32,500 1,112
Crawford, Cl B 15,200 103
Delphi Financial Group, Cl A (B) 53,700 2,142
DiamondRock Hospitality+ 44,300 736
Direct General 23,500 316
Eagle Hospitality Properties Trust+ 94,700 881
Education Realty Trust+ 219,216 3,236
Endurance Specialty Holdings 47,157 1,663
Entertainment Properties Trust+ 15,800 779
Equity Inns+ 79,000 1,258
Equity Office Properties Trust+ 86,800 3,451
Equity One+ (B) 91,283 2,188
Equity Residential+ 140,400 7,101
Farmers Capital Bank 2,700 91
FBL Financial Group, Cl A 16,900 566
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Federal Agricultural Mortgage, Cl C 40,400 $ 1,069
FelCor Lodging Trust+ 138,500 2,777
First American 85,100 3,603
First Community Bancorp 21,600 1,209
First Financial Bancorp 122,925 1,956
First Financial Bankshares 7,300 279
First Industrial Realty Trust+ (B) 56,200 2,473
First Merchants 20,100 475
First Midwest Bancorp 73,900 2,800
First Niagara Financial Group 156,300 2,279
FirstFed Financial (B)* 42,700 2,422
FirstMerit 74,500 1,726
Flagstar Bancorp 40,900 595
Flushing Financial 30,600 536
Fpic Insurance Group* 25,800 1,022
Frontier Financial (B) 14,550 377
GAMCO Investors, Cl A 41,400 1,576
General Growth Properties+ 182,770 8,709
GFI Group* 35,800 1,979
Gramercy Capital+ 21,500 542
Great Southern Bancorp 2,200 62
Greater Bay Bancorp 97,200 2,742
Greene County Bancshares 3,900 143
Hammerson (United Kingdom) (H) 46,774 1,146
Hancock Holding 31,200 1,671
Hanmi Financial 68,600 1,345
Hanover Insurance Group 75,400 3,365
Harleysville Group 6,900 241
Heritage Commerce* 8,100 187
Highland Hospitality+ 93,800 1,344
Hilb Rogal & Hobbs 154,700 6,598
Horace Mann Educators 84,037 1,616
Horizon Financial 4,200 125
Host Hotels & Resorts+ (B) 472,555 10,836
Housevalues (B)* 32,100 187
HRPT Properties Trust+ 99,500 1,189
Hub International 82,900 2,398
Independent Bank 5,942 144
Innkeepers USA Trust+ 330,716 5,387
Intervest Bancshares (B)* 22,800 993
IPC Holdings 42,700 1,299
Irwin Financial 31,000 606
ITLA Capital 7,500 403
Kimco Realty+ (B) 212,300 9,101
Lakeland Financial 5,100 120
Land Securities Group (United Kingdom) (H) 30,100 1,107
LandAmerica Financial Group (B) 14,900 980
LaSalle Hotel Properties+ 28,100 1,218
Liberty Property Trust+ 41,300 1,974
LTC Properties+ 38,300 929
Luminent Mortgage Capital+ 106,800 1,099
Macerich+ 26,600 2,031
MAF Bancorp (B) 21,400 884
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 83
SCHEDULE OF INVESTMENTS
Small Cap Value Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Max Re Capital 56,800 $ 1,304
Mercantile Bank 5,265 208
MetroCorp Bancshares 2,700 61
Mid-State Bancshares 6,200 170
National Financial Partners 49,044 2,012
National Health Investors+ 20,100 569
National Retail Properties+ 44,400 959
NBT Bancorp 48,900 1,137
Novastar Financial+ (B) 34,600 1,010
Ocwen Financial (B)* 3,700 55
Odyssey Re Holdings (B) 30,600 1,034
Ohio Casualty 46,500 1,203
Old National Bancorp (B) 37,500 716
Omega Healthcare Investors+ 40,700 611
Oriental Financial Group (B) 48,700 581
Pacific Capital Bancorp 18,166 490
Pennsylvania Real Estate Investment Trust+ 41,500 1,767
PFF Bancorp 17,750 657
Pico Holdings* 63,400 2,064
Piper Jaffray* 83,100 5,038
Platinum Underwriters Holdings 162,668 5,015
PMI Group 32,700 1,433
Preferred Bank 16,400 984
Premierwest Bancorp 8,400 134
Presidential Life 32,900 736
ProAssurance* 52,695 2,597
Prologis+ 9,800 559
Prosperity Bancshares 27,800 946
Provident Bankshares 25,200 934
Provident Financial Holdings 700 21
PS Business Parks+ (B) 64,600 3,895
Public Storage+ 45,100 3,878
Rainier Pacific Financial Group 34,726 632
RAIT Investment Trust+ 30,600 883
Regency Centers+ 41,100 2,826
RenaissanceRe Holdings 40,100 2,230
Republic Bancorp 110,900 1,478
Safety Insurance Group 4,000 195
Saul Centers+ 27,200 1,224
Security Capital Assurance* 57,600 1,380
Selective Insurance Group 10,500 552
Senior Housing Properties Trust+ 23,400 499
Shore Bancshares 3,900 112
Signature Bank (B)* 57,083 1,766
Simmons First National, Cl A 4,800 139
Simon Property Group+ (B) 116,300 10,539
South Financial Group 66,351 1,727
Southwest Bancorp 15,300 395
Spirit Finance+ 30,700 356
Sterling Financial, Pennsylvania Shares 12,325 271
Sterling Financial, Washington Shares 110,468 3,583
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Stewart Information Services 154,400 $ 5,369
Strategic Hotels & Resorts+ 105,300 2,093
Susquehanna Bancshares 51,800 1,266
Taylor Capital Group 53,700 1,587
Thomas Properties Group 59,200 761
TierOne 15,100 512
Tompkins Trustco 988 45
TradeStation Group (B)* 77,300 1,165
Trico Bancshares 6,800 168
UMB Financial 77,698 2,841
Umpqua Holdings 89,217 2,552
Unibail (France) (H) 14,298 3,001
United Bankshares 15,000 558
Ventas+ 105,400 4,062
Virginia Financial Group 4,950 136
Vornado Realty Trust+ (B) 53,100 5,788
Washington Federal 29,370 659
WesBanco 22,900 669
West Coast Bancorp 9,600 293
Winston Hotels+ 96,544 1,189
Wintrust Financial 35,900 1,800
World Acceptance (B)* 20,000 880
WR Berkley 61,837 2,188
WSFS Financial 19,089 1,187
Zenith National Insurance 64,750 2,583
-------------
322,800
-------------
HEALTH CARE -- 6.0%
Accelrys* 296,500 1,865
Albany Molecular Research* 37,600 352
Alpharma, Cl A 107,800 2,522
America Service Group* 62,200 809
AMN Healthcare Services* 135,800 3,225
Analogic 26,600 1,365
Applera - Celera Genomics Group* 188,200 2,620
Apria Healthcare Group* 29,100 574
Axcan Pharma* 104,347 1,425
Bio-Rad Laboratories, Cl A* 12,500 884
Biosite (B)* 2,000 93
Bradley Pharmaceuticals* 39,500 629
Cambrex 129,000 2,672
CNS 45,272 1,278
Community Health Systems* 61,800 2,308
Conmed (B)* 184,900 3,903
Cooper (B) 76,900 4,114
Cross Country Healthcare* 215,500 3,664
Datascope 53,200 1,781
Discovery Laboratories (B)* 157,200 335
DJO* 119,105 4,946
Enzon Pharmaceuticals* 58,100 479
Flamel Technologies ADR (B)* 44,000 825
Greatbatch (B)* 74,100 1,676
HealthTronics (B)* 86,500 534
- --------------------------------------------------------------------------------
84 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Hologic* 26,000 $ 1,132
Invacare 7,700 181
Magellan Health Services* 40,800 1,738
Medical Staffing Network Holdings* 169,300 1,053
Molecular Devices* 23,600 436
Myriad Genetics (B)* 104,300 2,571
National Dentex* 68,013 1,337
Neurocrine Biosciences (B)* 69,800 750
New River Pharmaceuticals (B)* 15,400 396
Orthofix International* 23,124 1,052
Owens & Minor 40,257 1,324
Per-Se Technologies (B)* 109,100 2,485
Perrigo (B) 37,000 628
Pharmacopeia Drug Discovery* 142,250 539
PolyMedica (B) 30,700 1,314
PRA International (B)* 46,286 1,235
Radiation Therapy Services (B)* 63,791 1,865
Res-Care (B)* 71,850 1,444
Sciele Pharma (B)* 56,700 1,068
Triad Hospitals* 23,438 1,032
Universal Health Services, Cl B 14,349 860
Viropharma* 51,300 624
Zoll Medical (B)* 29,200 1,048
--------------
70,990
--------------
INDUSTRIALS -- 13.0%
ABX Air* 600 3
ACCO Brands* 57,100 1,271
Accuride* 60,600 667
Acuity Brands 22,477 1,020
Adesa 123,700 2,859
AGCO (B)* 62,000 1,572
Alaska Air Group* 50,300 1,913
Albany International, Cl A 55,600 1,769
Amerco* 20,600 1,527
AO Smith (B) 82,300 3,245
Apogee Enterprises (B) 79,290 1,206
Applied Industrial Technologies 19,125 467
Arkansas Best (B) 16,300 701
Banta 35,434 1,687
Belden CDT 78,790 3,012
BlueLinx Holdings 48,700 464
Brink's 76,800 4,075
Builders FirstSource (B)* 61,200 932
CDI (B) 24,700 511
CIRCOR International 61,610 1,882
Clean Harbors (B)* 22,858 995
CNH Global 41,360 960
Commercial Vehicle Group* 73,900 1,423
Consolidated Graphics* 25,400 1,528
Copart* 62,800 1,770
Cubic 84,300 1,651
Deluxe 98,000 1,676
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Diamond Management & Technology Consultants* 215,600 $ 2,402
EnPro Industries (B)* 27,200 818
Federal Signal (B) 108,281 1,651
Flanders (B)* 191,770 1,642
Flowserve (B)* 39,300 1,988
Freightcar America 13,900 737
GATX 19,400 803
Goodman Global* 43,000 574
Granite Construction 28,600 1,526
Griffon (B)* 85,699 2,046
Grupo TMM ADR, Cl A* 190,100 551
Hudson Highland Group* 111,800 1,096
IKON Office Solutions (B) 112,700 1,515
Insituform Technologies, Cl A (B)* 49,844 1,210
John H. Harland (B) 85,200 3,106
K&F Industries Holdings* 56,800 1,067
Kadant* 76,695 1,884
Kansas City Southern* 157,608 4,304
Kaydon 135,930 5,032
Kirby* 58,000 1,817
Korn/Ferry International (B)* 91,900 1,924
Mesa Air Group (B)* 58,800 456
Milacron (B)* 427,835 376
Mueller Industries (B) 10,200 359
Navistar International (B)* 215,000 5,551
Orbital Sciences* 103,300 1,939
Pall 168,400 5,188
PAM Transportation Services* 15,700 393
PGT* 15,000 211
Pike Electric* 108,300 1,614
Power-One* 110,300 799
Regal-Beloit 28,000 1,218
Robbins & Myers 110,220 3,408
Ryder System 76,100 3,933
Saia* 9,200 300
School Specialty (B)* 65,856 2,324
Simpson Manufacturing (B) 35,700 965
Skywest (B) 33,800 829
Spherion* 103,600 741
Standard Parking* 5,100 160
TAL International Group 13,100 278
Tecumseh Products, Cl A (B)* 148,000 2,251
Teledyne Technologies* 97,383 3,856
Tetra Tech (B)* 264,610 4,609
United Rentals (B)* 18,700 435
United Stationers* 40,300 1,874
Universal Forest Products (B) 64,900 3,183
US Xpress Enterprises, Cl A* 41,200 954
Volt Information Sciences (B)* 1,900 68
Wabash National 159,500 2,184
Walter Industries (B) 15,300 653
Washington Group International* 72,400 4,261
Waste Connections* 69,900 2,650
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 85
SCHEDULE OF INVESTMENTS
Small Cap Value Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Waste Industries USA 7,900 $ 214
Watson Wyatt Worldwide, Cl A 289,828 11,860
WESCO International* 19,190 1,114
Woodward Governor 42,000 1,409
YRC Worldwide (B)* 25,900 959
-------------
152,055
-------------
INFORMATION TECHNOLOGY -- 15.4%
Actel* 106,200 1,651
ADC Telecommunications (B)* 40,900 614
Advanced Energy Industries* 105,800 1,803
Aeroflex* 239,239 2,459
Agilysys 40,400 567
Alliance Semiconductor* 326,000 1,095
Altiris* 84,200 1,776
Amkor Technology (B)* 121,600 627
Arris Group* 157,192 1,801
Aspen Technology (B)* 47,900 523
Asyst Technologies* 106,300 719
Avanex (B)* 457,800 792
Avnet* 101,320 1,988
Avocent* 60,286 1,816
BearingPoint (B)* 173,400 1,363
Bel Fuse, Cl B 8,000 257
BISYS Group (B)* 103,582 1,125
Black Box 76,772 2,988
Borland Software* 82,900 475
Brocade Communications Systems (B)* 879,700 6,211
CACI International, Cl A* 26,900 1,480
Ciber* 276,400 1,833
Coherent (B)* 75,509 2,617
Conexant Systems (B)* 96,200 192
CSG Systems International (B)* 180,200 4,763
CTS 44,000 606
Dycom Industries (B)* 174,500 3,752
Earthlink (B)* 704,800 5,124
Electronics for Imaging* 103,900 2,377
Emulex* 60,000 1,090
Entegris (B)* 70,700 771
Fairchild Semiconductor
International (B)* 130,200 2,435
Flir Systems (B)* 88,300 2,398
Foundry Networks* 252,600 3,322
Gevity HR 31,300 713
Global Imaging Systems* 53,400 1,179
Hyperion Solutions* 53,200 1,834
i2 Technologies (B)* 9,400 176
Imation 54,400 2,184
InFocus* 214,700 614
Keane* 194,800 2,807
Keynote Systems* 173,200 1,824
Komag (B)* 66,100 2,113
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Lawson Software* 783,800 $ 5,683
LeCroy* 40,400 557
Lightbridge* 29,800 349
Littelfuse (B)* 98,947 3,433
LoJack* 49,679 973
LTX (B)* 382,600 1,917
Magma Design Automation (B)* 127,600 1,161
Manhattan Associates* 157,400 3,800
Mattson Technology* 72,300 600
McData, Cl A* 127,600 642
Mentor Graphics* 78,700 1,108
Methode Electronics 98,200 934
Mettler Toledo International* 34,874 2,307
MKS Instruments (B)* 80,300 1,631
MTS Systems 34,100 1,103
ON Semiconductor* 106,400 626
Open Text* 100,400 1,797
Orbotech* 131,100 3,107
Palm (B)* 38,700 563
Parametric Technology* 164,627 2,874
Paxar* 76,698 1,532
Perot Systems, Cl A (B)* 118,908 1,640
Photronics (B)* 66,800 944
Plantronics (B) 41,682 731
Plexus* 11,700 225
PMC - Sierra (B)* 208,300 1,237
Polycom (B)* 174,500 4,280
PowerDsine* 154,500 1,469
Powerwave Technologies (B)* 170,379 1,295
Quantum (B)* 1,218,700 2,657
RADWARE* 64,300 873
RealNetworks (B)* 89,800 953
RF Micro Devices (B)* 105,500 800
Richardson Electronics 95,419 862
Seachange International* 243,000 2,160
Seagate Technology 94,684 2,186
Skyworks Solutions* 987,700 5,126
Solectron* 881,100 2,872
Standard Microsystems* 83,700 2,379
Startek 29,700 370
Sybase (B)* 126,996 3,078
SYNNEX* 42,000 966
Synopsys* 81,842 1,614
Technitrol 15,500 463
Tekelec (B)* 251,300 3,257
THQ (B)* 45,730 1,334
TIBCO Software* 872,600 7,836
Trident Microsystems (B)* 43,500 1,012
Ultratech (B)* 102,200 1,361
Unisys (B)* 603,100 3,414
United Online (B) 298,800 3,639
Utstarcom (B)* 254,000 2,253
Varian Semiconductor Equipment Associates* 23,900 877
- --------------------------------------------------------------------------------
86 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Veeco Instruments* 46,300 $ 933
Wavecom ADR (B)* 85,400 1,079
Zoran (B)* 37,400 601
Zygo* 58,000 740
-------------
181,067
-------------
MATERIALS -- 5.8%
Albemarle 37,900 2,059
Aptargroup 87,200 4,437
Arch Chemicals 62,540 1,779
Bemis 42,603 1,400
Buckeye Technologies* 60,000 510
Century Aluminum* 18,341 617
Constar International* 139,500 833
Crown Holdings (B)* 86,000 1,600
Cytec Industries 83,300 4,631
Ferro 60,636 1,078
FMC 28,571 1,831
Greif, Cl A 28,500 2,283
H.B. Fuller 33,800 792
Hercules* 280,900 4,430
MacDermid (B) 79,600 2,597
Metal Management 62,900 1,751
Myers Industries 48,600 826
Neenah Paper 52,992 1,814
NewMarket 22,600 1,314
NN 9,400 111
Olin 105,489 1,620
Olympic Steel 13,100 326
OM Group (B)* 77,600 3,410
PolyOne* 160,100 1,334
Quanex 123,650 3,753
Rock-Tenn, Cl A 95,200 1,885
Rockwood Holdings* 25,700 513
Ryerson 38,300 838
Schnitzer Steel Industries, Cl A 81,900 2,583
Schweitzer-Mauduit International 61,050 1,159
Sensient Technologies 80,300 1,571
Silgan Holdings 91,600 3,440
Spartech 76,900 2,059
Steel Dynamics 32,900 1,660
Texas Industries (B) 91,700 4,774
Wellman (B) 68,200 272
-------------
67,890
-------------
TELECOMMUNICATION SERVICES -- 0.6%
Atlantic Tele-Network 4,900 91
Centennial Communications* 30,500 163
Commonwealth Telephone Enterprises (B) 29,165 1,202
Golden Telecom 33,900 1,026
IDT* 58,500 827
IDT, Cl B (B)* 59,600 859
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Orckit Communications* 137,000 $ 1,197
Syniverse Holdings* 52,600 789
USA Mobility 58,900 1,345
-------------
7,499
-------------
UTILITIES -- 3.8%
AGL Resources 69,192 2,526
Allete (B) 37,000 1,608
Avista (B) 63,300 1,499
Black Hills 46,900 1,576
Cascade Natural Gas 44,255 1,155
CenterPoint Energy (B) 227,900 3,264
Cleco 30,900 780
CMS Energy (B)* 215,100 3,106
El Paso Electric 69,335 1,548
Empire District Electric (B) 50,787 1,137
Idacorp 37,996 1,437
ITC Holdings (B) 26,000 811
Laclede Group 46,600 1,495
New Jersey Resources 60,500 2,983
Oneok 16,900 639
Ormat Technologies 31,000 1,014
PNM Resources (B) 94,500 2,605
Portland General Electric 81,000 1,977
SEMCO Energy (B)* 165,100 931
Southern Union 136,300 3,600
Southwest Gas 40,500 1,349
UIL Holdings 40,333 1,512
Unisource Energy 23,200 773
Westar Energy 111,305 2,617
WGL Holdings (B) 50,676 1,588
Wisconsin Energy 28,705 1,238
-------------
44,768
-------------
Total Common Stock
(Cost $960,550) ($ Thousands) 1,123,231
-------------
EXCHANGE TRADED FUNDS (B) -- 0.4%
iShares Russell 2000 Index Fund 63,052 4,540
iShares S&P SmallCap 600 Value Index Fund 3,580 250
-------------
Total Exchange Traded Funds
(Cost $4,206) ($ Thousands) 4,790
-------------
Number of
Warrants
-----------
WARRANTS -- 0.0%
Washington Mutual (D)* 373,442 42
-------------
Total Warrants
(Cost $54) ($ Thousands) 42
-------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 87
SCHEDULE OF INVESTMENTS
Small Cap Value Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS (C) -- 14.2%
FINANCIALS -- 14.2%
Allstate Life Global Funding II
MTN (F) (G)
5.370%, 10/16/06 $ 2,543 $ 2,543
American General Finance (F) (G)
5.360%, 10/16/06 8,015 8,014
Bear Stearns EXL (F)
5.370%, 10/16/06 9,839 9,839
Countrywide Financial MTN (F)
5.448%, 12/27/06 3,316 3,316
Countrywide Financial MTN, Ser A (F)
5.548%, 11/03/06 5,804 5,804
Dekabank (F) (G)
5.490%, 10/19/06 10,225 10,225
Glitner Banki (F) (G)
5.380%, 10/10/06 8,291 8,291
Irish Life & Permanent MTN,
Ser X (F) (G)
5.370%, 10/23/06 7,351 7,351
Islandsbanki (F) (G)
5.380%, 10/23/06 4,698 4,698
Jackson National Life Funding (F) (G)
5.330%, 10/02/06 12,160 12,160
Kaupthing Bank MTN (F) (G)
5.390%, 10/20/06 13,818 13,818
Lakeside Funding (F)
5.330%, 10/10/06 3,304 3,304
Landsbanki Islands (F) (G)
5.410%, 10/16/06 10,502 10,502
Morgan Stanley EXL (F)
5.390%, 10/04/06 1,934 1,934
Morgan Stanley EXL, Ser S (F)
5.350%, 10/03/06 2,764 2,764
Natexis Banques (F) (G)
5.310%, 10/16/06 5,389 5,388
Nationwide Building Society (F) (G)
5.424%, 12/28/06 3,040 3,040
5.360%, 10/10/06 5,527 5,527
Nordbank (F) (G)
5.360%, 10/23/06 9,396 9,395
Northern Rock (F) (G)
5.370%, 10/03/06 5,693 5,693
Pacific Life Global Funding (F) (G)
5.380%, 10/13/06 4,145 4,145
Premium Asset Trust,
Ser 2004-10 (F) (G)
5.370%, 10/16/06 7,738 7,738
SLM EXL, Ser S (F) (G)
5.330%, 10/16/06 6,080 6,080
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Sigma Finance MTN (G)
4.745%, 11/09/06 $ 2,985 $ 2,985
Skandinav Enskilda Bank (F) (G)
5.320%, 10/18/06 6,080 6,080
Stanfield Victoria MTN (F) (G)
5.445%, 06/11/07 5,527 5,527
-------------
Total Corporate Obligations
(Cost $166,161) ($ Thousands) 166,161
-------------
COMMERCIAL PAPER (C) (E) -- 4.2%
Broadhollow Funding
5.502%, 10/02/06 11,055 11,051
Citius I Funding
5.313%, 10/17/06 2,764 2,757
Elysian Funding LLC
5.427%, 11/27/06 4,961 4,918
5.401%, 11/20/06 4,436 4,402
5.390%, 11/06/06 5,527 5,498
Georgetown Funding
5.349%, 10/24/06 1,423 1,418
Mica Funding LLC
5.299%, 10/12/06 5,527 5,517
Ocala Funding
5.321%, 10/20/06 2,764 2,755
5.318%, 10/10/06 6,302 6,293
Rhineland Funding Capital
5.470%, 10/12/06 2,764 2,759
5.378%, 12/12/06 1,819 1,800
-------------
Total Commercial Paper
(Cost $49,168) ($ Thousands) 49,168
-------------
ASSET-BACKED SECURITIES (C) (F) (G) -- 2.2%
MORTGAGE RELATED SECURITIES -- 2.2%
Cheyne High Grade, Ser 2004-1A,
Cl AM1
5.466%, 11/10/06 2,764 2,764
Commodore, Ser 2003-2A, Cl A1MM
5.470%, 12/12/06 2,543 2,543
Duke Funding, Ser 2004-6B, Cl A1S1
5.577%, 10/10/06 4,145 4,145
Newcastle CDO, Ser 2005-6A, Cl IM1
5.350%, 10/24/06 1,105 1,105
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl AM6
5.360%, 10/25/06 2,456 2,456
Saturn Ventures II
5.390%, 10/10/06 4,451 4,451
- --------------------------------------------------------------------------------
88 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
TIAA Real Estate CDO, Ser 2003 1A,
Cl A1MM
5.354%, 10/30/06 $ 4,110 $ 4,110
Whitehawk CDO Funding, Ser 2004-1A
5.340%, 10/16/06 4,770 4,770
-------------
Total Asset-Backed Securities
(Cost $26,344) ($ Thousands) 26,344
-------------
CASH EQUIVALENTS -- 4.1%
Merrill Lynch EBP Master,
5.220%** 1,203,642 1,204
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.330%**++ 46,757,818 46,758
-------------
Total Cash Equivalents
(Cost $47,962) ($ Thousands) 47,962
-------------
MASTER NOTE (C) -- 1.2%
Bank of America
5.445%, 10/02/06 13,818 13,818
-------------
Total Master Note
(Cost $13,818) ($ Thousands) 13,818
-------------
CERTIFICATES OF DEPOSIT (C) -- 0.9%
Barclays Bank (F)
5.440%, 06/11/07 2,764 2,764
CC USA MTN (G)
5.520%, 06/18/07 5,527 5,527
U.S. Trust of New York (F)
5.370%, 10/13/06 2,211 2,211
-------------
Total Certificates of Deposit
(Cost $10,502) ($ Thousands) 10,502
-------------
U.S. TREASURY OBLIGATION (A) (E) -- 0.1%
U.S. Treasury Bill
5.010%, 11/24/06 1,197 1,189
-------------
Total U.S. Treasury Obligation
(Cost $1,188) ($ Thousands) 1,189
-------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS (C) (I) -- 2.8%
Barclays
5.350%, dated 09/29/06, to be
repurchased on 10/02/06,
repurchase price $7,681,695
(collateralized by a U.S.
Government Obligation, par
value $7,333,480, 6.000%,
05/15/11; with total market
value $7,831,888) $ 7,678 $ 7,678
Deutsche Bank
5.330%, dated 09/29,06, to be
repurchased on 10/02/06,
repurchase price $11,059,464
(collateralized by various
U.S. Government Obligations,
ranging in par value $95,622-
$3,235,281, 3.750%-5.300%,
02/21/08-04/25/14; with total
market value $11,275,679) 11,055 11,055
Lehman Brothers
5.330%, dated 09/29/06, to be
repurchased on 10/02/06,
repurchase price $13,824,329
(collateralized by various
U.S. Government Obligations,
ranging in par value $954,008-
$1,700,190, 2.500%-5.705%,
01/30/07-05/18/16; with total
market value $14,094,712) 13,818 13,818
-------------
Total Repurchase Agreements
(Cost $32,551) ($ Thousands) 32,551
-------------
Total Investments -- 125.7%
(Cost $1,312,504) ($ Thousands) $ 1,475,758
=============
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 89
SCHEDULE OF INVESTMENTS
Small Cap Value Fund (Concluded)
September 30, 2006
Futures -- A summary of the open futures contracts held by the Fund at September
30, 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 E-MINI 435 Dec-2006 $742
====
Percentages are based on Net Assets of $1,174,471 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of September 30, 2006.
+++ Narrow industries are utilized for compliance purposes, whereas broad
sectors are utilized for reporting.
+ Real Estate Investment Trust.
++ Pursuant to an exemptive order issued by the Securities and Exchange
Commission, the Fund may invest in the SEI money market funds, provided
that investments in the money market funds do not exceed 25% of the Fund's
total assets.
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(B) This security or a partial position of this security is on loan at
September 30, 2006 (see Note 7). The total value of securities on loan at
September 30, 2006 was $284,278 ($ Thousands).
(C) This security was purchased with cash collateral held from securities on
loan (see Note 7). The total value of such securities as of September 30,
2006 was $298,544 ($ 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 Schedule of Investments
is the rate in effect as of September 30, 2006. The date reported on the
Schedule of Investments is the next reset date.
(G) This security was sold within the terms of a 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." These securities have been
determined to be liquid under guidelines established by the Board of
Trustees.
(H) This security is traded on a foreign stock exchange. The total value of
such securities as of September 30, 2006 was $5,780 and represents 0.49%
of Net Assets.
(I) Tri-Party Repurchase Agreement.
ADR -- American Depository Receipt
CDO -- Collateralized Debt Obligation
Cl -- Class
EXL -- Extendable Maturity
LLC -- Limited Liability Company
MTN -- Medium Term Note
NIM -- Net Interest Margin
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
90 SEI Institutional Managed Trust / Annual Report / September 30, 2006
Small Cap Growth Fund
September 30, 2006
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS# (UNAUDITED):
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
28.2% Financials
21.0% Information Technology
12.7% Health Care
10.3% Consumer Discretionary
9.8% Industrials
5.8% Energy
5.2% Short-Term Investments
2.3% Materials
2.2% Asset-Backed Securities
1.0% Consumer Staples
1.0% Telecommunication Services
0.4% Utilities
0.1% U.S. Treasury Obligation
0.0% Warrants
#Percentages based on total investments. Includes investments held as collateral
for securities on loan (see Note 7).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 96.4%+++
CONSUMER DISCRETIONARY -- 13.8%
Ambassadors Group 7,500 $ 212
Bally Technologies (B)* 8,800 155
BJ's Restaurants* 4,500 99
BJ's Restaurants (D) (G)* 85,800 1,888
Blount International (B)* 135,200 1,355
Blue Nile (B)* 41,200 1,498
Bright Horizons Family Solutions* 15,137 632
Brown Shoe 67,200 2,408
Carter's (B)* 66,800 1,763
Charlotte Russe Holding* 27,500 757
Charming Shoppes (B)* 226,700 3,237
Chipotle Mexican Grill, Cl A (B)* 41,300 2,051
Coach* 114,800 3,949
Conn's (B)* 24,600 513
Cosi* 108,621 582
CROCS (B)* 129,800 4,407
CSK Auto* 224,900 3,171
Ctrip.com International ADR (B)* 36,225 1,628
Deckers Outdoor (B)* 22,300 1,055
Dick's Sporting Goods (B)* 14,769 672
Directed Electronics* 14,900 225
Dover Downs Gaming & Entertainment 40,950 498
Dress Barn (B)* 123,700 2,699
Eddie Bauer Holdings* 323,600 3,479
Focus Media Holding ADR* 18,196 1,054
FTD Group* 17,300 267
Gaiam, Cl A* 142,300 1,837
GameStop, Cl A (B)* 56,400 2,610
Gildan Activewear* 59,500 2,883
Golf Galaxy (B)* 45,400 590
Gray Television 375,000 2,404
GSI Commerce* 217,946 3,234
Guess?* 49,250 2,390
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Guitar Center* 59,500 $ 2,659
Gymboree* 133,755 5,642
Hibbett Sporting Goods (B)* 157,039 4,111
HOT Topic (B)* 194,350 2,165
Interface, Cl A* 50,900 656
INVESTools* 28,800 306
Jack in the Box (B)* 49,700 2,593
Jackson Hewitt Tax Service 28,400 852
Laureate Education* 30,685 1,469
Life Time Fitness (B)* 44,100 2,041
Lin TV, Cl A (B)* 211,500 1,646
LKQ (B)* 93,555 2,055
Lodgenet Entertainment* 41,000 774
Maidenform Brands* 43,900 847
Marvel Entertainment (B)* 211,950 5,117
McCormick & Schmick's Seafood
Restaurants* 96,600 2,173
Meritage Homes (B)* 40,800 1,698
Monarch Casino & Resort* 29,800 578
NetFlix (B)* 1,400 32
New Oriental Education &
Technology Group* 6,157 149
Nutri/System (B)* 81,170 5,056
Outdoor Channel Holdings* 151,500 1,650
Pantry (B)* 81,050 4,569
PetMed Express* 59,800 624
PF Chang's China Bistro* 12,604 438
Phillips-Van Heusen 60,415 2,524
Pool (B) 23,349 899
Priceline.com (B)* 87,245 3,210
Quiksilver (B)* 479,000 5,820
RCN* 75,500 2,137
Red Robin Gourmet Burgers (B)* 40,005 1,845
Regis 38,100 1,366
Select Comfort (B)* 75,100 1,643
Shutterfly* 54,800 852
Sonic (B)* 160,565 3,630
Sotheby's Holdings, Cl A (B)* 54,880 1,769
Stamps.com (B)* 9,900 189
Standard-Pacific 68,000 1,598
Strayer Education 7,700 833
Tempur-Pedic International* 24,700 424
Tenneco* 37,100 868
Texas Roadhouse, Cl A* 47,104 578
Timberland, Cl A* 90,300 2,598
Tractor Supply* 32,600 1,573
Tupperware Brands 28,600 557
Tween Brands (B)* 55,100 2,072
Under Armour, Cl A (B)* 123,420 4,939
VistaPrint (B)* 60,347 1,565
Volcom* 50,300 1,134
WMS Industries* 60,100 1,756
Yankee Candle (B) 92,500 2,708
--------------
155,189
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 91
SCHEDULE OF INVESTMENTS
Small Cap Growth Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CONSUMER STAPLES -- 1.3%
Chattem (B)* 48,500 $ 1,703
Hain Celestial Group* 53,245 1,361
Lance 89,500 1,971
Longs Drug Stores 36,500 1,679
Manatech 20,300 360
MGP Ingredients (B) 33,400 710
NBTY* 154,200 4,514
Spartan Stores 47,200 798
United Natural Foods (B)* 46,530 1,442
--------------
14,538
--------------
ENERGY -- 7.7%
Allis-Chalmers Energy* 33,600 492
Arlington Tankers 92,500 2,087
Atwood Oceanics* 49,400 2,222
BA Energy (Canada) (I) (J)* 145,000 1,235
Basic Energy Services* 199,400 4,865
Bronco Drilling (B)* 143,200 2,518
Cabot Oil & Gas 45,800 2,195
Callon Petroleum (B)* 30,800 418
CanWest Petroleum (B)* 471,700 2,005
CARBO Ceramics (B) 46,000 1,657
Clayton Williams Energy (B)* 31,200 945
Complete Production Services* 171,400 3,383
Compton Petroleum (Canada) (J)* 80,000 800
Comstock Resources* 81,600 2,215
Core Laboratories* 22,350 1,426
Delek US Holdings* 68,100 1,260
Denbury Resources* 29,302 847
Dril-Quip (B)* 31,830 2,154
Encore Acquisition* 113,000 2,750
Evergreen Energy* 147,000 1,545
EXCO Resources* 63,353 786
Foundation Coal Holdings 52,000 1,683
Helix Energy Solutions Group (B)* 46,626 1,557
Hercules Offshore (B)* 109,000 3,384
Hydril (B)* 24,600 1,379
Infinity Bio-Energy (I)* 484,123 2,701
Input/Output (B)* 230,100 2,285
Lufkin Industries 2,700 143
Maritrans 77,300 2,829
Matrix Service (B)* 54,700 716
North American Oil Sands (Canada)
(D) (G) (I) (J)* 300,000 3,227
Natural Gas Services Group (B)* 99,900 1,289
NS Group* 19,780 1,277
Rentech (B)* 576,500 2,669
SEACOR Holdings* 35,300 2,912
St. Mary Land & Exploration (B) 35,600 1,307
Superior Energy Services* 48,180 1,265
Synenco Energy (Canada) (D) (G) (H) (J)* 37,852 513
Synenco Energy (Canada) (J)* 31,600 428
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Synenco Energy, Cl A (Canada) (J)* 124,100 $ 1,681
Tetra Technologies (B)* 63,239 1,528
Union Drilling* 99,300 1,092
Vaalco Energy (B)* 314,900 2,261
VeraSun Energy (B)* 158,600 2,546
Veritas DGC* 26,175 1,723
W-H Energy Services (B)* 56,326 2,336
Western Refining 82,800 1,924
World Fuel Services 56,365 2,280
--------------
86,740
--------------
FINANCIALS -- 11.0%
Acadia Realty Trust+ 97,500 2,486
Accredited Home Lenders Holding* 61,600 2,214
Advance America Cash Advance
Centers 31,700 457
Affiliated Managers Group (B)* 39,086 3,913
American Equity Investment Life
Holding (B) 78,600 964
American Home Mortgage
Investment+ (B) 86,700 3,023
Amerisafe* 135,400 1,327
Asta Funding 33,200 1,245
Bank of the Ozarks (B) 13,300 450
Bankunited Financial, Cl A 45,335 1,182
Calamos Asset Management, Cl A 20,400 598
Canaccord Capital (Canada) (J) 173,700 2,662
Cascade Bancorp (B) 23,550 884
Cash America International 19,500 762
Center Financial 51,000 1,213
Cohen & Steers (B) 52,100 1,686
CompuCredit (B)* 55,100 1,665
Corus Bankshares (B) 78,500 1,755
Cowen Group* 83,364 1,318
Delphi Financial Group, Cl A (B) 72,625 2,896
DiamondRock Hospitality+ 127,600 2,119
Dollar Financial* 90,800 1,981
Dundee (Canada) + (J) 79,000 2,449
Dundee Wealth Management (Canada) (J) 196,991 2,119
Ezcorp, Cl A (B)* 37,100 1,435
Federated Investors, Cl B (B) 53,000 1,792
FelCor Lodging Trust+ 130,100 2,609
First Cash Financial Services (B)* 150,900 3,107
First Regional Bancorp* 15,600 531
First Republic Bank 63,700 2,711
FirstFed Financial (B)* 32,600 1,849
Glacier Bancorp 42,312 1,446
Gluskin Sheff + Associates
(Canada) (J)* 36,300 488
Gluskin Sheff + Associates
(Canada) (H) (J)* 105,000 1,413
Greenhill (B) 70,200 4,705
Grubb & Ellis Realty Advisors* 354,300 2,321
- --------------------------------------------------------------------------------
92 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Hanmi Financial 6,800 $ 133
HCC Insurance Holdings 77,400 2,545
Hersha Hospitality Trust+ 269,900 2,591
Highbury Financial* 49,400 276
Highbury Financial Units* 123,000 898
Intervest Bancshares (B)* 14,400 627
Investment Technology Group* 92,110 4,122
Kansas City Life Insurance 27,400 1,248
Medical Properties Trust+ 169,000 2,263
MFA Mortgage Investments+ (B) 275,000 2,049
Midwest Banc Holdings (B) 82,600 2,017
Move* 479,300 2,353
Nara Bancorp 55,000 1,006
Nasdaq Stock Market* 94,500 2,858
NorthStar Realty Finance+ 31,800 404
optionsXpress Holdings* 17,300 482
PFF Bancorp 64,960 2,406
Platinum Underwriters Holdings 74,860 2,308
Portfolio Recovery Associates (B)* 74,000 3,246
Preferred Bank 9,800 588
Premierwest Bancorp 6,195 99
RAIT Investment Trust+ 78,400 2,262
Sierra Bancorp 2,000 63
Signature Bank (B)* 57,500 1,778
Smithtown Bancorp (B) 8,400 227
Sterling Financial, Washington Shares 34,800 1,129
Strategic Hotels & Resorts+ 112,200 2,231
SVB Financial Group (B)* 107,100 4,781
Thomas Weisel Partners Group (B)* 160,300 2,573
Tower Group 53,350 1,779
TradeStation Group* 79,300 1,195
UCBH Holdings 49,500 864
United Fire & Casualty 52,200 1,634
United PanAm Financial* 41,200 638
Vineyard National Bancorp 26,000 675
Wilshire Bancorp 46,800 891
World Acceptance (B)* 18,700 822
--------------
123,836
--------------
HEALTH CARE -- 16.9%
Adams Respiratory Therapeutics (B)* 11,577 424
Affymetrix (B)* 195,776 4,221
Alexion Pharmaceuticals* 11,272 383
Align Technology (B)* 113,000 1,286
Alkermes* 327,022 5,183
Alliance Imaging* 305,600 2,387
Alnylam Pharmaceuticals (B)* 50,777 732
Alpharma, Cl A (B) 78,100 1,827
American Medical Systems Holdings* 30,591 564
AMN Healthcare Services* 64,750 1,538
Amsurg (B)* 105,500 2,348
Anadys Pharmaceuticals* 42,100 122
Applera - Celera Genomics Group* 140,300 1,953
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Arena Pharmaceuticals (B)* 93,900 $ 1,125
Ariad Pharmaceuticals (B)* 407,900 1,778
Array Biopharma* 255,300 2,175
Arthrocare (B)* 47,785 2,239
Aspreva Pharmaceuticals* 45,180 1,172
BioMarin Pharmaceuticals* 31,570 449
Biosite (B)* 82,000 3,791
Candela* 81,100 885
Caraco Pharmaceutical Laboratories* 14,400 146
Cardiome Pharma* 67,200 776
Cell Genesys (B)* 390,600 1,785
Cephalon (B)* 147,400 9,102
Chemed 10,200 329
Coley Pharmaceutical Group (B)* 25,800 295
Combinatorx (B)* 56,000 349
Conceptus (B)* 121,300 2,146
Conor Medsystems (B)* 58,300 1,374
Cubist Pharmaceuticals (B)* 328,785 7,148
Cutera* 34,714 923
CV Therapeutics (B)* 626,100 6,975
Cyberonics (B)* 40,700 713
Cynosure* 80,216 1,163
Cypress Bioscience* 67,087 490
deCODE genetics* 78,400 431
Digene (B)* 117,590 5,074
Diversa* 36,500 293
DJO (B)* 26,759 1,111
Emisphere Technologies (B)* 67,700 572
Encysive Pharmaceuticals (B)* 384,500 1,653
Endo Pharmaceuticals Holdings* 87,200 2,838
Enzon Pharmaceuticals* 77,900 643
Exelixis* 318,921 2,778
Five Star Quality Care* 160,100 1,723
Greatbatch (B)* 73,300 1,658
Haemonetics* 10,674 500
HealthTronics (B)* 68,300 421
Healthways (B)* 31,460 1,403
Hologic (B)* 42,600 1,854
Home Diagnostics* 138,600 1,814
Human Genome Sciences (B)* 258,002 2,977
ICOS* 32,100 804
Illumina (B)* 43,947 1,452
Immucor* 111,172 2,491
Incyte (B)* 446,600 1,889
InterMune (B)* 18,879 310
inVentiv Health (B)* 84,465 2,705
Ista Pharmaceuticals (B)* 219,200 1,300
Kendle International* 38,145 1,221
Keryx Biopharmaceuticals (B)* 120,900 1,430
KV Pharmaceutical, Cl A (B)* 21,200 502
Kyphon (B)* 40,900 1,530
Lifecell (B)* 44,946 1,448
Luminex* 37,900 691
Medarex (B)* 638,100 6,853
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 93
SCHEDULE OF INVESTMENTS
Small Cap Growth Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Medicines* 19,788 $ 446
Medicis Pharmaceutical, Cl A 10,098 327
Mentor 39,400 1,985
MGI Pharma (B)* 126,300 2,174
Micrus Endovascular* 145,500 1,887
Molecular Devices* 51,500 952
Myogen* 20,607 723
Myriad Genetics (B)* 81,130 2,000
Nastech Pharmaceutical (B)* 189,700 2,895
Nektar Therapeutics (B)* 57,000 821
Neurocrine Biosciences (B)* 10,100 109
New River Pharmaceuticals (B)* 24,400 628
Noven Pharmaceuticals* 23,500 567
NuVasive (B)* 28,192 567
Odyssey HealthCare* 208,900 2,962
Option Care (B) 20,300 272
OraSure Technologies (B)* 88,200 709
OSI Pharmaceuticals (B)* 6,600 248
Pain Therapeutics (B)* 167,400 1,443
Palomar Medical Technologies (B)* 17,800 751
Par Pharmaceutical* 60,400 1,102
PDL BioPharma (B)* 116,600 2,239
Penwest Pharmaceuticals (B)* 24,365 406
Phase Forward* 71,228 850
PolyMedica 69,200 2,962
Progenics Pharmaceuticals* 29,500 692
PSS World Medical* 112,495 2,249
Psychiatric Solutions* 81,970 2,794
Quidel* 9,400 133
Regeneron Pharmaceuticals (B)* 51,600 810
Renovis* 12,100 167
Rigel Pharmaceuticals (B)* 132,300 1,359
Salix Pharmaceuticals* 8,100 110
Sciele Pharma (B)* 92,700 1,746
Senomyx* 30,132 463
Somanetics* 18,513 370
SurModics (B)* 61,551 2,162
Symbion (B)* 128,900 2,367
Taro Pharmaceuticals Industries* 151,800 2,019
Telik* 314,200 5,590
Tercica (B)* 174,800 932
Theravance* 19,283 521
Trimeris* 41,600 366
United Surgical Partners
International (B)* 17,500 435
United Therapeutics* 91,744 4,820
Valeant Pharmaceuticals
International (B) 18,139 359
Ventana Medical Systems (B)* 41,837 1,708
Viropharma* 61,600 750
West Pharmaceutical Services 77,185 3,031
Xenoport* 7,300 149
Zoll Medical (B)* 18,100 650
--------------
189,442
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
INDUSTRIALS -- 13.0%
ABX Air (B)* 115,900 $ 651
Abyara Planejamento Imobilia (Brazil) (J)* 30,000 359
Active Power (B)* 187,000 468
Advisory Board* 68,424 3,457
Amerco* 27,200 2,017
American Commercial Lines (B)* 47,200 2,806
American Reprographics* 36,405 1,167
American Science & Engineering (B)* 30,500 1,480
American Woodmark (B) 63,200 2,129
Apogee Enterprises 57,193 870
Applied Industrial Technologies 25,800 630
Aries Maritime Transport 163,500 1,700
Armor Holdings (B)* 37,600 2,156
Atlas Air Worldwide Holdings* 14,000 609
Badger Meter (B) 26,231 661
Basin Water (B)* 90,900 744
BE Aerospace (B)* 130,000 2,742
Builders FirstSource (B)* 69,900 1,065
Ceradyne (B)* 52,550 2,159
Chart Industries* 42,400 522
Chicago Bridge & Iron 31,863 767
Coinstar* 20,144 580
Comfort Systems USA 29,200 335
COMSYS IT Partners* 32,000 550
Consolidated Graphics* 39,900 2,401
Continental Airlines, Cl B (B)* 114,770 3,249
CRA International* 33,433 1,593
Dynamic Materials (B) 82,900 2,688
DynCorp International, Cl A (B)* 122,200 1,539
ESCO Technologies (B)* 43,700 2,012
ExpressJet Holdings* 60,800 402
Freightcar America (B) 40,800 2,162
Gardner Denver* 107,861 3,568
General Cable* 133,427 5,098
Genlyte Group* 38,410 2,735
GrafTech International (B)* 410,300 2,396
Granite Construction 39,800 2,123
Grupo Aeroportuario del Sureste ADR 66,500 2,481
H&E Equipment Services (B)* 67,400 1,644
Heico 30,358 882
Herman Miller (B) 83,200 2,846
Hexcel (B)* 113,200 1,602
HUB Group, Cl A (B)* 122,645 2,794
ICT Group* 11,000 346
IHS, Cl A* 20,912 671
Innerworkings* 42,466 499
Insteel Industries 44,400 882
JLG Industries 147,500 2,922
John H. Harland (B) 45,000 1,640
Kenexa (B)* 95,309 2,404
Kennametal 17,499 991
Kforce* 33,200 396
Knight Transportation 114,925 1,948
- --------------------------------------------------------------------------------
94 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Knoll 204,331 $ 4,128
Labor Ready* 51,400 819
Lamson & Sessions (B)* 188,905 4,500
Lincoln Electric Holdings 60,700 3,305
McGrath Rentcorp 17,200 440
Navigant Consulting* 68,200 1,368
NCI Building Systems (B)* 132,030 7,680
Nordson 15,000 598
PAM Transportation Services* 17,500 439
PW Eagle (B)* 47,500 1,425
Quanta Services* 81,860 1,380
Railpower Technologies (Canada) (H) (J)* 185,700 296
Railpower Technologies (Canada) (H) (J)* 244,900 391
RBC Bearings* 59,365 1,434
Regal-Beloit 43,035 1,872
Sherritt International (Canada) (J)* 222,600 1,945
Simpson Manufacturing (B) 91,200 2,465
Standard Parking* 12,200 383
Sun Hydraulics 35,300 724
Superior Essex* 41,870 1,434
TAL International Group 149,400 3,169
Taleo, Cl A* 71,581 724
Terex* 50,600 2,288
United Industrial 34,400 1,840
United Rentals (B)* 85,700 1,993
Universal Forest Products (B) 49,300 2,418
Universal Truckload Services* 41,400 1,075
Wabtec 79,660 2,161
Waste Industries USA 5,300 143
Watson Wyatt Worldwide, Cl A 49,530 2,027
WESCO International (B)* 22,700 1,317
Williams Scotsman International* 121,670 2,599
--------------
146,318
--------------
INFORMATION TECHNOLOGY -- 27.9%
24/7 Real Media (B)* 361,200 3,085
Adaptec* 636,100 2,805
Advanced Energy Industries* 161,900 2,759
Advent Software* 57,000 2,064
Aeroflex* 50,500 519
Akamai Technologies* 69,600 3,479
Altera (B)* 546,000 10,036
Amkor Technology (B)* 194,700 1,005
Anadigics* 91,210 653
Ansoft* 36,691 914
aQuantive (B)* 191,400 4,521
Arris Group* 205,300 2,353
Art Technology Group (B)* 327,338 838
Aspen Technology (B)* 143,675 1,569
Asyst Technologies* 344,300 2,327
ATMI (B)* 57,399 1,669
Avid Technology (B)* 21,937 799
BISYS Group* 53,400 580
Blackbaud 107,094 2,355
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Brightpoint (B)* 87,853 $ 1,249
Brooks Automation (B)* 377,700 4,929
CNET Networks (B)* 399,700 3,829
Cogent (B)* 216,600 2,974
CommScope* 101,015 3,319
Commvault Systems (B)* 120,100 2,162
Comtech Group (B)* 96,930 1,451
Concur Technologies (B)* 44,587 649
Covansys* 12,000 206
CPI International* 8,100 107
Cree (B)* 135,000 2,715
CSG Systems International (B)* 121,300 3,206
Cymer (B)* 100,259 4,402
DealerTrack Holdings* 17,575 389
Digimarc* 205,800 1,595
Digital Insight (B)* 92,000 2,697
Digital River (B)* 15,600 797
Diodes (B)* 88,398 3,816
Eagle Test Systems* 32,300 534
EFJ* 166,300 1,234
Emergis (Canada) (J)* 285,800 1,371
Emulex* 92,700 1,684
Euronet Worldwide (B)* 111,000 2,725
F5 Networks* 16,714 898
Factset Research Systems 29,200 1,418
Finisar (B)* 497,200 1,805
Formfactor* 41,825 1,762
Harmonic* 90,400 664
Heartland Payment Systems (B)* 21,200 551
Hittite Microwave (B)* 30,080 1,339
Hutchinson Technology (B)* 146,500 3,081
i2 Technologies (B)* 141,574 2,652
i2 Technologies* 4,229 79
Imation 67,500 2,710
Immersion* 582,200 4,163
Informatica (B)* 217,300 2,953
infoUSA 77,900 647
Interdigital Communications (B)* 110,600 3,771
Internap Network Services (B)* 47,758 727
International DisplayWorks (B)* 447,600 2,851
Intevac* 71,825 1,207
Itron (B)* 76,235 4,254
IXYS* 13,300 112
j2 Global Communications (B)* 57,475 1,562
JDA Software Group* 174,900 2,697
Jupitermedia (B)* 505,800 4,380
Kemet* 128,555 1,037
Knot* 48,100 1,064
Komag (B)* 86,100 2,752
Lattice Semiconductor* 1,090,000 7,434
Lightbridge* 73,400 860
Lionbridge Technologies* 444,500 3,392
Liquidity Services* 15,200 237
Littelfuse* 38,600 1,339
LoJack (B)* 54,500 1,068
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 95
SCHEDULE OF INVESTMENTS
Small Cap Growth Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
LoopNet* 62,086 $ 786
LTX* 157,600 790
Marchex, Cl B (B)* 363,952 5,583
Mastec* 167,800 1,858
Mattson Technology* 79,500 660
MAXIMUS 61,000 1,592
Mentor Graphics* 47,400 667
Micrel (B)* 93,600 898
Micros Systems (B)* 28,750 1,406
Microsemi (B)* 142,602 2,688
MicroStrategy, Cl A (B)* 32,300 3,289
MTS Systems 30,400 983
Net 1 UEPS Technologies* 36,287 830
Netlogic Microsystems (B)* 95,606 2,426
Nuance Communications (B)* 413,160 3,376
Omnivision Technologies (B)* 181,500 2,590
ON Semiconductor (B)* 479,300 2,818
Online Resources* 65,219 799
Opsware (B)* 117,500 1,059
OPTI (Canada) (J)* 207,000 3,321
OSI Systems (B)* 139,000 2,724
Packeteer* 42,200 363
Parametric Technology* 35,100 613
Parkervision (B)* 223,000 1,621
Perot Systems, Cl A* 52,600 725
Pixelworks* 553,050 1,632
Plexus* 49,800 956
PLX Technology* 328,499 3,407
PMC - Sierra (B)* 248,500 1,476
Polycom (B)* 546,800 13,413
Powerwave Technologies* 114,100 867
Presstek (B)* 145,529 784
Quality Systems (B)* 17,683 686
Rackable Systems (B)* 163,763 4,482
Radyne* 75,900 929
RealNetworks (B)* 255,700 2,713
Redback Networks (B)* 32,800 455
RF Micro Devices (B)* 819,700 6,213
Rudolph Technologies* 124,300 2,278
SAVVIS (B)* 28,000 798
Seachange International (B)* 227,500 2,023
Secure Computing* 60,400 382
Sigma Designs (B)* 46,420 694
Sina (B)* 10,143 255
Sirenza Microdevices* 39,300 310
Sirf Technology Holdings (B)* 85,100 2,042
Skyworks Solutions* 543,300 2,820
Solectron* 983,400 3,206
Spatialight (B)* 267,200 558
Spatialight (D) (G)* 100,000 209
Spatialight PIPE (I)* 8,667 16
Spatialight PIPE (I)* 110,000 207
STATS ChipPAC ADR (B)* 164,082 986
Stratasys (B)* 41,845 1,105
SYKES Enterprises* 95,985 1,953
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Symmetricom (B)* 221,300 $ 1,786
Synaptics* 15,400 375
Tessera Technologies (B)* 52,300 1,819
THQ (B)* 194,513 5,674
TIBCO Software* 237,900 2,136
Trident Microsystems (B)* 224,190 5,215
Triquint Semiconductor (B)* 921,800 4,793
TTM Technologies* 62,100 727
Ultra Clean Holdings* 164,200 1,754
United Online 185,600 2,261
Valueclick* 75,980 1,409
Varian Semiconductor Equipment
Associates (B)* 87,061 3,195
Vasco Data Security International (B)* 71,881 745
Veeco Instruments* 66,700 1,344
VeriFone Holdings (B)* 200,205 5,716
Verigy Ltd* 21,000 341
WebEx Communications (B)* 101,524 3,961
Websense* 66,700 1,441
Wind River Systems* 495,000 5,301
Wright Express (B)* 126,865 3,052
--------------
313,201
--------------
MATERIALS -- 3.0%
ADA-ES (B)* 24,300 316
AK Steel Holding* 165,000 2,003
Brush Engineered Materials* 53,575 1,332
Carpenter Technology (B) 23,600 2,537
Cleveland-Cliffs (B) 85,400 3,255
First Quantum Minerals (Canada) (J) 67,400 3,156
Grande Cache Coal (Canada) (J)* 429,000 377
Greif, Cl A 21,275 1,704
Hercules* 169,700 2,676
Myers Industries 12,800 218
Oregon Steel Mills* 600 29
Reliance Steel & Aluminum 52,765 1,696
Schnitzer Steel Industries, Cl A 83,200 2,624
Steel Dynamics 37,200 1,877
Symyx Technologies (B)* 118,300 2,507
TAC Acquisition* 354,500 2,240
Texas Industries (B) 61,000 3,176
Wheeling-Pittsburgh* 123,500 2,113
--------------
33,836
--------------
TELECOMMUNICATION SERVICES -- 1.3%
Cbeyond (B)* 45,832 1,258
Centennial Communications* 89,900 479
Fairpoint Communications 253,000 4,402
NeuStar, Cl A* 27,591 766
SBA Communications, Cl A (B)* 208,628 5,076
Syniverse Holdings* 99,500 1,492
Time Warner Telecom, Cl A (B)* 45,328 862
--------------
14,335
--------------
- --------------------------------------------------------------------------------
96 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
UTILITIES -- 0.5%
New Jersey Resources 33,200 $ 1,637
Ormat Technologies 121,800 3,985
--------------
5,622
--------------
Total Common Stock
(Cost $1,039,447) ($ Thousands) 1,083,057
--------------
Number of
Warrants
-----------
WARRANTS -- 0.0%
Infinity Bio-Energy,
Expires 05/23/10 (I)* 968,246 561
Parkervision (D) (G) (I)* 17,500 33
--------------
Total Warrants
(Cost $502) ($ Thousands) 594
--------------
CORPORATE OBLIGATIONS (C) -- 18.3%
FINANCIALS -- 18.3%
Allstate Life Global Funding II
MTN (F) (H)
5.370%, 10/16/06 $ 3,143 3,143
American General Finance (F) (H)
5.360%, 10/16/06 9,907 9,906
Bear Stearns EXL (F)
5.370%, 10/16/06 12,162 12,162
Countrywide Financial MTN (F)
5.448%, 12/27/06 4,099 4,099
Countrywide Financial MTN, Ser A (F)
5.548%, 11/03/06 7,174 7,174
Dekabank (F) (H)
5.490%, 10/19/06 12,640 12,639
Glitner Banki (F) (H)
5.380%, 10/10/06 10,249 10,249
Irish Life & Permanent MTN,
Ser X (F) (H)
5.370%, 10/23/06 9,087 9,086
Islandsbanki (F) (H)
5.380%, 10/23/06 5,808 5,808
Jackson National Life Funding (F) (H)
5.330%, 10/02/06 15,031 15,031
Kaupthing Bank MTN (F) (H)
5.390%, 10/20/06 17,081 17,081
Lakeside Funding (F)
5.330%, 10/10/06 4,085 4,085
Landsbanki Islands (F) (H)
5.410%, 10/16/06 12,982 12,982
Morgan Stanley EXL (F)
5.390%, 10/04/06 2,391 2,391
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Morgan Stanley EXL, Ser S (F)
5.350%, 10/03/06 $ 3,416 $ 3,416
Natexis Banques (F) (H)
5.310%, 10/16/06 6,662 6,661
Nationwide Building Society (F) (H)
5.424%, 12/28/06 3,758 3,758
5.360%, 10/10/06 6,832 6,832
Nordbank (F) (H)
5.360%, 10/23/06 11,615 11,614
Northern Rock (F) (H)
5.370%, 10/03/06 7,037 7,037
Pacific Life Global Funding (F) (H)
5.380%, 10/13/06 5,124 5,124
Premium Asset Trust,
Ser 2004-10 (F) (H)
5.370%, 10/16/06 9,565 9,565
SLM EXL, Ser S (F) (H)
5.330%, 10/16/06 7,516 7,516
Sigma Finance MTN (H)
4.745%, 11/09/06 3,690 3,690
Skandinav Enskilda Bank (F) (H)
5.320%, 10/18/06 7,516 7,515
Stanfield Victoria MTN (F) (H)
5.445%, 06/11/07 6,832 6,832
--------------
Total Corporate Obligations
(Cost $205,396) ($ Thousands) 205,396
--------------
COMMERCIAL PAPER (C) (E) -- 5.4%
Broadhollow Funding
5.502%, 10/02/06 13,665 13,660
Citius I Funding
5.313%, 10/17/06 3,416 3,408
Elysian Funding LLC
5.427%, 11/27/06 6,132 6,079
5.401%, 11/20/06 5,483 5,441
5.390%, 11/06/06 6,832 6,795
Georgetown Funding
5.349%, 10/24/06 1,759 1,753
Mica Funding LLC
5.299%, 10/12/06 6,832 6,820
Ocala Funding
5.321%, 10/20/06 3,416 3,406
5.318%, 10/10/06 7,791 7,779
Rhineland Funding Capital
5.470%, 10/12/06 3,416 3,410
5.378%, 12/12/06 2,249 2,225
--------------
Total Commercial Paper
(Cost $60,777) ($ Thousands) 60,776
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 97
SCHEDULE OF INVESTMENTS
Small Cap Growth Fund (Concluded)
September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES (C) (F) (H) -- 2.9%
MORTGAGE RELATED SECURITIES -- 2.9%
Cheyne High Grade, Ser 2004-1A, Cl AM1
5.466%, 11/10/06 $ 3,416 $ 3,416
Commodore, Ser 2003-2A, Cl A1MM
5.470%, 12/12/06 3,143 3,143
Duke Funding, Ser 2004-6B, Cl A1S1
5.577%, 10/10/06 5,124 5,124
Newcastle CDO, Ser 2005-6A, Cl IM1
5.350%, 10/24/06 1,366 1,366
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl AM6
5.360%, 10/25/06 3,036 3,036
Saturn Ventures II
5.390%, 10/10/06 5,502 5,502
TIAA Real Estate CDO, Ser 2003 1A, Cl A1MM
5.354%, 10/30/06 5,081 5,081
Whitehawk CDO Funding, Ser 2004-1A
5.340%, 10/16/06 5,897 5,897
--------------
Total Asset-Backed Securities
(Cost $32,565) ($ Thousands) 32,565
--------------
CASH EQUIVALENTS -- 3.3%
Merrill Lynch EBP Master
5.220%** 4,602,287 4,602
SEI Daily Income Trust, Prime Obligation
Fund, Cl A, 32,332,861 32,333
5.330%**++ --------------
Total Cash Equivalents
(Cost $36,935) ($ Thousands) 36,935
--------------
MASTER NOTE (C) -- 1.5%
Bank of America
5.445%, 10/02/06 17,081 17,081
--------------
Total Master Note
(Cost $17,081) ($ Thousands) 17,081
--------------
CERTIFICATES OF DEPOSIT (C) -- 1.2%
Barclays Bank (F)
5.440%, 06/11/07 3,416 3,416
CC USA MTN (H)
5.520%, 06/18/07 6,833 6,833
U.S. Trust of New York (F)
5.370%, 10/13/06 2,733 2,733
--------------
Total Certificates of Deposit
(Cost $12,982) ($ Thousands) 12,982
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATION (A) (E) -- 0.2%
U.S. Treasury Bill
4.983%, 11/24/06 $ 2,290 $ 2,274
--------------
Total U.S. Treasury Obligation
(Cost $2,273) ($ Thousands) 2,274
--------------
REPURCHASE AGREEMENTS (C) (K) -- 3.6%
Barclays
5.350%, dated 09/29/06, to be
repurchased on 10/02/06,
repurchase price $9,495,502
(collateralized by a U.S.
