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 811-04878
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, 2007
DATE OF REPORTING PERIOD: MARCH 31, 2007
ITEM 1. REPORTS TO STOCKHOLDERS.
[LOGO]
SEI New ways.
New answers.(R)
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SEI Institutional Managed Trust
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Semi-Annual Report as of March 31, 2007
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Large Cap Value Fund
Large Cap Growth Fund
Tax-Managed Large Cap Fund
Large Cap Diversified Alpha Fund
Small Cap Value Fund
Small Cap Growth Fund
Tax-Managed Small Cap Fund
Small/Mid Cap Diversified Alpha 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
TABLE OF CONTENTS
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Schedules of Investments 1
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Statements of Assets and Liabilities 166
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Statements of Operations 170
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Statements of Changes in Net Assets 174
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Financial Highlights 178
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Notes to Financial Statements 182
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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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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.
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Value Fund
March 31, 2007
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SECTOR WEIGHTINGS#:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Financials 37.7%
Energy 11.1%
Consumer Discretionary 8.8%
Consumer Staples 7.1%
Industrials 6.4%
Health Care 6.2%
Telecommunication Services 5.6%
Utilities 5.1%
Short-Term Investments 4.6%
Materials 3.8%
Information Technology 3.3%
Asset-Backed Securities 0.2%
U.S. Treasury Obligation 0.1%
# Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 7).
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Market Value
Description Shares ($ Thousands)
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COMMON STOCK -- 97.9%+++
CONSUMER DISCRETIONARY -- 9.8%
Apollo Group, Cl A (B)* 56,400 $ 2,476
Autoliv 267,000 15,248
Barnes & Noble 94,200 3,716
Big Lots (B)* 97,900 3,062
Black & Decker 53,100 4,334
BorgWarner (B) 97,300 7,338
Brinker International 60,750 1,987
Cablevision Systems, Cl A (B) 69,100 2,103
CBS, Cl B 482,700 14,766
Clear Channel Communications 9,200 322
Coach* 93,800 4,695
Comcast, Cl A (B)* 912,750 23,686
DaimlerChrysler 28,100 2,299
Dillard's, Cl A (B) 43,700 1,430
DIRECTV Group* 240,400 5,546
Dollar Tree Stores* 144,000 5,507
Eastman Kodak (B) 167,400 3,777
Family Dollar Stores 27,800 823
Federated Department Stores (B) 203,000 9,145
Foot Locker 19,400 457
Ford Motor (B) 379,200 2,992
Fortune Brands (B) 51,800 4,083
Gannett 108,900 6,130
Gap 190,100 3,272
General Motors (B) 311,300 9,538
Genuine Parts 12,000 588
Goodyear Tire & Rubber (B)* 142,800 4,454
Harrah's Entertainment 2,100 177
Hasbro 482,700 13,815
Home Depot 116,700 4,288
IAC/InterActive* 15,200 573
Idearc* 87,255 3,063
Interpublic Group (B)* 103,400 1,273
J.C. Penney 31,500 2,588
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Market Value
Description Shares ($ Thousands)
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Jarden* 11,600 $ 444
Johnson Controls 31,000 2,933
Jones Apparel Group 192,300 5,909
KB Home (B) 50,500 2,155
Kohl's (B)* 27,500 2,107
Leggett & Platt 5,300 120
Lennar, Cl A (B) 44,400 1,874
Liberty Global, Cl A (B)* 63,400 2,088
Liberty Media Holding-Capital, Ser A* 48,100 5,319
Liberty Media Holding-Interactive, Cl A (B)* 41,500 989
Limited Brands 47,700 1,243
Liz Claiborne 3,400 146
Mattel 689,300 19,004
McDonald's 587,400 26,462
McGraw-Hill 72,900 4,584
Newell Rubbermaid 63,900 1,987
News, Cl A 240,800 5,567
NVR (B)* 5,900 3,924
OfficeMax 48,000 2,532
Pulte Homes (B) 127,900 3,384
RadioShack 5,900 159
Saks (B) 257,300 5,362
Sears Holdings* 11,300 2,036
Service International 14,700 174
Shaw Communications, Cl B 221,200 8,167
Sherwin-Williams 21,700 1,433
Snap-On 33,500 1,611
Stanley Works 39,397 2,181
Starwood Hotels & Resorts Worldwide 42,100 2,730
Target 39,900 2,364
Time Warner 2,103,200 41,475
Tribune (B) 255,700 8,211
VF 169,600 14,012
Walt Disney (B) 206,100 7,096
Warner Music Group 11,400 195
Wendy's International 65,500 2,050
Whirlpool (B) 54,400 4,619
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366,197
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CONSUMER STAPLES -- 7.9%
Alberto-Culver* 39,700 908
Altria Group 429,600 37,723
Anheuser-Busch 38,200 1,928
Archer-Daniels-Midland 230,500 8,459
Bunge (B) 40,000 3,289
Campbell Soup (B) 67,700 2,637
Clorox 24,400 1,554
Coca-Cola 292,200 14,026
Coca-Cola Enterprises 299,900 6,073
Colgate-Palmolive 89,600 5,984
ConAgra Foods 429,200 10,691
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SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 1
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Value Fund (Continued)
March 31, 2007
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Market Value
Description Shares ($ Thousands)
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Constellation Brands, Cl A* 1,600 $ 34
Corn Products International 48,000 1,708
Costco Wholesale 11,900 641
CVS 15,920 544
Dean Foods* 110,600 5,169
Del Monte Foods 395,500 4,540
Energizer Holdings (B)* 7,400 631
Estee Lauder, Cl A 164,200 8,021
General Mills 130,600 7,604
Hershey (B) 45,400 2,482
HJ Heinz 113,700 5,358
Hormel Foods 37,800 1,406
JM Smucker 30,500 1,626
Kellogg (B) 30,800 1,584
Kimberly-Clark 207,000 14,177
Kraft Foods, Cl A (B) 97,100 3,074
Kroger 571,400 16,142
Loews - Carolina 57,400 4,340
McCormick 18,500 713
Molson Coors Brewing, Cl B (B) 83,600 7,910
Pepsi Bottling Group 32,000 1,021
PepsiAmericas 170,100 3,797
PepsiCo 89,300 5,676
Procter & Gamble 804,400 50,806
Reynolds American (B) 291,200 18,174
Safeway (B) 295,027 10,810
Sara Lee 228,900 3,873
Supervalu 115,745 4,522
Tyson Foods, Cl A (B) 176,700 3,430
UST (B) 158,200 9,172
WM Wrigley Jr. (B) 49,600 2,526
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294,783
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ENERGY -- 12.7%
Anadarko Petroleum 158,000 6,791
BP ADR* 16,700 1,081
Cabot Oil & Gas 11,100 747
Chevron 1,303,000 96,370
ConocoPhillips 671,493 45,896
Devon Energy 216,100 14,958
EnCana 86,800 4,395
Exxon Mobil 2,900,300 218,828
Frontier Oil 21,600 705
Halliburton (B) 76,100 2,415
Hess 61,500 3,411
Holly (B) 96,200 5,705
Marathon Oil 408,400 40,362
Noble Energy 109,000 6,502
Occidental Petroleum 106,100 5,232
Overseas Shipholding Group 13,600 851
SEACOR Holdings (B)* 9,000 886
Spectra Energy* 6,724 177
Sunoco 115,700 8,150
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Market Value
Description Shares ($ Thousands)
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Tesoro (B) 3,000 $ 301
Unit* 42,500 2,150
Valero Energy 160,500 10,351
Williams 16,400 467
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476,731
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FINANCIALS -- 33.8%
A.G. Edwards 138,900 9,609
ACE 49,100 2,802
Alleghany* 2,550 953
Allied Capital (B) 51,900 1,495
Allstate 499,200 29,982
AMB Property+ 4,900 288
AMBAC Financial Group (B) 26,000 2,246
American Capital Strategies (B) 41,500 1,839
American Financial Group (B) 58,200 1,981
American International Group 1,022,900 68,759
Ameriprise Financial 11,100 634
Annaly Capital Management+ 104,300 1,615
AON (B) 125,700 4,772
Apartment Investment &
Management, Cl A+ (B) 40,200 2,319
Archstone-Smith Trust+ (B) 33,500 1,818
Assurant 178,800 9,589
Astoria Financial 112,000 2,978
AvalonBay Communities+ 28,900 3,757
Axis Capital Holdings 122,700 4,155
Bancorpsouth 9,300 227
Bank of America 2,522,050 128,675
Bank of New York 32,900 1,334
BB&T 440,300 18,061
Bear Stearns (B) 36,500 5,488
Boston Properties+ (B) 24,700 2,900
BRE Properties, Cl A+ 33,000 2,084
Brookfield Asset Management, Cl A 125,800 6,574
Camden Property Trust+ 23,000 1,617
CapitalSource+ (B) 15,600 392
Chicago Mercantile Exchange
Holdings, Cl A 5,700 3,035
Chubb 242,800 12,546
Cincinnati Financial 5,300 225
CIT Group 193,000 10,214
Citigroup 2,997,200 153,876
Colonial BancGroup 11,400 282
Comerica (B) 326,400 19,297
Compass Bancshares 28,400 1,954
Countrywide Financial 425,900 14,327
Credicorp 6,600 322
Cullen/Frost Bankers 1,600 84
Developers Diversified Realty+ (B) 12,500 786
Douglas Emmett+* 5,000 128
Duke Realty+ 20,900 909
Equity Residential+ (B) 43,500 2,098
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2 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
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Market Value
Description Shares ($ Thousands)
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Erie Indemnity, Cl A 700 $ 37
Essex Property Trust+ 9,000 1,165
Fannie Mae 368,900 20,135
Federal Realty Investment Trust+ 6,600 598
Fidelity National Financial, Cl A 149,204 3,582
First American 86,000 4,362
First Horizon National (B) 68,600 2,849
First Marblehead (B) 94,500 4,242
Franklin Resources 24,700 2,985
Freddie Mac 212,200 12,624
Friedman Billings Ramsey Group,
Cl A+ (B) 274,800 1,517
Genworth Financial, Cl A 211,800 7,400
Goldman Sachs Group 67,800 14,010
Hanover Insurance Group 28,000 1,291
Hartford Financial Services Group 186,700 17,845
Health Care Property Investors+ (B) 38,600 1,391
Health Care+ (B) 10,100 443
Hospitality Properties Trust+ 5,200 243
Host Hotels & Resorts+ (B) 82,260 2,164
HRPT Properties Trust+ 46,200 568
Hudson City Bancorp 40,800 558
IndyMac Bancorp (B) 200,900 6,439
iStar Financial+ (B) 39,500 1,850
Janus Capital Group (B) 173,600 3,630
Jefferies Group 3,600 104
Jones Lang LaSalle 47,700 4,974
JPMorgan Chase 2,035,628 98,484
Keycorp (B) 513,300 19,233
Kimco Realty+ 25,815 1,258
Lehman Brothers Holdings (B) 197,700 13,853
Leucadia National (B) 17,500 515
Lincoln National 161,867 10,973
Loews 433,000 19,671
M&T Bank 17,000 1,969
Mack-Cali Realty+ 11,300 538
Markel* 4,000 1,939
Marsh & McLennan 18,300 536
Marshall & Ilsley 1,900 88
MBIA (B) 154,300 10,105
Mellon Financial (B) 9,700 419
Merrill Lynch 547,300 44,698
Metlife 96,200 6,075
MGIC Investment 78,700 4,637
Morgan Stanley 431,200 33,961
National City (B) 746,400 27,803
Nationwide Financial Services, Cl A 135,600 7,303
New York Community Bancorp 17,800 313
Northern Trust 1,000 60
NYSE Group (B)* 8,700 816
Odyssey Re Holdings (B) 25,600 1,006
Old Republic International 296,700 6,563
Philadelphia Consolidated Holding* 6,000 264
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Market Value
Description Shares ($ Thousands)
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PMI Group 173,600 $ 7,850
PNC Financial Services Group 129,155 9,295
Popular (B) 111,000 1,838
Principal Financial Group 112,000 6,705
Prologis+ 18,700 1,214
Prudential Financial 80,400 7,257
Public Storage+ 6,900 653
Radian Group (B) 98,900 5,428
Realogy* 4,800 142
Regency Centers+ (B) 4,200 351
Regions Financial 607,818 21,499
Reinsurance Group of America 18,100 1,045
Safeco (B) 172,300 11,446
Simon Property Group+ (B) 18,000 2,003
SL Green Realty+ (B) 5,566 764
Sovereign Bancorp 16,700 425
SunTrust Banks 311,100 25,834
Taubman Centers+ 13,900 806
Torchmark 17,600 1,154
Travelers 645,200 33,402
UnumProvident (B) 214,100 4,931
US Bancorp (B) 1,317,900 46,087
Valley National Bancorp (B) 62,780 1,585
Ventas+ (B) 29,400 1,239
Vornado Realty Trust+ (B) 22,500 2,685
Wachovia 697,897 38,419
Washington Mutual (B) 820,300 33,124
Wells Fargo 741,300 25,523
Whitney Holding 9,300 284
Wilmington Trust 7,000 295
XL Capital, Cl A 28,700 2,008
Zions Bancorporation 7,100 600
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1,265,003
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HEALTH CARE -- 6.9%
Abbott Laboratories 20,800 1,161
Aetna 89,800 3,932
Alcon 16,700 2,201
AmerisourceBergen (B) 173,400 9,147
Applera - Applied Biosystems
Group 28,200 834
Becton Dickinson 40,300 3,099
Bristol-Myers Squibb 59,000 1,638
Cardinal Health 73,200 5,340
Cigna 66,100 9,430
Eli Lilly 62,100 3,335
Forest Laboratories* 89,200 4,588
Genentech* 29,000 2,381
Gilead Sciences* 41,700 3,190
Hillenbrand Industries 19,400 1,152
IMS Health 16,100 477
Johnson & Johnson 115,200 6,942
King Pharmaceuticals (B)* 187,200 3,682
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SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 3
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Value Fund (Continued)
March 31, 2007
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Market Value
Description Shares ($ Thousands)
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Laboratory of America Holdings* 35,600 $ 2,586
LifePoint Hospitals* 3,400 130
McKesson 91,800 5,374
Medco Health Solutions* 3,400 247
Merck 1,123,200 49,612
Pfizer (B) 4,177,900 105,534
Tenet Healthcare (B)* 396,700 2,551
Thermo Fisher Scientific* 85,700 4,006
UnitedHealth Group 45,700 2,421
Universal Health Services, Cl B 18,500 1,059
WellPoint* 58,200 4,720
Wyeth 366,800 18,351
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259,120
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INDUSTRIALS -- 7.1%
Acuity Brands 20,500 1,116
AGCO (B)* 57,700 2,133
Allied Waste Industries (B)* 90,500 1,139
AMR* 22,200 676
Boeing 73,900 6,570
Brink's 2,100 133
Caterpillar 78,600 5,269
Corrections of America* 13,200 697
CSX 196,500 7,870
Cummins 34,600 5,007
Deere 132,900 14,438
Dun & Bradstreet 63,600 5,800
Eaton 147,600 12,333
Emerson Electric 48,800 2,103
General Dynamics 36,900 2,819
General Electric 2,487,900 87,972
Harsco 114,000 5,114
Honeywell International 184,400 8,494
Ingersoll-Rand, Cl A 182,400 7,911
Kansas City Southern (B)* 3,800 135
L-3 Communications Holdings 48,400 4,234
Laidlaw International 400 14
Lockheed Martin 30,600 2,969
Manpower 8,600 634
Masco (B) 188,600 5,168
Norfolk Southern 95,900 4,853
Northrop Grumman (B) 385,100 28,582
Paccar 23,200 1,703
Pall 4,000 152
Parker Hannifin 43,200 3,729
Quanta Services (B)* 17,500 441
Raytheon 145,100 7,612
Rockwell Collins 47,000 3,146
RR Donnelley & Sons 4,100 150
Ryder System (B) 125,400 6,187
SPX 69,600 4,886
Swift Transportation* 62,100 1,935
Terex (B)* 31,300 2,246
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Market Value
Description Shares ($ Thousands)
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UAL (B)* 5,200 $ 199
Union Pacific 30,400 3,087
United Rentals (B)* 95,100 2,615
United Technologies 64,700 4,206
Waste Management 18,600 640
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267,117
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INFORMATION TECHNOLOGY -- 3.6%
Akamai Technologies (B)* 48,000 2,396
Apple* 38,200 3,549
Applied Materials 236,300 4,329
Arrow Electronics* 92,100 3,477
Avaya* 9,800 116
Avnet (B)* 238,400 8,616
Cognizant Technology Solutions,
Cl A* 27,200 2,401
Computer Sciences* 131,800 6,871
Convergys* 339,400 8,624
Diebold 2,000 95
Electronic Arts* 39,400 1,984
Electronic Data Systems 103,200 2,857
Fair Isaac 96,600 3,737
Fidelity National Information Services 2,185 99
Google, Cl A* 6,000 2,749
Hewlett-Packard 818,100 32,839
Ingram Micro, Cl A* 189,600 3,661
Integrated Device Technology* 15,000 231
Intel 264,400 5,058
International Business Machines 85,500 8,059
Lexmark International, Cl A* 139,900 8,179
McAfee* 4,200 122
Microsoft 163,200 4,548
Motorola 237,600 4,198
NCR* 8,000 382
Novellus Systems* 20,300 650
Nvidia* 83,600 2,406
Sabre Holdings, Cl A 30,600 1,002
Sanmina-SCI* 634,300 2,296
Solectron (B)* 596,600 1,879
Symantec (B)* 32,900 569
Synopsys* 16,300 428
Tech Data (B)* 63,700 2,281
Vishay Intertechnology (B)* 143,200 2,002
Western Digital* 119,900 2,016
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134,706
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MATERIALS -- 4.2%
Air Products & Chemicals 2,200 163
Albemarle 50,600 2,092
Alcan 49,500 2,584
Alcoa 417,400 14,150
Ashland 56,900 3,733
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4 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
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Market Value
Description Shares ($ Thousands)
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Bemis 49,800 $ 1,663
Cabot 7,800 372
Celanese, Ser A 15,200 469
Cytec Industries 3,700 208
Dow Chemical 534,800 24,526
E.I. Du Pont de Nemours (B) 114,000 5,635
Eastman Chemical 87,900 5,567
FMC 10,200 769
Freeport-McMoRan Copper & Gold,
Cl B 17,755 1,175
Hercules* 153,100 2,992
International Flavors & Fragrances 20,900 987
International Paper (B) 218,600 7,957
Lubrizol 192,500 9,919
Lyondell Chemical 23,500 704
MeadWestvaco 85,800 2,646
Methanex 207,800 4,640
Mosaic (B)* 51,000 1,360
Nova Chemicals 41,000 1,269
Nucor 270,600 17,624
PPG Industries 148,700 10,455
Rohm & Haas 108,800 5,627
RPM International 6,500 150
Sigma-Aldrich 20,900 868
Smurfit-Stone Container* 237,700 2,676
Sonoco Products 110,500 4,153
Southern Copper (B) 61,900 4,436
Steel Dynamics 106,000 4,579
United States Steel 47,500 4,711
Valspar 76,800 2,137
Weyerhaeuser 61,500 4,596
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157,592
--------------
TELECOMMUNICATION SERVICES -- 6.2%
Alltel 41,500 2,573
AT&T 3,096,544 122,097
CenturyTel 248,100 11,212
Citizens Communications (B) 90,000 1,345
Crown Castle International* 2,700 87
Embarq 1,300 73
Leap Wireless International* 18,700 1,234
Sprint Nextel 869,150 16,479
Telephone & Data Systems 46,100 2,748
US Cellular* 19,600 1,440
Verizon Communications 1,789,400 67,854
Vodafone Group ADR (B) 91,400 2,455
Windstream 113,326 1,665
--------------
231,262
--------------
UTILITIES -- 5.7%
AGL Resources 1,300 55
Alliant Energy 205,000 9,188
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Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Ameren (B) 97,700 $ 4,914
American Electric Power 288,200 14,050
Atmos Energy 47,200 1,476
Centerpoint Energy (B) 109,200 1,959
CMS Energy 17,000 303
Consolidated Edison 4,800 245
Constellation Energy Group 97,900 8,512
Dominion Resources (B) 33,600 2,983
DPL 3,300 103
DTE Energy (B) 93,500 4,479
Duke Energy 13,448 273
Edison International 137,200 6,741
Energen (B) 126,000 6,412
Energy East (B) 271,500 6,614
Entergy 189,700 19,903
Equitable Resources 3,200 155
Exelon 117,500 8,073
FirstEnergy 292,000 19,342
FPL Group 35,800 2,190
Great Plains Energy (B) 26,000 844
KeySpan 64,700 2,662
MDU Resources Group 25,300 727
Mirant* 25,200 1,020
National Fuel Gas 35,200 1,523
NiSource 56,600 1,383
Northeast Utilities (B) 93,600 3,067
NRG Energy (B)* 26,400 1,902
NSTAR 49,700 1,745
OGE Energy 65,400 2,537
Oneok 77,300 3,478
Pepco Holdings 193,800 5,624
PG&E 279,300 13,482
Pinnacle West Capital 306,400 14,784
PPL 124,000 5,072
Progress Energy (B) 122,400 6,174
Public Service Enterprise Group 13,400 1,113
Puget Energy 38,400 986
Questar 2,900 259
Reliant Energy (B)* 347,100 7,053
SCANA 3,000 129
Sempra Energy 17,500 1,068
Sierra Pacific Resources* 16,400 285
Southern 7,700 282
TXU 71,400 4,577
UGI 70,100 1,872
Wisconsin Energy (B) 90,400 4,386
Xcel Energy (B) 291,600 7,200
--------------
213,204
--------------
Total Common Stock
(Cost $2,792,946) ($ Thousands) 3,665,715
--------------
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SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 5
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Value Fund (Concluded)
March 31, 2007
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Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER (C) (D) -- 4.4%
FINANCIALS -- 4.4%
Adirondack, Ser 2005-2
5.319%, 04/24/07 $ 7,015 $ 6,990
Brahms Funding
5.314%, 05/14/07 8,667 8,611
5.313%, 04/16/07 6,314 6,299
Buckingham CDO I LLC
5.320%, 04/25/07 6,487 6,464
Buckingham CDO II LLC
5.318%, 04/23/07 8,067 8,040
Buckingham CDO III LLC
5.320%, 04/26/07 7,205 7,177
Citius I Funding
5.320%, 04/26/07 2,806 2,795
Citius II Funding LLC
5.292%, 04/02/07 7,015 7,013
Davis Square Funding
5.310%, 04/13/07 15,433 15,404
Elysian Funding LLC
5.353%, 04/23/07 2,525 2,517
Georgetown Funding
5.316%, 04/20/07 17,047 16,997
KKR Pacific Funding Trust
5.341%, 04/27/07 7,015 6,987
Mica Funding LLC
5.316%, 04/20/07 7,316 7,294
5.313%, 04/16/07 3,508 3,499
5.310%, 04/19/07 2,271 2,264
5.294%, 04/05/07 7,576 7,571
Rhineland Funding Capital
5.354%, 04/30/07 675 672
5.332%, 06/06/07 2,578 2,553
5.315%, 05/15/07 7,478 7,429
5.314%, 05/14/07 2,985 2,966
Thornburg Mortgage Capital Resource
5.313%, 04/16/07 1,785 1,781
5.310%, 04/13/07 1,684 1,681
5.309%, 04/12/07 3,508 3,501
5.298%, 04/10/07 6,770 6,760
Valour Bay Capital LLC
5.326%, 05/16/07 8,769 8,710
5.324%, 04/18/07 3,003 2,995
5.319%, 04/12/07 3,508 3,501
Zane Funding
5.369%, 04/24/07 6,622 6,599
5.364%, 04/17/07 215 215
--------------
Total Commercial Paper
(Cost $165,285) ($ Thousands) 165,285
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS (C) (E) -- 3.5%
FINANCIALS -- 3.5%
American General Finance (F)
5.370%, 04/16/07 $ 10,172 $ 10,172
Bear Stearns EXL
5.360%, 04/16/07 12,487 12,487
Countrywide Financial MTN
5.428%, 06/27/07 4,209 4,209
Countrywide Financial MTN, Ser A
5.440%, 05/07/07 10,523 10,523
Irish Life & Permanent MTN,
Ser X (F)
5.360%, 04/23/07 9,330 9,330
Islandsbanki (F)
5.369%, 04/09/07 10,523 10,523
Jackson National Life Funding (F)
5.320%, 04/02/07 15,433 15,433
Morgan Stanley EXL
5.380%, 04/04/07 2,455 2,455
Morgan Stanley EXL, Ser S
5.340%, 04/03/07 3,508 3,508
Nationwide Building Society (F)
5.410%, 06/28/07 3,858 3,858
5.349%, 04/09/07 7,015 7,015
Northern Rock (F)
5.360%, 04/03/07 7,226 7,226
Premium Asset Trust,
Ser 2004-10 (F)
5.380%, 04/16/07 9,821 9,821
SLM EXL, Ser S (F)
5.320%, 04/16/07 7,717 7,717
Skandinav Enskilda Bank (F)
5.320%, 04/18/07 7,717 7,716
Stanfield Victoria LLC MTN (F)
5.445%, 06/11/07 7,015 7,015
--------------
Total Corporate Obligations
(Cost $129,008) ($ Thousands) 129,008
--------------
ASSET-BACKED SECURITIES (C) (E) (F) -- 0.2%
MORTGAGE RELATED SECURITIES -- 0.2%
Duke Funding, Ser 2004-6B, Cl A1S1
5.430%, 04/09/07 5,262 5,262
Newcastle CDO, Ser 2005-6A, Cl IM1
5.340%, 04/24/07 1,403 1,403
--------------
Total Asset-Backed Securities
(Cost $6,665) ($ Thousands) 6,665
--------------
- --------------------------------------------------------------------------------
6 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CASH EQUIVALENTS**++ -- 3.1%
SEI Daily Income Trust
Prime Obligation Fund,
Cl A, 5.180% 68,299,640 $ 68,300
SEI Liquidity Fund LP, 5.520% (C) 49,106,293 49,106
--------------
Total Cash Equivalents
(Cost $117,406) ($ Thousands) 117,406
--------------
CERTIFICATES OF DEPOSIT (C) -- 0.3%
Barclays Bank (E) (F)
5.440%, 06/11/07 $ 3,508 3,508
CC USA MTN (F)
5.520%, 06/18/07 7,015 7,015
Thornburg Mortgage Capital Resource
5.309%, 04/11/07 872 870
--------------
Total Certificates of Deposit
(Cost $11,393) ($ Thousands) 11,393
--------------
U.S. TREASURY OBLIGATION (A) (D) -- 0.1%
U.S. Treasury Bill
5.041%, 05/24/07 3,065 3,043
--------------
Total U.S. Treasury Obligation
(Cost $3,043) ($ Thousands) 3,043
--------------
MASTER NOTE (C) (D)-- 0.1%
Bear Stearns
5.558%, 03/31/07 2,105 2,105
--------------
Total Master Note
(Cost $2,105) ($ Thousands) 2,105
--------------
REPURCHASE AGREEMENTS (C) (G) -- 2.0%
Barclays
5.340%, dated 03/30/07, to be
repurchased on 04/02/07,
repurchase price $3,352,785
(collateralized by a U.S.
Government Obligation, par
value $3,326,039, 5.600%,
10/17/13; with total market
value $3,418,389) 3,351 3,351
Deutsche Bank
5.350%, dated 03/30/07, to be
repurchased on 04/02/07,
repurchase price $29,109,152
(collateralized by various
U.S. Government Obligations,
ranging in par value $191,865-
$10,672,201, 0.000%-6.110%,
05/16/07-10/15/19; with total
market value $29,678,109) 29,096 29,096
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Lehman Brothers
5.350%, dated 03/30/07, to be
repurchased on 04/02/07,
repurchase price $42,109,874
(collateralized by various
U.S. Government Obligations,
ranging in par value $3,046,344-
$5,132,309, 2.625%-10.351%,
05/15/07-08/03/18; with total
market value $42,933,217) $ 42,091 $ 42,091
--------------
Total Repurchase Agreements
(Cost $74,538) ($ Thousands) 74,538
--------------
Total Investments -- 111.6%
(Cost $3,302,389) ($ Thousands) $ 4,175,158
==============
Futures -- A summary of the open futures contracts held by the Fund at March 31,
2007, 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 175 Jun-2007 $ 1,012
==============
Percentages are based on Net Assets of $3,742,705 ($ Thousands).
* Non-Income Producing Security.
** Rate shown is the 7-day effective yield as of March 31, 2007.
+++ Narrow industries are utilized for compliance purposes, whereas broad
sectors are utilized for reporting.
+ Real Estate Investment Trust.
++ Investment in Affiliated Registered Investment Company (see Note 3).
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(B) This security or a partial position of this security is on loan at March
31, 2007 (see Note 7). The total value of securities on loan at March 31,
2007 was $424,538 ($ 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 March 31, 2007
was $438,100 ($ 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 March 31, 2007. The date reported on the
Schedule of Investments is the next reset date.
(F) Securities sold within terms of a private placement memorandum, exempt
from registration under Section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors." 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
LP -- Limited Partnership
MTN -- Medium Term Note
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 7
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Growth Fund
March 31, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS#:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Information Technology 24.5%
Financials 17.1%
Health Care 14.3%
Consumer Discretionary 12.2%
Consumer Staples 10.2%
Industrials 8.5%
Short-Term Investments 4.8%
Energy 4.7%
Materials 1.7%
Telecommunication Services 1.2%
Utilities 0.5%
Asset-Backed Securities 0.2%
U.S. Treasury Obligation 0.1%
# 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 -- 13.8%
Abercrombie & Fitch, Cl A 9,600 $ 727
Aeropostale* 15,600 628
Amazon.com* 12,500 497
American Eagle Outfitters 215,438 6,461
AnnTaylor Stores* 20,796 806
Apollo Group, Cl A* 3,400 149
Autozone* 6,469 829
Bed Bath & Beyond* 10,300 414
Brinker International 172,837 5,652
Brunswick 470 15
Cablevision Systems, Cl A 79,746 2,427
Carmax* 96,000 2,356
CBS, Cl B 14,663 449
Circuit City Stores 42,000 778
Claire's Stores 12,400 398
Coach* 145,641 7,289
Coldwater Creek* 8,900 180
Comcast, Cl A* 169,514 4,399
Darden Restaurants 63,521 2,616
Dick's Sporting Goods* 22,800 1,328
DIRECTV Group* 431,800 9,962
Discovery Holding, Cl A* 29,600 566
Dollar Tree Stores* 15,889 608
Dow Jones 800 28
E.W. Scripps, Cl A 14,600 652
EchoStar Communications, Cl A* 30,700 1,333
Expedia (B)* 31,300 726
Family Dollar Stores 103,200 3,057
Federated Department Stores (B) 77,200 3,478
Fortune Brands (B) 163,530 12,889
GameStop, Cl A* 42,400 1,381
Gap 16,600 286
General Motors (B) 8,700 267
Gentex (B) 133,200 2,164
Goodyear Tire & Rubber* 52,900 1,650
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Gymboree* 33,000 $ 1,322
Hanesbrands* 16,000 470
Harley-Davidson (B) 73,231 4,302
Harman International Industries 2,600 250
Harrah's Entertainment 4,300 363
Hibbett Sports* 4,400 126
Hilton Hotels 43,017 1,547
Home Depot 488,627 17,952
IAC/InterActive (B)* 161,967 6,108
International Game Technology 882,300 35,627
Interpublic Group* 48,200 593
ITT Educational Services* 42,780 3,486
J.C. Penney 93,734 7,701
Jarden* 14,300 548
John Wiley & Sons, Cl A 3,700 140
Johnson Controls 26,800 2,536
Kohl's (B)* 193,610 14,832
Lamar Advertising, Cl A (B)* 102,644 6,463
Las Vegas Sands* 20,200 1,750
Laureate Education* 3,100 183
Leggett & Platt 20,500 465
Liberty Global, Cl A* 72,482 2,387
Liberty Media Holding-Interactive, Cl A* 60,800 1,448
Limited Brands 61,700 1,608
Lowe's (B) 587,712 18,507
Marriott International, Cl A 30,484 1,492
McDonald's 166,100 7,483
McGraw-Hill 512,933 32,253
Meredith 10,700 614
MGM Mirage (B)* 497,300 34,572
Midas* 6,100 132
Newell Rubbermaid 31,436 977
News, Cl A 229,184 5,299
Nike, Cl B (B) 95,700 10,169
Nordstrom 17,000 900
Nutri/System* 20,700 1,085
NVR (B)* 2,900 1,929
Office Depot* 87,800 3,085
Omnicom Group 34,264 3,508
PetSmart (B) 73,400 2,419
Polo Ralph Lauren 11,021 972
Pool (B) 48,800 1,747
Priceline.com (B)* 10,500 559
RadioShack 19,200 519
Rent-A-Center* 12,729 356
Ross Stores 58,600 2,016
Sherwin-Williams 59,367 3,921
Snap-On 3,000 144
Staples 1,456,995 37,649
Starbucks (B)* 433,700 13,601
Target 374,509 22,193
Thor Industries 1,900 75
Tiffany 3,300 150
- --------------------------------------------------------------------------------
8 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Tim Hortons 30,603 $ 931
Time Warner 34,038 671
TJX 96,100 2,591
Universal Technical Institute* 5,400 125
Urban Outfitters* 24,800 657
Viacom, Cl B* 398,111 16,366
Walt Disney 246,583 8,490
Warner Music Group 19,900 339
Washington Post, Cl B 200 153
Weight Watchers International (B) 475,000 21,893
Wendy's International 98,998 3,099
Williams-Sonoma (B) 199,240 7,065
Wynn Resorts 23,800 2,258
Yum! Brands 112,954 6,524
--------------
469,140
--------------
CONSUMER STAPLES -- 11.5%
Alberto-Culver* 9,300 213
Altria Group 138,840 12,192
Anheuser-Busch 120,752 6,093
Archer-Daniels-Midland 25,900 951
Avon Products 40,800 1,520
Brown-Forman, Cl B 30,942 2,029
Campbell Soup (B) 100,401 3,911
Church & Dwight 20,800 1,047
Coca-Cola 567,117 27,222
Colgate-Palmolive 220,467 14,725
ConAgra Foods 103,400 2,576
Constellation Brands, Cl A* 5,300 112
Costco Wholesale (B) 255,100 13,735
CVS 304,664 10,401
Energizer Holdings (B)* 33,542 2,862
Estee Lauder, Cl A 14,400 703
General Mills 63,300 3,685
Hansen Natural* 32,000 1,212
Hershey 3,500 191
HJ Heinz 106,100 4,999
Kellogg (B) 39,881 2,051
Kimberly-Clark 80,202 5,493
Kroger 61,200 1,729
McCormick 51,700 1,992
Peet's Coffee & Tea (B)* 13,700 378
Pepsi Bottling Group 77,553 2,473
PepsiCo 852,994 54,216
Prestige Brands Holdings* 10,100 120
Procter & Gamble 1,207,475 76,264
Reynolds American (B) 31,500 1,966
Sysco 51,700 1,749
UST 63,000 3,653
Wal-Mart Stores 1,375,701 64,589
Walgreen 1,226,853 56,300
WM Wrigley Jr. (B) 154,894 7,889
--------------
391,241
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
ENERGY -- 5.3%
Baker Hughes 593,581 $ 39,253
BJ Services 65,137 1,817
Cameron International* 30,152 1,893
Chesapeake Energy (B) 126,000 3,891
Chevron 28,422 2,102
Cimarex Energy 3,800 141
Devon Energy 36,000 2,492
Diamond Offshore Drilling 1,008 82
El Paso 44,000 637
ENSCO International (B) 28,100 1,529
Exxon Mobil 49,200 3,712
FMC Technologies* 26,100 1,821
Frontier Oil 16,500 538
Grant Prideco (B)* 33,700 1,680
Halliburton (B) 629,500 19,980
Helmerich & Payne 67,400 2,045
Holly 30,300 1,797
Kinder Morgan 15,427 1,642
Oceaneering International* 33,000 1,390
Plains Exploration & Production* 4,800 217
Range Resources 5,000 167
Schlumberger 758,572 52,417
Southwestern Energy* 12,500 512
Suncor Energy 318,510 24,318
Sunoco 30,900 2,177
Superior Energy Services* 14,700 507
Tetra Technologies* 20,900 516
Tidewater (B) 74,000 4,335
Transocean* 6,200 506
Valero Energy 186 12
Weatherford International* 128,620 5,801
Williams 61,100 1,739
XTO Energy 3,609 198
--------------
181,864
--------------
FINANCIALS -- 10.2%
Affiliated Managers Group* 6,270 679
Affordable Residential Communities+ (B)* 17,300 210
Aflac 14,234 670
AMBAC Financial Group 2,800 242
American Express 601,226 33,909
American International Group 312,503 21,007
AmeriCredit (B)* 104,900 2,398
Bank of America 3,600 184
Bank of New York 8,100 329
Bear Stearns (B) 12,300 1,849
BlackRock 8,705 1,361
Brown & Brown 31,300 847
CapitalSource+ 37,500 942
CB Richard Ellis Group, Cl A* 79,274 2,710
Cbot Holdings, Cl A* 6,900 1,252
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 9
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Growth Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Charles Schwab 971,489 $ 17,769
Chicago Mercantile Exchange Holdings, Cl A (B) 68,377 36,408
Commerce Bancorp 18,042 602
Cullen/Frost Bankers 2,300 120
Developers Diversified Realty+ 13,600 855
East West Bancorp 14,700 541
Eaton Vance 10,700 381
Essex Property Trust+ 7,000 906
Federal Realty Investment Trust+ 5,094 462
First Cash Financial Services* 32,300 720
First Marblehead 38,750 1,740
Forest City Enterprises, Cl A 50,604 3,349
Franklin Resources 27,712 3,348
Freddie Mac 416,610 24,784
General Growth Properties+ 2,400 155
Goldman Sachs Group 77,296 15,972
HCC Insurance Holdings 2,708 83
Hudson City Bancorp 144,200 1,973
IndyMac Bancorp 6,500 208
IntercontinentalExchange (B)* 353,900 43,250
Investors Financial Services 5,100 297
Janus Capital Group (B) 95,500 1,997
JER Investors Trust+ 7,000 133
Jones Lang LaSalle 34,200 3,566
Kilroy Realty+ 3,700 273
Legg Mason (B) 149,126 14,049
Lehman Brothers Holdings 62,000 4,344
Macerich+ 4,300 397
Markel* 1,300 630
Mellon Financial 19,400 837
Merrill Lynch 175,800 14,358
Moody's (B) 590,208 36,628
Morgan Stanley 167,962 13,229
Newcastle Investment+ 5,200 144
Northern Trust 30,818 1,853
Nuveen Investments, Cl A 32,400 1,533
NYSE Group* 4,800 450
Peoples Bank 43,900 1,949
Philadelphia Consolidated Holding* 23,100 1,016
Principal Financial Group 5,400 323
Progressive 14,092 308
Prudential Financial 6,600 596
Public Storage+ 8,053 762
Realogy* 9,900 293
Simon Property Group+ 4,400 490
SL Green Realty+ 27,500 3,773
SLM 12,518 512
State Street 32,050 2,075
SunTrust Banks (B) 115,210 9,567
Synovus Financial 10,900 353
T. Rowe Price Group 36,924 1,742
Taubman Centers+ 10,300 597
TCF Financial 2,100 55
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
UDR+ 42,200 $ 1,292
Ventas+ 35,200 1,483
Wachovia 1,964 108
Weingarten Realty Investors+ 3,600 171
Wells Fargo 62,338 2,146
WR Berkley 5,384 178
XL Capital, Cl A 5,900 413
--------------
347,135
--------------
HEALTH CARE -- 16.1%
Abbott Laboratories 433,316 24,179
Aetna 116,600 5,106
Allergan 378,529 41,949
AmerisourceBergen 1,200 63
Amgen* 389,553 21,768
Amylin Pharmaceuticals* 4,400 164
Applera - Applied Biosystems Group 91,100 2,694
Barr Pharmaceuticals* 18,281 847
Baxter International 55,922 2,945
Becton Dickinson 109,225 8,398
Biogen Idec* 78,390 3,479
Biomet 6,900 293
Bristol-Myers Squibb 47,600 1,321
C.R. Bard 22,300 1,773
Cardinal Health 80,188 5,850
Celgene (B)* 296,260 15,542
Cephalon* 7,800 555
Cerner (B)* 47,400 2,581
Charles River Laboratories International (B)* 67,400 3,118
Cigna 8,707 1,242
Covance* 17,956 1,066
Cytyc (B)* 34,700 1,187
Dentsply International 30,400 996
Edwards Lifesciences* 13,800 700
Eli Lilly 149,890 8,051
Emdeon* 85,000 1,286
Express Scripts (B)* 76,440 6,170
Forest Laboratories* 131,229 6,750
Genentech (B)* 832,548 68,369
Gilead Sciences* 32,284 2,470
Haemonetics* 15,200 711
Health Net* 2,500 135
Henry Schein* 16,566 914
Hillenbrand Industries 18,700 1,110
Hospira* 2,358 97
Humana* 41,972 2,435
ICU Medical* 4,800 188
Idexx Laboratories* 17,894 1,568
IMS Health 31,600 937
Johnson & Johnson 554,622 33,422
Kinetic Concepts* 19,500 988
- --------------------------------------------------------------------------------
10 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Laboratory of America Holdings* 77,204 $ 5,607
LifePoint Hospitals* 5,800 222
Manor Care 43,053 2,340
McKesson 28,512 1,669
Medco Health Solutions* 56,391 4,090
Medimmune (B)* 479,187 17,438
Medtronic 501,590 24,608
Mentor 21,400 984
Merck 277,521 12,258
Millennium Pharmaceuticals* 28,800 327
Millipore* 277 20
Mylan Laboratories 14,096 298
Novartis ADR* 146,300 7,992
Pediatrix Medical Group* 2,000 114
Pfizer 47,100 1,190
Pharmaceutical Product Development 14,304 482
Quest Diagnostics 10,900 544
Resmed* 17,790 896
Respironics* 8,700 365
Schering-Plough 71,091 1,814
Sciele Pharma (B)* 10,000 237
Sepracor* 2,900 135
Sierra Health Services* 600 25
St. Jude Medical* 515,380 19,383
Stryker (B)* 295,600 19,604
Thermo Fisher Scientific* 337,920 15,798
Triad Hospitals* 3,300 172
United Therapeutics (B)* 37,300 2,006
UnitedHealth Group 1,016,420 53,840
Universal Health Services, Cl B 7,600 435
Varian Medical Systems* 1,809 86
VCA Antech* 57,120 2,074
Vertex Pharmaceuticals* 8,400 236
Waters* 40,449 2,346
WebMD Health, Cl A (B)* 3,400 179
WellCare Health Plans* 21,400 1,824
WellPoint* 90,333 7,326
Wyeth 302,108 15,115
Zimmer Holdings* 499,870 42,694
--------------
550,190
--------------
INDUSTRIALS -- 9.6%
3M 40,774 3,116
Acuity Brands 23,600 1,285
AGCO* 4,200 155
Allied Waste Industries* 11,200 141
American Standard 18,200 965
AMR* 52,047 1,585
Applied Industrial Technologies 2,250 55
Avery Dennison 18,300 1,176
Boeing 124,416 11,062
Brink's 23,500 1,491
Burlington Northern Santa Fe 34,500 2,775
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
C.H. Robinson Worldwide 57,266 $ 2,734
Carlisle 38,800 1,666
Caterpillar 246,672 16,534
Ceradyne (B)* 14,000 766
ChoicePoint* 13,200 494
Con-way 25,209 1,256
Continental Airlines, Cl B* 62,400 2,271
Copart* 22,200 622
Corporate Executive Board 43,175 3,280
Corrections of America* 27,250 1,439
Covanta Holding* 59,700 1,324
CSX 50,900 2,039
Cummins 14,300 2,069
Danaher 18,100 1,293
Donaldson 1,500 54
Dover 94,900 4,632
Dun & Bradstreet 2,700 246
Emerson Electric 461,008 19,865
Equifax 3,752 137
Expeditors International Washington (B) 738,300 30,507
Fastenal 5,300 186
FedEx 107,220 11,519
Gardner Denver* 115,800 4,036
General Electric 1,558,444 55,107
Graco 45,000 1,762
Harsco 3,200 144
Herman Miller 24,371 816
HNI 4,400 202
Honeywell International 44,000 2,027
Illinois Tool Works 3,500 181
Ingersoll-Rand, Cl A 14,279 619
Jacobs Engineering Group* 6,140 286
John H. Harland 5,800 297
Joy Global 2,969 127
Kansas City Southern* 4,900 174
L-3 Communications Holdings 22,100 1,933
Landstar System 4,800 220
Lincoln Electric Holdings 16,300 971
Lockheed Martin 112,415 10,906
Manitowoc 38,700 2,459
Manpower 63,300 4,670
MSC Industrial Direct, Cl A 57,400 2,679
Norfolk Southern 52,300 2,646
Northrop Grumman (B) 65,748 4,880
Oshkosh Truck 9,700 514
Paccar 20,500 1,505
Pall 3,600 137
Parker Hannifin 65,600 5,662
Pitney Bowes 43,149 1,958
Precision Castparts 19,021 1,979
Quanta Services* 15,200 383
Raytheon 65,300 3,426
Republic Services 10,500 292
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 11
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Growth Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Robert Half International (B) 124,900 $ 4,623
Rockwell Automation 26,600 1,593
Rockwell Collins 19,047 1,275
Roper Industries 12,350 678
Southwest Airlines 45,100 663
Stericycle* 16,995 1,385
Terex* 22,800 1,636
Textron 6,900 620
Thomas & Betts* 7,300 356
Toro 9,200 471
Trinity Industries (B) 55,700 2,335
Union Pacific 17,900 1,818
United Parcel Service, Cl B (B) 617,475 43,285
United Technologies 252,010 16,381
US Airways Group* 24,100 1,096
Waste Management 163,000 5,609
WESCO International* 2,600 163
--------------
325,724
--------------
INFORMATION TECHNOLOGY -- 27.8%
Activision* 40,800 773
Acxiom 3,600 77
Adobe Systems* 33,826 1,411
Agere Systems* 72,696 1,644
Agilent Technologies* 174,905 5,893
Akamai Technologies* 104,004 5,192
Alliance Data Systems* 53,200 3,278
Amphenol, Cl A 40,261 2,600
Analog Devices 8,600 297
Apple* 279,539 25,972
Applied Materials (B) 377,805 6,921
Ariba* 15,900 149
ATMI* 28,500 871
Autodesk* 11,900 447
Automatic Data Processing 112,350 5,438
Avaya* 16,200 191
Avnet* 12,300 445
BEA Systems* 177,500 2,057
BMC Software* 135,032 4,158
Cadence Design Systems (B)* 230,811 4,861
CDW 6,800 418
Ceridian* 15,808 551
Checkfree (B)* 95,000 3,524
Cisco Systems* 1,923,176 49,099
Citrix Systems* 7,467 239
Cognizant Technology Solutions, Cl A* 26,601 2,348
Convergys* 5,400 137
Dell* 306,206 7,107
Diebold 24,400 1,164
DST Systems* 26,600 2,000
eBay (B)* 1,729,300 57,326
Electronic Arts* 552,220 27,810
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Electronic Data Systems 56,400 $ 1,561
EMC* 1,037,060 14,363
F5 Networks* 1,700 113
Factset Research Systems 19,800 1,244
Fair Isaac 23,100 894
Fidelity National Information Services 7,300 332
First Data 615,674 16,562
Fiserv* 113,174 6,005
Global Payments 3,369 115
Google, Cl A* 208,931 95,724
Harris 14,627 745
Hewlett-Packard 784,600 31,494
Integrated Device Technology* 60,300 930
Intel 1,117,987 21,387
International Business Machines 241,339 22,749
International Rectifier* 58,100 2,220
Intevac* 16,500 435
Intuit* 1,278,724 34,986
Iron Mountain* 17,312 452
Juniper Networks* 16,600 327
Lam Research* 54,090 2,561
Lexmark International, Cl A* 59,107 3,455
Linear Technology (B) 364,620 11,518
Mastercard, Cl A 6,000 637
McAfee* 28,800 838
MEMC Electronic Materials* 24,559 1,488
Mettler Toledo International* 15,700 1,406
Micron Technology 26,600 321
Microsoft 2,342,088 65,274
MicroStrategy, Cl A (B)* 15,720 1,987
Molex 65,100 1,836
MoneyGram International 14,300 397
Motorola 24,426 432
MPS Group* 10,200 144
NCR* 10,400 497
Network Appliance* 189,300 6,913
Novellus Systems (B)* 44,100 1,412
Nvidia* 86,918 2,502
Oracle* 780,865 14,157
Paychex 1,233,568 46,715
QLogic* 72,000 1,224
Qualcomm (B) 2,351,358 100,309
Rambus* 14,800 314
Red Hat* 9,303 213
Research In Motion* 424,290 57,911
Salesforce.com* 18,300 784
SanDisk (B)* 600,000 26,280
Seagate Technology 1,500,000 34,950
Silicon Laboratories* 3,000 90
Symantec* 119,600 2,069
Synopsys* 101,536 2,663
Talx 7,300 242
Tektronix 5,900 166
Teradyne (B)* 119,100 1,970
- --------------------------------------------------------------------------------
12 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Texas Instruments 246,915 $ 7,432
Trimble Navigation* 41,800 1,122
Varian Semiconductor Equipment Associates (B)* 21,700 1,158
VeriFone Holdings* 13,500 496
Websense (B)* 24,200 556
Western Digital* 126,256 2,122
Western Union* 1,676,784 36,805
Xerox* 10,700 181
Xilinx (B) 81,600 2,100
Yahoo! (B)* 723,100 22,626
--------------
945,309
--------------
MATERIALS -- 1.9%
Air Products & Chemicals 28,300 2,093
Alcoa 64,500 2,187
Allegheny Technologies 28,300 3,019
Cabot 7,800 372
Carpenter Technology 4,200 507
Celanese, Ser A 21,300 657
Crown Holdings* 7,700 188
E.I. Du Pont de Nemours 30,800 1,523
Eagle Materials 91,270 4,073
Ecolab 58,900 2,533
Freeport-McMoRan Copper & Gold, Cl B 3,200 212
International Flavors & Fragrances 43,100 2,035
Martin Marietta Materials 347 47
Monsanto 15,014 825
Nalco Holding* 14,300 342
Newmont Mining 3,500 147
Owens-Illinois* 17,700 456
Packaging of America 6,100 149
Pactiv* 99,800 3,367
PPG Industries 9,100 640
Praxair 503,183 31,680
Rohm & Haas 4,800 248
Sealed Air 2,500 79
Sigma-Aldrich 28,200 1,171
Titanium Metals* 35,100 1,259
Vulcan Materials 45,300 5,277
--------------
65,086
--------------
TELECOMMUNICATION SERVICES -- 1.4%
American Tower, Cl A* 315,878 12,303
Citizens Communications 32,700 489
Crown Castle International (B)* 454,792 14,613
Leap Wireless International* 11,500 759
NII Holdings* 5,370 398
SBA Communications, Cl A* 20,000 591
Sprint Nextel 813,650 15,427
Telephone & Data Systems 34,100 2,033
--------------
46,613
--------------
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
UTILITIES -- 0.6%
AES* 68,160 $ 1,467
Allegheny Energy* 41,500 2,039
Constellation Energy Group 10,300 896
Equitable Resources 20,500 990
Exelon 61,400 4,219
Mirant* 33,500 1,355
NRG Energy (B)* 78,800 5,677
Questar 3,900 348
TXU 59,328 3,803
--------------
20,794
--------------
Total Common Stock
(Cost $2,751,337) ($ Thousands) 3,343,096
--------------
COMMERCIAL PAPER (C) (D) -- 4.9%
FINANCIALS -- 4.9%
Adirondack, Ser 2005-2
5.319%, 04/24/07 $ 7,141 7,116
Brahms Funding
5.314%, 05/14/07 8,823 8,766
5.313%, 04/16/07 6,427 6,412
Buckingham CDO I LLC
5.320%, 04/25/07 6,604 6,580
Buckingham CDO II LLC
5.318%, 04/23/07 8,212 8,185
Buckingham CDO III LLC
5.320%, 04/26/07 7,334 7,306
Citius I Funding
5.320%, 04/26/07 2,856 2,846
Citius II Funding LLC
5.292%, 04/02/07 7,141 7,139
Davis Square Funding
5.310%, 04/13/07 15,711 15,681
Elysian Funding LLC
5.353%, 04/23/07 2,571 2,562
Georgetown Funding
5.316%, 04/20/07 17,353 17,302
KKR Pacific Funding Trust
5.341%, 04/27/07 7,141 7,113
Mica Funding LLC
5.316%, 04/20/07 7,447 7,425
5.313%, 04/16/07 3,571 3,562
5.310%, 04/19/07 2,312 2,305
5.294%, 04/05/07 7,713 7,707
Rhineland Funding Capital
5.354%, 04/30/07 687 684
5.332%, 06/06/07 2,625 2,599
5.315%, 05/15/07 7,613 7,563
5.314%, 05/14/07 3,039 3,019
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 13
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Growth Fund (Concluded)
March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Thornburg Mortgage Capital Resource
5.313%, 04/16/07 $ 1,817 $ 1,813
5.310%, 04/13/07 1,714 1,711
5.309%, 04/12/07 3,571 3,564
5.298%, 04/10/07 6,891 6,881
Valour Bay Capital LLC
5.326%, 05/16/07 8,927 8,866
5.324%, 04/18/07 3,057 3,049
5.319%, 04/12/07 3,571 3,564
Zane Funding
5.369%, 04/24/07 6,741 6,717
5.364%, 04/17/07 219 218
--------------
Total Commercial Paper
(Cost $168,255) ($ Thousands) 168,255
--------------
CORPORATE OBLIGATIONS (C) (E) -- 3.8%
FINANCIALS -- 3.8%
American General Finance (F)
5.370%, 04/16/07 10,355 10,354
Bear Stearns EXL
5.360%, 04/16/07 12,711 12,711
Countrywide Financial MTN
5.428%, 06/27/07 4,285 4,285
Countrywide Financial MTN, Ser A
5.440%, 05/07/07 10,712 10,712
Irish Life & Permanent MTN, Ser X (F)
5.360%, 04/23/07 9,498 9,497
Islandsbanki (F)
5.369%, 04/09/07 10,712 10,712
Jackson National Life Funding (F)
5.320%, 04/02/07 15,711 15,711
Morgan Stanley EXL
5.380%, 04/04/07 2,499 2,499
Morgan Stanley EXL, Ser S
5.340%, 04/03/07 3,571 3,571
Nationwide Building Society (F)
5.410%, 06/28/07 3,928 3,928
5.349%, 04/09/07 7,141 7,141
Northern Rock (F)
5.360%, 04/03/07 7,355 7,355
Premium Asset Trust, Ser 2004-10 (F)
5.380%, 04/16/07 9,998 9,998
SLM EXL, Ser S (F)
5.320%, 04/16/07 7,855 7,855
Skandinav Enskilda Bank (F)
5.320%, 04/18/07 7,855 7,855
Stanfield Victoria LLC MTN (F)
5.445%, 06/11/07 7,141 7,141
--------------
Total Corporate Obligations
(Cost $131,325) ($ Thousands) 131,325
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES (C) (E) (F) -- 0.2%
MORTGAGE RELATED SECURITIES -- 0.2%
Duke Funding, Ser 2004-6B, Cl A1S1
5.430%, 04/09/07 $ 5,356 $ 5,356
Newcastle CDO, Ser 2005-6A, Cl IM1
5.340%, 04/24/07 1,428 1,428
--------------
Total Asset-Backed Securities
(Cost $6,784) ($ Thousands) 6,784
--------------
CASH EQUIVALENTS** -- 3.3%
Merrill Lynch EBP Master,
5.100% 7,827,364 7,827
SEI Daily Income Trust
Prime Obligation Fund,
Cl A, 5.180%++ 52,956,537 52,957
SEI Liquidity Fund LP,
5.520%++ (C) 49,988,485 49,988
--------------
Total Cash Equivalents
(Cost $110,772) ($ Thousands) 110,772
--------------
CERTIFICATES OF DEPOSIT (C) -- 0.3%
Barclays Bank (E) (F)
5.440%, 06/11/07 3,571 3,571
CC USA MTN (F)
5.520%, 06/18/07 7,141 7,141
Thornburg Mortgage Capital Resource
5.309%, 04/11/07 888 886
--------------
Total Certificates of Deposit
(Cost $11,598) ($ Thousands) 11,598
--------------
U.S. TREASURY OBLIGATION (A) (D) -- 0.1%
U.S. Treasury Bill
5.044%, 05/24/07 2,465 2,448
--------------
Total U.S. Treasury Obligation
(Cost $2,447) ($ Thousands) 2,448
--------------
MASTER NOTE (C) (D)-- 0.1%
Bear Stearns
5.558%, 03/31/07 2,143 2,143
--------------
Total Master Note
(Cost $2,143) ($ Thousands) 2,143
--------------
- --------------------------------------------------------------------------------
14 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS (C) (G) -- 2.2%
Barclays
5.340%, dated 03/30/07, to be
repurchased on 04/02/07,
repurchase price $3,413,018
(collateralized by a U.S.
Government Obligation, par
value $3,385,791, 5.600%,
10/17/13; with total market
value $3,479,800) $ 3,411 $ 3,411
Deutsche Bank
5.350%, dated 03/30/07, to be
repurchased on 04/02/07,
repurchase price $29,632,096
(collateralized by various
U.S. Government Obligations,
ranging in par value $195,312-
$10,863,926, 0.000%-6.110%,
05/16/07-10/15/19; with total
market value $30,211,274) 29,619 29,619
Lehman Brothers
5.350%, dated 03/30/07, to be
repurchased on 04/02/07,
repurchase price $42,866,375
(collateralized by various
U.S. Government Obligations,
ranging in par value $3,101,071-
$5,224,511, 2.625%-10.351%,
05/15/07-08/03/18; with total
market value $43,704,510) 42,847 42,847
--------------
Total Repurchase Agreements
(Cost $75,877) ($ Thousands) 75,877
--------------
Total Investments -- 113.1%
(Cost $3,260,538) ($ Thousands) $ 3,852,298
==============
Futures -- A summary of the open futures contracts held by the Fund at March
31, 2007, 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 124 Jun-2007 $ 426
==============
Percentages are based on Net Assets of $3,405,726 ($ Thousands).
* Non-Income Producing Security.
** Rate shown is the 7-day effective yield as of March 31, 2007.
+++ Narrow industries are utilized for compliance purposes, whereas broad
sectors are utilized for reporting.