Government Obligation, par
value $9,065,066, 6.000%,
05/15/11; with total market
value $9,681,158) 9,491 9,491
Deutsche Bank
5.330%, dated 09/29,06, to be
repurchased on 10/02/06,
repurchase price $13,670,831
(collateralized by various
U.S. Government Obligations,
ranging in par value $118,200-
$3,999,197, 3.750%-5.300%,
02/21/08-04/25/14; with total
market value $13,938,100) 13,665 13,665
Lehman Brothers
5.330%, dated 09/29/06, to be
repurchased on 10/02/06,
repurchase price $17,088,952
(collateralized by various
U.S. Government Obligations,
ranging in par value $1,179,269-
$2,101,640, 2.500%-5.705%,
01/30/07-05/18/16; with total
market value $17,422,765) 17,081 17,081
--------------
Total Repurchase Agreements
(Cost $40,237) ($ Thousands) 40,237
--------------
Total Investments -- 132.8%
(Cost $1,448,195) ($ Thousands) $ 1,491,897
==============
- --------------------------------------------------------------------------------
98 SEI Institutional Managed Trust / Annual Report / September 30, 2006
Futures -- A summary of the open futures contracts held by the Fund at September
30, 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 E-MINI 312 Dec-2006 $533
====
Percentages are based on Net Assets of $1,123,239 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of September 30, 2006.
+++ Narrow industries are utilized for compliance purposes, whereas broad
sectors are utilized for reporting.
+ Real Estate Investment Trust.
++ Pursuant to an exemptive order issued by the Securities and Exchange
Commission, the Fund may invest in the SEI money market funds, provided
that investments in the money market funds do not exceed 25% of the Fund's
total assets.
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(B) This security or a partial position of this security is on loan at
September 30, 2006 (see Note 7). The total value of securities on loan at
September 30, 2006 was $352,968 ($ Thousands).
(C) This security was purchased with cash collateral held from securities on
loan (see Note 7). The total value of such securities as of September 30,
2006 was $369,037 ($ Thousands).
(D) This security considered restricted. The total value of such securities as
of September 30, 2006 was $5,870 ($ thousands) and represented 0.52% of
Net Assets.
(E) The rate reported is the effective yield at time of purchase.
(F) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of September 30, 2006. The date reported on the
Schedule of Investments is the next reset date.
(G) Securities considered illiquid. The total value of such securities as of
September 30, 2006 was $5,870 ($Thousands) and represents 0.52% of Net
Assets.
(H) This security was sold within the terms of a private placement memorandum,
exempt from registration under Section 3A-4, 4(2) or 144A of the
Securities Act of 1933, as amended, and may be sold only to dealers in
that program or other "accredited investors." These securities have been
determined to be liquid under guidelines established by the Board of
Trustees.
(I) Security fair valued using methods determined in good faith by the
Valuation Committee of the Board of Trustees. The total value of such
securities as of September 30, 2006 was $7,980 ($ Thousands) and
represented 0.71% of Net Assets.
(J) This security is traded on a foreign stock exchange. The total value of
such securities as of September 30, 2006 was $28,231 and represents 2.51%
of Net Assets.
(K) Tri-Party Repurchase Agreement.
ADR -- American Depository Receipt
CDO -- Collateralized Debt Obligation
Cl -- Class
EXL -- Extendable Maturity
LLC -- Limited Liability Company
MTN -- Medium Term Note
NIM -- Net Interest Margin
PIPE -- Private Investment, Public Entity
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 99
SCHEDULE OF INVESTMENTS
Mid-Cap Fund
September 30, 2006
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS# (UNAUDITED):
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
24.9% Financials
14.4% Information Technology
13.4% Consumer Discretionary
10.1% Health Care
9.9% Industrials
6.8% Materials
5.5% Utilities
4.9% Energy
4.6% Consumer Staples
3.7% Short-Term Investments
1.0% Asset-Backed Securities
0.7% Telecommunication Services
0.1% U.S. Treasury Obligation
#Percentages based on total investments. Includes investments held as collateral
for securities on loan (see Note 7).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 97.1%
CONSUMER DISCRETIONARY -- 15.0%
Abercrombie & Fitch, Cl A 2,700 $ 188
AnnTaylor Stores (B)* 19,600 820
Brinker International 26,000 1,042
Darden Restaurants 21,800 926
Dollar Tree Stores (B)* 33,200 1,028
EchoStar Communications, Cl A (B)* 32,300 1,058
Goodyear Tire & Rubber (B)* 14,300 207
Harley-Davidson 21,300 1,337
J.C. Penney 6,300 431
Jarden* 11,600 382
Liberty Media Holding-Capital, Ser A* 4,800 401
MGM Mirage* 27,300 1,078
Nordstrom 4,500 190
Office Depot* 33,600 1,334
OfficeMax 22,500 917
Rent-A-Center (B)* 12,150 356
TRW Automotive Holdings* 26,800 645
Whirlpool 13,900 1,169
--------------
13,509
--------------
CONSUMER STAPLES -- 5.1%
HJ Heinz 10,600 445
Hormel Foods 1,300 47
Kroger 63,800 1,476
Loews - Carolina 19,100 1,058
Pepsi Bottling Group 44,800 1,590
--------------
4,616
--------------
ENERGY -- 5.5%
Plains Exploration & Production (B)* 26,600 1,141
SEACOR Holdings* 13,400 1,106
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
St. Mary Land & Exploration 22,800 $ 837
Sunoco 2,200 137
Tesoro 6,500 377
Tidewater 11,000 486
Unit* 18,200 837
W&T Offshore 2,000 58
--------------
4,979
--------------
FINANCIALS -- 18.2%
American Financial Group 34,000 1,596
AmeriCredit (B)* 5,100 127
Apartment Investment & Management, Cl A 1,000 54
Assurant 6,400 342
Bank of Hawaii 18,500 891
CapitalSource+ 44,100 1,139
CB Richard Ellis Group, Cl A* 16,900 416
CNA Financial* 16,900 609
Comerica 18,600 1,059
Cullen/Frost Bankers 12,900 746
E*Trade Financial* 22,800 545
East West Bancorp 19,800 784
Hospitality Properties Trust+ (B) 34,200 1,614
Host Hotels & Resorts+ 37,800 867
Investment Technology Group* 20,400 913
iStar Financial+ (B) 28,700 1,197
Nationwide Financial Services, Cl A 30,700 1,477
New Century Financial+ (B) 24,100 947
Philadelphia Consolidated Holding* 11,200 445
WR Berkley 17,550 621
--------------
16,389
--------------
HEALTH CARE -- 11.4%
Advanced Medical Optics* 18,100 716
Applera - Applied Biosystems Group 8,800 291
Celgene (B)* 12,300 533
Cephalon (B)* 5,300 327
Cerner (B)* 6,200 281
Community Health Systems* 14,500 541
Coventry Health Care* 4,700 242
Cytyc* 32,800 803
Dade Behring Holdings 17,000 683
Emdeon* 87,100 1,020
Endo Pharmaceuticals Holdings* 14,700 478
Hospira* 1,900 73
Kinetic Concepts* 17,000 535
King Pharmaceuticals* 50,200 855
McKesson 20,800 1,097
Mylan Laboratories 10,000 201
PDL BioPharma (B)* 12,600 242
Sierra Health Services* 23,000 870
- --------------------------------------------------------------------------------
100 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Techne (B)* 5,400 $ 275
WellCare Health Plans* 3,600 204
--------------
10,267
--------------
INDUSTRIALS -- 11.1%
American Standard 23,200 974
Carlisle 4,200 353
Continental Airlines, Cl B* 29,800 844
CSX 10,400 341
Cummins 13,400 1,598
Eaton 8,600 592
Flowserve* 10,300 521
Parker Hannifin 14,500 1,127
Republic Services 23,600 949
Roper Industries 8,600 385
RR Donnelley & Sons 5,100 168
Ryder System 18,600 961
Swift Transportation* 10,000 237
Thomas & Betts* 11,300 539
Timken 11,100 331
WESCO International* 2,400 139
--------------
10,059
--------------
INFORMATION TECHNOLOGY -- 16.2%
Amphenol, Cl A 2,800 173
Autodesk* 7,700 268
AVX 7,100 126
BMC Software (B)* 62,600 1,704
Cadence Design Systems (B)* 25,900 439
Ceridian* 54,000 1,207
Computer Sciences* 22,600 1,110
Fair Isaac 24,300 889
Freescale Semiconductor, Cl B* 40,200 1,528
Global Payments 8,900 392
Harris 21,500 957
Lam Research (B)* 25,000 1,133
Lexmark International, Cl A (B)* 18,200 1,049
LSI Logic (B)* 71,200 585
MEMC Electronic Materials* 11,400 418
Mettler Toledo International* 17,100 1,131
National Semiconductor 19,800 466
Teradyne* 23,100 304
Western Digital* 38,200 691
--------------
14,570
--------------
MATERIALS -- 7.6%
Albemarle 4,900 266
Celanese, Ser A 45,500 815
Eagle Materials (B) 26,300 886
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FMC 23,500 $ 1,506
Lyondell Chemical 21,200 538
Martin Marietta Materials 17,900 1,515
Phelps Dodge 3,500 296
Temple-Inland 22,500 902
United States Steel 2,400 138
--------------
6,862
--------------
TELECOMMUNICATION SERVICES -- 0.8%
Leap Wireless International* 11,300 548
Qwest Communications International* 19,900 174
--------------
722
--------------
UTILITIES -- 6.2%
AES* 59,200 1,207
Alliant Energy 27,500 982
National Fuel Gas 21,200 771
Pepco Holdings 49,400 1,194
PG&E (B) 23,600 983
PPL 14,000 461
--------------
5,598
--------------
Total Common Stock
(Cost $79,695) ($ Thousands) 87,571
--------------
CORPORATE OBLIGATIONS (C) -- 6.8%
FINANCIALS -- 6.8%
Allstate Life Global Funding II
MTN (E) (F)
5.370%, 10/16/06 $ 94 94
American General Finance (E) (F)
5.360%, 10/16/06 296 296
Bear Stearns EXL (E)
5.370%, 10/16/06 364 364
Countrywide Financial MTN (E)
5.448%, 12/27/06 123 123
Countrywide Financial MTN,
Ser A (E)
5.548%, 11/03/06 215 215
Dekabank (E) (F)
5.490%, 10/19/06 378 378
Glitner Banki (E) (F)
5.380%, 10/10/06 306 306
Irish Life & Permanent MTN,
Ser X (E) (F)
5.370%, 10/23/06 272 272
Islandsbanki (E) (F)
5.380%, 10/23/06 174 174
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 101
SCHEDULE OF INVESTMENTS
Mid-Cap Fund (Concluded)
September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Jackson National Life Funding (E) (F)
5.330%, 10/02/06 $ 450 $ 450
Kaupthing Bank MTN (E) (F)
5.390%, 10/20/06 511 511
Lakeside Funding (E)
5.330%, 10/10/06 122 122
Landsbanki Islands (E) (F)
5.410%, 10/16/06 388 388
Morgan Stanley EXL (E)
5.390%, 10/04/06 72 72
Morgan Stanley EXL, Ser S (E)
5.350%, 10/03/06 102 102
Natexis Banques (E) (F)
5.310%, 10/16/06 199 199
Nationwide Building Society (E) (F)
5.424%, 12/28/06 112 112
5.360%, 10/10/06 204 204
Nordbank (E) (F)
5.360%, 10/23/06 347 347
Northern Rock (E) (F)
5.370%, 10/03/06 210 210
Pacific Life Global Funding (E) (F)
5.380%, 10/13/06 153 153
Premium Asset Trust,
Ser 2004-10 (E) (F)
5.370%, 10/16/06 286 286
SLM EXL, Ser S (E) (F)
5.330%, 10/16/06 225 225
Sigma Finance MTN (F)
4.745%, 11/09/06 110 110
Skandinav Enskilda Bank (E) (F)
5.320%, 10/18/06 225 225
Stanfield Victoria MTN (E) (F)
5.445%, 06/11/07 204 204
--------------
Total Corporate Obligations
(Cost $6,142) ($ Thousands) 6,142
--------------
COMMERCIAL PAPER (C) (D) -- 2.0%
Broadhollow Funding
5.502%, 10/02/06 409 408
Citius I Funding
5.313%, 10/17/06 102 102
Elysian Funding LLC
5.427%, 11/27/06 183 182
5.401%, 11/20/06 164 163
5.390%, 11/06/06 204 203
Georgetown Funding
5.349%, 10/24/06 53 52
Mica Funding LLC
5.299%, 10/12/06 204 204
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
Ocala Funding
5.321%, 10/20/06 $ 102 $ 102
5.318%, 10/10/06 233 233
Rhineland Funding Capital
5.470%, 10/12/06 102 102
5.378%, 12/12/06 67 66
--------------
Total Commercial Paper
(Cost $1,817) ($ Thousands) 1,817
--------------
ASSET-BACKED SECURITIES (C) (E) (F) -- 1.1%
MORTGAGE RELATED SECURITIES -- 1.1%
Cheyne High Grade, Ser 2004-1A, Cl AM1
5.466%, 11/10/06 102 102
Commodore, Ser 2003-2A, Cl A1MM
5.470%, 12/12/06 94 94
Duke Funding, Ser 2004-6B, Cl A1S1
5.577%, 10/10/06 153 153
Newcastle CDO, Ser 2005-6A, Cl IM1
5.350%, 10/24/06 41 41
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl AM6
5.360%, 10/25/06 91 91
Saturn Ventures II
5.390%, 10/10/06 165 165
TIAA Real Estate CDO, Ser 2003 1A,
Cl A1MM
5.354%, 10/30/06 152 152
Whitehawk CDO Funding, Ser 2004-1A
5.340%, 10/16/06 176 176
--------------
Total Asset-Backed Securities
(Cost $974) ($ Thousands) 974
--------------
CASH EQUIVALENT -- 2.8%
SEI Daily Income Trust,
Prime Obligation Fund, Cl A,
5.330%**++ 2,521,409 2,521
--------------
Total Cash Equivalent
(Cost $2,521) ($ Thousands) 2,521
--------------
MASTER NOTE (C) -- 0.6%
Bank of America
5.445%, 10/02/06 511 511
--------------
Total Master Note
(Cost $511) ($ Thousands) 511
--------------
- --------------------------------------------------------------------------------
102 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT (C) -- 0.4%
Barclays Bank (E)
5.440%, 06/11/07 $ 102 $ 102
CC USA MTN (F)
5.520%, 06/18/07 204 204
U.S. Trust of New York (E)
5.370%, 10/13/06 82 82
--------------
Total Certificates of Deposit
(Cost $388) ($ Thousands) 388
--------------
U.S. TREASURY OBLIGATION (A) (D) -- 0.1%
U.S. Treasury Bill
4.892%, 12/14/06 100 99
--------------
Total U.S. Treasury Obligation
(Cost $99) ($ Thousands) 99
--------------
REPURCHASE AGREEMENTS (C) (G) -- 1.3%
Barclays
5.350%, dated 09/29/06, to be
repurchased on 10/02/06, repurchase
price $283,961 (collateralized by a
U.S. Government Obligation, par value
$271,089, 6.000%, 05/15/11; with
total market value $289,513) 284 284
Deutsche Bank
5.330%, dated 09/29,06, to be
repurchased on 10/02/06, repurchase
price $408,823 (collateralized by
various U.S. Government Obligations,
ranging in par value $3,535-$119,595,
3.750%-5.300%, 02/21/08-04/25/14;
with total market value $416,815) 409 409
Lehman Brothers
5.330%, dated 09/29/06, to be
repurchased on 10/02/06, repurchase
price $511,028 (collateralized by
various U.S. Government Obligations,
ranging in par value $35,266-$62,849,
2.500%-5.705%, 01/30/07-05/18/16;
with total market value $521,023) 511 511
--------------
Total Repurchase Agreements
(Cost $1,204) ($ Thousands) 1,204
--------------
Total Investments -- 112.2%
(Cost $93,351) ($ Thousands) $ 101,227
==============
Futures -- A summary of the open futures contracts held by the Fund at September
30, 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 400 Index E-MINI 32 Dec-2006 $(4)
===
Percentages are based on Net Assets of $90,208 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of September 30, 2006.
+ Real Estate Investment Trust.
++ Pursuant to an exemptive order issued by the Securities and Exchange
Commission, the Fund may invest in the SEI money market funds, provided
that investments in the money market funds do not exceed 25% of the Fund's
total assets.
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(B) This security or a partial position of this security is on loan at
September 30, 2006 (see Note 7). The total value of securities on loan at
September 30, 2006 was $10,618 ($ Thousands).
(C) This security was purchased with cash collateral held from securities on
loan (see Note 7). The total value of such securities as of September 30,
2006 was $11,036 ($ Thousands).
(D) The rate reported is the effective yield at time of purchase.
(E) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of September 30, 2006. The date reported on the
Schedule of Investments is the next reset date.
(F) This security was sold within the terms of a private placement memorandum,
exempt from registration under Section 3A-4, 4(2) or 144A of the
Securities Act of 1933, as amended, and may be sold only to dealers in
that program or other "accredited investors." These securities have been
determined to be liquid under guidelines established by the Board of
Trustees.
(G) Tri-Party Repurchase Agreement.
CDO -- Collateralized Debt Obligation
Cl -- Class
EXL -- Extendable Maturity
LLC -- Limited Liability Company
MTN -- Medium Term Note
NIM -- Net Interest Margin
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 103
SCHEDULE OF INVESTMENTS
U.S. Managed Volatility Fund
September 30, 2006
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS# (UNAUDITED):
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
19.8% Financials
14.0% Consumer Staples
12.1% Health Care
10.8% Utilities
9.5% Short-Term Investments
7.7% Industrials
6.4% Information Technology
5.8% Consumer Discretionary
5.0% Energy
4.5% Telecommunication Services
3.9% Materials
0.5% U.S. Treasury Obligation
#Percentages based on total investments.
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 89.5%
CONSUMER DISCRETIONARY -- 5.8%
Autoliv 22,000 $ 1,212
Belo, Cl A 16,100 255
Choice Hotels International 14,800 605
Clear Channel Outdoor Holdings, Cl A* 11,403 233
Dillard's, Cl A 29,600 969
DIRECTV Group* 63,400 1,248
Gildan Activewear* 10,700 519
Harte-Hanks 28,900 761
Hearst-Argyle Television 31,170 715
ITT Educational Services* 16,200 1,074
J.C. Penney 16,300 1,115
John Wiley & Sons, Cl A 16,800 605
Lamar Advertising, Cl A* 21,600 1,154
Pacific Sunwear of California* 24,700 372
Panera Bread, Cl A* 8,400 489
Polaris Industries 13,300 547
Shaw Communications, Cl B 37,000 1,111
TRW Automotive Holdings* 36,600 881
Valassis Communications* 12,800 226
Washington Post, Cl B 2,528 1,863
Weight Watchers International 21,700 962
Yum! Brands 12,300 640
--------------
17,556
--------------
CONSUMER STAPLES -- 13.9%
Anheuser-Busch 95,569 4,540
Brown-Forman, Cl B 44,767 3,431
Church & Dwight 23,700 927
Clorox 11,500 725
Coca-Cola Enterprises 90,678 1,889
Colgate-Palmolive 1,916 119
Costco Wholesale 24,278 1,206
Dean Foods* 90,963 3,822
General Mills 32,332 1,830
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Hershey 31,872 $ 1,704
HJ Heinz 14,100 591
Hormel Foods 121,926 4,387
JM Smucker 20,900 1,002
Kellogg 69,730 3,453
Kimberly-Clark 11,762 769
Loews - Carolina 19,775 1,095
McCormick 73,407 2,788
Pepsi Bottling Group 73,743 2,618
PepsiAmericas 106,958 2,283
PepsiCo 11,393 744
Smithfield Foods* 88,393 2,388
--------------
42,311
--------------
ENERGY -- 4.9%
Cameco 33,200 1,214
Chevron 54,831 3,556
Enbridge 37,300 1,204
Exxon Mobil 50,207 3,369
Holly 19,100 828
Imperial Oil 28,800 966
Murphy Oil 25,457 1,210
Nexen 12,600 674
Teekay Shipping 23,900 983
Transcanada 31,400 987
--------------
14,991
--------------
FINANCIALS -- 19.7%
Alleghany* 3,029 875
American Financial Group 46,181 2,167
American National Insurance 3,510 407
AvalonBay Communities+ 16,548 1,992
BancorpSouth 34,700 963
BOK Financial 40,832 2,148
Brookfield Asset Management 27,900 1,237
Cincinnati Financial 89,355 4,294
CNA Financial* 75,399 2,716
Commerce Bancshares 63,353 3,204
Credicorp 26,300 1,104
East West Bancorp 23,200 919
Erie Indemnity, Cl A 21,668 1,135
Federal Realty Investment Trust+ 17,035 1,266
Federated Investors, Cl B 34,400 1,163
Fidelity National Title Group, Cl A 6,155 129
First Citizens Bancshares, Cl A 6,429 1,229
Fulton Financial 69,400 1,124
Jones Lang LaSalle 11,200 957
Liberty Property Trust+ 45,590 2,179
Loews 88,729 3,363
Mack-Cali Realty+ 24,814 1,285
Markel* 9,016 3,702
Mercury General 51,278 2,544
- --------------------------------------------------------------------------------
104 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
PMI Group 20,200 $ 885
Reinsurance Group of America 61,438 3,190
RenaissanceRe Holdings 22,400 1,245
Safeco 58,553 3,451
Stancorp Financial Group 20,000 893
Student Loan 609 117
Transatlantic Holdings 5,759 348
Unitrin 6,156 272
Valley National Bancorp 44,700 1,143
Ventas+ 5,657 218
Washington Federal 7,829 176
Washington Mutual 25,481 1,108
Webster Financial 71,132 3,351
Wesco Financial 614 268
Whitney Holding 24,600 880
--------------
59,647
--------------
HEALTH CARE -- 12.0%
Alcon 10,800 1,237
AmerisourceBergen 45,309 2,048
Barr Pharmaceuticals* 12,200 634
Cardinal Health 24,528 1,612
Celgene* 18,200 788
Charles River Laboratories International* 25,900 1,124
Community Health Systems* 74,912 2,798
Dade Behring Holdings 9,000 361
Dentsply International 32,600 982
Edwards Lifesciences* 22,700 1,058
Emdeon* 97,000 1,136
Endo Pharmaceuticals Holdings* 32,500 1,058
Henry Schein* 67,900 3,404
Hillenbrand Industries 67,542 3,849
Hologic* 15,200 661
Idexx Laboratories* 11,883 1,083
ImClone Systems* 9,000 255
Johnson & Johnson 8,462 550
King Pharmaceuticals* 55,900 952
Laboratory of America Holdings* 17,000 1,115
McKesson 23,900 1,260
Medco Health Solutions* 30,790 1,851
Merck 6,900 289
Patterson* 29,700 998
Quest Diagnostics 4,200 257
Schering-Plough 61,500 1,359
Techne* 13,100 666
Triad Hospitals* 20,600 907
VCA Antech* 29,900 1,078
WellPoint* 13,751 1,059
--------------
36,429
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
INDUSTRIALS -- 7.7%
Alexander & Baldwin 8,700 $ 386
Alliant Techsystems* 24,052 1,950
Amerco* 6,200 460
CH Robinson Worldwide 26,100 1,163
Dun & Bradstreet* 40,448 3,033
GATX 12,500 517
Granite Construction 19,900 1,062
JetBlue Airways* 49,500 459
Landstar System 21,000 897
Lincoln Electric Holdings 16,700 909
Northrop Grumman 49,466 3,367
Pitney Bowes 77,156 3,423
Republic Services 44,359 1,784
Robert Half International 3,600 122
Union Pacific 15,900 1,399
UTI Worldwide 18,900 529
Waste Management 25,098 921
West* 19,238 929
--------------
23,310
--------------
INFORMATION TECHNOLOGY -- 6.4%
Acxiom 39,800 981
Adtran 20,900 498
Affiliated Computer Services, Cl A* 14,400 747
ATI Technologies* 24,500 526
Electronic Data Systems 708 17
Factset Research Systems 20,100 976
Fair Isaac 28,500 1,042
Flir Systems* 16,200 440
Freescale Semiconductor, Cl B* 37,400 1,422
Harris 10,200 454
Hewitt Associates, Cl A* 7,500 182
Ingram Micro, Cl A* 118,339 2,267
Lexmark International, Cl A* 16,600 957
MoneyGram International 33,800 982
Qualcomm 12,000 436
Silicon Laboratories* 17,800 552
Sybase* 44,700 1,084
Tech Data* 61,196 2,236
Tektronix 10,500 304
Total System Services 49,100 1,121
Xerox* 80,600 1,254
Zebra Technologies, Cl A* 26,100 933
--------------
19,411
--------------
MATERIALS -- 3.9%
Agrium 30,900 834
Bemis 34,100 1,121
Eagle Materials 19,400 653
Martin Marietta Materials 12,000 1,015
Methanex 45,900 1,117
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 105
SCHEDULE OF INVESTMENTS
U.S. Managed Volatility Fund (Concluded)
September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Newmont Mining 35,398 $ 1,513
Nova Chemicals 32,800 1,007
Packaging of America 42,500 986
Pactiv* 37,400 1,063
Steel Dynamics 23,700 1,196
Valhi 4,676 109
Vulcan Materials 15,100 1,182
--------------
11,796
--------------
TELECOMMUNICATION SERVICES -- 4.4%
BCE 51,500 1,395
CenturyTel 24,500 972
Citizens Communications 65,500 919
Embarq 9,969 482
Leap Wireless International* 6,537 317
Telephone & Data Systems 107,435 4,523
US Cellular* 56,882 3,396
Verizon Communications 37,700 1,400
--------------
13,404
--------------
UTILITIES -- 10.8%
AGL Resources 29,600 1,080
Alliant Energy 26,600 950
Ameren 17,013 898
Atmos Energy 19,921 569
Consolidated Edison 22,500 1,040
Constellation Energy Group 13,700 811
DPL 36,100 979
DTE Energy 25,400 1,054
Edison International 28,700 1,195
Energen 23,400 980
Energy East 39,300 932
Entergy 5,526 432
Great Plains Energy 32,100 996
Hawaiian Electric Industries 79,158 2,142
MDU Resources Group 52,600 1,175
National Fuel Gas 26,991 981
NSTAR 35,800 1,194
OGE Energy 81,854 2,956
Pepco Holdings 44,000 1,064
PG&E 23,500 979
Puget Energy 110,489 2,511
SCANA 57,297 2,307
TECO Energy 59,700 934
TXU 22,400 1,401
Vectren 43,307 1,163
Westar Energy 40,900 962
Wisconsin Energy 22,600 975
--------------
32,660
--------------
Total Common Stock
(Cost $255,193) ($ Thousands) 271,515
--------------
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CASH EQUIVALENT -- 9.4%
SEI Daily Income Trust,
Prime Obligation Fund, Cl A,
5.330%**++ 28,596,572 $ 28,597
--------------
Total Cash Equivalent
(Cost $28,597) ($ Thousands) 28,597
--------------
U.S. TREASURY OBLIGATION (A) -- 0.5%
U.S. Treasury Bill
4.982%, 11/24/06 $ 1,601 1,590
--------------
Total U.S. Treasury Obligation
(Cost $1,589) ($ Thousands) 1,590
--------------
Total Investments -- 99.4%
(Cost $285,379) ($ Thousands) $ 301,702
==============
Futures -- A summary of the open futures contracts held by the Fund at September
30, 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 Index E-MINI 283 Dec-2006 $237
====
Percentages are based on Net Assets of $303,523 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of September 30, 2006.
+ Real Estate Investment Trust.
++ Pursuant to an exemptive order issued by the Securities and Exchange
Commission, the Fund may invest in the SEI money market funds, provided
that investments in the money market funds do not exceed 25% of the Fund's
total assets.
(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.
- --------------------------------------------------------------------------------
106 SEI Institutional Managed Trust / Annual Report / September 30, 2006
Global Managed Volatility Fund
September 30, 2006
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS# (UNAUDITED):
[THE FOLLOWING TABLE 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 Investments
4.1% Materials
4.1% Telecommunication Services
0.2% U.S. Treasury Obligation
0.0% Asset-Backed Securities
#Percentages based on total investments.
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 93.6%
AUSTRALIA -- 6.6%
Allco Finance Group 3,077 $ 24
Australia & New Zealand Banking Group 10,654 214
Australia Gas & Light 8,691 139
Brambles Industries 18,230 173
Centro Properties Group 14,808 89
CFS Retail Property Trust 333,814 503
Commonwealth Bank of Australia 6,089 208
DB RREEF Trust 553,034 660
GPT Group 284,385 997
Leighton Holdings 2,789 40
Macquarie Goodman Group 33,080 161
Mirvac Group 18,919 67
Multiplex Group 158,666 417
Promina Group 15,991 71
Rio Tinto 14,403 753
Seek 4,570 17
Stockland 170,365 941
Telstra 91,628 254
Toll Holdings 9,376 108
Westfield Group 15,137 213
Woolworths 15,709 238
--------------
6,287
--------------
AUSTRIA -- 1.9%
Immoeast Immobilien Anlagen* 4,489 55
IMMOFINANZ Immobilien Anlagen* 79,131 952
Meinl European Land* 24,296 529
Telekom Austria 9,964 251
Wiener Staedtische Versicherung 545 34
--------------
1,821
--------------
BELGIUM -- 1.6%
AGFA-Gevaert 5,494 130
Belgacom 3,959 154
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Cofinimmo 983 $ 186
Colruyt 2,120 362
D'ieteren 207 69
InBev 4,607 253
KBC Groep 1,976 208
Mobistar 726 60
Umicore 531 79
--------------
1,501
--------------
BERMUDA -- 0.4%
Arch Capital Group* 862 55
PartnerRe 1,181 80
RenaissanceRe Holdings 4,557 253
--------------
388
--------------
CANADA -- 2.3%
Bank of Montreal* 4,200 254
BCE* 1,300 35
BCE 38,700 1,052
CGI Group, Cl A* 10,800 71
Cott* 11,800 202
Jean Coutu Group, Cl A 24,600 262
Quebecor World 17,900 187
Thomson 1,700 69
--------------
2,132
--------------
CHINA -- 0.2%
Foxconn International Holdings* 50,000 154
--------------
DENMARK -- 0.1%
Jyske Bank* 600 34
Sydbank 1,600 59
Topdanmark* 275 38
--------------
131
--------------
FINLAND -- 1.1%
Fortum* 9,600 255
Kesko, Cl B* 5,609 236
Outokumpu* 9,800 250
Rautaruukki* 2,500 72
Sampo, Cl A* 9,300 194
--------------
1,007
--------------
FRANCE -- 1.1%
CNP Assurances 1,233 119
L'Oreal 2,077 211
Pernod-Ricard* 1,150 239
Sanofi-Aventis* 2,050 182
Vinci* 2,237 249
--------------
1,000
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 107
SCHEDULE OF INVESTMENTS
Global Managed Volatility Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
GERMANY -- 0.5%
Beiersdorf* 739 $ 39
Deutsche Boerse* 1,472 221
Deutsche Lufthansa* 8,434 179
H&R WASAG* 249 14
--------------
453
--------------
HONG KONG -- 1.4%
CLP Holdings 148,500 900
Esprit Holdings 10,000 91
Hang Seng Bank 11,400 144
Hong Kong & China Gas 56,000 131
HongKong Electric Holdings 21,000 98
--------------
1,364
--------------
ITALY -- 1.9%
Banca Carige 12,204 62
Banca Popolare dell'Emilia Romagna 518 12
Banche Popolari Unite 25,412 683
Banco Popolare di Verona e Novara 7,366 203
Davide Campari-Milano 2,441 22
Enel 23,527 215
ENI - Ente Nazionale Idrocarburi 6,911 205
Telecom Italia 60,622 172
UniCredito Italiano 29,533 245
--------------
1,819
--------------
JAPAN -- 15.1%
Brother Industries 8,000 101
Canon 5,000 261
Casio Computer 9,200 185
Central Japan Railway 78 832
Chiba Bank 27,000 241
Chubu Electric Power 26,800 697
Chugai Pharmaceutical 14,900 321
Daiichi Sankyo 7,300 207
Daito Trust Construction 11,100 603
Diamond Lease 800 39
East Japan Railway 34 238
Eisai 4,500 218
Glory 26,600 516
Gunma Bank 8,000 59
IBJ Leasing 400 10
Japan Airlines 35,000 68
Japan Prime Realty Investment 22 66
Kansai Electric Power 10,400 240
Katokichi 73,300 599
KDDI 32 200
Kikkoman 11,000 128
Komatsu 4,000 69
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Kyowa Hakko Kogyo 16,000 $ 113
Kyushu Electric Power 10,300 243
Mabuchi Motor 8,400 514
Makita 3,200 94
Meiji Dairies 74,000 500
Nippon Building Fund 7 71
Nippon Meat Packers 25,000 281
Nippon Suisan Kaisha 12,400 68
Nippon Telegraph & Telephone 130 639
Nissin Food Products 21,300 678
NOK 7,100 175
NTT DoCoMo 436 672
Odakyu Electric Railway 89,000 566
Okumura 17,000 93
Pioneer 8,000 141
Resona Holdings 41 123
Rinnai 10,500 301
Sega Sammy Holdings 200 6
Seiko Epson 2,600 71
Shinko Electric Industries 900 25
Sumisho Lease 900 51
Suzuken 4,800 180
Takeda Pharmaceutical 3,800 237
Toda 86,000 403
Tokyo Electric Power 43,800 1,261
Tokyo Style 8,000 96
Tsumura 1,000 23
Uni-Charm 11,600 645
Wacoal Holdings 6,000 76
Yamaha Motor 4,700 125
--------------
14,369
--------------
NETHERLANDS -- 1.1%
CSM 1,363 43
DSM 4,215 185
Heineken 5,329 243
Hunter Douglas 151 11
Royal Dutch Shell, Cl A 6,025 198
Royal KPN 19,403 247
Unilever 4,306 106
--------------
1,033
--------------
NEW ZEALAND -- 0.6%
Fletcher Building 6,586 37
Telecom of New Zealand 60,082 170
Warehouse Group 88,092 370
--------------
577
--------------
NORWAY -- 0.4%
Telenor 31,100 406
--------------
- --------------------------------------------------------------------------------
108 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
PORTUGAL -- 0.9%
Banco Espirito Santo 37,633 $ 575
Cimpor Cimentos de Portugal 39,423 282
--------------
857
--------------
SINGAPORE -- 0.4%
SembCorp Marine* 12,000 25
Singapore Telecommunications* 156,500 241
UOL Group* 64,000 141
--------------
407
--------------
SPAIN -- 2.4%
Acciona 708 108
ACS Actividades Construcciones y Servicios 5,209 247
Altadis 4,309 204
Antena 3 de Television 4,485 92
Banco Espanol de Credito 3,456 71
Banco Popular Espanol 13,822 226
Banco Sabadell 3,704 133
Cia Espanola de Petroleos 463 35
Fomento de Construcciones y Contratas 1,922 153
Gestevision Telecinco 8,341 212
Iberdrola 6,586 295
Inditex 5,438 253
Repsol 7,185 214
--------------
2,243
--------------
SWEDEN -- 1.4%
Lundin Petroleum* 6,600 70
Sandvik* 20,200 231
Skandinaviska Enskilda Banken, Cl A* 8,800 237
Ssab Svenskt Stal, Cl A* 7,400 138
Svenska Handelsbanken, Cl A* 8,200 221
Swedish Match* 25,400 413
--------------
1,310
--------------
SWITZERLAND -- 2.4%
Alcon 1,313 150
Geberit* 51 62
Givaudan* 1,090 870
Nestle* 706 246
Swisscom* 2,821 936
--------------
2,264
--------------
UNITED KINGDOM -- 5.9%
Alliance Boots 78,317 1,134
Antofagasta 26,539 227
AstraZeneca 6,316 394
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CSR* 4,862 $ 77
Firstgroup 13,054 120
Gallaher Group 11,304 184
GlaxoSmithKline 9,888 263
Imperial Tobacco Group 6,303 210
Inchcape 10,425 102
Intercontinental Hotels Group 14,752 258
Kelda Group 11,695 186
London Stock Exchange Group 7,541 174
Man Group 26,772 224
Marks & Spencer Group 22,022 264
National Grid 20,450 255
Next 7,352 260
Scottish & Newcastle 18,218 194
Scottish & Southern Energy 10,522 259
Scottish Power 18,641 227
Tate & Lyle 18,119 243
Tesco 32,889 221
Willis Group Holdings 3,792 144
--------------
5,620
--------------
UNITED STATES -- 43.9%
3M 1,800 134
Abbott Laboratories 4,900 238
Aflac 4,500 206
Alliant Techsystems* 2,500 203
Allstate 3,500 220
AMERIGROUP* 3,400 100
AmerisourceBergen 5,400 244
Amgen* 3,000 215
Anheuser-Busch 23,400 1,112
Annaly Capital Management 10,900 143
Apache 3,900 246
Apollo Group, Cl A* 15,600 768
Arkansas Best 2,300 99
AvalonBay Communities 1,400 169
Avis Budget Group 34,600 633
Avon Products 25,400 779
Bank of America 21,500 1,152
Bankunited Financial, Cl A 7,400 193
Barr Pharmaceuticals* 4,300 223
BB&T 1,900 83
Beckman Coulter 2,600 150
Biogen Idec* 9,400 420
Biomet 16,100 518
BlackRock 700 104
Books-A-Million 1,300 23
Brown & Brown 2,600 79
Brown-Forman, Cl B 800 61
Burlington Northern Santa Fe 1,400 103
Cardinal Health 3,000 197
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 109
SCHEDULE OF INVESTMENTS
Global Managed Volatility Fund (Concluded)
September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Celadon Group* 3,200 $ 53
CH Robinson Worldwide 2,800 125
Chattem* 700 25
Chevron 3,000 195
Chubb 2,900 151
Cincinnati Financial 22,100 1,062
Coca-Cola 20,600 920
Coca-Cola Enterprises 11,000 229
Colgate-Palmolive 3,900 242
Colonial BancGroup 23,900 586
Community Health Systems* 12,700 474
Compass Bancshares 3,000 171
ConAgra Foods 17,000 416
ConocoPhillips 3,000 179
Consolidated Edison 4,300 199
Constellation Brands, Cl A* 5,800 167
Costco Wholesale 3,200 159
Coventry Health Care* 300 15
Dean Foods* 6,100 256
Dentsply International 12,200 367
DRS Technologies 1,900 83
East West Bancorp 700 28
Energy Transfer Partners 600 28
Entergy 2,600 203
Essex Property Trust 900 109
Express Scripts* 2,900 219
Exxon Mobil 3,100 208
Family Dollar Stores 7,400 216
FedEx 1,500 163
Fifth Third Bancorp 21,700 826
FirstEnergy 12,100 676
Forest Laboratories* 5,000 253
Frontier Oil 6,100 162
Fulton Financial 1,300 21
Gannett 2,500 142
General Dynamics 2,900 208
General Electric 7,000 247
General Mills 16,200 917
H&R Block 3,200 70
Hancock Holding 900 48
Harris 2,600 116
HCC Insurance Holdings 2,200 72
Health Net* 3,700 161
Hess 3,800 157
Hilb Rogal & Hobbs 700 30
Hillenbrand Industries 1,400 80
HJ Heinz 4,800 201
Home Properties of New York 1,300 74
Hormel Foods 1,300 47
Interstate Hotels & Resorts* 1,800 19
ITT 4,200 215
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
John H Harland 1,000 $ 36
Johnson & Johnson 15,400 1,000
Johnson Controls 1,000 72
Kellogg 20,300 1,005
Kraft Foods, Cl A 26,100 931
L-3 Communications Holdings 2,700 212
Laboratory Corp of America Holdings* 3,500 230
Lexmark International* 5,300 306
Lockheed Martin 5,900 508
Magellan Health Services* 4,700 200
Manpower 5,400 331
Marathon Oil 2,300 177
Markel* 100 41
Mattel 7,100 140
McClatchy, Cl A 14,400 608
McCormick 3,500 133
McGraw-Hill 4,300 250
McKesson 4,000 211
Medtronic 9,900 460
Merck 7,500 314
Mid-America Apartment Communities 800 49
Moody's 4,000 262
Murphy Oil 2,500 119
National Fuel Gas 2,300 84
New York Times, Cl A 23,000 529
Newmont Mining 5,000 214
Nike, Cl B 2,500 219
Northrop Grumman 10,400 708
Occidental Petroleum 4,000 192
OGE Energy 2,300 83
Old Dominion Freight Line* 2,700 81
Patterson* 29,200 981
PepsiCo 18,100 1,181
Pfizer 8,700 247
Pioneer Natural Resources 8,400 329
Principal Financial Group 4,600 250
Procter & Gamble 3,900 242
Progressive 8,200 201
Regions Financial 5,600 206
Reliance Steel & Aluminum 2,000 64
Ryder System 3,800 196
Sierra Health Services* 5,900 223
Southern 10,100 348
Steel Dynamics 500 25
STERIS 3,200 77
SunTrust Banks 14,400 1,113
Tenet Healthcare* 35,100 286
Triad Hospitals* 5,200 229
Tribune 32,900 1,076
TXU 3,700 231
Union Pacific 2,400 211
- --------------------------------------------------------------------------------
110 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
United Parcel Service, Cl B 2,800 $ 201
UnitedHealth Group 4,700 231
Universal Health Services, Cl B 4,100 246
Wachovia 3,800 212
Wal-Mart Stores 21,200 1,046
Walgreen 4,200 186
WellPoint* 3,100 239
Wells Fargo 6,900 250
WR Berkley 6,200 219
XTO Energy 4,600 194
Yum! Brands 4,400 229
Zimmer Holdings* 3,600 243
--------------
41,722
--------------
Total Common Stock
(Cost $86,761) ($ Thousands) 88,865
--------------
CASH EQUIVALENT -- 3.3%
SEI Daily Income Trust,
Prime Obligation Fund, Cl A,
5.330%**+ 3,107,411 3,107
--------------
Total Cash Equivalent
(Cost $3,107) ($ Thousands) 3,107
--------------
U.S. TREASURY OBLIGATION (A) -- 0.4%
U.S. Treasury Bill
4.982%, 11/24/06 $ 400 397
--------------
Total U.S. Treasury Obligation
(Cost $397) ($ Thousands) 397
--------------
Total Investments -- 97.3%
(Cost $90,265) ($ Thousands) $ 92,369
==============
Futures -- A summary of the open futures contracts held by the Fund at September
30, 2006, is as follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
TYPE OF NUMBER OF EXPIRATION APPRECIATION
CONTRACT CONTRACTS DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
DJ Euro Stoxx 50 Index 17 Dec-2006 $19
FTSE 100 Index 3 Dec-2006 7
S&P 500 Index 6 Dec-2006 31
SPI 200 Index 2 Dec-2006 4
Topix Index 3 Dec-2006 8
---
$69
===
Forward Foreign Currency Contracts -- A summary of the outstanding forward
foreign currency contracts held by the Fund at September 30, 2006, is as follows
(see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
CURRENCY CURRENCY APPRECIATION
MATURITY TO DELIVER TO RECEIVE (DEPRECIATION)
DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
10/27/06 AUD 8,835 USD 6,631 $42
10/27/06 CAD 2,269 USD 2,033 (3)
10/27/06 EUR 13,077 USD 16,602 15
10/27/06 GBP 3,026 USD 5,733 80
10/27/06 JPY 1,824,299 USD 15,644 133
---
$267
====
Percentages are based on Net Assets of $94,951 ($ Thousands).
* Non-Income Producing Security.
** Rate shown is the 7-day effective yield as of September 30, 2006.
+ Pursuant to an exemptive order issued by the Securities and Exchange
Commission, the Fund may invest in the SEI money market funds, provided
that investments in the money market funds do not exceed 25% of the Fund's
total assets.
(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.
AUD -- Australian Dollar
CAD -- Canadian Dollar
Cl -- Class
EUR -- Euro
GBP -- British Pound Sterling
JPY -- Japanese Yen
USD -- United States Dollar
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 111
SCHEDULE OF INVESTMENTS
Real Estate Fund
September 30, 2006
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS# (UNAUDITED):
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
87.9% Financials
6.9% Consumer Discretionary
4.9% Short-Term Investment
0.3% Exchange Traded Fund
#Percentages based on total investments.