+ Real Estate Investment Trust.
++ Investment in Affiliated Registered Investment Company (see Note 3).
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(B) This security or a partial position of this security is on loan at March
31, 2007 (see Note 7). The total value of securities on loan at March 31,
2007 was $435,572 ($ 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 March 31, 2007
was $445,970 ($ 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 March 31, 2007. The date reported on the
Schedule of Investments is the next reset date.
(F) Securities sold within terms of a private placement memorandum, exempt
from registration under Section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors." 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
LP -- Limited Partnership
MTN -- Medium Term Note
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 15
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Large Cap Fund
March 31, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS#:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Financials 27.4%
Information Technology 14.4%
Health Care 9.8%
Consumer Discretionary 9.7%
Energy 9.1%
Consumer Staples 8.0%
Industrials 6.5%
Short-Term Investments 6.1%
Telecommunication Services 3.4%
Materials 2.9%
Utilities 2.4%
Asset-Backed Securities 0.2%
U.S. Treasury Obligation 0.1%
Warrants 0.0%
# Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 7).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 96.2%
CONSUMER DISCRETIONARY -- 10.8%
Abercrombie & Fitch, Cl A 4,600 $ 348
Aeropostale* 14,500 583
Amazon.com (B)* 5,100 203
American Eagle Outfitters 19,500 585
American Greetings, Cl A 2,500 58
Apollo Group, Cl A (B)* 15,025 660
Autoliv 63,500 3,626
Autonation* 18,800 399
Autozone* 3,200 410
Barnes & Noble 21,250 838
Bed Bath & Beyond* 5,700 229
Best Buy 15,375 749
Big Lots (B)* 30,600 957
Black & Decker 15,550 1,269
BorgWarner (B) 24,500 1,848
Brinker International 24,850 813
Brunswick 2,700 86
Cablevision Systems, Cl A 19,800 603
Carmax* 4,080 100
Cavco Industries* 130 5
CBRL Group 5,000 231
CBS, Cl B 161,869 4,952
CEC Entertainment* 3,000 125
Centex 2,600 109
Cheesecake Factory* 1,125 30
Chico's FAS* 1,400 34
Clear Channel Communications 1,400 49
Clear Channel Outdoor Holdings, Cl A* 9,900 260
Coach* 79,500 3,979
Comcast, Cl A (B)* 276,511 7,175
Comcast, Special Cl A* 7,050 180
DaimlerChrysler 7,500 614
Darden Restaurants 17,600 725
DeVry 1,021 30
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Dick's Sporting Goods (B)* 14,600 $ 851
Dillard's, Cl A (B) 26,000 851
DIRECTV Group (B)* 134,865 3,111
Discovery Holding, Cl A* 4,780 91
Dollar Tree Stores* 28,000 1,071
Dow Jones 203 7
DR Horton 5,650 124
DreamWorks Animation SKG, Cl A* 5,600 171
DSW, Cl A* 2,000 84
Eastman Kodak (B) 58,500 1,320
EchoStar Communications, Cl A* 40,350 1,752
Ethan Allen Interiors (B) 30,500 1,078
Expedia* 1,535 36
Federated Department Stores (B) 74,122 3,339
Foot Locker 10,700 252
Ford Motor (B) 91,500 722
Fortune Brands (B) 95,072 7,494
GameStop, Cl A* 3,622 118
Gannett 39,550 2,226
Gap 56,350 970
General Motors (B) 114,200 3,499
Gentex (B) 57,900 941
Genuine Parts 4,950 243
Getty Images* 600 29
Goodyear Tire & Rubber (B)* 55,150 1,720
H&R Block (B) 6,800 143
Harley-Davidson (B) 12,500 734
Harrah's Entertainment 3,403 287
Hasbro 141,000 4,035
Hearst-Argyle Television 700 19
Hilton Hotels 8,250 297
Home Depot 173,000 6,356
IAC/InterActive (B)* 6,192 233
Idearc* 19,099 670
International Game Technology 381,200 15,393
International Speedway, Cl A 1,200 62
Interpublic Group (B)* 3,050 38
ITT Educational Services* 1,200 98
J Crew Group* 3,000 120
J.C. Penney 60,800 4,995
Johnson Controls 21,400 2,025
Jones Apparel Group 44,200 1,358
KB Home (B) 11,850 506
Kohl's* 80,580 6,173
Lamar Advertising, Cl A (B)* 40,309 2,538
Las Vegas Sands* 1,850 160
Leggett & Platt 64,050 1,452
Lennar, Cl A 2,600 110
Lennar, Cl B 260 10
Liberty Global, Cl A (B)* 3,170 104
Liberty Global, Ser C* 2,201 67
Liberty Media Holding-Capital, Ser A* 2,390 264
Liberty Media Holding-Interactive, Cl A* 11,950 285
- --------------------------------------------------------------------------------
16 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Limited Brands (B) 9,450 $ 246
Live Nation* 7,151 158
Liz Claiborne 3,400 146
Lowe's 298,204 9,390
Marriott International, Cl A (B) 11,600 568
Mattel 194,000 5,349
McDonald's 317,962 14,324
McGraw-Hill 258,281 16,241
MDC Holdings (B) 1,150 55
MGM Mirage (B)* 233,800 16,254
Midas* 9,000 194
Mohawk Industries (B)* 1,900 156
News, Cl A 102,894 2,379
Nike, Cl B 45,100 4,792
Nordstrom 9,800 519
NVR* 1,800 1,197
O'Reilly Automotive* 1,800 60
Office Depot* 18,100 636
OfficeMax 600 32
Omnicom Group 10,000 1,024
OSI Restaurant Partners 950 38
PetSmart 5,300 175
Priceline.com* 17,800 948
Pulte Homes 27,600 730
RadioShack 1,400 38
Regal Entertainment Group, Cl A 3,550 71
Ross Stores 14,300 492
Ruby Tuesday 1,300 37
Ryland Group (B) 1,250 53
Saks (B) 44,300 923
Sears Holdings* 2,690 485
Select Comfort* 7,000 125
ServiceMaster 7,200 111
Shaw Communications, Cl B 42,300 1,562
Sherwin-Williams 21,600 1,426
Snap-On 3,900 188
Standard-Pacific (B) 2,450 51
Stanley Works 12,600 698
Staples 681,050 17,598
Starbucks* 156,900 4,920
Starwood Hotels & Resorts Worldwide 13,150 853
Target 177,540 10,521
Tempur-Pedic International (B)* 7,100 185
Tiffany 1,300 59
Tim Hortons 25,189 766
Time Warner 789,419 15,567
TJX 24,000 647
Toll Brothers* 3,000 82
TravelCenters of America LLC* 90 3
Tribune (B) 90,950 2,920
Universal Technical Institute* 12,300 284
Urban Outfitters* 1,650 44
VF 42,200 3,487
Viacom, Cl B* 148,784 6,117
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Virgin Media 3,850 $ 97
Walt Disney 155,500 5,354
Washington Post, Cl B 100 76
Weight Watchers International (B) 210,000 9,679
Wendy's International 38,500 1,205
Whirlpool (B) 23,594 2,003
Williams-Sonoma (B) 102,680 3,641
Wyndham Worldwide* 11,330 387
Wynn Resorts (B) 1,100 104
XM Satellite Radio Holdings,
Cl A (B)* 7,100 92
Yum! Brands 36,800 2,126
--------------
284,182
--------------
CONSUMER STAPLES -- 8.9%
Altria Group 159,100 13,971
Anheuser-Busch 16,100 812
Archer-Daniels-Midland 42,357 1,554
Avon Products 11,200 417
BJ's Wholesale Club* 9,000 304
Brown-Forman, Cl B 1,200 79
Bunge (B) 9,500 781
Campbell Soup 7,500 292
Clorox 25,950 1,653
Coca-Cola 269,501 12,936
Coca-Cola Enterprises 109,250 2,212
Colgate-Palmolive 88,152 5,888
ConAgra Foods 236,000 5,879
Constellation Brands, Cl A* 3,000 63
Costco Wholesale 114,669 6,174
CVS 155,560 5,311
Dean Foods* 40,610 1,898
Del Monte Foods 121,900 1,399
Energizer Holdings (B)* 27,900 2,381
Estee Lauder, Cl A 34,400 1,680
General Mills 107,200 6,241
Hershey 14,500 793
HJ Heinz 10,950 516
Hormel Foods 5,300 197
JM Smucker 8,600 458
Kellogg (B) 12,500 643
Kimberly-Clark 99,200 6,794
Kraft Foods, Cl A (B) 27,850 882
Kroger 180,500 5,099
Loews - Carolina 5,300 401
McCormick 2,100 81
Molson Coors Brewing, Cl B 10,900 1,031
Peet's Coffee & Tea* 2,200 61
Pepsi Bottling Group 2,200 70
PepsiAmericas 38,200 853
PepsiCo 354,447 22,529
Prestige Brands Holdings* 7,700 91
Procter & Gamble 786,226 49,658
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 17
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Large Cap Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Reynolds American (B) 99,000 $ 6,179
Safeway 112,434 4,120
Sara Lee 60,900 1,030
Smithfield Foods* 2,700 81
Supervalu 29,768 1,163
Sysco 13,450 455
TreeHouse Foods* 282 9
Tyson Foods, Cl A 52,072 1,011
UST 46,400 2,690
Wal-Mart Stores 521,568 24,488
Walgreen 571,150 26,210
Whole Foods Market 2,500 112
WM Wrigley Jr. (B) 95,627 4,870
--------------
234,500
--------------
ENERGY -- 10.1%
Anadarko Petroleum 63,500 2,729
Apache 4,771 337
Arch Coal 900 28
Baker Hughes 254,077 16,802
BJ Services 7,200 201
Cabot Oil & Gas 500 34
Cameron International* 1,450 91
Chesapeake Energy 1,000 31
Chevron 481,162 35,587
Cimarex Energy 5,685 210
ConocoPhillips 282,888 19,335
Consol Energy 2,800 110
Cross Timbers Royalty Trust 53 2
Devon Energy 114,490 7,925
Dresser-Rand Group* 1,150 35
El Paso (B) 30,300 438
EnCana 40,600 2,056
ENSCO International 6,000 326
EOG Resources 2,900 207
Exxon Mobil 1,131,082 85,340
FMC Technologies* 500 35
Forest Oil (B)* 2,300 77
Foundation Coal Holdings 2,050 70
Grant Prideco* 24,700 1,231
Halliburton (B) 289,716 9,196
Helix Energy Solutions Group* 850 32
Helmerich & Payne 25,400 771
Hess 62,550 3,470
Holly (B) 30,600 1,815
Kinder Morgan 4,400 468
Marathon Oil 128,187 12,669
Mariner Energy* 931 18
Massey Energy 2,100 50
Murphy Oil (B) 7,800 416
National Oilwell Varco* 10,430 811
Newfield Exploration* 5,100 213
Noble Energy 20,950 1,250
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Occidental Petroleum 109,400 $ 5,394
Patterson-UTI Energy 14,000 314
Peabody Energy 4,400 177
Petro-Canada 27,000 1,059
Pioneer Natural Resources (B) 9,900 427
Plains Exploration & Production* 1,250 56
Pogo Producing (B) 3,450 166
Pride International* 1,050 32
Rowan 5,600 182
Schlumberger 366,916 25,354
SEACOR Holdings* 300 30
Smith International (B) 7,200 346
Spectra Energy* 10,922 287
Suncor Energy 161,144 12,303
Sunoco 49,900 3,515
Tidewater 20,300 1,189
Transocean* 12,800 1,046
Unit* 10,750 544
Valero Energy 87,230 5,625
Weatherford International* 64,990 2,931
Williams 14,800 421
XTO Energy 23,776 1,303
--------------
267,117
--------------
FINANCIALS -- 22.4%
21st Century Insurance Group 4,500 95
A.G. Edwards 20,000 1,384
ACE 24,500 1,398
Affiliated Managers Group* 1,350 146
Affordable Residential Communities+* 43,900 533
Aflac 9,650 454
Allstate 188,500 11,321
AMB Property+ 1,700 100
AMBAC Financial Group 3,900 337
American Express 299,309 16,881
American International Group 467,112 31,399
American National Insurance 300 38
AmeriCredit (B)* 26,600 608
Ameriprise Financial 10,100 577
Annaly Capital Management+ 5,800 90
AON 40,450 1,535
Archstone-Smith Trust+ (B) 4,550 247
Arthur J. Gallagher (B) 950 27
Assurant 43,100 2,311
Astoria Financial 41,100 1,093
AvalonBay Communities+ 700 91
Axis Capital Holdings 86,950 2,944
Bank of America 942,725 48,098
Bank of Hawaii 50 3
Bank of New York 43,200 1,752
BB&T 120,700 4,951
Bear Stearns (B) 23,900 3,593
- --------------------------------------------------------------------------------
18 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Boston Properties+ (B) 1,600 $ 188
Brookfield Asset Management, Cl A 52,000 2,718
Capital One Financial 17,901 1,351
CapitalSource+ (B) 2,900 73
CB Richard Ellis Group, Cl A* 1,300 44
CBL & Associates Properties+ 700 31
Cbot Holdings, Cl A* 400 73
Charles Schwab 471,693 8,627
Chicago Mercantile Exchange Holdings, Cl A (B) 28,650 15,255
Chubb (B) 123,600 6,386
Cincinnati Financial 40,752 1,728
CIT Group 70,900 3,752
Citigroup 1,056,862 54,259
Citizens Banking 900 20
Colonial Properties Trust+ (B) 2,500 114
Comerica 92,100 5,445
Commerce Bancorp (B) 800 27
Commerce Group 2,500 75
Compass Bancshares 2,000 138
Countrywide Financial (B) 160,198 5,389
Credicorp 1,500 73
Crescent Real Estate Equities+ 1,000 20
Developers Diversified Realty+ (B) 1,250 79
Duke Realty+ (B) 5,550 241
E*Trade Financial* 3,700 79
Equity Residential+ (B) 8,950 432
Erie Indemnity, Cl A 3,500 185
Essex Property Trust+ 400 52
Fannie Mae 102,200 5,578
Federal Realty Investment Trust+ 300 27
Fidelity National Financial, Cl A 32,834 788
Fifth Third Bancorp 5,600 217
First American 52,700 2,673
First Horizon National (B) 25,400 1,055
First Marblehead (B) 30,975 1,390
First Mercury Financial* 5,800 119
FirstMerit 2,600 55
Forest City Enterprises, Cl A (B) 450 30
Franklin Resources 12,800 1,547
Freddie Mac 258,537 15,380
General Growth Properties+ (B) 2,100 136
Genworth Financial, Cl A 47,700 1,667
Goldman Sachs Group 39,800 8,224
Greater Bay Bancorp 1,850 50
Hanover Insurance Group 37,900 1,748
Hartford Financial Services Group 67,800 6,480
HCC Insurance Holdings 3,000 92
Health Care Property Investors+ (B) 11,200 404
Health Care+ (B) 650 29
Highwoods Properties+ 1,500 59
Hospitality Properties Trust+ 8,900 417
Host Hotels & Resorts+ (B) 16,732 440
HRPT Properties Trust+ 7,250 89
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Huntington Bancshares 80,000 $ 1,748
IndyMac Bancorp (B) 61,800 1,981
IntercontinentalExchange (B)* 150,500 18,393
Investment Technology Group* 2,400 94
iStar Financial+ 4,600 215
Janus Capital Group (B) 61,300 1,282
JER Investors Trust+ 13,100 249
Jones Lang LaSalle 14,700 1,533
JPMorgan Chase 764,620 36,992
Keycorp (B) 190,400 7,134
Kilroy Realty+ 600 44
Kimco Realty+ 1,600 78
Legg Mason (B) 76,920 7,247
Lehman Brothers Holdings 99,638 6,982
Lexington Realty Trust+ 8,900 188
Liberty Property Trust+ (B) 1,650 80
Lincoln National 69,036 4,680
Loews 99,800 4,534
M&T Bank 1,750 203
Macerich+ 1,350 125
Mack-Cali Realty+ 2,400 114
Manulife Financial 12,446 429
Markel* 100 48
Marsh & McLennan 8,553 251
Marshall & Ilsley (B) 4,600 213
MBIA 46,500 3,045
Mellon Financial (B) 25,100 1,083
Merrill Lynch 293,600 23,978
Metlife 34,200 2,160
MGIC Investment 28,500 1,679
Moody's (B) 225,800 14,013
Morgan Stanley 284,400 22,399
NASDAQ Stock Market* 1,200 35
National City (B) 263,400 9,812
Nationwide Financial Services, Cl A 37,850 2,039
New York Community Bancorp (B) 2,237 39
Northern Trust 5,700 343
Nuveen Investments, Cl A 1,200 57
NYSE Group (B)* 400 37
Old Republic International 76,506 1,692
Oriental Financial Group 9,800 115
Pacific Capital Bancorp 3,600 116
Peoples Bank (B) 2,250 100
Phoenix 15,400 214
Piper Jaffray* 366 23
Plum Creek Timber+ (B) 4,700 185
PMI Group 59,100 2,672
PNC Financial Services Group 38,207 2,750
Popular (B) 26,300 436
Principal Financial Group 86,800 5,197
Progressive 82,000 1,789
Prologis+ 13,854 900
Protective Life 2,000 88
Prudential Financial 57,900 5,226
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 19
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Large Cap Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Public Storage+ 2,050 $ 194
Radian Group (B) 33,000 1,811
Raymond James Financial 2,025 60
Rayonier+ 1,600 69
Realogy* 4,787 142
Realty Income+ (B) 1,050 30
Regency Centers+ 850 71
Regions Financial (B) 211,171 7,469
Reinsurance Group of America 55,700 3,215
Safeco 62,400 4,145
SeaBright Insurance Holdings* 4,700 86
Simon Property Group+ (B) 9,925 1,104
SL Green Realty+ (B) 833 114
SLM 21,900 896
Sovereign Bancorp 8,190 208
St. Joe (B) 1,750 92
State Street 2,655 172
SunTrust Banks (B) 146,750 12,186
SVB Financial Group (B)* 1,550 75
Synovus Financial 900 29
T. Rowe Price Group 5,000 236
Taubman Centers+ 2,350 136
TCF Financial (B) 2,200 58
TD Ameritrade Holding* 4,350 65
TD Banknorth 1,127 36
Thornburg Mortgage+ (B) 50,400 1,310
Torchmark 2,450 161
Toronto-Dominion Bank 541 33
Transatlantic Holdings 1,100 72
Travelers 223,531 11,572
UnionBanCal 25,050 1,589
Unitrin 5,950 280
UnumProvident (B) 47,750 1,100
US Bancorp 463,061 16,193
Ventas+ (B) 1,150 48
Vornado Realty Trust+ (B) 1,700 203
Wachovia 349,034 19,214
Waddell & Reed Financial, Cl A 3,900 91
Washington Mutual (B) 322,637 13,028
Weingarten Realty Investors+ (B) 1,400 67
Wells Fargo 233,700 8,046
Whitney Holding 1,200 37
XL Capital, Cl A 14,600 1,021
Zions Bancorporation 1,600 135
--------------
591,512
--------------
HEALTH CARE -- 10.9%
Abbott Laboratories 165,000 9,207
Advanced Medical Optics (B)* 1,222 45
Aetna 82,500 3,613
Alcon 3,800 501
Allergan 143,454 15,898
AmerisourceBergen 71,676 3,781
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Amgen* 173,002 $ 9,667
AMN Healthcare Services* 3,600 81
Applera - Applied Biosystems Group 11,150 330
Barr Pharmaceuticals* 1,650 76
Bausch & Lomb 750 38
Baxter International 11,050 582
Beckman Coulter 600 38
Becton Dickinson 32,550 2,503
Biogen Idec* 10,820 480
Biomet 5,025 214
Boston Scientific* 20,717 301
Bristol-Myers Squibb 28,700 797
C.R. Bard 3,800 302
Cardinal Health 28,930 2,110
Celgene (B)* 113,990 5,980
Cephalon* 400 28
Charles River Laboratories International* 35,700 1,651
Cigna 33,200 4,736
Community Health Systems* 1,700 60
Cooper 600 29
Covance* 350 21
Coventry Health Care* 1,424 80
Cytyc* 6,000 205
Dade Behring Holdings 600 26
DaVita* 2,325 124
Dentsply International 900 29
Dionex* 4,900 334
Eli Lilly 18,041 969
Emdeon (B)* 10,300 156
Express Scripts* 21,800 1,760
Forest Laboratories* 41,600 2,140
Genentech (B)* 391,151 32,121
Genzyme* 4,350 261
Gilead Sciences* 16,500 1,262
Haemonetics* 18,600 870
Health Net* 1,600 86
Hospira* 4,710 193
Humana* 8,600 499
ICU Medical* 10,200 400
Idexx Laboratories* 250 22
ImClone Systems* 650 26
IMS Health 3,944 117
Intuitive Surgical* 350 43
Invitrogen (B)* 1,350 86
Johnson & Johnson 148,230 8,932
King Pharmaceuticals (B)* 146,900 2,890
Laboratory of America Holdings* 14,000 1,017
LifePoint Hospitals* 700 27
Lincare Holdings* 1,750 64
Manor Care 3,700 201
McKesson 36,326 2,127
Medco Health Solutions* 18,996 1,378
- --------------------------------------------------------------------------------
20 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Medicis Pharmaceutical, Cl A 1,000 $ 31
Medimmune (B)* 233,480 8,496
Medtronic 189,929 9,318
Merck 371,935 16,428
Millennium Pharmaceuticals* 3,950 45
Millipore* 700 51
Mylan Laboratories 19,800 419
Novartis ADR* 66,200 3,617
Omnicare 1,272 51
Patterson* 2,100 75
PDL BioPharma (B)* 2,150 47
PerkinElmer 11,950 289
Pfizer 1,479,133 37,363
Pharmaceutical Product Development 4,300 145
Quest Diagnostics 2,400 120
Schering-Plough 53,331 1,360
Sciele Pharma* 11,900 282
Sepracor* 1,250 58
St. Jude Medical* 268,290 10,090
STERIS 13,500 359
Stryker (B)* 134,537 8,922
Tenet Healthcare (B)* 86,900 559
Thermo Fisher Scientific* 149,906 7,008
Triad Hospitals* 800 42
United Therapeutics* 12,400 667
UnitedHealth Group 437,892 23,195
Universal Health Services, Cl B 800 46
Valeant Pharmaceuticals International 6,000 104
Varian Medical Systems* 1,100 52
Waters* 5,800 336
Watson Pharmaceuticals* 1,550 41
WellCare Health Plans* 600 51
WellPoint* 63,748 5,170
Wyeth 264,475 13,232
Zimmer Holdings* 229,541 19,605
--------------
289,188
--------------
INDUSTRIALS -- 7.3%
3M 32,700 2,499
ACCO Brands* 482 12
Acuity Brands 7,100 387
AGCO (B)* 1,500 55
Alliant Techsystems (B)* 1,300 114
Allied Waste Industries* 6,854 86
American Standard 3,600 191
AMR* 5,750 175
Applied Industrial Technologies 3,300 81
Armor Holdings* 450 30
Avery Dennison 6,900 443
Avis Budget Group 5,200 142
Boeing 52,803 4,695
Brink's 650 41
Burlington Northern Santa Fe 12,900 1,038
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
C.H. Robinson Worldwide (B) 3,200 $ 153
Caterpillar 150,000 10,055
ChoicePoint* 1,300 49
Cintas 1,100 40
Continental Airlines, Cl B (B)* 2,450 89
Cooper Industries, Cl A 1,600 72
Covanta Holding* 1,150 26
Crane 850 34
CSX 128,200 5,134
Cummins 24,500 3,546
Danaher 10,200 729
Deere 32,750 3,558
Dover 14,350 700
DRS Technologies 1,500 78
Dun & Bradstreet 800 73
Eaton 49,300 4,120
Emerson Electric 148,600 6,403
EnPro Industries* 2,700 97
Equifax 7,000 255
Expeditors International Washington (B) 303,400 12,536
Fastenal (B) 2,800 98
FedEx 51,400 5,522
Flowserve 6,000 343
Fluor (B) 750 67
Gardner Denver* 22,200 774
GATX 1,600 76
General Dynamics 6,200 474
General Electric 1,156,522 40,895
Genlyte Group* 1,300 92
Goodman Global* 8,300 146
Goodrich 3,950 203
Graco 21,300 834
Harsco 4,600 206
Herman Miller 1,900 64
Honeywell International 152,700 7,033
HUB Group, Cl A* 200 6
Hubbell, Cl B 1,650 80
Hudson Highland Group* 750 12
IKON Office Solutions 5,300 76
Illinois Tool Works 8,900 459
Ingersoll-Rand, Cl A 53,000 2,299
ITT 4,000 241
Jacobs Engineering Group* 2,080 97
Joy Global 1,800 77
Kansas City Southern (B)* 1,000 36
Kirby* 2,100 73
L-3 Communications Holdings 25,000 2,187
Lennox International 18,300 653
Lockheed Martin 55,100 5,346
Manitowoc 650 41
Manpower 5,900 435
Masco (B) 76,550 2,097
Monster Worldwide* 5,000 237
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 21
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Large Cap Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
MSC Industrial Direct, Cl A 15,800 $ 738
Norfolk Southern (B) 76,200 3,856
Northrop Grumman (B) 147,334 10,935
Paccar (B) 10,112 742
Pall 4,750 181
Parker Hannifin 32,800 2,831
Pentair 2,400 75
PHH* 957 29
Pitney Bowes 4,450 202
Precision Castparts 800 83
Quanta Services (B)* 8,100 204
Raytheon 55,100 2,891
Republic Services 9,600 267
Robert Half International 35,500 1,314
Rockwell Automation 6,000 359
Rockwell Collins 18,300 1,225
RR Donnelley & Sons 62,100 2,272
Ryder System 19,800 977
Shaw Group* 1,550 48
Skywest 4,400 118
Southwest Airlines 18,950 279
SPX 13,850 972
Steelcase, Cl A 4,450 89
Stericycle* 400 33
Swift Transportation* 2,100 65
Terex* 850 61
Textron 9,100 817
Timken 27,500 834
Trinity Industries 4,000 168
UAL (B)* 900 34
Union Pacific 8,100 823
United Parcel Service, Cl B 257,700 18,065
United Rentals (B)* 42,350 1,165
United Technologies 126,112 8,197
URS* 900 38
US Airways Group (B)* 1,100 50
USG (B)* 500 23
Viad 850 33
Waste Management 35,000 1,204
WW Grainger 4,800 371
YRC Worldwide* 700 28
--------------
191,711
--------------
INFORMATION TECHNOLOGY -- 16.1%
3Com* 6,400 25
Activision* 1,800 34
Acxiom 1,900 41
ADC Telecommunications* 3,200 54
Adobe Systems (B)* 30,012 1,251
Advanced Micro Devices* 7,950 104
Advent Software* 1,400 49
Affiliated Computer Services, Cl A* 2,100 124
Agilent Technologies* 27,700 933
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Akamai Technologies (B)* 18,300 $ 913
Altera* 6,400 128
Amkor Technology (B)* 16,800 210
Amphenol, Cl A 2,200 142
Analog Devices 11,050 381
Andrew* 9,250 98
Apple (B)* 123,900 11,512
Applied Materials (B) 124,916 2,288
Arrow Electronics* 53,900 2,035
Atmel* 4,600 23
Autodesk* 4,100 154
Automatic Data Processing 36,400 1,762
Avaya* 7,550 89
Avnet* 80,900 2,924
AVX 9,900 150
BEA Systems* 19,700 228
BearingPoint (B)* 6,450 49
BMC Software* 8,900 274
Broadcom, Cl A* 6,450 207
Brooks Automation* 1,700 29
CA 23,200 601
Cadence Design Systems* 57,200 1,205
CDW 1,795 110
Ceridian* 1,482 52
Checkfree (B)* 22,000 816
Ciena* 1,500 42
Cisco Systems* 702,433 17,933
Citrix Systems* 14,250 456
Cognizant Technology Solutions,
Cl A* 11,456 1,011
Computer Sciences* 40,200 2,096
Compuware* 3,762 36
Convergys* 57,600 1,464
Corning* 25,700 584
CSG Systems International* 8,100 203
Cypress Semiconductor* 6,250 116
Dell* 153,613 3,565
Diebold (B) 2,900 138
Dolby Laboratories, Cl A* 4,600 159
DST Systems (B)* 850 64
eBay (B)* 754,134 25,000
Electronic Arts* 271,142 13,655
Electronic Data Systems 91,100 2,522
EMC* 476,440 6,599
F5 Networks* 1,050 70
Fair Isaac 38,850 1,503
Fairchild Semiconductor
International* 1,700 28
Fidelity National Information Services 5,129 233
First Data 317,031 8,528
Fiserv* 56,850 3,016
Global Payments 4,000 136
Google, Cl A* 94,185 43,152
Harris 6,000 306
- --------------------------------------------------------------------------------
22 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Hewlett-Packard 571,938 $ 22,958
Ingram Micro, Cl A* 156,200 3,016
Integrated Device Technology* 9,200 142
Intel 411,236 7,867
International Business Machines 87,836 8,279
International Rectifier* 10,600 405
Intersil, Cl A 2,750 73
Intevac* 28,600 754
Intuit* 568,700 15,560
Iron Mountain* 4,725 123
Itron* 1,900 124
Jabil Circuit 2,650 57
Juniper Networks (B)* 12,850 253
Kemet* 6,000 46
Kla-Tencor 2,600 139
Kronos* 10,000 535
Lam Research* 2,600 123
Lexmark International, Cl A* 56,450 3,300
Linear Technology (B) 185,681 5,866
LSI Logic (B)* 6,906 72
Mastercard, Cl A (B) 600 64
McAfee* 4,400 128
MEMC Electronic Materials* 800 48
Methode Electronics 1,600 24
Mettler Toledo International* 2,300 206
Microchip Technology 3,650 130
Micron Technology 5,800 70
Microsoft 688,838 19,198
MKS Instruments (B)* 1,750 45
Molex 700 20
MoneyGram International 3,400 94
Motorola 144,700 2,557
MPS Group* 32,400 458
National Semiconductor 24,800 599
NAVTEQ (B)* 2,150 74
Network Appliance* 51,500 1,881
Novell* 3,500 25
Novellus Systems (B)* 5,300 170
Nvidia* 59,700 1,718
Oracle* 193,583 3,510
Paychex 535,917 20,295
Perot Systems, Cl A* 6,700 120
PMC - Sierra (B)* 8,950 63
Polycom* 11,200 373
QLogic* 4,300 73
Qualcomm 1,058,232 45,144
Rambus* 1,600 34
Red Hat (B)* 3,800 87
Research In Motion* 194,520 26,550
RF Micro Devices* 17,400 108
Sabre Holdings, Cl A 4,850 159
Salesforce.com* 1,500 64
SanDisk (B)* 265,750 11,640
Sanmina-SCI* 157,000 568
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Seagate Technology (B) 650,000 $ 15,145
Semtech* 5,750 77
Silicon Laboratories* 800 24
Sirf Technology Holdings* 13,400 372
Smith Micro Software* 10,900 203
Solectron (B)* 216,300 681
Sun Microsystems* 106,000 637
Sybase* 2,400 61
Symantec (B)* 43,827 758
Synopsys* 2,789 73
Talx 8,100 268
Tech Data (B)* 15,593 558
Tektronix 1,600 45
Tellabs* 8,050 80
Teradyne (B)* 46,300 766
Texas Instruments 40,000 1,204
Unisys (B)* 6,200 52
Varian Semiconductor Equipment
Associates* 18,500 987
Verigy* 863 20
VeriSign* 7,450 187
Vishay Intertechnology (B)* 81,300 1,137
Western Digital* 35,400 595
Western Union* 768,591 16,871
Xerox* 179,200 3,027
Xilinx (B) 11,000 283
Yahoo! (B)* 389,323 12,182
Zebra Technologies, Cl A* 450 17
--------------
423,909
--------------
MATERIALS -- 3.2%
Air Products & Chemicals 9,900 732
Alcoa 186,500 6,322
Allegheny Technologies 2,855 305
Ashland 30,600 2,007
Ball 4,400 202
Carpenter Technology 450 54
Chemtura 4,350 48
Crown Holdings* 3,000 73
Dow Chemical 207,800 9,530
E.I. Du Pont de Nemours (B) 110,200 5,447
Eagle Materials 27,006 1,205
Eastman Chemical 23,800 1,507
Ecolab 11,200 482
Florida Rock Industries 900 61
Freeport-McMoRan Copper & Gold,
Cl B 8,986 595
Headwaters* 15,100 330
Hercules* 23,450 458
Huntsman 1,600 31
International Flavors & Fragrances 3,100 146
International Paper (B) 71,100 2,588
Lubrizol 58,900 3,035
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 23
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Large Cap Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Lyondell Chemical 17,200 $ 515
Martin Marietta Materials 550 74
MeadWestvaco 37,350 1,152
Methanex 58,300 1,302
Monsanto 12,438 684
Newmont Mining (B) 9,500 399
Nova Chemicals 5,500 170
Nucor 84,000 5,471
OM Group (B)* 12,600 563
Owens-Illinois* 2,750 71
Pactiv* 8,000 270
PPG Industries 50,200 3,530
Praxair 251,040 15,805
Quanex 30,750 1,302
Reliance Steel & Aluminum 1,200 58
Rohm & Haas 35,800 1,852
RPM International 3,000 69
Sealed Air 21,000 664
Sigma-Aldrich 2,700 112
Smurfit-Stone Container* 49,800 561
Sonoco Products 14,800 556
Southern Copper (B) 22,900 1,641
Steel Dynamics 58,900 2,544
Temple-Inland 2,200 131
Titanium Metals* 1,450 52
Tronox, Cl B 655 9
United States Steel 42,700 4,235
Valspar 30,400 846
Vulcan Materials 15,100 1,759
Weyerhaeuser 35,107 2,624
--------------
84,179
--------------
TELECOMMUNICATION SERVICES -- 3.8%
Alltel 48,100 2,982
American Tower, Cl A* 144,584 5,632
AT&T 995,866 39,267
CenturyTel 97,900 4,424
Citizens Communications (B) 13,450 201
Crown Castle International (B)* 192,012 6,169
Embarq 25,212 1,421
Level 3 Communications (B)* 14,400 88
NII Holdings* 400 30
Qwest Communications International (B)* 52,061 468
SBA Communications, Cl A* 2,550 75
Sprint Nextel 830,062 15,738
Telephone & Data Systems 10,900 650
Telephone & Data Systems, Special Shares 2,600 145
US Cellular* 6,500 478
Verizon Communications (B) 602,405 22,843
Vodafone Group ADR (B) 22,600 607
Windstream 8,323 122
--------------
101,340
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
UTILITIES -- 2.7%
AES* 6,050 $ 130
Allegheny Energy* 11,900 585
Alliant Energy 51,100 2,290
Ameren (B) 24,500 1,232
American Electric Power 160,000 7,800
Aqua America (B) 1,333 30
Centerpoint Energy 38,600 693
CMS Energy (B) 50,000 890
Consolidated Edison 4,700 240
Constellation Energy Group 37,300 3,243
Dominion Resources (B) 5,900 524
DTE Energy (B) 61,120 2,928
Duke Energy 21,844 443
Dynegy, Cl A* 6,800 63
Edison International 40,300 1,980
Energen 33,300 1,695
Energy East 1,250 30
Entergy 45,250 4,748
Equitable Resources 900 44
Exelon 28,600 1,965
FirstEnergy (B) 92,800 6,147
FPL Group (B) 6,900 422
Great Plains Energy 3,550 115
Idacorp 2,900 98
KeySpan 1,700 70
Mirant* 44,200 1,788
Nicor 2,350 114
NiSource 3,250 79
NRG Energy* 28,500 2,053
OGE Energy 6,100 237
Pepco Holdings 111,000 3,221
PG&E 91,950 4,438
Pinnacle West Capital (B) 62,000 2,992
PPL (B) 59,400 2,429
Progress Energy (B) 19,550 986
Public Service Enterprise Group 5,600 465
Questar (B) 4,200 375
Reliant Energy (B)* 64,262 1,306
Sempra Energy 36,650 2,236
Southern (B) 13,800 506
TECO Energy 92,100 1,585
TXU 42,900 2,750
UGI 9,400 251
Wisconsin Energy 67,200 3,261
Xcel Energy (B) 118,800 2,933
--------------
72,410
--------------
Total Common Stock
(Cost $1,933,683) ($ Thousands) 2,540,048
--------------
- --------------------------------------------------------------------------------
24 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Number of
Warrants
-------------
WARRANTS -- 0.0%
Lucent Technologies,
Expires 12/10/07* 10,000 $ 1
--------------
Total Warrants
(Cost $--) ($ Thousands) 1
--------------
COMMERCIAL PAPER (C) (D) -- 4.3%
FINANCIALS -- 4.3%
Adirondack, Ser 2005-2
5.319%, 04/24/07 $ 4,862 4,845
Brahms Funding
5.314%, 05/14/07 6,007 5,969
5.313%, 04/16/07 4,376 4,366
Buckingham CDO I LLC
5.320%, 04/25/07 4,497 4,480
Buckingham CDO II LLC
5.318%, 04/23/07 5,592 5,573
Buckingham CDO III LLC
5.320%, 04/26/07 4,994 4,975
Citius I Funding
5.320%, 04/26/07 1,945 1,937
Citius II Funding LLC
5.292%, 04/02/07 4,862 4,861
Davis Square Funding
5.310%, 04/13/07 10,697 10,677
Elysian Funding LLC
5.353%, 04/23/07 1,750 1,744
Georgetown Funding
5.316%, 04/20/07 11,816 11,781
KKR Pacific Funding Trust
5.341%, 04/27/07 4,862 4,843
Mica Funding LLC
5.316%, 04/20/07 5,071 5,056
5.313%, 04/16/07 2,431 2,425
5.310%, 04/19/07 1,574 1,569
5.294%, 04/05/07 5,251 5,247
Rhineland Funding Capital
5.354%, 04/30/07 468 466
5.332%, 06/06/07 1,787 1,770
5.315%, 05/15/07 5,184 5,149
5.314%, 05/14/07 2,069 2,056
Thornburg Mortgage Capital Resource
5.313%, 04/16/07 1,237 1,234
5.310%, 04/13/07 1,167 1,165
5.309%, 04/12/07 2,431 2,427
5.298%, 04/10/07 4,692 4,685
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Valour Bay Capital LLC
5.326%, 05/16/07 $ 6,078 $ 6,037
5.324%, 04/18/07 2,081 2,076
5.319%, 04/12/07 2,431 2,427
Zane Funding
5.369%, 04/24/07 4,590 4,574
5.364%, 04/17/07 149 149
--------------
Total Commercial Paper
(Cost $114,563) ($ Thousands) 114,563
--------------
CORPORATE OBLIGATIONS (C) (E) -- 3.4%
FINANCIALS -- 3.4%
American General Finance (F)
5.370%, 04/16/07 7,050 7,050
Bear Stearns EXL
5.360%, 04/16/07 8,655 8,655
Countrywide Financial MTN
5.428%, 06/27/07 2,918 2,918
Countrywide Financial MTN, Ser A
5.440%, 05/07/07 7,294 7,294
Irish Life & Permanent MTN,
Ser X (F)
5.360%, 04/23/07 6,467 6,467
Islandsbanki (F)
5.369%, 04/09/07 7,294 7,294
Jackson National Life Funding (F)
5.320%, 04/02/07 10,697 10,697
Morgan Stanley EXL
5.380%, 04/04/07 1,702 1,702
Morgan Stanley EXL, Ser S
5.340%, 04/03/07 2,431 2,431
Nationwide Building Society (F)
5.410%, 06/28/07 2,674 2,674
5.349%, 04/09/07 4,862 4,862
Northern Rock (F)
5.360%, 04/03/07 5,008 5,008
Premium Asset Trust,
Ser 2004-10 (F)
5.380%, 04/16/07 6,807 6,807
SLM EXL, Ser S (F)
5.320%, 04/16/07 5,349 5,349
Skandinav Enskilda Bank (F)
5.320%, 04/18/07 5,349 5,349
Stanfield Victoria LLC MTN (F)
5.445%, 06/11/07 4,862 4,862
--------------
Total Corporate Obligations
(Cost $89,419) ($ Thousands) 89,419
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 25
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Large Cap Fund (Concluded)
March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES (C) (E) (F) -- 0.2%
MORTGAGE RELATED SECURITIES -- 0.2%
Duke Funding, Ser 2004-6B, Cl A1S1
5.430%, 04/09/07 $ 3,647 $ 3,647
Newcastle CDO, Ser 2005-6A, Cl IM1
5.340%, 04/24/07 972 972
--------------
Total Asset-Backed Securities
(Cost $4,619) ($ Thousands) 4,619
--------------
CASH EQUIVALENTS** -- 4.8%
Merrill Lynch EBP Master,
5.100% 4,177,996 4,178
SEI Daily Income Trust
Prime Obligation Fund,
Cl A, 5.180%++ 88,389,759 88,390
SEI Liquidity Fund LP,
5.520%++ (C) 34,036,814 34,037
--------------
Total Cash Equivalents
(Cost $126,605) ($ Thousands) 126,605
--------------
CERTIFICATES OF DEPOSIT (C) -- 0.3%
Barclays Bank (E) (F)
5.440%, 06/11/07 2,431 2,431
CC USA MTN (F)
5.520%, 06/18/07 4,862 4,862
Thornburg Mortgage Capital Resource
5.309%, 04/11/07 604 604
--------------
Total Certificates of Deposit
(Cost $7,897) ($ Thousands) 7,897
--------------
U.S. TREASURY OBLIGATION (A) (D) -- 0.1%
U.S. Treasury Bill
5.095%, 05/24/07 3,405 3,381
--------------
Total U.S. Treasury Obligation
(Cost $3,380) ($ Thousands) 3,381
--------------
MASTER NOTE (C) (D) -- 0.1%
Bear Stearns
5.558%, 03/31/07 1,459 1,459
--------------
Total Master Note
(Cost $1,459) ($ Thousands) 1,459
--------------
REPURCHASE AGREEMENTS (C) (G) -- 2.0%
Barclays
5.340%, dated 03/30/07, to be
repurchased on 04/02/07,
repurchase price $2,323,900
(collateralized by a U.S.
Government Obligation, par
value $2,305,362, 5.600%,
10/17/13; with total market
value $2,369,372) 2,323 2,323
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Deutsche Bank
5.350%, dated 03/30/07, to be
repurchased on 04/02/07,
repurchase price $20,176,290
(collateralized by various
U.S. Government Obligations,
ranging in par value $132,987
$7,397,172, 0.000%-6.110%,
05/16/07-10/15/19; with total
market value $20,570,648) $ 20,167 $ 20,167
Lehman Brothers
5.350%, dated 03/30/07, to be
repurchased on 04/02/07,
repurchase price $29,187,419
(collateralized by various
U.S. Government Obligations,
ranging in par value $2,111,498-
$3,557,333, 2.625%-10.351%,
05/15/07-08/03/18; with total
market value $29,758,099) 29,174 29,174
--------------
Total Repurchase Agreements
(Cost $51,664) ($ Thousands) 51,664
--------------
Total Investments -- 111.4%
(Cost $2,333,289) ($ Thousands) $ 2,939,656
==============
Futures -- A summary of the open futures contracts held by the Fund at March 31,
2007, 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 195 Jun-2007 $ 468
S&P 400 Index E-MINI 120 Jun-2007 227
-------------
$ 695
=============
Percentages are based on Net Assets of $2,638,674 ($ Thousands).
* Non-Income Producing Security.
** Rate shown is the 7-day effective yield as of March 31, 2007.
+ Real Estate Investment Trust.
++ Investment in Affiliated Registered Investment Company (see Note 3).
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(B) This security or a partial position of this security is on loan at March
31, 2007 (see Note 7). The total value of securities on loan at March 31,
2007 was $295,803 ($ 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 March 31, 2007
was $303,658 ($ 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 March 31, 2007. The date reported on the
Schedule of Investments is the next reset date.
(F) Securities sold within terms of a private placement memorandum, exempt
from registration under Section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors." 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
LP -- Limited Partnership
MTN -- Medium Term Note
Ser -- Series
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
26 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
Large Cap Diversified Alpha Fund
March 31, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS#:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Financials 18.3%
Information Technology 13.6%
Consumer Discretionary 11.2%
Health Care 10.3%
Asset-Backed Securities 8.8%
Industrials 8.3%
Consumer Staples 6.7%
Energy 6.1%
Short-Term Investment 4.1%
U.S. Government Mortgage-Backed Obligations 3.5%
Materials 2.8%
Utilities 2.5%
Telecommunication Services 2.3%
U.S. Government Agency Obligations 1.1%
U.S. Treasury Obligations 0.4%
# Percentages based on total investments
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 91.1%
CONSUMER DISCRETIONARY -- 12.9%
Abercrombie & Fitch, Cl A 1,800 $ 136
Aeropostale (D)* 37,600 1,513
Amazon.com (D)* 51,372 2,044
American Eagle Outfitters (D) 112,633 3,378
AnnTaylor Stores* 28,900 1,121
Apollo Group, Cl A* 1,000 44
Autoliv 24,500 1,399
Autonation* 572 12
Autozone* 2,883 369
Barnes & Noble 23,096 911
Bed Bath & Beyond* 1,200 48
Best Buy 25,095 1,223
Big Lots* 36,500 1,142
Brinker International (D) 46,894 1,533
Cablevision Systems, Cl A (D) 211,960 6,450
Carmax* 22,834 560
CBS, Cl B (D) 78,517 2,402
Circuit City Stores 40,769 755
Claire's Stores 4,500 145
Clear Channel Communications 8,549 300
Coach (D)* 82,695 4,139
Coldwater Creek* 1,100 22
Comcast, Cl A (D)* 154,369 4,006
Darden Restaurants 13,404 552
DeVry 3,500 103
Dick's Sporting Goods* 3,600 210
Dillard's, Cl A 17,590 576
DIRECTV Group (D)* 269,754 6,223
Discovery Holding, Cl A* 9,000 172
Dollar Tree Stores* 55,900 2,138
Dow Jones 2,100 72
DSW, Cl A* 22,200 937
E.W. Scripps, Cl A 3,671 164
Eastman Kodak (D) 106,808 2,410
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
EchoStar Communications, Cl A* 61,439 $ 2,668
Expedia* 19,300 447
Family Dollar Stores 29,400 871
Federated Department Stores 15,224 686
Foot Locker 10,200 240
Ford Motor (D) 238,232 1,880
GameStop, Cl A* 6,800 221
Gannett 5,646 318
Gap 6,500 112
General Motors (D) 102,030 3,126
Gentex 76,700 1,246
Genuine Parts 9,363 459
Goodyear Tire & Rubber (D)* 89,047 2,777
GSI Commerce* 18,300 413
Gymboree (D)* 30,000 1,202
Hanesbrands* 18,034 530
Harley-Davidson 25,133 1,477
Harrah's Entertainment 1,580 133
Hasbro (D) 60,600 1,734
Hibbett Sports* 2,100 60
Hilton Hotels 10,024 360
Home Depot 5,219 192
IAC/InterActive (D)* 48,509 1,829
Idearc* 8,833 310
International Game Technology 189,021 7,633
International Speedway, Cl A 1,700 88
Interpublic Group (D)* 99,299 1,222
ITT Educational Services (D)* 35,000 2,852
J Crew Group* 14,600 587
J.C. Penney (D) 48,951 4,022
Jarden* 5,100 195
John Wiley & Sons, Cl A 1,100 42
Johnson Controls 10,803 1,022
Jones Apparel Group (D) 51,144 1,572
Keystone Automotive Industries* 4,200 142
Kohl's (D)* 52,456 4,019
Lamar Advertising, Cl A* 9,235 582
Las Vegas Sands* 1,200 104
Laureate Education* 1,300 77
Leggett & Platt 8,900 202
Liberty Global, Cl A* 19,204 632
Liberty Media Holding-Capital, Ser A* 9,700 1,073
Liberty Media Holding-Interactive, Cl A* 35,029 834
Limited Brands 9,200 240
Liz Claiborne 6,000 257
Marriott International, Cl A 20,074 983
Mattel 89,700 2,473
McDonald's (D) 57,742 2,601
McGraw-Hill (D) 36,348 2,286
Meredith 700 40
MGM Mirage* 104,400 7,258
Nautilus 16,900 261
New York Times, Cl A 9,945 234
Newell Rubbermaid 25,702 799
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 27
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
News, Cl A 65,977 $ 1,525
Nike, Cl B 1,162 123
Nordstrom (D) 15,800 836
Nutri/System* 3,500 183
NVR* 2,700 1,796
O'Reilly Automotive* 2,537 84
Office Depot (D)* 47,297 1,662
OfficeMax 9,965 526
Omnicom Group 10,424 1,067
PetSmart (D) 42,700 1,407
Polo Ralph Lauren (D) 15,800 1,393
Priceline.com* 11,600 618
RadioShack 3,800 103
Rent-A-Center* 3,000 84
Ross Stores 68,200 2,346
Saks 14,500 302
Sears Holdings (D)* 13,220 2,382
Service International 4,500 53
Shaw Communications, Cl B (D) 43,600 1,610
Sherwin-Williams 22,380 1,478
Snap-On 7,565 364
Staples 292,000 7,545
Starbucks* 44,259 1,388
Target 9,780 580
Thor Industries 1,100 43
Tim Hortons 5,287 161
Time Warner (D) 199,867 3,941
TJX (D) 59,968 1,617
Toll Brothers* 1,600 44
TravelCenters of America LLC (D)* 1 --
Tribune 14,700 472
TRW Automotive Holdings* 88,535 3,083
United Auto Group 72,473 1,471
Universal Technical Institute* 24,100 556
Urban Outfitters* 52,600 1,394
VF 10,318 852
Viacom, Cl B (D)* 38,300 1,575
Virgin Media 2,249 57
Walt Disney (D) 148,014 5,096
Warner Music Group 4,808 82
Washington Post, Cl B 276 211
Weight Watchers International 108,900 5,019
Wendy's International 47,197 1,477
Whirlpool (D) 28,674 2,435
Wynn Resorts 3,700 351
XM Satellite Radio Holdings, Cl A* 3,600 47
Yum! Brands (D) 30,755 1,776
--------------
176,047
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CONSUMER STAPLES -- 7.8%
Alberto-Culver* 9,900 $ 226
Altria Group (D) 33,452 2,937
Anheuser-Busch (D) 55,524 2,802
Archer-Daniels-Midland (D) 93,289 3,424
Avon Products 13,900 518
BJ's Wholesale Club* 21,785 737
Brown-Forman, Cl B 3,912 256
Campbell Soup 20,371 793
Church & Dwight 5,200 262
Clorox (D) 46,157 2,940
Coca-Cola 96,305 4,623
Coca-Cola Enterprises 31,526 638
Colgate-Palmolive 21,612 1,443
ConAgra Foods (D) 149,700 3,729
Constellation Brands, Cl A* 1,500 32
Corn Products International 31,049 1,105
Costco Wholesale 4,709 254
CVS 16,418 560
Dean Foods* 9,121 426
Del Monte Foods 11,048 127
Energizer Holdings* 16,400 1,399
Estee Lauder, Cl A 27,100 1,324
General Mills 58,700 3,418
Hansen Natural* 6,300 239
Herbalife* 13,600 533
Hershey 1,686 92
HJ Heinz 20,774 979
Hormel Foods 16,827 626
JM Smucker 6,700 735
Kellogg 16,075 827
Kimberly-Clark 23,635 1,619
Kraft Foods, Cl A 11,600 367
Kroger (D) 197,042 5,566
Loews - Carolina (D) 61,407 4,643
McCormick 15,053 580
Molson Coors Brewing, Cl B 12,000 1,135
NBTY* 26,500 1,406
Peet's Coffee & Tea* 2,000 55
Pepsi Bottling Group 28,009 893
PepsiCo (D) 84,847 5,393
Procter & Gamble (D) 210,649 13,305
Reynolds American (D) 49,582 3,094
Safeway (D) 96,606 3,540
Sara Lee 3,700 63
Smithfield Foods* 4,033 121
Supervalu 2,753 108
Sysco 59,656 2,018
Tyson Foods, Cl A (D) 149,415 2,900
UST 16,200 939
Wal-Mart Stores (D) 274,010 12,865
Walgreen 180,919 8,302
--------------
106,538
--------------
- --------------------------------------------------------------------------------
28 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
ENERGY -- 7.1%
Apache 522 $ 37
Baker Hughes (D) 17,430 1,153
BJ Services (D) 10,330 288
Cabot Oil & Gas 3,100 209
Cameron International* 7,888 495
Cheniere Energy* 3,707 115
Chesapeake Energy (D) 45,600 1,408
Chevron (D) 142,842 10,565
Cimarex Energy 35,300 1,307
ConocoPhillips (D) 77,304 5,284
Devon Energy (D) 20,257 1,402
EnCana (D) 31,800 1,610
ENSCO International 32,300 1,757
Exxon Mobil (D) 467,001 35,235
FMC Technologies* 5,600 391
Foundation Coal Holdings 1,300 45
Frontier Oil 7,000 228
Frontline 41,100 1,459
Global Industries* 18,821 344
Grant Prideco* 29,100 1,450
Halliburton (D) 55,400 1,758
Helmerich & Payne 44,200 1,341
Hess (D) 27,872 1,546
Holly (D) 31,600 1,874
Kinder Morgan 3,165 337
Marathon Oil (D) 61,735 6,101
National Oilwell Varco* 2,700 210
Newfield Exploration* 900 38
Noble Energy 2,500 149
Occidental Petroleum 22,550 1,112
Oceaneering International* 5,600 236
Overseas Shipholding Group 3,500 219
Petro-Canada (D) 26,100 1,023
Petroleum Development* 600 32
Plains Exploration & Production* 2,000 90
Pride International (D)* 40,968 1,233
Quicksilver Resources* 1,300 52
Range Resources 1,500 50
SEACOR Holdings* 1,400 138
Southwestern Energy* 3,600 148
Spectra Energy* 1,239 33
Sunoco 48,826 3,439
Superior Energy Services* 16,700 576
Tesoro 10,046 1,009
Tetra Technologies* 2,900 72
Tidewater (D) 50,142 2,937
Valero Energy 38,030 2,453
Williams (D) 92,038 2,619
XTO Energy 19,633 1,076
--------------
96,683
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
FINANCIALS -- 17.4%
A.G. Edwards (D) 34,700 $ 2,401
ACE 4,300 245
Affiliated Managers Group* 468 51
Affordable Residential Communities+* 16,500 200
Aflac 10,216 481
Alleghany* 608 227
Allied Capital 14,685 423
Allstate (D) 32,632 1,960
AMBAC Financial Group 7,200 622
American Capital Strategies 9,606 426
American Express (D) 113,883 6,423
American Financial Group (D) 60,394 2,056
American International Group 63,550 4,272
AmeriCredit (D)* 55,400 1,266
Ameriprise Financial 9,988 571
Annaly Capital Management+ 38,600 598
AON (D) 75,977 2,884
Apartment Investment & Management, Cl A+ 3,641 210
Archstone-Smith Trust+ 4,230 230
Ashford Hospitality Trust+ 3,700 44
Assurant (D) 37,041 1,986
Astoria Financial 1,735 46
AvalonBay Communities+ (D) 18,166 2,362
Axis Capital Holdings 41,600 1,409
Bank of America (D) 278,921 14,231
Bank of New York 12,900 523
Bankunited Financial, Cl A 5,400 115
BB&T 26,839 1,101
Bear Stearns (D) 11,472 1,725
BlackRock 647 101
Boston Properties+ 2,856 335
Brandywine Realty Trust+ 2,200 73
BRE Properties, Cl A+ 5,200 328
Brown & Brown 3,888 105
Camden Property Trust+ 3,274 230
Capital One Financial 13,553 1,023
CapitalSource+ 9,000 226
CB Richard Ellis Group, Cl A* 11,200 383
Cbot Holdings, Cl A* 1,300 236
Charles Schwab (D) 6,981 128
Chicago Mercantile Exchange Holdings, Cl A 13,274 7,068
Chubb 27,518 1,422
Cincinnati Financial 300 13
CIT Group 28,594 1,513
Citigroup (D) 321,896 16,526
CNA Financial* 16,315 703
Colonial BancGroup 5,800 144
Comerica 35,145 2,078
Commerce Bancorp 8,587 287
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 29
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Commerce Bancshares 2,421 $ 117
Compass Bancshares 6,174 425
Conseco* 40,919 708
Countrywide Financial (D) 70,214 2,362
Credicorp 21,700 1,057
Cullen/Frost Bankers 2,900 152
Duke Realty+ 5,600 243
East West Bancorp 800 29
Eaton Vance 20,300 723
Equity Residential+ 10,341 499
Erie Indemnity, Cl A 1,094 58
Essex Property Trust+ 2,900 375
Fannie Mae (D) 64,863 3,540
Federal Realty Investment Trust+ 809 73
Fidelity National Financial, Cl A 2,920 70
Fifth Third Bancorp 900 35
First American 69,769 3,539
First Cash Financial Services* 21,300 475
First Citizens BancShares, Cl A 124 25
First Horizon National 3,421 142
First Marblehead 39,900 1,791
Forest City Enterprises, Cl A 10,172 673
Franklin Resources 14,481 1,750
Freddie Mac 7,296 434
Genworth Financial, Cl A 8,000 279
Goldman Sachs Group (D) 40,374 8,342
Hanover Insurance Group 26,799 1,236
Hartford Financial Services Group 2,003 191
HCC Insurance Holdings 1,351 42
Health Care Property Investors+ 6,900 249
Health Care+ 2,400 105
Hospitality Properties Trust+ 9,187 430
Host Hotels & Resorts+ 25,671 675
HRPT Properties Trust+ 17,100 210
Hudson City Bancorp 29,900 409
Huntington Bancshares 2,500 55
IndyMac Bancorp 4,000 128
IntercontinentalExchange* 69,800 8,530
Investors Financial Services 600 35
iStar Financial+ 22,600 1,058