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 87.2%
CONSUMER DISCRETIONARY -- 6.4%
Starwood Hotels & Resorts Worldwide 198,900 $ 11,375
WCI Communities* 51,300 895
--------------
12,270
--------------
FINANCIALS -- 80.8%
Acadia Realty Trust+ 34,300 875
AMB Property+ 72,600 4,001
Archstone-Smith Trust+ 178,950 9,742
AvalonBay Communities+ 70,000 8,428
Boston Properties+ 87,800 9,073
Brandywine Realty Trust+ 84,700 2,757
British Land (United Kingdom) (A) 17,295 441
Camden Property Trust+ 45,100 3,428
Corporate Office Properties Trust+ 81,800 3,661
Equity Office Properties Trust+ 200,400 7,968
Equity Residential+ 193,700 9,797
Essex Property Trust+ 19,900 2,416
Extra Space Storage+ 148,000 2,562
Federal Realty Investment Trust+ 40,000 2,972
General Growth Properties+ 136,010 6,481
Hammerson (United Kingdom) (A) 33,531 822
Host Hotels & Resorts+ 435,679 9,990
Kimco Realty+ 161,600 6,928
Land Securities Group (United Kingdom) (A) 21,578 793
Liberty Property Trust+ 30,600 1,462
Macerich+ 67,200 5,131
Mack-Cali Realty+ 79,300 4,108
Post Properties+ 69,950 3,324
Prologis+ 77,900 4,445
PS Business Parks+ 21,200 1,278
Public Storage+ 83,154 7,150
Regency Centers+ 29,500 2,028
Saul Centers+ 22,600 1,017
Simon Property Group+ 143,150 12,972
SL Green Realty+ 28,400 3,172
Strategic Hotels & Resorts+ 126,700 2,519
Taubman Centers+ 35,850 1,593
Thomas Properties Group+ 20,600 265
Unibail (France) (A) 10,249 2,151
Ventas+ 82,400 3,176
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Vornado Realty Trust+ 40,400 $ 4,404
Weingarten Realty Investors+ 54,200 2,332
--------------
155,662
--------------
Total Common Stock
(Cost $130,599) ($ Thousands) 167,932
--------------
EXCHANGE TRADED FUND -- 0.3%
iShares Cohen & Steers Realty
Majors Index Fund 6,000 551
--------------
Total Exchange Traded Fund
(Cost $383) ($ Thousands) 551
--------------
CASH EQUIVALENT -- 4.5%
SEI Daily Income Trust,
Prime Obligation Fund, Cl A,
5.330%**++ 8,697,436 8,697
--------------
Total Cash Equivalent
(Cost $8,697) ($ Thousands) 8,697
--------------
Total Investments -- 92.0%
(Cost $139,679) ($ Thousands) $ 177,180
==============
Percentages are based on Net Assets of $192,674 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of September 30, 2006.
+ Real Estate Investment Trust.
++ Pursuant to an exemptive order issued by the Securities and Exchange
Commission, the Fund may invest in the SEI money market funds, provided
that investments in the money market funds do not exceed 25% of the Fund's
total assets.
(A) This security is traded on a foreign stock exchange. The total value of
such securities as of September 30, 2006 was $4,207 and represents 2.18%
of Net Assets.
Cl -- Class
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
112 SEI Institutional Managed Trust / Annual Report / September 30, 2006
Enhanced Income Fund
September 30, 2006
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS* (UNAUDITED):
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
29.8% Asset-Backed Securities
25.0% Loan Participations
21.7% Short-Term Investments
15.7% Corporate Obligations
6.7% U.S. Government Mortgage-Backed Obligations
0.9% U.S. Government Agency Obligations
0.2% Certificates of Deposit
*Percentages based on total investments. Includes investments held as collateral
for securities on loan (see Note 7).
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 32.4%
AUTOMOTIVE -- 4.0%
AESOP Funding II, Ser 2003-4A, Cl A2 (B)
2.860%, 08/20/09 $ 500 $ 481
AESOP Funding II, Ser 2003-5A, Cl A1 (B)
2.780%, 12/20/07 500 498
AmeriCredit Automobile Receivables Trust,
Ser 2005-1, Cl B
4.480%, 11/06/09 840 833
Capital Auto Receivables Asset Trust,
Ser 2006-SN1A, Cl A2A (B)
5.400%, 01/20/09 800 801
Ford Credit Auto Owner Trust,
Ser 2006-B, Cl A2A
5.420%, 07/15/09 800 801
Harley-Davidson Motorcycle Trust,
Ser 2006-1, Cl B (B)
5.240%, 11/15/13 1,000 1,001
Harley-Davidson Motorcycle Trust,
Ser 2006-2, Cl A2
5.350%, 03/15/13 1,000 1,007
Harley-Davidson Motorcycle Trust,
Ser 2006-3, Cl B
5.430%, 11/15/14 890 893
Nissan Auto Lease Trust,
Ser 2005-A, Cl A2
4.610%, 01/15/08 1,423 1,421
Nissan Auto Receivables Owner Trust,
Ser 2003-C, Cl A5
3.210%, 03/16/09 1,075 1,058
Onyx Acceptance Owner Trust,
Ser 2004-C, Cl A4
3.500%, 12/15/11 650 639
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
WFS Financial Owner Trust,
Ser 2005-3, Cl A2
4.110%, 06/17/08 $ 117 $ 117
--------------
9,550
--------------
CREDIT CARDS -- 5.1%
Advanta Business Card Master Trust,
Ser 2004-C1, Cl C (C)
6.380%, 10/20/06 485 491
Advanta Business Card Master Trust,
Ser 2005-C1, Cl C1 (C)
5.840%, 10/20/06 400 402
Advanta Business Card Master Trust,
Ser 2006-B2, Cl B2 (C)
5.580%, 10/20/06 1,000 1,004
American Express Credit Account Master
Trust, Ser 2004-C, Cl C (B) (C)
5.830%, 10/15/06 1,519 1,522
Bank One Issuance Trust, Ser 2004-B1,
Cl B1 (C)
5.650%, 10/01/06 1,250 1,257
Capital One Multi-Asset Execution Trust,
Ser 2004-C1, Cl C1
3.400%, 11/16/09 800 795
Citibank Credit Card Master Trust,
Ser 1999-2, Cl A
5.875%, 03/10/11 675 688
Discover Card Mater Trust I, Ser 2005-1,
Cl B (C)
5.480%, 10/18/06 1,500 1,501
Household Affinity Credit Card Master
Trust, Ser 2003-1, Cl B (C)
5.880%, 10/15/06 1,250 1,257
Household Credit Card Master Note
Trust I, Ser 2006-1, Cl B (C)
5.470%, 06/15/12 455 455
MBNA Credit Card Master Note Trust,
Ser 2002-B1, Cl B1
5.150%, 07/15/09 500 500
Metris Master Trust, Ser 2004-2,
Cl C (B) (C)
6.670%, 10/05/06 1,500 1,501
New Century Home Equity Loan Trust,
Ser 2005-1, Cl A1MZ (C)
5.620%, 10/25/06 546 547
--------------
11,920
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 113
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MORTGAGE RELATED SECURITIES -- 23.3%
Ace Securities, Ser 2006-HE1, Cl M2 (C)
5.730%, 10/27/06 $ 515 $ 516
Ace Securities, Ser 2006-NC1,
Cl A2B (C)
5.480%, 10/25/06 1,148 1,149
Adjustable Rate Mortgage Trust,
Ser 2005-12, Cl 2A1 (C)
5.729%, 03/25/36 1,353 1,357
Aicco Premium Finance Master Trust,
Ser 2004-1, Cl A (C)
5.510%, 10/15/06 671 672
Ameriquest Mortgage Securities,
Ser 2004-R12, Cl A3 (C)
5.610%, 10/08/06 445 446
Banc of America Funding, Ser 2005-F,
Cl 4A1 (C)
5.387%, 10/01/06 1,199 1,200
Banc of America Mortgage Securities,
Ser 2004-J, Cl 2A1 (C)
4.783%, 10/01/06 457 453
Banc of America Mortgage Securities,
Ser 2005-C, Cl 2A2 (C)
4.711%, 10/01/06 1,230 1,213
Banc of America Mortgage Securities,
Ser 2005-I, Cl 2A1 (C)
4.875%, 10/01/06 833 822
Bear Stearns Asset-Backed Securities,
Ser 2005-HE11, Cl A1 (C)
5.450%, 10/25/06 454 454
Bear Sterns Adjustable Rate Mortgage
Trust, Ser 2005-12, Cl 11A1 (C)
5.420%, 10/01/06 1,122 1,125
CapitalSource Commercial Loan Trust,
Ser 2006-2A, Cl A1A (B) (C)
5.536%, 10/20/06 730 730
Citigroup Mortgage Loan Trust,
Ser 2004-HYB3, Cl 1A (C)
3.914%, 10/01/06 688 687
Countrywide Asset-Backed Certificates,
Ser 2005-13, Cl 3AV3 (C)
5.580%, 10/25/06 1,310 1,313
Countrywide Asset-Backed Certificates,
Ser 2006-18, Cl M1 (C)
5.666%, 07/25/36 1,000 1,000
Countrywide Home Loans,
Ser 2005-HY10, Cl 3A1A (C)
5.413%, 10/01/06 651 651
Countrywide Home Loans,
Ser 2006-HYB1, Cl 1A1 (C)
5.401%, 10/20/06 1,329 1,325
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Credit Suisse First Boston Mortgage
Securities, Ser 2004-TF2A, Cl A2 (B) (C)
5.530%, 10/15/06 $ 146 $ 146
Credit-Based Asset Servicing,
Ser 2005-CB5, Cl AV1 (C)
5.440%, 10/25/06 142 142
Diversified Reit Trust, Ser 1999-1A,
Cl A2 (B)
6.780%, 03/18/11 1,495 1,530
GE Business Loan Trust, Ser 2003-2A,
Cl B (B) (C)
6.330%, 11/15/31 166 170
GE Commercial Equipment Financing,
Ser 2004-1, Cl B (C)
5.530%, 10/20/06 591 593
GE Commercial Loan Trust,
Ser 2006-3, Cl C (B) (C)
5.915%, 01/19/07 555 555
GE Corporate Aircraft Financing,
Ser 2006-1A, Cl A2 (B) (C)
5.500%, 10/26/06 600 596
GMAC Commercial Mortgage Securities,
Ser 1998-C2, Cl A2
6.420%, 05/15/35 1,146 1,165
GMAC Commercial Mortgage Securities,
Ser 1999-CTL1, Cl A (B)
7.151%, 12/15/16 815 823
GMAC Mortgage Loan Trust,
Ser 2005-AR6, Cl 2A1 (C)
5.228%, 10/01/06 1,317 1,313
GMAC Mortgage Loan Trust,
Ser 2006-HE4, Cl A2 (C) (D)
5.470%, 10/25/06 1,150 1,150
GSR Mortgage Loan Trust,
Ser 2005-AR2, Cl 1A2 (C)
4.602%, 10/01/06 1,000 1,001
Granite Master Issuer, Ser 2006-3, Cl M1 (C)
5.591%, 01/22/07 570 570
IMPAC CMB Trust, Ser 2005-1, Cl 1A1
5.590%, 10/25/06 797 797
IMPAC CMB Trust, Ser 2005-4, Cl 1M1 (C)
5.760%, 10/25/06 1,406 1,408
IXIS Real Estate Capital Trust,
Ser 2006-HE3, Cl A2 (C)
5.428%, 10/25/06 1,250 1,250
JP Morgan Mortgage Acquisition,
Ser 2006-WMC3, Cl A4 (C)
5.480%, 10/25/06 1,250 1,250
- --------------------------------------------------------------------------------
114 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
JP Morgan Mortgage Trust, Ser 2006-4,
Cl 1A1 (C)
5.856%, 10/01/06 $ 3,108 $ 3,134
Katonah, Ser 2006-7A, Cl B (B) (C)
5.825%, 11/15/06 700 700
MLCC Mortgage Investors,
Ser 2006-2, Cl 2A (C)
5.506%, 10/01/06 2,247 2,253
Master Adjustable Rate Mortgage,
Ser 2004-12, Cl 5A1 (C)
4.466%, 10/01/06 323 325
Merrill Lynch Mortgage Investors,
Ser 2005-A1, Cl 1A (C)
4.271%, 10/01/06 1,667 1,656
Merrill Lynch Mortgage Investors,
Ser 2005-A9, Cl 2A1E (C)
5.171%, 12/25/35 2,780 2,759
Morgan Stanley Dean Witter Capital,
Ser 2000-LIFE, Cl A2
7.570%, 11/15/36 960 1,017
Nationstar Home Equity Loan Trust,
Ser 2006-B, Cl AV2 (C)
5.460%, 09/25/36 1,000 1,000
Option One Mortgage Loan Trust,
Ser 2005-3, Cl M1 (C)
5.800%, 10/25/06 428 430
Prudential Commercial Mortgage Trust,
Ser 2003-PWR1, Cl A1
3.669%, 02/11/36 1,340 1,288
Sequoia Mortgage Trust, Ser 2004-10,
Cl A2 (C)
5.650%, 10/20/06 557 558
Sequoia Mortgage Trust, Ser 2004-11,
Cl A1 (C)
5.630%, 10/20/06 406 407
Sequoia Mortgage Trust, Ser 2005-2,
Cl A1 (C)
5.550%, 10/20/06 254 255
Wadsworth CDO, Ser 2006-1A, Cl B (B) (C)
5.876%, 11/05/46 315 315
Washington Mutual Master Note Trust,
Ser 2006-C2A, Cl C2 (B) (C)
5.830%, 10/15/06 800 800
Washington Mutual, Ser 2003-AR10, Cl A6 (C)
4.063%, 10/01/06 1,500 1,468
Washington Mutual, Ser 2006-AR10, Cl 1A1 (C)
5.980%, 09/25/36 1,483 1,496
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Washington Mutual, Ser 2006-AR2, Cl 1A1 (C)
5.325%, 10/01/06 $ 887 $ 885
Wells Fargo Mortgage-Backed Securities,
Ser 2003-J, Cl 2A4 (C)
4.450%, 10/25/33 582 570
Wells Fargo Mortgage-Backed Securities,
Ser 2004-BB, Cl A2 (C)
4.560%, 10/01/06 943 926
Wells Fargo Mortgage-Backed Securities,
Ser 2004-Z, Cl 2A1 (C)
4.577%, 10/01/06 826 816
Wells Fargo Mortgage-Backed Securities,
Ser 2005-AR2, Cl 2A2 (C)
4.546%, 10/01/06 1,068 1,050
Wells Frago Mortgage-Backed Securities,
Ser 2006-AR6, Cl 2A1 (C)
5.240%, 10/01/06 1,397 1,390
--------------
55,070
--------------
Total Asset-Backed Securities
(Cost $76,208) ($ Thousands) 76,540
--------------
LOAN PARTICIPATIONS (C) -- 27.1%
Barrington
7.654%, 08/05/13 1,000 1,005
Burlington Coat Factory
7.530%, 05/28/13 1,995 1,932
Cequel Communications
7.739%, 11/05/13 2,000 1,981
Chiquita Brands
7.580%, 06/28/12 1,997 1,989
Data Transmission Network
8.517%, 03/10/13 1,000 1,000
Eastman Kodak
7.699%, 10/18/12 2,000 2,000
Eddie Bauer
9.580%, 06/21/11 1,995 1,987
Education Management
8.063%, 06/01/13 1,995 2,006
Ferro
8.580%, 06/06/12 1,111 1,108
8.682%, 06/06/12 (E) 889 --
Garden Fresh Restaurant
8.622%, 06/22/11 994 994
Global Petroleum
9.830%, 07/26/13 1,995 1,995
Graham Packaging
7.734%, 10/07/11 1,995 1,998
Ipayment
7.665%, 05/10/13 1,995 1,990
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 115
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Jean Coutu Group
7.969%, 07/30/11 $ 1,994 $ 1,996
Keystone Automotive Operations
7.943%, 10/30/09 973 974
Kuilima Resort
8.150%, 09/30/10 1,589 1,569
Lake at Las Vegas Joint Venture
8.190%, 02/01/10 999 992
Land Investors
8.249%, 05/09/11 2,000 1,960
Lear
7.951%, 04/25/12 2,000 1,953
Lyondell Chemical
7.110%, 08/16/13 2,000 2,000
Movie Gallery
10.750%, 04/27/11 1,796 1,681
Northwest Airlines
7.900%, 08/21/08 1,000 1,000
Open Solutions
7.900%, 09/03/11 1,890 1,901
Orthofix Holding
7.120%, 09/22/13 1,500 1,501
Paramount Resources
9.860%, 08/25/12 1,000 1,010
Protection One Alarm Monitoring
7.808%, 03/31/12 1,995 1,999
Quintiles Transnational
7.500%, 03/31/13 1,995 1,991
Re Holding
8.402%, 12/09/08 2,000 1,996
Resorts International Holdings
9.500%, 04/26/12 2,000 2,008
Roofing Supply Group
8.580%, 06/30/13 1,000 990
Serena Software
7.410%, 03/10/13 2,000 1,997
Sirva Worldwide
11.410%, 12/01/10 1,830 1,723
Stratos Global
8.249%, 02/13/12 2,000 1,994
Sungard Data Systems
7.999%, 02/11/13 1,995 2,006
US Airways Group
8.999%, 03/31/11 2,000 2,011
VNU
8.190%, 08/01/13 1,000 996
Vanguard Car Rental USA Holding
8.319%, 06/14/13 1,870 1,870
Wideopenwest Finance
7.658%, 05/01/13 2,000 1,998
--------------
Total Loan Participations
(Cost $64,466) ($ Thousands) 64,101
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS -- 17.1%
CONSUMER DISCRETIONARY -- 3.4%
CBS
7.700%, 07/30/10 $ 1,000 $ 1,077
COX Communications
4.625%, 01/15/10 1,000 973
Clear Channel Communications
6.250%, 03/15/11 1,000 1,003
Comcast Cable Communications
6.200%, 11/15/08 1,000 1,019
DaimlerChrysler
7.200%, 09/01/09 1,000 1,042
Federated Department Stores
6.300%, 04/01/09 1,000 1,017
Time Warner Entertainment
7.250%, 09/01/08 1,000 1,033
Univision Communications
3.875%, 10/15/08 825 784
--------------
7,948
--------------
CONSUMER STAPLES -- 1.1%
Altria Group
7.000%, 11/04/13 1,000 1,090
General Mills
2.625%, 10/24/06 500 499
Miller Brewing (B)
4.250%, 08/15/08 1,000 981
--------------
2,570
--------------
FINANCIALS -- 7.8%
American General Financial MTN, Ser I
4.875%, 07/15/12 1,000 973
Ameriprise Financial
5.350%, 11/15/10 1,000 1,003
BTM (Curacao) Holding (B) (C)
4.760%, 07/21/15 1,000 980
Banco Santander Chile (B) (C)
5.740%, 12/09/06 1,750 1,754
CIT Group
3.375%, 04/01/09 1,000 958
Capital One Financial MTN
5.700%, 09/15/11 510 514
EOP Operating
4.650%, 10/01/10 1,000 970
Everest Reinsurance Holdings
8.750%, 03/15/10 1,545 1,694
Hartford Financial Services Group
7.900%, 06/15/10 1,000 1,083
Huntington National Bank
4.375%, 01/15/10 500 486
- --------------------------------------------------------------------------------
116 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ILFC E-Capital Trust I (B) (C)
5.900%, 12/21/06 $ 1,000 $ 1,007
Liberty Property+
7.250%, 03/15/11 1,000 1,065
Merrill Lynch (C)
6.151%, 12/12/06 700 699
RSHB Capital (B)
7.175%, 05/16/13 650 676
St. Paul
5.750%, 03/15/07 570 571
Textron Financial MTN
5.125%, 02/03/11 1,000 995
Union Planters
7.750%, 03/01/11 1,000 1,095
Unitrin
4.875%, 11/01/10 1,000 971
Willis North America
5.125%, 07/15/15 1,000 983
--------------
18,477
--------------
HEALTH CARE -- 0.9%
Quest Diagnostic
5.125%, 11/01/10 1,000 990
Wyeth
6.950%, 03/15/11 1,000 1,063
--------------
2,053
--------------
INDUSTRIALS -- 1.3%
American Airlines, Ser 2002-1 (C)
6.009%, 12/23/06 892 892
Continental Airlines, Ser 98-3
6.320%, 11/01/08 1,270 1,279
Harrahs Operating
5.500%, 07/01/10 1,000 985
--------------
3,156
--------------
TELECOMMUNICATION SERVICES -- 0.8%
Corning
6.050%, 06/15/15 1,000 1,007
Telecom Italia Capital (C)
6.108%, 10/18/06 1,000 992
--------------
1,999
--------------
UTILITIES -- 1.8%
Dominion Resources, Ser D (C)
5.664%, 12/28/06 1,675 1,676
Nisource Finance (C)
5.968%, 11/23/06 1,500 1,500
PSEG Power
3.750%, 04/01/09 1,000 963
--------------
4,139
--------------
Total Corporate Obligations
(Cost $40,024) ($ Thousands) 40,342
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 7.3%
FNMA
6.500%, 09/01/26 $ 893 $ 913
FNMA TBA
6.000%, 10/20/19 16,000 16,240
--------------
Total U.S. Government Mortgage-Backed Obligations
(Cost $17,109) ($ Thousands) 17,153
--------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 1.0%
FNMA (A)
5.115%, 10/25/06 250 249
FNMA, Ser 2003-8, Cl BN
4.500%, 03/25/16 2,201 2,169
--------------
Total U.S. Government Agency Obligations
(Cost $2,407) ($ Thousands) 2,418
--------------
CASH EQUIVALENT -- 9.5%
SEI Daily Income Trust,
Prime Obligation Fund, Cl A,
5.330%*++ 22,318,928 22,319
--------------
Total Cash Equivalent
(Cost $22,319) ($ Thousands) 22,319
--------------
TIME DEPOSITS -- 5.6%
Royal Bank of Scotland
5.320%, 12/19/06 6,250 6,250
UBS London
5.270%, 10/31/06 6,924 6,924
--------------
Total Time Deposits
(Cost $13,174) ($ Thousands) 13,174
--------------
CERTIFICATE OF DEPOSIT -- 0.2%
Sovereign Bank
4.000%, 02/01/08 400 393
--------------
Total Certificate of Deposit
(Cost $391) ($ Thousands) 393
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 117
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Concluded)
September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT (F) -- 8.5%
Goldman Sachs
5.370%, dated 09/29/06, to be
repurchased on 10/02/06, repurchase
price $20,108,995 (collateralized by
a U.S. Government Obligation,
par value $23,573,237, 6.500%,
12/15/32; with total market
value $20,502,000) $ 20,100 $ 20,100
--------------
Total Repurchase Agreement
(Cost $20,100) ($ Thousands) 20,100
--------------
Total Investments -- 108.7%
(Cost $256,198) ($ Thousands) $ 256,540
==============
Futures -- A summary of the open futures contracts held by the Fund at September
30, 2006, is as follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
TYPE OF NUMBER OF EXPIRATION DEPRECIATION
CONTRACT CONTRACTS DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
U.S. 2-Year Note 4 Dec-2006 $ --
U.S. 5-Year Note (156) Dec-2006 (103)
U.S. 10-Year Note (148) Dec-2006 (112)
-----
$(215)
=====
Forward Foreign Currency Contracts -- A summary of the outstanding forward
foreign currency contracts held by the Fund at September 30, 2006, is as follows
(see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
CURRENCY CURRENCY APPRECIATION
MATURITY TO DELIVER TO RECEIVE (DEPRECIATION)
DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
10/11/06 AUD 1,533 USD 1,175 $ 30
10/11/06 CAD 2,950 USD 2,645 1
10/11/06 CHF 711 EUR 451 4
12/12/06-3/12/07 CHF 11,500 GBP 4,984 36
12/12/06-3/12/07 CHF 14,100 USD 11,558 188
10/11/06 EUR 451 CHF 711 (4)
10/11/06 EUR 785 SEK 7,260 (3)
12/12/06-3/12/07 GBP 3,337 CHF 7,700 (27)
12/12/06-2/13/07 GBP 4,001 JPY 865,000 (46)
10/11/06 GBP 608 USD 1,148 13
11/10/06-2/13/07 JPY 1,237,000 GBP 5,735 93
11/10/06-3/12/07 JPY 862,000 NZD 11,876 302
12/12/06-3/12/07 JPY 740,000 USD 6,491 119
12/12/06-3/12/07 NZD 6,621 JPY 491,000 (63)
10/11/06 SEK 8,940 EUR 969 6
10/11/06 USD 1,169 AUD 1,534 (24)
10/11/06 USD 2,149 CAD 2,410 12
12/12/06-3/12/07 USD 7,436 CHF 9,000 (180)
10/11/06 USD 1,151 GBP 607 (16)
1/11/07-2/13/07 USD 2,171 JPY 248,000 (35)
----
$406
====
Percentages are based on Net Assets of $235,981 ($ Thousands).
* Rate shown is the 7-day effective yield as of September 30, 2006.
+ Real Estate Investment Trust.
++ Pursuant to an exemptive order issued by the Securities and Exchange
Commission, the Fund may invest in the SEI money market funds, provided
that investments in the money market funds do not exceed 25% of the Fund's
total assets.
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(B) Security sold within the terms of a private placement memorandum, exempt
from registration under Section 3A-4, 4(2) or 144A of the Securities Act
of 1933, as amended, and may be sold only to dealers in that program or
other "accredited investors." These securities have been determined to be
liquid under guidelines established by the Board of Trustees.
(C) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of September 30, 2006. The date reported on the
Schedule of Investments is the next reset date.
(D) Security fair valued using methods determined in good faith by the
Valuation Committee of the Board of Trustees. The total value of such
securities as of September 30, 2006 was $1,150 ($ Thousands) and
represented 0.49% of Net Assets.
(E) As of September 30, 2006, this security is unfunded.
(F) Tri-Party Repurchase Agreement.
AUD -- Australian Dollar
CAD -- Canadian Dollar
CDO -- Collateralized Debt Obligation
CHF -- Swiss Franc
Cl -- Class
EUR -- Euro
FNMA -- Federal National Mortgage Association
GBP -- British Pound Sterling
JPY -- Japanese Yen
MTN -- Medium Term Note
NZD -- New Zealand Dollar
SEK -- Swedish Krona
Ser -- Series
TBA -- To Be Announced
USD -- United States Dollar
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
118 SEI Institutional Managed Trust / Annual Report / September 30, 2006
Core Fixed Income Fund
September 30, 2006
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS# (UNAUDITED):
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
26.4% U.S. Government Mortgage-Backed Obligations
21.5% Asset-Backed Securities
17.8% Financials
10.9% Treasury Obligations
8.2% Short-Term Investments
6.0% U.S. Government Agency Obligations
1.8% Energy
1.6% Industrials
1.3% Consumer Discretionary
1.3% Utilities
0.9% Telecommunication Services
0.8% Sovereign
0.4% Health Care
0.4% Certificates of Deposit
0.3% Consumer Staples
0.2% Materials
0.2% Foreign Bonds
0.0% Information Technology
0.0% Purchase Options
#Percentages based on total investments. Includes investments held as collateral
for securities on loan (see Note 7).
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 37.0%
FHLMC
7.500%, 11/01/29 to 09/01/32 $ 3,089 $ 3,196
7.000%, 12/01/06 to 01/01/32 3,732 3,793
6.500%, 12/01/13 to 09/01/36 23,225 23,688
6.000%, 10/01/19 to 07/01/36 13,437 13,573
5.500%, 12/01/13 to 04/01/34 16,593 16,588
5.000%, 10/01/18 to 07/01/35 59,674 58,104
4.500%, 10/23/13 to 11/01/35 34,841 33,313
4.000%, 04/01/19 to 10/01/33 3,247 2,955
FHLMC ARM
5.815%, 02/01/36 4,463 4,484
5.601%, 05/01/36 7,635 7,681
5.150%, 01/01/36 8,983 8,865
5.095%, 02/01/36 5,905 5,837
FHLMC TBA
5.500%, 10/01/21 to 11/01/35 97,300 95,890
5.000%, 10/15/18 to 11/13/35 33,900 32,766
FNMA
8.000%, 10/01/15 29 31
7.000%, 09/01/26 to 04/01/32 5,132 5,285
6.500%, 05/01/17 to 12/01/34 9,580 9,790
6.000%, 03/01/33 to 07/01/36 22,292 22,433
5.928%, 09/01/36 4,647 4,700
5.500%, 06/01/14 to 02/01/35 140,059 139,007
5.000%, 01/01/20 to 12/01/34 74,430 72,742
4.653%, 10/01/12 705 689
4.508%, 04/01/09 1,728 1,704
4.500%, 09/01/33 to 08/01/35 16,867 15,774
4.330%, 11/01/11 848 818
4.000%, 08/01/20 2,889 2,728
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FNMA ARM
6.564%, 11/01/35 $ 6,031 $ 6,177
6.562%, 11/01/35 3,104 3,179
6.558%, 11/01/35 2,964 3,035
6.444%, 07/01/36 2,631 2,692
6.288%, 11/01/35 3,110 3,185
6.286%, 10/01/35 14,676 15,029
6.283%, 10/01/35 9,018 9,235
6.279%, 11/01/35 6,140 6,288
5.829%, 07/01/36 5,458 5,510
5.662%, 06/01/36 1,249 1,261
5.635%, 02/01/36 916 917
5.504%, 06/01/36 517 518
5.298%, 04/01/36 1,484 1,483
5.070%, 07/01/35 1,780 1,760
4.868%, 09/01/35 872 850
FNMA TBA
6.500%, 10/01/32 to 10/25/36 80,043 81,494
6.000%, 10/20/19 to 10/01/36 93,692 94,232
5.500%, 10/15/21 to 10/01/34 299,763 295,446
5.000%, 10/01/20 to 10/01/36 263,450 253,392
4.500%, 10/20/18 to 10/14/34 13,500 12,916
GNMA
8.000%, 11/15/29 to 01/15/31 228 242
7.500%, 03/15/29 to 01/15/32 606 632
7.000%, 08/15/13 189 195
6.500%, 10/15/23 to 09/20/36 45,579 46,722
6.000%, 03/15/14 to 11/15/35 80,951 82,026
5.500%, 10/20/34 4,560 4,519
5.000%, 05/15/33 to 10/15/35 7,186 6,988
GNMA ARM
5.625%, 02/20/34 3,251 3,260
4.500%, 08/20/34 to 05/20/36 13,613 13,539
4.000%, 02/20/34 to 03/20/36 7,106 7,042
3.750%, 12/20/33 to 05/20/34 26,325 25,966
GNMA TBA
6.500%, 10/01/34 2,700 2,768
6.000%, 10/01/36 2,500 2,530
5.000%, 10/01/36 12,740 12,374
--------------
Total U.S. Government Mortgage-Backed Obligations
(Cost $1,593,901) ($ Thousands) 1,593,836
--------------
CORPORATE OBLIGATIONS -- 32.2%
CONSUMER DISCRETIONARY -- 1.8%
American Achievement
8.250%, 04/01/12 900 909
Beazer Homes
8.625%, 05/15/11 500 504
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 119
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Boyd Gaming
7.125%, 02/01/16 $ 350 $ 339
6.750%, 04/15/14 (J) 570 557
CBS
5.625%, 08/15/12 705 697
COX Communications
7.875%, 08/15/09 750 795
4.625%, 06/01/13 805 748
CSC Holdings
7.625%, 07/15/18 80 82
Caesars Entertainment
8.125%, 05/15/11 540 570
Clear Channel Communications
6.250%, 03/15/11 (J) 2,230 2,237
4.250%, 05/15/09 990 957
Comcast
6.500%, 01/15/15 985 1,028
6.500%, 01/15/17 490 512
5.900%, 03/15/16 (J) 1,470 1,471
5.850%, 11/15/15 465 465
5.650%, 06/15/35 635 576
5.450%, 11/15/10 525 527
5.300%, 01/15/14 2,340 2,279
Comcast Cable Communications
8.375%, 03/15/13 1,070 1,221
6.750%, 01/30/11 7,430 7,806
Continental Cablevision
9.000%, 09/01/08 1,150 1,225
DaimlerChrysler
8.500%, 01/18/31 490 582
7.300%, 01/15/12 1,400 1,488
6.500%, 11/15/13 1,860 1,907
Daimlerchrysler MTN
5.750%, 09/08/11 1,855 1,846
Direct TV
8.375%, 03/15/13 350 363
Echostar DBS (C)
7.125%, 02/01/16 1,970 1,904
Entercom Radio
7.625%, 03/01/14 160 156
Ford Motor
9.980%, 02/15/47 3,800 3,306
9.215%, 09/15/21 1,000 880
7.500%, 08/01/26 1,900 1,425
7.450%, 07/16/31 (J) 2,940 2,271
General Motors (J)
8.250%, 07/15/23 3,100 2,685
Harrahs Operating
6.500%, 06/01/16 1,270 1,245
5.625%, 06/01/15 1,530 1,422
Hertz (C)
8.875%, 01/01/14 725 759
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Home Depot
5.400%, 03/01/16 $ 620 $ 616
Inn of the Mountain Gods (J)
12.000%, 11/15/10 1,010 1,058
Jacuzzi Brands
9.625%, 07/01/10 870 922
Kabel Deutschland (C)
10.625%, 07/01/14 545 585
Lamar Media (C)
6.625%, 08/15/15 720 690
MGM Mirage
8.500%, 09/15/10 160 170
Mandalay Resort Group
9.500%, 08/01/08 440 466
News America
6.400%, 12/15/35 995 976
6.200%, 12/15/34 395 377
Omnicon Group
5.900%, 04/15/16 2,165 2,197
Quebecor Media
7.750%, 03/15/16 470 471
Reader's Digest Association
6.500%, 03/01/11 390 371
River Rock Entertainment
9.750%, 11/01/11 930 988
Rogers Cable
7.875%, 05/01/12 550 587
6.750%, 03/15/15 1,015 1,025
5.500%, 03/15/14 1,155 1,086
Station Casinos
6.625%, 03/15/18 1,495 1,349
Time Warner
7.700%, 05/01/32 4,685 5,232
6.875%, 05/01/12 3,820 4,039
Time Warner Entertainment
8.375%, 07/15/33 620 731
Viacom (C)
6.875%, 04/30/36 500 494
6.250%, 04/30/16 (B) 265 263
5.750%, 04/30/11 (B) 3,980 3,972
Visteon (J)
8.250%, 08/01/10 530 517
--------------
76,926
--------------
CONSUMER STAPLES -- 0.4%
Altria Group
7.750%, 01/15/27 3,860 4,674
7.000%, 11/04/13 795 867
Anheuser-Busch
5.050%, 10/15/16 940 920
Diageo Capital
5.500%, 09/30/16 1,850 1,835
- --------------------------------------------------------------------------------
120 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
General Mills
6.000%, 02/15/12 $ 750 $ 772
Kellogg, Ser B
6.600%, 04/01/11 890 936
Kraft Foods
5.625%, 11/01/11 1,560 1,576
5.250%, 10/01/13 1,015 1,003
Mohawk
5.750%, 01/15/11 1,910 1,902
Philip Morris Capital
7.500%, 07/16/09 1,750 1,823
Sabmiller (C)
6.500%, 07/01/16 675 705
Wal-Mart Stores
5.250%, 09/01/35 700 655
--------------
17,668
--------------
ENERGY -- 2.5%
Amerada Hess
7.300%, 08/15/31 5,450 6,137
Amerigas
7.125%, 05/20/16 1,105 1,088
Anadarko Finance, Ser B
7.500%, 05/01/31 3,480 3,979
6.750%, 05/01/11 1,570 1,650
Anadarko Petroleum
6.450%, 09/15/36 6,240 6,374
5.790%, 12/15/06 (F) 4,000 4,005
Apache
6.250%, 04/15/12 685 715
Canadian National Resources
6.500%, 02/15/37 615 623
5.850%, 02/01/35 800 747
Chesapeake Energy
6.375%, 06/15/15 500 478
Conoco Funding
7.250%, 10/15/31 530 632
6.950%, 04/15/29 4,060 4,682
6.350%, 10/15/11 (J) 920 968
ConocoPhillips (J)
5.900%, 10/15/32 1,710 1,749
4.750%, 10/15/12 3,990 3,908
Devon Energy
7.950%, 04/15/32 3,820 4,717
Devon Financing
6.875%, 09/30/11 1,920 2,043
Duke Capital LLC
8.000%, 10/01/19 365 424
7.500%, 10/01/09 1,125 1,197
El Paso
7.750%, 07/15/11 (C) 5,470 5,620
6.950%, 06/01/28 6,750 6,345
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
El Paso MTN (J)
7.800%, 08/01/31 $ 2,280 $ 2,337
7.750%, 01/15/32 5,075 5,202
Encana
6.500%, 08/15/34 554 575
Energy Transfer Partners
5.650%, 08/01/12 945 936
Kansas Gas & Electric
5.647%, 03/29/21 1,505 1,457
Kerr-Mcgee
7.875%, 09/15/31 910 1,100
Kinder Morgan
6.500%, 09/01/12 925 926
Kinder Morgan Energy Partners
7.125%, 03/15/12 90 95
6.750%, 03/15/11 580 604
6.300%, 02/01/09 570 579
5.800%, 03/15/35 635 578
5.000%, 12/15/13 2,735 2,598
Pemex Project Funding Master Trust
7.375%, 12/15/14 525 568
6.625%, 06/15/35 (C) 1,775 1,744
Petrobras International Finance
6.125%, 10/06/16 2,420 2,409
Pogo Producing
6.875%, 10/01/17 1,000 954
Ras Laffan (C)
6.332%, 09/30/27 1,170 1,176
Semgroup (C)
8.750%, 11/15/15 110 111
Sonat
7.625%, 07/15/11 2,850 2,921
Suburban Propane Partners
6.875%, 12/15/13 735 709
Tosco
8.125%, 02/15/30 400 518
Vastar Resources
6.500%, 04/01/09 3,490 3,601
Vintage Petroleum
8.250%, 05/01/12 480 507
Western Oil Sands
8.375%, 05/01/12 1,195 1,282
Williams
8.750%, 03/15/32 7,050 7,720
7.750%, 06/15/31 1,880 1,880
Williams, Ser A (J)
7.500%, 01/15/31 1,490 1,471
XTO Energy
7.500%, 04/15/12 850 927
6.250%, 04/15/13 690 712
YPF Sociedad Anonima MTN, Ser A
7.750%, 08/27/07 5,000 5,077
--------------
109,355
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 121
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FINANCIALS -- 20.3%
ACE
6.700%, 05/15/36 $ 740 $ 778
ASIF Global Financing XIX (C)
4.900%, 01/17/13 390 381
Aiful (C)
5.000%, 08/10/10 1,420 1,381
Allied Capital
6.625%, 07/15/11 2,475 2,523
Allied World Assurance
7.500%, 08/01/16 2,500 2,648
Allstate Life Global Funding II
MTN (C) (F) (K)
5.370%, 10/16/06 6,215 6,215
American Express
5.500%, 09/12/16 1,240 1,245
American General Finance (C) (F) (K)
5.360%, 10/16/06 19,591 19,591
American International Group
4.700%, 10/01/10 1,475 1,451
Arch Capital Group
7.350%, 05/01/34 1,317 1,457
Bank One
7.875%, 08/01/10 3,525 3,843
Bank of America
7.400%, 01/15/11 6,240 6,752
5.375%, 06/15/14 3,055 3,068
4.250%, 10/01/10 780 756
Banponce Trust I, Ser A
8.327%, 02/01/27 2,590 2,711
Bear Stearns
4.500%, 10/28/10 4,030 3,922
Bear Stearns EXL (F) (K)
5.370%, 10/16/06 24,049 24,049
Boeing Capital
6.500%, 02/15/12 465 493
5.800%, 01/15/13 425 439
Bunge Finance
4.375%, 12/15/08 425 415
CIT Group
5.000%, 02/01/15 2,015 1,935
4.250%, 02/01/10 1,595 1,546
CIT Group MTN
4.750%, 08/15/08 1,330 1,319
Capital One Bank
4.875%, 05/15/08 1,480 1,471
Capital One Financial
8.750%, 02/01/07 2,095 2,116
6.150%, 09/01/16 925 936
5.500%, 06/01/15 1,310 1,285
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
China Development Bank
5.000%, 10/15/15 $ 500 $ 483
Citigroup
5.875%, 02/22/33 2,680 2,671
5.850%, 08/02/16 1,265 1,307
5.100%, 09/29/11 1,230 1,226
5.000%, 09/15/14 3,175 3,093
3.625%, 02/09/09 3,150 3,049
Countrywide Financial MTN (F) (K)
5.448%, 12/27/06 8,107 8,107
Countrywide Financial MTN,
Ser A (F) (K)
5.548%, 11/03/06 14,186 14,186
Countrywide Home Loans MTN,
Ser L
2.875%, 02/15/07 3,320 3,290
Credit Suisse First Boston
London (C) (F) (L)
0.000%, 03/24/10 8,663 7,827
0.000%, 03/24/10 2,387 2,157
Credit Suisse First Boston USA
5.850%, 08/16/16 495 508
5.500%, 08/16/11 2,165 2,184
4.875%, 08/15/10 2,210 2,184
Dekabank (C) (F) (K)
5.490%, 10/19/06 24,995 24,995
Deutsche Bank Capital Funding
Trust (C) (F)
5.628%, 01/19/49 7,870 7,673
Developers Divers Realty+
5.375%, 10/15/12 1,470 1,455
Developers Divers Realty MTN+
7.000%, 03/19/07 1,300 1,309
Di Finance, Ser B
9.500%, 02/15/13 90 93
Dow Jones CDX HY, Ser 5-T1 (C) (J)
8.750%, 12/29/10 200 206
Dryden Investor Trust (C) (H)
7.157%, 07/23/08 3,383 3,439
EOP Operating
4.750%, 03/15/14 865 818
Equity One+
3.875%, 04/15/09 7,480 7,186
Farmers Exchange Capital (C)
8.625%, 05/01/24 3,717 4,404
7.200%, 07/15/48 1,465 1,490
7.050%, 07/15/28 4,434 4,545
First Industrial
7.600%, 07/15/28 3,675 4,021
First Industrial MTN
7.500%, 12/01/17 1,800 1,997
- --------------------------------------------------------------------------------
122 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Ford Motor Credit
7.875%, 06/15/10 $ 7,405 $ 7,212
7.375%, 10/28/09 20,540 19,961
7.250%, 10/25/11 336 317
7.000%, 10/01/13 8,000 7,423
6.625%, 06/16/08 1,500 1,477
6.625%, 06/15/11 (C) (F) 3,863 4,036
Forest City Enterprises
7.625%, 06/01/15 500 510
6.500%, 02/01/17 270 254
GE Capital Franchise MTN+
6.860%, 06/15/07 1,850 1,868
GE Global Insurance
7.500%, 06/15/10 105 113
7.000%, 02/15/26 705 773
General Electric Capital
4.875%, 03/04/15 865 842
General Electric Capital MTN, Ser A
6.750%, 03/15/32 2,285 2,612
6.000%, 06/15/12 3,740 3,886
3.750%, 12/15/09 2,041 1,962
General Motors Acceptance
8.000%, 11/01/31 4,150 4,339
7.750%, 01/19/10 2,430 2,490
7.600%, 10/25/06 (F) (J) 12,968 13,001
7.250%, 03/02/11 3,520 3,540
6.875%, 09/15/11 520 517
6.457%, 10/18/06 (F) 3,460 3,441
6.125%, 08/28/07 460 459
5.850%, 01/14/09 1,680 1,647
5.625%, 05/15/09 (J) 22,070 21,522
5.125%, 05/09/08 1,480 1,450
4.375%, 12/10/07 690 674
Genworth Financial
4.950%, 10/01/15 1,595 1,531
Glitner Banki (C) (F) (K)
5.380%, 10/10/06 20,266 20,266
Glitnir Bank (C)
6.693%, 06/15/16 (F) 3,960 4,050
6.330%, 07/28/11 1,980 2,021
Goldman Sachs Capital I
6.345%, 02/15/34 1,690 1,679
Goldman Sachs Group
6.875%, 01/15/11 3,775 4,001
6.450%, 05/01/36 1,440 1,470
5.350%, 01/15/16 925 908
5.250%, 10/15/13 (J) 3,565 3,518
5.125%, 01/15/15 2,270 2,201
HSBC Finance
8.000%, 07/15/10 3,475 3,796
7.000%, 05/15/12 1,505 1,627
6.375%, 11/27/12 585 614
4.750%, 04/15/10 (J) 4,060 4,006
4.625%, 09/15/10 650 637
4.125%, 12/15/08 1,000 978
4.125%, 11/16/09 2,155 2,090
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
HSBC Holdings
6.500%, 05/02/36 $ 885 $ 939
Hartford Financial Services Group
5.950%, 10/15/36 490 491
5.500%, 10/15/16 610 610
Hexion US Financial
9.000%, 07/15/14 250 255
Highwoods Realty+
7.500%, 04/15/18 3,800 4,192
7.125%, 02/01/08 3,000 3,055
Host Marriott, Ser Q+
6.750%, 06/01/16 455 449
ILFC E-Capital Trust I (C) (F) (J)
5.900%, 12/21/06 1,110 1,118
ILFC E-Capital Trust II (C) (F)
6.250%, 12/21/65 490 490
International Lease Finance
4.750%, 01/13/12 1,176 1,143
International Lease Finance MTN
5.620%, 11/24/06 (F) 955 957
5.450%, 03/24/11 1,990 2,002
Irish Life & Permanent MTN,
Ser X (C) (F) (K)
5.370%, 10/23/06 17,969 17,968
Islandsbanki (C) (F) (K)
5.380%, 10/23/06 11,484 11,484
Istar Financial, Ser 1+
5.875%, 03/15/16 795 791
JPMorgan Capital Trust II
7.950%, 02/01/27 580 605
JPMorgan Chase
5.750%, 01/02/13 6,435 6,581
5.600%, 06/01/11 (J) 4,355 4,428
5.125%, 09/15/14 765 750
JPMorgan Chase Capital XV (J)
5.875%, 03/15/35 1,645 1,577
Jackson National Life Funding (C) (F) (K)
5.330%, 10/02/06 29,724 29,724
Kaupthing Bank
7.125%, 05/19/16 (C) 1,350 1,419
5.750%, 10/04/11 (C) 670 666
5.740%, 10/12/06 6,070 6,071
Kaupthing Bank MTN (C) (F) (K)
5.390%, 10/20/06 33,777 33,777
Korea Development Bank
4.625%, 09/16/10 1,000 975
4.250%, 11/13/07 755 746
Lakeside Funding (F) (K)
5.330%, 10/10/06 8,077 8,077
Landsbanki Islands (C)
6.100%, 08/25/11 5,570 5,628
5.410%, 10/16/06 (F) (K) 25,671 25,671
Lazard Group
7.125%, 05/15/15 1,340 1,396
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 123
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Lehman Brothers
6.500%, 04/15/08 $ 695 $ 707
Lehman Brothers Holdings
7.000%, 02/01/08 3,395 3,466
Lehman Brothers Holdings MTN
5.750%, 07/18/11 2,650 2,699
5.750%, 05/17/13 1,860 1,893
Lehman Brothers Holdings MTN, (F) (M)
0.000%, 06/20/16 4,235 4,256
0.000%, 11/30/10 3,570 3,337
Lehman Brothers MTN
5.500%, 04/04/16 785 782
Liberty Mutual Group (C)
6.500%, 03/15/35 1,525 1,455
Liberty Mutual Insurance (C)
7.875%, 10/15/26 410 463
MUFG Capital Finance 1 (F)
6.346%, 07/29/49 1,670 1,684
Merrill Lynch
7.430%, 09/01/22 4 4
6.050%, 05/16/16 4,880 5,046
Merrill Lynch MTN, Ser B
3.375%, 09/14/07 2,100 2,063
Merrill Lynch MTN, Ser C
4.250%, 02/08/10 1,120 1,088
Merrill Lynch Mortgage Investors Trust,
Ser 2005-SL3, Cl A1 (F)
5.560%, 10/10/06 4,823 4,825
Met Life Global Funding (C)
4.750%, 06/20/07 1,100 1,095
Monumental Global Funding (C)
5.200%, 01/30/07 625 625
Morgan Stanley
5.375%, 10/15/15 1,605 1,585
4.750%, 04/01/14 1,220 1,160
Morgan Stanley EXL (F) (K)
5.390%, 10/04/06 4,729 4,729
Morgan Stanley EXL, Ser S (F) (K)
5.350%, 10/03/06 6,755 6,755
Morgan Stanley MTN
6.250%, 08/09/26 620 642
5.625%, 01/09/12 1,555 1,575
NB Capital Trust IV
8.250%, 04/15/27 4,500 4,721
Natexis Banques (C) (F) (K)
5.310%, 10/16/06 13,173 13,172
National Capital Trust II (C) (F)
5.486%, 12/17/06 2,231 2,130
Nationwide Building Society (C) (F) (K)
5.424%, 12/28/06 7,431 7,431
5.360%, 10/10/06 13,511 13,511
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Nationwide Mutual Insurance (C)
8.250%, 12/01/31 $ 3,575 $ 4,344
6.600%, 04/15/34 3,590 3,536
Nordbank (C) (F) (K)
5.360%, 10/23/06 22,969 22,966
North Front Pass-Through Trust (C) (F)
5.810%, 12/15/06 1,975 1,940
Northern Rock (C) (F) (K)
5.370%, 10/03/06 13,916 13,916
Odyssey Re Holdings
6.875%, 05/01/15 2,400 2,302
PNC Funding
5.250%, 11/15/15 1,495 1,471
Pacific Life Global Funding (C) (F) (K)
5.380%, 10/13/06 10,133 10,133
Power Receivables Financial
6.290%, 01/01/12 4,145 4,214
6.290%, 01/01/12 (C) 340 343
Premium Asset Trust, Ser 2004-10 (C) (F) (K)
5.370%, 10/16/06 18,915 18,915
Prime Property Funding (C)
5.600%, 06/15/11 1,780 1,788
Prologis+
5.500%, 04/01/12 1,295 1,292
5.250%, 11/15/10 460 457
Rabobank Capital Fund Trust II (C) (F)
5.260%, 12/29/49 200 196
Rabobank Capital Fund Trust III (C) (F)
5.254%, 12/31/06 420 405
Residential Capital
6.875%, 06/30/15 225 234
6.742%, 12/29/06 (F) 980 985
6.500%, 04/17/13 3,445 3,499
6.125%, 11/21/08 2,875 2,886
6.000%, 02/22/11 600 599
Resona Preferred Global Securities (C) (F)
7.191%, 07/30/49 580 600
Royal Bank of Scotland Group
5.000%, 10/01/14 1,240 1,208
SLM EXL, Ser S (C) (F) (K)
5.330%, 10/16/06 14,862 14,862
SLM MTN
5.665%, 10/25/06 2,180 2,180
SLM MTN, Ser A
5.000%, 10/01/13 1,595 1,553
SLM, Ser CPI (F)
5.440%, 10/01/06 5,580 5,360
Shinsei Finance Cayman (C) (F)
6.418%, 01/29/49 4,880 4,847
Sigma Finance MTN (C) (K)
4.745%, 11/09/06 7,296 7,296
- --------------------------------------------------------------------------------
124 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Simon Property Group+
6.100%, 05/01/16 $ 825 $ 851
5.750%, 05/01/12 2,185 2,216
5.750%, 12/01/15 910 917
5.600%, 09/01/11 2,300 2,317
Skandinav Enskilda Bank (C) (F) (K)
5.320%, 10/18/06 14,862 14,861
St. Paul
5.750%, 03/15/07 525 526
Stanfield Victoria MTN (C) (F) (K)
5.445%, 06/11/07 13,511 13,510
Stingray Pass-Through Trust (C)
5.902%, 01/12/15 4,500 4,381
Sumitomo Mitsui Banking (C) (F)
5.625%, 10/15/15 2,620 2,550
TNK-BP Finance
7.500%, 07/18/16 3,320 3,468
Toyota Motor Credit
5.500%, 12/15/08 120 121
UBS Preferred Funding Trust V (F) (J)
6.243%, 05/15/49 2,450 2,532
US Bancorp MTN, Ser N
3.125%, 03/15/08 2,215 2,151
Ventas Realty+
9.000%, 05/01/12 180 201
6.750%, 04/01/17 940 946
6.500%, 06/01/16 495 492
Wachovia
5.500%, 08/01/35 1,405 1,329
5.250%, 08/01/14 4,390 4,342
4.875%, 02/15/14 (J) 2,115 2,046
Wachovia Capital Trust III (F)
5.800%, 03/15/11 2,230 2,236
Washington Mutual
4.625%, 04/01/14 4,175 3,897
4.000%, 01/15/09 746 726
Washington Mutual Bank
5.650%, 08/15/14 1,210 1,212
Washington Mutual Preferred
Funding (C) (F) (J)
6.534%, 03/15/49 1,600 1,572
Washington+
5.350%, 05/01/15 687 672
Wells Fargo
5.375%, 02/07/35 2,085 1,980
Western Union (C)
5.930%, 10/01/16 795 802
Westfield Capital (C)
4.375%, 11/15/10 4,153 4,005
Westfield Group (C)
5.700%, 10/01/16 2,020 2,015
5.400%, 10/01/12 3,370 3,363
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Woodbourne Pass-Through Trust (C) (F)
6.468%, 10/08/06 $ 2,500 $ 2,515
XL Capital
6.375%, 11/15/24 825 848
ZFS Finance USA Trust II (C) (F) (J)
6.450%, 12/15/65 4,600 4,550
Zions Bancorp (J)
5.500%, 11/16/15 945 934
Zurich Capital Trust I (C)
8.376%, 06/01/37 7,362 7,747
--------------
872,440
--------------
HEALTH CARE -- 0.5%
Aetna
6.625%, 06/15/36 430 454
6.000%, 06/15/16 1,570 1,615
Baxter
5.900%, 09/01/16 930 955
Boston Scientific
7.000%, 11/15/35 645 638
6.400%, 06/15/16 320 323
6.000%, 06/15/11 950 956
Davita (J)
7.250%, 03/15/15 1,145 1,125
HCA
7.500%, 11/06/33 (J) 3,380 2,636
6.500%, 02/15/16 (J) 2,130 1,704
6.300%, 10/01/12 119 101
5.750%, 03/15/14 3,090 2,426
Omnicare
6.875%, 12/15/15 1,000 971
Tenet Healthcare (J)
7.375%, 02/01/13 336 303
Teva Pharmaceutical Finance LLC
6.150%, 02/01/36 1,440 1,386
5.550%, 02/01/16 475 466
Wellpoint
6.800%, 08/01/12 1,000 1,067
5.850%, 01/15/36 980 950
5.250%, 01/15/16 465 456
Wyeth (J)
5.500%, 02/15/16 2,410 2,408
--------------
20,940
--------------
INDUSTRIALS -- 2.2%
Air 2 US (C)
8.027%, 10/01/19 2,916 2,931
America West Airlines, Ser 1999-1
7.930%, 01/02/19 8,761 9,363
American Airlines, Ser 1999-1 (J)
7.024%, 10/15/09 4,630 4,752
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 125
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Burlington North Santa Fe
6.750%, 07/15/11 $ 1,610 $ 1,708
Canadian National Railway (J)
6.200%, 06/01/36 995 1,063
Cedar Brakes I LLC (C)
8.500%, 02/15/14 4,390 4,789
Cedar Brakes II LLC (C)
9.875%, 09/01/13 3,020 3,382
Continental Airlines, Ser 1999-2
7.256%, 03/15/20 1,769 1,875
Continental Airlines, Ser 971A
7.461%, 04/01/15 2,804 2,804
Continental Airlines, Ser 974A
6.900%, 01/02/18 7,732 7,959
Corning
5.250%, 08/15/36 680 724
DRS Technologies
6.625%, 02/01/16 505 496
Delta Air Lines, Ser 2000-1, Cl A2 (I)
7.570%, 11/18/10 1,739 1,741
Delta Air Lines, Ser 2001-1, Cl A-2 (I)
7.111%, 09/18/11 179 179
Eastman Kodak (J)
7.250%, 11/15/13 2,740 2,676
Electronic Data Systems
7.125%, 10/15/09 3,680 3,849
Federal Express, Ser A3
8.400%, 03/23/10 600 609
General Electric
5.000%, 02/01/13 1,160 1,147
Horizon Lines LLC
9.000%, 11/01/12 1,130 1,164
L-3 Communications, Cl B
6.375%, 10/15/15 520 506
Lafarge
6.150%, 07/15/11 770 787
Lockheed Martin
6.150%, 09/01/36 925 969
Norfolk Southern
7.050%, 05/01/37 1,005 1,172
Northrup Grumman
4.079%, 11/16/06 1,400 1,398
Northwest Airlines, Cl 1A-1 (I) (J)
7.041%, 04/01/22 1,512 1,502
OMI
7.625%, 12/01/13 600 606
Raytheon
6.000%, 12/15/10 24 25
5.500%, 11/15/12 55 55
Service (C)
7.625%, 10/01/18 205 206
7.375%, 10/01/14 135 136
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Systems 2001 Asset Trust (C)
6.664%, 09/15/13 $ 1,496 $ 1,575
Teekay Shipping
8.875%, 07/15/11 1,785 1,883
Terex
7.375%, 01/15/14 405 407
Tyco International Group
7.000%, 06/15/28 250 284
6.875%, 01/15/29 (J) 7,140 7,949
6.750%, 02/15/11 2,190 2,313
6.375%, 10/15/11 8,135 8,528
6.000%, 11/15/13 915 947
United Airlines, Ser A-3 (H) (I)
8.390%, 01/21/11 886 80
United Technologies
6.500%, 06/01/09 2,365 2,438
Waste Management
7.125%, 12/15/17 5,305 5,882
7.100%, 08/01/26 1,710 1,887
Xerox
6.750%, 02/01/17 330 335
6.400%, 03/15/16 1,340 1,333
--------------
96,414
--------------
INFORMATION TECHNOLOGY -- 0.0%
Compagnie Generale de Geophysique
7.500%, 05/15/15 550 544
Sungard Data Systems
10.250%, 08/15/15 725 747
--------------
1,291
--------------
MATERIALS -- 0.3%
Alcan
6.125%, 12/15/33 610 609
Celulosa Arauco y Constitucion
5.625%, 04/20/15 765 744
Codelco (C)
4.750%, 10/15/14 960 906
Georgia Gulf (C)
9.500%, 10/15/14 200 199
International Paper
5.850%, 10/30/12 1,970 2,013
Lyondell Chemical
8.250%, 09/15/16 125 127
8.000%, 09/15/14 220 223
Potash of Saskatchewan
4.875%, 03/01/13 1,220 1,174
Westlake Chemicals
6.625%, 01/15/16 610 579
Weyerhaeuser
6.750%, 03/15/12 4,540 4,745
--------------
11,319
--------------
- --------------------------------------------------------------------------------
126 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
SOVEREIGN -- 1.2%
Federal Republic of Brazil (J)
11.000%, 08/17/40 $ 4,926 $ 6,416
Province of Quebec
7.500%, 09/15/29 620 795
Republic of Colombia
11.750%, 02/25/20 673 942
7.375%, 09/18/37 (J) 1,390 1,407
Republic of Panama
9.375%, 04/01/29 453 584
6.700%, 01/26/36 1,457 1,443
Russian Federation Registered (G)
5.000%, 03/31/30 14,560 16,250
United Mexican States
5.625%, 01/15/17 8,663 8,559
United Mexican States MTN
8.300%, 08/15/31 2,290 2,856
United Mexican States MTN, Ser A
7.500%, 04/08/33 8,140 9,390
6.750%, 09/27/34 (J) 550 584
5.875%, 01/15/14 775 793
--------------
50,019
--------------
TELECOMMUNICATION SERVICES -- 1.2%
AT&T
7.300%, 10/15/06 730 791
6.800%, 05/15/36 635 667
6.450%, 06/15/34 625 628
6.150%, 09/15/34 810 784
5.100%, 09/15/14 5,170 4,995
4.125%, 09/15/09 (J) 795 770
America Movil
6.375%, 03/01/35 605 578
BellSouth
6.000%, 11/15/34 1,280 1,201
4.750%, 11/15/12 170 162
British Telecommunications PLC
8.875%, 12/15/30 1,095 1,461
8.375%, 12/15/10 1,250 1,401
Cincinnati Bell
7.000%, 02/15/15 500 490
Cingular Wireless
6.500%, 12/15/11 1,455 1,525
Deutsche Telekom International Finance
8.250%, 06/15/30 310 379
8.000%, 06/15/10 925 1,009
5.750%, 03/23/16 (J) 3,200 3,131
Embarq
7.995%, 06/01/36 487 516
7.082%, 06/01/16 1,410 1,438
Intelsat
6.500%, 11/01/13 160 128
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Intelsat Bermuda (C)
9.250%, 06/15/16 $ 325 $ 342
Koninklije
8.000%, 10/01/10 650 702
New Cingular Wireless Services
8.125%, 05/01/12 2,635 2,966
New Jersey Bell Telephone
7.850%, 11/15/29 1,135 1,245
Qwest
5.625%, 11/15/08 430 427
Qwest Communications International (F)
8.905%, 11/11/06 1,635 1,666
Sprint Capital
8.375%, 03/15/12 4,915 5,509
6.125%, 11/15/08 1,490 1,512
6.000%, 01/15/07 2,725 2,728
Telecom Italia Capital
7.200%, 07/18/36 310 319
6.000%, 09/30/34 745 666
5.250%, 11/15/13 790 748
5.250%, 10/01/15 90 83
4.950%, 09/30/14 1,250 1,148
Telefonica Emisiones Sau
5.984%, 06/20/11 1,475 1,503
Telefonica Europe
7.750%, 09/15/10 1,925 2,078
Verizon Communications
5.550%, 02/15/16 1,200 1,184
5.350%, 02/15/11 985 988
Verizon New Jersey, Ser A
5.875%, 01/17/12 2,175 2,197
Verizon Wireless Capital
5.375%, 12/15/06 1,665 1,664
Vodafone Group
5.500%, 06/15/11 1,425 1,428
Windstream (C)
8.625%, 08/01/16 190 203
--------------
53,360
--------------
UTILITIES -- 1.8%
Allegheny Energy Supply (B) (C)
8.250%, 04/15/12 885 965
Arizona Public Services
8.000%, 12/30/15 3,484 3,858
Cleveland Electric Illumination
5.650%, 12/15/13 500 500
Cogentrix Energy (C)
8.750%, 10/15/08 7,208 7,769
Commonwealth Edison
5.900%, 03/15/36 970 952
DPL
6.875%, 09/01/11 1,785 1,879
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 127
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Detroit Edison, Ser A
6.625%, 06/01/36 $ 990 $ 1,080
Dominion Resources
5.700%, 09/17/12 3,270 3,290
4.750%, 12/15/10 1,895 1,848
4.125%, 02/15/08 810 797
Dominion Resources, Ser B
5.950%, 06/15/35 610 592
Duke Energy
6.250%, 01/15/12 2,105 2,191
5.625%, 11/30/12 4,910 4,980
Exelon (J)
5.625%, 06/15/35 4,750 4,485
Exelon Generation LLC (C)
6.950%, 06/15/11 1,825 1,935
FPL Energy American Wind (C)
6.639%, 06/20/23 6,278 6,478
FirstEnergy, Ser A
5.500%, 11/15/06 2,168 2,168
FirstEnergy, Ser B (J)
6.450%, 11/15/11 1,405 1,466
FirstEnergy, Ser C
7.375%, 11/15/31 6,370 7,364
Midamerican Energy Holdings (B) (C)
6.125%, 04/01/36 645 652
NRG Energy (J)
7.250%, 02/01/14 1,610 1,598
Nevada Power (B) (C)
5.950%, 03/15/16 1,330 1,329
Oncor Electric Delivery
6.375%, 01/15/15 765 790
PSEG Power
7.750%, 04/15/11 1,075 1,166
5.000%, 04/01/14 620 591
Pacific Gas & Electric
6.050%, 03/01/34 2,610 2,625
Progress Energy
6.850%, 04/15/12 2,495 2,666
Public Service
7.875%, 10/01/12 1,350 1,524
Southern California Edison
6.000%, 01/15/34 1,505 1,538
Swepco Capital Trust I (F)
5.250%, 10/01/43 4,255 4,227
TXU Energy
7.000%, 03/15/13 780 819
TXU, Ser P
5.550%, 11/15/14 530 501
TXU, Ser R
6.550%, 11/15/34 4,510 4,248
--------------
78,871
--------------
Total Corporate Obligations
(Cost $1,366,393) ($ Thousands) 1,388,603
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 30.2%
AUTOMOTIVE -- 0.8%
AmeriCredit Automobile Receivables
Trust, Ser 2003-DM, Cl A4
2.840%, 08/06/10 $ 1,969 $ 1,941
Capital Auto Receivables Asset Trust,
Ser 2004-1, Cl A3
2.000%, 11/15/07 300 299
Capital Auto Receivables Asset Trust,
Ser 2004-2, Cl A2
3.350%, 02/15/08 584 581
Capital Auto Receivables Asset Trust,
Ser 2006-1, Cl A3
5.030%, 10/15/09 1,313 1,310
Capital One Prime Auto Receivables
Trust, Ser 2006-1, Cl A3
4.990%, 09/15/10 1,642 1,640
Carmax Auto Owner Trust,
Ser 2006-2, Cl A3
5.150%, 02/15/11 2,476 2,480
Chase Manhattan Auto Owner Trust,
Ser 2004-A, Cl A3
2.080%, 05/15/08 508 506
Ford Credit Auto Owner Trust,
Ser 2005-A, Cl A3
3.480%, 11/15/08 2,102 2,085
Ford Credit Auto Owner Trust,
Ser 2005-B, Cl A3
4.170%, 01/15/09 1,386 1,377
Ford Credit Auto Owner Trust,
Ser 2006-B, Cl A4
5.250%, 09/15/11 2,112 2,122
Franklin Auto Trust, Ser 2005-1, Cl A2
4.840%, 09/22/08 292 292
Harley Davidson Motorcycle Trust,
Ser 2006-2, Cl A2
5.350%, 03/15/13 650 655
Honda Auto Receivables Owner Trust,
Ser 2004-2, Cl A3
3.300%, 06/16/08 1,935 1,922
Hyundai Auto Receivables Trust,
Ser 2005-A, Cl A4
4.180%, 02/15/12 1,298 1,269
Nissan Auto Lease Trust,
Ser 2005-A, Cl A2
4.610%, 01/15/08 517 517
Nissan Auto Receivables Owner Trust,
Ser 2005-B, Cl A2
3.750%, 09/17/07 67 67
Nissan Auto Receivables Owner Trust,
Ser 2006-B, Cl A3
5.160%, 02/15/10 705 705
- --------------------------------------------------------------------------------
128 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Triad Automobile Receivables Owner
Trust, Ser 2003-B, Cl A4
3.200%, 12/13/10 $ 537 $ 527
USAA Auto Owner Trust,
Ser 2004-3, Cl A3
3.160%, 02/17/09 599 594
USAA Auto Owner Trust,
Ser 2005-1, Cl A3
3.900%, 07/15/09 337 334
USAA Auto Owner Trust,
Ser 2005-3, Cl A2
4.520%, 06/16/08 713 711
USAA Auto Owner Trust,
Ser 2006-3, Cl A4
5.360%, 06/15/12 1,046 1,057
Volkswagen Auto Lease Trust,
Ser 2006-A, Cl A2
5.550%, 11/20/08 1,301 1,305
WFS Financial Owner Trust,
Ser 2003-1, Cl A4
2.740%, 09/20/10 198 197
WFS Financial Owner Trust,
Ser 2003-3, Cl A4
3.250%, 05/20/11 856 845
WFS Financial Owner Trust,
Ser 2003-4, Cl A4
3.150%, 05/20/11 327 322
WFS Financial Owner Trust,
Ser 2004-1, Cl A4
2.810%, 08/22/11 589 577
WFS Financial Owner Trust,
Ser 2005-3, Cl A3A
4.250%, 06/17/10 444 440
Wachovia Auto Owner Trust,
Ser 2004-A, Cl A4
3.660%, 10/29/06 2,436 2,401
Wachovia Auto Owner Trust,
Ser 2005-B, Cl A2
4.820%, 02/20/09 1,289 1,286
Wachovia Auto Owner Trust,
Ser 2006-1, Cl A3
5.100%, 07/20/11 1,315 1,315
--------------
31,679
--------------
CREDIT CARDS -- 0.4%
Chase Credit Card Master Trust,
Ser 2003-3, Cl A (F)
5.440%, 10/15/06 1,590 1,593
Chase Issuance Trust,
Ser 2004-A9, Cl A9
3.220%, 06/15/10 1,884 1,847
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Chase Issuance Trust,
Ser 2006-A3, Cl A3 (F)
5.320%, 10/15/06 $ 3,684 $ 3,685
Citibank Credit Card Issuance Trust,
Ser 2000-A3, Cl A3
6.875%, 11/16/09 795 809
Citibank Credit Card Issuance Trust,
Ser 2004-A4, Cl A4
3.200%, 08/24/09 2,209 2,169
Citibank Credit Card Issuance Trust,
Ser 2006-A4, Cl A4
5.450%, 05/10/13 1,919 1,948
GE Capital Credit Card Master Trust,
Ser 2006-1, Cl A
5.080%, 09/15/12 2,034 2,043
Household Credit Card Master Trust,
Ser 2006-1, Cl A
5.100%, 06/15/12 3,096 3,103
MBNA Master Credit Card Trust,
Ser 2000-L, Cl A
6.500%, 04/15/10 1,232 1,251
--------------
18,448
--------------
MORTGAGE RELATED SECURITIES -- 28.8%
ABFS Mortgage Loan Trust,
Ser 2002-1, Cl A5 (G)
6.510%, 12/15/32 2,117 2,136
ABS Home Equity Loan Trust,
Ser 2001-HE3, Cl A1 (F)
5.870%, 10/15/06 833 834
AFC Home Equity Loan Trust,
Ser 1998-1, Cl 1A2 (F)
5.600%, 10/01/06 162 163
AFC Home Equity Loan Trust,
Ser 2000-1, Cl 2A (F)
5.570%, 10/25/06 6,757 6,772
Ace Securities, Ser 2003-OP1,
Cl M1 (F)
6.030%, 10/26/06 1,000 1,005
Ace Securities, Ser 2005-HE4,
Cl A2A (F)
5.440%, 10/25/06 261 261
Ace Securities, Ser 2005-HE7,
Cl A1B2 (F)
5.630%, 10/27/06 1,771 1,772
Adjustable Rate Mortgage NIM Trust,
Ser 2005-4, Cl A (C)
5.500%, 12/27/35 664 661
Adjustable Rate Mortgage Trust,
Ser 2005-8, Cl 4A11 (F)
5.442%, 10/01/06 12,383 12,228
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 129
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Aegis Asset-Backed Securities Trust,
Ser 2003-3, Cl M1 (F)
6.030%, 10/25/06 $ 361 $ 361
American Home Mortgage Investment
Trust, Ser 2004-1, Cl 4A (F)
3.280%, 10/25/06 738 715
American Home Mortgage Investment
Trust, Ser 2004-4, Cl 4A (F)
4.390%, 10/01/06 3,182 3,095
American Home Mortgage Investment
Trust, Ser 2005-1, Cl 6A (F)
5.294%, 10/25/06 9,202 9,099
American Home Mortgage Investment
Trust, Ser 2005-4, Cl 5A (F)
5.350%, 10/25/06 7,117 7,035
Ameriquest Mortgage Securities,
Ser 2003-2, Cl M1 (F)
6.230%, 10/25/06 1,424 1,427
Ameriquest Mortgage Securities,
Ser 2004-R12, Cl A3 (F)
5.610%, 10/08/06 1,106 1,107
Argent Securities, Ser 2003-W5,
Cl M1 (F)
6.030%, 10/25/06 600 607
Argent Securities, Ser 2003-W9,
Cl M1 (F)
6.020%, 10/26/06 1,500 1,509
Asset Securitization, Ser 1996-D2, Cl A1
6.920%, 02/14/29 626 627
Asset-Backed Funding Certificates,
Ser 2003-WF1, Cl A2 (F)
6.125%, 10/25/06 2,506 2,526
Asset-Backed Funding Certificates,
Ser 2005-AQ1, Cl A1B (G)
4.250%, 10/25/06 1,177 1,173
Asset-Backed Funding Certificates,
Ser 2005-AQ1, Cl A2 (G)
4.300%, 06/25/35 3,500 3,455
Asset-Backed Securities Home Equity
Loan Trust, Ser 2003-HE4, Cl M2 (F)
7.330%, 10/15/06 1,100 1,107
Asset-Backed Securities Home Equity
Loan Trust, Ser 2003-HE5, Cl M1 (F)
6.080%, 10/15/06 1,733 1,743
Asset-Backed Securities Home Equity,
Ser 2003-HE5, Cl M2 (F)
7.230%, 10/15/06 1,050 1,063
Banc of America Commercial Mortgage,
Ser 2002-PB2, Cl B
6.309%, 06/11/35 659 692
Banc of America Commercial Mortgage,
Ser 2003-1, Cl A2
4.648%, 10/01/06 723 700
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Banc of America Commercial Mortgage,
Ser 2004-1, Cl A4
4.760%, 11/10/39 $ 794 $ 768
Banc of America Commercial Mortgage,
Ser 2005-3, Cl A4
4.668%, 07/10/43 11,300 10,784
Banc of America Funding, Ser 2003-1,
Cl A1
6.000%, 05/20/33 6 6
Banc of America Funding, Ser 2005-B,
Cl 2A1 (F)
5.112%, 10/01/06 7,113 7,064
Banc of America Mortgage Securities,
Ser 2003-1, Cl 2A4
5.000%, 02/25/18 6,475 6,326
Bear Stearns Asset-Backed Securities,
Ser 2000-2, Cl M2 (G)
8.280%, 08/25/30 8,000 8,195
Bear Stearns Asset-Backed Securities,
Ser 2003-1, Cl A1 (F)
5.830%, 10/25/06 4,926 4,940
Bear Stearns Asset-Backed Securities,
Ser 2005-AQ2N, Cl A1 (C)
5.500%, 09/25/35 150 149
Bear Stearns Asset-Backed Securities,
Ser 2005-FR1, Cl A1 (C)
5.000%, 06/25/35 115 115
Bear Stearns Asset-Backed Securities,
Ser 2006-HE1, Cl 2A1 (F)
5.420%, 10/27/06 5,634 5,635
Bear Stearns Commercial Mortgage
Securities, Ser 2003-T10, Cl A2
4.740%, 10/01/06 493 480
Bear Stearns Commercial Mortgage
Securities, Ser 2004-ESA, Cl B (C)
4.888%, 05/14/16 370 368
Bear Stearns Commercial Mortgage
Securities, Ser 2004-ESA, Cl C (C)
4.937%, 05/14/16 2,619 2,607
Bear Stearns Commercial Mortgage
Securities, Ser 2005-PWR8, Cl AAB
4.581%, 06/11/41 2,511 2,418
Bear Stearns Commercial Mortgage
Securities, Ser 2006-T22, Cl AM (F)
5.634%, 04/12/38 1,597 1,621
CS First Boston Mortgage Securities,
Ser 2004-C5, Cl A4
4.829%, 10/15/06 1,238 1,196
Capital One Multi-Asset Execution Trust,
Ser 2003-C4, Cl C4
6.000%, 08/15/13 1,638 1,677
- --------------------------------------------------------------------------------
130 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Capital One Multi-Asset Execution Trust,
Ser 2006-A10, Cl A10
5.150%, 06/16/14 $ 1,236 $ 1,244
Carrington Mortgage Loan Trust,
Ser 2005-NC3, Cl A1B (F)
5.490%, 10/27/06 1,358 1,359
Centex Home Equity, Ser 2004-B,
Cl AF3 (G)
2.946%, 05/25/28 314 312
Chase Commercial Mortgage Securities,
Ser 2000-3, Cl A2
7.319%, 10/15/32 2,575 2,747
Chase Funding Mortgage Loan,
Ser 2002-1, Cl 2A2 (F)
5.580%, 10/25/06 3,152 3,153
Chase Funding Mortgage Loan,
Ser 2003-6, Cl 1A3
3.340%, 05/25/26 2,949 2,896
Chase Manhattan Commercial Mortgage
Trust, Ser 99-C2, Cl A2 (F)
7.546%, 11/17/32 5,730 6,033
Chase Mortgage Finance, Ser 2005-A1,
Cl 2A3 (F)
5.249%, 10/01/06 12,400 12,265
Cheyne High Grade, Ser 2004-1A,
Cl AM1 (C) (F) (K)
5.466%, 11/10/06 6,755 6,755
Citicorp Residential Mortgage Securities,
Ser 2006-1, Cl A2 (G)
5.682%, 07/25/36 1,236 1,240
Citigroup Mortgage Loan Trust,
Ser 2005-HE4, Cl A2C (F)
5.600%, 10/27/06 4,800 4,808
Commercial Mortgage Pass-Through
Certificate, Ser 1999-1, Cl E (F)
7.224%, 10/01/06 2,125 2,203
Commercial Mortgage Pass-Through
Certificate, Ser 2000-C1, Cl C
7.706%, 08/15/33 391 423
Commercial Mortgage Pass-Through
Certificate, Ser 2005-C6, Cl A3 (F)
5.144%, 10/10/06 12,000 11,906
Commodore, Ser 2003-2A, Cl A1MM
(C) (F) (K)
5.470%, 12/12/06 6,215 6,215
Conseco Finance Home Loan Trust,
Ser 2000-E, Cl M1
8.130%, 08/15/31 2,102 2,184
Conseco Finance Securitization,
Ser 2000-4, Cl A6
8.310%, 05/01/32 1,500 1,257
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Conseco Finance,
Ser 2001-D, Cl A5 (G)
6.190%, 11/15/32 $ 3,159 $ 3,201
Contimortgage Home Equity Loan Trust,
Ser 1997-1, Cl A9
7.050%, 03/15/28 121 122
Contimortgage Home Equity Loan Trust,
Ser 1997-2, Cl A9
7.090%, 04/15/28 172 171
Countrywide Alternative Loan Trust,
Ser 2004-J1, Cl 1A1
6.000%, 02/25/34 1,451 1,447
Countrywide Alternative Loan Trust,
Ser 2005-27, Cl 3A2 (F)
5.663%, 10/01/06 1,941 1,947
Countrywide Alternative Loan Trust,
Ser 2005-56, Cl 4A1 (F)
5.640%, 10/25/06 14,684 14,727
Countrywide Alternative Loan Trust,
Ser 2005-59, Cl 1A1 (F)
5.660%, 10/20/06 16,932 16,988
Countrywide Alternative Loan Trust,
Ser 2005-59, Cl 2X, IO (E)
1.601%, 10/01/06 31,757 1,198
Countrywide Alternative Loan Trust,
Ser 2005-J4, Cl 2A1B (F)
5.450%, 10/27/06 277 277
Countrywide Alternative Loan Trust,
Ser 2006-0C8, Cl 2A1B (F)
5.410%, 10/25/36 1,839 1,839
Countrywide Alternative Loan Trust,
Ser 2006-OA2, Cl X1P, IO (H)
6.460%, 05/20/46 49,870 2,520
Countrywide Asset-Backed Certificates,
Ser 2003-2, Cl M2 (F)
6.976%, 10/26/06 360 362
Countrywide Asset-Backed Certificates,
Ser 2003-C2, Cl 2A1 (F)
5.630%, 10/25/06 38 38
Countrywide Asset-Backed Certificates,
Ser 2004-11, Cl A2 (F)
5.710%, 10/25/06 2,020 2,022
Countrywide Asset-Backed Certificates,
Ser 2004-14, Cl A4 (F)
5.610%, 10/25/06 2,553 2,561
Countrywide Asset-Backed Certificates,
Ser 2005-12, Cl 1A1 (F)
5.480%, 10/27/06 637 638
Countrywide Asset-Backed Certificates,
Ser 2005-15, Cl 1AF1 (F)
5.470%, 10/25/06 13,921 13,924
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 131
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Asset-Backed Certificates,
Ser 2005-BC4, Cl 2A1 (F)
5.450%, 10/27/06 $ 354 $ 354
Countrywide Asset-Backed Certificates,
Ser 2006-11, Cl 3AV1 (F)
5.390%, 10/25/06 1,677 1,677
Countrywide Asset-Backed Certificates,
Ser 2006-13, Cl 3AV2 (F)
5.480%, 10/28/06 1,549 1,549
Countrywide Asset-Backed Certificates,
Ser 2006-ABC1, Cl A1 (F)
5.360%, 10/25/06 1,510 1,510
Countrywide Asset-Backed Certificates,
Ser 2006-IM1, Cl A1 (F)
5.420%, 10/27/06 6,227 6,228
Countrywide Asset-Backed Certificates,
Ser 2006-S1, Cl A2
5.549%, 08/25/21 2,572 2,568
Countrywide Home Equity Loan Trust,
Ser 2004-K, Cl A2 (F)
5.630%, 10/15/06 3,135 3,142
Countrywide Home Equity Loan Trust,
Ser 2005-F, Cl 2A (F)
5.570%, 10/15/06 10,424 10,430
Countrywide Home Equity Loan Trust,
Ser 2005-H, Cl 2A (F)
5.570%, 10/15/06 9,265 9,279
Countrywide Home Loans,
Ser 2005-HY10, Cl 1A1 (F)
5.289%, 10/01/06 3,043 3,052
Countrywide Home Loans,
Ser 2005-HYB9, Cl 1A1 (F)
5.150%, 10/01/06 1,879 1,867
Countrywide Home Loans,
Ser 2005-HYB9, Cl 1A2 (F)
5.150%, 10/01/06 408 406
Countrywide Home Loans, Ser 2005-R3,
Cl AF (C) (F)
5.730%, 10/25/06 8,869 8,919
Countrywide Home Loans,
Ser 2006-HYB1, Cl 1A1 (F)
5.401%, 10/20/06 7,292 7,268
Credit Suisse First Boston Mortgage
Securities, Ser 1998-C2, Cl A2
6.300%, 11/15/30 11,024 11,227
Credit Suisse First Boston Mortgage
Securities, Ser 2001-CP4, Cl A4
6.180%, 12/15/35 2,909 3,021
Credit Suisse First Boston Mortgage
Securities, Ser 2001-MH29, Cl A (G)
5.600%, 09/25/31 1,578 1,551
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Credit Suisse First Boston Mortgage
Securities, Ser 2002-CKN2, Cl A3
6.133%, 04/15/37 $ 3,603 $ 3,750
Credit Suisse First Boston Mortgage
Securities, Ser 2002-CKP1, Cl A3
6.439%, 12/15/35 1,304 1,377
Credit Suisse First Boston Mortgage
Securities, Ser 2002-CKS4, Cl A2
5.183%, 11/15/36 16,786 16,767
Credit Suisse First Boston Mortgage
Securities, Ser 2002-CP3, Cl A3
5.603%, 07/15/35 1,610 1,639
Credit Suisse First Boston Mortgage
Securities, Ser 2003-AR24, Cl 2A4 (F)
4.028%, 10/01/06 12,000 11,837
Credit Suisse First Boston Mortgage
Securities, Ser 2003-C4, Cl A4 (F)
5.137%, 08/15/36 1,339 1,328
Credit Suisse Mortgage Capital,
Ser 2006-C4, Cl AM
5.509%, 09/15/39 1,722 1,734
Criimi Mae Commercial Mortgage,
Ser 1998-C1, Cl A2 (C)
7.000%, 06/02/33 8,293 8,350
DLJ Commercial Mortgage,
Ser 1999-CG1, Cl A1B
6.460%, 03/10/32 5,030 5,158
DSLA Mortgage Loan Trust,
Ser 2004-AR2, Cl A2B (F)
5.730%, 10/19/06 7,475 7,507
DSLA Mortgage Loan Trust,
Ser 2004-AR3, Cl B2 (F)
6.430%, 10/20/06 975 985
Duke Funding, Ser 2004-6B,
Cl A1S1 (C) (F) (K)
5.577%, 10/10/06 10,133 10,133
EMC Mortgage Loan Trust,
Ser 2002-AA, Cl A1 (C) (F)
5.800%, 10/25/06 2,524 2,536
EQCC Trust, Ser 2002-1, Cl 2A (F)
5.630%, 10/25/06 410 410
Equivantage Home Equity Loan Trust,
Ser 1997-2, Cl A3 (G)
7.775%, 10/01/06 321 320
FFCA Secured Lending,
Ser 1999-1A, IO (C) (F) (H)
1.468%, 10/01/06 11,026 582
First Franklin Mortgage Loan
Asset-Backed Securities,
Ser 2004-FF10, Cl A2 (F)
5.730%, 10/26/06 1,759 1,763
- --------------------------------------------------------------------------------
132 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
First Franklin Mortgage Loan
Asset-Backed Securities,
Ser 2004-FF11, Cl 1A2 (F)
5.680%, 10/25/06 $ 1,274 $ 1,277
First Franklin Mortgage Loan
Asset-Backed Securities,
Ser 2004-FFA, Cl A2A (F)
5.440%, 10/25/06 32 32
First Franklin Mortgage Loan
Asset-Backed Securities,
Ser 2004-FFH3, Cl 2A1 (F)
5.460%, 10/26/06 4,041 4,041
First Franklin Mortgage Loan
Asset-Backed Securities,
Ser 2005-FFH4, Cl N1 (C)
5.682%, 12/25/35 147 147
First Franklin Mortgage Loan
Asset-Backed Securities,
Ser 2005-FF10, Cl A4 (F)
5.650%, 10/25/06 8,400 8,421
First Franklin Mortgage Loan
Asset-Backed Securities,
Ser 2005-FF3, Cl A1 (F)
5.410%, 10/27/06 1,334 1,334
First Franklin Mortgage Loan
Asset-Backed Securities,
Ser 2005-FF9, Cl A3 (F)
5.610%, 10/25/06 9,500 9,522
First Horizon, Ser 2004-HE2, Cl A (F)
5.550%, 10/25/06 3,288 3,290
First Union National Bank,
Ser 2001-C4, Cl B
6.417%, 12/12/33 809 852
Fleet Home Equity Trust,
Ser 2001-1, Cl A (F)
5.540%, 10/01/06 285 285
Fund America Investors,
Ser 1993-A, Cl A2 (F)
6.168%, 10/01/06 416 414
GE Capital Commercial Mortgage,
Ser 2001-3, Cl A2
6.070%, 06/10/38 3,509 3,645
GE Capital Commercial Mortgage,
Ser 2002-1A, Cl A3
6.269%, 12/10/35 5,610 5,880
GE Capital Commercial Mortgage,
Ser 2002-2A, Cl A3
5.349%, 08/11/36 2,470 2,485
GE Capital Commercial Mortgage,
Ser 2002-3A, Cl A2
4.996%, 12/10/37 13,880 13,746
GE Capital Commercial Mortgage,
Ser 2003-C2, Cl A4
5.145%, 07/10/37 2,514 2,498
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GE Capital Commercial Mortgage,
Ser 2004-C3, Cl A4 (F)
5.189%, 10/01/06 $ 3,595 $ 3,568
GE Capital Commercial Mortgage,
Ser 2005-C4, Cl A3A (F)
5.511%, 10/01/06 12,650 12,747
GE Capital Commercial Mortgage,
Ser 2006-C1, Cl A3 (F)
5.519%, 10/01/06 2,455 2,463
GE Capital Mortgage Services,
Ser 1997-HE3, Cl A6
6.720%, 10/25/27 267 266
GMAC Commercial Mortgage Securities,
Ser 1998-C1, Cl A2
6.700%, 05/15/30 8,635 8,769
GMAC Commercial Mortgage Securities,
Ser 1999-C2, Cl A2
6.945%, 09/15/33 100 103
GMAC Commercial Mortgage Securities,
Ser 2002-C3, Cl A2
4.930%, 07/10/39 559 551
GMAC Commercial Mortgage Securities,
Ser 2003-C2, Cl B
5.473%, 10/01/06 1,355 1,372
GMAC Commercial Mortgage Securities,
Ser 2003-C3, Cl A4
5.023%, 04/10/40 3,624 3,569
GMAC Commercial Mortgage Securities,
Ser 2004-C1, Cl A1
3.118%, 03/10/38 634 617
GMAC Commercial Mortgage Securities,
Ser 2004-C2, Cl A1
3.896%, 08/10/38 211 207
GMAC Mortgage Loan Trust,
Ser 2004-HE2, Cl A2 (F)
2.880%, 10/25/06 1,312 1,299
GMAC Mortgage Loan Trust,
Ser 2004-HE4, Cl A1 (F)
5.604%, 10/25/06 9,754 9,768
GS Mortgage Securities,
Ser 1998-1, Cl A (C)
8.000%, 09/19/27 109 114
GS Mortgage Securities,
Ser 1998-GLII, Cl A2
6.562%, 04/13/31 4,363 4,430
GS Mortgage Securities,
Ser 2005-GG4, Cl A4A
4.751%, 07/10/39 6,500 6,247
GS Mortgage Securities,
Ser 2005-GG4, Cl AABA
4.680%, 07/10/39 350 340
GS Mortgage Securities,
Ser 2006-C1, Cl B
6.970%, 10/18/30 1,189 1,224
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 133
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GS Mortgage Securities,
Ser 2006-GG6, Cl AM (F)
5.622%, 04/10/38 $ 4,300 $ 4,372
GSAA Home Equity Trust,
Ser 2006-2, Cl 2A1 (F)
5.430%, 10/27/06 13,225 13,229
GSAMP Trust, Ser 2003-SEA, Cl A1 (F)
5.730%, 10/25/06 5,009 5,039
GSR Mortgage Loan Trust, Ser 2003-13,
Cl 1A1 (F)
4.503%, 10/01/06 8,179 7,850
Green Tree Financial, Ser 1993-4, Cl A5
7.050%, 01/15/19 593 603
Green Tree Financial, Ser 1996-5, Cl A6
7.750%, 07/15/27 1,648 1,720
Green Tree Financial, Ser 1998-6, Cl A6
6.270%, 06/01/30 93 93
Greenwich Capital Commercial Funding,
Ser 2005-GG3, Cl AAB (F)
4.619%, 08/10/42 6,305 6,098
HSI Asset Securitization Trust,
Ser 2005-I1, Cl 2A3 (F)
5.620%, 10/27/06 8,000 8,021
HSI Asset Securitization Trust,
Ser 2005-NC1, Cl 2A4 (F)
5.650%, 10/25/06 1,831 1,832
Harborview Mortgage Loan Trust,
Ser 2005-01, Cl X, IO (E)
0.911%, 10/01/06 33,091 729
Harborview Mortgage Loan Trust,
Ser 2005-10, Cl X, IO (F) (H)
1.431%, 10/01/06 41,901 1,152
Harborview Mortgage Loan Trust,
Ser 2005-12, Cl X2B, IO (F) (H)
10.480%, 10/01/06 34,265 980
Heller Financial Commercial Mortgage,
Ser 1999-PH1, Cl C (F)
7.054%, 10/15/06 250 260
Home Equity Asset Trust,
Ser 2003-4, Cl M2 (F)
7.230%, 10/25/06 1,275 1,284
Home Equity Asset Trust,
Ser 2005-5N, Cl A (C)
5.500%, 12/27/35 635 626
IMPAC CMB Trust,
Ser 2003-12, Cl A1 (F)
6.090%, 10/25/06 2,684 2,685
IMPAC Secured Assets,
Ser 2006-3, Cl A4 (F)
5.420%, 10/27/06 10,500 10,500
Indymac Index Mortgage Loan Trust,
Ser 2004-AR12, Cl AX2, IO (E) (H)
0.930%, 10/01/06 30,977 760
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Indymac Index Mortgage Loan Trust,
Ser 2005-AR2, Cl 1A1 (F)
4.918%, 10/01/06 $ 782 $ 786
Indymac Seconds Asset-Backed Trust,
Ser 2006-6A, Cl A (F)
5.460%, 10/25/06 5,385 5,385
JPMorgan Chase Commercial Mortgage,
Ser 2001-CIB2, Cl A3
6.429%, 04/15/35 5,170 5,422
JPMorgan Chase Commercial Mortgage,
Ser 2003-CB7, Cl A4 (F)
4.879%, 10/12/06 2,257 2,206
JPMorgan Chase Commercial Mortgage,
Ser 2003-ML1A, Cl A2
4.767%, 03/12/39 2,297 2,234
JPMorgan Chase Commercial Mortgage,
Ser 2005-CB11, Cl A4
5.335%, 10/11/06 1,857 1,854
JPMorgan Chase Commercial Mortgage,
Ser 2005-CB12, Cl A4
4.895%, 09/12/37 680 659
JPMorgan Chase Commercial Mortgage,
Ser 2005-LDP4, Cl A4 (F)
4.918%, 10/01/06 3,700 3,587
JPMorgan Chase Commercial Mortgage,
Ser 2006-CB16, Cl A4
5.817%, 05/12/45 1,547 1,570
JPMorgan Chase Commericial Mortgage,
Ser 2006-LDP8, Cl ASB (F)
5.500%, 05/15/45 923 928
JPMorgan Mortgage Trust, Ser 2005-A3,
Cl 11A2 (F)
4.511%, 10/25/06 12,385 11,673
JPMorgan Mortgage Trust, Ser 2006-A2,
Cl 2A2 (F)
5.773%, 10/01/06 12,600 12,676
JPMorgan Mortgage Trust, Ser 2006-A3,
Cl 3A4 (F)
5.768%, 10/01/06 13,560 13,665
LB Commercial Conduit Mortgage Trust,
Ser 1999-C2, Cl A1
7.105%, 10/15/32 109 110
LB Commercial Conduit Mortgage Trust,
Ser 1999-C2, Cl B
7.425%, 10/15/32 378 402
LB-UBS Commercial Mortgage Trust,
Ser 2000-C5, Cl A2
5.594%, 06/15/31 5,000 5,091
LB-UBS Commercial Mortgage Trust,
Ser 2003-C7, Cl A4 (F)
4.931%, 09/15/35 880 865
LB-UBS Commercial Mortgage Trust,
Ser 2006-C6, Cl AM (F)
5.413%, 09/15/36 923 925
- --------------------------------------------------------------------------------
134 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Lehman Brothers Commercial Mortgage,
Ser 1998-C2, Cl A2
6.560%, 11/18/35 $ 2,971 $ 3,012
Lehman XS Trust, Ser 2005-5N,
Cl 1A1 (F)
5.630%, 10/01/06 11,843 11,875
Lehman XS Trust, Ser 2005-5N,
Cl M4 (F)
7.080%, 10/31/06 1,800 1,754
Lehman XS Trust, Ser 2005-5N,
Cl 3A3A (F)
5.520%, 10/25/06 2,426 2,428
Lehman XS Trust, Ser 2006-7,
Cl 2A1 (F)
5.400%, 10/25/06 6,319 6,315
Long Beach Asset Holdings,
Ser 2005-WL1, Cl N1 (C)
5.193%, 06/25/45 621 618
Long Beach Mortgage Loan Trust,
Ser 2006-WL1, Cl 1A3 (F)
5.660%, 10/27/06 2,145 2,151
MLCC Mortgage Investors, Ser 2004-B,
Cl A3 (F)
6.537%, 10/01/06 2,474 2,512
Master Asset-Backed Securities Trust,
Ser 2002-OPT1, Cl M1 (F)
6.480%, 10/27/06 564 565
Master Asset-Backed Securities Trust,
Ser 2004-OPT2, Cl A2 (F)
5.680%, 10/26/06 143 143
Master Asset-Backed Securities Trust,
Ser 2005-AB1, Cl A1B (G)
5.143%, 10/01/06 934 929
Master Asset-Backed Securities Trust,
Ser 2006-AB1, Cl A1 (F)
5.470%, 10/27/06 16,767 16,769
Master Reperforming Loan Trust,
Ser 2005-1, Cl 1A1 (C)
6.000%, 08/25/34 5,892 5,910
Master Seasoned Securities Trust,
Ser 2004-2, Cl A2
6.500%, 08/25/32 6,110 6,192
Merrill Lynch
6.220%, 09/15/26 755 768
Merrill Lynch Commericial Mortgage
Trust, Ser 2006-3, Cl AM (F)
5.456%, 07/12/46 923 929
Merrill Lynch Mortgage Investors,
Ser 2003-OPT1, Cl A3 (F)
5.690%, 07/25/34 1,874 1,878
Merrill Lynch Mortgage Investors,
Ser 2004-A1, Cl 4A (F)
5.347%, 10/01/06 8,371 8,291
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Merrill Lynch Mortgage Investors,
Ser 2005-HE2, Cl A2A (F)
5.440%, 10/27/06 $ 1,682 $ 1,682
Merrill Lynch Mortgage Investors,
Ser 2005-SD1, Cl A1 (F)
5.510%, 10/25/06 480 480
Merrill Lynch Mortgage Investors,
Ser 2006-WMC2, Cl A2D (G)
5.895%, 10/25/06 5,200 5,250
Merrill Lynch Mortgage Trust,
Ser 2002-MW1, Cl A4
5.619%, 07/12/34 2,541 2,588
Merrill Lynch Mortgage Trust,
Ser 2004-KEY2, Cl A4 (F)
4.864%, 08/12/39 1,859 1,800
Merrill Lynch Mortgage Trust,
Ser 2005-MCP1, Cl A4 (F)
4.747%, 06/12/43 3,780 3,625
Mid-State Trust, Ser 11, Cl A1
4.864%, 07/15/38 5,811 5,588
Morgan Stanley Capital,
Ser 2003-IQ5 Cl A4
5.010%, 10/01/06 2,161 2,130
Morgan Stanley Capital I,
Ser 2003-NC8, Cl M1 (F)
6.030%, 10/27/06 2,200 2,206
Morgan Stanley Capital I,
Ser 2003-NC8, Cl M3 (F)
7.430%, 10/25/06 401 404
Morgan Stanley Capital I,
Ser 2003-NC10, Cl M2 (F)
7.130%, 10/26/06 1,065 1,073
Morgan Stanley Capital I,
Ser 2003-T11, Cl A4
5.150%, 06/13/41 3,095 3,075
Morgan Stanley Capital I,
Ser 2004-HQ4, Cl A2
3.920%, 04/14/40 890 875
Morgan Stanley Capital I,
Ser 2004-WMC2, Cl A2 (F)
5.690%, 10/27/06 184 184
Morgan Stanley Capital I,
Ser 2005-HQ5, Cl AAB
5.037%, 01/14/42 777 769
Morgan Stanley Capital I,
Ser 2005-HQ6, Cl A4A
4.989%, 08/13/42 5,600 5,463
Morgan Stanley Capital I,
Ser 2006-NC1, Cl A1 (F)
5.410%, 10/27/06 1,356 1,356
Morgan Stanley Dean Witter Capital,
Ser 2000-LIFE, Cl A2
7.570%, 11/15/36 3,359 3,561
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 135
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Morgan Stanley Dean Witter Capital,
Ser 2002-IQ3, Cl A4
5.080%, 10/01/06 $ 3,005 $ 2,979
Morgan Stanley Dean Witter Capital I,
Ser 2003-NC4, Cl M2 (F)
7.330%, 10/25/06 730 733
Morgan Stanley Home Equity Loan Trust,
Ser 2006-2, Cl A2 (F)
5.440%, 10/25/06 942 942
Mortgage Capital Funding,
Ser 1998-MC2, Cl A2
6.423%, 06/18/30 4,954 5,011
New Century Home Equity Loan Trust,
Ser 2003-B, Cl M1 (F)
5.980%, 10/27/06 2,200 2,213
New Century Home Equity Loan Trust,
Ser 2004-A, Cl AII3 (F)
4.450%, 10/01/06 4,424 4,391
New Century Home Equity Loan Trust,
Ser 2005-A, Cl A2
4.461%, 10/25/06 10,254 10,156
New Century Home Equity Loan Trust,
Ser 2005-B, Cl A2A (F)
5.450%, 10/25/06 5,528 5,529
Newcastle CDO, Ser 2005-6A,
Cl IM1 (F) (K)
5.350%, 10/24/06 2,702 2,702
Nomura Home Equity Loan,
Ser 2006-WF1, Cl A1 (F)
5.450%, 10/25/06 1,374 1,375
Northstar Education Finance,
Ser 2005-1, Cl A5
4.740%, 10/30/45 1,375 1,361
Novastar Home Equity Loan,
Ser 1998-2, Cl A2 (F)
5.559%, 10/25/06 434 434
Novastar Home Equity Loan,
Ser 2005-2, Cl A2B (F)
5.480%, 10/27/06 1,391 1,391
Oncor Electric Delivery Transition Bond,
Ser 2003-1, Cl A2
4.030%, 02/15/12 5,000 4,906
Option One Mortgage Loan Trust,
Ser 2001-4, Cl A (F)
5.930%, 10/25/06 883 883
Option One Mortgage Loan Trust,
Ser 2003-5, Cl M1 (F)
5.980%, 10/23/06 1,425 1,431
Option One Mortgage Loan Trust,
Ser 2006-1, Cl 2A1 (F)
5.400%, 10/27/06 1,140 1,140
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Option One Mortgage Loan Trust,
Ser 2006-1, Cl M10 (C) (F)
7.830%, 10/27/06 $ 130 $ 113
Option One Mortgage Loan Trust,
Ser 2006-1, Cl M11 (C) (F)
7.830%, 10/27/06 280 266
Option One Mortgage Securities,
Ser 2005-3A, Cl N1 (C)
5.438%, 08/26/35 749 743
Orchid Structured Finance CDO,
Ser 2003-1A, Cl A1MM (C) (F)
5.510%, 11/18/06 12,014 12,014
Ownit Mortgage Loan Asset-Backed
Securities Trust,
Ser 2006-1, Cl AF1 (G)
5.424%, 12/25/36 11,101 11,043
Ownit Mortgage Loan NIM Trust,
Ser 2005-5A, Cl N1 (C)
5.500%, 10/25/36 155 154
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl AM6 (C) (F) (K)
5.360%, 10/25/06 6,004 6,004
Residential Accredit Loans,
Ser 2006-Q01, Cl 2A3 (F)
5.730%, 10/27/06 1,335 1,338
Residential Asset Mortgage Products,
Ser 2003-RS11, Cl MII1 (F)
6.060%, 10/25/06 700 705
Residential Asset Mortgage Products,
Ser 2003-RS2, Cl AII (F)
5.670%, 10/25/06 181 182
Residential Asset Mortgage Products,
Ser 2003-RS3, Cl AII (F)
5.690%, 10/25/06 271 271
Residential Asset Mortgage Products,
Ser 2004-SL1, Cl A8
6.500%, 11/25/31 3,959 4,002
Residential Asset Securities,
Ser 2002-KS7, Cl A2 (F)
5.700%, 10/25/06 3,310 3,310
Residential Asset Securities,
Ser 2006-EMX2, Cl A1 (F)
5.404%, 10/27/06 7,064 7,065
Residential Asset Securitization Trust,
Ser 2004-IP2, Cl 2A1 (F)
5.242%, 10/01/06 5,152 5,147
Residential Funding Mortgage Securities,
Ser 2000-HI1, Cl AI7 (F)
8.290%, 02/25/25 4,414 4,441
Residential Funding Mortgage Securities,
Ser 2005-HS1, Cl AI1 (F)
5.450%, 10/25/06 9,308 9,286
- --------------------------------------------------------------------------------
136 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2A (C) (F)
5.430%, 10/25/06 $ 6,172 $ 6,171
SB Finance NIM Trust,
Ser 2005-HE3, Cl 2N1 (C)
5.000%, 06/25/35 1,602 1,589
SB Finance NIM Trust,
Ser 2005-HE3, Cl N1 (C)
4.750%, 09/25/35 2,015 1,998
SLM Student Loan Trust,
Ser 2004-1, Cl A2 (F)
5.625%, 10/25/06 1,359 1,365
SLM Student Loan Trust,
Ser 2006-2, Cl B (F)
5.616%, 12/19/06 5,250 5,248
SLM Student Loan Trust,
Ser 2006-C, Cl C
5.877%, 12/28/06 4,000 3,963
Saco I Trust, Ser 2005-9, Cl A1 (F)
5.580%, 10/27/06 1,692 1,692
Saco I Trust, Ser 2005-WM3, Cl A1 (F)
5.590%, 10/27/06 4,140 4,141
Saco I Trust, Ser 2006-6, Cl A (F)
5.460%, 10/25/06 7,090 7,090
Sail NIM Notes, Ser 2005-11A, Cl A (C)
7.500%, 01/27/36 403 397
Salomon Brothers Mortgage Securities
VII, Ser 2001-C2, Cl A3
6.499%, 10/13/11 7,300 7,687
Sasco NIM Trust, Ser 2005-WF3A,
Cl A (C)
4.750%, 07/27/35 210 209
Saturn Ventures II (F) (K)
5.390%, 10/10/06 10,880 10,880
Securitized Asset-Backed Receivables
LLC, Ser 2005-FR4, Cl A3 (F)
5.530%, 10/25/06 3,913 3,916
Sharps SP I LLC NIM Trust,
Ser 2005-HE5N, Cl A1 (C)
5.800%, 08/25/35 695 688
Sharps SP I LLC NIM Trust,
Ser 2005-WF1N, Cl NA (C)
6.150%, 05/25/35 567 561
Soundview Home Equity Loan Trust,
Ser 2005-OPT4, Cl M8 (F)
7.830%, 10/25/06 500 453
Start, Ser 2003-1, Cl X
4.130%, 10/21/06 6,440 6,408
Start, Ser 2003-2, Cl X
4.600%, 10/21/06 7,911 7,911
Structured Adjustable Rate Mortgage
Loan, Ser 2005-19XS, Cl 1A1 (F)
5.650%, 10/26/06 4,507 4,526
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Structured Asset Investment Loan Trust,
Ser 2005-11, Cl A4 (F)
5.420%, 10/25/06 $ 1,108 $ 1,109
Structured Asset Investment Loan Trust,
Ser 2005-8, Cl A2 (F)
5.460%, 10/25/06 2,066 2,066
Structured Asset Investment Loan,
Ser 2003-BC4, Cl M2 (F)
7.330%, 10/25/06 300 301
Structured Asset Securities,
Ser 2004-19XS, Cl A2 (G)
4.370%, 10/01/06 2,000 1,980
Structured Asset Securities,
Ser 2005-S1, Cl B3 (C) (F)
7.830%, 10/27/06 500 487
TIAA Real Estate CDO,
Ser 2003 1A, Cl A1MM (C) (F) (K)
5.354%, 10/30/06 10,047 10,047
TMS SBA Loan Trust, Ser 1999-1,
Cl A (F)
6.050%, 10/15/06 460 457
Terwin Mortgage Trust, Ser 2005-9HGS,
Cl A1 (C) (F)
4.000%, 10/01/06 5,298 5,232
Terwin Mortgage Trust, Ser 2006-2HGS,
Cl A1 (C) (F)
4.500%, 03/25/37 13,465 13,329
Terwin Mortgage Trust, Ser 2006-2HGS,
Cl AX (C) (F)
20.000%, 03/25/37 4,170 670
Terwin Mortgage Trust, Ser 2006-4SL,
Cl A1 (C) (F)
4.500%, 05/25/37 13,108 12,983
Terwin Mortgage Trust, Ser 2006-4SL,
Cl AX (C) (F)
20.000%, 05/25/37 2,912 339
Terwin Mortgage Trust, Ser 2006-6,
Cl A1
4.500%, 07/25/37 9,101 9,007
Terwin Mortgage Trust, Ser 2006-HF1,
Cl A1A (C) (F)
4.500%, 02/25/37 6,892 6,848
Thornburg Mortgage Securities Trust,
Ser 2005-3, Cl 2A1 (F)
5.570%, 10/25/06 14,656 14,653
Thornburg Mortgage Securities Trust,
Ser 2006-1, Cl A3 (F)
5.500%, 10/01/06 24,249 24,207
Thornburg Mortgage Securities Trust,
Ser 2006-3, Cl A2 (F)
5.435%, 10/25/06 16,189 16,158
Thornburg Mortgage Securities Trust,
Ser 2006-3, Cl A3 (F)
5.440%, 10/25/06 16,241 16,201
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 137
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Vendee Mortgage Trust, Ser 1994-1,
Cl 2ZB
6.500%, 10/01/06 $ 3,278 $ 3,399
Wachovia Bank Commercial Mortgage
Trust, Ser 2002-C1A, Cl A4
6.287%, 04/15/34 1,543 1,619
Wachovia Bank Commercial Mortgage
Trust, Ser 2002-C2, Cl A4
4.980%, 11/15/34 1,187 1,171
Wachovia Bank Commercial Mortgage
Trust, Ser 2003-C20, Cl APB
5.090%, 10/01/06 3,096 3,059
Wachovia Bank Commercial Mortgage
Trust, Ser 2003-C6, Cl A3
4.957%, 08/15/35 737 730
Wachovia Bank Commercial Mortgage
Trust, Ser 2003-C6, Cl A4
5.125%, 08/15/35 1,247 1,236
Wachovia Bank Commercial Mortgage
Trust, Ser 2003-C8, Cl A3
4.445%, 11/15/35 839 818
Wachovia Bank Commercial Mortgage
Trust, Ser 2003-C9, Cl A4
5.012%, 12/15/35 566 557
Wachovia Bank Commercial Mortgage
Trust, Ser 2004-C10, Cl A4
4.748%, 02/15/41 2,200 2,124
Wachovia Bank Commercial Mortgage
Trust, Ser 2004-C14, Cl A4 (F)
5.088%, 10/01/06 2,205 2,169
Wachovia Bank Commercial Mortgage
Trust, Ser 2004-C15, Cl A4
4.803%, 10/15/41 1,606 1,548
Wachovia Bank Commercial Mortgage
Trust, Ser 2006-C23, Cl AM (F)
5.470%, 10/01/06 3,715 3,732
Wachovia Bank Commercial Mortgage
Trust, Ser 2006-C26, Cl APB
5.997%, 06/15/45 2,205 2,293
Wachovia Mortgage Loan Trust,
Ser 2006-AMN1, Cl A1 (F)
5.380%, 10/25/06 1,333 1,333
Washington Mutual Master Note Trust,
Ser 2006-M1A, Cl M1
5.420%, 10/22/06 2,368 2,368
Washington Mutual Mortgage,
Ser 2003-MS1, Cl 1A
5.000%, 02/25/18 2,644 2,578
Washington Mutual Mortgage,
Ser 2003-MS2, Cl 3A1
5.000%, 03/25/18 7,646 7,464
Washington Mutual, Ser 2005-AR13,
Cl A1A1 (F)
5.620%, 10/25/06 9,963 10,027
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Washington Mutual, Ser 2005-AR15,
Cl A1A2 (F)
5.610%, 10/25/06 $ 14,418 $ 14,475
Washington Mutual, Ser 2005-AR16,
Cl 1A4A (F)
5.121%, 10/25/06 12,955 12,844
Washington Mutual, Ser 2005-AR19,
Cl A1A2 (F)
5.620%, 10/25/06 15,615 15,674
Wells Fargo Home Equity Trust,
Ser 2004-2, Cl A12 (F)
3.450%, 06/25/19 8,668 8,608
Wells Fargo Home Equity Trust,
Ser 2004-2, Cl M8B (C) (F)
5.000%, 10/01/06 590 553
Wells Fargo Mortgage Backed Securities
Trust, Ser 2004-I, Cl B1 (F)
3.365%, 10/01/06 836 839
Wells Fargo Mortgage Backed Securities,
Ser 2005-17, Cl 1A1
5.500%, 10/01/06 11,412 11,119
Wells Fargo, Ser 2004-H, Cl A-1 (F)
4.527%, 10/01/06 8,865 8,640
Whitehawk CDO Funding,
Ser 2004-1A (F) (K)
5.340%, 10/16/06 11,660 11,660
Zuni Mortgage Loan Trust,
Ser 2006-0A1, Cl A1 (F)
5.615%, 10/25/06 15,131 15,111
--------------
1,242,346
--------------
OTHER ASSET-BACKED SECURITIES -- 0.2%
Embarcadero Aircraft, Ser 2000-A,
Cl A1 (C) (F)
5.810%, 10/15/06 4,300 3,386
Encore Credit Receivables Trust,
Ser 2005-3, Cl 2A1 (F)
5.450%, 10/26/06 214 214
MSDWCC Heloc Trust, Ser 2005-1,
Cl A (F)
5.520%, 10/25/06 1,127 1,128
PG&E Energy Recovery Funding,
Ser 2005-2, Cl A2
5.030%, 03/25/14 1,767 1,768
Peco Energy Transition Trust,
Ser 2001-A, Cl A1
6.520%, 12/31/10 1,035 1,084
--------------
7,580
--------------
Total Asset-Backed Securities
(Cost $1,308,396) ($ Thousands) 1,300,053
--------------
- --------------------------------------------------------------------------------
138 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
TREASURY OBLIGATIONS -- 15.3%
Canada Treasury Bill (E)
5.244%, 12/15/06 $ 2,080 $ 2,055
U.S. Treasury Bill (A) (B) (D)
4.937%, 10/19/06 626 625
U.S. Treasury Bonds
10.375%, 11/15/12 (J) 7,950 8,419
8.875%, 02/15/19 (J) 4,397 6,071
8.125%, 08/15/19 (J) 879 1,159
7.500%, 11/15/16 (J) 6,546 8,019
6.250%, 08/15/23 to 05/15/30 (J) 30,444 35,670
5.375%, 02/15/31 (J) 9,580 10,347
5.250%, 02/15/29 (J) 2,670 2,823
4.500%, 02/15/36 (J) 81,413 78,010
3.875%, 04/15/29 (D) 4,493 5,806
3.625%, 04/15/28 (D) (J) 12,669 15,700
2.375%, 04/15/11 to 01/15/25 (D) (J) 56,777 57,232
2.000%, 01/15/26 (D) 656 629
U.S. Treasury Notes
5.125%, 05/15/16 (J) 27,116 28,129
5.125%, 06/30/08 195 196
4.875%, 08/15/16 9,946 10,134
4.875%, 05/15/09 to 02/15/12 (J) 127,813 129,252
4.625%, 08/31/11 (J) 1,975 1,977
4.500%, 11/15/10 to 11/15/15 (J) 34,895 34,714
4.375%, 12/15/10 (J) 11,550 11,454
4.250%, 10/15/10 to 08/15/15 (J) 40,536 39,587
4.000%, 04/15/10 (J) 14,750 14,466
3.875%, 09/15/10 2,420 2,358
3.875%, 05/15/10 to 02/15/13 (J) 7,700 7,483
3.750%, 05/15/08 (J) 1,070 1,053
3.500%, 11/15/09 to 02/15/10 (J) 29,336 28,388
3.375%, 10/15/09 (J) 13,640 13,165
3.375%, 01/15/12 (D) 355 374
3.125%, 09/15/08 600 583
3.125%, 10/15/08 (J) 3,890 3,773
2.000%, 07/15/14 (D) (J) 14,940 14,642
1.875%, 07/15/15 (D) (J) 25,651 24,837
U.S. Treasury STRIPS (E) (J)
4.977%, 11/15/21 43,310 20,800
4.316%, 08/15/09 47,237 41,435
--------------
Total U.S. Treasury Obligations
(Cost $648,387) ($ Thousands) 661,365
--------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 8.4%
FHLB
4.050%, 01/21/09 2,000 1,958
3.625%, 11/14/08 40 39
3.310%, 01/23/09 2,000 1,928
FHLB CMO, Ser 2015, Cl A
5.460%, 11/27/15 13,804 13,805
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FHLMC
6.875%, 09/15/10 (J) $ 5,560 $ 5,950
6.625%, 09/15/09 829 867
5.625%, 03/15/11 to 11/23/35 (J) 10,190 10,234
5.250%, 01/16/07 375 369
5.120%, 10/24/06 (E) 1,015 1,012
5.101%, 10/23/06 (E) 75 75
4.625%, 05/28/13 3,750 3,626
FHLMC CMO STRIPS, Ser 232, Cl IO, IO
9.953%, 08/01/35 2,344 571
FHLMC CMO STRIPS, Ser 233, Cl 12, IO
11.564%, 09/15/35 3,844 887
FHLMC CMO STRIPS, Ser 233, Cl 6, IO
4.500%, 08/15/35 558 133
FHLMC CMO, Ser 1, Cl Z
9.300%, 04/15/19 246 259
FHLMC CMO, Ser 1611, Cl Z
6.500%, 11/15/23 13,212 13,566
FHLMC CMO, Ser 1983, Cl Z
6.500%, 12/15/23 2,152 2,226
FHLMC CMO, Ser 2043, Cl CJ
6.500%, 04/15/28 4,520 4,631
FHLMC CMO, Ser 2277, Cl B
7.500%, 01/15/31 1,030 1,058
FHLMC CMO, Ser 2389, Cl CD
6.000%, 03/15/16 5,510 5,544
FHLMC CMO, Ser 2399, Cl XG
6.500%, 01/15/32 9,043 9,300
FHLMC CMO, Ser 2544, Cl IW, IO
5.500%, 03/15/26 3,921 182
FHLMC CMO, Ser 2579, Cl PI, IO
5.500%, 03/15/27 1,363 46
FHLMC CMO, Ser 2631, Cl MT
3.500%, 01/15/22 218 215
FHLMC CMO, Ser 2645, Cl MK
3.500%, 07/15/22 1,779 1,746
FHLMC CMO, Ser 2733, Cl ME
5.000%, 01/15/34 5,995 5,611
FHLMC CMO, Ser 2736, Cl DB
3.300%, 11/15/26 3,842 3,707
FHLMC CMO, Ser 2809, Cl HX, IO
3.028%, 10/15/24 3,765 198
FHLMC CMO, Ser 2890, Cl AP
3.750%, 12/15/11 2,872 2,799
FHLMC CMO, Ser 2904, Cl CM
5.000%, 01/15/18 2,779 2,755
FHLMC CMO, Ser 2945, Cl SA (F)
2.700%, 03/15/20 7,256 6,532
FHLMC CMO, Ser 2975, Cl EA
5.000%, 05/15/18 1,244 1,233
FHLMC CMO, Ser 3014, Cl NA