Janus Capital Group 36,700 767
Jefferies Group 600 17
JER Investors Trust+ 13,800 262
Jones Lang LaSalle (D) 27,100 2,826
JPMorgan Chase (D) 346,801 16,778
Keycorp 40,678 1,524
Kimco Realty+ 800 39
Legg Mason 495 47
Lehman Brothers Holdings (D) 66,559 4,664
Leucadia National 3,600 106
Lincoln National 3,374 229
Loews (D) 133,725 6,075
M&T Bank 4,424 512
Mack-Cali Realty+ 4,400 210
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Markel* 1,588 $ 770
Marsh & McLennan 18,497 542
Marshall & Ilsley 7,235 335
Mellon Financial 20,770 896
Merrill Lynch (D) 80,437 6,569
Metlife (D) 102,060 6,445
MGIC Investment 14,153 834
Moody's (D) 115,218 7,150
Morgan Stanley (D) 98,988 7,796
National City (D) 81,602 3,040
Nationwide Financial Services, Cl A 3,800 205
New York Community Bancorp 18,360 323
Newcastle Investment+ 13,300 369
Northern Trust 8,362 503
Nuveen Investments, Cl A 8,890 420
NYSE Group* 1,200 112
Old Republic International 15,000 332
Pacific Capital Bancorp 4,300 138
Peoples Bank 9,543 424
Philadelphia Consolidated Holding* 4,700 207
PMI Group (D) 36,500 1,651
PNC Financial Services Group 35,249 2,537
Principal Financial Group (D) 21,600 1,293
Progressive 16,704 364
Prologis+ 1,635 106
Prudential Financial 2,600 235
Public Storage+ 3,913 370
Radian Group (D) 38,677 2,123
Raymond James Financial 12,981 386
Rayonier+ (D) 46,164 1,985
Realogy* 3,000 89
Regency Centers+ 483 40
Regions Financial 35,297 1,248
Reinsurance Group of America 3,200 185
Safeco 25,489 1,693
Simon Property Group+ 329 37
SL Green Realty+ 6,457 886
SLM 1,624 66
Sovereign Bancorp 3,600 92
St. Joe 2,849 149
State Street 7,330 475
SunTrust Banks 18,670 1,550
Synovus Financial 4,159 134
T. Rowe Price Group 10,654 503
Taubman Centers+ 800 46
TD Banknorth 1,559 50
Thornburg Mortgage+ 47,400 1,232
Torchmark 10,671 700
Transatlantic Holdings 9,007 587
Travelers 108,472 5,616
UDR+ 7,824 240
US Bancorp (D) 71,010 2,483
Valley National Bancorp 12,700 321
Ventas+ 7,400 312
- --------------------------------------------------------------------------------
30 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Vornado Realty Trust+ 3,362 $ 401
Wachovia (D) 60,103 3,309
Washington Mutual (D) 57,168 2,308
Wells Fargo (D) 145,072 4,995
Whitney Holding 3,900 119
Wilmington Trust 1,583 67
WR Berkley (D) 59,196 1,961
Zions Bancorporation 2,615 221
--------------
237,910
--------------
HEALTH CARE -- 11.8%
Abbott Laboratories 13,375 746
Aetna (D) 77,900 3,411
Allergan 80,797 8,954
AmerisourceBergen (D) 120,157 6,338
Amgen (D)* 58,023 3,242
Applera - Applied Biosystems Group 58,924 1,742
Barr Pharmaceuticals* 2,630 122
Baxter International 32,105 1,691
Becton Dickinson (D) 28,148 2,164
Biogen Idec* 38,578 1,712
Biomet 1,900 81
Bristol-Myers Squibb 25,367 704
C.R. Bard 6,400 509
Cardinal Health (D) 145,724 10,631
Celgene* 30,106 1,579
Cephalon* 1,197 85
Cerner* 19,777 1,077
Charles River Laboratories
International* 28,100 1,300
Cigna (D) 36,808 5,251
Covance* 3,412 202
Cytyc* 14,300 489
Dentsply International 5,300 174
Dionex* 700 48
Edwards Lifesciences* 3,300 167
Eli Lilly (D) 33,889 1,820
Emdeon* 21,000 318
Express Scripts (D)* 29,722 2,399
Forest Laboratories (D)* 49,522 2,547
Genentech* 103,650 8,512
Gilead Sciences* 20,000 1,530
Haemonetics* 25,700 1,201
Health Net (D)* 44,140 2,375
Henry Schein (D)* 23,871 1,317
Hillenbrand Industries 7,000 416
Humana (D)* 45,185 2,622
ICU Medical* 15,300 600
Idexx Laboratories* 2,577 226
IMS Health 9,950 295
Invitrogen* 2,300 146
Johnson & Johnson (D) 174,322 10,505
Kinetic Concepts* 4,600 233
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
King Pharmaceuticals* 16,998 $ 334
Laboratory of America Holdings* 11,845 860
LifePoint Hospitals* 3,700 141
Manor Care 6,883 374
McKesson (D) 159,295 9,325
Medco Health Solutions (D)* 95,092 6,897
Medimmune* 28,100 1,023
Medtronic 23,892 1,172
Mentor 13,700 630
Merck (D) 106,536 4,706
Mylan Laboratories 35,792 757
PerkinElmer 15,100 366
Pfizer (D) 435,017 10,989
Pharmaceutical Product Development 1,618 55
PolyMedica 2,000 85
Quest Diagnostics 4,218 210
Resmed* 812 41
Respironics* 1,300 55
Schering-Plough 53,596 1,367
Sciele Pharma* 17,900 424
Sepracor* 1,700 79
STERIS 10,400 276
Stryker* 5,804 385
Tenet Healthcare* 38,679 249
Thermo Fisher Scientific* 16,512 772
Triad Hospitals* 800 42
United Therapeutics* 22,800 1,226
UnitedHealth Group 195,072 10,333
Universal Health Services, Cl B 4,339 248
Varian Medical Systems* 183 9
VCA Antech* 11,000 399
Vertex Pharmaceuticals* 1,100 31
Waters* 21,363 1,239
WellCare Health Plans* 4,200 358
WellPoint (D)* 77,170 6,259
Wyeth (D) 66,811 3,343
Zimmer Holdings* 88,000 7,516
--------------
162,056
--------------
INDUSTRIALS -- 9.6%
3M 8,645 661
Acuity Brands 31,000 1,688
Adesa 1,700 47
AGCO* 10,800 399
Allied Waste Industries* 13,800 174
American Standard 5,200 276
AMR (D)* 44,148 1,344
Applied Industrial Technologies 5,550 136
Armor Holdings* 600 40
Avery Dennison 10,530 677
Boeing (D) 89,970 7,999
Brink's 3,900 247
Burlington Northern Santa Fe 27,028 2,174
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 31
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
C.H. Robinson Worldwide 12,269 $ 586
Canadian National Railway (D) 18,500 817
Carlisle 20,540 882
Caterpillar (D) 23,792 1,595
Ceradyne* 3,300 181
Continental Airlines, Cl B* 11,900 433
Copart* 4,600 129
Corporate Executive Board (D) 11,821 898
Corrections of America* 7,500 396
Covanta Holding* 12,400 275
Crane 600 24
CSX 27,742 1,111
Cummins 8,280 1,198
Danaher 6,345 453
Deere 5,200 565
Diamond Management &
Technology Consultants 2,700 32
Dover 36,500 1,782
Dun & Bradstreet (D) 36,161 3,298
Eaton 1,900 159
Emerson Electric 33,556 1,446
Equifax 1,457 53
Expeditors International Washington 151,048 6,241
FedEx (D) 51,346 5,516
Flowserve (D) 47,664 2,726
Fluor (D) 20,608 1,849
Gardner Denver (D)* 39,300 1,370
General Dynamics 9,082 694
General Electric (D) 288,244 10,192
Genlyte Group* 2,900 205
Goodman Global* 1,700 30
Graco 32,600 1,277
Harsco 15,612 700
Hertz Global Holdings* 34,601 820
Honeywell International (D) 140,974 6,493
HUB Group, Cl A* 16,900 490
Illinois Tool Works 500 26
ITT 2,518 152
Jacobs Engineering Group (D)* 70,350 3,282
JB Hunt Transport Services 20,200 530
John H. Harland 1,500 77
Kansas City Southern* 1,400 50
KBR* 27,183 553
L-3 Communications Holdings 3,100 271
Laidlaw International 1,700 59
Landstar System 2,800 128
Lennox International 47,837 1,708
Lincoln Electric Holdings 600 36
Lockheed Martin (D) 31,512 3,057
Manitowoc 7,400 470
Manpower 23,496 1,733
MSC Industrial Direct, Cl A 26,600 1,242
Norfolk Southern 29,677 1,502
Northrop Grumman (D) 56,419 4,187
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Oshkosh Truck 900 $ 48
Paccar (D) 17,393 1,277
Parker Hannifin (D) 33,900 2,926
Pitney Bowes 3,074 139
Precision Castparts 5,880 612
Quanta Services* 3,500 88
Raytheon (D) 85,963 4,510
Republic Services 2,104 58
Robert Half International (D) 36,400 1,347
Rockwell Automation 13,700 820
Rockwell Collins 4,154 278
Roper Industries 238 13
RR Donnelley & Sons (D) 134,561 4,924
Ryder System (D) 54,346 2,681
Shaw Group* 2,599 81
Southwest Airlines 9,988 147
SPX 2,194 154
Stericycle* 2,335 190
Teleflex 4,300 293
Terex* 10,957 786
Textron 1,400 126
Thomas & Betts* 900 44
Timken 16,628 504
Toro 900 46
Trinity Industries 13,300 558
Tyco International (D) 45,905 1,448
UAL* 32,865 1,254
Union Pacific 14,339 1,456
United Parcel Service, Cl B 123,859 8,682
United Rentals* 17,000 467
United Technologies 39,904 2,594
US Airways Group* 4,600 209
Waste Management 53,100 1,827
WESCO International (D)* 18,848 1,183
WW Grainger 1,667 129
--------------
131,740
--------------
INFORMATION TECHNOLOGY -- 15.8%
Activision* 7,900 150
Adobe Systems* 4,500 188
Affiliated Computer Services, Cl A* 20,533 1,209
Agere Systems* 16,169 366
Agilent Technologies (D)* 69,868 2,354
Akamai Technologies* 18,856 941
Alliance Data Systems* 10,700 659
Amphenol, Cl A 7,024 453
Anixter International* 10,000 659
Apple* 5,048 469
Applied Materials (D) 292,307 5,355
Arrow Electronics* 101,103 3,817
Atmel* 72,294 364
Autodesk* 11,930 449
Automatic Data Processing (D) 52,601 2,546
- --------------------------------------------------------------------------------
32 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Avaya* 15,174 $ 179
Avnet (D)* 92,168 3,331
BEA Systems* 37,000 429
BMC Software* 53,295 1,641
Broadcom, Cl A* 658 21
Cadence Design Systems (D)* 121,552 2,560
CDW 877 54
Ceridian* 7,200 251
Checkfree* 58,724 2,178
Cisco Systems (D)* 288,530 7,366
Cognizant Technology Solutions, Cl A* 4,700 415
Computer Sciences* 109,384 5,702
Convergys* 63,600 1,616
DealerTrack Holdings* 300 9
Dell (D)* 48,090 1,116
Diebold 5,600 267
DST Systems* 8,421 633
eBay* 315,600 10,462
Electronic Data Systems 128,851 3,567
EMC* 127,700 1,769
F5 Networks* 500 33
Factset Research Systems 3,000 188
Fair Isaac (D) 32,100 1,242
Fairchild Semiconductor International* 8,418 141
Fidelity National Information Services 7,546 343
First Data 7,556 203
Fiserv (D)* 56,005 2,972
Google, Cl A (D)* 26,827 12,291
Harris 3,523 179
Hewlett-Packard (D) 305,084 12,246
Hyperion Solutions* 24,600 1,275
Ingram Micro, Cl A* 126,914 2,451
Integrated Device Technology* 20,300 313
Intel (D) 181,278 3,468
International Business Machines (D) 153,957 14,512
International Rectifier* 32,900 1,257
Intevac* 38,400 1,013
Intuit* 311,072 8,511
Iron Mountain* 1,700 44
Jabil Circuit 35,935 769
Juniper Networks* 4,900 96
Kronos* 300 16
Lam Research* 21,819 1,033
Lexmark International, Cl A (D)* 42,999 2,514
Linear Technology 1,489 47
Mastercard, Cl A 800 85
McAfee* 6,600 192
MEMC Electronic Materials* 2,474 150
Mettler Toledo International* 15,162 1,358
Micron Technology 3,200 39
Microsoft (D) 433,320 12,077
Molex 11,800 333
MoneyGram International 1,400 39
Motorola (D) 1,774 31
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
MPS Group* 25,200 $ 357
NCR* 24,875 1,188
Network Appliance (D)* 52,265 1,909
Novatel Wireless* 5,400 87
Novellus Systems* 10,603 339
Nvidia* 41,977 1,208
Oracle (D)* 332,608 6,030
Paychex 172,541 6,534
Polycom* 23,900 797
QLogic* 33,808 575
Qualcomm 290,601 12,397
Rambus* 6,700 142
Red Hat* 1,842 42
Research In Motion* 43,100 5,883
Sabre Holdings, Cl A 9,800 321
Salesforce.com* 3,500 150
SanDisk* 117,100 5,129
Seagate Technology 302,000 7,037
Silicon Laboratories* 25,600 766
Smith Micro Software* 18,500 345
Solectron* 59,180 186
Spansion, Cl A* 34,069 415
Symantec* 78,156 1,352
SYNNEX* 400 8
Synopsys (D)* 25,386 666
Talx 5,800 192
Tech Data (D)* 68,211 2,443
Teradyne* 77,400 1,280
Texas Instruments (D) 63,083 1,899
Trimble Navigation* 6,900 185
Varian Semiconductor Equipment
Associates* 21,300 1,137
VeriFone Holdings* 2,600 95
Western Digital* 72,193 1,213
Western Union (D)* 292,201 6,414
Xerox* 52,039 879
Xilinx 38,500 991
--------------
215,597
--------------
MATERIALS -- 3.2%
Air Products & Chemicals 14,600 1,080
Airgas 300 13
Albemarle 9,900 409
Alcoa 70,200 2,380
Allegheny Technologies 4,500 480
Ashland 18,800 1,233
Ball 2,900 133
Bemis 11,200 374
Cabot 2,100 100
Carpenter Technology 600 72
Celanese, Ser A 5,800 179
Commercial Metals 8,300 260
Crown Holdings (D)* 91,854 2,247
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 33
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Cytec Industries 1,300 $ 73
Dow Chemical 15,400 706
E.I. Du Pont de Nemours 8,400 415
Eagle Materials 17,879 798
Eastman Chemical 1,500 95
Ecolab 18,398 791
FMC 1,800 136
Freeport-McMoRan Copper & Gold, Cl B 8,205 543
Greif, Cl A 7,800 867
Hecla Mining* 49,900 452
Huntsman (D) 30,858 589
International Flavors & Fragrances 12,300 581
International Paper 21,200 772
Lyondell Chemical 60,604 1,816
Methanex 41,100 918
Monsanto 1,812 100
Mosaic* 76,363 2,036
Myers Industries 1,700 32
Nalco Holding* 1,700 41
Newmont Mining 1,400 59
Nova Chemicals 40,700 1,260
Nucor 34,900 2,273
Owens-Illinois (D)* 80,382 2,071
Pactiv* 19,100 644
PPG Industries 5,100 359
Praxair 105,715 6,656
Rohm & Haas 13,500 698
RPM International 700 16
Sealed Air 2,334 74
Sigma-Aldrich 3,894 162
Smurfit-Stone Container (D)* 150,195 1,691
Sonoco Products 8,677 326
Southern Copper 39,284 2,815
Steel Dynamics (D) 24,100 1,041
Temple-Inland 671 40
Titanium Metals* 5,054 181
United States Steel 1,700 169
Valhi 1,789 24
Valspar 3,500 97
Vulcan Materials (D) 22,900 2,667
--------------
44,044
--------------
TELECOMMUNICATION SERVICES -- 2.7%
Alltel (D) 21,513 1,334
American Tower, Cl A* 7,359 287
AT&T (D) 285,304 11,250
Bell Aliant Regional Communications
Income Fund (Canada) (H)* 2,066 53
CenturyTel 61,194 2,765
Citizens Communications 27,711 414
Crown Castle International* 9,515 306
Embarq 18,172 1,024
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Leap Wireless International* 8,930 $ 589
Qwest Communications International (D)* 185,014 1,663
Rogers Communications, Cl B (D) 51,400 1,684
Sprint Nextel (D) 148,472 2,815
Telephone & Data Systems 41,752 2,489
US Cellular (D)* 64,118 4,710
Verizon Communications (D) 131,323 4,980
Windstream 31,752 466
--------------
36,829
--------------
UTILITIES -- 2.8%
AES* 64,504 1,388
Allegheny Energy* 6,121 301
Allete 700 33
Alliant Energy 13,784 618
Ameren 20,900 1,051
American Electric Power (D) 18,522 903
Atmos Energy 11,500 360
Centerpoint Energy 23,800 427
CMS Energy 65,061 1,158
Consolidated Edison 8,600 439
Constellation Energy Group 1,300 113
Dominion Resources 4,497 399
DPL 4,548 141
DTE Energy 4,300 206
Duke Energy 2,478 50
Edison International (D) 105,180 5,167
El Paso Electric* 10,500 277
Energen (D) 43,300 2,204
Energy East 5,900 144
Entergy 18,000 1,889
Equitable Resources 4,200 203
Exelon 4,074 280
FirstEnergy 22,565 1,495
FPL Group 9,400 575
Great Plains Energy 9,700 315
Integrys Energy Group 800 44
KeySpan 17,100 704
MDU Resources Group 5,370 154
Mirant* 40,000 1,618
National Fuel Gas 8,700 376
NiSource 28,300 692
Northeast Utilities 36,132 1,184
NRG Energy (D)* 19,900 1,434
NSTAR 12,100 425
OGE Energy 12,000 466
Oneok 14,600 657
Pepco Holdings 3,400 99
PG&E (D) 38,122 1,840
Pinnacle West Capital 10,800 521
PPL 5,962 244
Progress Energy 16,700 842
- --------------------------------------------------------------------------------
34 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Public Service Enterprise Group 18,860 $ 1,566
Puget Energy 10,024 257
Questar 1,200 107
Reliant Energy* 24,136 490
SCANA 3,339 144
Sempra Energy 5,492 335
Southern 4,827 177
TXU (D) 38,469 2,466
UGI 28,700 767
Vectren 3,500 100
Wisconsin Energy 900 44
Xcel Energy 33,352 823
--------------
38,712
--------------
Total Common Stock
(Cost $1,142,885) ($ Thousands) 1,246,156
--------------
ASSET-BACKED SECURITIES -- 10.3%
MORTGAGE RELATED SECURITIES -- 10.3%
ABSC NIM Trust, Ser 2005-HE6,
Cl A1 (E)
5.050%, 08/27/35 $ 58 58
Aames Mortgage Investment Trust,
Ser 2005-4, Cl B2 (C)
8.070%, 04/12/07 170 145
Ace Securities, Ser 2003-OP1,
Cl M1 (C)
6.020%, 04/26/07 500 502
Aegis Asset-Backed Securities Trust,
Ser 2003-3, Cl M1 (C)
6.020%, 04/25/07 69 69
American Home Mortgage Assets,
Ser 2006-3, Cl M5 (C)
5.940%, 10/25/46 250 250
American Home Mortgage Investment
Trust, Ser 2005-1, Cl 6A (C)
5.294%, 04/25/07 4,835 4,839
American Home Mortgage Investment
Trust, Ser 2005-4, Cl 5A (C)
5.350%, 04/25/07 2,241 2,249
American Home Mortgage Investment
Trust, Ser 2006-1, Cl 2A3 (C)
5.100%, 04/25/07 1,306 1,294
Ameriquest Mortgage Securities,
Ser 2003-2, Cl M1 (C)
6.220%, 04/25/07 427 427
Ameriquest Mortgage Securities,
Ser 2004-FR1, Cl A4
3.243%, 05/25/34 159 158
Argent Securities, Ser 2003-W5,
Cl M1 (C)
6.020%, 04/25/07 250 252
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Argent Securities, Ser 2003-W9,
Cl M1 (C)
6.010%, 04/26/07 $ 343 $ 345
Asset-Backed Funding Certificates,
Ser 2005-AQ1, Cl A2 (G)
4.300%, 06/25/35 759 749
Asset-Backed Funding NIM Trust,
Ser 2005-WMC1, Cl N1 (E)
5.900%, 07/26/35 33 33
Asset-Backed Securities Home Equity
Loan Trust, Ser 2003-HE5, Cl M1 (C)
6.070%, 04/15/07 547 549
Banc of America Commercial Mortgage,
Ser 2006-2, Cl A1
5.611%, 04/01/07 708 716
Bear Stearns Asset-Backed Securities,
Ser 2005-HE11, Cl A1 (E)
5.500%, 11/25/35 128 128
Bear Stearns Asset-Backed Securities,
Ser 2007-AQ2, Cl A1 (C)
5.420%, 04/30/07 2,482 2,482
Bear Stearns Asset-Backed Securities,
Ser 2007-HE3, Cl 1A1 (C)
5.440%, 04/30/07 2,474 2,474
Carrington Mortgage Loan Trust,
Ser 2007-FRE1, Cl A1
5.440%, 04/25/37 2,721 2,721
Chase Funding Mortgage Loan,
Ser 2003-6, Cl 1A3
3.340%, 05/25/26 468 462
Conseco Finance, Ser 2001-C, Cl A4
6.190%, 03/15/30 354 355
Countrywide Alternative Loan Trust,
Ser 2004-33, Cl 1A1 (C)
4.989%, 04/01/07 711 721
Countrywide Alternative Loan Trust,
Ser 2005-69, Cl M3 (C)
6.470%, 04/27/07 235 238
Countrywide Alternative Loan Trust,
Ser 2005-IM1, Cl M3 (C)
7.320%, 04/27/07 375 348
Countrywide Alternative Loan Trust,
Ser 2006-OA11, Cl M3 (C)
5.750%, 04/30/07 500 501
Countrywide Alternative Loan Trust,
Ser 2006-OA16, Cl M5 (C)
5.870%, 10/25/46 225 214
Countrywide Asset-Backed Certificates,
Ser 2003-5, Cl MV2 (C)
6.920%, 01/25/34 289 291
Countrywide Asset-Backed Certificates,
Ser 2005-7, Cl MV8 (C)
6.770%, 04/27/07 250 244
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 35
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Asset-Backed Certificates,
Ser 2006-S1, Cl A2
5.549%, 08/25/21 $ 1,600 $ 1,596
Countrywide Home Equity Loan Trust,
Ser 2006-D, Cl 2A (C)
5.520%, 04/30/07 1,783 1,782
Countrywide Home Loans,
Ser 2004-22, Cl A1 (C)
5.090%, 04/01/07 464 462
Countrywide Home Loans,
Ser 2006-OA4, Cl M4 (C)
6.140%, 04/27/07 285 290
Countrywide Home Loans,
Ser 2006-OA4, Cl M5 (C)
6.190%, 04/27/07 195 197
Countrywide Home Loans,
Ser 2006-OA5, Cl 1M4 (C)
6.370%, 04/27/07 275 274
Countrywide Home Loans,
Ser 2007-HYB1, Cl 1A1 (C)
5.616%, 03/25/37 1,963 1,971
Credit-Based Asset Servicing,
Ser 2007-CB3, Cl A1 (G)
5.766%, 04/25/37 4,681 4,685
DSLA Mortgage Loan Trust,
Ser 2004-AR4, Cl B1 (C)
5.920%, 04/19/07 346 349
FBR Securitization Trust, Ser 2005-2,
Cl M10 (C)
7.570%, 04/28/07 100 83
FBR Securitization Trust, Ser 2005-4,
Cl M11 (C)
7.320%, 04/27/07 210 198
FBR Securitization Trust, Ser 2005-4,
Cl M12 (C)
7.320%, 04/27/07 77 76
FBR Securitization Trust, Ser 2005-5,
Cl M12 (C)
7.570%, 04/27/07 118 108
First Franklin Mortgage Loan Asset,
Ser 2006-FF11, Cl M1 (C)
5.570%, 08/25/36 3,500 3,486
First Franklin Mortgage Loan,
Ser 2003-FF5, Cl M6 (C)
8.820%, 04/25/07 27 16
First Franklin Mortgage Loan,
Ser 2005-FF4, Cl 2A3 (C)
5.540%, 04/25/07 1,400 1,400
First Franklin Mortgage Loan,
Ser 2005-FFH4, Cl N1 (E)
5.682%, 12/25/35 36 36
First Horizon Alternative Mortgage Trust,
Ser 2006-AA6, Cl 2A1 (C)
5.706%, 04/01/07 4,126 4,153
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
First Horizon Asset Securities,
Ser 2006-AR3, Cl 1A1 (C)
5.702%, 04/01/07 $ 815 $ 820
GE-WMC Mortgage Securities NIM Trust,
Ser 2005-2A, Cl N1 (E)
5.500%, 01/25/36 135 134
GMAC Mortgage Loan Trust,
Ser 2004-HE2, Cl A2 (C)
2.880%, 04/25/07 180 176
GMAC Mortgage Loan Trust,
Ser 2006-HE1, Cl A (C)
5.530%, 04/25/07 3,900 3,896
GS Mortgage Securities, Ser 2006-GG6,
Cl AM (C)
5.622%, 04/10/38 3,800 3,858
GSAA Home Equity NIM Trust,
Ser 2006-3N, Cl N1 (E)
5.750%, 03/25/36 11 10
GSAMP Trust, Ser 2007-HE2, Cl A2A
5.440%, 04/25/37 3,100 3,100
Greenwich Capital Commercial Funding,
Ser 2006-GG7, Cl AM (C)
6.110%, 07/10/38 2,100 2,188
Hasco NIM Trust, Ser 2006-OP2A,
Cl A (E)
5.856%, 01/26/36 29 29
Holmes Financing, Ser 2006-10A,
Cl 1C (C) (E)
5.630%, 04/16/07 600 600
Home Equity Asset Trust, Ser 2003-4,
Cl M2 (C)
7.220%, 04/25/07 370 370
Home Equity Asset Trust, Ser 2005-4,
Cl 2A1 (C)
5.410%, 04/25/07 3 3
Home Equity Asset Trust, Ser 2005-7N,
Cl A (E)
6.500%, 02/27/36 298 209
Home Equity Asset Trust, Ser 2005-9N,
Cl A (E)
6.500%, 05/27/36 136 95
Home Equity Asset Trust, Ser 2006-1N,
Cl 1A (E)
6.500%, 05/27/36 78 59
Home Equity Mortgage Trust,
Ser 2006-5, Cl A1 (G)
5.500%, 01/25/37 2,985 2,993
IMPAC CMB Trust, Ser 2004-10,
Cl 4M1 (C)
5.920%, 03/25/35 430 432
IMPAC NIM Trust, Ser 2006-1, Cl N (E)
6.000%, 03/25/36 28 28
- --------------------------------------------------------------------------------
36 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
IMPAC Secured Assets CMO Owners
Trust, Ser 2006-3, Cl A4 (C)
5.410%, 04/27/07 $ 2,673 $ 2,673
IMPAC Secured Assets CMO Owners
Trust, Ser 2007-1, Cl A1 (C)
5.380%, 04/25/07 6,498 6,495
IMPAC Secured Assets, Ser 2007-2,
Cl 1A1A (C)
5.430%, 04/25/37 3,719 3,719
Indymac Index Mortgage Loan Trust,
Ser 2006-AR12, Cl M2 (C)
5.870%, 09/25/46 235 234
Indymac Index Mortgage Loan Trust,
Ser 2006-AR2, Cl M6 (C)
7.070%, 04/25/46 240 244
Indymac Index Mortgage Loan Trust,
Ser 2006-AR4, Cl M4 (C)
6.020%, 04/25/07 165 165
JPMorgan Chase Commercial Mortgage,
Ser 2006-LDP7, Cl AM (C)
5.875%, 04/01/07 2,700 2,803
JPMorgan Mortgage Acquisition,
Ser 2006-RM1, Cl A2 (C)
5.400%, 04/27/07 774 774
JPMorgan Mortgage Acquisition,
Ser 2006-WF1, Cl A1B (C)
5.420%, 04/30/07 986 986
Lehman XS Trust, Ser 2005-5N,
Cl M3 (C)
6.320%, 04/25/07 600 606
Lehman XS Trust, Ser 2005-5N,
Cl M4 (C)
7.070%, 04/30/07 725 688
Lehman XS Trust, Ser 2005-7N,
Cl M51 (C)
6.570%, 04/30/07 150 151
Lehman XS Trust, Ser 2005-7N,
Cl M7I (C)
7.070%, 04/27/07 325 310
Lehman XS Trust, Ser 2005-9N,
Cl M4 (C)
6.720%, 04/30/07 225 230
Lehman XS Trust, Ser 2005-9N,
Cl M6 (C)
7.070%, 04/30/07 415 416
Lehman XS Trust, Ser 2006-11,
Cl M10 (C)
7.320%, 04/25/07 210 171
Lehman XS Trust, Ser 2006-12N,
Cl M4 (C)
5.870%, 04/25/07 270 273
Lehman XS Trust, Ser 2006-12N,
Cl M5 (C)
5.920%, 04/25/07 150 150
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Lehman XS Trust, Ser 2006-2N,
Cl M5 (C)
6.470%, 04/27/07 $ 240 $ 243
Long Beach Asset Holdings,
Ser 2006-2, Cl N1 (E)
5.780%, 04/25/46 38 37
Long Beach Mortgage Loan Trust,
Ser 2006-WL1, Cl 1A3 (C)
5.650%, 04/27/07 718 720
Master Adjustable Rate Mortgage Trust,
Ser 2005-2, Cl 3A1 (C)
4.770%, 04/01/07 901 907
Master Asset-Backed Securities NIM
Trust, Ser 2006-CI13, Cl N1 (E)
7.000%, 12/25/35 85 83
Master Asset-Backed Securities NIM
Trust, Ser 2006-CI14, Cl N1 (E)
6.000%, 07/26/35 34 34
Merrill Lynch Mortgage Investors,
Ser 2005-A4, Cl 1A (C)
4.762%, 04/01/07 735 740
Merrill Lynch Mortgage Investors,
Ser 2005-FF6, Cl N1 (E)
4.500%, 05/25/36 59 59
Merrill Lynch Mortgage Investors,
Ser 2006-1, Cl 1A (C)
5.350%, 02/25/36 2,081 2,113
Merrill Lynch Mortgage Investors,
Ser 2006-MLN1, Cl A2A (C)
5.390%, 04/29/07 831 831
Merrill Lynch Mortgage Investors,
Ser 2006-RM4, Cl A2A (C)
5.400%, 04/27/07 1,325 1,325
Merrill Lynch Mortgage Investors,
Ser 2007-HE2, Cl A2A (C)
5.440%, 04/30/07 2,981 2,981
Morgan Stanley Capital I,
Ser 2003-NC10, Cl M1 (C)
6.000%, 04/27/07 583 583
Morgan Stanley Dean Witter Capital I,
Ser 2003-NC1, Cl M2 (C)
8.395%, 04/27/07 194 194
New Century Home Equity Loan Trust,
Ser 2003-B, Cl M1 (C)
5.970%, 04/27/07 566 568
New Century Home Equity Loan Trust,
Ser 2004-A, Cl AII3 (C)
4.450%, 04/01/07 518 515
New Century Home Equity Loan Trust,
Ser 2005-A, Cl A2 (G)
4.461%, 04/25/07 1,320 1,308
Novastar Home Equity Loan,
Ser 2007-1, Cl A2A (C)