4.500%, 11/15/25 4,714 4,644
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 139
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FHLMC CMO, Ser 3017, Cl TA
4.500%, 08/15/35 $ 2,111 $ 2,041
FHLMC CMO, Ser 3020, Cl MA
5.500%, 04/15/27 2,714 2,721
FHLMC CMO, Ser 3026, Cl GJ
4.500%, 02/15/29 1,701 1,671
FHLMC CMO, Ser 3026, Cl PC
4.500%, 01/15/34 1,375 1,273
FHLMC CMO, Ser 3035, Cl DM
5.500%, 11/15/25 3,137 3,141
FHLMC CMO, Ser 3057, Cl MD
4.500%, 08/15/34 1,579 1,467
FHLMC CMO, Ser 3086, Cl PA
5.500%, 05/15/26 3,848 3,858
FHLMC CMO, Ser 3135, Cl JA
6.000%, 09/15/27 3,633 3,673
FHLMC CMO, Ser 3151, Cl LA
6.000%, 11/15/27 3,821 3,862
FHLMC CMO, Ser 3176, Cl HA
6.000%, 02/15/28 6,108 6,185
FHLMC CMO, Ser 3178, Cl MA
6.000%, 10/15/26 10,928 11,058
FHLMC CMO, Ser 3184, Cl LA
6.000%, 03/15/28 6,202 6,279
FHLMC CMO, Ser 3184, Cl PA
5.500%, 02/15/27 10,926 10,964
FHLMC CMO, Ser 3192, Cl GA
6.000%, 03/15/27 3,050 3,085
FHLMC, Ser 1663, Cl ZB
6.750%, 01/15/24 1,008 1,038
FHLMC, Ser 2708, Cl DG
5.500%, 07/15/32 3,368 3,307
FHLMC, Ser 2973, Cl PX
5.500%, 01/15/35 2,561 2,556
FHLMC, Ser 3132, Cl MA
5.500%, 12/15/23 74 74
FHLMC, Ser 3149, Cl PB
6.000%, 08/15/29 5,884 5,960
FHLMC, Ser 3159, Cl PA
6.000%, 05/15/27 4,220 4,269
FHLMC, Ser 3171, Cl MD
6.000%, 04/15/29 1,773 1,797
FHLMC, Ser 3172, Cl PA
6.000%, 04/15/27 4,403 4,456
FHLMC, Ser 3174, Cl CA
5.500%, 02/15/26 2,172 2,182
FHLMC, Ser 3174, Cl DB
6.000%, 09/15/29 922 934
FHLMC, Ser 3174, Cl PX
5.000%, 06/15/17 1,432 1,409
FHLMC, Ser 3179, Cl PD
5.750%, 12/15/18 4,237 4,266
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FHLMC, Ser 3185, Cl PD
4.500%, 01/15/35 $ 1,027 $ 944
FHLMC, Ser 3200, Cl EB
5.000%, 05/15/26 2,555 2,537
FHLMC, Ser 3215, Cl QA
6.000%, 06/15/27 2,827 2,864
FHLMC, Ser 3216, Cl NA
6.000%, 05/15/28 4,462 4,517
FHLMC, Ser 3218, Cl BA
6.000%, 04/15/27 3,081 3,116
FNMA
7.250%, 01/15/10 (J) 5,800 6,208
7.125%, 06/15/10 (J) 6,400 6,876
6.250%, 02/01/11 (J) 8,000 8,364
5.145%, 03/30/07 (E) 900 877
1.265%, 06/25/07 (E) 3,890 3,747
FNMA CMO STRIPS, Ser 359, Cl 6, IO
11.852%, 11/01/35 1,512 359
FNMA CMO STRIPS, Ser 360, Cl 2, IO
9.966%, 08/01/35 39,709 9,679
FNMA CMO STRIPS, Ser 365, Cl 2, IO
5.000%, 02/01/36 1,405 340
FNMA CMO STRIPS, Ser 365, Cl 4, IO
3.719%, 04/01/36 1,512 364
FNMA CMO, Ser 1999-11, Cl Z
5.500%, 03/25/29 7,661 7,634
FNMA CMO, Ser 2001-T2, Cl B
6.022%, 11/25/10 4,500 4,660
FNMA CMO, Ser 2002-94, Cl BJ, IO
5.500%, 04/25/16 977 64
FNMA CMO, Ser 2002-T11, Cl A
4.768%, 04/25/12 233 231
FNMA CMO, Ser 2003-113, Cl PN
3.500%, 02/25/13 1,708 1,673
FNMA CMO, Ser 2003-76, Cl DE
4.000%, 09/25/31 6,515 6,158
FNMA CMO, Ser 2003-84, Cl GD
4.500%, 03/25/17 1,788 1,729
FNMA CMO, Ser 2003-T1, Cl A
3.807%, 11/25/12 715 690
FNMA CMO, Ser 2005-38, Cl CD
5.000%, 06/25/19 1,734 1,714
FNMA CMO, Ser 2005-57, Cl EG (F)
5.630%, 03/25/35 4,255 4,253
FNMA CMO, Ser 2005-63, Cl HA
5.000%, 04/25/23 2,057 2,032
FNMA CMO, Ser 2005-77, Cl BX
4.500%, 07/25/28 816 804
FNMA CMO, Ser 2005-92, Cl NM
3.500%, 04/25/13 2,061 2,022
- --------------------------------------------------------------------------------
140 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FNMA CMO, Ser 2006-10, Cl FD (F)
5.680%, 03/25/36 $ 7,436 $ 7,406
FNMA CMO, Ser 2006-18, Cl PA
5.500%, 01/25/26 2,122 2,125
FNMA CMO, Ser 2006-29, Cl PA
5.500%, 08/25/26 4,728 4,735
FNMA CMO, Ser 2006-31, Cl FA (F)
5.530%, 02/25/33 3,194 3,195
FNMA CMO, Ser 2006-31, Cl PA
5.500%, 11/25/26 2,089 2,095
FNMA CMO, Ser 2006-41, Cl MA
5.500%, 04/25/24 893 894
FNMA CMO, Ser 2006-55, Cl PA
6.000%, 05/25/26 2,437 2,459
FNMA CMO, Ser 2006-99, Cl PA
5.500%, 09/29/36 6,241 6,241
FNMA CMO, Ser 34, Cl QJ
4.500%, 01/25/16 3,766 3,703
FNMA CMO, Ser HB
5.950%, 10/23/36 2,305 2,323
FNMA CMO, Ser HB, Cl 6
6.000%, 10/23/36 4,671 4,726
FNMA CMO, Ser HB, Cl 6.20
6.200%, 10/23/36 4,511 4,550
FNMA, Ser 2005-3, Cl HC
4.500%, 01/25/35 1,659 1,603
FNMA, Ser 2006-34, Cl PA
6.000%, 05/25/27 3,992 4,024
FNMA, Ser 2006-53, Cl PA
5.500%, 12/25/26 619 621
FNMA, Ser 2006-80, Cl PB
6.000%, 10/25/27 4,199 4,245
FNMA, Ser G93-39, Cl ZQ
6.500%, 12/25/23 1,079 1,110
FNMA, Ser G93-41, Cl Z
7.000%, 12/25/23 1,412 1,474
GNMA CMO, Ser 2001-18, Cl WH (F)
7.793%, 04/20/31 476 513
GNMA CMO, Ser 2002-51, Cl SG (F)
9.403%, 04/20/31 423 469
GNMA CMO, Ser 2003-58, Cl LG, IO
5.500%, 05/17/29 4,036 432
GNMA CMO, Ser 2003-86, Cl LC, IO
5.500%, 10/20/27 4,631 171
GNMA CMO, Ser 2004-80, Cl IP, IO
29.822%, 07/20/34 8,767 788
GNMA CMO, Ser 2006-3, Cl A
4.212%, 01/16/28 602 588
GNMA CMO, Ser 32, Cl A
5.079%, 01/16/30 1,442 1,437
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GNMA CMO, Ser 8, Cl A
3.942%, 08/16/25 $ 923 $ 899
GNMA, Ser 2003-86, Cl ZK
5.000%, 10/20/33 8,675 7,744
Small Business Administration,
Ser 2003-P10A, Cl 1
4.524%, 02/10/13 5,007 4,847
--------------
Total U.S. Government Agency Obligations
(Cost $362,726) ($ Thousands) 361,105
--------------
COMMERCIAL PAPER (A) -- 4.8%
Broadhollow Funding (K)
5.502%, 10/02/06 27,022 27,014
Citius I Funding (K)
5.313%, 10/17/06 6,755 6,739
Elysian Funding LLC (K)
5.427%, 11/27/06 12,126 12,021
5.401%, 11/20/06 10,842 10,760
5.390%, 11/06/06 13,511 13,436
General Electric Capital
5.285%, 10/12/06 10,675 10,658
Georgetown Funding (K)
5.349%, 10/24/06 3,478 3,466
Mica Funding LLC (K)
5.299%, 10/12/06 13,511 13,487
Morgan Stanley
5.260%, 10/10/06 30,000 29,960
Ocala Funding (K)
5.321%, 10/20/06 6,755 6,736
5.318%, 10/10/06 15,406 15,383
Park Avenue Receivables Funding
5.277%, 10/04/06 8,955 8,951
Rabusa
5.350%, 10/02/06 13,252 13,250
Rhineland Funding Capital (K)
5.470%, 10/12/06 6,755 6,743
5.378%, 12/12/06 4,447 4,399
Socnam
5.100%, 10/06/06 10,000 9,993
Ubsfin
5.340%, 10/02/06 13,252 13,250
--------------
Total Commercial Paper
(Cost $206,246) ($ Thousands) 206,246
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 141
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares/Contracts ($ Thousands)
- --------------------------------------------------------------------------------
FOREIGN BONDS -- 0.3%
Canadian Government
4.000%, 12/01/31 $ 3,864 $ 5,112
Deutsche Bundesrepublik
3.750%, 01/04/15 6,320 8,048
--------------
Total Foreign Bonds
(Cost $12,757) ($ Thousands) 13,160
--------------
CASH EQUIVALENT -- 2.5%
SEI Daily Income Trust,
Prime Obligation Fund, Cl A,
5.330%**++ 106,105,495 106,105
--------------
Total Cash Equivalent
(Cost $106,105) ($ Thousands) 106,105
--------------
MASTER NOTE (A) (K) -- 0.8%
Bank of America
5.445%, 10/02/06 33,777 33,777
--------------
Total Master Note
(Cost $33,777) ($ Thousands) 33,777
--------------
CERTIFICATES OF DEPOSIT (K) -- 0.6%
Barclays Bank (F)
5.440%, 06/11/07 6,756 6,756
CC USA MTN (C)
5.520%, 06/18/07 13,511 13,511
U.S. Trust of New York (F)
5.370%, 10/13/06 5,404 5,404
--------------
Total Certificates of Deposit
(Cost $25,671) ($ Thousands) 25,671
--------------
PURCHASED OPTIONS -- 0.0%
December 2006 120 Day Euro Futures
Call, Expires 12/16/06,
Strike Price $95* 340 242
November 2006 U.S. Ten Year Treasury
Put, Expires 11/21/06,
Strike Price $106* 82 8
October 2006 90 Day Euro Futures
Put, Expires 10/14/06,
Strike Price $94.375* 136 1
--------------
Total Purchased Options
(Cost $317) ($ Thousands) 251
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS (N) -- 8.2%
Barclays
5.350%, dated 09/29/06, to be
repurchased on 10/02/06,
repurchase price $18,777,160
(collateralized by a U.S. Government
Obligation, par value $17,925,983,
6.000%, 05/15/11; with total market
value $19,144,292) (K) $ 18,769 $ 18,769
Deutsche Bank
5.330%, dated 09/29/06, to be
repurchased on 10/02/06, repurchase
price $27,033,788 (collateralized by
various U.S. Government Obligations,
ranging in par value $233,738-
$7,908,331, 3.750%-5.300%,
02/21/08-04/25/14; with total
market value $27,562,307) (K) 27,022 27,022
Lehman Brothers
5.250%, dated 09/29/06, to be
repurchased on 10/02/06, repurchase
price $49,421,612 (collateralized
by Agency Obligation, par value
$158,740,000, 0.000%, 04/15/30;
with total market value $50,387,251) 49,400 49,400
Lehman Brothers
5.330%, dated 09/29/06, to be
repurchased on 10/02/06, repurchase
price $33,792,236 (collateralized by
various U.S. Government Obligations,
ranging in par value $2,331,980-
$4,155,951, 2.500%-5.705%,
01/30/07-05/18/16; with total
market value $34,453,160) (K) 33,777 33,777
Merrill Lynch
5.270%, dated 09/29/06, to be
repurchased on 10/02/06, repurchase
price $225,098,812 (collateralized by
various U.S. Government Obligations,
ranging in par value $10,000,000-
50,000,000, 4.375%-5.125%,
04/18/08-10/15/15; with total
market value $229,499,669) 225,000 225,000
--------------
Total Repurchase Agreements
(Cost $353,968) ($ Thousands) 353,968
--------------
Total Investments -- 140.3%
(Cost $6,018,644) ($ Thousands) $ 6,044,140
==============
- --------------------------------------------------------------------------------
142 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Market Value
Description Contracts ($ Thousands)
- --------------------------------------------------------------------------------
WRITTEN OPTIONS -- 0.0%
December 2006 120 Day Euro Futures
Call, Expires 12/15/06,
Strike Price $95* (340) $ (200)
December 2006 90 Day Euro Futures
Call, Expires 11/21/06,
Strike Price $106* (126) (270)
December 2006 U.S. Ten Year
Treasury Note Call, Expires 11/21/06,
Strike Price $105* (169) (520)
December 2006 U.S. Ten Year
Treasury Note Call, Expires 11/21/06,
Strike Price $107* (169) (222)
March 2007 U.S. Ten Year
Treasury Note Call, Expires 03/23/07,
Strike Price $110* (571) (267)
October 2006 Euro 1-Year Futures
Put, Expires 10/14/06,
Strike Price $94.50* (136) --
--------------
Total Written Options
(Premiums Received $(865)) ($ Thousands) (1,479)
--------------
Futures -- A summary of the open futures contracts held by the Fund at September
30, 2006, is as follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
APPRECIATION
TYPE OF NUMBER OF EXPIRATION (DEPRECIATION)
CONTRACT CONTRACTS DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
90-Day Euro$ 1,051 Mar-2007 $ 335
90-Day Euro$ (342) Mar-2008 (486)
90-Day Euro$ 50 Mar-2009 50
90-Day Euro$ 45 Mar-2010 43
90-Day Euro$ (5) Mar-2011 (3)
90-Day Euro$ 211 Jun-2007 (9)
90-Day Euro$ 50 Jun-2008 54
90-Day Euro$ 50 Jun-2009 49
90-Day Euro$ 25 Jun-2010 22
90-Day Euro$ (5) Jun-2011 (3)
90-Day Euro$ 690 Sep-2007 296
90-Day Euro$ 50 Sep-2008 52
90-Day Euro$ 50 Sep-2009 48
90-Day Euro$ 3 Sep-2010 --
90-Day Euro$ 1,814 Dec-2006 74
90-Day Euro$ (1,326) Dec-2007 (380)
90-Day Euro$ 50 Dec-2008 52
90-Day Euro$ 50 Dec-2009 48
90-Day Euro$ 11 Dec-2010 --
Euro-Bund (94) Dec-2006 (94)
10-Year Swap (2) Dec-2006 (3)
U.S. 2-Year Note 483 Dec-2006 233
U.S. 5-Year Note 1,498 Dec-2006 1,170
U.S. 10-Year Note (632) Dec-2006 (368)
U.S. Long Treasury Bond (48) Dec-2006 (94)
------
$1,086
======
Forward Foreign Currency Contracts -- A summary of the outstanding forward
foreign currency contracts held by the Fund at September 30, 2006, is as follows
(see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
CURRENCY CURRENCY APPRECIATION
MATURITY TO DELIVER TO RECEIVE (DEPRECIATION)
DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
11/7/06 AUD 11,084 USD 8,351 $ 90
11/7/06 CAD 19,090 JPY 1,981,542 (253)
11/7/06 CAD 5,776 USD 5,081 (103)
11/7/06 EUR 6,375 USD 8,102 9
11/7/06 USD 8,401 AUD 11,084 (140)
11/7/06 USD 17,168 CAD 19,090 (33)
-----
$(430)
=====
Swaps -- At September 30, 2006, the following Credit Default Swap agreements
were outstanding (see Note 2 in Notes to Financial Statements):
- ---------------------------------------------------------------------------------------------
NOTIONAL UNREALIZED
EXPIRATION AMOUNT DEPRECIATION
DESCRIPTION DATE ($ 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.
(Counterparty: 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.
(Counterparty: 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.
(Counterparty: Citibank) 12/25/34 633 (14)
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.
(Counterparty: 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.
(Counterparty: Citibank) 11/25/34 633 (6)
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.
(Counterparty: 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.
(Counterparty: Citibank) 05/25/34 633 (9)
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 143
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Concluded)
September 30, 2006
- ---------------------------------------------------------------------------------------------
NOTIONAL UNREALIZED
EXPIRATION AMOUNT DEPRECIATION
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- ---------------------------------------------------------------------------------------------
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.
(Counterparty: Citibank) 06/25/34 $1,056 $ (12)
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.
(Counterparty: Citibank) 02/25/34 1,056 (11)
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.
(Counterparty: Citibank) 03/25/35 633 (10)
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.
(Counterparty: 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.
(Counterparty: Citibank) 06/25/34 633 (5)
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.
(Counterparty: 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.
(Counterparty: 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.
(Counterparty: Citibank) 02/25/35 1,056 (15)
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.
(Counterparty: Citibank) 11/25/34 633 (8)
-----
$(149)
=====
Swaps -- At September 30, 2006, the following Total Return Swap agreements were
outstanding (see Note 2 in Notes to Financial Statements):
- ----------------------------------------------------------------------------------------------
UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- ----------------------------------------------------------------------------------------------
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. (Counterparty: Wachovia) 10/31/06 $15,000 $12
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. (Counterparty: Wachovia) 12/01/06 25,000 17
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. (Counterparty: Wachovia) 12/01/06 5,000 3
The Fund receives payment on the monthly reset
spread from Bank 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
period. (Counterparty: JP Morgan Chase) 10/31/06 5,000 4
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
period. (Counterparty: Bank of America) 02/02/07 20,000 16
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
period. (Counterparty: Bank of America) 03/31/07 10,000 7
The Fund receives payment on the monthly reset
spread from Banc of America - CMBS A
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. (Counterparty: Bank of America) 01/31/07 21,000 (14)
----
$45
====
- --------------------------------------------------------------------------------
144 SEI Institutional Managed Trust / Annual Report / September 30, 2006
Percentages are based on Net Assets of $4,307,344 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of September 30, 2006.
+ Real Estate Investment Trust.
++ Pursuant to an exemptive order issued by the Securities and Exchange
Commission, the Fund may invest in the SEI money market funds, provided
that investments in the money market funds do not exceed 25% of the Fund's
total assets.
(A) The rate reported is the effective yield at time of purchase.
(B) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(C) Security sold within the terms of a private placement memorandum, exempt
from registration under section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors." These securities have been determined to be liquid
under guidelines established by the Board of Trustees.
(D) Treasury Inflation Index Notes.
(E) Zero-coupon Bond -- The rate shown is the effective yield at the date of
purchase.
(F) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of September 30, 2006. The date reported on the
Schedule of Investments is the next reset date.
(G) Step Bonds -- The rate reflected on the Schedule of Investments is the
effective yield on September 30, 2006. The coupon on a step bond changes
on a specified date.
(H) Securities considered illiquid. The total value of such securities as of
September 30, 2006 was $9,513 ($ Thousands) and represented 0.22% of Net
Assets.
(I) Security in default on interest payments.
(J) This security or a partial position of this security is on loan at
September 30, 2006 (see Note 7). The total value of securities on loan at
September 30, 2006 was $700,716 ($ Thousands).
(K) This security was purchased with cash collateral held from securities
lending (see Note 7). The total value of such securities as of September
30, 2006 was $729,763 ($ Thousands).
(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.
(M) 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.
(N) Tri-Party Repurchase Agreement.
ARM -- Adjustable Rate Mortgage
AUD -- Australian Dollar
CAD -- Canadian Dollar
CDO -- Collateralized Debt Obligation
Cl -- Class
CMBS -- Commercial Mortgage-Backed Security
CMO -- Collateralized Mortgage Obligation
EUR -- Euro
EXL -- Extendable Maturity
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
IO -- Interest Only Security - face amount represents notional amount.
JPY -- Japanese Yen
LLC -- Limited Liability Company
MTN -- Medium Term Note
NIM -- Net Interest Margin
PLC -- Public Limited Company
Ser -- Series
STRIPS -- Separately Traded Registered Interest and Principal Securities
TBA -- To Be Announced
USD -- United States Dollar
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 145
SCHEDULE OF INVESTMENTS
High Yield Bond Fund
September 30, 2006
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS# (UNAUDITED):
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
20.2% Consumer Discretionary
14.4% Financials
10.4% Industrials
9.7% Materials
8.2% Telecommunication Services
6.9% Energy
5.4% Collateralized Loan Obligations
4.4% Health Care
4.3% Short-Term Investments
4.0% Loan Participants
3.0% Utilities
2.4% Consumer Staples
2.3% Information Technology
1.6% Asset-Backed Securities
1.5% Collateralized Debt Obligations
0.7% Preferred Stocks
0.3% Certificates of Deposits
0.1% Common Stock
0.1% U.S. Treasury Obligations
0.1% Convertible Bond
0.0% U.S. Government Agency Obligation
0.0% Warrants
#Percentages based on total investments. Includes investments held as collateral
for securities on loan (see Note 7).
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS -- 84.6%
CONSUMER DISCRETIONARY -- 21.7%
155 E Tropicana LLC
8.750%, 04/01/12 $ 926 $ 778
AEP Industries
7.875%, 03/15/13 715 715
AMC Entertainment
8.000%, 03/01/14 755 710
AMF Bowling Worldwide
10.000%, 03/01/10 830 861
Acco Brands
7.625%, 08/15/15 2,085 2,017
Adelphia Communications (C)
10.250%, 11/01/06 550 337
7.875%, 05/01/09 (G) 1,300 790
Adelphia Communications, Ser B (C)
8.375%, 02/01/08 775 479
7.750%, 01/15/09 450 278
Adesa
7.625%, 06/15/12 525 517
Alderwoods Group
7.750%, 09/15/12 275 296
American Greetings
7.375%, 06/01/16 550 558
Amscan Holdings
8.750%, 05/01/14 935 846
Arvinmeritor
8.750%, 03/01/12 780 747
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Asbury Automotive
9.000%, 06/15/12 $ 3,884 $ 3,976
Ashtead Capital (A)
9.000%, 08/15/16 990 1,030
Autonation (A) (D)
7.676%, 10/15/06 930 942
Avis (A)
7.905%, 11/15/06 (D) 1,420 1,392
7.750%, 05/15/16 1,475 1,427
7.625%, 05/15/14 250 243
Aztar
7.875%, 06/15/14 2,588 2,789
Barrington Broadcasting (A)
10.500%, 08/15/14 350 341
Boyd Gaming
7.750%, 12/15/12 675 693
7.125%, 02/01/16 2,050 1,983
Broder Brothers, Ser B
11.250%, 10/15/10 1,260 1,228
Brookstone
12.000%, 10/15/12 730 664
Brown Shoe
8.750%, 05/01/12 1,125 1,176
Burlington (A) (G)
11.125%, 04/15/14 900 868
CBD Media Holdings
9.250%, 07/15/12 (G) 500 492
8.625%, 06/01/11 250 246
CCH I Holdings LLC
19.130%, 01/15/14(B) 900 691
11.000%, 10/01/15 (G) 2,283 2,078
10.000%, 05/15/14 (G) 328 224
CCH II LLC
10.250%, 09/15/10 4,369 4,456
CCH II LLC, Ser B (G)
10.250%, 09/15/10 550 558
CCM Merger (A) (G)
8.000%, 08/01/13 2,225 2,136
CCO Holdings LLC
9.515%, 12/15/06 (D) 1,684 1,722
8.750%, 11/15/13 1,675 1,685
CSC Holdings
7.875%, 12/15/07 200 203
7.250%, 07/15/08 250 252
CSC Holdings, Ser B
8.125%, 08/15/09 275 285
Cablevision Systems, Ser B
9.620%, 10/03/06 (D) 1,510 1,606
8.000%, 04/15/12 (G) 1,830 1,853
- --------------------------------------------------------------------------------
146 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Caesars Entertainment
8.875%, 09/15/08 $ 190 $ 199
8.125%, 05/15/11 300 316
7.875%, 03/15/10 650 676
Canwest Media
8.000%, 09/15/12 475 469
Charter Communications Holdings (A)
8.375%, 04/30/14 898 913
Cinemark (B)
9.580%, 03/15/14 700 558
Collins & Aikman Floorcovering, Ser B
9.750%, 02/15/10 375 373
Cooper Standard Auto
8.375%, 12/15/14 600 441
Cornell
10.750%, 07/01/12 500 530
Corrections Corp of America
7.500%, 05/01/11 206 211
6.750%, 01/31/14 525 525
6.250%, 03/15/13 3,102 3,040
Couche-Tard US
7.500%, 12/15/13 125 127
Del Laboratories
10.489%, 10/28/06 (D) 480 497
8.000%, 02/01/12 1,065 935
Delphi (C)
6.500%, 05/01/09 625 556
Denny's (G)
10.000%, 10/01/12 650 673
Dex Media
8.640%, 11/15/13 (B) 2,200 1,853
8.000%, 11/15/13 375 372
Dex Media East
9.875%, 11/15/09 629 663
Dex Media West, Ser B
9.875%, 08/15/13 1,900 2,052
Directv Holdings
6.375%, 06/15/15 3,140 2,952
Dura Operating, Ser B
8.625%, 04/15/12 450 178
Echostar DBS
7.125%, 02/01/16 (A) 3,365 3,251
7.000%, 10/01/13 (A) 225 220
6.625%, 10/01/14 100 95
6.375%, 10/01/11 410 399
El Dorado Casino Shreveport PIK (G)
10.000%, 08/01/12 1,065 1,006
Elizabeth Arden
7.750%, 01/15/14 1,025 1,004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Eye Care Centers of America
10.750%, 02/15/15 $ 350 $ 376
Federal-Mogul (C)
8.370%, 11/15/01 325 189
7.750%, 07/01/06 50 29
7.375%, 01/15/06 200 115
Festival Fun Park LLC
10.875%, 04/15/14 2,456 2,395
Ford Motor
9.500%, 09/15/11 (G) 275 267
9.215%, 09/15/21 350 308
8.900%, 01/15/32 500 449
8.875%, 01/15/22 50 43
7.450%, 07/16/31 (G) 1,416 1,094
French Lick Resorts (A)
10.750%, 04/15/14 3,808 3,456
Gamestop
9.383%, 10/01/06 (D) 1,566 1,629
8.000%, 10/01/12 (G) 1,103 1,136
General Motors
8.375%, 07/15/33 (G) 1,511 1,307
8.250%, 07/15/23 648 561
7.700%, 04/15/16 562 490
Goodyear Tire & Rubber (G)
7.857%, 08/15/11 1,450 1,410
Gregg Appliances
9.000%, 02/01/13 3,162 2,885
Group 1 Automotive
8.250%, 08/15/13 525 537
Harry & David Operations
9.000%, 03/01/13 3,255 3,035
Herbst Gaming
8.125%, 06/01/12 1,986 2,028
7.000%, 11/15/14 125 121
Hertz (A)
10.500%, 01/01/16 (G) 1,976 2,174
8.875%, 01/01/14 3,554 3,723
Houghton Mifflin
9.875%, 02/01/13 795 841
Hydrochem Industrial (A)
9.250%, 02/15/13 625 619
Inn of the Mountain Gods (G)
12.000%, 11/15/10 575 602
Intrawest
7.500%, 10/15/13 2,992 3,212
Isle of Capri Casinos
9.000%, 03/15/12 422 440
7.000%, 03/01/14 675 641
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 147
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Jacobs Entertainment (A)
9.750%, 06/15/14 $ 200 $ 198
Jacuzzi Brands
9.625%, 07/01/10 1,350 1,431
Jo-Ann Stores (G)
7.500%, 03/01/12 325 283
Kabel Deutschland (A)
10.625%, 07/01/14 2,697 2,893
LBI Media (B)
9.860%, 10/15/13 675 570
Lamar Media
7.250%, 01/01/13 350 352
6.625%, 08/15/15 625 599
Las Vegas Sands
6.375%, 02/15/15 450 422
Lazydays RV Center
11.750%, 05/15/12 2,375 2,280
Leslie's Poolmart
7.750%, 02/01/13 150 148
Levi Strauss
12.250%, 12/15/12 2,165 2,414
10.258%, 10/01/06 (D) 1,100 1,133
8.875%, 04/01/16 418 416
Lin Television
6.500%, 05/15/13 250 233
Lin Televison, Ser B
6.500%, 05/15/13 1,250 1,166
Lodgenet Entertainment
9.500%, 06/15/13 690 738
MGM Mirage
8.375%, 02/01/11 2,250 2,346
6.875%, 04/01/16 700 675
6.750%, 09/01/12 620 611
6.750%, 04/01/13 1,915 1,881
5.875%, 02/27/14 1,875 1,737
Majestic Holdings (A) (B)
13.180%, 10/15/11 275 201
Majestic Star Casino LLC
9.500%, 10/15/10 1,250 1,278
Majestic Star II
9.750%, 01/15/11 1,550 1,509
Mandalay Resort Group
9.375%, 02/15/10 575 615
7.625%, 07/15/13 320 316
Mediacom Broadband LLC (A)
8.500%, 10/15/15 325 323
Mediacom LLC (G)
9.500%, 01/15/13 3,276 3,350
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Metaldyne (G)
11.000%, 06/15/12 $ 624 $ 562
10.000%, 11/01/13 927 936
Mohegan Tribal Gaming
7.125%, 08/15/14 100 100
6.875%, 02/15/15 1,150 1,121
6.125%, 02/15/13 375 367
NPC International (A)
9.500%, 05/01/14 200 197
Neiman Marcus Group
10.375%, 10/15/15 (G) 1,579 1,705
9.000%, 10/15/15 475 505
Nexstar Holdings LLC (B)
10.460%, 04/01/13 1,450 1,211
O'Charley's
9.000%, 11/01/13 375 390
Pantry
7.750%, 02/15/14 675 677
Penhall International (A)
12.000%, 08/01/14 1,390 1,456
Penn National Gaming
6.750%, 03/01/15 970 945
Perry Ellis International, Ser B
8.875%, 09/15/13 2,306 2,271
Petro Stopping Centers
9.000%, 02/15/12 250 253
Phillips Van-Heusen
8.125%, 05/01/13 375 391
7.250%, 02/15/11 75 76
Pinnacle Entertainment
8.250%, 03/15/12 2,872 2,908
Pokagon Gaming Authority (A)
10.375%, 06/15/14 600 640
Polypore International (B) (G)
12.930%, 10/01/12 475 342
Primedia
8.875%, 05/15/11 425 415
8.000%, 05/15/13 700 635
Quebecor Media
7.750%, 03/15/16 1,075 1,076
Quicksilver
6.875%, 04/15/15 275 261
RH Donnelley
10.875%, 12/15/12 800 880
6.875%, 01/15/13 375 340
RH Donnelley, Ser A-1
6.875%, 01/15/13 2,000 1,825
RH Donnelley, Ser A-2
6.875%, 01/15/13 2,565 2,341
RH Donnelley, Ser A-3
8.875%, 01/15/16 1,850 1,855
- --------------------------------------------------------------------------------
148 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
RJ Tower (C) (G)
12.000%, 06/01/13 $ 875 $ 166
Riddell Bell Holdings
8.375%, 10/01/12 1,485 1,455
SGS International
12.000%, 12/15/13 1,475 1,490
Sealy Mattress
8.250%, 06/15/14 1,926 1,965
Seneca Gaming,
7.250%, 05/01/12 175 175
Service
8.000%, 06/15/17 (A) 1,375 1,317
7.700%, 04/15/09 1,415 1,478
7.625%, 10/01/18 (A) 1,233 1,241
7.375%, 10/01/14 (A) 1,997 2,009
6.750%, 04/01/16 800 767
6.500%, 03/15/08 1,467 1,467
Simmons (B)
10.700%, 12/15/14 2,065 1,471
Sinclair Broadcast Group (A) (B)
4.880%, 07/15/18 450 400
Sonic Automotive, Ser B (G)
8.625%, 08/15/13 1,628 1,640
Spectrum Brands
7.375%, 02/01/15 1,518 1,214
Stanadyne Holdings (B)
13.170%, 02/15/15 1,575 1,039
Stanadyne, Ser 1 (G)
10.000%, 08/15/14 650 656
Starwood Hotel & Resorts
7.375%, 11/15/15 305 309
7.375%, 05/01/07 725 730
Station Casinos
7.750%, 08/15/16 350 363
6.875%, 03/01/16 3,700 3,469
6.625%, 03/15/18 2,800 2,527
6.500%, 02/01/14 125 117
Steinway Musical Instruments (A)
7.000%, 03/01/14 2,940 2,881
Stewart Enterprises
6.250%, 02/15/13 1,565 1,448
Sun Media
7.625%, 02/15/13 1,105 1,116
Superior Essex Com & Essex Group
9.000%, 04/15/12 654 664
Tenneco Automotive (G)
8.625%, 11/15/14 4,786 4,726
Town Sports International (B)
9.380%, 02/01/14 1,817 1,492
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Travelport (A)
11.875%, 09/01/16 (G) $ 3,160 $ 3,034
10.023%, 12/01/06 (D) 1,771 1,700
9.875%, 09/01/14 1,884 1,818
Turning Stone Casino Entertainment (A)
9.125%, 12/15/10 1,300 1,316
Turning Stone Repsort Casinos (A)
9.125%, 09/15/14 350 353
United Components
9.375%, 06/15/13 825 817
United Rentals North America
7.750%, 11/15/13 1,492 1,470
7.000%, 02/15/14 1,125 1,057
6.500%, 02/15/12 2,090 2,017
Universal City Florida (D)
10.239%, 11/01/06 5,647 5,802
Vail Resorts
6.750%, 02/15/14 1,215 1,188
Vertis
9.750%, 04/01/09 825 832
Vicorp Restaurants
10.500%, 04/15/11 450 426
Videotron
6.875%, 01/15/14 2,930 2,886
6.375%, 12/15/15 25 24
Visteon
7.000%, 03/10/14 325 291
Wynn Las Vegas LLC
6.625%, 12/01/14 2,316 2,247
--------------
232,233
--------------
CONSUMER STAPLES -- 2.9%
B&G Foods Holding
8.000%, 10/01/11 525 538
Carrols
9.000%, 01/15/13 1,195 1,219
Constellation Brands
7.250%, 09/01/16 2,140 2,164
Dean Foods
7.000%, 06/01/16 1,460 1,460
6.900%, 10/15/17 525 512
Del Monte
6.750%, 02/15/15 456 440
Dole Foods (G)
8.875%, 03/15/11 1,475 1,412
Fleming (C)
10.125%, 04/01/08 1,125 169
9.250%, 06/15/10 200 30
General Nutrition Center
8.500%, 12/01/10 600 582
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 149
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Jean Coutu Group
7.625%, 08/01/12 $ 400 $ 420
Le-Natures (A)
10.000%, 06/15/13 3,210 3,306
NBTY
7.125%, 10/01/15 3,126 3,024
Natural Beef Pack
10.500%, 08/01/11 1,652 1,722
Playtex Products
9.375%, 06/01/11 1,825 1,907
Rite Aid
9.250%, 06/01/13 375 368
7.700%, 02/15/27 (G) 150 119
7.125%, 01/15/07 (G) 650 651
6.875%, 08/15/13 (G) 100 84
6.875%, 12/15/28 (G) 375 270
Stater Brothers Holdings
8.890%, 12/15/06 (D) (G) 2,526 2,551
8.125%, 06/15/12 1,543 1,551
UNIFI (A)
11.500%, 05/15/14 175 166
Visant Holding (A) (G)
9.250%, 12/01/13 (B) 3,896 3,214
8.750%, 12/01/13 2,225 2,239
Winn-Dixie Pass-Thru Trust (A) (C) (G)
8.181%, 09/01/24 570 478
7.803%, 09/01/17 358 300
--------------
30,896
--------------
ENERGY -- 7.6%
Allis-Chalmers Energy (A)
9.000%, 01/15/14 4,192 4,202
Atlas Pipeline Partners
8.125%, 12/15/15 1,320 1,343
Baytex Energy
9.625%, 07/15/10 550 573
Brigham Exploration (A)
9.625%, 05/01/14 175 171
Capano Energy LLC
8.125%, 03/01/16 1,428 1,446
Chaparral Energy
8.500%, 12/01/15 2,649 2,629
Chesapeake Energy
7.750%, 01/15/15 2,459 2,508
7.500%, 09/15/13 600 609
7.500%, 06/15/14 356 360
7.000%, 08/15/14 324 320
6.875%, 01/15/16 1,062 1,038
6.500%, 08/15/17 4,485 4,205
6.375%, 06/15/15 50 48
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Clayton William Energy
7.750%, 08/01/13 $ 2,044 $ 1,840
Colorado Interstate Gas
5.950%, 03/15/15 275 263
Compton Pet Finance
7.625%, 12/01/13 500 482
Comstock Resources
6.875%, 03/01/12 75 72
Denbury Resources
7.500%, 04/01/13 1,445 1,445
7.500%, 12/15/15 (G) 1,225 1,225
El Paso
9.625%, 05/15/12 91 101
7.750%, 07/15/11 (A) 725 745
7.625%, 08/16/07 320 324
7.625%, 09/01/08 (G) 309 316
7.420%, 02/15/37 775 744
7.000%, 05/15/11 (G) 625 629
6.750%, 05/15/09 325 327
El Paso MTN
8.050%, 10/15/30 475 494
7.800%, 08/01/31 150 154
7.375%, 12/15/12 425 432
El Paso Natural Gas
8.375%, 06/15/32 325 372
El Paso Production Holdings
7.750%, 06/01/13 3,885 3,972
Encore Acquisition
7.250%, 12/01/17 375 361
6.000%, 07/15/15 275 252
Energy Partners
8.750%, 08/01/10 844 867
Forest Oil
8.000%, 12/15/11 785 812
Giant Industries
8.000%, 05/15/14 575 622
Grant Prideco, Ser B
6.125%, 08/15/15 300 286
Hanover Compressor
9.000%, 06/01/14 1,305 1,383
7.500%, 04/15/13 625 625
Hanover Equipment Trust, Ser 2001 B
8.750%, 09/01/11 3,260 3,390
Hilcorp Energy (A)
10.500%, 09/01/10 3,685 3,966
9.000%, 06/01/16 1,350 1,394
Holly Energy Partners
6.250%, 03/01/15 625 579
Mariner Energy (A) (G)
7.500%, 04/15/13 850 812
- --------------------------------------------------------------------------------
150 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Markwest Energy (A)
8.500%, 07/15/16 $ 1,050 $ 1,058
Markwest Energy, Ser B
6.875%, 11/01/14 1,500 1,410
Massey Energy
6.875%, 12/15/13 587 531
6.625%, 11/15/10 (G) 3,922 3,824
Newfield Exploration
6.625%, 04/15/16 835 812
Pacific Energy Partners
7.125%, 06/15/14 225 230
6.250%, 09/15/15 100 99
Parker Drilling
10.150%, 12/01/06 (D) 2,778 2,837
9.625%, 10/01/13 236 257
Petrohawk Energy (A)
9.125%, 07/15/13 895 899
Pogo Producing
7.875%, 05/01/13 (A) (G) 750 764
6.875%, 10/01/17 175 167
Pogo Producing, Ser B
8.250%, 04/15/11 773 794
Pride International
7.375%, 07/15/14 859 885
Quicksilver Resources
7.125%, 04/01/16 1,450 1,374
Range Resources
7.500%, 05/15/16 525 528
6.375%, 03/15/15 350 332
SESI (A)
6.875%, 06/01/14 1,000 990
Sonat
7.625%, 07/15/11 3,335 3,418
7.000%, 02/01/18 400 388
Stone Energy
8.250%, 12/15/11 1,025 1,038
Teco Energy (D)
7.489%, 11/01/06 414 424
Tesoro (A)
6.625%, 11/01/15 500 481
United Refining (G)
10.500%, 08/15/12 4,337 4,554
Veneco
8.750%, 12/15/11 700 674
Whiting Petroleum
7.000%, 02/01/14 765 746
Williams
8.750%, 03/15/32 100 110
8.125%, 03/15/12 660 705
7.750%, 06/15/31 125 125
7.625%, 07/15/19 525 546
6.375%, 10/01/10 (A) 775 771
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Williams, Ser A
7.500%, 01/15/31 $ 425 $ 420
Williams Partners (A)
7.500%, 06/15/11 400 401
--------------
81,330
--------------
FINANCIALS -- 12.3%
AAC Group Holding (B)
9.620%, 10/01/12 560 465
AAC Group Holding PIK (A) (G)
12.750%, 10/01/12 250 263
Ace Cash Express (A)
10.250%, 10/01/14 575 582
Alamosa Delaware
8.500%, 01/31/12 2,195 2,338
Allstate Life Global Funding II
MTN (A) (D) (H)
5.370%, 10/16/06 737 737
American General Finance (A) (D) (H)
5.360%, 10/16/06 2,323 2,323
Arch Western Finance
6.750%, 07/01/13 3,417 3,280
Bear Stearns EXL (D) (H)
5.370%, 10/16/06 2,852 2,852
Beazer Homes USA
6.875%, 07/15/15 2,520 2,281
CB Richard Ellis Service
9.750%, 05/15/10 321 343
Cardtronics (A)
9.250%, 08/15/13 150 154
Choctaw Resort Development Entity (A)
7.250%, 11/15/19 1,100 1,094
Countrywide Financial MTN (D) (H)
5.448%, 12/27/06 961 961
Countrywide Financial MTN,
Ser A (D) (H)
5.548%, 11/03/06 1,682 1,682
Credit Suisse First Boston London
(A) (D) (K)
0.000%, 12/24/06 3,849 3,478
0.000%, 12/24/06 2,611 2,359
Crystal US Holdings, Ser B (B)
8.630%, 10/01/14 625 507
Dekabank (A) (D) (H)
5.490%, 10/19/06 2,964 2,964
Dow Jones CDX HY, Ser 6-T1 (A)
8.625%, 06/29/11 4,000 4,050
FTI Consulting
7.750%, 10/01/16 (A) 1,017 1,027
7.625%, 06/15/13 350 354
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 151
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Ford Motor Credit
9.957%, 10/17/06 (D) $ 2,835 $ 2,967
9.750%, 09/15/10 (A) 2,312 2,387
7.375%, 10/28/09 2,610 2,536
7.375%, 02/01/11 675 648
7.250%, 10/25/11 700 660
7.077%, 10/18/06 (D) 1,300 1,226
7.000%, 10/01/13 (G) 6,413 5,950
6.625%, 06/16/08 1,000 985
General Motors Acceptance
8.000%, 11/01/31 (G) 4,871 5,093
7.600%, 10/25/06 (D) 500 501
7.000%, 02/01/12 100 100
6.875%, 08/28/12 4,795 4,746
6.750%, 12/01/14 (G) 4,461 4,355
6.125%, 08/28/07 300 300
Glitner Banki (A) (D) (H)
5.380%, 10/10/06 2,403 2,403
H-Lines Finance Holding (B)
9.700%, 04/01/13 801 705
Host Marriott+
7.125%, 11/01/13 750 759
Host Marriott, Ser M+
7.000%, 08/15/12 400 405
Host Marriott, Ser O+
6.375%, 03/15/15 475 461
Host Marriott, Ser Q+
6.750%, 06/01/16 3,295 3,250
Hughes Network Systems (A)
9.500%, 04/15/14 1,954 2,013
Innophos Investments PIK (A) (G)
13.405%, 11/16/06 2,315 2,402
Ipayment (A)
9.750%, 05/15/14 425 434
Irish Life & Permanent MTN,
Ser X (A) (D) (H)
5.370%, 10/23/06 2,131 2,131
Islandsbanki (A) (D) (H)
5.380%, 10/23/06 1,362 1,362
Jackson National Life Funding
(A) (D) (H)
5.330%, 10/02/06 3,525 3,525
K&F Acquisition
7.750%, 11/15/14 500 501
Kaupthing Bank MTN (A) (D) (H)
5.390%, 10/20/06 4,006 4,006
Lakeside Funding (D) (H)
5.330%, 10/10/06 958 958
Landsbanki Islands (A) (D) (H)
5.410%, 10/16/06 3,044 3,044
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Morgan Stanley EXL (D) (H)
5.390%, 10/04/06 $ 561 $ 561
Morgan Stanley EXL, Ser S (D) (H)
5.350%, 10/03/06 801 801
Natexis Banques (A) (D) (H)
5.310%, 10/16/06 1,562 1,562
Nationwide Building Society (A) (D) (H)
5.424%, 12/28/06 881 881
5.360%, 10/10/06 1,602 1,602
Nielsen Finance LLC (A)
11.740%, 08/01/16 (B) 1,275 747
10.000%, 08/01/14 1,975 2,042
Noble Group (A)
6.625%, 03/17/15 1,050 929
Nordbank (A) (D) (H)
5.360%, 10/23/06 2,724 2,724
Northern Rock (A) (D) (H)
5.370%, 10/03/06 1,650 1,650
Omega Healthcare Investors+
7.000%, 01/15/16 1,025 1,010
Pacific Life Global Funding (A) (D) (H)
5.380%, 10/13/06 1,202 1,202
Premium Asset Trust, Ser 2004-10
(A) (D) (H)
5.370%, 10/16/06 2,243 2,243
Residential Capital (A) (D)
7.337%, 04/17/09 1,000 1,005
Rouse+ (A)
6.750%, 05/01/13 2,565 2,563
SLM EXL, Ser S (A) (D) (H)
5.330%, 10/16/06 1,763 1,763
Senior Housing+
7.875%, 04/15/15 671 691
Sigma Finance MTN (A) (H)
4.745%, 11/09/06 865 865
Skandinav Enskilda Bank (A) (D) (H)
5.320%, 10/18/06 1,763 1,762
Southern Star
6.750%, 03/01/16 175 172
Stanfield Victoria MTN (A) (H)
5.445%, 06/11/07 1,602 1,602
Stripes Acquisition/Susser Financial (A)
10.625%, 12/15/13 314 334
TFS Acquisition (A) (D)
12.902%, 11/01/06 425 424
Terra Capital
12.875%, 10/15/08 610 682
11.500%, 06/01/10 1,000 1,087
Trains HY, Ser 2006-1 (A)
7.548%, 05/01/16 2,100 2,101
- --------------------------------------------------------------------------------
152 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Trustreet Properties+
7.500%, 04/01/15 $ 1,000 $ 993
Universal City Development
11.750%, 04/01/10 225 242
Ventas Realty+
8.750%, 05/01/09 300 319
7.125%, 06/01/15 75 77
6.625%, 10/15/14 375 376
WMG Holdings (B)
9.050%, 12/15/14 2,760 2,056
--------------
131,975
--------------
HEALTH CARE -- 4.7%
Accellent
10.500%, 12/01/13 1,840 1,914
Bio-Rad Laboratories
7.500%, 08/15/13 100 102
6.125%, 12/15/14 725 685
Biovail
7.875%, 04/01/10 3,167 3,167
CRC Health
10.750%, 02/01/16 1,350 1,404
Concentra Operating
9.500%, 08/15/10 275 286
Extendicare Health Services
9.500%, 07/01/10 1,544 1,619
6.875%, 05/01/14 520 556
Fisher Scientific International
6.125%, 07/01/15 1,048 1,040
Fresenius Medical Capital Trust II
7.875%, 02/01/08 1,830 1,862
Fresenius Medical Capital Trust IV
7.875%, 06/15/11 310 318
Genesis Healthcare
8.000%, 10/15/13 1,300 1,349
HCA
8.750%, 09/01/10 485 490
6.950%, 05/01/12 760 666
6.750%, 07/15/13 635 537
6.500%, 02/15/16 (G) 5,863 4,690
6.250%, 02/15/13 373 312
5.500%, 12/01/09 270 270
Healthsouth (A) (G)
10.750%, 06/15/16 2,326 2,375
Iasis Healthcare
8.750%, 06/15/14 1,325 1,282
Insight Health Services (D)
10.739%, 12/22/06 600 508
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Insight Health Services, Ser B
9.875%, 11/01/11 $ 475 $ 163
Kinetic Concepts
7.375%, 05/15/13 293 296
Leiner Health Products
11.000%, 06/01/12 150 145
MQ Associates (B) (G)
30.410%, 08/15/12 701 249
Medcath Holdings
9.875%, 07/15/12 75 80
Medquest, Ser B
11.875%, 08/15/12 2,781 2,426
Norcross Safety Products, Ser B
9.875%, 08/15/11 1,315 1,381
Res-care
7.750%, 10/15/13 675 673
Select Medical
11.175%, 03/29/07 (D) 150 132
7.625%, 02/01/15 4,045 3,408
Tenet Healthcare
9.875%, 07/01/14 275 274
9.250%, 02/01/15 3,471 3,341
6.500%, 06/01/12 (G) 875 765
Triad Hospitals
7.000%, 11/15/13 2,175 2,113
US Oncology Holdings
10.750%, 08/15/14 6,624 7,253
10.675%, 03/15/07 (D) 2,532 2,583
9.000%, 08/15/12 125 129
--------------
50,843
--------------
INDUSTRIALS -- 10.6%
ALH Finance
8.500%, 01/15/13 2,500 2,444
Acih (A) (B)
15.100%, 12/15/12 1,300 865
Ahern Rentals
9.250%, 08/15/13 800 820
Ainsworth Lumber
9.117%, 12/30/06 (D) 3,240 2,673
7.250%, 10/01/12 1,479 1,094
6.750%, 03/15/14 2,665 1,866
Air 2 US (A)
8.027%, 10/01/19 631 634
Alliant Techsystems
6.750%, 04/01/16 575 566
Allied Waste North America
7.250%, 03/15/15 430 427
6.125%, 02/15/14 1,225 1,142
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 153
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Allied Waste North America, Ser B
8.500%, 12/01/08 $ 3,675 $ 3,850
7.375%, 04/15/14 340 335
7.125%, 05/15/16 (G) 867 855
American Airlines
7.379%, 05/23/16 128 115
Ames True Temper (D)
9.507%, 10/15/06 1,210 1,216
Amsted Industries (A)
10.250%, 10/15/11 975 1,043
Armstrong Holdings (C) (G)
7.450%, 05/15/29 525 339
Associated Materials
16.730%, 03/01/14 (B) 1,125 619
9.750%, 04/15/12 (G) 475 474
Baker & Taylor (A)
11.500%, 07/01/13 1,100 1,084
Basell (A) (G)
8.375%, 08/15/15 1,065 1,057
Buhrmann US
8.250%, 07/01/14 1,750 1,728
7.875%, 03/01/15 625 602
Builders Firstsource (D)
9.655%, 11/16/06 3,375 3,308
Chart Industries (A)
9.125%, 10/15/15 325 336
Chukchansi Economic Development
Authority (A) (D)
8.780%, 11/15/12 546 562
Continental Airlines, Ser 971A
7.461%, 04/01/15 952 952
Continental Airlines, Ser 982A
6.410%, 04/15/07 180 180
Continental Airlines, Ser RJ04
9.558%, 09/01/19 599 633
Covalence Specialty Mate (A)
10.250%, 03/01/16 610 592
D R Horton
5.625%, 09/15/14 1,930 1,820
DRS Technologies
7.625%, 02/01/18 (G) 1,260 1,279
6.875%, 11/01/13 150 148
6.625%, 02/01/16 1,000 983
Dayton Superior
13.000%, 06/15/09 1,687 1,586
10.750%, 09/15/08 1,331 1,371
Delta Air Lines, Ser 2000-1, Cl A2 (C)
7.570%, 11/18/10 3,936 3,941
Delta Air Lines, Ser 2001-1, Cl A-2 (C)
7.111%, 09/18/11 59 59
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Delta Air Lines, Ser 2002-1, Cl C (C)
7.779%, 01/02/12 $ 1,032 $ 988
Education Management (A)
10.250%, 06/01/16 2,225 2,275
8.750%, 06/01/14 125 126
Fastentech
11.500%, 05/01/11 1,826 1,899
Goodman Global Holdings
7.875%, 12/15/12 1,065 1,014
Greenbrier
8.375%, 05/15/15 1,152 1,169
Gulfmark Offshore
7.750%, 07/15/14 1,771 1,780
Harvest Operations
7.875%, 10/15/11 1,000 928
Hexion US Financial (D)
10.257%, 10/15/06 1,979 2,019
Horizon Lines LLC
9.000%, 11/01/12 855 881
Indalex Holding (A)
11.500%, 02/01/14 1,571 1,665
Interface
9.500%, 02/01/14 275 283
Interline Brands
8.125%, 06/15/14 540 547
Intermec
7.000%, 03/15/08 475 477
Iron Mountain
8.625%, 04/01/13 747 764
7.750%, 01/15/15 420 420
6.625%, 01/01/16 2,125 1,998
J.B. Poindexter
8.750%, 03/15/14 175 144
K Hovnanian Enterprises
6.250%, 01/15/16 525 462
L-3 Communications
6.125%, 07/15/13 352 342
5.875%, 01/15/15 5,331 5,064
L-3 Communications, Cl B
6.375%, 10/15/15 524 510
Language Line
11.125%, 06/15/12 100 97
Maax (G)
23.510%, 12/15/12 (B) 2,650 980
9.750%, 06/15/12 1,175 928
Meritage Homes
7.000%, 05/01/14 1,675 1,501
6.250%, 03/15/15 300 255
Millar Western Forest
7.750%, 11/15/13 2,205 1,830
- --------------------------------------------------------------------------------
154 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Mobile Services Group (A)