5.420%, 04/30/07 4,467 4,466
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 37
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Option One Mortgage Loan Trust,
Ser 2003-5, Cl M1 (C)
5.970%, 04/23/07 $ 350 $ 351
Option One Mortgage Loan Trust,
Ser 2006-1, Cl M10 (C) (E)
7.820%, 04/27/07 100 88
Option One Mortgage Loan Trust,
Ser 2006-1, Cl M11 (C) (E)
7.820%, 04/27/07 190 157
Ownit Mortgage Loan Asset-Backed
Securities Trust, Ser 2006-1,
Cl AF1 (G)
5.424%, 12/25/36 2,152 2,141
Ownit Mortgage Loan NIM Trust,
Ser 2005-5A, Cl N1 (E)
5.500%, 10/25/36 49 49
People's Financial Realty Mortgage
Security, Ser 2006-1, Cl B1 (C)
7.820%, 04/03/07 243 236
Residential Accredit Loans,
Ser 2006-Q01, Cl 2A3 (C)
5.720%, 04/27/07 445 448
Residential Accredit Loans,
Ser 2006-Q04, Cl N1 (E)
6.048%, 04/25/46 267 266
Residential Accredit Loans,
Ser 2006-Q06, Cl M5 (C)
5.820%, 04/29/07 350 349
Residential Accredit Loans,
Ser 2006-Q03, Cl M4 (C)
6.040%, 04/25/07 250 250
Residential Accredit Loans,
Ser 2006-Q03, Cl M5 (C)
6.100%, 04/25/07 250 250
Residential Asset Mortgage Products,
Ser 2003-RS10, Cl AI5
4.910%, 01/25/31 414 412
Residential Asset Mortgage Products,
Ser 2006-RZ4, Cl A1 (C)
5.410%, 04/25/07 2,171 2,171
Residential Asset Mortgage Products,
Ser 2006-RZ4, Cl M9 (C)
7.820%, 04/25/07 115 101
Residential Asset Mortgage Products,
Ser 2007-RS1, Cl A1 (C)
5.430%, 04/09/07 2,275 2,274
Residential Asset Securitization Trust,
Ser 2004-IP2, Cl 3A1 (C)
5.274%, 04/25/07 1,698 1,706
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2A (C) (E)
5.420%, 04/25/07 2,382 2,382
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2B (C) (E)
5.470%, 04/25/07 $ 1,000 $ 1,000
SB Finance NIM Trust,
Ser 2005-HE3, Cl N1 (E)
4.750%, 09/25/35 111 109
SB Finance NIM Trust,
Ser 2006-KS4N, Cl N1 (E)
7.500%, 06/25/36 94 94
SLM Student Loan Trust,
Ser 2006-C, Cl C (C)
5.754%, 06/28/07 1,000 991
Saco I Trust, Ser 2005-10, Cl 2A1 (C)
5.580%, 04/30/07 3,961 3,964
Sail NIM Notes, Ser 2005-11A, Cl A (E)
7.500%, 01/27/36 259 88
Sail NIM Notes, Ser 2006-BC1A, Cl A (E)
7.000%, 03/27/36 187 41
Sharps SP I LLC NIM Trust,
Ser 2005-HE3N, Cl N (E)
5.000%, 05/25/35 139 139
Structured Adjustable Rate Mortgage
Loan, Ser 2005-16XS, Cl M2 (C)
6.220%, 04/25/07 505 508
Structured Asset Investment Loan,
Ser 2005-4, Cl M11 (C)
7.820%, 04/25/07 250 235
Structured Asset Mortgage Investments,
Ser 2006-AR1, Cl B4 (C)
6.270%, 04/27/07 191 193
Structured Asset Mortgage Investments,
Ser 2006-AR1, Cl B5 (C)
6.370%, 04/27/07 121 122
Structured Asset Securities,
Ser 2005-NC1, Cl A2 (G)
3.920%, 02/25/35 95 95
Terwin Mortgage Trust, Ser 2006-2HGS,
Cl A1 (C) (E)
4.500%, 03/25/37 2,875 2,849
Terwin Mortgage Trust, Ser 2006-2HGS,
Cl AX, IO (C) (E)
20.000%, 03/25/37 324 --
Terwin Mortgage Trust, Ser 2006-2HGS,
Cl B1 (C) (E)
6.100%, 04/25/07 300 299
Terwin Mortgage Trust, Ser 2006-4SL,
Cl A1 (C) (E)
4.500%, 05/25/37 2,891 2,868
Terwin Mortgage Trust, Ser 2006-4SL,
Cl AX, IO (C) (E)
20.000%, 05/25/37 1,331 1
- --------------------------------------------------------------------------------
38 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Terwin Mortgage Trust, Ser 2006-6,
Cl A1 (C)
4.500%, 07/25/37 $ 1,239 $ 1,229
Terwin Mortgage Trust, Ser 2006-HF1,
Cl A1A (C) (E)
4.500%, 02/25/37 775 771
Wachovia Student Loan Trust,
Ser 2006-1, Cl B (C) (E)
5.590%, 06/29/07 3,200 3,207
Wamu Mortgage Pass-Through
Certificates, Ser 2007-HY4,
Cl 1A1 (C)
5.575%, 04/01/07 5,000 5,006
Wells Fargo Home Equity Trust,
Ser 2004-2, Cl M8A (C) (E)
8.320%, 04/28/07 300 236
--------------
Total Asset-Backed Securities
(Cost $140,601) ($ Thousands) 140,447
--------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
OBLIGATIONS -- 4.0%
FHLMC TBA
6.000%, 04/01/16 1,000 1,016
FHLMC
6.000%, 11/01/21 1,000 1,017
FNMA
5.500%, 11/01/20-03/01/21 15,888 15,929
5.500%, 06/01/21 (A) 3 3
FNMA ARM
5.581%, 05/01/36 1,802 1,816
5.504%, 05/01/36 946 952
FNMA TBA
6.000%, 04/30/20 1,000 1,016
5.500%, 04/30/22 13,000 13,028
5.500%, 04/30/35 3,900 3,859
5.000%, 04/30/20 12,300 12,127
GNMA ARM
5.500%, 04/30/07 502 505
5.000%, 02/20/35 397 400
4.500%, 08/24/34-06/20/36 1,494 1,500
4.000%, 06/20/34-01/20/36 1,356 1,361
3.750%, 03/20/34 488 486
--------------
Total U.S. Government Agency Mortgage-Backed
Obligations
(Cost $54,695) ($ Thousands) 55,015
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER (B) -- 3.3%
FINANCIALS -- 3.3%
American Express
5.261%, 04/06/07 $ 8,000 $ 7,994
General Electric Capital
5.248%, 04/02/07 9,000 8,999
HSBC Finance
5.268%, 04/09/07 9,000 8,989
LaSalle Bank
5.242%, 04/05/07 4,000 3,998
Merrill Lynch
5.265%, 04/10/07 8,000 7,989
Prudential Finance
5.253%, 04/12/07 3,000 2,995
Prudential Funding LLC
5.271%, 05/01/07 4,000 3,983
--------------
Total Commercial Paper
(Cost $44,947) ($ Thousands) 44,947
--------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 1.2%
FHLMC (A) (F)
5.248%, 11/09/07 9,500 9,204
FHLMC CMO STRIPS, Ser 232, Cl IO, IO
5.000%, 08/01/35 5,128 1,204
FHLMC CMO STRIPS, Ser 233, Cl 12, IO
5.000%, 09/15/35 1,139 268
FNMA
5.204%, 06/06/07 (A) (F) 25 25
5.204%, 06/27/07 960 948
FNMA CMO STRIPS, Ser 359, Cl 6, IO
5.000%, 11/01/35 422 98
FNMA CMO STRIPS, Ser 360, Cl 2, IO
5.000%, 08/01/35 20,793 4,881
FNMA CMO STRIPS, Ser 377, Cl 2, IO
5.000%, 10/01/36 790 190
--------------
Total U.S. Government Agency Obligations
(Cost $16,917) ($ Thousands) 16,818
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 39
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS --0.9%
CONSUMER DISCRETIONARY -- 0.1%
COX Communications
4.625%, 06/01/13 $ 375 $ 359
Comcast
5.300%, 01/15/14 470 464
Time Warner
6.875%, 05/01/12 375 399
--------------
1,222
--------------
ENERGY -- 0.0%
Kinder Morgan Energy Partners
5.000%, 12/15/13 375 363
--------------
FINANCIALS -- 0.6%
Bear Stearns
5.350%, 02/01/12 390 391
CIT Group
5.000%, 02/13/14 500 486
Credit Suisse First Boston USA
6.500%, 01/15/12 250 263
Genworth Financial
5.750%, 06/15/14 375 382
Goldman Sachs Group
5.500%, 11/15/14 750 748
Household Finance
6.375%, 10/15/11 375 391
iStar Financial, Ser 1
5.875%, 03/15/16 250 248
JPMorgan Chase
5.125%, 09/15/14 375 369
Lehman Brothers Holdings MTN
5.750%, 05/17/13 125 128
5.500%, 04/04/16 250 249
Lincoln National (C)
6.050%, 04/20/67 830 811
Merrill Lynch
6.050%, 05/16/16 375 385
Morgan Stanley
4.750%, 04/01/14 375 356
Morgan Stanley MTN, Ser G (C)
5.660%, 04/04/07 380 380
Residential Capital
6.500%, 04/17/13 630 624
Shinsei Finance Cayman (C) (E)
6.418%, 01/29/49 400 404
Simon Property Group+
5.750%, 12/01/15 250 253
5.600%, 09/01/11 210 213
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
Wachovia
5.300%, 10/15/11 $ 680 $ 684
4.875%, 02/15/14 250 242
Washington Mutual Preferred
Funding (C) (E)
6.534%, 03/15/49 400 393
--------------
8,400
--------------
HEALTH CARE -- 0.1%
Aetna
5.750%, 06/15/11 375 383
Teva Pharmaceutical Finance LLC
5.550%, 02/01/16 375 368
Wellpoint
6.800%, 08/01/12 250 267
--------------
1,018
--------------
INDUSTRIALS -- 0.0%
Lafarge
6.150%, 07/15/11 230 237
--------------
TELECOMMUNICATION SERVICES -- 0.0%
Vodafone Group PLC
5.625%, 02/27/17 230 228
5.350%, 02/27/12 80 80
--------------
308
--------------
UTILITIES -- 0.1%
Dominion Resources
4.750%, 12/15/10 250 247
Exelon Generation
6.950%, 06/15/11 375 393
--------------
640
--------------
Total Corporate Obligations
(Cost $11,949) ($ Thousands) 12,188
--------------
CASH EQUIVALENT -- 4.8%
SEI Daily Income Trust
Prime Obligation Fund,
Cl A, 5.180%**++ 65,125,144 65,125
--------------
Total Cash Equivalent
(Cost $65,125) ($ Thousands) 65,125
--------------
- --------------------------------------------------------------------------------
40 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS (B) -- 0.5%
U.S. Treasury Bill (A)
5.081%, 05/24/07 $ 2,756 $ 2,737
U.S. Treasury Bond
2.375%, 04/15/11 4,007 4,059
--------------
Total U.S. Treasury Obligations
(Cost $6,741) ($ Thousands) 6,796
--------------
Total Investments -- 116.1%
(Cost $1,483,860) ($ Thousands) $ 1,587,492
==============
COMMON STOCK SOLD SHORT -- (11.4)%
CONSUMER DISCRETIONARY -- (3.0)%
Advance Auto Parts (29,400) (1,133)
Amazon.com* (37,000) (1,472)
Apollo Group, Cl A* (11,517) (506)
Barnes & Noble (28,800) (1,136)
Beazer Homes USA (12,480) (362)
Burger King Holdings (4,482) (97)
Career Education* (63,337) (1,932)
Circuit City Stores (34,400) (637)
Coldwater Creek* (62,900) (1,276)
Corinthian Colleges* (58,000) (798)
Dick's Sporting Goods* (14,400) (839)
Discovery Holding, Cl A* (273,862) (5,239)
Dollar General Stores (6,400) (135)
Eastman Kodak (17,600) (397)
Ford Motor (186,700) (1,473)
Gentex (247,439) (4,021)
H&R Block (55,500) (1,168)
Hearst-Argyle Television (3,638) (99)
Hilton Hotels (22,800) (820)
International Game Technology (13,114) (530)
International Speedway, Cl A (1,168) (60)
ITT Educational Services* (8,464) (690)
MDC Holdings (46,025) (2,212)
MGM Mirage (15,700) (1,091)
News, Cl A (17,800) (412)
O'Reilly Automotive* (66,500) (2,201)
Pulte Homes (51,186) (1,354)
Quiksilver* (87,500) (1,015)
R.H. Donnelley (3,490) (247)
Sally Beauty Holdings (69,000) (634)
Scientific Games, Cl A* (79,400) (2,607)
Standard-Pacific (75,860) (1,583)
Tiffany (16,004) (728)
Tractor Supply* (24,900) (1,282)
Wynn Resorts* (2,927) (278)
XM Satellite Radio Holdings, Cl A* (66,700) (862)
--------------
(41,326)
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CONSUMER STAPLES -- (0.1)%
Hansen Natural* (6,700) $ (254)
J.M. Smucker (13,169) (702)
Whole Foods Market (399) (18)
--------------
(974)
--------------
ENERGY -- (1.5)%
Arch Coal (48,300) (1,482)
Cameco (41,900) (1,715)
Consol Energy (2,500) (98)
Diamond Offshore Drilling (3,600) (291)
Enbridge (43,100) (1,407)
Helix Energy Solutions Group* (32,400) (1,208)
Helmerich & Payne (8,129) (247)
Overseas Shipholding Group (43,589) (2,729)
Peabody Energy (28,300) (1,139)
Pogo Producing (57,262) (2,754)
Quicksilver Resources* (47,387) (1,884)
Rowan (35,900) (1,166)
Smith International (15,500) (745)
Tetra Technologies* (49,200) (1,216)
Tidewater (5,394) (316)
Ultra Petroleum* (26,400) (1,403)
W&T Offshore (41,100) (1,189)
--------------
(20,989)
--------------
FINANCIALS -- (1.4)%
American Capital Strategies (39,921) (1,769)
BlackRock (74) (12)
Capitol Federal Financial (32,200) (1,217)
Commerce Bancorp (21,100) (704)
East West Bancorp (17,797) (654)
Hudson City Bancorp (445,904) (6,100)
IntercontinentalExchange* (7,549) (923)
Leucadia National (103,906) (3,057)
Marsh & McLennan (4,500) (132)
MBIA (7,084) (464)
Nasdaq Stock Market* (11,700) (344)
New York Community Bancorp (47,606) (837)
People's Bank (31,100) (1,381)
Protective Life (1,678) (74)
SLM (12,813) (524)
T. Rowe Price Group (4,800) (227)
Valley National Bancorp (60,843) (1,536)
--------------
(19,955)
--------------
HEALTH CARE -- (1.5)%
Advanced Medical Optics (28,200) (1,049)
Affymetrix* (38,800) (1,167)
Amylin Pharmaceuticals* (55,751) (2,083)
Boston Scientific* (70,778) (1,029)
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 41
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Brookdale Senior Living (56,540) $ (2,525)
Cooper (16,819) (818)
Millennium Pharmaceuticals* (103,100) (1,171)
Omnicare (28,100) (1,118)
Pharmaceutical Product Development (89,188) (3,005)
Respironics* (28,700) (1,205)
Tenet Healthcare* (262,100) (1,685)
Thermo Fisher Scientific* (18,700) (874)
Varian Medical Systems* (1,100) (52)
VCA Antech* (8,342) (303)
Vertex Pharmaceuticals* (72,500) (2,033)
--------------
(20,117)
--------------
INDUSTRIALS -- (1.0)%
Avis Budget Group (8,700) (238)
Corporate Executive Board (14,353) (1,090)
Covanta Holding* (77,100) (1,710)
DRS Technologies (6,964) (363)
Expeditors International Washington (21,200) (876)
Fastenal (30,470) (1,068)
JetBlue Airways* (63,500) (731)
Monster Worldwide* (5,242) (248)
MSC Industrial Direct, Cl A (9,660) (451)
Oshkosh Truck (1,600) (85)
Republic Services (8,236) (229)
Southwest Airlines (216,674) (3,185)
Spirit Aerosystems Holdings, Cl A* (45,766) (1,458)
Thomas & Betts (3,464) (169)
URS* (2,492) (106)
UTI Worldwide (41,000) (1,008)
--------------
(13,015)
--------------
INFORMATION TECHNOLOGY -- (2.3)%
Advanced Micro Devices* (82,900) (1,083)
Altera (54,200) (1,083)
Avid Technology* (25,000) (872)
BEA Systems* (30,613) (355)
CACI International, Cl A* (4,400) (206)
Ceridian* (36,000) (1,254)
Ciena* (21,637) (605)
Dolby Laboratories, Cl A* (7,866) (271)
Equinix* (15,800) (1,353)
F5 Networks* (20,891) (1,393)
Factset Research Systems (5,257) (330)
Fair Isaac (40,880) (1,581)
First Data (38,262) (1,029)
Intersil, Cl A (49,877) (1,321)
Juniper Networks* (5,906) (116)
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Linear Technology (12,328) $ (390)
Maxim Integrated Products (18,800) (553)
Mettler Toledo International* (1,408) (126)
Micron Technology* (90,400) (1,092)
NAVTEQ* (35,400) (1,221)
Novell* (31,400) (227)
Paychex (119,828) (4,538)
PMC-Sierra* (223,456) (1,566)
QLogic* (56,088) (954)
Rambus* (67,202) (1,428)
Red Hat* (69,075) (1,584)
Riverbed Technology* (8,879) (246)
Salesforce.com* (42,073) (1,802)
SanDisk* (50,149) (2,197)
Silicon Laboratories* (11,430) (342)
Unisys* (77,500) (653)
VeriFone Holdings* (1,315) (48)
--------------
(31,819)
--------------
MATERIALS -- (0.4)%
Ivanhoe Mines* (116,700) (1,340)
Louisiana-Pacific (28,920) (580)
Martin Marietta Materials (1,700) (230)
Mosaic (75,800) (2,021)
Packaging Corp. of America (6,003) (146)
Potash of Saskatchewan (5,800) (928)
--------------
(5,245)
--------------
TELECOMMUNICATION SERVICES -- (0.2)%
Alltel (755) (47)
American Tower, Cl A* (1,340) (52)
Crown Castle International* (5,962) (192)
NeuStar, Cl A* (21,000) (597)
SBA Communications, Cl A* (50,493) (1,492)
Windstream (29,050) (427)
--------------
(2,807)
--------------
UTILITIES -- 0.0%
Aqua America (683) (15)
--------------
Total Common Stock Sold Short
(Proceeds $(155,195)) ($ Thousands) (156,262)
--------------
- --------------------------------------------------------------------------------
42 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
Futures -- A summary of the open futures contracts held by the Fund at March 31,
2007, 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$ (64) Mar-2008 $ (56)
90-Day Euro$ (6) Mar-2009 (5)
90-Day Euro$ (38) Mar-2010 (33)
90-Day Euro$ (11) Mar-2011 (7)
90-Day Euro$ 30 Jun-2007 5
90-Day Euro$ 12 Jun-2008 (1)
90-Day Euro$ (39) Jun-2009 (41)
90-Day Euro$ (34) Jun-2010 (27)
90-Day Euro$ 2 Jun-2011 1
90-Day Euro$ (46) Sep-2007 3
90-Day Euro$ (12) Sep-2008 (10)
90-Day Euro$ (39) Sep-2009 (39)
90-Day Euro$ (18) Sep-2010 (9)
90-Day Euro$ 3 Sep-2011 1
90-Day Euro$ (42) Dec-2007 (26)
90-Day Euro$ (44) Dec-2008 (38)
90-Day Euro$ (39) Dec-2009 (37)
90-Day Euro$ (18) Dec-2010 (9)
S&P 500 Index 734 Jun-2007 4,396
U.S. 5-Year Note 1 Jun-2007 --
U.S. 2-Year Note 62 Jun-2007 39
U.S. 10-Year Note (31) Jun-2007 6
U.S. Long Treasury Bond 17 Jun-2007 (6)
-------------
$ 4,107
=============
Swaps -- At March 31, 2007, the following Credit Default Swap agreements were
outstanding (see Note 2 in Notes to Financial Statements):
- ------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNST (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- ------------------------------------------------------------------------------------------------
Fund pays a quarterly payment of 0.270% (1.080%
per annum) times notional amount of Southwest
Airlines Co., 6.500%, 03/01/12. Upon a defined
credit event the Fund receives the notional
amount and delivers the defined obligation.
(Counterparty: Merrill Lynch) 12/20/11 $ 750 $ (1)
Fund pays a quarterly payment of 0.450% (1.800%
per annum) times notional amount of Lubrizol
Corp., 7.250%, 06/15/35. Upon a defined
credit event the Fund receives the notional
amount and delivers the defined obligation.
(Counterparty: JP Morgan Chase) 12/20/11 750 1
Fund pays a quarterly payment of 0.690% (2.760%
per annum) times notional amount of Donnelley
(R.R.) & Sons, 4.950%, 04/01/14. Upon a
defined credit event the Fund receives the
notional amount and delivers the defined
obligation. (Counterparty: Merrill Lynch) 12/20/11 750 5
Fund pays a quarterly payment of 0.200% (0.800%
per annum) times notional amount of PPG
Industries Inc, 7.050%, 08/15/09. Upon a
defined credit event the Fund receives the
notional amount and delivers the defined
obligation. (Counterparty: JP Morgan Chase) 12/20/11 750 (4)
Fund pays a quarterly payment of 0.450% (1.800%
per annum) times notional amount of Lubrizol
Corp., 7.250%, 06/15/25. Upon a defined credit
event the Fund receives the notional amount
and delivers the defined obligation.
(Counterparty: Merrill Lynch) 12/20/11 750 (6)
Fund pays a quarterly payment of 0.440% (1.760%
per annum) times notional amount of Autozone,
Inc., 5.875%, 10/15/12. Upon a defined credit
event the Fund receives the notional amount
and delivers the defined obligation.
(Counterparty: Bank of America) 12/20/13 750 (5)
Fund pays a quarterly payment of 0.475% (1.900%
per annum) times notional amount of
Meadwestavaco Corp., 6.850%, 04/01/12.
Upon a defined credit event the Fund receives
the notional amount and delivers the defined
obligation. (Counterparty: Bank of America) 12/20/11 750 (4)
Fund pays a quarterly payment of 0.460% (1.840%
per annum) times notional amount of Autozone,
Inc., 5.875%, 10/15/12. Upon a defined credit
event the Fund receives the notional amount
and delivers the defined obligation.
(Counterparty: JP Morgan Chase) 12/20/11 750 (1)
- ------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- ------------------------------------------------------------------------------------------------
Fund pays a quarterly payment of 1.180% (4.720%
per annum) times notional amount of Gap, Inc.,
8.800%, 12/15/08. Upon a defined credit event
the Fund receives the notional amount and
delivers the defined obligation. (Counterparty:
JP Morgan Chase) 12/20/11 $ 750 $ 1
Fund pays a quarterly payment of 0.425% (1.700%
per annum) times notional amount of Eastman
Chemical, Inc., 7.600%, 02/01/27. Upon a
defined credit event the Fund receives the
notional amount and delivers the defined
obligation. (Counterparty: Bank of America) 12/20/11 750 (1)
Fund pays a quarterly payment of 0.550% (2.200%
per annum) times notional amount of Black &
Decker Corp., 7.125%, 06/01/11. Upon a
defined credit event the Fund receives the
notional amount and delivers the defined
obligation. (Counterparty: Bank of America) 12/20/11 750 (5)
Fund pays a quarterly payment of 0.190% (0.760%
per annum) times notional amount of TJX
Companies, 7.450%, 12/15/09. Upon a defined
credit event the Fund receives the notional
amount and delivers the defined obligation.
(Counterparty: Bank of America) 12/20/11 750 (4)
Fund pays a quarterly payment of 0.220% (0.880%
per annum) times notional amount of Nucor
Corp., 4.875%, 10/01/12. Upon a defined credit
event the Fund receives the notional amount
and delivers the defined obligation.
(Counterparty: Bank of America) 12/20/11 750 5
Fund pays a quarterly payment of 0.130% (0.520%
per annum) times notional amount of Lowes
Companies, Inc., 8.250%, 06/01/10. Upon a
defined credit event the Fund receives the
notional amount and delivers the defined
obligation. (Counterparty: Merrill Lynch) 12/20/11 750 (1)
Fund pays a quarterly payment of 1.180% (4.720%
per annum) times notional amount of Gap, Inc.,
8.800%, 12/15/08. Upon a defined credit event
the Fund receives the notional amount and
delivers the defined obligation. (Counterparty:
Bank of America) 12/20/11 750 --
Fund pays a quarterly payment of 0.770% (3.080%
per annum) times notional amount of Jones
Apparel Group, 5.125%, 11/15/14. Upon a
defined credit event the Fund receives the
notional amount and delivers the defined
obligation. (Counterparty: JP Morgan Chase) 12/20/11 750 (8)
Fund pays a quarterly payment of 0.140% (0.560%
per annum) times notional amount of Pitney
Bowes, Inc. 4.625%, 10/01/12. Upon a defined
credit event the Fund receives the notional
amount and delivers the defined obligation.
(Counterparty: Bank of America) 12/20/13 1,500 (2)
Fund pays a quarterly payment of 0.445% (1.780%
per annum) times notional amount of Darden
Restaurants, Inc., 7.125%, 02/01/16. Upon a
defined credit event the Fund receives the
notional amount and delivers the defined
obligation. (Counterparty: Bank of America) 12/20/11 750 (1)
Fund pays a quarterly payment of 0.475% (1.900%
per annum) times notional amount of The
Limited, Inc., 6.125%, 12/01/12. Upon a
defined credit event the Fund receives the
notional amount and delivers the defined
obligation. (Counterparty: Bank of America) 12/20/11 750 (5)
Fund pays a quarterly payment of 0.550% (2.200%
per annum) times notional amount of Black &
Decker Corp., 7.125%, 06/01/11. Upon a
defined credit event the Fund receives the
notional amount and delivers the defined
obligation. (Counterparty: JP Morgan Chase) 12/20/11 750 4
Fund pays a quarterly payment of 0.900% (3.600%
per annum) times notional amount of MDC
Holdings, Inc., 5.500%, 05/15/13. Upon a
defined credit event the Fund receives the
notional amount and delivers the defined
obligation. (Counterparty: Merrill Lynch) 12/20/11 750 (8)
Fund pays a quarterly payment of 0.390% (1.560%
per annum) times notional amount of Hasbro,
Inc., 2.750%, 12/01/21. Upon a defined credit
event the Fund receives the notional amount
and delivers the defined obligation.
(Counterparty: JP Morgan Chase) 12/20/11 750 (5)
Fund pays a quarterly payment of 0.340% (1.360%
per annum) times notional amount of Agrium,
Inc., 8.250%, 02/15/16. Upon a defined credit
event the Fund receives the notional amount
and delivers the defined obligation.
(Counterparty: JP Morgan Chase) 12/20/11 750 21
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 43
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Concluded)
March 31, 2007
- ----------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- ----------------------------------------------------------------------------------------------------
Fund pays a quarterly payment of 0.338% (1.352%
per annum) times notional amount of Whirlpool
Corp., 7.750%, 07/15/16. Upon a defined credit
event the Fund receives the notional amount and
delivers the defined obligation. (Counterparty:
Merrill Lynch) 12/20/11 $ 750 $ 11
Fund pays a quarterly payment of 0.450% (1.800%
per annum) times notional amount of
Weyerhaeuser Company, 6.750%, 03/15/12. Upon a
defined credit event the Fund receives the
notional amount and delivers the defined
obligation. (Counterparty: Bank of America) 12/20/11 750 1
Fund pays a quarterly payment of 0.220% (0.880%
per annum) times notional amount of Nucor
Corp., 4.875%, 10/01/12. Upon a defined credit
event the Fund receives the notional amount and
delivers the defined obligation. (Counterparty:
JP Morgan Chase) 12/20/11 750 1
Fund pays a quarterly payment of 0.270% (1.080%
per annum) times notional amount of Southwest
Airlines Co., 6.500%, 03/01/12. Upon a defined
credit event the Fund receives the notional
amount and delivers the defined obligation.