9.750%, 08/01/14 $ 350 $ 359
Monitronics International
11.750%, 09/01/10 1,809 1,750
NCL
10.625%, 01/15/07 575 556
Nebraska Book
8.625%, 03/15/12 250 234
Nortek
8.500%, 09/01/14 450 425
North American Energy Partner
8.750%, 12/01/11 400 399
Northwest Airlines (C)
8.875%, 06/01/06 550 298
7.875%, 03/15/08 375 206
Nutro Products (A) (D)
9.230%, 10/15/06 1,025 1,054
Owens Corning (C)
7.500%, 08/01/18 (G) 450 231
7.000%, 03/15/09 850 429
PHI (A)
7.125%, 04/15/13 125 118
Park-Ohio Industries
8.375%, 11/15/14 1,945 1,770
Ply Gem
9.000%, 02/15/12 1,155 921
Propex Frabics
10.000%, 12/01/12 350 318
Quality Distributors
9.000%, 11/15/10 825 790
Quebecor World Capital (A)
8.750%, 03/15/16 915 881
RBS Global & Rexnord (A)
11.750%, 08/01/16 1,000 1,030
Rainbow National Services LLC (A)
10.375%, 09/01/14 (G) 525 593
8.750%, 09/01/12 1,085 1,161
Ship Finance International MTN
8.500%, 12/15/13 2,341 2,259
Southern States Coop (A)
10.500%, 11/01/10 1,804 1,890
Spectrum Brands
8.500%, 10/01/13 1,000 865
Stanley-Martin
9.750%, 08/15/15 1,945 1,541
Sunstate Equipment (A)
10.500%, 04/01/13 1,095 1,136
TRW Automotive
9.375%, 02/15/13 1,846 1,966
Tech Olympic USA (G)
10.375%, 07/01/12 2,471 2,137
7.500%, 03/15/11 225 181
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Tembec Industries
8.625%, 06/30/09 $ 850 $ 472
Tempur Pedic
10.250%, 08/15/10 722 757
Terex
9.250%, 07/15/11 525 553
7.375%, 01/15/14 1,403 1,410
Thermadyne Holdings (G)
9.250%, 02/01/14 450 389
UCAR Finance
10.250%, 02/15/12 1,435 1,507
US Concrete
8.375%, 04/01/14 475 457
United Air Lines (C)
9.125%, 01/15/12 1,075 16
6.201%, 09/01/08 (G) 1,071 1,071
United Air Lines, Ser 95A1 (C)
9.125%, 04/19/12 570 339
United Air Lines, Ser 95A2 (C)
9.560%, 10/19/18 896 542
United Air Lines, Ser A (C)
10.670%, 05/01/04 525 8
Vanguard Health Holdings II
9.000%, 10/01/14 1,300 1,261
Visant
7.625%, 10/01/12 2,400 2,412
Xerox
6.750%, 02/01/17 515 523
6.400%, 03/15/16 775 771
--------------
112,930
--------------
INFORMATION TECHNOLOGY -- 2.5%
Activant Solutions (A)
9.500%, 05/01/16 2,900 2,683
Advanced Micro Devices
7.750%, 11/01/12 1,715 1,741
Amkor Technologies
7.750%, 05/15/13 325 298
Celestica
7.875%, 07/01/11 550 553
Compagnie Generale de Geophysique
7.500%, 05/15/15 975 965
Magnachip Semiconductor
8.640%, 12/15/06 (D) 1,222 1,033
6.875%, 12/15/11 475 380
SS&C Technologies (A) (G)
11.750%, 12/01/13 1,260 1,326
Seitel
11.750%, 07/15/11 425 505
Serena Sofware
10.375%, 03/15/16 640 670
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 155
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Smart Modular (D)
11.008%, 10/01/06 $ 670 $ 710
Solutia (C)
11.250%, 07/15/09 925 925
Stoneridge
11.500%, 05/01/12 2,741 2,652
Sungard Data Systems
10.250%, 08/15/15 7,435 7,658
9.973%, 08/15/13 (A) 725 752
UGS
10.000%, 06/01/12 890 961
UGS Capital PIK (A) (D)
10.380%, 12/15/06 1,645 1,670
Unisys
8.000%, 10/15/12 570 533
Viasystems
10.500%, 01/15/11 450 442
--------------
26,457
--------------
MATERIALS -- 10.1%
AK Steel (G)
7.875%, 02/15/09 1,525 1,519
Abitibi Consolidated
8.850%, 08/01/30 225 189
8.550%, 08/01/10 1,571 1,559
8.375%, 04/01/15 (G) 2,500 2,275
6.000%, 06/20/13 500 406
Appleton Papers
8.125%, 06/15/11 425 425
Appleton Papers, Ser B
9.750%, 06/15/14 1,720 1,699
BCI US Finance (A) (D)
11.007%, 10/15/06 830 847
Ball
6.875%, 12/15/12 355 358
6.625%, 03/15/18 1,550 1,523
Berry Plastics (A)
9.265%, 12/15/06 (D) 343 345
8.875%, 09/15/14 2,618 2,631
Boise Cascade LLC (D)
8.382%, 10/15/06 610 613
Bowater
9.500%, 10/15/12 500 508
8.390%, 12/17/06 (D) (G) 806 817
Bowater Canada Finance (G)
7.950%, 11/15/11 1,200 1,146
Bway
10.000%, 10/15/10 674 708
Cascades
7.250%, 02/15/13 655 639
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Catalyst Paper
7.375%, 03/01/14 $ 455 $ 419
Catalyst Paper, Ser D
8.625%, 06/15/11 1,583 1,555
Consolidated Containers (B) (G)
9.000%, 06/15/09 525 504
Crown Americas
7.750%, 11/15/15 2,024 2,049
Crown Cork & Seal
8.000%, 04/15/23 1,850 1,767
Domtar
7.125%, 08/15/15 775 721
Equistar Chemical
10.625%, 05/01/11 1,773 1,902
10.125%, 09/01/08 2,122 2,247
FMG Finance (A)
10.625%, 09/01/16 (G) 3,040 2,918
10.000%, 09/01/13 400 380
Freeport-McMoRan
10.125%, 02/01/10 841 891
Georgia Gulf
9.500%, 10/15/14 (A) 400 397
7.125%, 12/15/13 (G) 300 273
Georgia-Pacific
8.125%, 05/15/11 665 682
8.000%, 01/15/24 775 763
7.700%, 06/15/15 2,175 2,164
Gibraltar Industries, Ser B
8.000%, 12/01/15 2,204 2,182
Graham Packaging
9.875%, 10/15/14 (G) 1,895 1,862
8.500%, 10/15/12 250 248
Huntsman
11.625%, 10/15/10 576 636
11.500%, 07/15/12 2,633 2,995
5.000%, 02/16/08 1 24
Huntsman International LLC
9.875%, 03/01/09 125 130
Ineos Group Holdings PLC (A) (G)
8.500%, 02/15/16 5,115 4,872
Innophos
9.625%, 08/15/14 550 546
Intertape Polymer
8.500%, 08/01/14 275 259
Ispat Inland
9.750%, 04/01/14 970 1,092
Jarden
9.750%, 05/01/12 1,445 1,524
Jefferson Smurfit
7.500%, 06/01/13 705 650
- --------------------------------------------------------------------------------
156 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Lyondell Chemical
10.875%, 05/01/09 $ 2,886 $ 2,951
10.500%, 06/01/13 1,990 2,189
8.250%, 09/15/16 3,305 3,355
8.000%, 09/15/14 1,933 1,957
Metals USA
11.125%, 12/01/15 2,582 2,827
Methanex
6.000%, 08/15/15 175 168
Nalco (G)
8.875%, 11/15/13 1,580 1,647
7.750%, 11/15/11 2,061 2,102
Newark Group
9.750%, 03/15/14 775 752
Nova Chemicals (D)
8.405%, 10/31/06 1,289 1,315
Novelis (A)
8.250%, 02/15/07 975 926
Owens-Brockway Glass
8.875%, 02/15/09 175 180
8.250%, 05/15/13 3,330 3,413
6.750%, 12/01/14 825 784
Owens-Illinois
7.350%, 05/15/08 2,500 2,519
P H Glatfelter (A)
7.125%, 05/01/16 1,705 1,663
PNA Group (A)
10.750%, 09/01/16 1,350 1,387
Packaging Dynamics (A)
10.000%, 05/01/16 2,295 2,318
Polyone
10.625%, 05/15/10 (G) 1,700 1,828
8.875%, 05/01/12 1,445 1,459
Reichold Industries
9.000%, 08/15/14 2,049 2,018
Rockwood Specialties Group (A)
7.500%, 11/15/14 710 699
Ryerson Tull
8.250%, 12/15/11 2,204 2,182
Smurfit-Stone Container
9.750%, 02/01/11 2,645 2,724
Solo Cup (G)
8.500%, 02/15/14 2,325 2,008
Steel Dynamics
9.500%, 03/15/09 2,183 2,255
Stelco (D)
10.870%, 03/31/16 425 446
Tronox Worldwide
9.500%, 12/01/12 175 180
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Verso Paper Holdings (A)
9.235%, 11/01/06 (D) $ 1,644 $ 1,660
9.125%, 08/01/14 (G) 2,587 2,603
--------------
107,374
--------------
TELECOMMUNICATION SERVICES -- 8.8%
Airgate PCS (D)
9.257%, 10/15/06 1,350 1,380
American Cellular, Ser B
10.000%, 08/01/11 1,925 2,016
American Tower
7.125%, 10/15/12 1,690 1,732
7.500%, 05/01/12 125 128
Centennial Communications
11.258%, 10/01/06 (D) 100 103
10.750%, 12/15/08 (G) 303 307
10.125%, 06/15/13 3,540 3,761
10.000%, 01/01/13 (G) 2,750 2,784
8.125%, 02/01/14 2,550 2,512
Cincinnati Bell
8.375%, 01/15/14 (G) 1,075 1,086
7.250%, 07/15/13 100 102
Citizens Communications
9.250%, 05/15/11 1,775 1,957
6.250%, 01/15/13 685 666
Consolidated Communication Holdings
9.750%, 04/01/12 1,693 1,786
Digicel (A)
9.250%, 09/01/12 2,000 2,075
Dobson Cellular Systems
9.875%, 11/01/12 360 386
Dobson Communications
9.757%, 10/15/06 (D) 840 857
8.875%, 10/01/13 (G) 2,090 2,072
Embarq
7.082%, 06/01/16 225 230
GCI
7.250%, 02/15/14 450 434
Hawaiian Telcom Communications (G)
12.500%, 05/01/15 550 578
Hawaiian Telecom Communications,
Ser B (G)
9.750%, 05/01/13 625 642
Horizon PCS
11.375%, 07/15/12 1,250 1,403
IPCS
11.500%, 05/01/12 1,000 1,120
IWO Holdings (D)
9.257%, 01/15/12 1,250 1,284
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 157
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Insight Communications (B)
12.250%, 02/15/11 $ 1,500 $ 1,590
Intelsat
7.625%, 04/15/12 625 547
6.500%, 11/01/13 1,025 817
Intelsat Bermuda (A)
11.250%, 06/15/16 3,655 3,884
9.250%, 06/15/16 (G) 578 608
Intelsat Sub Holdings
10.484%, 01/15/07 (D) (G) 3,370 3,416
8.625%, 01/15/15 700 716
Level 3 Financing
12.250%, 03/15/13 (G) 1,039 1,159
10.750%, 10/15/11 1,500 1,569
Lucent Technologies
6.450%, 03/15/29 1,000 890
NTL Cable PLC
9.125%, 08/15/16 900 929
8.750%, 04/15/14 525 545
Nordic Telephone (A)
8.875%, 05/01/16 2,295 2,413
Nortel Networks (A) (D)
9.730%, 10/15/06 600 620
Panamsat (A)
9.000%, 06/15/16 475 489
Primus Telecommunications (G)
8.000%, 01/15/14 875 547
Qwest
8.875%, 03/15/12 4,295 4,687
8.640%, 12/15/06 (D) 1,296 1,387
7.875%, 09/01/11 300 315
7.625%, 06/15/15 832 863
7.500%, 10/01/14 (A) 2,880 2,974
7.250%, 09/15/25 225 218
7.250%, 10/15/35 1,050 995
6.875%, 09/15/33 375 342
5.625%, 11/15/08 150 149
Qwest Communications International
8.905%, 11/11/06 (D) 3,864 3,937
7.250%, 02/15/11 125 125
Qwest Communications International,
Ser B (G)
7.500%, 02/15/14 1,120 1,123
Rogers Wireless
8.515%, 12/15/06 (D) 1,651 1,680
8.000%, 12/15/12 750 797
7.250%, 12/15/12 250 262
6.375%, 03/01/14 3,200 3,188
Rural Cellular
9.875%, 02/01/10 100 104
8.250%, 03/15/12 1,165 1,200
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Securus Technologies (G)
11.000%, 09/01/11 $ 325 $ 278
Syniverse Technologies, Ser B
7.750%, 08/15/13 150 144
Telenet Group Holdings (A) (B) (G)
6.140%, 06/15/14 696 609
Triton (G)
8.500%, 06/01/13 2,625 2,435
US Lec (D)
13.620%, 10/01/06 675 717
US Unwired, Ser B
10.000%, 06/15/12 450 495
Ubiquitel
9.875%, 03/01/11 1,200 1,302
Valor Telecom Enterprises
7.750%, 02/15/15 250 266
Wind Acquisitions Finance (A)
10.750%, 12/01/15 2,770 3,057
Windstream (A)
8.625%, 08/01/16 4,619 4,942
8.125%, 08/01/13 758 804
Zeus Special Sub (A) (B)
8.720%, 02/01/15 3,355 2,432
--------------
93,967
--------------
UTILITIES -- 3.4%
AES
9.375%, 09/15/10 775 837
9.000%, 05/15/15 (A) 225 242
8.875%, 02/15/11 1,485 1,589
Airgas
9.125%, 10/01/11 419 438
Aquila
9.000%, 11/15/21 629 639
8.000%, 03/01/23 3,535 3,593
CMS Energy
7.750%, 08/01/10 125 131
7.500%, 01/15/09 625 644
Calpine Generating (C)
14.120%, 10/01/06 1,850 1,975
Edison Mission Energy
7.750%, 06/15/16 (A) (G) 995 1,007
7.730%, 06/15/09 500 514
Inergy Finance
8.250%, 03/01/16 485 502
6.875%, 12/15/14 805 771
Midwest Generation LLC
8.750%, 05/01/34 2,758 2,944
- --------------------------------------------------------------------------------
158 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Mirant Americas
9.125%, 05/01/31 (G) $ 1,353 $ 1,377
8.500%, 10/01/21 5,047 4,896
8.300%, 05/01/11 225 225
Mirant (C)
7.900%, 07/15/09 50 1
7.400%, 07/15/04 (G) 450 5
5.750%, 07/15/07 (G) 1,150 12
Mirant North America
7.375%, 12/31/13 3,370 3,374
Mission Energy Holding
13.500%, 07/15/08 1,189 1,327
NRG Energy
7.375%, 02/01/16 4,425 4,397
7.250%, 02/01/14 1,175 1,166
Northwest Pipeline
8.125%, 03/01/10 225 234
7.000%, 06/15/16 (A) 225 230
Sierra Pacific Resources
8.625%, 03/15/14 1,275 1,377
7.803%, 06/15/12 450 474
Southern Natural Gas
8.875%, 03/15/10 375 393
Tenaska Alabama (A)
7.000%, 06/30/21 858 841
Transcont Gas Pipeline (A)
6.400%, 04/15/16 175 173
--------------
36,328
--------------
Total Corporate Obligations
(Cost $910,036) ($ Thousands) 904,333
--------------
COLLATERALIZED LOAN OBLIGATIONS -- 5.7%
FINANCIALS -- 5.7%
Ares VR, Ser 2006-1A, Cl SUB (A)
0.000%, 02/24/18 7,000 6,580
Babson, Ser 2005-2A, Cl SUB (A) (D)
7.000%, 07/20/19 4,000 3,716
Capitalsource Advisors, Ser 2006-1A, Cl
SUB (A)
0.000%, 08/27/20 3,200 3,040
De Meer Middle Market, Ser 2006-1A,
Cl INC
0.000%, 10/20/18 2,300 2,254
Gleneagles, Ser AI (D)
0.000%, 11/01/17 13 12,500
ING Investment Management (A) (D)
0.000%, 12/01/17 13 12,125
ING Investment Management II (A) (D)
0.000%, 08/01/20 6 5,600
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Lightpoint, Ser 2006-4A, Cl IN (A)
0.000%, 04/15/18 $ 2,500 $ 2,300
Marathon, Ser 2005-2A, Cl INC (A)
0.000%, 12/20/19 3,000 3,000
Pamco, Ser 1998-1A, Cl B2 (A) (D)
6.839%, 11/01/06 2,500 2,394
Stanfield Bristol, Ser 2005-1A,
Cl SUB (A)
0.000%, 10/15/19 6,300 5,481
Stanfield Vayron, Ser 2006-1A, Cl SUB
0.000%, 07/15/18 2,300 2,300
--------------
Total Collateralized Loan Obligations
(Cost $60,791) ($ Thousands) 61,290
--------------
LOAN PARTICIPATIONS -- 4.3%
FINANCIALS -- 4.3%
American Cellular (L)
7.580%, 08/08/13 250 --
American Cellular, Tranche B
7.660%, 08/08/13 250 249
Amkor Technology
9.694%, 10/27/10 4,000 4,122
CCFC
11.330%, 08/26/09 2,079 2,192
Cebridge
11.150%, 05/05/14 3,030 2,876
Century Cable
10.250%, 06/30/09 575 558
Cooper Standard
7.875%, 12/23/11 2,233 2,234
Delphi
13.750%, 10/11/06 2,575 2,659
Frontiervision (M)
9.775%, 06/30/06 1,300 1,285
Georgia Pacific, Ser B
7.485%, 02/14/13 991 993
Georgia Pacific, Ser C
8.390%, 02/14/14 1,000 1,009
8.300%, 12/23/12 1,500 1,513
Kgen Partners
7.992%, 08/15/11 2,448 2,444
LSP General Finance
8.867%, 04/13/13 2,000 2,016
Level 3
8.398%, 12/01/11 1,500 1,512
Murray
14.085%, 01/31/11 3,930 4,127
NRG Energy (STRIPS)
7.367%, 02/01/13 1,247 1,253
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 159
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Neiman Marcus, Ser B
7.891%, 03/13/13 $ 1,797 $ 1,808
Nielsen Finance
5.450%, 08/09/13 750 749
Northwest Airlines
7.898%, 08/21/08 1,500 1,501
Targa Resources
7.619%, 10/05/07 2,000 2,000
United Airlines
9.125%, 02/01/12 562 569
8.625%, 02/01/12 1,306 1,323
United Airlines, Tranche B
9.250%, 02/01/12 2,625 2,658
Venoco
10.000%, 03/30/11 150 151
10.000%, 04/26/11 3,500 3,513
Wide Open West
10.400%, 04/28/13 500 504
--------------
Total Loan Participations
(Cost $45,960) ($ Thousands) 45,818
--------------
COMMERCIAL PAPER (I) -- 3.2%
Broadhollow Funding (H)
5.502%, 10/02/06 3,205 3,204
Citius I Funding (H)
5.313%, 10/17/06 801 799
Credit Suisse
5.283%, 10/19/06 1,425 1,421
DaimlerChrysler
5.384%, 10/06/06 4,865 4,861
Elysian Funding LLC (H)
5.427%, 11/27/06 1,438 1,426
5.401%, 11/20/06 1,286 1,276
5.390%, 11/06/06 1,602 1,593
Georgetown Funding (H)
5.349%, 10/24/06 412 411
Kitty Hawk Funding
5.283%, 10/20/06 3,465 3,456
Mica Funding LLC (H)
5.299%, 10/12/06 1,602 1,600
Natural Rural Utilities
5.277%, 10/10/06 2,850 2,846
Ocala Funding (H)
5.321%, 10/20/06 801 799
5.318%, 10/10/06 1,827 1,824
Preferred Receivable Funding
5.283%, 10/13/06 3,611 3,605
Rhineland Funding Capital (H)
5.470%, 10/12/06 801 800
5.378%, 12/12/06 527 522
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Yorktown Capital
5.277%, 10/18/06 $ 3,545 $ 3,536
--------------
Total Commercial Paper
(Cost $33,978) ($ Thousands) 33,979
--------------
ASSET-BACKED SECURITIES -- 1.4%
MORTGAGE RELATED SECURITIES -- 1.4%
Chase Funding Mortgage Loan,
Ser 2003-4, Cl 2A2 (D)
5.630%, 10/25/06 334 334
Cheyne High Grade, Ser 2004-1A, Cl
AM1 (A) (D) (H)
5.466%, 11/10/06 801 801
Commodore, Ser 2003-2A, Cl A1MM
(A) (D) (H)
5.470%, 12/12/06 737 737
Countrywide Alternative Loan Trust,
Ser 2006-OA9, Cl X1P, IO (E)
9.220%, 07/20/46 30,000 1,602
Duke Funding, Ser 2004-6B, Cl A1S1
(A) (D) (H)
5.577%, 10/10/06 1,202 1,202
Harborview Mortgage Loan Trust,
Ser 2005-01, Cl X, IO
1.263%, 10/01/06 14,056 310
Harborview Mortgage Loan Trust,
Ser 2005-10, Cl X, IO (D) (F)
1.431%, 10/01/06 25,146 692
Harborview Mortgage Loan Trust,
Ser 2005-12, Cl X2A, IO (D)
0.621%, 10/19/35 81,371 966
Indymac Index Mortgage Loan Trust,
Ser 2004-AR12, Cl AX2, IO (F)
0.930%, 10/01/06 10,121 248
Newcastle CDO, Ser 2005-6A,
Cl IM1 (A) (D) (H)
5.350%, 10/24/06 320 320
Park Place Securities NIM Trust,
Ser 2004-MM1, Cl AM6
(A) (D) (H)
5.360%, 10/25/06 712 712
Residential Asset Mortgage Products,
Ser 2003-RS1, Cl AII (D)
5.720%, 10/25/06 166 166
Saturn Ventures II (D) (H)
5.390%, 10/10/06 1,290 1,290
TIAA Real Estate CDO, Ser 2003 1A,
Cl A1MM (A) (D) (H)
5.354%, 10/30/06 1,192 1,192
- --------------------------------------------------------------------------------
160 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Washington Mutual, Ser 2006-AR5,
Cl X, IO
14.690%, 06/25/46 $ 164,682 $ 1,651
Washington Mutual, Ser 2006-AR9,
Cl 1XPP, IO
9.850%, 08/25/46 127,072 1,245
Whitehawk CDO Funding,
Ser 2004-1A (D) (H)
5.340%, 10/16/06 1,383 1,383
--------------
Total Asset-Backed Securities
(Cost $15,380) ($ Thousands) 14,851
--------------
COLLATERALIZED DEBT OBLIGATIONS -- 2.3%
FINANCIALS -- 2.3%
Carlyle High Yield Partners,
Ser 2006-8A, Cl N
0.000%, 05/21/21 3,700 3,515
Connecticut Valley Structured Credit,
Ser 2006-3A, Cl NOTE, (A)
0.000%, 03/23/23 2,200 2,200
Peritus I, (F)
9.000%, 05/24/15 3,750 937
Peritus I, Ser 2005-1A, Cl C (A) (F)
9.000%, 05/24/15 14,605 13,700
Rockwall Investors,
0.000% (A) (D)* 4,000 4,000
--------------
Total Collateralized Debt Obligations
(Cost $23,993) ($ Thousands) 24,352
--------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.0%
FHLMC CMO, Ser 2596, Cl IJ, IO
15.892%, 01/15/17 1,919 188
FHLMC CMO, Ser 2696, Cl NI, IO
5.500%, 03/15/23 216 2
FNMA CMO, Ser 2003-37, Cl IG, IO
22.252%, 05/25/32 574 87
FNMA (E)
5.156%, 10/18/06 2 2
--------------
Total U.S. Government Agency Obligations
(Cost $258) ($ Thousands) 279
--------------
CONVERTIBLE BONDS -- 0.0%
Flextronics CV to 64.4122
1.000%, 08/01/10 500 512
Mirant CV to 14.7167 (C) (G)
2.500%, 06/15/21 2,200 22
--------------
Total Convertible Bonds
(Cost $575) ($ Thousands) 534
--------------
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 0.1%
Core-Mark Holding* 12,816 $ 402
Huntsman* 8,061 147
Mirant (G)* 12,132 331
Shreveport Gaming Holdings I,
Private Company (G)* 13,948 139
UAL (G)* 10,547 280
--------------
Total Common Stock
(Cost $762) ($ Thousands) 1,299
--------------
PREFERRED STOCK -- 0.4%
CIFC Funding, Ser 2006-I,
0.000% (D)* 2,300,000 2,300
General Nutrition Center,
Ser A PIK, 12.000%* 900 990
ION Media PIK, 14.250%* 1 5
Rural Cellular PIK, 12.250% (G)* 374 423
Rural Cellular, Ser B PIK, 11.375%* 350 425
--------------
Total Preferred Stock
(Cost $3,668) ($ Thousands) 4,143
--------------
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 11/14/10* 7,500 90
Travelcenters of America,
Expires 05/01/09* 2,500 30
--------------
Total Warrants
(Cost $31) ($ Thousands) 129
--------------
CASH EQUIVALENT -- 3.4%
SEI Daily Income Trust,
Prime Obligation Fund, Cl A,
5.330%**++ 36,003,203 36,003
--------------
Total Cash Equivalent
(Cost $36,003) ($ Thousands) 36,003
--------------
MASTER NOTE (D) (H) -- 0.4%
Bank of America
5.445%, 10/02/06 $ 4,006 4,006
--------------
Total Master Note
(Cost $4,006) ($ Thousands) 4,006
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 161
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Concluded)
September 30, 2006
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT (H) -- 0.3%
Barclays Bank (D)
5.440%, 06/11/07 $ 801 $ 801
CC USA MTN (A)
5.520%, 06/18/07 1,602 1,602
U.S. Trust of New York (D)
5.370%, 10/13/06 641 641
--------------
Total Certificates of Deposit
(Cost $3,044) ($ Thousands) 3,044
--------------
U.S. TREASURY OBLIGATION (I) -- 0.0%
U.S. Treasury Bill
4.637%, 10/19/06 5 5
--------------
Total U.S. Treasury Obligation
(Cost $4) ($ Thousands) 5
--------------
REPURCHASE AGREEMENTS (H) (J) -- 0.9%
Barclays
5.350%, dated 09/29/06, to be
repurchased on 10/02/06, repurchase
price $2,226,831 (collateralized by a
U.S. Government Obligation, par value
$2,125,888, 6.000%, 05/15/11; with
total market value $2,270,370) 2,226 2,226
Deutsche Bank
5.330%, dated 09/29,06, to be
repurchased on 10/02/06, repurchase
price $3,206,005 (collateralized by
various U.S. Government Obligations,
ranging in par value $27,720-$937,869,
3.750%-5.300%, 02/21/08-04/25/14;
with total market value $3,268,684) 3,205 3,205
Lehman Brothers
5.330%, dated 09/29/06, to be
repurchased on 10/02/06, repurchase
price $4,007,507 (collateralized by
various U.S. Government Obligations,
ranging in par value $276,555-
$492,865,2.500%-5.705%,
01/30/07-05/18/16; with total
market value $4,085,887) 4,006 4,006
--------------
Total Repurchase Agreements
(Cost $9,437) ($ Thousands) 9,437
--------------
Total Investments -- 107.0%
(Cost $1,147,926) ($ Thousands) $ 1,143,502
==============
Swaps -- At September 30, 2006 the following Interest Rate Swap agreements were
outstanding (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
NOTIONAL UNREALIZED
EXPIRATION AMOUNT APPRECIATION
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
The Fund receives a fixed rate of
5.41875% and pays a floating rate
based on 3-Month LIBOR.
(Counterparty: Barclays Capital) 5/15/08 $ 28,700 $517
The Fund receives a fixed rate of
5.415% and pays a floating rate
based on 3-Month LIBOR.
(Counterparty: Lehman Brothers) 5/17/08 25,055 450
----
$967
====
Percentages are based on Net Assets of $1,068,711 ($ Thousands).
* Non-income producing security.
** Rate shown is the 7-day effective yield as of September 30, 2006.
+ Real Estate Investment Trust.
++ Pursuant to an exemptive order issued by the Securities and Exchange
Commission, the Fund may invest in the SEI money market funds, provided
that investments in the money market funds do not exceed 25% of the Fund's
total assets.
(A) Securities sold within terms of a private placement memorandum, exempt
from registration under Section 3A-4, 4(2) or 144A of the Securities Act
of 1933, as amended, and may be sold only to dealers in that program or
other "accredited investors." These securities have been determined to be
liquid under guidelines established by the Board of Trustees.
(B) Step Bonds -- The rate reflected on the Schedule of Investments is the
effective yield on September 30, 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 Schedule of Investments
is the rate in effect as of September 30, 2006. The date reported on the
Schedule of Investments is the next reset date.
(E) Zero-coupon Bond -- The rate shown is the effective yield at the date of
purchase.
(F) Security considered illiquid. The total value of such securities as of
September 30, 2006 was $15,577 ($ Thousands) and represented 1.46% of Net
Assets.
(G) This security or a partial position of this security is on loan at
September 30, 2006 (see Note 7). The total value of securities on loan at
September 30, 2006 was $81,130 ($ Thousands).
(H) This security was purchased with cash collateral held from securities on
loan (see Note 7). The total value of such securities as of September 30,
2006 was $86,544 ($ Thousands).
(I) The rate reported is the effective yield at time of purchase.
(J) Tri-Party Repurchase Agreement.
(K) 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.
(L) As of September 31, 2006, this security is unfunded.
(M) This is a distressed security.
CDO -- Collateralized Debt Obligation
Cl -- Class
CMO -- Collateralized Mortgage Obligation
CV -- Convertible Security
DN -- Discount Note
EXL -- Extendable Maturity
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
IO -- Interest Only Security-face amount represents notional amount.
LLC -- Limited Liability Company
MTN -- Medium Term Note
NIM -- Net Interest Margin
PCS -- Personal Communications Service
PIK -- Payment-in-Kind
PLC -- Public Limited Company
Ser -- Series
STRIPS -- Separately Traded Registered Interest and Principal Securities
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
162 SEI Institutional Managed Trust / Annual Report / September 30, 2006
This page intentionally left blank.
Statements of Assets and Liabilities ($ Thousands)
September 30, 2006
- -----------------------------------------------------------------------------------------------------------------------------------
LARGE CAP TAX-MANAGED LARGE CAP
DIVERSIFIED ALPHA LARGE CAP VALUE
FUND FUND FUND
- -----------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments at value+ $ 1,149,109 $ 2,617,952* $ 4,136,650*
Repurchase agreement++ -- 33,571 48,736
Affiliated investment, at value++ 62,491 27,965 53,153
Cash 101 999 --
Foreign currency, at value+++ -- -- --
Restricted cash held for securities sold short 1,405 -- --
Receivable for investment securities sold 16,358 13,694 14,494
Receivable for fund shares sold 13,369 789 1,671
Dividends and interest receivable 1,630 2,255 5,332
Receivable for variation margin 46 -- 4
Unrealized gain on swap contracts 61 -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Total Assets 1,244,570 2,697,225 4,260,040
- -----------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return on securities loaned -- 307,903 446,989
Payable for securities sold short+++++ 106,731 -- --
Payable for investment securities purchased 48,220 7,702 8,534
Payable for fund shares redeemed 6,199 1,808 8,246
Investment advisory fees payable 340 591 874
Payable for variation margin 312 39 57
Administration fees payable 302 675 1,083
Shareholder servicing fees payable Class A 175 338 744
Shareholder servicing fees payable Class I -- -- 6
Overdraft of Foreign currency, at value+++ 62 -- --
Options written, at value++++ 58 -- --
Administration servicing fees payable Class I -- -- 6
Payable to custodian -- -- 92
Accrued expense payable 49 104 --
- -----------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 162,448 319,160 466,631
- -----------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 1,082,122 $ 2,378,065 $ 3,793,409
- -----------------------------------------------------------------------------------------------------------------------------------
+ Cost of investments and repurchase agreements 1,114,489 2,162,749 3,418,706
++ Cost of affiliated investments 62,491 27,965 53,153
+++ Cost of foreign currency (61) -- --
++++ Premiums received (71) -- --
+++++ Proceeds from securities sold short (110,307) -- --
* Includes market value of securities on loan -- 297,902 432,010
NET ASSETS:
Paid-in-Capital (unlimited authorization -- no par value) $ 1,044,055 $ 2,329,737 $ 2,752,457
Undistributed net investment income (Accumulated net
investment loss) 3,146 5,081 15,171
Accumulated net realized gain (loss) on investments
securities sold short, option contracts, futures, credit
default swaps and foreign currency (8,086) (446,072) 257,924
Net unrealized appreciation on investments, securities
sold short and option contracts 38,209 488,774 766,680
Net unrealized appreciation on futures contracts 4,739 545 1,177
Net unrealized appreciation on swaps 61 -- --
Net unrealized depreciation on forward foreign currency
contracts, foreign currencies and translation of other
assets and liabilities denominated in foreign currencies (2) -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 1,082,122 $ 2,378,065 $ 3,793,409
- -----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price Per
Share -- Class A $ 10.38 $ 12.68 $ 23.54
($1,082,101,040 / ($2,373,507,457 / ($3,762,101,302 /
104,214,564 shares) 187,205,437 shares) 159,794,523 shares)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price Per
Share -- Class I $ 10.38 N/A $ 23.52
($20,828 / ($31,307,443 /
2,006 shares) 1,330,825 shares)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price Per
Share -- Class Y N/A $ 12.79 N/A
($4,557,740 /
356,285 shares)
- -----------------------------------------------------------------------------------------------------------------------------------
Amounts designated as "-" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
164 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- ------------------------------------------------------------------------------------------------------------------------------------
LARGE CAP TAX-MANAGED SMALL SMALL
GROWTH SMALL CAP CAP VALUE CAP GROWTH
FUND FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments at value+ $3,676,752* $386,079* $1,396,449* $1,419,327*
Repurchase agreement++ 38,715 46,000 32,551 40,237
Affiliated investment, at value++ 50,022 17,661 46,758 32,333
Cash 1 -- 353 --
Foreign currency, at value+++ -- -- -- 55
Restricted cash held for securities sold short -- -- -- --
Receivable for investment securities sold 52,031 3,310 13,765 14,471
Receivable for fund shares sold 1,432 201 1,809 2,084
Dividends and interest receivable 1,866 289 1,551 640
Receivable for variation margin -- -- 1 --
Unrealized gain on swap contracts -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 3,820,819 453,540 1,493,237 1,509,147
- ------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return on securities loaned 355,074 134,731 298,544 369,037
Payable for securities sold short+++++ -- -- -- --
Payable for investment securities purchased 40,593 3,771 15,453 13,280
Payable for fund shares redeemed 7,126 213 3,427 2,364
Investment advisory fees payable 958 128 624 586
Payable for variation margin 38 105 231 165
Administration fees payable 975 89 337 321
Shareholder servicing fees payable Class A 363 62 91 82
Shareholder servicing fees payable Class I 5 -- 3 2
Overdraft of Foreign currency, at value+++ -- -- -- --
Options written, at value++++ -- -- -- --
Administration servicing fees payable Class I 5 -- 3 2
Payable to custodian -- 92 -- 18
Accrued expense payable 153 16 53 51
- ------------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 405,290 139,207 318,766 385,908
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $3,415,529 $314,333 $1,174,471 $1,123,239
- ------------------------------------------------------------------------------------------------------------------------------------
+ Cost of investments and repurchase agreements 3,271,272 387,427 1,265,746 1,415,862
++ Cost of affiliated investments 50,022 17,661 46,758 32,333
+++ Cost of foreign currency -- -- -- 54
++++ Premiums received -- -- -- --
+++++ Proceeds from securities sold short -- -- -- --
* Includes market value of securities on loan 343,450 126,837 284,278 352,968
NET ASSETS:
Paid-in-Capital (unlimited authorization --
no par value) $4,352,237 $251,117 $ 913,952 $1,129,530
Undistributed net investment income
(Accumulated net investment loss) 840 298 1,155 (11)
Accumulated net realized gain (loss) on
investments securities sold short, option
contracts, futures, credit default swaps
and foreign currency (1,382,518) 17,967 95,368 (50,515)
Net unrealized appreciation on investments,
securities sold short and option contracts 444,195 44,652 163,254 43,702
Net unrealized appreciation on futures
contracts 775 299 742 533
Net unrealized appreciation on swaps -- -- -- --
Net unrealized depreciation on forward
foreign currency contracts, foreign
currencies and translation of other assets
and liabilities denominated in foreign
currencies -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $3,415,529 $314,333 $1,174,471 $1,123,239
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price
Per Share -- Class A $ 19.95 $ 13.10 $ 21.28 $ 18.56
($3,387,749,267 / ($314,333,197 / ($1,160,178,016 / ($1,111,328,666 /
169,782,462 shares) 24,000,004 shares) 54,507,844 shares) 59,865,332 shares)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price
Per Share -- Class I $ 19.75 N/A $ 21.21 $ 18.32
($27,779,371 / ($14,293,469 / ($11,909,930 /
1,406,765 shares) 673,982 shares) 650,123 shares)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price
Per Share -- Class Y N/A N/A N/A N/A
- ------------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 165
Statements of Assets and Liabilities ($ Thousands)
September 30, 2006
- ------------------------------------------------------------------------------------------------------------------------------
U.S. MANAGED GLOBAL MANAGED
MID-CAP VOLATILITY VOLATILITY
FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments at value+ $97,502* $273,105 $89,262
Repurchase agreement+ 1,204 -- --
Affiliated investment, at value++ 2,521 28,597 3,107
Cash -- 19 3,143
Foreign currency, at value+++ -- -- 216
Receivable for shareholder servicing fees -- -- --
Receivable for investment securities sold -- -- --
Receivable for fund shares sold 35 1,861 1,439
Dividends and interest receivable 122 393 163
Receivable for variation margin -- -- 9
Unrealized gain on swap contracts -- -- --
Unrealized gain on forward foreign currency contracts -- -- 270
- ------------------------------------------------------------------------------------------------------------------------------
Total Assets 101,384 303,975 97,609
- ------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return on securities loaned 11,036 -- --
Payable for investment securities purchased -- -- 2,548
Payable for fund shares redeemed 53 158 20
Payable for variation margin 13 27 3
Administration fees payable 26 82 26
Investment advisory fees payable 29 126 32
Shareholder servicing fees payable Class A 14 46 18
Shareholder servicing fees payable Class I -- -- --
Overdraft of foreign currency, at value+++ -- -- --
Options written, at value++++ -- -- --
Administration servicing fees payable Class I -- -- --
Payable to custodian -- -- --
Income distribution payable -- -- --
Unrealized loss on foreign currency contracts -- -- 3
Unrealized loss on foreign spot currency contracts -- -- 2
Unrealized loss on swap contracts -- -- --
Accrued expense payable 5 13 6
- ------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 11,176 452 2,658
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets $90,208 $303,523 $94,951
- ------------------------------------------------------------------------------------------------------------------------------
+ Cost of investments and repurchase agreements 90,830 256,782 87,158
++ Cost of affiliated investments 2,521 28,597 3,107
+++ Cost of foreign currency -- -- 217
++++ Premiums received -- -- --
* Includes market value of securities on loan 10,618 -- --
NET ASSETS:
Paid-in-Capital (unlimited authorization
-- no par value) $76,653 $279,777 $91,787
Undistributed (Distributions in excess of) net
investment income 128 662 578
Accumulated net realized gain (loss) on
investments, option contracts, futures,
credit default swaps and foreign currency 5,555 6,524 148
Net unrealized appreciation (depreciation) on
investments and option contracts 7,876 16,323 2,104
Net unrealized appreciation (depreciation) on
futures contracts (4) 237 69
Net unrealized appreciation (depreciation) on swaps -- -- --
Net unrealized appreciation (depreciation) on
forward foreign currency contracts, foreign
currencies and translation of other assets and
liabilities denominated in foreign currencies -- -- 265
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets $90,208 $303,523 $94,951
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price Per
Share -- Class A $ 20.40 $ 12.02 $ 10.37
($90,208,058 / ($303,523,095 / ($94,950,746 /
4,422,367 shares) 25,248,034 shares) 9,157,230 shares)
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price Per
Share -- Class I N/A N/A N/A
- ------------------------------------------------------------------------------------------------------------------------------
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
166 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- ----------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE ENHANCED CORE FIXED HIGH YIELD
FUND INCOME FUND INCOME FUND BOND FUND
- ----------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments at value+ $168,483 $214,121 $5,584,067* $1,098,062*
Repurchase agreement+ -- 20,100 353,968 9,437
Affiliated investment, at value++ 8,697 22,319 106,105 36,003
Cash -- 122 -- --
Foreign currency, at value+++ -- -- -- --
Receivable for shareholder
servicing fees -- 45 -- --
Receivable for investment securities
sold 378 -- 496,883 8,324
Receivable for fund shares sold 20,675 2,040 6,529 4,167
Dividends and interest receivable 581 1,329 32,355 18,993
Receivable for variation margin -- 28 142 --
Unrealized gain on swap contracts -- -- -- 967
Unrealized gain on forward foreign
currency contracts -- 804 99 --
- ----------------------------------------------------------------------------------------------------------------------------------
Total Assets 198,814 260,908 6,580,148 1,175,953
- ----------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return on securities
loaned -- -- 729,763 86,544
Payable for investment securities
purchased 4,553 24,338 1,494,348 17,810
Payable for fund shares redeemed 138 22 12,296 1,151
Payable for variation margin -- -- 217 --
Administration fees payable 48 63 981 302
Investment advisory fees payable 82 72 922 352
Shareholder servicing fees payable
Class A 27 -- 151 31
Shareholder servicing fees payable
Class I -- -- 2 --
Overdraft of foreign currency, at
value+++ -- -- 196 --
Options written, at value++++ -- -- 1,479 --
Administration servicing fees
payable Class I -- -- 2 --
Payable to custodian 1,285 -- 30,582 376
Income distribution payable -- -- 921 599
Unrealized loss on foreign currency
contracts -- 398 529 --
Unrealized loss on foreign spot
currency contracts -- -- -- --
Unrealized loss on swap contracts -- -- 104 --
Accrued expense payable 7 34 311 77
- ----------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 6,140 24,927 2,272,804 107,242
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets $192,674 $235,981 $4,307,344 $1,068,711
- ----------------------------------------------------------------------------------------------------------------------------------
+ Cost of investments and repurchase
agreements 130,982 233,879 5,912,539 1,111,923
++ Cost of affiliated investments 8,697 22,319 106,105 36,003
+++ Cost of foreign currency -- -- (197) --
++++ Premiums received -- -- (865) --
* Includes market value of securities
on loan -- -- 700,716 81,130
NET ASSETS:
Paid-in-Capital (unlimited
authorization -- no par value) $146,617 $233,661 $4,354,333 $1,241,420
Undistributed (Distributions in
excess of) net investment income 571 2,050 (448) 215
Accumulated net realized gain (loss)
on investments, option contracts,
futures, credit default swaps and
foreign currency 7,985 (263) (71,981) (169,467)
Net unrealized appreciation
(depreciation) on investments and
option contracts 37,501 342 24,882 (4,424)
Net unrealized appreciation
(depreciation) on futures
contracts -- (215) 1,086 --
Net unrealized appreciation
(depreciation) on swaps -- -- (104) 967
Net unrealized appreciation
(depreciation) on forward foreign
currency contracts, foreign
currencies and translation of
other assets and liabilities
denominated in foreign currencies -- 406 (424) --
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets $192,674 $235,981 $4,307,344 $1,068,711
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and
Redemption Price Per
Share -- Class A $ 18.43 $ 10.11 $ 10.29 $ 8.38
($192,673,928 / ($235,981,449 / ($4,293,308,971 / ($1,068,710,650 /
10,453,595 shares) 23,338,508 shares) 417,222,101 shares) 127,477,429 shares)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and
Redemption Price Per
Share -- Class I N/A N/A $ 10.29 N/A
($14,034,550 /
1,364,431 shares)
- ----------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 167
Statements of Operations ($ Thousands)
For the year or period ended September 30, 2006
- ---------------------------------------------------------------------------------------------------------------
LARGE CAP TAX-MANAGED LARGE CAP
DIVERSIFIED ALPHA LARGE CAP VALUE
FUND(1) FUND FUND
- ---------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends $ 9,218 $ 38,410 $ 93,837
Dividends from Affiliated Registered Investment Company* 2,148 1,408 3,088
Interest Income 5,692 184 172
Income from Securities Lending -- 306 482
Less: Foreign Taxes Withheld (12) (27) (72)
- ---------------------------------------------------------------------------------------------------------------
Total Investment Income 17,046 40,281 97,507
- ---------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 2,987 9,115 13,486
Administration Fees 2,613 7,965 13,486
Shareholder Servicing Fees Class A 1,867 5,684 9,564
Shareholder Servicing Fees Class I -- -- 69
Shareholder Servicing Fees Class Y -- 7 --
Administration Servicing Fees Class I -- -- 69
Trustees' Fees 8 28 51
Dividend Expense 653 -- --
Interest Expense on Securities Sold Short 428 -- --
Printing Fees 52 115 160
Custodian/Wire Agent Fees 49 140 194
Professional Fees 36 96 107
Registration Fees 7 24 78
Other Expenses 2 48 81
- ---------------------------------------------------------------------------------------------------------------
Total Expenses 8,702 23,222 37,345
- ---------------------------------------------------------------------------------------------------------------
Less:
Waiver of Investment Advisory Fees (101) (2,185) (2,702)
Waiver of Shareholder Servicing Fees Class A (425) (1,315) (1,063)
Waiver of Shareholder Servicing Fees Class I -- -- (9)
Waiver of Shareholder Servicing Fees Class Y -- (3) --
Fees Paid Indirectly -- (138) (365)
- ---------------------------------------------------------------------------------------------------------------
Net Expenses 8,176 19,581 33,206
- ---------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS) 8,870 20,700 64,301
- ---------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
NET REALIZED GAIN (LOSS) ON:
Investments (8,455) 60,075 331,552
Securities Sold Short 149 -- --
Futures Contracts 443 169 11,391
Written Options (16) -- --
Swap Contracts 521 -- --
Foreign Currency Transactions (1) -- --
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments 34,620 105,293 77,594
Securities Sold Short 3,576 -- --
Futures Contracts 4,739 663 1,309
Written Options 13 -- --
Swap Contracts 61 -- --
Foreign Currency and Translation of Other Assets and
Liabilities Denominated in Foreign Currency (2) -- --
- ---------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $44,518 $186,900 $486,147
- ---------------------------------------------------------------------------------------------------------------
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.
- --------------------------------------------------------------------------------
168 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- ------------------------------------------------------------------------------------------------------------------
LARGE CAP TAX-MANAGED SMALL SMALL
GROWTH SMALL CAP CAP VALUE CAP GROWTH
FUND FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends $ 34,565 $ 2,581 $ 13,603 $ 4,932
Dividends from Affiliated Registered Investment Company* 2,736 739 1,385 1,628
Interest Income 362 23 137 177
Income from Securities Lending 438 201 717 1,339
Less: Foreign Taxes Withheld (19) (3) (9) (58)
- ------------------------------------------------------------------------------------------------------------------
Total Investment Income 38,082 3,541 15,833 8,018
- ------------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 14,683 1,917 7,267 7,323
Administration Fees 12,847 1,032 3,913 3,943
Shareholder Servicing Fees Class A 9,109 737 2,761 2,787
Shareholder Servicing Fees Class I 68 -- 34 30
Shareholder Servicing Fees Class Y -- -- -- --
Administration Servicing Fees Class I 68 -- 34 30
Trustees' Fees 49 4 14 14
Dividend Expense -- -- -- --
Interest Expense on Securities Sold Short -- -- -- --
Printing Fees 185 15 56 56
Custodian/Wire Agent Fees 244 18 69 78
Professional Fees 156 12 47 47
Registration Fees 47 1 12 11
Other Expenses 86 13 25 23
- ------------------------------------------------------------------------------------------------------------------
Total Expenses 37,542 3,749 14,232 14,342
- ------------------------------------------------------------------------------------------------------------------
Less:
Waiver of Investment Advisory Fees (2,094) (371) (7) (126)
Waiver of Shareholder Servicing Fees Class A (3,511) (3) (1,496) (1,475)
Waiver of Shareholder Servicing Fees Class I (27) -- (18) (16)
Waiver of Shareholder Servicing Fees Class Y -- -- -- --
Fees Paid Indirectly (289) (101) (267) (190)
- ------------------------------------------------------------------------------------------------------------------
Net Expenses 31,621 3,274 12,444 12,535
- ------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS) 6,461 267 3,389 (4,517)
- ------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
NET REALIZED GAIN (LOSS) ON:
Investments 124,751 22,077 125,184 59,251
Securities Sold Short -- -- -- --
Futures Contracts 4,934 (67) (25) (807)
Written Options -- -- -- --
Swap Contracts -- -- -- --
Foreign Currency Transactions -- -- (16) (12)
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments 27,167 (7,494) (20,513) (16,185)
Securities Sold Short -- -- -- --
Futures Contracts 863 297 878 654
Written Options -- -- -- --
Swap Contracts -- -- -- --
Foreign Currency and Translation of Other Assets and
Liabilities Denominated in Foreign Currency -- -- -- --
- ------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $164,176 $15,080 $108,897 $ 38,384
- ------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 169
Statements of Operations ($ Thousands)
For the year or period ended September 30, 2006
- ------------------------------------------------------------------------------------------------------------
U.S. MANAGED GLOBAL MANAGED
MID-CAP VOLATILITY VOLATILITY
FUND FUND FUND(1)
- ------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends $ 1,442 $ 3,887 $ 340
Dividends from Affiliated Registered Investment Company* 129 624 22
Interest Income 7 30 3
Income from Securities Lending 24 -- --
Less: Foreign Taxes Withheld -- (34) (18)
- ------------------------------------------------------------------------------------------------------------
Total Investment Income 1,602 4,507 347
- ------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 382 1,453 97
Administration Fees 334 782 52
Shareholder Servicing Fees Class A 239 559 37
Shareholder Servicing Fees Class I -- -- --
Administration Servicing Fees Class I -- -- --
Trustees' Fees 1 2 --
Custodian/Wire Agent Fees 14 12 2
Printing Fees 5 12 2
Professional Fees 4 9 2
Registration Fees 1 1 1
Other Expenses 1 4 2
- ------------------------------------------------------------------------------------------------------------
Total Expenses 981 2,834 195
- ------------------------------------------------------------------------------------------------------------
Less:
Waiver of Investment Advisory Fees (1) (246) (29)
Waiver of Shareholder Servicing Fees Class A (16) (107) (1)
Waiver of Shareholder Servicing Fees Class I -- -- --
Fees Paid Indirectly -- -- --
Payment by Affiliate* -- -- --
- ------------------------------------------------------------------------------------------------------------
Net Expenses 964 2,481 165
- ------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 638 2,026 182
- ------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
NET REALIZED GAIN (LOSS) ON:
Investments 8,938 7,894 151
Payment by Affiliate* -- -- --
Futures Contracts 256 646 13
Written Options -- -- --
Swap Contracts -- -- --
Foreign Currency Transactions -- -- 380
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments (2,117) 7,854 2,104
Futures Contracts (16) 206 69
Written Options -- -- --
Swap Contracts -- -- --
Foreign Currency and Translation of Other Assets and
Liabilities Denominated in Foreign Currency -- -- 265
- ------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 7,699 $18,626 $3,164
- ------------------------------------------------------------------------------------------------------------
Amounts designated as "--" are $0 or have been rounded to $0.
* See Note 3 in Notes to Financial Statements.
(1) The Global Managed Volatility and Enhanced Income Funds commenced
operations on July 27, 2006.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
170 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- -------------------------------------------------------------------------------------------------------------------------
REAL ESTATE ENHANCED CORE FIXED HIGH YIELD
FUND INCOME FUND(1) INCOME FUND BOND FUND
- -------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends $ 3,064 $ -- $ -- $ 5,454
Dividends from Affiliated Registered Investment Company* 234 170 2,255 1,527
Interest Income -- 2,110 215,040 91,185
Income from Securities Lending 14 -- 1,368 713
Less: Foreign Taxes Withheld (1) -- (46) --
- -------------------------------------------------------------------------------------------------------------------------
Total Investment Income 3,311 2,280 218,617 98,879
- -------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 860 148 11,435 5,633
Administration Fees 463 130 11,643 4,044
Shareholder Servicing Fees Class A 331 93 10,364 2,889
Shareholder Servicing Fees Class I -- -- 31 --
Administration Servicing Fees Class I -- -- 31 --
Trustees' Fees 1 1 52 17
Custodian/Wire Agent Fees 6 2 282 83
Printing Fees 7 5 208 64
Professional Fees 5 4 177 52
Registration Fees 1 1 44 15
Other Expenses 1 23 548 147
- -------------------------------------------------------------------------------------------------------------------------
Total Expenses 1,675 407 34,815 12,944
- -------------------------------------------------------------------------------------------------------------------------
Less:
Waiver of Investment Advisory Fees (59) -- (517) (880)
Waiver of Shareholder Servicing Fees Class A (128) (184) (7,639) (2,128)
Waiver of Shareholder Servicing Fees Class I -- -- (23) --
Fees Paid Indirectly (19) -- -- --
Payment by Affiliate* -- -- (239) --
- -------------------------------------------------------------------------------------------------------------------------
Net Expenses 1,469 223 26,397 9,936
- -------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 1,842 2,057 192,220 88,943
- -------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
NET REALIZED GAIN (LOSS) ON:
Investments 10,236 129 (57,259) (33,205)
Payment by Affiliate* -- -- -- 3
Futures Contracts -- (399) (7,584) (1,345)
Written Options -- -- 1,386 --
Swap Contracts -- -- (979) (705)
Foreign Currency Transactions (11) -- (1,028) --
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments 23,191 342 25,251 13,043
Futures Contracts -- (215) (411) 181
Written Options -- -- (602) --
Swap Contracts -- -- 132 967
Foreign Currency and Translation of Other Assets and
Liabilities Denominated in Foreign Currency -- 406 (434) --
- -------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $35,258 $2,320 $150,692 $ 67,882
- -------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 171
Statements of Changes in Net Assets ($ Thousands)
For the years or period ended September 30,
- --------------------------------------------------------------------------------------------------------------------------
LARGE CAP DIVERSIFIED TAX-MANAGED LARGE CAP
ALPHA FUND(4) LARGE CAP FUND VALUE FUND
- --------------------------------------------------------------------------------------------------------------------------
2006 2006 2005 2006 2005
- --------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income (Loss) $ 8,870 $ 20,700 $ 22,722 $ 64,301 $ 69,593
Net Realized Gain (Loss) from
Investments, Securities Sold
Short, Futures Contracts, Written
Options and Swap Contracts (7,358) 60,244 95,780 342,943 272,404(2)
Net Realized Loss on Foreign
Currency Transactions (1) -- -- -- --
Net Change in Unrealized
Appreciation (Depreciation) on
Investments, Securities Sold
Short, Futures Contracts, Written
Options and Swap Contracts 43,009 105,956 160,927 78,903 283,473
Net Change in Unrealized
Depreciation on Foreign Currencies
and Translation of Other Assets
and Liabilities Denominated in
Foreign Currency (2) -- -- -- --
Payment by Affiliate* -- -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets
from Operations 44,518 186,900 279,429 486,147 625,470
- --------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (5,836) (19,618) (22,704) (64,544) (68,972)
Class I -- -- -- (381) (308)
Class Y -- (46) (58) -- --
Net Realized Gains:
Class A -- -- -- (246,892) (23,633)
Class I -- -- -- (1,453) (119)
- --------------------------------------------------------------------------------------------------------------------------
Total Dividends and
Distributions (5,836) (19,664) (22,762) (313,270) (93,032)
- --------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS(1):
Class A:
Proceeds from Shares
Issued 1,157,412 412,756 380,056 590,885 713,922
Reinvestment of
Dividends &
Distributions 5,833 18,614 21,568 295,797 87,568
Cost of Shares Redeemed (119,826) (397,596) (462,655) (1,526,556) (1,253,909)(3)
- --------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net
Assets Derived from
Class A Transactions 1,043,419 33,774 (61,031) (639,874) (452,419)
- --------------------------------------------------------------------------------------------------------------------------
Class I:
Proceeds from Shares
Issued 21 -- -- 10,321 5,971
Reinvestment of
Dividends &
Distributions -- -- -- 1,775 415
Cost of Shares Redeemed -- -- -- (7,142) (4,608)
- --------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net
Assets Derived from
Class I Transactions 21 -- -- 4,954 1,778
- --------------------------------------------------------------------------------------------------------------------------
Class Y:
Proceeds from Shares
Issued -- 161 7 -- --
Reinvestment of
Dividends &
Distributions -- 46 58 -- --
Cost of Shares Redeemed -- (1,104) (541) -- --
- --------------------------------------------------------------------------------------------------------------------------
Decrease in Net Assets
Derived from Class Y
Transactions -- (897) (476) -- --
- --------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net
Assets Derived from
Capital Share Transactions 1,043,440 32,877 (61,507) (634,920) (450,641)
- --------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Net Assets 1,082,122 200,113 195,160 (462,043) 81,797
- --------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR/PERIOD -- 2,177,952 1,982,792 4,255,452 4,173,655
- --------------------------------------------------------------------------------------------------------------------------
END OF YEAR/PERIOD $1,082,122 $2,378,065 $2,177,952 $ 3,793,409 $ 4,255,452
- --------------------------------------------------------------------------------------------------------------------------
UNDISTRIBUTED NET
INVESTMENT INCOME/
(ACCUMULATED NET
INVESTMENT LOSS)
INCLUDED IN NET ASSETS
AT PERIOD END $ 3,146 $ 5,081 $ 4,006 $ 15,171 $ 15,715
- --------------------------------------------------------------------------------------------------------------------------
* 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.
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
172 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- ------------------------------------------------------------------------------------------------------------------------------
LARGE CAP TAX-MANAGED
GROWTH FUND SMALL CAP FUND
- ------------------------------------------------------------------------------------------------------------------------------
2006 2005 2006 2005
- ------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income (Loss) $ 6,461 $ 18,547 $ 267 $ (416)
Net Realized Gain (Loss) from Investments,
Securities Sold Short, Futures Contracts,
Written Options and Swap Contracts 129,685 159,985 22,010 17,111
Net Realized Loss on Foreign Currency
Transactions -- -- -- --
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Securities
Sold Short, Futures Contracts, Written
Options and Swap Contracts 28,030 297,342 (7,197) 28,494
Net Change in Unrealized Depreciation
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 164,176 475,876 15,080 45,189
- ------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (6,263) (17,804) -- --
Class I -- (111) -- --
Class Y -- -- -- --
Net Realized Gains:
Class A -- -- (15,044) (15,584)
Class I -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (6,263) (17,915) (15,044) (15,584)
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS(1):
Class A:
Proceeds from Shares Issued 645,544 678,539 79,945 58,769
Reinvestment of Dividends & Distributions 5,960 16,943 14,133 14,572
Cost of Shares Redeemed (1,425,125) (992,030) (49,300) (48,286)
- ------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions (773,621) (296,548) 44,778 25,055
- ------------------------------------------------------------------------------------------------------------------------------
Class I:
Proceeds from Shares Issued 7,533 5,995 -- --
Reinvestment of Dividends & Distributions -- 109 -- --
Cost of Shares Redeemed (10,332) (8,152) -- --
- ------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class I Transactions (2,799) (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 (776,420) (298,596) 44,778 25,055
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (618,507) 159,365 44,814 54,660
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR/PERIOD 4,034,036 3,874,671 269,519 214,859
- ------------------------------------------------------------------------------------------------------------------------------
END OF YEAR/PERIOD $ 3,415,529 $ 4,034,036 $314,333 $269,519
- ------------------------------------------------------------------------------------------------------------------------------
UNDISTRIBUTED NET INVESTMENT INCOME/
(ACCUMULATED NET INVESTMENT LOSS)
INCLUDED IN NET ASSETS AT PERIOD END $ 840 $ 632 $ 298 $ --
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
SMALL CAP SMALL CAP
VALUE FUND GROWTH FUND
- ------------------------------------------------------------------------------------------------------------------------------
2006 2005 2006 2005
- ------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income (Loss) $ 3,389 $ 2,739 $ (4,517) $ (6,167)
Net Realized Gain (Loss) from Investments,
Securities Sold Short, Futures Contracts,
Written Options and Swap Contracts 125,159 120,394 58,444 103,912
Net Realized Loss on Foreign Currency
Transactions (16) -- (12) (112)
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Securities
Sold Short, Futures Contracts, Written
Options and Swap Contracts (19,635) 72,742 (15,531) 74,132
Net Change in Unrealized Depreciation
on Foreign Currencies and Translation
of Other Assets and Liabilities
Denominated in Foreign Currency -- -- -- --
Payment by Affiliate* -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 108,897 195,875 38,384 171,765
- ------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (3,393) (2,588) -- --
Class I (17) (9) -- --
Class Y -- -- -- --
Net Realized Gains:
Class A (110,921) (145,253) -- --
Class I (1,326) (1,314) -- --
- ------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (115,657) (149,164) -- --
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS(1):
Class A:
Proceeds from Shares Issued 294,921 249,447 383,822 281,272
Reinvestment of Dividends & Distributions 109,275 140,124 -- --
Cost of Shares Redeemed (303,550) (311,616) (368,970) (363,804)
- ------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived from Class A
Transactions 100,646 77,955 14,852 (82,532)
- ------------------------------------------------------------------------------------------------------------------------------
Class I:
Proceeds from Shares Issued 5,461 6,593 4,279 5,104
Reinvestment of Dividends & Distributions 1,325 1,308 -- --
Cost of Shares Redeemed (5,103) (3,102) (3,766) (4,136)
- ------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived from Class I
Transactions 1,683 4,799 513 968
- ------------------------------------------------------------------------------------------------------------------------------
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 102,329 82,754 15,365 (81,564)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 95,569 129,465 53,749 90,201
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR/PERIOD 1,078,902 949,437 1,069,490 979,289
- ------------------------------------------------------------------------------------------------------------------------------
END OF YEAR/PERIOD $1,174,471 $1,078,902 $1,123,239 $1,069,490
- ------------------------------------------------------------------------------------------------------------------------------
UNDISTRIBUTED NET INVESTMENT INCOME/(ACCUMULATED NET
INVESTMENT LOSS) INCLUDED IN NET ASSETS AT PERIOD END $ 1,155 $ 654 $ (11) $ (113)
- ------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 173
Statements of Changes in Net Assets ($ Thousands)
For the years or period ended September 30,
- -----------------------------------------------------------------------------------------------------------------------------------
U.S. MANAGED GLOBAL MANAGED
MID-CAP FUND VOLATILITY FUND(2) VOLATILITY FUND(4)
- -----------------------------------------------------------------------------------------------------------------------------------
2006 2005 2006 2005 2006
- -----------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 638 $ 176 $ 2,026 $ 909 $ 182
Net Realized Gain (Loss) on Investments,
Options, Written Options, Futures Contracts
and Swap Contracts 9,194 8,565 8,540 2,303 164
Net Realized Gain (Loss) on Foreign Currency
Transactions -- -- -- -- 380
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Options,
Written Options, Futures Contracts and
Swap Contracts (2,133) 4,995 8,060 8,500 2,173
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currencies and
Translation of Other Assets and Liabilities
Denominated in Foreign Currency -- -- -- -- 265
Payment by Affiliate* -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 7,699 13,736 18,626 11,712 3,164
- -----------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (598) (174) (1,689) (631) --
Class I -- -- -- -- --
Class Y -- -- -- -- --
Net Realized Gains:
Class A (6,634) (5,707) (2,511) (10) --
Class I -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (7,232) (5,881) (4,200) (641) --
- -----------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS(1):
Class A:
Proceeds from Shares Issued 79,066 51,196 203,861 164,307(3) 97,370
Reinvestment of Dividends & Distributions 6,635 5,126 4,138 634 --
Cost of Shares Redeemed (67,122) (46,657) (78,949) (15,965) (5,583)
- -----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 18,579 9,665 129,050 148,976 91,787
- -----------------------------------------------------------------------------------------------------------------------------------
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 18,579 9,665 129,050 148,976 91,787
- -----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 19,046 17,520 143,476 160,047 94,951
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR/PERIOD 71,162 53,642 160,047 -- --
- -----------------------------------------------------------------------------------------------------------------------------------
END OF YEAR/PERIOD $ 90,208 $ 71,162 $303,523 $160,047 $94,951
- -----------------------------------------------------------------------------------------------------------------------------------
UNDISTRIBUTED NET INVESTMENT INCOME/
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME) INCLUDED IN
NET ASSETS AT PERIOD END $ 128 $ 60 $ 662 $ 307 $ 578
- -----------------------------------------------------------------------------------------------------------------------------------
* 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 Fund commenced operations on October 28, 2004.
(3) Includes subscriptions as a result of in-kind transfers of securities (see
Note 9).
(4) The Global Managed Volatility and Enhanced Income Funds commenced
operations on July 27, 2006.
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
174 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- ------------------------------------------------------------------------------------------------------
REAL ESTATE ENHANCED
FUND INCOME FUND(4)
- ------------------------------------------------------------------------------------------------------
2006 2005 2006
- ------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 1,842 $ 1,299 $ 2,057
Net Realized Gain (Loss) on Investments,
Options, Written Options, Futures Contracts
and Swap Contracts 10,236 3,078 (270)
Net Realized Gain (Loss) on Foreign Currency
Transactions (11) -- --
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Options,
Written Options, Futures Contracts and
Swap Contracts 23,191 11,944 127
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currencies and
Translation of Other Assets and Liabilities
Denominated in Foreign Currency -- -- 406
Payment by Affiliate* -- -- --
- ------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 35,258 16,321 2,320
- ------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (2,763) (1,134) --
Class I -- -- --
Class Y -- -- --
Net Realized Gains:
Class A (3,510) (1,045) --
Class I -- -- --
- ------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (6,273) (2,179) --
- ------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS(1):
Class A:
Proceeds from Shares Issued 133,772 68,657 249,264
Reinvestment of Dividends & Distributions 6,040 2,109 --
Cost of Shares Redeemed (72,528) (23,511) (15,603)
- ------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 67,284 47,255 233,661
- ------------------------------------------------------------------------------------------------------
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 67,284 47,255 233,661
- ------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 96,269 61,397 235,981
- ------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR/PERIOD 96,405 35,008 --
- ------------------------------------------------------------------------------------------------------
END OF YEAR/PERIOD $192,674 $ 96,405 $235,981
- ------------------------------------------------------------------------------------------------------
UNDISTRIBUTED NET INVESTMENT INCOME/
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME) INCLUDED IN
NET ASSETS AT PERIOD END $ 571 $ 484 $ 2,050
- ------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
CORE FIXED HIGH YIELD
INCOME FUND BOND FUND
- ---------------------------------------------------------------------------------------------------------------------
2006 2005 2006 2005
- ---------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 192,220 $ 156,497 $ 88,943 $ 100,497
Net Realized Gain (Loss) on Investments,
Options, Written Options, Futures Contracts
and Swap Contracts (64,436) 24,010 (35,255) 6,127
Net Realized Gain (Loss) on Foreign Currency
Transactions (1,028) 469 -- --
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Options,
Written Options, Futures Contracts and
Swap Contracts 24,370 (68,716) 14,191 (21,064)
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currencies and
Translation of Other Assets and Liabilities
Denominated in Foreign Currency (434) 10 -- --
Payment by Affiliate* -- 3 --
- ---------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 150,692 112,270 67,882 85,560
- ---------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (193,342) (159,782) (89,029) (100,331)
Class I (551) (423) -- --
Class Y -- -- -- --
Net Realized Gains:
Class A (13,424) (35,292) -- --
Class I (40) (93) -- --
- ---------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (207,357) (195,590) (89,029) (100,331)
- ---------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS(1):
Class A:
Proceeds from Shares Issued 1,114,502 921,351 483,558 717,406
Reinvestment of Dividends & Distributions 194,414 182,677 81,500 94,053
Cost of Shares Redeemed (1,053,127) (994,004) (1,075,121) (394,321)
- ---------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 255,789 110,024 (510,063) 417,138
- ---------------------------------------------------------------------------------------------------------------------
Class I:
Proceeds from Shares Issued 6,246 5,179 -- --
Reinvestment of Dividends & Distributions 589 509 -- --
Cost of Shares Redeemed (5,605) (2,887) -- --
- ---------------------------------------------------------------------------------------------------------------------
Increase in Net Assets Derived
from Class I Transactions 1,230 2,801 -- --
- ---------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions 257,019 112,825 (510,063) 417,138
- ---------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 200,354 29,505 (531,210) 402,367
- ---------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR/PERIOD 4,106,990 4,077,485 1,599,921 1,197,554
- ---------------------------------------------------------------------------------------------------------------------
END OF YEAR/PERIOD $ 4,307,344 $ 4,106,990 $ 1,068,711 $1,599,921
- ---------------------------------------------------------------------------------------------------------------------
UNDISTRIBUTED NET INVESTMENT INCOME/
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME) INCLUDED IN
NET ASSETS AT PERIOD END $ (448) $ 1,066 $ 215 $ 90
- ---------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 175
Financial Highlights
For the years or periods ended September 30,
For a Share Outstanding Throughout the Periods
- --------------------------------------------------------------------------------
Net
Realized
and Distributions Total
Net Asset Net Unrealized Dividends from Dividends,
Value, Investment Gains from Net Realized Distributions
Beginning Income (Losses) on Total from Investment Capital Return and Return
of Period (Loss) Securities Operations Income Gains of Capital of Capital
- -------------------------------------------------------------------------------------------------------------------------------
LARGE CAP DIVERSIFIED ALPHA FUND
Class A
2006(2) $10.00 $ 0.10(1) $ 0.34(1) $ 0.44 $(0.06) $ -- $ -- $(0.06)
Class I
2006(3) $10.28 $ 0.01(1) $ 0.09(1) $ 0.10 $ -- $ -- $ -- $ --
TAX-MANAGED LARGE CAP FUND
Class A
2006 $11.78 $ 0.11(1) $ 0.90(1) $ 1.01 $(0.11) $ -- $ -- $(0.11)
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)
Class Y
2006 $11.86 $ 0.15(1) $ 0.89(1) $ 1.04 $(0.11) $ -- $ -- $(0.11)
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(4) 10.45 0.05 (2.98) (2.93) (0.02) -- -- (0.02)
LARGE CAP VALUE FUND
Class A
2006 $22.45 $ 0.37(1) $ 2.41(1) $ 2.78 $(0.37) $(1.32) $ -- $(1.69)
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)
Class I
2006 $22.43 $ 0.31(1) $ 2.42(1) $ 2.73 $(0.32) $(1.32) $ -- $(1.64)
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)
LARGE CAP GROWTH FUND
Class A
2006 $19.23 $ 0.04(1) $ 0.71(1) $ 0.75 $(0.03) $ -- $ -- $(0.03)
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) (0.01)
2002 16.73 (0.04)(1) (3.72)(1) (3.76) -- -- -- --
Class I
2006 $19.04 $(0.01)(1) $ 0.72(1) $ 0.71 $ -- $ -- $ -- $ --
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) -- -- -- --
TAX-MANAGED SMALL CAP FUND
Class A
2006 $13.13 $ 0.01(1) $ 0.68(1) $ 0.69 $ -- $(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) -- -- -- --
SMALL CAP VALUE FUND
Class A
2006 $21.58 $ 0.05(1) $ 1.97(1) $ 2.02 $(0.06) $(2.26) $ -- $(2.32)
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)
Class I
2006 $21.52 $ --(1) $ 1.98(1) $ 1.98 $(0.03) $(2.26) $ -- $(2.29)
2005 20.71 (0.01)(1) 4.03(1) 4.02 (0.02) (3.19) -- (3.21)
2004 17.44 (0.02)(1) 4.31(1) 4.29 (0.02) (1.00) -- (1.02)
2003 13.99 0.04(1) 3.90(1) 3.94 (0.05) (0.44) -- (0.49)
2002(5) 16.47 0.02 (2.49) (2.47) (0.01) -- -- (0.01)
Ratio of
Ratio of Expenses
Expenses to Average Ratio of Net
to Average Net Assets Investment
Ratio of Net Assets (Excluding Income
Net Asset Net Assets Expenses (Excluding Fees Paid (Loss) Portfolio
Value, End Total End of Period to Average Fees Paid Indirectly to Average Turnover
of Period Return+ ($Thousands) Net Assets Indirectly) and Waivers) Net Assets Rate+
- ---------------------------------------------------------------------------------------------------------------------------------
LARGE CAP DIVERSIFIED ALPHA FUND
Class A
2006(2) $10.38 4.44% $1,082,101 1.09%+++ 1.09%+++ 1.16% 1.18% 72%
Class I
2006(3) $10.38 0.97% $ 21 1.08%+++ 1.08%+++ 1.15% 1.12% 72%
TAX-MANAGED LARGE CAP FUND
Class A
2006 $12.68 8.58% $2,373,507 0.86% 0.87% 1.02% 0.91% 65%
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
Class Y
2006 $12.79 8.83% $ 4,558 0.56% 0.57% 0.72% 1.21% 65%
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(4) 7.50 (28.05) 2,631 0.55 0.55 0.72 1.03 80
LARGE CAP VALUE FUND
Class A
2006 $23.54 13.42% $3,762,101 0.86% 0.87% 0.97% 1.67% 58%
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
Class I
2006 $23.52 13.16% $ 31,308 1.11% 1.12% 1.22% 1.40% 58%
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
LARGE CAP GROWTH FUND
Class A
2006 $19.95 3.92% $3,387,749 0.86% 0.87% 1.02% 0.18% 89%
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
Class I
2006 $19.75 3.73% $ 27,780 1.11% 1.12% 1.27% (0.07)% 89%
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
TAX-MANAGED SMALL CAP FUND
Class A
2006 $13.10 5.50% $ 314,333 1.11% 1.14% 1.27% 0.09% 73%
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
SMALL CAP VALUE FUND
Class A
2006 $21.28 10.34% $1,160,178 1.11% 1.13% 1.27% 0.31% 72%
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
Class I
2006 $21.21 10.11% $ 14,293 1.36% 1.38% 1.52% 0.06% 72%
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(5) 13.99 (14.99) 727 1.35 1.35 1.52 0.21 48
- --------------------------------------------------------------------------------
176 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- ---------------------------------------------------------------------------------------------------------------------------------
Net
Realized
and Distributions
Net Asset Net Unrealized Dividends from Total
Value, Investment Gains from Net Realized Dividends Net Asset
Beginning Income (Losses) on Total from Investment Capital and Value, End Total
of Period (Loss) Securities Operations Income Gains Distributions of Period Return+
- ---------------------------------------------------------------------------------------------------------------------------------
SMALL CAP GROWTH FUND
Class A
2006 $17.86 $(0.07)(1) $ 0.77(1) $ 0.70 $ -- $ -- $ -- $18.56 3.92%
2005 15.14 (0.10)(1) 2.82(1) 2.72 -- -- -- 17.86 17.97
2004 14.11 (0.10)(1) 1.13(1) 1.03 -- -- -- 15.14 7.30
2003 9.62 (0.08)(1) 4.57(1) 4.49 -- -- -- 14.11 46.67
2002 12.35 (0.09)(1) (2.64)(1) (2.73) -- -- -- 9.62 (22.11)
Class I
2006 $17.67 $(0.12)(1) $ 0.77(1) $ 0.65 $ -- $ -- $ -- $18.32 3.68%
2005 15.02 (0.14)(1) 2.79(1) 2.65 -- -- -- 17.67 17.64
2004 14.03 (0.14)(1) 1.13(1) 0.99 -- -- -- 15.02 7.06
2003 9.59 (0.11)(1) 4.55(1) 4.44 -- -- -- 14.03 46.30
2002 12.35 (0.08)(1) (2.68)(1) (2.76) -- -- -- 9.59 (22.35)
MID-CAP FUND
Class A
2006 $20.29 $ 0.14(1) $ 1.49(1) $ 1.63 $(0.12) $(1.40) $(1.52) $20.40 8.50%
2005 17.84 0.06(1) 4.61(1) 4.67 (0.06) (2.16) (2.22) 20.29 28.15
2004 14.96 0.09(1) 3.19(1) 3.28 (0.11) (0.29) (0.40) 17.84 22.23
2003 11.74 0.11(1) 3.25(1) 3.36 (0.08) (0.06) (0.14) 14.96 28.92
2002 12.19 0.06 (0.46)(9) (0.40) (0.05) -- (0.05) 11.74 (3.34)
U.S. MANAGED VOLATILITY FUND
Class A
2006 $11.41 $ 0.10(1) $ 0.75(1) $ 0.85 $(0.09) $(0.15) $(0.24) $12.02 7.64%
2005(6) 10.00 0.10(1) 1.39(1) 1.49 (0.08) --* (0.08) 11.41 14.94
GLOBAL MANAGED VOLATILITY FUND
Class A
2006(7) $10.00 $ 0.02(1) $ 0.35(1) $ 0.37 $ -- $ -- $ -- $10.37 3.70%
REAL ESTATE FUND
Class A
2006 $14.86 $ 0.23(1) $ 4.15(1) $ 4.38 $(0.36) $(0.45) $(0.81) $18.43 30.44%
2005 11.89 0.27(1) 3.22(1) 3.49 (0.26) (0.26) (0.52) 14.86 29.97
2004(8) 10.00 0.21(1) 1.85(1) 2.06 (0.17) -- (0.17) 11.89 20.82
ENHANCED INCOME FUND
Class A
2006(7) $10.00 $ 0.10(1) $ 0.01(1) $ 0.11 $ -- $ -- $ -- $10.11 1.10%
CORE FIXED INCOME FUND
Class A
2006 $10.44 $ 0.47(1) $(0.11)(1) $ 0.36 $(0.48) $(0.03) $(0.51) $10.29 3.60%
2005 10.65 0.40(1) (0.11)(1) 0.29 (0.41) (0.09) (0.50) 10.44 2.83
2004 10.71 0.37(1) 0.08(1) 0.45 (0.38) (0.13) (0.51) 10.65 4.38
2003 10.67 0.40(1) 0.28(1) 0.68 (0.42) (0.22) (0.64) 10.71 6.63
2002 10.75 0.52 0.08 0.60 (0.52) (0.16) (0.68) 10.67 5.89
Class I
2006 $10.43 $ 0.45(1) $(0.11)(1) $ 0.34 $(0.45) $(0.03) $(0.48) $10.29 3.44%
2005 10.65 0.38(1) (0.12)(1) 0.26 (0.39) (0.09) (0.48) 10.43 2.48
2004 10.71 0.34(1) 0.09(1) 0.43 (0.36) (0.13) (0.49) 10.65 4.12
2003 10.67 0.37(1) 0.28(1) 0.65 (0.39) (0.22) (0.61) 10.71 6.37
2002 10.76 0.49 0.07 0.56 (0.49) (0.16) (0.65) 10.67 5.53
HIGH YIELD BOND FUND
Class A
2006 $ 8.50 $ 0.65(1) $(0.12)(1) $ 0.53 $(0.65) $ -- $(0.65) $ 8.38 6.51%
2005 8.58 0.64(1) (0.08)(1) 0.56 (0.64) -- (0.64) 8.50 6.71
2004 8.37 0.67(1) 0.21(1) 0.88 (0.67) -- (0.67) 8.58 10.84
2003 7.60 0.68(1) 0.77(1) 1.45 (0.68) -- (0.68) 8.37 19.88
2002 7.86 0.70 (0.26) 0.44 (0.70) -- (0.70) 7.60 5.45
- ---------------------------------------------------------------------------------------------
Ratio of
Ratio of Expenses
Expenses to Average Ratio of Net
to Average Net Assets Investment
Ratio of Net Assets (Excluding Income
Net Assets Expenses (Excluding Fees Paid (Loss) Portfolio
End of Period to Average Fees Paid Indirectly to Average Turnover
($Thousands) Net Assets Indirectly) and Waivers) Net Assets Rate+
- ---------------------------------------------------------------------------------------------
SMALL CAP GROWTH FUND
Class A
2006 $1,111,329 1.11% 1.13% 1.27% (0.40)% 99%
2005 1,058,413 1.11 1.11 1.27 (0.60) 116
2004 970,759 1.10 1.10 1.27 (0.63) 124
2003 875,906 1.10 1.10 1.27 (0.66) 166
2002 606,999 1.10 1.10 1.27 (0.69) 156
Class I
2006 $ 11,910 1.36% 1.38% 1.52% (0.65)% 99%
2005 11,077 1.36 1.36 1.52 (0.85) 116
2004 8,530 1.35 1.35 1.52 (0.90) 124
2003 5,339 1.35 1.35 1.52 (0.91) 166
2002 1,879 1.35 1.35 1.53 (0.71) 156
MID-CAP FUND
Class A
2006 $ 90,208 1.01% 1.01% 1.03% 0.67% 135%
2005 71,162 1.01 1.01 1.03 0.30 137
2004 53,642 1.00 1.00 1.02 0.53 121
2003 41,502 1.00 1.00 1.03 0.86 109
2002 25,499 1.00 1.00 1.02 0.39 222
U.S. MANAGED VOLATILITY FUND
Class A
2006 $ 303,523 1.11% 1.11% 1.27% 0.91% 133%
2005(6) 160,047 1.11 1.11 1.27 1.03 102
GLOBAL MANAGED VOLATILITY FUND
Class A
2006(7) $ 94,951 1.10% 1.10% 1.30% 1.22% 13%
REAL ESTATE FUND
Class A
2006 $ 192,674 1.11% 1.12% 1.27% 1.39% 65%
2005 96,405 1.11 1.11 1.27 1.95 58
2004(8) 35,008 1.10 1.10 1.30 2.20 98
ENHANCED INCOME FUND
Class A
2006(7) $ 235,981 0.60% 0.60% 1.10% 5.54% 70%
CORE FIXED INCOME FUND
Class A
2006 $4,293,309 0.63% 0.63% 0.84% 4.62% 478%
2005 4,094,011 0.61 0.61 0.84 3.83 557
2004 4,067,065 0.61** 0.61** 0.84 3.52 430
2003 3,823,429 0.60 0.60 0.84 3.77 470
2002 3,686,946 0.60 0.60 0.84 4.96 379
Class I
2006 $ 14,035 0.88% 0.88% 1.09% 4.37% 478%
2005 12,979 0.86 0.86 1.09 3.60 557
2004 10,420 0.86** 0.86** 1.09 3.25 430
2003 5,931 0.85 0.85 1.09 3.46 470
2002 4,268 0.85 0.85 1.09 4.52 379
HIGH YIELD BOND FUND
Class A
2006 $1,068,711 0.86% 0.86% 1.12% 7.69% 126%
2005 1,599,921 0.86 0.86 1.12 7.46 132
2004 1,197,554 0.85 0.85 1.11 7.84 179
2003 976,659 0.85 0.85 1.12 8.50 129
2002 745,525 0.85 0.85 1.12 8.67 126
+ Returns and turnover rates are for the period indicated and have not been
annualized.
+++ The expense ratios include dividend expense and interest expense on
securities sold short. Had these expenses been excluded the ratios would
have been 0.95% and 0.75% for Class A and Class I Shares, respectively.
* Amount represents less than $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 September 14, 2006. All ratios for the period have
been annualized.
(4) Commenced operations on April 8, 2002. All ratios for the period have been
annualized.
(5) Commenced operations on February 11, 2002. All ratios for the period have
been annualized.
(6) Commenced operations on October 28, 2004. All ratios for the period have
been annualized.
(7) Commenced operations on July 27, 2006. 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.
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 177
Notes to Financial Statements
September 30, 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 16 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 (formerly
the Managed Volatility Fund), Global Managed Volatility, Real Estate, Enhanced
Income, Core Fixed Income, High Yield Bond, Small/Mid Cap Equity and Real Return
Plus 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,
Mid-Cap, U.S. Managed Volatility, Global Managed Volatility, Real Estate,
Enhanced Income, Core Fixed Income, High Yield Bond, Small/Mid Cap Equity and
Real Return Plus Funds, and Class Y shares of Tax-Managed Large Cap Fund. The
assets of each Fund are segregated, and a shareholder's interest is limited to
the Fund in which shares are held. The Funds' prospectuses provide a description
of each Fund's investment objective, policies, and strategies.
As of September 30, 2006, the Small/Mid Cap Equity and Real Return Plus Funds
have 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 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.
- --------------------------------------------------------------------------------
178 SEI Institutional Managed Trust / Annual Report / September 30, 2006
SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are
recorded on the trade date. Costs used in determining net realized capital gains
and losses on the sale of securities are on the basis of specific
identification. Dividend income is recognized on the ex-dividend date, and
interest income is recognized using the accrual basis of accounting. Income from
payment-in-kind securities is recorded daily based on the effective interest
method of accrual.
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.
REVERSE REPURCHASE AGREEMENTS -- The Core Fixed Income Fund may issue reverse
repurchase agreements. A reverse repurchase agreement involves the sale of
portfolio assets together with an agreement to repurchase the same assets later
at a fixed price. Additional assets are maintained in an account with the
broker. The segregated assets may consist of cash, U.S. Government securities,
or other liquid securities at least equal in value to the obligations under the
reverse repurchase agreements. In the event the buyer of securities under a
reverse repurchase agreement files for bankruptcy or becomes insolvent, the
Fund's use of the proceeds under the agreement may be restricted pending a
determination by the other party, or its trustee or receiver, whether to enforce
the obligation to repurchase the securities. There were no reverse repurchase
agreements outstanding as of September 30, 2006.
COMPENSATING BALANCES -- Funds with cash overdrafts in excess of $100,000 are
required to leave 112% in compensating balance with US Bank (formerly 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 US Bank 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 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 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 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, Global Managed
Volatility, Enhanced Income 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 Assets and
Liabilities. At the year ended September 30, 2006, the Small Cap Growth Fund did
not have any forward foreign currency contracts outstanding.
FUTURES CONTRACTS -- All Funds, with the exception of the Real Estate and High
Yield Bond Funds, utilized futures contracts during the year or period ended
September 30, 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
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 179
Notes to Financial Statements (Continued)
September 30, 2006
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 Assets and Liabilities.
OPTION WRITING/PURCHASING -- Each Fund may invest in financial option contracts
for the purpose of hedging its existing fund securities, or securities that the
Fund intends to purchase, against fluctuations in fair value caused by changes
in prevailing market interest rates. 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 September 30, 2006 as disclosed in the Funds' 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 Assets and Liabilities.
Written option transactions entered into during the year or period ended
September 30, 2006 are summarized as follows:
- -------------------------------------------------------------------------------
Large Cap Diversified Alpha Core Fixed Income
- --------------------------------------------------------------------------------
Number of Premium Number of Premium
Contracts ($Thousands) Contracts ($Thousands)
- --------------------------------------------------------------------------------
Balance at the
beginning of period -- $-- 812 $ 332
Written 131 71 4,457 2,008
Expired -- -- (2,818) (1,117)
Closing Buys -- -- (940) (358)
- --------------------------------------------------------------------------------
Balance at the
end of period 131 $71 1,511 $ 865
- --------------------------------------------------------------------------------
At September 30, 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
- --------------------------------------------------------------------------------
180 SEI Institutional Managed Trust / Annual Report / September 30, 2006
Statement of Assets and Liabilities. Such risks involve the possibility that
there will be no liquid market for these agreements, that the counterparty to
the agreement may default on its obligation to perform and that there may be
unfavorable changes in the fluctuation of interest rates. Risks also arise from
potential losses from adverse market movements.
DELAYED DELIVERY TRANSACTIONS -- The Core Fixed Income Fund may purchase or sell
securities on a when-issued or delayed delivery basis. These transactions
involve a commitment by the Fund to purchase or sell securities for a
predetermined price or yield, with payment and delivery taking place beyond the
customary settlement period. When delayed delivery purchases are outstanding,
the Fund will set aside liquid assets in an amount sufficient to meet the
purchase price. When purchasing a security on a delayed delivery basis, the Fund
assumes the rights and risks of ownership of the security, including the risk of
price and yield fluctuations, and takes such fluctuations into account when
determining its net asset value. The Fund may dispose of or renegotiate a
delayed delivery transaction after it is entered into, and may sell when-issued
securities before they are delivered, which may result in a capital gain or
loss. When the Fund has sold a security on a delayed delivery basis, the Fund
does not participate in future gains and losses with respect to the security.
The total value of delayed delivery transactions as of September 30, 2006 was
$883,808 ($ Thousands)
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 September 30, 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 September 30, 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
BJ's Restaurants 85,800 03/10/05 03/10/05 $1,330 $1,888 0.17%
North American Oil Sands 300,000 05/30/06 05/30/06 3,277 3,227 0.29
Parkervision Warrants 17,500 06/20/05 06/20/05 36 33 0.00
Synenco Energy 37,852 08/19/05 08/19/05 438 513 0.04
Spatialight 100,000 01/12/06 01/12/06 262 209 0.02
------ ------ ----
$5,343 $5,870 0.52%
====== ====== ====
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, Enhanced Income and Real Estate Funds; are declared and paid
annually for the Global Managed Volatility Fund; 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.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 181
Notes to Financial Statements (Continued)
September 30, 2006
The Large Cap Diversified Alpha, Large Cap Value, Tax-Managed Small Cap, Small
Cap Value, Mid-Cap and U.S. Managed Volatility Funds utilized earnings and
profits distributed to shareholders on redemption of shares as a part of the
dividends paid deduction for income tax purposes.
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 cap ital 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 (formerly SEI Investments Funds Management) (the
"Administrator") are parties to an amended and restated Administration and
Transfer Agency Agreement dated December 10, 2003 under which the Administrator
provides administrative and transfer agency services to the Funds for an annual
fee of 0.35% of the average daily net assets of the Large Cap Diversified Alpha,
Tax-Managed Large Cap Class A, Large Cap Value, Large Cap Growth, Tax-Managed
Small Cap, Small Cap Value, Small Cap Growth, Mid-Cap, U.S. Managed Volatility,
Global Managed Volatility, Real Estate, Enhanced Income 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, exclusive 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%
Large Cap Diversified Alpha Fund, Class I 0.4000 1.2000
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
- --------------------------------------------------------------------------------
Voluntary
Advisory Expense
Fees Limitations
- --------------------------------------------------------------------------------
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
Global Managed Volatility Fund, Class A 0.6500 1.1000
Real Estate Fund, Class A 0.6500 1.1100
Enhanced Income Fund, Class A 0.4000 0.6000
Core Fixed Income Fund, Class A 0.2750 0.6400(1)
Core Fixed Income Fund, Class I 0.2750 0.8900(1)
High Yield Bond Fund, Class A 0.4875 0.8600
(1) 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 September 30, 2006, SIMC has entered into investment sub-advisory
agreements with the following parties:
- --------------------------------------------------------------------------------
Investment Sub-Adviser
- --------------------------------------------------------------------------------
LARGE CAP DIVERSIFIED ALPHA FUND
Analytic Investors, Inc.
Aronson + Johnson + Ortiz, LP
Delaware Management Company
Enhanced Investment Technologies, LLC
Quantitative Management Associates LLC
Smith Breeden Associates, Inc.
TAX-MANAGED LARGE CAP FUND
Alliance Capital Management LP
Aronson + Johnson + Ortiz, LP
Delaware Management Company
Goldman Sachs Asset Management, L.P.
LSV Asset Management
Montag and Caldwell, Inc.
Parametric Portfolio Associates
Quantitative Management Associates LLC
LARGE CAP VALUE FUND
Alliance Capital Management LP
Aronson + Johnson + Ortiz, LP
Enhanced Investment Technologies, LLC
LSV Asset Management
LARGE CAP GROWTH FUND
Delaware Management Company
Enhanced Investment Technologies, LLC
Goldman Sachs Asset Management, L.P.
Montag and Caldwell, Inc.
Quantitative Management Associates LLC
TAX-MANAGED SMALL CAP FUND
BlackRock Advisors, Inc.
David J. Greene and Company, LLC
Delaware Management Company
LSV Asset Management
Mazama Capital Management, Inc.
McKinley Capital Management Inc.
Parametric Portfolio Associates
SMALL CAP VALUE FUND
Artisan Partners Limited Partnership
BlackRock Advisors, Inc.
David J. Greene and Company, LLC
LSV Asset Management
- --------------------------------------------------------------------------------
182 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- --------------------------------------------------------------------------------
Investment Sub-Adviser
- --------------------------------------------------------------------------------
SMALL CAP VALUE FUND (CONTINUED)
Lee Munder Investments, Ltd.
Martingale Asset Management, L.P.
PanAgora Asset Management, Inc.*
Weiss, Peck & Greer Investments*
Wellington Management Company, LLP
SMALL CAP GROWTH FUND
Delaware Management Company
Lee Munder Investments, Ltd.
Martingale Asset Management, L.P.
Mazama Capital Management, Inc.
McKinley Capital Management Inc.
PanAgora Asset Management, Inc.*
Wellington Management Company, LLP
MID-CAP FUND
Martingale Asset Management, L.P.
U.S. MANAGED VOLATILITY FUND
Aronson + Johnson + Ortiz, LP
Analytic Investors, Inc.
GLOBAL MANAGED VOLATILITY FUND
Acadian Asset Management, Inc.
Analytic Investors, Inc.
REAL ESTATE FUND
Security Capital Research and Management Incorporated
Wellington Management Company, LLP
ENHANCED INCOME FUND
Highland Capital Management, L.P.
Record Currency Management Limited
Wellington Management Company, LLP
CORE FIXED INCOME FUND
Metropolitan West Asset Management LLC
Smith Breeden Associates, Inc.
Wells Capital Management, Inc.
Western Asset Management Company
Western Asset Management Company Limited
HIGH YIELD BOND FUND
ING Investment Management Co.
J.P. Morgan Investment Management, Inc.
Metropolitan West Asset Management LLC
Nomura Corporate Research and Asset Management Inc.
*As of September 30, 2006, these Managers were not yet funded.
Under the investment sub-advisory agreements, each party receives an
annual fee paid by SIMC.
PAYMENT BY AFFILIATE -- During the fiscal year ended September 30, 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-adviser agreed to reimburse the Fund for sub-advisory fees received since
their hiring in September 2005. During the fiscal year ended September 30, 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 $1,930 due to the purchase of shares in a specific company in
excess of the amount permitted under applicable Securities and Exchange
Commission rules. This amount is included in the net realized and unrealized
gain (loss) on investments section on the Statement of Operations. The
reimbursement has no impact on the Fund's total return.
DISTRIBUTION AGREEMENT -- SEI Investments Distribution Co. (the "Distributor"),
a wholly owned subsidiary of SEI Investments Company ("SEI"), serves as each
Fund's Distributor pursuant to a distribution agreement with the Trust. The
Trust has adopted a shareholder servicing plan for Class A, Class I and Class Y
shares (the "Shareholder Servicing Plans") under which a shareholder servicing
fee of up to 0.25% of average daily net assets attributable to Class A and Class
I shares, and a shareholder servicing fee of up to 0.15% of average daily net
assets attributable to Class Y shares, will be paid to the Distributor. In
addition to the Shareholder Servicing Plans, the Class I shares have adopted
administrative service plans that provide for administrative service fees
payable to the Distributor of up to 0.25% of the average daily net assets
attributed to that class.
OTHER -- The Distribution Agreement between the Distributor and the Trust
provides that the Distributor may receive compensation on fund transactions
effected for the Trust in accordance with the rules of the Securities and
Exchange Commission ("SEC"). Accordingly, it is expected that fund transactions
may result in brokerage commissions being paid to the Distributor. SEC rules
require that such commissions not exceed usual and customary commissions.
Such commissions for the year ended September 30, 2006 were as follows ($
Thousands):
Tax-Managed Large Cap Fund $ 196
Large Cap Value Fund 356
Large Cap Growth Fund 417
Tax-Managed Small Cap Fund 150
Small Cap Value Fund 389
Small Cap Growth Fund 259
Real Estate Fund 27
------
$1,794
======
Under both the Shareholder Servicing Plans and administrative service plan, the
Distributor may retain as profit any difference between the fee it receives and
the amount it pays to third parties. For the year ended September 30, 2006, the
Distributor retained 100% of the shareholder servicing fees, less the waiver,
and 100% of the administration servicing fees.