(Counterparty: JP Morgan Chase) 12/20/11 750 (2)
Fund pays a quarterly payment of 0.390% (1.560%
per annum) times notional amount of Radian
Group, Inc., 7.750%, 06/01/11. Upon a defined
credit event the Fund receives the notional
amount and delivers the defined obligation.
(Counterparty: JP Morgan Chase) 12/20/13 750 (2)
Fund pays a quarterly payment of 0.390% (1.560%
per annum) times notional amount of Darden
Restaurants, Inc., 7.125%, 02/01/16. Upon a
defined credit event the Fund receives the
notional amount and delivers the defined
obligation. (Counterparty: Bank of America) 12/20/13 750 (4)
Fund pays a quarterly payment of 0.350% (1.400%
per annum) times notional amount of MGIC
Investment Corp., 6.000%, 09/15/16. Upon a
defined credit event the Fund receives the
notional amount and delivers the defined
obligation. (Counterparty: Bank of America) 12/20/13 750 23
Fund pays a quarterly payment of 0.350% (1.400%
per annum) times notional amount of PMI Group,
Inc., 6.000%, 09/15/16. Upon a defined credit
event the Fund receives the notional amount and
delivers the defined obligation. (Counterparty:
JP Morgan Chase) 12/20/13 750 11
Fund pays a quarterly payment of 0.390% (1.560%
per annum) times notional amount of Johnson
Controls, Inc., 7.125%, 07/15/17. Upon a
defined credit event the Fund receives the
notional amount and delivers the defined
obligation. (Counterparty: Bank of America) 12/20/13 750 (3)
Fund pays a quarterly payment of 0.350% (1.400%
per annum) times notional amount of Alcan,
Inc., 4.875%, 09/15/12. Upon a defined credit
event the Fund receives the notional amount and
delivers the defined obligation. (Counterparty:
Bank of America) 12/20/13 750 21
Fund pays a quarterly payment of 0.350% (1.400%
per annum) times notional amount of Radian
Group Inc., 7.750%, 06/01/11. Upon a defined
credit event the Fund receives the notional
amount and delivers the defined obligation.
(Counterparty: Bank of America) 12/20/13 750 (1)
Fund pays a quarterly payment of 0.350% (1.400%
per annum) times notional amount of PMI Group,
Inc., 6.000%, 09/15/16. Upon a defined credit
event the Fund receives the notional amount and
delivers the defined obligation. (Counterparty:
Bank of America) 12/20/13 750 22
Fund pays a quarterly payment of 0.350% (1.400%
per annum) times notional amount of MGIC
Investment Corp., 6.000%, 03/15/07. Upon a
defined credit event the Fund receives the
notional amount and delivers the defined
obligation. (Counterparty: JP Morgan Chase) 12/20/13 750 (3)
Fund pays a quarterly payment of 0.280% (1.120%
per annum) times notional amount of Nordstrom,
Inc., 6.950%, 03/15/28. Upon a defined credit
event the Fund receives the notional amount and
delivers the defined obligation. (Counterparty:
JP Morgan Chase) 12/20/13 750 7
Fund pays a quarterly payment of 0.250% (1.000%
per annum) times notional amount of Dow
Chemical, Inc., 6.000%, 10/01/12. Upon a
defined credit event the Fund receives the
notional amount and delivers the defined
obligation. (Counterparty: Merrill Lynch) 12/20/13 750 5
- ----------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- ----------------------------------------------------------------------------------------------------
Fund pays a quarterly payment of 0.730% (2.920%
per annum) times notional amount of Masco
Corp., 5.875%, 07/15/12. Upon a defined credit
event the Fund receives the notional amount and
delivers the defined obligation. (Counterparty:
Bank of America) 12/20/13 $ 750 $ 10
Fund pays a quarterly payment of 0.260% (1.040%
per annum) times notional amount of Dow
Chemical, Inc., 6.000%, 10/01/12. Upon a
defined credit event the Fund receives the
notional amount and delivers the defined
obligation. (Counterparty: JP Morgan Chase) 12/20/13 750 1
Fund pays a quarterly payment of 0.280% (1.120%
per annum) times notional amount of Nordstrom,
Inc., 6.950%, 03/15/28. Upon a defined credit
event the Fund receives notional amount and
delivers the defined obligation. (Counterparty:
Merrill Lynch) 12/20/13 650 (3)
Fund pays a quarterly payment of 0.320% (1.280%
per annum) times notional amount of Alcan,
Inc., 4.875%, 09/15/12. Upon a defined credit
event the Fund receives the notional amount and
delivers the defined obligation. (Counterparty:
Bank of America) 12/20/13 750 1
Fund pays a quarterly payment of 0.450% (1.800%
per annum) times notional amount of
Weyerhaeuser Company, 6.750%, 03/15/12. Upon a
defined credit event the Fund receives the
notional amount and delivers the defined
obligation. (Counterparty: Merrill Lynch) 03/20/12 750 2
Fund pays a quarterly payment of 0.320% (1.280%
per annum) times notional amount of Washington
Mutual Co., 5.250%, 09/15/17. Upon a defined
credit event the Fund receives the notional
amount and delivers the defined obligation.
(Counterparty: JP Morgan Chase) 03/20/12 700 5
Fund receives a quarterly payment of 0.400%
(1.600% per annum) times notional amount of
CDX.NA.IG Index. Upon a defined credit event
the Fund pays notional amount and takes receipt
of a defined deliverable obligation.
(Counterparty: Bank of America) 12/20/11 (13,800) 88
Fund receives a quarterly payment of 0.400%
(1.600% per annum) times notional amount of
CDX.NA.IG Index. Upon a defined credit event
the Fund pays notional amount and takes receipt
of a defined deliverable obligation.
(Counterparty: Merrill Lynch) 12/20/11 (3,750) 25
Fund receives a quarterly payment of 0.400%
(1.600% per annum) times notional amount of
CDX.NA.IG Index. Upon a defined credit event
the Fund pays notional amount and takes receipt
of a defined deliverable obligation.
(Counterparty: Merrill Lynch) 12/20/11 (650) 3
Fund receives a quarterly payment of 0.400%
(1.600% per annum) times notional amount of
CDX.NA.IG Index. Upon a defined credit event
the Fund pays notional amount and takes receipt
of a defined deliverable obligation.
(Counterparty: Merrill Lynch) 12/20/11 (13,800) 88
Fund receives a quarterly payment of 0.400%
(1.600% per annum) times notional amount of
CDX.NA.IG Index. Upon a defined credit event
the Fund pays notional amount and takes receipt
of a defined deliverable obligation.
(Counterparty: Bank of America) 12/20/11 (750) (1)
Fund receives a monthly payment of 0.440% (5.280%
per annum) times notional amount of ABX.HE.A
07-1 Index. Upon a defined credit event the
Fund pays notional amount and takes receipt of
a defined deliverable obligation.
(Counterparty: Bank of America) 05/24/46 (18,000) (498)
Fund receives a monthly payment of 0.640% (7.680%
per annum) times notional amount of ABX.HE.A
07-1 Index. Upon a defined credit event the
Fund pays notional amount and takes receipt of
a defined deliverable obligation.
(Counterparty: Merrill Lynch) 08/25/37 (1,000) (16)
Fund receives a monthly payment of 0.440% (5.280%
per annum) times notional amount of ABX.HE.A
07-1 Index. Upon a defined credit event the
Fund pays notional amount and takes receipt of
a defined deliverable obligation.
(Counterparty: Bank of America) 05/24/46 (500) 7
Fund receives a monthly payment of 0.440% (5.280%
per annum) times notional amount of ABX.HE.A
07-1 Index. Upon a defined credit event the
Fund pays notional amount and takes receipt of
a defined deliverable obligation.
(Counterparty: Bank of America) 05/24/46 (500) (7)
- --------------------------------------------------------------------------------
44 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- ----------------------------------------------------------------------------------------------------
NOTIONAL NET UNREALIZED
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- ----------------------------------------------------------------------------------------------------
Fund receives a monthly payment of 0.640% (7.680%
per annum) times notional amount of ABX.HE.A
07-1 Index. Upon a defined credit event the
Fund pays notional amount and takes receipt of
a defined deliverable obligation.
(Counterparty: Merrill Lynch) 08/25/37 $ (1,500) $ (9)
Fund receives a monthly payment of 0.640% (7.680%
per annum) times notional amount of ABX.HE.A
07-1 Index. Upon a defined credit event the
Fund pays notional amount and takes receipt of
a defined deliverable obligation.
(Counterparty: Merrill Lynch) 08/25/37 (500) (12)
Fund receives a monthly payment of 0.640% (7.680%
per annum) times notional amount of ABX.HE.A
07-1 Index. Upon a defined credit event the
Fund pays notional amount and takes receipt of
a defined deliverable obligation.
(Counterparty: Merrill Lynch) 08/25/37 (1,500) (23)
--------------
$ (276)
==============
Swaps -- At March 31, 2007, the following Total Return Swap agreements were
outstanding (see Note 2 in Notes to Financial Statements):
- ----------------------------------------------------------------------------------------------------
NOTIONAL NET UNREALIZED
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- ----------------------------------------------------------------------------------------------------
The Fund receives payment on the monthly reset
spread from Bank of America - CMBS IG 10Yr
Index plus 22.5 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) 05/01/07 $ 12,000 $ (21)
The Fund receives payment on the monthly reset
spread from Bank of America - CMBS AAA 10Yr
Index plus 5 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) 07/01/07 7,000 (6)
The Fund receives payment on the monthly reset
spread from Lehman Brothers - CMBS AAA 8.5+
Index minus 5 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) 06/30/07 5,000 (4)
The Fund receives payment on the monthly reset
spread from Bank of America - CMBS AAA 10Yr
Index plus 7.5 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) 07/31/07 35,000 (31)
The Fund receives payment on the monthly reset
spread from Bank of America - CMBS AAA 10Yr
Index plus 8 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) 09/28/07 15,000 (13)
--------------
$ (75)
==============
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $1,366,974 ($ Thousands).
* Non-Income Producing Security.
** Rate shown is the 7-day effective yield as of March 31, 2007.
+ Real Estate Investments Trust.
++ Investment in Affiliated Registered Investment Company (see Note 3).
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(B) The rate reported is the effective yield at time of purchase.
(C) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of March 31, 2007. The date reported on the
Schedule of Investments is the next reset date.
(D) All or a portion of this security has been pledged as collateral for
securities sold short. The total value of collateral for securities sold
short at March 31, 2007 was $490,169 ($ Thousands).
(E) Securities sold within terms of a private placement memorandum, exempt
from registration under Section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors." 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
effective yield on March 31, 2007. The coupon on a step bond changes on a
specified date.
(H) This security is traded on a foreign stock exchange. The total value of
such securities as of March 31, 2007 was $53 ($ Thousands) and represented
0.00% 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
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
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 45
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Value Fund
March 31, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS#:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Financials 35.6%
Information Technology 12.0%
Industrials 10.4%
Consumer Discretionary 9.8%
Short-Term Investments 9.5%
Energy 5.4%
Health Care 4.9%
Materials 4.6%
Consumer Staples 3.5%
Utilities 3.3%
Telecommunication Services 0.4%
Asset-Backed Securities 0.3%
Exchange Traded Funds 0.2%
U.S. Treasury Obligation 0.1%
Warrants 0.0%
# Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 7).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 94.9%+++
CONSUMER DISCRETIONARY -- 12.3%
1-800 Contacts (B)* 60,300 $ 1,013
Advance Auto Parts 38,600 1,488
Aftermarket Technology* 88,881 2,158
American Axle & Manufacturing
Holdings (B) 67,112 1,836
American Greetings, Cl A 81,478 1,891
Applebee's International 32,256 799
Arctic Cat 43,600 850
ArvinMeritor (B) 156,600 2,858
Asbury Automotive Group 80,200 2,266
Bally Technologies (B)* 71,654 1,690
Bebe Stores 46,371 806
Belo, Cl A 94,732 1,769
Big 5 Sporting Goods 41,300 1,071
Big Lots* 6,500 203
Blyth 25,900 547
Borders Group (B) 103,900 2,122
Brinker International 34,081 1,114
Brown Shoe 48,100 2,020
Building Materials Holding 55,900 1,012
California Coastal Communities 5,800 118
Carrols Restaurant Group* 95,700 1,389
Cato, Cl A (B) 59,500 1,392
CBRL Group (B) 74,000 3,426
Champion Enterprises (B)* 146,600 1,290
Cheesecake Factory* 14,300 381
Cooper Tire & Rubber (B) 55,360 1,013
Corinthian Colleges (B)* 145,400 1,999
Courier 21,509 840
CSK Auto (B)* 104,175 1,792
Cumulus Media, Cl A (B)* 87,400 820
Dana (B) 478,100 418
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Ethan Allen Interiors (B) 137,097 $ 4,845
Finish Line, Cl A 59,762 753
Furniture Brands International (B) 120,000 1,894
Genesco* 24,400 1,013
Group 1 Automotive (B) 11,000 437
Handleman (B) 49,600 346
Hilton Hotels 32,600 1,172
HOT Topic* 94,325 1,047
Jackson Hewitt Tax Service 63,600 2,047
Jakks Pacific (B)* 50,900 1,217
Jarden (B)* 54,850 2,101
Jo-Ann Stores (B)* 39,100 1,066
Jos. A. Bank Clothiers (B)* 21,300 753
Journal Communications, Cl A 101,600 1,332
Journal Register 95,800 571
K2 (B)* 220,800 2,669
Kellwood 96,700 2,836
Lakeland Industries* 70,100 981
Landry's Restaurants (B) 44,203 1,308
Leapfrog Enterprises (B)* 138,626 1,483
Libbey 76,993 1,079
Lifetime Brands 130,180 2,719
Lithia Motors, Cl A 34,100 935
M/I Homes (B) 2,200 58
MarineMax (B)* 106,900 2,478
Marvel Entertainment (B)* 67,500 1,873
MDC Partners, Cl A* 416,438 3,219
Men's Wearhouse 18,790 884
Modine Manufacturing 29,700 680
Morgans Hotel Group (B)* 60,941 1,280
Nautilus (B) 37,400 577
O'Charleys* 50,300 970
Orient-Express Hotels, Cl A (B) 81,700 4,887
Outdoor Channel Holdings (B)* 56,800 581
Pacific Sunwear of California* 62,543 1,303
Perry Ellis International* 24,850 795
Pier 1 Imports (B) 193,000 1,334
Pinnacle Entertainment* 59,000 1,715
Princeton Review* 328,204 1,762
Quiksilver (B)* 253,500 2,941
RadioShack (B) 64,500 1,743
RC2* 26,200 1,058
RCN* 11,700 299
Regal Entertainment Group, Cl A (B) 90,300 1,794
Regis 51,838 2,093
Rent-A-Center* 93,500 2,616
Ruby Tuesday (B) 52,100 1,490
Ryland Group (B) 19,000 802
Scholastic* 63,100 1,962
Sinclair Broadcast Group, Cl A 52,200 807
Sonic Automotive, Cl A (B) 135,800 3,870
Stage Stores 30,700 716
Starwood Hotels & Resorts Worldwide 107,300 6,958
Stein Mart 36,400 594
- --------------------------------------------------------------------------------
46 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Steinway Musical Instruments 13,000 $ 420
Stride Rite 33,900 522
Sunterra (B)* 75,693 1,188
Talbots (B) 60,100 1,420
Tempur-Pedic International (B)* 18,100 470
Town Sports International Holdings* 16,600 362
Trans World Entertainment (B)* 56,100 319
Tuesday Morning (B) 38,000 564
Tupperware Brands 7,900 197
Unifirst 36,929 1,417
Vail Resorts (B)* 42,364 2,302
Valassis Communications* 31,500 542
Visteon* 100,400 857
Warner Music Group 161,500 2,755
West Marine (B)* 12,600 229
Westwood One 2,300 16
World Wrestling Entertainment, Cl A 52,700 859
Zale* 135,900 3,585
--------------
149,158
--------------
CONSUMER STAPLES -- 4.3%
Alliance One International* 57,700 533
BJ's Wholesale Club* 184,700 6,248
Casey's General Stores (B) 56,095 1,403
Central Garden and Pet (B)* 59,425 878
Chattem (B)* 6,400 377
Chiquita Brands International (B) 142,800 2,002
Corn Products International 37,053 1,319
Del Monte Foods 81,300 933
Hain Celestial Group* 110,989 3,337
Imperial Sugar (B) 11,600 389
JM Smucker 21,135 1,127
Lancaster Colony 29,100 1,286
Longs Drug Stores 10,000 516
Molson Coors Brewing, Cl B (B) 52,100 4,930
Nash Finch (B) 42,900 1,478
NBTY (B)* 57,500 3,050
Nu Skin Enterprises, Cl A 82,743 1,367
Pantry* 27,967 1,265
Performance Food Group (B)* 55,477 1,713
Pilgrim's Pride 105,800 3,511
Prestige Brands Holdings* 13,400 159
Ralcorp Holdings (B)* 63,333 4,072
Ruddick 48,989 1,474
Sanderson Farms (B) 91,200 3,380
Spartan Stores 13,300 356
Universal (B) 66,800 4,098
Weis Markets 23,600 1,055
--------------
52,256
--------------
ENERGY -- 6.7%
Atlas America (B)* 24,878 1,405
Atwood Oceanics (B)* 59,900 3,515
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Aurora Oil & Gas* 165,000 $ 431
Aventine Renewable Energy
Holdings (B)* 78,700 1,434
Berry Petroleum, Cl A 60,174 1,845
Cal Dive International* 80,400 982
Callon Petroleum (B)* 9,200 125
CARBO Ceramics (B) 50,300 2,341
Cimarex Energy 93,300 3,454
Comstock Resources* 11,300 309
Delta Petroleum (B)* 56,300 1,293
Dresser-Rand Group* 67,700 2,062
Edge Petroleum* 60,700 760
Endeavour International* 10,700 22
Energy Partners (B)* 42,600 773
Forest Oil (B)* 82,450 2,751
GeoMet* 186,706 1,647
Global Industries (B)* 214,400 3,921
Goodrich Petroleum (B)* 38,801 1,305
Grey Wolf (B)* 640,400 4,291
Harvest Natural Resources* 12,400 121
Hercules Offshore (B)* 60,801 1,597
Holly (B) 8,600 510
Input/Output (B)* 269,800 3,718
InterOil* 40,700 1,083
Lone Star Technologies* 81,700 5,395
Mariner Energy* 166,720 3,189
Natural Gas Services Group* 1,400 20
Newpark Resources* 172,100 1,213
Oceaneering International (B)* 26,100 1,099
OMI 118,800 3,191
Plains Exploration & Production* 20,019 904
Rosetta Resources* 127,500 2,619
RPC 188,800 3,145
St. Mary Land & Exploration 111,700 4,097
Stone Energy* 68,100 2,022
Superior Energy Services* 38,500 1,327
Swift Energy* 111,005 4,637
Tesoro 8,500 854
Universal Compression Holdings (B)* 14,400 974
Uranium Resources* 194,320 1,584
VeraSun Energy (B)* 73,600 1,462
W-H Energy Services* 42,211 1,973
--------------
81,400
--------------
FINANCIALS -- 26.8%
1st Source 8,800 230
Acadia Realty Trust+ 41,400 1,079
Accredited Home Lenders Holding (B)* 43,700 405
Advance America Cash Advance Centers 27,700 426
Advanta, Cl B 21,000 921
Affirmative Insurance Holdings 20,500 355
AMB Property+ 58,300 3,427
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 47
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Value Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
AmCOMP* 83,400 $ 806
Amcore Financial 37,928 1,204
American Equity Investment
Life Holding (B) 75,329 989
American Home Mortgage
Investment+ (B) 14,600 394
American Physicians Capital* 13,000 521
Ameris Bancorp 1,600 39
Amtrust Financial Services* 4,400 46
Anchor Bancorp Wisconsin 25,100 712
Annaly Capital Management+ 198,400 3,071
Anthracite Capital+ 152,100 1,825
Anworth Mortgage Asset+ 74,400 727
Arbor Realty Trust+ 133,177 4,054
Archstone-Smith Trust+ (B) 127,000 6,894
Argonaut Group (B)* 22,500 728
Ashford Hospitality Trust+ (B) 9,400 112
Aspen Insurance Holdings 77,800 2,039
Assured Guaranty 119,500 3,265
AvalonBay Communities+ 28,300 3,679
BancFirst 13,500 626
Bancorpsouth 102,242 2,500
Bank Mutual 232,139 2,639
BankAtlantic Bancorp, Cl A 140,078 1,535
Bankunited Financial, Cl A (B) 89,900 1,907
Banner 14,500 602
Berkshire Hills Bancorp 20,600 693
BFC Financial, Cl A* 8,700 38
BioMed Realty Trust+ 50,500 1,328
Boston Private Financial Holdings 90,300 2,521
Boston Properties+ (B) 54,100 6,351
British Land (United Kingdom)+ (I) 62,693 1,879
Camden Property Trust+ 8,100 570
Capital Lease Funding+ 106,300 1,138
Capital Trust, Cl A+ (B) 34,500 1,572
Capstead Mortgage+ (B) 17,900 179
Cardinal Financial 81,560 814
Cash America International 55,600 2,280
Cathay General Bancorp (B) 61,800 2,100
CBRE Realty Finance+* 70,000 926
Chemical Financial 29,200 870
Citizens Banking 91,941 2,037
City Bank 10,250 329
City Holding 24,900 1,007
CNA Surety* 17,900 378
Colonial Properties Trust+ 6,100 279
Columbia Bancorp (B) 5,800 139
Columbia Banking System 51,300 1,730
Commerce Group (B) 45,400 1,364
Community Bancorp (B)* 4,500 138
Community Bank System 22,500 471
Community Trust Bancorp 13,490 489
CompuCredit* 14,800 462
Corporate Office Properties Trust+ 33,600 1,535
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Corus Bankshares (B) 101,600 $ 1,733
Crawford, Cl B 16,400 95
Darwin Professional Underwriters* 32,700 822
Dawnay Day Treveria
(United Kingdom) (I)* 471,407 885
DCT Industrial Trust+* 194,000 2,295
Dearborn Bancorp* 35,900 627
Delphi Financial Group, Cl A (B) 44,550 1,792
DiamondRock Hospitality+ 47,500 903
Direct General 22,600 480
Douglas Emmett+* 162,300 4,144
Eagle Hospitality Properties Trust+ 86,600 966
Education Realty Trust+ (B) 172,367 2,548
Employers Holdings* 48,056 962
Endurance Specialty Holdings 65,036 2,324
Entertainment Properties Trust+ (B) 13,600 819
Equity One+ (B) 78,593 2,083
Equity Residential+ 164,300 7,924
Farmers Capital Bank 2,600 76
FBL Financial Group, Cl A 16,300 638
Federal Agricultural Mortgage, Cl C 38,900 1,058
Federal Realty Investment Trust+ 4,500 408
FelCor Lodging Trust+ 102,400 2,659
Financial Federal 22,300 587
First American 79,800 4,047
First Community Bancshares 5,900 230
First Financial Bancorp 107,859 1,630
First Financial Bankshares 6,500 272
First Financial Holdings 4,600 159
First Industrial Realty Trust+ (B) 54,100 2,451
First Merchants 19,300 458
First Midwest Bancorp 63,500 2,334
First Niagara Financial Group (B) 167,000 2,323
First State Bancorporation 57,610 1,299
FirstFed Financial (B)* 41,100 2,336
FirstMerit 101,885 2,151
Flagstar Bancorp 39,300 470
Flushing Financial 29,400 477
FNB (Virginia) 3,200 115
Fpic Insurance Group (B)* 16,800 750
Frontier Financial (B) 13,950 348
GAMCO Investors, Cl A 34,700 1,504
General Growth Properties+ (B) 150,470 9,716
GFI Group* 14,800 1,006
Gramercy Capital+ (B) 57,326 1,759
Great Southern Bancorp 2,100 62
Greater Bay Bancorp 21,400 575
Greene County Bancshares 6,400 217
Hallmark Financial Services* 100,460 1,210
Hammerson (United Kingdom)+ (I) 56,433 1,918
Hancock Holding 5,400 238
Hanmi Financial 66,000 1,258
Harleysville Group 6,600 214
Heritage Commerce (B) 7,400 189
- --------------------------------------------------------------------------------
48 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Hersha Hospitality Trust+ 35,800 $ 422
Highland Hospitality+ 111,100 1,978
Hilb Rogal & Hobbs (B) 82,400 4,042
Horace Mann Educators (B) 72,264 1,485
Host Hotels & Resorts+ (B) 366,255 9,636
HRPT Properties Trust+ (B) 95,700 1,177
Hub International 36,900 1,538
IMPAC Mortgage Holdings+ (B) 67,100 336
Infinity Property & Casualty 35,092 1,644
Innkeepers USA Trust+ (B) 232,188 3,780
Intervest Bancshares* 21,900 629
Irwin Financial 29,800 555
ITLA Capital 6,100 317
KBW (B)* 54,400 1,891
Kimco Realty+ (B) 161,700 7,881
KKR Financial+ 100,400 2,754
Lakeland Financial 4,700 107
Land Securities Group
(United Kingdom)+ (I) 67,574 2,836
LandAmerica Financial Group (B) 9,000 665
Liberty Property Trust+ (B) 32,100 1,564
Luminent Mortgage Capital+ 285,200 2,550
MAF Bancorp 20,600 852
Maguire Properties+ 30,600 1,088
Marlin Business Services* 33,700 737
Max Re Capital 56,100 1,429
MetroCorp Bancshares 3,300 70
MFA Mortgage Investments+ 150,200 1,157
National Financial Partners 14,944 701
National Interstate (B) 13,600 350
National Retail Properties+ (B) 90,400 2,187
NBT Bancorp 41,600 975
NewAlliance Bancshares 159,692 2,589
Newcastle Investment+ 91,200 2,529
Novastar Financial+ (B) 11,700 59
Odyssey Re Holdings (B) 29,400 1,156
Ohio Casualty 51,100 1,530
Old National Bancorp 64,200 1,167
Omega Healthcare Investors+ 16,800 288
Oriental Financial Group 42,700 503
Pacific Capital Bancorp (B) 62,966 2,022
Pennsylvania Real Estate
Investment Trust+ 11,100 492
PFF Bancorp 18,350 557
Phoenix 59,500 826
Pico Holdings (B)* 53,400 2,281
Piper Jaffray* 52,064 3,225
Platinum Underwriters Holdings 139,292 4,469
PMI Group 28,083 1,270
Preferred Bank 23,700 929
Premierwest Bancorp (B) 4,900 66
Presidential Life 31,600 623
ProAssurance (B)* 55,159 2,821
Prosperity Bancshares 22,600 785
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Provident Bankshares 24,200 $ 795
PS Business Parks+ 54,500 3,843
Public Storage+ (B) 38,800 3,673
Rainier Pacific Financial Group 23,899 475
RAIT Financial Trust+ 29,400 821
Regency Centers+ 13,800 1,153
RenaissanceRe Holdings 32,800 1,645
Resource Capital+ 32,300 521
Safety Insurance Group 3,000 120
Saul Centers+ (B) 18,300 1,041
Security Capital Assurance 42,500 1,200
Selective Insurance Group 7,400 188
Shore Bancshares (B) 2,200 58
Signature Bank (B)* 59,428 1,934
Simon Property Group+ (B) 91,800 10,213
South Financial Group (B) 68,064 1,683
Southwest Bancorp 14,700 378
Sterling Financial,
Pennsylvania Shares 11,825 263
Sterling Financial,
Washington Shares 106,568 3,324
Stewart Information Services 138,700 5,796