Certain officers and/or trustees of the Trust are also officers of the
Administrator or the Adviser. The Trust pays each unaffiliated Trustee an annual
fee for attendance at quarterly, interim and committee meetings. Compensation of
officers and affiliated Trustees of the Trust is paid by the Adviser or
Administrator.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 183
Notes to Financial Statements (Continued)
September 30, 2006
LSV Asset Management (a partially owned subsidiary of SIMC) serves as the
sub-adviser to the Tax-Managed Large Cap, Large Cap Value, Tax-Managed Small Cap
and Small Cap Value Funds. For this service LSV Asset Management is entitled to
receive a fee from SIMC. Such fees for the year ended September 30, 2006 were as
follows ($ Thousands):
Tax-Managed Large Cap Fund $ 301
Large Cap Value Fund 1,460
Tax-Managed Small Cap Fund 341
Small Cap Value Fund 545
------
$2,647
======
FEES PAID INDIRECTLY -- The Funds may direct certain fund trades to the
Distributor who pays a portion of the Fund's expenses. Accordingly, the expenses
reduced, which were used to pay third party expenses, and the effect on the
Fund's expense ratio, as a percentage of the Fund's average daily net assets for
the year ended September 30, 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.
4. CAPITAL SHARE TRANSACTIONS
Capital Share Transactions for the Funds were as follows (Thousands):
For the years or period ended September 30,
- -----------------------------------------------------------------------------------------------------------------------------
LARGE CAP DIVERSIFIED TAX-MANAGED LARGE CAP
ALPHA FUND(1) LARGE CAP FUND VALUE FUND
- -----------------------------------------------------------------------------------------------------------------------------
2006 2006 2005 2006 2005
- -----------------------------------------------------------------------------------------------------------------------------
Class A:
Shares Issued 115,472 33,862 34,030 26,779 33,561
Shares Issued in Lieu of Dividends & Distributions 576 1,534 1,942 14,126 4,168
Shares Redeemed (11,833) (32,596) (41,498) (69,601) (59,040)(2)
- -----------------------------------------------------------------------------------------------------------------------------
Total Class A Transactions 104,215 2,800 (5,526) (28,696) (21,311)
- -----------------------------------------------------------------------------------------------------------------------------
Class I:
Shares Issued 2 -- -- 465 279
Shares Issued in Lieu of Dividends & Distributions -- -- -- 85 20
Shares Redeemed -- -- -- (322) (216)
- -----------------------------------------------------------------------------------------------------------------------------
Total Class I Transactions 2 -- -- 228 83
- -----------------------------------------------------------------------------------------------------------------------------
Class Y:
Shares Issued -- 14 -- -- --
Shares Issued in Lieu of Dividends & Distributions -- 4 5 -- --
Shares Redeemed -- (89) (48) -- --
- -----------------------------------------------------------------------------------------------------------------------------
Total Class Y Transactions -- (71) (43) -- --
- -----------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Capital Share Transactions 104,217 2,729 (5,569) (28,468) (21,228)
- -----------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------
LARGE CAP TAX-MANAGED SMALL CAP
GROWTH FUND SMALL CAP FUND VALUE FUND
- -----------------------------------------------------------------------------------------------------------------------------
2006 2005 2006 2005 2006 2005
- -----------------------------------------------------------------------------------------------------------------------------
Class A:
Shares Issued 32,792 37,545 6,096 4,781 14,206 12,101
Shares Issued in Lieu of Dividends & Distributions 300 913 1,122 1,210 5,563 7,107
Shares Redeemed (71,571) (54,683) (3,751) (3,938) (14,670) (15,221)
- -----------------------------------------------------------------------------------------------------------------------------
Total Class A Transactions (38,479) (16,225) 3,467 2,053 5,099 3,987
- -----------------------------------------------------------------------------------------------------------------------------
Class I:
Shares Issued 383 334 -- -- 263 317
Shares Issued in Lieu of Dividends & Distributions -- 6 -- -- 68 67
Shares Redeemed (535) (453) -- -- (248) (150)
- -----------------------------------------------------------------------------------------------------------------------------
Total Class I Transactions (152) (113) -- -- 83 234
- -----------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Capital Share Transactions (38,631) (16,338) 3,467 2,053 5,182 4,221
- -----------------------------------------------------------------------------------------------------------------------------
(1) The Large Cap Diversified Alpha Fund commenced operations on December 14,
2005.
(2) Includes redemptions as a result of in-kind transfers of securities (see
note 9).
Amounts designated as "--" are zero or have been rounded to zero.
- --------------------------------------------------------------------------------
184 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- -------------------------------------------------------------------------------------------------------------------------
SMALL CAP MID-CAP U.S. MANAGED GLOBAL MANAGED
GROWTH FUND FUND VOLATILITY FUND(1) VOLATILITY FUND(3)
- -------------------------------------------------------------------------------------------------------------------------
2006 2005 2006 2005 2006 2005 2006
- -------------------------------------------------------------------------------------------------------------------------
Class A:
Shares Issued 20,574 17,025 3,896 2,758 17,714 15,432(2) 9,704
Shares Issued in Lieu of
Dividends & Distributions -- -- 342 292 366 58 --
Shares Redeemed (19,958) (21,881) (3,323) (2,551) (6,865) (1,457) (547)
- -------------------------------------------------------------------------------------------------------------------------
Total Class A Transactions 616 (4,856) 915 499 11,215 14,033 9,157
- -------------------------------------------------------------------------------------------------------------------------
Class I:
Shares Issued 228 311 -- -- -- -- --
Shares Issued in Lieu of
Dividends & Distributions -- -- -- -- -- -- --
Shares Redeemed (205) (252) -- -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------
Total Class I Transactions 23 59 -- -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Capital
Share Transactions 639 (4,797) 915 499 11,215 14,033 9,157
- -------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------
REAL ESTATE ENHANCED CORE FIXED HIGH YIELD
FUND INCOME FUND(3) INCOME FUND BOND FUND
- -------------------------------------------------------------------------------------------------------------------------
2006 2005 2006 2006 2005 2006 2005
- -------------------------------------------------------------------------------------------------------------------------
Class A:
Shares Issued 7,942 5,103 24,889 109,028 87,292 57,619 83,256
Shares Issued in Lieu of
Dividends & Distributions 375 156 -- 19,036 17,306 9,708 10,907
Shares Redeemed (4,351) (1,715) (1,550) (103,170) (94,180) (128,063) (45,595)
- -------------------------------------------------------------------------------------------------------------------------
Total Class A Transactions 3,966 3,544 23,339 24,894 10,418 (60,736) 48,568
- -------------------------------------------------------------------------------------------------------------------------
Class I:
Shares Issued -- -- -- 611 490 -- --
Shares Issued in Lieu of
Dividends & Distributions -- -- -- 58 48 -- --
Shares Redeemed -- -- -- (549) (273) -- --
- -------------------------------------------------------------------------------------------------------------------------
Total Class I Transactions -- -- -- 120 265 -- --
- -------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Capital
Share Transactions 3,966 3,544 23,339 25,014 10,683 (60,736) 48,568
- -------------------------------------------------------------------------------------------------------------------------
(1) The U.S. Managed Volatility Fund commenced operations on October 28, 2004.
(2) Includes subscriptions as a result of in-kind transfers of securities (see
note 9).
(3) The Global Managed Volatility and Enhanced Income Funds commenced
operations on July 27, 2006.
Amounts designated as "--" are zero or have been rounded to zero.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 185
Notes to Financial Statements (Continued)
September 30, 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 year or period ended
September 30, 2006, were as follows:
- --------------------------------------------------------------------------------
U.S. Gov't Other Total
($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
LARGE CAP DIVERSIFIED ALPHA FUND
Purchases .................. $ -- $ 1,538,380 $ 1,538,380
Sales ...................... -- 715,392 715,392
TAX-MANAGED LARGE CAP FUND
Purchases .................. -- 1,493,465 1,493,465
Sales ...................... -- 1,469,593 1,469,593
LARGE CAP VALUE FUND
Purchases .................. -- 2,193,703 2,193,703
Sales ...................... -- 3,098,534 3,098,534
LARGE CAP GROWTH FUND
Purchases .................. -- 3,205,018 3,205,018
Sales ...................... -- 4,012,760 4,012,760
TAX-MANAGED SMALL CAP FUND
Purchases .................. -- 227,184 227,184
Sales ...................... -- 203,704 203,704
SMALL CAP VALUE FUND
Purchases .................. -- 781,310 781,310
Sales ...................... -- 806,384 806,384
SMALL CAP GROWTH FUND
Purchases .................. -- 1,086,540 1,086,540
Sales ...................... -- 1,093,307 1,093,307
MID-CAP FUND
Purchases .................. -- 134,908 134,908
Sales ...................... -- 122,641 122,641
U.S. MANAGED VOLATILITY FUND
Purchases .................. -- 384,768 384,768
Sales ...................... -- 279,956 279,956
GLOBAL MANAGED VOLATILITY FUND
Purchases .................. -- 97,430 97,430
Sales ...................... -- 10,820 10,820
REAL ESTATE FUND
Purchases .................. -- 126,928 126,928
Sales ...................... -- 83,601 83,601
ENHANCED INCOME FUND
Purchases .................. 57,790 83,707 141,497
Sales ...................... 40,456 17,501 57,957
CORE FIXED INCOME FUND
Purchases .................. 17,459,659 1,526,913 18,986,572
Sales ...................... 17,336,336 1,778,162 19,114,498
HIGH YIELD BOND FUND
Purchases .................. 15,627 1,212,605 1,228,232
Sales ...................... 12,187 1,622,516 1,634,703
For the year or period ended September 30, 2006, the following Funds effected
transactions with other Funds. The purchases, sales transactions and the net
realized gains/(losses) on sales of securities, executed at independently
derived prices pursuant to Rule 17a-7 under the Investment Company Act of 1940,
were:
- --------------------------------------------------------------------------------
Purchases Sales Gain/(Loss)
($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Large Cap Diversified Alpha Fund $ 658,979 $ -- $ --
Large Cap Value Fund -- 330,714 32,431
Large Cap Growth Fund -- 328,265 28,169
Small Cap Value Fund -- 10,000 1,026
Enhanced Income Fund 71,002 -- --
High Yield Bond Fund -- 689,107 (21,935)
6. FEDERAL TAX INFORMATION
It is each Fund's intention to continue to qualify as a regulated investment
company under Subchapter M of The Internal Revenue Code and distribute all of
its taxable income (including net capital gains). Accordingly, no provision for
Federal income taxes is required.
Dividends from net investment income and distributions from net realized capital
gains are determined in accordance with U.S. Federal income tax regulations,
which may differ from those amounts determined under accounting principles
generally accepted in the United States. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are permanent,
they are charged or credited to paid-in capital, undistributed net investment
income or accumulated net realized gain, as appropriate, in the period that the
differences arise. Accordingly, the following permanent differences, primarily
attributable to different treatment for gains and losses on paydowns of
mortgage- and asset-backed securities for tax purposes, return of capital, REIT
income reclassification and utilization of earnings and profits on shareholder
redemptions and net operating losses have been reclassified to/from the
following accounts as of September 30, 2006:
- --------------------------------------------------------------------------------
Undistributed Accumulated
Paid-in Net Investment Realized
Capital Income/(Loss) Gain/(Loss)
($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Large Cap Diversified Alpha Fund $ 615 $ 112 $ (727)
Tax-Managed Large Cap Fund -- 39 (39)
Large Cap Value Fund 49,443 80 (49,523)
Large Cap Growth Fund -- 10 (10)
Tax-Managed Small Cap Fund 1,606 31 (1,637)
Small Cap Value Fund 14,020 522 (14,542)
Small Cap Growth Fund (4,495) 4,619 (124)
Mid-Cap Fund 2,557 28 (2,585)
U.S. Managed Volatility 1,751 18 (1,769)
Global Managed Volatility Fund -- 396 (396)
Real Estate Fund* -- 1,008 (1,008)
Enhanced Income Fund -- (7) 7
Core Fixed Income Fund -- 159 (159)
High Yield Bond Fund -- 211 (211)
*Information reflects Fund activity based on Fund's December 31, 2005 tax
reporting year.
- --------------------------------------------------------------------------------
186 SEI Institutional Managed Trust / Annual Report / September 30, 2006
The tax character of dividends and distributions paid during the years or period
ended September 30, 2006 and September 30, 2005 was as follows:
- ---------------------------------------------------------------------------------------------
Ordinary Long-term
Income Capital Gain Total
($ Thousands) ($ Thousands) $ Thousands)
- ---------------------------------------------------------------------------------------------
Large Cap Diversified Alpha Fund 2006 $ 5,836 $ -- $ 5,836
Tax-Managed Large Cap Fund 2006 19,664 -- 19,664
2005 22,762 -- 22,762
Large Cap Value Fund 2006 109,621 203,649 313,270
2005 88,105 4,927 93,032
Large Cap Growth Fund 2006 6,263 -- 6,263
2005 17,915 -- 17,915
Tax-Managed Small Cap Fund 2006 4,108 10,936 15,044
2005 1,893 13,691 15,584
Small Cap Value Fund 2006 38,571 77,086 115,657
2005 58,192 90,972 149,164
Small Cap Growth Fund 2006 -- -- --
2005 -- -- --
Mid-Cap Fund 2006 4,046 3,186 7,232
2005 2,402 3,479 5,881
U.S. Managed Volatility Fund 2006 4,098 102 4,200
2005 635 6 641
Global Managed Volatility Fund 2006 -- -- --
Real Estate Fund 2006 4,354 1,919 6,273
2005 1,959 220 2,179
Enhanced Income Fund 2006 -- -- --
Core Fixed Income Fund 2006 194,350 13,007 207,357
2005 171,693 23,897 195,590
High Yield Bond Fund 2006 89,029 -- 89,029
2005 100,331 -- 100,331
As of September 30, 2006, the components of Distributable Earnings/(Accumulated
Losses) were as follows:
- ------------------------------------------------------------------------------------------------------------------------------------
Total
Distributable
Undistributed Undistributed Capital Post Unrealized Other Earnings/
Ordinary Long-Term Loss October Appreciation Temporary (Accumulated
Income Capital Gain Carryforwards Losses (Depreciation) Differences Losses)
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- ------------------------------------------------------------------------------------------------------------------------------------
Large Cap Diversified
Alpha Fund $ 3,969 $ 2,954 $ -- $ (1) $ 31,206 $ (61) $ 38,067
Tax-Managed Large Cap Fund 5,081 -- (426,770) -- 470,018 (1) 48,328
Large Cap Value Fund 37,892 265,434 -- -- 737,626 -- 1,040,952
Large Cap Growth Fund 843 -- (1,283,428) (28,217) 374,094 -- (936,708)
Tax-Managed Small Cap Fund 2,629 17,421 -- -- 43,166 -- 63,216
Small Cap Value Fund 20,231 85,277 -- -- 155,011 -- 260,519
Small Cap Growth Fund -- -- (36,498) -- 30,207 -- (6,291)
Mid-Cap Fund 371 5,399 -- -- 7,785 -- 13,555
U.S. Managed Volatility Fund 4,375 3,837 -- -- 15,534 -- 23,746
Global Managed Volatility Fund 1,264 15 -- -- 2,151 (266) 3,164
Real Estate Fund* 572 8,248 -- -- 37,237 -- 46,057
Enhanced Income Fund 2,456 -- -- (478) 748 (406) 2,320
Core Fixed Income Fund 17,472 -- (18,435) (46,207) 18,099 (17,918) (46,989)
High Yield Bond Fund 7,291 -- (133,914) (30,072) (9,221) (6,793) (172,709)
*Information reflects Fund activity based on Fund's December 31, 2005 tax
reporting year.
Post October losses represent losses realized on investment transactions from
November 1, 2005 through September 30, 2006 that, in accordance with Federal
income tax regulations, the Funds may defer and treat as having arisen in the
following fiscal year. For Federal income tax purposes, capital loss
carryforwards may be carried forward and applied against future capital gains as
follows:
- -------------------------------------------------------------------------------------------------------
Total Capital
Expires Expires Expires Expires Loss
2014 2012 2011 2010 Carryforwards
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------------------------------
Tax-Managed Large Cap Fund $ -- $ 16,066 $ 203,461 $ 207,243 $ 426,770
Large Cap Growth Fund -- 7,113 625,971 650,344 1,283,428
Small Cap Growth Fund -- -- 36,498 -- 36,498
Core Fixed Income Fund 18,435 -- -- -- 18,435
High Yield Bond Fund 8,149 -- 57,114 68,651 133,914
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 187
Notes to Financial Statements (Concluded)
September 30, 2006
During the year ended September 30, 2006, the Tax-Managed Large Cap, Large Cap
Growth and Small Cap Growth Funds utilized $51,847,526, $104,070,991 and
$60,625,876, respectively, of capital loss carryforward to offset capital gains.
For Federal income tax purposes, the cost of securities owned at September 30,
2006, and the net realized gains or losses on securities sold for the period,
were different from amounts reported for financial reporting purposes, primarily
due to wash sales which cannot be used for Federal income tax purposes in the
current year and have been deferred for use in future years. The Federal tax
cost and aggregate gross unrealized appreciation and depreciation on investments
held by the Funds at September 30, 2006, were as follows:
- ----------------------------------------------------------------------------------------
Net Unrealized
Federal Appreciated Depreciated Appreciation
Tax Cost Securities Securities (Depreciation)
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- ----------------------------------------------------------------------------------------
Large Cap Diversified
Alpha Fund $1,184,020 $ 62,890 $ (35,310) $ 27,580
Tax-Managed
Large Cap Fund 2,209,470 519,985 (49,967) 470,018
Large Cap Value
Fund 3,500,913 801,606 (63,980) 737,626
Large Cap Growth
Fund 3,391,395 535,013 (160,919) 374,094
Tax-Managed
Small Cap Fund 406,574 55,148 (11,982) 43,166
Small Cap Value
Fund 1,320,747 210,688 (55,677) 155,011
Small Cap Growth
Fund 1,461,690 140,739 (110,532) 30,207
Mid-Cap Fund 93,442 9,781 (1,996) 7,785
U.S. Managed
Volatility Fund 286,168 20,995 (5,461) 15,534
Global Managed
Volatility Fund 90,521 3,282 (1,434) 1,848
Real Estate Fund 139,943 37,964 (727) 37,237
Enhanced Income
Fund 256,198 753 (411) 342
Core Fixed Income
Fund 6,025,486 62,165 (43,511) 18,654
High Yield Bond
Fund 1,153,690 17,092 (27,280) (10,188)
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 --
- --------------------------------------------------------------------------------
188 SEI Institutional Managed Trust / Annual Report / September 30, 2006
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 ("BAA") and other defendants relating
to Notes issued by Duty Free International which are held by the Fund. BAA is
the former parent company of Duty Free International. The plaintiffs in that
action have since settled with all defendants with the exception of BAA. The
litigation proceeded to jury trial against BAA 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 limitations
of the Fund.
11. NEW ACCOUNTING PRONOUNCEMENTS
In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB
interpretation 48 ("FIN 48"), "Accounting for Uncertainty in Income Taxes." This
standard defines the threshold for recognizing the benefits of tax-return
positions in the financial statements as "more-likely-than-not" to be sustained
by the taxing authority and requires measurement of a tax position meeting the
more-likely-than-not criterion, based on the largest benefit that is more than
50 percent likely to be realized. FIN 48 is effective as of the beginning of the
first fiscal year beginning after December 15, 2006. At adoption, companies must
adjust their financial statements to reflect only those tax positions that are
more-likely-than-not to be sustained as of the adoption date. As of September
30, 2006, the Funds have not evaluated the impact that will result, if any, from
adopting FIN 48.
In September 2006, the FASB issued Statement on Financial Accounting Standards
("SFAS") No. 157, "Fair Value Measurements". This standard establishes a single
authoritative definition of fair value, sets out a framework for measuring fair
value and requires additional disclosures about fair value measurements. SFAS
No. 157 applies to fair value measurements already required or permitted by
existing standards. SFAS No. 157 is effective for financial statements issued
for fiscal years beginning after November 15, 2007 and interim periods within
those fiscal years. The changes to current generally accepted accounting
principles from the application of this Statement relate to the definition of
fair value, the methods used to measure fair value, and the expanded disclosures
about fair value measurements. As of September 30, 2006, the Funds do not
believe the adoption of SFAS No. 157 will impact the amounts reported in the
financial statements, however, additional disclosures may be required about the
inputs used to develop the measurements and the effect of certain of the
measurements reported in the financial statements for a fiscal period.
12. SUBSEQUENT EVENT
On November 1, 2006, the Board approved a change in investment policies for the
Small/Mid Cap Equity Fund. The Board also approved a name change from Small/Mid
Cap Equity Fund to Small/Mid Cap Diversified Alpha Fund. As of November 21, 2006
the Small/Mid Cap Diversified Alpha Fund had not yet commenced operations.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 189
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of
SEI Institutional Managed Trust
We have audited the accompanying statements of assets and liabilities, including
the schedules of investments of SEI Institutional Managed Trust, comprising 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, Global Managed Volatility, Real Estate, Enhanced Income,
Core Fixed Income and High Yield Bond Funds (collectively, the "Funds"), as of
September 30, 2006, and the related statements of operations, changes in net
assets and the financial highlights for the year or period then ended. These
financial statements and financial highlights are the responsibility of the
Funds' management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits. The
statements of changes in net assets and the financial highlights of the
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 and High Yield Bond Funds for the years or periods
ended September 30, 2005 and prior, were audited by other auditors. Those
auditors expressed an unqualified opinion on those statements of changes in net
assets and financial highlights in their report dated November 28, 2005.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements. Our procedures included confirmation of
securities owned as of September 30, 2006, by correspondence with the custodians
and brokers. As to securities purchased or sold but not yet received or
delivered, we performed other appropriate auditing procedures. An audit also
includes assessing the accounting principles used and significant estimates made
by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the portfolios comprising SEI Institutional Managed Trust as of September 30,
2006, the results of their operations, the changes in their net assets and the
financial highlights for the year or period then ended, in conformity with U.S.
generally accepted accounting principles.
/s/ KPMG LLP
Philadelphia, Pennsylvania
November 27, 2006
- --------------------------------------------------------------------------------
190 SEI Institutional Managed Trust / Annual Report / September 30, 2006
TRUSTEES AND OFFICERS OF THE TRUST (Unaudited)
The following chart lists Trustees and Officers as of November 24, 2006.
Set forth below are the names, addresses, ages, position with the Trust, Term of
Office and Length of Time Served, the principal occupations for the last five
years, number of portfolios in fund complex overseen by trustee, and other
directorships outside the fund complex of each of the persons currently serving
as Trustees and Officers of the Trust. The Trust's Statement of Additional
Information ("SAI") includes additional information about the Trustees and
Officers. The SAI may be obtained without charge by calling 1-800-342-5734.
- ------------------------------------------------------------------------------------------------------------------------------------
TERM OF NUMBER OF
OFFICE PORTFOLIOS
AND PRINCIPAL IN FUND
NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS
ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY
AND AGE TRUSTS SERVED 1 FIVE YEARS BY TRUSTEE 2 TRUSTEE
- ------------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES
- -------------------
Robert A. Nesher Chairman since 1982 Currently performs various 72 Trustee of The Advisors' Inner
One Freedom of the services on behalf of SEI Circle Fund, The Advisors'
Valley Drive, Board of Investments for which Mr. Inner Circle Fund II, Bishop
Oaks, PA 19456 Trustees* Nesher is compensated. Street Funds, Director of SEI
60 yrs. old Global Master Fund, plc, SEI
Global Assets Fund, plc, SEI
Global Investments Fund, plc,
SEI Investments Global,
Limited, SEI Investments --
Global Fund Services, Limited,
SEI Investments (Europe),
Limited, SEI Investments --
Unit Trust Management (UK),
Limited, SEI Global Nominee
Ltd., SEI Opportunity Master
Fund, L.P., SEI Opportunity
Fund, L.P. and SEI Multi-
Strategy Funds plc.
- ------------------------------------------------------------------------------------------------------------------------------------
William M. Doran Trustee* since 1982 Self-employed consultant since 72 Trustee of The Advisors' Inner
1701 Market Street 2003. Partner, Morgan, Lewis & Circle Fund, The Advisors'
Philadelphia, PA Bockius LLP (law firm) from 1976 Inner Circle Fund II, Director
19103 to 2003, counsel to the Trust, of SEI since 1974. Director of
66 yrs. old SEI, SIMC, the Administrator and the Distributor since 2003.
the Distributor. Secretary of Director of SEI Investments --
SEI since 1978. Global Fund Services, Limited,
SEI Investments Global,
Limited, SEI Investments
(Europe), Limited, SEI
Investments (Asia), Limited
and SEI Asset Korea Co., Ltd.
- ------------------------------------------------------------------------------------------------------------------------------------
TRUSTEES
- --------
F. Wendell Gooch Trustee since 1982 Retired 72 Trustee of STI Classic Funds
One Freedom and STI Classic Variable
Valley Drive, Trust.
Oaks, PA 19456
73 yrs. old
- ------------------------------------------------------------------------------------------------------------------------------------
James M. Storey Trustee since 1995 Attorney, sole practitioner 72 Trustee of The Advisors' Inner
One Freedom since 1994. Partner, Dechert Circle Fund, The Advisors'
Valley Drive, Price & Rhoads, September 1987- Inner Circle Fund II,
Oaks, PA 19456 December 1993. Massachusetts Health and
75 yrs. old Education Tax-Exempt Trust,
and U.S. Charitable Gift
Trust.
- ------------------------------------------------------------------------------------------------------------------------------------
*MESSRS. NESHER AND DORAN ARE TRUSTEES WHO MAY BE DEEMED AS "INTERESTED"
PERSONS OF THE TRUST AS THAT TERM IS DEFINED IN THE 1940 ACT BY VIRTUE OF
THEIR AFFILIATION WITH SIMC AND THE TRUST'S DISTRIBUTOR.
1EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE
ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR UNTIL HE OR SHE SOONER
DIES, RESIGNS OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S DECLARATION OF
TRUST.
2THE FUND COMPLEX INCLUDES THE FOLLOWING TRUSTS: SEI ASSET ALLOCATION TRUST, SEI
DAILY INCOME TRUST, SEI INDEX FUNDS, SEI INSTITUTIONAL INVESTMENTS TRUST, SEI
INSTITUTIONAL INTERNATIONAL TRUST, SEI INSTITUTIONAL MANAGED TRUST, SEI LIQUID
ASSET TRUST AND SEI TAX EXEMPT TRUST.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 191
TRUSTEES AND OFFICERS OF THE TRUST (Unaudited) (Concluded)
- ------------------------------------------------------------------------------------------------------------------------------------
TERM OF NUMBER OF
OFFICE PORTFOLIOS
AND PRINCIPAL IN FUND
NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS
ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY
AND AGE TRUSTS SERVED 1 FIVE YEARS BY TRUSTEE 2 TRUSTEE
- ------------------------------------------------------------------------------------------------------------------------------------
TRUSTEES (CONTINUED)
- --------
George J. Sullivan, Jr. Trustee since 1996 Self-Employed Consultant, 72 Trustee of The Advisors' Inner
One Freedom Newfound Consultants Inc. since Circle Fund, The Advisors'
Valley Drive April 1997. Inner Circle Fund II, State
Oaks, PA 19456 Street Navigator Securities
63 yrs. old Lending Trust, SEI Opportunity
Master Fund, L.P., and SEI
Opportunity Fund, L.P.
- ------------------------------------------------------------------------------------------------------------------------------------
Rosemarie B. Greco Trustee since 1999 Director, Governor's Office of 72 Director, Sonoco, Inc.;
One Freedom` Health Care Reform, Commonwealth Director, Exelon Corporation;
Valley Drive of Pennsylvania since 2003. Trustee, Pennsylvania Real
Oaks, PA 19456 Founder and Principal, Estate Investment Trust.
60 yrs. old Grecoventures Ltd. from 1999 to
2002.
- ------------------------------------------------------------------------------------------------------------------------------------
Nina Lesavoy Trustee since 2003 Managing Partner, Cue Capital 72 Director of SEI Opportunity
One Freedom since March 2002, Managing Master Fund, L.P., and SEI
Valley Drive, Partner and Head of Sales, Opportunity Fund, L.P.
Oaks, PA 19456 Investorforce, March
49 yrs. old 2000-December 2001; Global
Partner working for the CEO,
Invesco Capital, January
1998-January 2000. Head of Sales
and Client Services, Chancellor
Capital and later LGT Asset
Management, 1986-2000.
- ------------------------------------------------------------------------------------------------------------------------------------
James M. Williams Trustee since 2004 Vice President and Chief 72 Trustee/Director of Ariel
One Freedom Investment Officer, J. Paul Mutual Funds, SEI Opportunity
Valley Drive, Getty Trust, Non-Profit Master Fund, L.P., and SEI
Oaks, PA 19456 Foundation for Visual Arts, Opportunity Fund, L.P.
59 yrs. old since December 2002. President,
Harbor Capital Advisors and
Harbor Mutual Funds, 2000-2002.
Manager, Pension Asset
Management, Ford Motor Company,
1997-1999.
- ------------------------------------------------------------------------------------------------------------------------------------
OFFICERS
- --------
Robert A. Nesher President since 2005 Currently performs various N/A N/A
One Freedom & CEO services on behalf of SEI for
Valley Drive, which Mr. Nesher is compensated.
Oaks, PA 19456
60 yrs. old
- ------------------------------------------------------------------------------------------------------------------------------------
Stephen F. Panner Controller and since 2005 Fund Accounting Director of the N/A N/A
One Freedom Chief Administrator since 2005. Fund
Valley Drive, Financial Administration Manager, Old
Oaks, PA 19456 Officer Mutual Fund Services, 2000-2005.
36 yrs. old Chief Financial Officer,
Controller and Treasurer, PBHG
Funds and PBHG Insurance Series
Fund, 2004-2005. Assistant
Treasurer, PBHG Funds and PBHG
Insurance Series Fund,
2000-2004. Assistant Treasurer,
Old Mutual Fund Advisors Fund,
2004-2005.
- ------------------------------------------------------------------------------------------------------------------------------------
Russell Emery Chief since 2006 Chief Compliance Officer of SEI N/A N/A
One Freedom Compliance Opportunity Master Fund, L.P.,
Valley Drive Officer SEI Opportunity Fund, L.P.,
Oaks, PA 19456 Bishop Street Funds, SEI
43 yrs. old Institutional Managed Trust, SEI
Asset Allocation Trust, SEI
Institutional International
Trust, SEI Index Funds, SEI
Liquid Asset Trust, SEI Daily
Income Trust, SEI Tax Exempt
Trust, SEI Institutional
Investments Trust, The Advisors'
Inner Circle Fund and the
Advisors' Inner Circle Fund II,
since March 2006. Director of
Investment Product Management
and Development of SIMC,
February 2003-March 2006. Senior
Investment Analyst--Equity Team
of SEI, March 2000-February 2003.
- --------------------------------------------------------------------------------
192 SEI Institutional Managed Trust / Annual Report / September 30, 2006
- ------------------------------------------------------------------------------------------------------------------------------------
TERM OF NUMBER OF
OFFICE PORTFOLIOS
AND PRINCIPAL IN FUND
NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS
ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY
AND AGE TRUSTS SERVED 1 FIVE YEARS BY TRUSTEE 2 TRUSTEE
- ------------------------------------------------------------------------------------------------------------------------------------
OFFICERS (CONTINUED)
- --------
Timothy D. Barto Vice since 2002 General Counsel, Vice President N/A N/A
One Freedom President and Secretary of SIMC and the
Valley Drive and Administrator since 2004. Vice
Oaks, PA 19456 Secretary President and Assistant
38 yrs. old Secretary of SEI since 2001.
Vice President of SIMC and the
Administrator since 1999.
Assistant Secretary of SIMC, the
Administrator and the
Distributor and Vice President
of the Distributor, 1999-2003.
- ------------------------------------------------------------------------------------------------------------------------------------
Sofia A. Rosala Vice since 2004 Vice President and Assistant N/A N/A
One Freedom President Secretary of SIMC and the
Valley Drive and Administrator since 2005.
Oaks, PA 19456 Assistant Compliance Officer of SEI,
32 yrs. old Secretary September 2001-2004. Account and
Product Consultant, SEI Private
Trust Company, 1998-2001.
- ------------------------------------------------------------------------------------------------------------------------------------
James Ndiaye Vice since 2005 Vice President and Assistant N/A N/A
One Freedom President Secretary of SIMC since 2005.
Valley Drive and Vice President, Deutsche Asset
Oaks, PA 19456 Assistant Management (2003-2004).
38 yrs. old Secretary Associate, Morgan, Lewis &
Bockius LLP (2000-2003).
Assistant Vice President, ING
Variable Annuities Group
(1999-2000).
- ------------------------------------------------------------------------------------------------------------------------------------
Michael T. Pang Vice since 2005 Vice President and Assistant N/A N/A
One Freedom President Secretary of SIMC since 2005.
Valley Drive and Counsel, Caledonian Bank &
Oaks, PA 19456 Assistant Trust's Mutual Funds Group
34 yrs. old Secretary (2004). Counsel, Permal Asset
Management (2001-2004).
Associate, Schulte, Roth &
Zabel's Investment Management
Group (2000-2001). Staff
Attorney, U.S. SEC's Division of
Enforcement, Northeast Regional
Office (1997-2000).
- ------------------------------------------------------------------------------------------------------------------------------------
John J. McCue Vice since 2004 Director of Portfolio N/A N/A
One Freedom President Implementations for SIMC since
Valley Drive 1995. Managing Director of Money
Oaks, PA 19456 Market Investments for SIMC
43 yrs. old since 2003.
- ------------------------------------------------------------------------------------------------------------------------------------
Nicole Welch Anti-Money since 2005 Assistant Vice President and N/A N/A
One Freedom Laundering Anti-Money Laundering Compliance
Valley Drive Compliance Coordinator of SEI since 2005.
Oaks, PA 19456 Officer Compliance Analyst, TD
29 yrs. old Waterhouse (2004). Senior
Compliance Analyst, UBS
Financial Services (2002-2004).
Knowledge Management Analyst,
PriceWaterhouseCoopers
Consulting (2000-2002).
- ------------------------------------------------------------------------------------------------------------------------------------
1EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE
ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR UNTIL HE OR SHE SOONER
DIES, RESIGNS OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S DECLARATION OF
TRUST.
2THE FUND COMPLEX INCLUDES THE FOLLOWING TRUSTS: SEI ASSET ALLOCATION TRUST, SEI
DAILY INCOME TRUST, SEI INDEX FUNDS, SEI INSTITUTIONAL INVESTMENTS TRUST, SEI
INSTITUTIONAL INTERNATIONAL TRUST, SEI INSTITUTIONAL MANAGED TRUST, SEI LIQUID
ASSET TRUST AND SEI TAX EXEMPT TRUST.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 193
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.
- --------------------------------------------------------------------------------
194 SEI Institutional Managed Trust / Annual Report / September 30, 2006
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
4/1/06 9/30/06 RATIOS PERIOD*
- ---------------------------------------------------------------------------------------------
LARGE CAP DIVERSIFIED ALPHA FUND
- ---------------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,015.70 0.95% $4.80
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,020.31 0.95% $4.81
- ---------------------------------------------------------------------------------------------
TAX-MANAGED LARGE CAP FUND
- ---------------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,017.80 0.86% $4.35
Class Y Shares $1,000.00 $1,018.60 0.56% $2.83
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,020.76 0.86% $4.36
Class Y Shares $1,000.00 $1,022.26 0.56% $2.84
- ---------------------------------------------------------------------------------------------
LARGE CAP VALUE FUND
- ---------------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,063.10 0.86% $4.45
Class I Shares $1,000.00 $1,061.50 1.11% $5.74
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,020.76 0.86% $4.36
Class I Shares $1,000.00 $1,019.50 1.11% $5.62
- ---------------------------------------------------------------------------------------------
LARGE CAP GROWTH FUND
- ---------------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 974.70 0.86% $4.26
Class I Shares $1,000.00 $ 973.40 1.11% $5.49
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,020.76 0.86% $4.36
Class I Shares $1,000.00 $1,019.50 1.11% $5.62
- ---------------------------------------------------------------------------------------------
TAX-MANAGED SMALL CAP FUND
- ---------------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 935.00 1.11% $5.38
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,019.50 1.11% $5.62
- ---------------------------------------------------------------------------------------------
SMALL CAP VALUE FUND
- ---------------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 987.20 1.11% $5.53
Class I Shares $1,000.00 $ 986.60 1.36% $6.77
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,019.50 1.11% $5.62
Class I Shares $1,000.00 $1,018.25 1.36% $6.88
- ---------------------------------------------------------------------------------------------
SMALL CAP GROWTH FUND
- ---------------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 895.80 1.11% $5.28
Class I Shares $1,000.00 $ 895.00 1.36% $6.46
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,019.50 1.11% $5.62
Class I Shares $1,000.00 $1,018.25 1.36% $6.88
- ---------------------------------------------------------------------------------------------
MID-CAP FUND
- ---------------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 977.90 1.01% $5.01
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,020.00 1.01% $5.11
- ---------------------------------------------------------------------------------------------
U.S. MANAGED VOLATILITY FUND
- ---------------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,032.00 1.11% $5.65
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,019.50 1.11% $5.62
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
4/1/06 9/30/06 RATIOS PERIOD*
- ---------------------------------------------------------------------------------------------
REAL ESTATE FUND
- ---------------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,071.00 1.11% $5.76
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,019.50 1.11% $5.62
- ---------------------------------------------------------------------------------------------
CORE FIXED INCOME FUND
- ---------------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,036.90 0.64% $3.27
Class I Shares $1,000.00 $1,035.60 0.89% $4.54
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,021.86 0.64% $3.24
Class I Shares $1,000.00 $1,020.61 0.89% $4.51
- ---------------------------------------------------------------------------------------------
HIGH YIELD BOND FUND
- ---------------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,030.90 0.86% $4.38
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,020.76 0.86% $4.36
*Expenses are equal to the Fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by 183/365 (to reflect
one-half year period shown).
- ---------------------------------------------------------------------------------------------
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
9/14/06(1) 9/30/06 RATIOS PERIOD
- ---------------------------------------------------------------------------------------------
LARGE CAP DIVERSIFIED ALPHA FUND
- ---------------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class I Shares $1,000.00 $1,009.70 1.20% $0.56*
HYPOTHETICAL 5% RETURN
Class I Shares $1,000.00 $1,019.05 1.20% $6.07**
(1) Date of inception.
* Expenses are equal to the Fund's annualized expense ratio multiplied by
the average account value over the period, multiplied by 17/365 (to
reflect the period since inception).
** Expenses are equal to the Fund's annualized expense ratio multiplied by
the average account value over the period, multiplied by 183/365 (to
reflect one-half year period shown).
- ---------------------------------------------------------------------------------------------
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
7/27/06(1) 9/30/06 RATIOS PERIOD
- ---------------------------------------------------------------------------------------------
GLOBAL MANAGED VOLATILITY FUND
- ---------------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 1,037.00 1.10% $ 2.03*
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,019.65 1.10% $ 5.57**
- ---------------------------------------------------------------------------------------------
ENHANCED INCOME FUND
- ---------------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 1,011.00 0.60% $ 1.09*
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,022.06 0.60% $ 3.04**
(1) Date of inception.
* Expenses are equal to the Fund's annualized expense ratio multiplied by
the average account value over the period, by 66/365 (to reflect the
period multiplied since inception).
** Expenses are equal to the Fund's annualized expense ratio multiplied by
the average account value over the period, multiplied by 183/365 (to
reflect one-half year period shown).
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 195
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 charges to comparable mutual funds; (f) a Fund's overall fees
and operating expenses compared with similar mutual funds; (g) the level of
SIMC's and each Sub-Adviser's profitability from its Fund-related operations;
(h) SIMC's and the Sub-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.
- --------------------------------------------------------------------------------
196 SEI Institutional Managed Trust / Annual Report / September 30, 2006
At the December 7, 2005, December 8, 2005, March 8, 2006, June 22, 2006 and
September 21, 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.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 197
Board of Trustees Considerations in Approving the Advisory and Sub-Advisory
Agreements (Unaudited) (Concluded)
PROFITABILITY. With regard to profitability, the Trustees considered all
compensation flowing to SIMC and the Sub-Advisers and their affiliates, directly
or indirectly. The Trustees considered whether the varied levels of compensation
and profitability under the Investment Advisory Agreements and other service
agreements were reasonable and justified in light of the quality of all services
rendered to the Funds by SIMC and the Sub-Advisers and their affiliates. Based
on this evaluation, the Board concluded that, within the context of its full
deliberations, the profitability of SIMC and the Sub-Advisers is reasonable and
supported renewal of the Investment Advisory Agreements.
ECONOMIES OF SCALE. The Trustees considered the existence of any economies of
scale and whether those were passed along to a Fund's shareholders through a
graduated investment advisory fee schedule or other means, including any fee
waivers by SIMC and its affiliates. Based on this evaluation, the Board
concluded that, within the context of its full deliberations, the Funds obtain
reasonable benefit from economies of scale.
Based on the Trustees' deliberation and their evaluation of the information
described above, the Board, including all of the Independent Trustees,
unanimously approved the continuation of the Investment Advisory Agreements and
concluded that the compensation under the Investment Advisory Agreements is fair
and reasonable in light of such services and expenses and such other matters as
the Trustees considered to be relevant in the exercise of their reasonable
judgment. In the course of their deliberations, the Trustees did not identify
any particular information that was all-important or controlling.
- --------------------------------------------------------------------------------
198 SEI Institutional Managed Trust / Annual Report / September 30, 2006
Notice to Shareholders (Unaudited)
For shareholders who do not have a September 30, 2006, taxable year end, this
notice is for informational purposes only. For shareholders with a September 30,
2006, taxable year end, please consult your tax adviser as to the pertinence of
this notice.
For the fiscal year ended September 30, 2006, the Funds are designating long
term and qualifying dividend income with regard to distributions paid during the
year as follows:
- -----------------------------------------------------------------------------------------------------------------
(C)
(B) DIVIDENDS
(A) ORDINARY QUALIFYING
LONG-TERM INCOME TOTAL FOR CORPORATE
CAPITAL GAIN DISTRIBUTIONS DISTRIBUTIONS DIVIDENDS REC.
FUND DISTRIBUTION (TAX BASIS) (TAX BASIS) DEDUCTION (1)
- -----------------------------------------------------------------------------------------------------------------
Large Cap Diversified Alpha Fund 2% 98% 100% 78%
Tax-Managed Large Cap Fund 0% 100% 100% 100%
Large Cap Value Fund 66% 34% 100% 86%
Large Cap Growth Fund 0% 100% 100% 100%
Tax-Managed Small Cap Fund 74% 26% 100% 29%
Small Cap Value Fund 68% 32% 100% 21%
Small Cap Growth Fund 0% 0% 0% 0%
Mid-Cap Fund 54% 46% 100% 28%
U.S. Managed Volatility Fund 13% 87% 100% 46%
Global Managed Volatility Fund 0% 0% 0% 0%
Real Estate Fund (6) 25% 75% 100% 0%
Enhanced Income Fund 0% 0% 0% 0%
Core Fixed Income Fund 6% 94% 100% 0%
High Yield Bond Fund 0% 100% 100% 0%
- -----------------------------------------------------------------------------------------------------------------
(D)
QUALIFYING
DIVIDEND INCOME (E) QUALIFIED QUALIFIED
(15% TAX RATE U.S. GOVERNMENT INTEREST SHORT-TERM
FUND FOR QDI) (2) INTEREST (3) INCOME (4) CAPITAL GAINS (5)
- -----------------------------------------------------------------------------------------------------------------
Large Cap Diversified Alpha Fund 78% 1% 96% 100%
Tax-Managed Large Cap Fund 100% 1% 4% 0%
Large Cap Value Fund 86% 1% 4% 27%
Large Cap Growth Fund 100% 1% 15% 0%
Tax-Managed Small Cap Fund 28% 1% 0% 5%
Small Cap Value Fund 19% 1% 57% 8%
Small Cap Growth Fund 0% 1% 0% 0%
Mid-Cap Fund 28% 1% 14% 23%
U.S. Managed Volatility Fund 45% 1% 54% 30%
Global Managed Volatility Fund 0% 0% 0% 0%
Real Estate Fund (6) 0% 0% 0% 0%
Enhanced Income Fund 0% 0% 0% 0%
Core Fixed Income Fund 0% 17% 92% 0%
High Yield Bond Fund 0% 1% 89% 0%
(1) Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
Income distributions (the total of short term capital gain and net
investment income distributions).
(2) The percentage in this column represents the amount of "Qualifying
Dividend Income" as created by the Jobs and Growth Tax Relief
Reconciliation Act of 2003 and is reflected as a percentage of ordinary
income distributions (the total of short term capital gain and net
investment income distributions). It is the intention of each of the
aforementioned funds to designate the maximum amount permitted by law.
(3) "U.S. Government Interest" represents the amount of interest that was
derived from direct U.S. Government obligations and distributed during the
fiscal year. This amount is reflected as a percentage of total ordinary
income distributions (the total of short term capital gain and net
investment income distributions). Generally, interest from direct U.S.
Government obligations is exempt from state income tax. However, for
shareholders who are residents of California, Connecticut and New York,
the statutory threshold requirements were not satisfied to permit
exemption of these amounts from state income.
(4) The percentage in this column represents the amount of "Qualifying
Interest Income" as created by the American Jobs Creation Act of 2004 and
is reflected as a percentage of net investment income distributions that
is exempt from U.S. withholding tax when paid to foreign investors.
(5) The percentage in this column represents the amount of "Qualifying
Short-Term Capital Gain" as created by the American Jobs Creation Act of
2004 and is reflected as a percentage of short-term capital gain
distributions that is exempt from U.S. withholding tax when paid to
foreign investors.
(6) Information reflects Fund activity based on Fund's December 31, 2005 tax
reporting year.
Items (A) and (B) are based on the percentages of each Fund's total
distribution.
Items (C) and (D) are based on the percentage of ordinary income distributions
of each Fund.
Item (E) is based on the percentage of gross income of each Fund.
Please consult your tax adviser for proper treatment of this information. This
notification should be kept with your permanent tax records.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2006 199
Notes
SEI INSTITUTIONAL MANAGED TRUST ANNUAL REPORT SEPTEMBER 30, 2006
Robert A. Nesher, CHAIRMAN
TRUSTEES
William M. Doran
F. Wendell Gooch
James M. Storey
George J. Sullivan, Jr.
Rosemarie B. Greco
Nina Lesavoy
James M. Williams
OFFICERS
Robert A. Nesher
PRESIDENT AND CHIEF EXECUTIVE OFFICER
Stephen F. Panner
CONTROLLER AND CHIEF FINANCIAL OFFICER
Russell Emery
CHIEF COMPLIANCE OFFICER
Timothy D. Barto
VICE PRESIDENT, SECRETARY
Sofia A. Rosala
VICE PRESIDENT, ASSISTANT SECRETARY
James Ndiaye
VICE PRESIDENT, ASSISTANT SECRETARY
Michael T. Pang
VICE PRESIDENT, ASSISTANT SECRETARY
John J. McCue
VICE PRESIDENT
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
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
KPMG 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 LOGO OMITTED]
SEI New ways.
New answers.(R)
SEI Investments Distribution Co.
Oaks, PA 19456 1.800.DIAL.SEI (1.800.342.5734)
SEI-F-087 (9/06)
ITEM 2. CODE OF ETHICS.
The registrant has adopted a code of ethics that applies to the registrant's
principal executive officer, principal financial officer, comptroller or
principal accounting officer.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a) (1) The registrant's board of trustees has determined that the registrant
has one audit committee financial expert serving on the audit committee.
(a) (2) The audit committee financial expert is George J. Sullivan, Jr. Mr.
Sullivan is an independent trustee as defined in Form N-CSR Item 3 (a) (2)
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Fees billed by KPMG LLP (KPMG) and PricewaterhouseCoopers, LLP (PwC) Related to
the Trust KPMG and PwC billed the Trust aggregate fees for services rendered to
the Trust for the last two fiscal years as follows:
- ------------------ ----------------------------------------------------- -----------------------------------------------------
2006 + 2005 ++
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
All fees and All fees and All other fees All fees and All fees and All other fees
services to the services to and services to services to the services to and services to
Trust that were service service Trust that were service service
pre-approved affiliates that affiliates that pre-approved affiliates that affiliates that
were did not require were did not require
pre-approved pre-approval pre-approved pre-approval
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
(a) Audit $259,600 N/A N/A $185,840 N/A $0
Fees (1)
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
(b) Audit- $ 0 $ 0 N/A $0 $34,645 (2) $0
Related
Fees
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
(c) Tax N/A N/A N/A $0 $0 $0
Fees
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
(d) All $ 0 $216,500 $60,630 $0 $0 $0
Other
Fees
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
+ KPMG
++ PwC
Notes:
(1) Audit fees include amounts related to the audit of the registrant's
annual financial statements and services normally provided by KPMG and PwC in
connection with statutory and regulatory filings.
(2) Includes fees for 404 Readiness Assistance for SEI.
(e)(1) All requests or applications for services to be provided by the
independent auditor shall be submitted to the Chief Financial Officer ("CFO") of
the Funds and must include a detailed description of
the services proposed to be rendered. The Fund's CFO will determine whether such
services (1) require specific pre-approval, (2) are included within the list of
services that have received the general pre-approval of the Audit Committee or
(3) have been previously pre-approved in connection with the independent
auditor's annual engagement letter for the applicable year or otherwise.
Requests or applications to provide services that require specific pre-approval
by the Audit Committee will be submitted to the Audit Committee by the CFO. The
Audit Committee will be informed by the CFO on a quarterly basis of all services
rendered by the independent auditor. The Audit Committee has delegated specific
pre-approval authority to either the Audit Committee Chair or financial expert,
provided that the estimated fee for any such proposed pre-approved service does
not exceed $100,000 and any pre-approval decisions are reported to the Audit
Committee at its next regularly scheduled meeting.
All services to be provided by the independent auditor shall be provided
pursuant to a signed written engagement letter with the Funds, the investment
advisor or applicable control affiliate (except that matters as to which an
engagement letter would be impractical because of timing issues or because the
matter is small may not be the subject of an engagement letter) that sets forth
both the services to be provided by the independent auditor and the total fees
to be paid to the independent auditor for those services.
In addition, the Audit Committee has determined to take additional measures on
an annual basis to meet its responsibility to oversee the work of the
independent auditor and to assure the auditor's independence from the Funds,
such as reviewing a formal written statement from the independent auditor
delineating all relationships between the independent auditor and the Funds, and
discussing with the independent auditor its methods and procedures for ensuring
independence.
(e)(2) Percentage of fees billed applicable to non-audit services pursuant to
waiver of pre-approval requirement were as follows:
---------------------------- ----------------- ----------------
2006 + 2005 ++
---------------------------- ----------------- ----------------
Audit-Related Fees 0% 0%
---------------------------- ----------------- ----------------
Tax Fees 0% 0%
---------------------------- ----------------- ----------------
All Other Fees 0% 0%
---------------------------- ----------------- ----------------
+ KPMG
++ PwC
(f) Not Applicable.
(g)(1) The aggregate non-audit fees and services billed by KPMG for the fiscal
year 2006 were $277,130. Non-audit fees consist of SAS No. 70 review of fund
accounting and administration operations, attestation report in accordance with
Rule 17 Ad-13, agreed upon procedures report over certain internal controls
related to compliance with federal securities laws and regulations and tax
consulting services for various service affiliates of the registrant.
(g)(2) The aggregate non-audit fees and services billed by PwC for the 2005
fiscal year was $0.
(h) During the past fiscal year, Registrant's principal accountant provided
certain non-audit services to Registrant's investment adviser or to entities
controlling, controlled by, or under common control with Registrant's investment
adviser that provide ongoing services to Registrant that were not subject to
pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X.
The audit committee of Registrant's Board of Trustees reviewed and considered
these non-audit services provided by Registrant's principal accountant to
Registrant's affiliates, including whether the provision of these non-audit
services is compatible with maintaining the principal accountant's independence.
ITEMS 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to open-end investment management companies.
ITEM 6. SCHEDULE OF INVESTMENTS
Included in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable to open-end investment management companies.
ITEM 8. MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not applicable.
ITEM 9. PURCHASERS OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT COMPANY AND
AFFILIATED PURCHASERS.
Not applicable to open-end management investment companies.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
The Trust has a standing Nominating Committee (the "Committee") currently
consisting of the Independent Trustees. The Committee is responsible for
evaluating and recommending nominees for election to the Trust's Board of
Trustees (the "Board"). Pursuant to the Committee's Charter, adopted on June 18,
2004, the Committee will review all shareholder recommendations for nominations
to fill vacancies on the Board if such recommendations are submitted in writing
and addressed to the Committee at the Trust's office.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The certifying officers, whose certifications are included herewith, have
evaluated the registrant's disclosure controls and procedures within 90 days of
the filing date of this report. Based on their evaluation, the certifying
officers have concluded that the registrant's disclosure controls and procedures
are adequately designed, and are operating effectively to ensure, that
information required to be disclosed by the registrant in the reports it files
or submits under the Securities Exchange Act of 1934 is recorded, processed,
summarized and reported within the time periods specified in the Securities and
Exchange Commission's rules and forms.
(b) There were no significant changes in the registrant's internal control over
financial reporting that occurred during the registrant's last fiscal half-year
that have materially affected, or are reasonably likely to materially affect,
the registrants internal control over financial reporting.
ITEMS 12. EXHIBITS.
(a)(1) Code of Ethics attached hereto.
(a)(2) A separate certification for the principal executive officer and the
principal financial officer of the registrant as required by Rule 30a-2(a) under
the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed
herewith.
(b) Officer certifications as required by Rule 30a-2(b) under the Investment
Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing
as an Exhibit.
- --------------------------------------------------------------------------------
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) SEI Institutional Managed Trust
By (Signature and Title)* /s/ Robert A. Nesher
-----------------------
Robert A. Nesher
President & CEO
Date: December 7, 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: December 7, 2006
By (Signature and Title)* /s/ Stephen F. Panner
-----------------------
Stephen F. Panner
Controller & CFO
Date: December 7, 2006
* Print the name and title of each signing officer under his or her signature.