Sun Communities+ 23,400 726
Sunstone Hotel Investors+ (B) 28,300 771
Superior Bancorp (B)* 139,763 1,509
Susquehanna Bancshares 49,800 1,155
SY Bancorp 900 22
Synergy Financial Group 61,500 962
Taylor Capital Group 5,600 196
Technology Investment Capital 41,900 709
Thomas Properties Group 54,900 852
TierOne 14,500 392
TradeStation Group* 69,100 870
Trico Bancshares 6,500 154
UMB Financial 66,936 2,528
Umpqua Holdings 77,717 2,081
Unibail (France)+ (I)* 13,263 4,006
United Bankshares 46,300 1,622
United Community Banks 12,700 416
Ventas+ (B) 100,600 4,238
Verde Realty PIPE (J) (K)* 21,100 696
Virginia Financial Group 4,750 123
Vornado Realty Trust+ (B) 35,600 4,249
Washington Federal 28,270 663
WesBanco 22,000 679
West Coast Bancorp 8,200 262
Westfield Financial 70,500 756
Wintrust Financial 30,800 1,374
World Acceptance (B)* 19,200 767
WR Berkley 50,537 1,674
WSFS Financial 29,789 1,921
Zenith National Insurance 26,600 1,257
--------------
324,192
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 49
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Value Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
HEALTH CARE -- 6.1%
Accelrys* 257,200 $ 1,641
Advanced Medical Optics (B)* 68,500 2,548
Albany Molecular Research* 36,200 357
Alpharma, Cl A 22,700 547
America Service Group* 52,400 874
AMERIGROUP* 48,100 1,462
AMN Healthcare Services* 39,900 903
Analogic 50,200 3,157
Applera - Celera Group* 130,400 1,852
Apria Healthcare Group* 51,500 1,661
Axcan Pharma* 146,609 2,421
Bradley Pharmaceuticals (B)* 63,000 1,209
Cambrex 139,864 3,441
Chemed 40,900 2,002
Community Health Systems* 91,100 3,211
Conmed* 103,500 3,025
Cooper (B) 134,162 6,523
Cross Country Healthcare* 170,700 3,112
Datascope 26,700 966
DexCom* 49,500 389
Discovery Laboratories (B)* 128,400 304
DJO* 113,105 4,287
Foxhollow Technologies* 17,500 366
Greatbatch (B)* 29,900 762
Healthspring* 79,300 1,868
HealthTronics (B)* 83,200 448
Kensey Nash* 11,700 357
Kindred Healthcare* 70,600 2,314
LifePoint Hospitals* 25,500 975
Magellan Health Services (B)* 59,000 2,478
Matrixx Initiatives* 23,100 375
Medical Staffing Network Holdings* 141,600 899
Myriad Genetics (B)* 80,300 2,767
National Dentex* 40,900 576
Neurocrine Biosciences (B)* 57,000 712
Orthofix International* 19,339 987
Owens & Minor 39,002 1,433
Par Pharmaceutical* 20,800 522
Perrigo 35,600 629
Pharmacopeia Drug Discovery* 116,250 661
PharmaNet Development Group (B)* 22,000 572
Providence Service* 43,900 1,041
Res-Care (B)* 92,882 1,625
Sciele Pharma (B)* 73,600 1,743
SonoSite* 6,100 172
Symmetry Medical* 58,342 953
Trizetto Group (B)* 74,600 1,493
Viropharma (B)* 34,100 489
Zoll Medical (B)* 27,100 722
--------------
73,831
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
INDUSTRIALS -- 13.1%
ACCO Brands (B)* 69,300 $ 1,669
Accuride* 18,339 268
Actuant, Cl A (B) 30,900 1,570
Acuity Brands 5,100 278
Administaff 24,400 859
Alaska Air Group* 23,700 903
Albany International, Cl A 96,700 3,475
Altra Holdings* 38,300 525
AO Smith 18,800 719
Apogee Enterprises 51,504 1,032
Applied Industrial Technologies 18,425 452
Arkansas Best 66,600 2,368
Astec Industries* 40,400 1,626
Avis Budget Group 67,675 1,849
BE Aerospace* 37,916 1,202
Belden CDT 26,558 1,423
Brady, Cl A 32,734 1,021
Briggs & Stratton (B) 48,164 1,486
Brink's 42,800 2,716
Chart Industries* 15,902 289
CIRCOR International 38,925 1,390
Clean Harbors (B)* 31,181 1,410
Commercial Vehicle Group* 85,000 1,751
Consolidated Graphics* 24,400 1,807
Crane 71,400 2,886
Cubic 68,800 1,489
Danaos 35,900 946
Deluxe 139,000 4,661
Diamond Management &
Technology Consultants 83,000 970
Dollar Thrifty Automotive Group* 19,100 975
EMCOR Group (B)* 20,700 1,221
EnPro Industries* 56,400 2,033
Federal Signal (B) 112,496 1,746
First Consulting Group* 60,800 553
Flanders (B)* 239,080 1,733
Flowserve (B) 38,800 2,219
Gardner Denver* 16,900 589
GATX 11,200 535
General Cable* 3,900 208
Goodman Global* 46,300 816
GrafTech International* 31,600 287
Granite Construction 38,100 2,105
Griffon (B)* 80,931 2,003
H&E Equipment Services* 60,400 1,299
Heidrick & Struggles International* 27,900 1,352
Horizon Lines, Cl A 9,600 315
Hubbell, Cl B 71,700 3,459
Hudson Highland Group* 90,000 1,403
ICF International* 58,500 1,106
IKON Office Solutions 94,300 1,355
Insituform Technologies, Cl A (B)* 25,315 526
Interface, Cl A (B)* 73,827 1,181
- --------------------------------------------------------------------------------
50 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
JetBlue Airways* 62,800 $ 723
John H. Harland 16,900 866
K&F Industries Holdings* 22,500 606
Kadant (B)* 70,422 1,786
Kansas City Southern (B)* 100,349 3,570
Kaydon (B) 97,883 4,166
Kelly Services, Cl A 19,700 634
Kirby* 60,400 2,113
Knight Transportation (B) 88,600 1,579
Korn/Ferry International (B)* 50,900 1,168
Layne Christensen* 49,700 1,810
LECG* 107,200 1,552
Lennox International 10,143 362
Marten Transport* 40,900 650
Mesa Air Group (B)* 56,600 426
Milacron (B)* 364,435 241
Mueller Water Products, Cl B 24,290 325
Navigant Consulting* 39,800 786
Navios Maritime Holdings 97,600 715
Navistar International* 99,700 4,561
Orbital Sciences (B)* 91,600 1,717
Pall 102,500 3,895
PAM Transportation Services* 15,100 311
PeopleSupport* 87,200 998
Perini* 70,700 2,606
PHH* 81,300 2,485
Power-One (B)* 96,800 554
Regal-Beloit 41,100 1,906
Ryder System 66,700 3,291
Saia (B)* 19,400 461
School Specialty (B)* 44,486 1,606
Simpson Manufacturing (B) 3,800 117
Skywest 32,500 872
Spherion* 99,700 879
TAL International Group 12,600 302
Tecumseh Products, Cl A (B)* 126,700 1,276
Teledyne Technologies (B)* 118,190 4,425
Tetra Tech (B)* 284,770 5,428
United Rentals (B)* 18,000 495
United Stationers (B)* 7,600 455
Universal Forest Products (B) 16,100 798
US Xpress Enterprises, Cl A* 33,200 573
Volt Information Sciences (B)* 1,550 41
Wabash National 110,200 1,699
Walter Industries 90,200 2,232
Washington Group International* 38,300 2,544
Waste Connections (B)* 90,000 2,695
Waste Industries USA 13,300 365
Watson Wyatt Worldwide, Cl A 193,395 9,409
WESCO International* 16,509 1,036
Woodward Governor 28,400 1,169
YRC Worldwide (B)* 24,900 1,002
--------------
158,340
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 15.0%
Actel* 49,500 $ 818
ADC Telecommunications (B)* 28,200 472
Adtran 21,400 521
Advanced Energy Industries* 21,100 444
Aeroflex* 134,683 1,771
Agilysys 21,200 476
Alliance Semiconductor* 266,300 1,201
Altiris* 26,000 856
AMIS Holdings* 150,700 1,650
ARM Holdings ADR (B) 294,300 2,310
Arris Group* 92,900 1,308
Aspen Technology (B)* 34,200 445
Asyst Technologies* 102,300 719
ATMI* 11,100 339
Avanex (B)* 383,900 687
Avnet* 45,480 1,644
Avocent (B)* 56,134 1,514
Axesstel* 411,000 752
BearingPoint (B)* 321,500 2,463
Benchmark Electronics* 30,500 630
BISYS Group (B)* 58,285 668
Black Box 79,151 2,892
Brocade Communications Systems* 537,100 5,113
CACI International, Cl A* 47,800 2,240
Ciber* 245,200 1,930
Cognex (B) 37,600 815
Coherent (B)* 66,105 2,098
Comverse Technology* 160,600 3,429
Conexant Systems (B)* 92,500 153
CPI International* 58,570 1,126
CSG Systems International (B)* 143,000 3,578
CTS 89,400 1,236
Dycom Industries* 76,720 1,999
Earthlink* 499,500 3,671
Electronics for Imaging* 71,300 1,672
Emulex* 63,940 1,169
Entegris (B)* 196,400 2,102
Flir Systems (B)* 50,700 1,808
Foundry Networks* 182,100 2,471
Gevity HR 148,900 2,939
Global Imaging Systems (B)* 48,300 942
Ikanos Communications* 139,500 1,084
Imation 60,900 2,459
Keane* 96,500 1,310
Kemet (B)* 87,300 668
Keynote Systems* 141,500 1,899
Komag (B)* 116,500 3,813
Lawson Software (B)* 694,400 5,618
LeCroy (B)* 38,900 325
Littelfuse* 95,496 3,877
LoJack (B)* 32,579 618
LTX* 346,200 2,119
Manhattan Associates* 85,000 2,332
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 51
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Value Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Measurement Specialties* 18,400 $ 415
Mentor Graphics* 158,100 2,583
Mercury Computer Systems* 60,700 842
Methode Electronics 94,500 1,396
Mettler Toledo International* 10,224 916
MKS Instruments* 59,800 1,526
MoneyGram International 19,300 536
Neoware* 119,400 1,202
Omnivision Technologies* 26,800 347
ON Semiconductor (B)* 108,200 965
Orbotech* 186,400 4,106
Orckit Communications* 114,500 1,167
Palm (B)* 27,200 493
Parametric Technology* 155,279 2,964
Park Electrochemical 24,600 667
Paxar* 76,499 2,196
Pericom Semiconductor* 16,300 159
Perot Systems, Cl A (B)* 139,314 2,490
Photronics* 56,700 882
Plantronics (B) 81,535 1,926
Polycom (B)* 75,900 2,530
Powerwave Technologies (B)* 167,076 951
Quantum (B)* 1,047,100 2,827
Rackable Systems (B)* 73,500 1,247
RADWARE* 100,000 1,350
RF Micro Devices (B)* 257,100 1,602
Richardson Electronics 66,645 622
SafeNet* 15,550 440
Seachange International* 211,600 1,722
Seagate Technology (B) 77,284 1,801
SI International* 26,300 755
Skyworks Solutions (B)* 922,100 5,302
Solectron (B)* 501,900 1,581
SonicWALL* 65,500 548
SRA International, Cl A* 49,300 1,201
Standard Microsystems* 46,100 1,408
Sybase* 137,037 3,464
Synopsys* 70,402 1,847
Technitrol 63,300 1,658
Tekelec (B)* 260,300 3,881
THQ (B)* 30,438 1,041
TIBCO Software (B)* 526,100 4,482
TNS 34,600 557
Transaction Systems Architects* 25,400 823
Ultratech (B)* 205,100 2,791
United Online (B) 240,600 3,376
Utstarcom (B)* 193,300 1,602
Varian Semiconductor Equipment
Associates* 54,500 2,909
Verint Systems* 81,900 2,633
Wavecom ADR* 84,800 1,905
webMethods* 29,200 210
WidePoint* 268,100 485
Zoran* 213,800 3,639
--------------
182,161
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
MATERIALS -- 5.9%
Aptargroup 31,824 $ 2,130
Arch Chemicals 46,459 1,451
Bemis 36,716 1,226
Buckeye Technologies* 50,200 652
Chaparral Steel 8,500 495
Cleveland-Cliffs (B) 24,500 1,568
Constar International (B)* 100,800 892
Crown Holdings* 57,000 1,394
Cytec Industries 91,500 5,146
Ferro 39,172 847
FMC 24,892 1,878
Greif, Cl A 8,100 900
H.B. Fuller 72,400 1,974
Headwaters (B)* 82,400 1,800
Hercules* 185,800 3,631
Kaiser Aluminum* 22,100 1,724
MacDermid 66,900 2,333
Mercer International (B) 79,100 946
Metal Management 41,600 1,922
Methanex 29,200 652
Myers Industries 117,600 2,197
Neenah Paper 33,301 1,323
NewMarket 9,500 386
NN 28,200 352
Olin (B) 125,502 2,126
OM Group (B)* 26,500 1,184
Omnova Solutions* 77,300 422
Pioneer* 20,300 561
PolyOne* 154,000 939
Quanex 114,050 4,830
Rock-Tenn, Cl A (B) 92,500 3,071
Ryerson (B) 32,400 1,284
Schnitzer Steel Industries, Cl A (B) 84,100 3,378
Schweitzer-Mauduit International 44,400 1,103
Sensient Technologies (B) 89,700 2,313
Silgan Holdings 106,228 5,429
Spartech 74,500 2,186
Steel Dynamics 37,900 1,637
Texas Industries (B) 47,400 3,580
Wellman (B) 65,600 236
--------------
72,098
--------------
TELECOMMUNICATION SERVICES -- 0.5%
Atlantic Tele-Network 3,600 94
Golden Telecom 47,100 2,608
IDT 51,100 577
IDT, Cl B (B) 50,000 568
NTELOS Holdings 8,600 165
Premiere Global Services* 53,010 595
Syniverse Holdings* 50,600 533
USA Mobility 45,000 897
--------------
6,037
--------------
- --------------------------------------------------------------------------------
52 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
UTILITIES -- 4.2%
AGL Resources 48,971 $ 2,092
Allete 42,900 2,000
Atmos Energy 67,274 2,104
Avista 54,300 1,316
Black Hills (B) 61,100 2,247
Centerpoint Energy (B) 186,100 3,339
Cleco 18,300 473
CMS Energy (B) 173,300 3,085
El Paso Electric* 130,000 3,425
Empire District Electric (B) 37,224 923
Great Plains Energy 14,300 464
Hawaiian Electric Industries 14,300 372
Idacorp 20,590 697
ITC Holdings 29,000 1,255
New Jersey Resources 6,700 335
Nicor 46,700 2,261
Oneok 16,300 734
Ormat Technologies (B) 54,700 2,295
PNM Resources 106,300 3,433
Portland General Electric 54,832 1,601
SEMCO Energy (B)* 149,400 1,138
South Jersey Industries (B) 87,327 3,323
Southern Union 106,600 3,240
Southwest Gas 55,800 2,169
UGI 18,400 491
Unisource Energy 10,600 398
Vectren 15,300 438
Westar Energy 83,810 2,306
WGL Holdings 36,724 1,174
Wisconsin Energy 24,724 1,200
--------------
50,328
--------------
Total Common Stock
(Cost $932,955) ($ Thousands) 1,149,801
--------------
EXCHANGE TRADED FUND (B) -- 0.2%
iShares Russell 2000 Index Fund 30,969 2,462
--------------
Total Exchange Traded Fund
(Cost $1,905) ($ Thousands) 2,462
--------------
Number of
Warrants
-------------
WARRANTS -- 0.0%
Washington Mutual (D)* 350,742 60
--------------
Total Warrants
(Cost $50) ($ Thousands) 60
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER (C) (E) -- 9.6%
FINANCIALS -- 9.6%
Adirondack, Ser 2005-2
5.319%, 04/24/07 $ 4,921 $ 4,904
Brahms Funding
5.314%, 05/14/07 6,080 6,041
5.313%, 04/16/07 4,429 4,419
Buckingham CDO I LLC
5.320%, 04/25/07 4,551 4,534
Buckingham CDO II LLC
5.318%, 04/23/07 5,659 5,640
Buckingham CDO III LLC
5.320%, 04/26/07 5,054 5,035
Citius I Funding
5.320%, 04/26/07 1,968 1,961
Citius II Funding LLC
5.292%, 04/02/07 4,921 4,920
Davis Square Funding
5.310%, 04/13/07 10,827 10,806
Elysian Funding LLC
5.353%, 04/23/07 1,772 1,766
Georgetown Funding
5.316%, 04/20/07 11,958 11,923
KKR Pacific Funding Trust
5.341%, 04/27/07 4,921 4,901
Mica Funding LLC
5.316%, 04/20/07 5,132 5,117
5.313%, 04/16/07 2,461 2,455
5.310%, 04/19/07 1,593 1,588
5.294%, 04/05/07 5,315 5,311
Rhineland Funding Capital
5.354%, 04/30/07 473 471
5.332%, 06/06/07 1,809 1,791
5.315%, 05/15/07 5,246 5,212
5.314%, 05/14/07 2,094 2,081
Thornburg Mortgage Capital Resource
5.313%, 04/16/07 1,252 1,249
5.310%, 04/13/07 1,181 1,179
5.309%, 04/12/07 2,461 2,456
5.298%, 04/10/07 4,749 4,742
Valour Bay Capital LLC
5.326%, 05/16/07 6,151 6,110
5.324%, 04/18/07 2,107 2,101
5.319%, 04/12/07 2,461 2,456
Zane Funding
5.369%, 04/24/07 4,646 4,629
5.364%, 04/17/07 151 150
--------------
Total Commercial Paper
(Cost $115,948) ($ Thousands) 115,948
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 53
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Value Fund (Concluded)
March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS (C) (F) -- 7.5%
FINANCIALS -- 7.5%
American General Finance (G)
5.370%, 04/16/07 $ 7,136 $ 7,135
Bear Stearns EXL
5.360%, 04/16/07 8,760 8,760
Countrywide Financial MTN
5.428%, 06/27/07 2,953 2,953
Countrywide Financial MTN, Ser A
5.440%, 05/07/07 7,382 7,382
Irish Life & Permanent MTN, Ser X (G)
5.360%, 04/23/07 6,545 6,545
Islandsbanki (G)
5.369%, 04/09/07 7,382 7,382
Jackson National Life Funding (G)
5.320%, 04/02/07 10,826 10,826
Morgan Stanley EXL
5.380%, 04/04/07 1,722 1,722
Morgan Stanley EXL, Ser S
5.340%, 04/03/07 2,461 2,460
Nationwide Building Society (G)
5.410%, 06/28/07 2,707 2,707
5.349%, 04/09/07 4,921 4,921
Northern Rock (G)
5.360%, 04/03/07 5,069 5,069
Premium Asset Trust, Ser 2004-10 (G)
5.380%, 04/16/07 6,890 6,890
SLM EXL, Ser S (G)
5.320%, 04/16/07 5,413 5,413
Skandinav Enskilda Bank (G)
5.320%, 04/18/07 5,413 5,413
Stanfield Victoria LLC MTN (G)
5.445%, 06/11/07 4,921 4,921
--------------
Total Corporate Obligations
(Cost $90,499) ($ Thousands) 90,499
--------------
ASSET-BACKED SECURITIES (C) (F) (G) -- 0.4%
MORTGAGE RELATED SECURITIES -- 0.4%
Duke Funding, Ser 2004-6B, Cl A1S1
5.430%, 04/09/07 3,691 3,691
Newcastle CDO, Ser 2005-6A, Cl IM1
5.340%, 04/24/07 984 984
--------------
Total Asset-Backed Securities
(Cost $4,675) ($ Thousands) 4,675
--------------
- --------------------------------------------------------------------------------
Shares/
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CASH EQUIVALENTS** -- 7.5%
Merrill Lynch EBP Master,
5.100% 574,017 $ 574
SEI Daily Income Trust
Prime Obligation Fund,
Cl A, 5.180%++ 56,248,462 56,248
SEI Liquidity Fund LP,
5.520%++ (C) 34,448,146 34,448
--------------
Total Cash Equivalents
(Cost $91,270) ($ Thousands) 91,270
--------------
CERTIFICATES OF DEPOSIT (C) -- 0.7%
Barclays Bank (F) (G)
5.440%, 06/11/07 $ 2,461 2,461
CC USA MTN (G)
5.520%, 06/18/07 4,921 4,921
Thornburg Mortgage Capital Resource
5.309%, 04/11/07 612 611
--------------
Total Certificates of Deposit
(Cost $7,993) ($ Thousands) 7,993
--------------
U.S. TREASURY OBLIGATION (A) (E) -- 0.1%
U.S. Treasury Bill
5.020%, 05/24/07 1,655 1,643
--------------
Total U.S. Treasury Obligation
(Cost $1,643) ($ Thousands) 1,643
--------------
MASTER NOTE (C) (E) -- 0.1%
Bear Stearns
5.558%, 03/31/07 1,476 1,476
--------------
Total Master Note
(Cost $1,476) ($ Thousands) 1,476
--------------
- --------------------------------------------------------------------------------
54 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS (C) (H) -- 4.3%
Barclays
5.340%, dated 03/30/07, to be
repurchased on 04/02/07,
repurchase price $2,351,985
(collateralized by a U.S.
Government Obligation, par
value $2,333,222, 5.600%,
10/17/13; with total market
value $2,398,005) $ 2,351 $ 2,351
Deutsche Bank
5.350%, dated 03/30/07, to be
repurchased on 04/02/07,
repurchase price $20,420,119
(collateralized by various
U.S. Government Obligations,
ranging in par value $134,594-
$7,486,566, 0.000%-6.110%,
05/16/07-10/15/19; with total
market value $20,819,243) 20,411 20,411
Lehman Brothers
5.350%, dated 03/30/07, to be
repurchased on 04/02/07,
repurchase price $29,540,147
(collateralized by various
U.S. Government Obligations,
ranging in par value $2,137,015-
$3,600,323, 2.625%-10.351%,
05/15/07-08/03/18; with total
market value $30,117,723) 29,527 29,527
--------------
Total Repurchase Agreements
(Cost $52,289) ($ Thousands) 52,289
--------------
Total Investments -- 125.3%
(Cost $1,300,703) ($ Thousands) $ 1,518,116
==============
Futures -- A summary of the open futures contracts held by the Fund at March 31,
2007, 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 505 Jun-2007 $ 570
=============
Percentages are based on Net Assets of $1,211,546 ($ Thousands).
* Non-Income Producing Security.
** Rate shown is the 7-day effective yield as of March 31, 2007.
+++ Narrow industries are utilized for compliance purposes, whereas broad
sectors are utilized for reporting.
+ Real Estate Investment Trust.
++ Investment in Affiliated Registered Investment Company (see Note 3).
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(B) This security or a partial position of this security is on loan at March
31, 2007 (see Note 7). The total value of securities on loan at March 31,
2007 was $298,074 ($ 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 March 31, 2007
was $307,328 ($ 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 March 31, 2007. 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.
(I) This security is traded on a foreign stock exchange. The total value of
such securities as of March 31, 2007 was $11,524 and represented 0.95% of
Net Assets.
(J) Security fair valued using methods determined in good faith by the
Valuation Committee of the Board of Trustees. The total value of such
securities as of March 31, 2007 was $696 ($ Thousands) and represented
0.06% of Net Assets.
(K) Security considered illiquid and restricted. The total value of such
securities at March 31, 2007 was $696 ($ Thousands) and represented 0.06%
of Net Assets.
ADR -- American Depositary Receipt
CDO -- Collateralized Debt Obligation
Cl -- Class
EXL -- Extendable Maturity
LLC -- Limited Liability Company
LP -- Limited Partnership
MTN -- Medium Term Note
PIPE -- Private Investment, Public Entity
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 55
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Growth Fund
March 31, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS#:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Financials 23.8%
Information Technology 21.0%
Health Care 12.7%
Consumer Discretionary 11.0%
Industrials 10.9%
Short-Term Investments 8.6%
Energy 5.5%
Materials 3.2%
Consumer Staples 1.4%
Telecommunication Services 1.2%
Asset-Backed Securities 0.3%
Utilities 0.3%
U.S. Treasury Obligation 0.1%
Warrants 0.0%
# Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 7).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 97.3%+++
CONSUMER DISCRETIONARY -- 14.3%
Aeropostale* 32,909 $ 1,324
Asbury Automotive Group 34,593 977
Bally Technologies (B)* 8,300 196
BJ's Restaurants (B)* 83,600 1,766
Blockbuster, Cl A* 44,256 285
Blue Nile (B)* 31,100 1,265
Blyth 33,320 703
Bob Evans Farms 24,293 898
Books-A-Million 4,965 71
Brown Shoe 72,008 3,024
Carter's* 25,518 647
CEC Entertainment* 30,165 1,253
Charlotte Russe Holding* 58,713 1,695
Charming Shoppes* 239,798 3,105
Charter Communications, Cl A* 314,340 877
Chipotle Mexican Grill, Cl A (B)* 45,400 2,819
Circuit City Stores 109,000 2,020
CKE Restaurants 7,000 132
Coach* 101,800 5,095
Coinstar* 14,065 440
CROCS (B)* 201,780 9,534
CSK Auto (B)* 124,600 2,143
Ctrip.com International ADR 29,550 1,979
Deckers Outdoor (B)* 4,717 335
Denny's* 207,810 1,018
DeVry 5,753 169
Dick's Sporting Goods (B)* 12,614 735
Dover Downs Gaming & Entertainment 58,150 749
Dress Barn (B)* 163,539 3,403
DSW, Cl A* 8,823 372
Dufry South America (United Kingdom) (K)* 138,800 2,469
Eddie Bauer Holdings (B)* 393,800 4,478
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Focus Media Holding ADR (B)* 20,353 $ 1,597
Gaiam, Cl A* 141,000 2,219
GameStop, Cl A* 78,200 2,547
Gildan Activewear* 36,100 2,125
Global Sources* 1 --
Gray Television 99,700 1,039
GSI Commerce (B)* 37,253 842
Guess?* 34,790 1,409
Gymboree* 113,192 4,536
Hayes Lemmerz International* 77,083 563
Hibbett Sports* 126,432 3,615
HOT Topic* 89,750 996
INVESTools* 32,041 445
Jackson Hewitt Tax Service 64,600 2,079
Jarden* 33,415 1,280
Jo-Ann Stores* 17,019 464
K2* 58,579 708
Life Time Fitness (B)* 47,600 2,447
Lin TV, Cl A* 59,900 952
LKQ (B)* 104,148 2,277
Lodgenet Entertainment* 78,448 2,410
Luby's* 11,124 109
Maidenform Brands* 59,722 1,378
Marvel Entertainment (B)* 125,009 3,469
McCormick & Schmick's Seafood Restaurants* 125,735 3,371
Meritage Homes (B)* 14,700 472
Monarch Casino & Resort* 18,300 476
Morningstar* 16,275 840
Mothers Work* 9,707 322
National CineMedia* 52,519 1,402
New Oriental Education & Technology Group ADR* 14,000 567
Nexstar Broadcasting Group, Cl A* 19,160 184
Noble International 6,500 109
Nutri/System (B)* 45,300 2,374
O'Charleys* 36,894 712
Outdoor Channel Holdings (B)* 115,900 1,185
Payless Shoesource* 31,238 1,037
Perry Ellis International* 34,027 1,089
Phillips-Van Heusen 29,165 1,715
Pool (B) 19,659 704
Priceline.com (B)* 51,240 2,729
Quiksilver (B)* 426,600 4,949
Red Robin Gourmet Burgers (B)* 5,300 206
Regis 46,300 1,869
Retail Ventures* 52,717 1,110
RRSat Global Communications Network* 82,900 1,156
Ruby Tuesday 31,100 889
Sauer-Danfoss 30,620 922
Select Comfort (B)* 19,100 340
Shutterfly (B)* 234,800 3,766
Snap-On 22,895 1,101
- --------------------------------------------------------------------------------
56 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Sonic Automotive, Cl A (B) 38,780 $ 1,105
Sotheby's Holdings (B) 44,785 1,992
Standard Motor Products 56,975 973
Standard-Pacific (B) 50,600 1,056
Sturm Ruger* 26,013 350
Tempur-Pedic International (B)* 153,645 3,993
Texas Roadhouse, Cl A (B)* 38,413 547
Timberland, Cl A* 84,600 2,202
Town Sports International Holdings* 68,700 1,498
Tupperware Brands 16,400 409
Under Armour, Cl A (B)* 120,947 6,205
VistaPrint (B)* 18,225 698
Volcom (B)* 58,800 2,020
West Marine* 53,664 977
Wet Seal, Cl A* 230,500 1,510
WMS Industries (B)* 69,200 2,715
Wolverine World Wide 40,090 1,145
Zumiez (B)* 36,500 1,464
--------------
161,937
--------------
CONSUMER STAPLES -- 1.8%
Alliance One International* 139,298 1,286
Chattem (B)* 55,035 3,244
Hain Celestial Group* 43,745 1,315
Lance 141,000 2,854
Mannatech (B) 75,300 1,209
MGP Ingredients (B) 46,200 941
Nash Finch 28,840 994
NBTY (B)* 79,616 4,223
Physicians Formula Holdings* 103,600 1,956
Premium Standard Farms 22,631 476
Reddy Ice Holdings 36,416 1,099
USANA Health Sciences (B)* 25,800 1,209
--------------
20,806
--------------
ENERGY -- 7.2%
Arena Resources* 35,235 1,766
Arlington Tankers (B) 101,300 2,417
ATP Oil & Gas (B)* 10,700 402
Atwood Oceanics* 30,400 1,784
BA Energy (Canada) (B) (G) (I) (K)* 145,000 1,194
Basic Energy Services* 108,200 2,521
Bois d'Arc Energy* 24,500 324
Bronco Drilling (B)* 154,800 2,565
Cal Dive International* 154,500 1,886
CARBO Ceramics (B) 37,600 1,750
Clayton Williams Energy* 23,200 658
Complete Production Services* 173,100 3,446
Comstock Resources (B)* 69,900 1,914
Core Laboratories* 18,270 1,532
Delek US Holdings 117,000 2,238
Denbury Resources (B)* 25,126 749
Dresser-Rand Group* 90,186 2,747
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Dril-Quip (B)* 52,060 $ 2,253
Encore Acquisition* 90,900 2,199
Evergreen Energy (B)* 143,600 944
EXCO Resources (B)* 32,222 534
Foundation Coal Holdings 38,600 1,326
Hercules Offshore (B)* 115,800 3,041
Infinity Bio-Energy* 484,123 2,580
Input/Output (B)* 451,458 6,221
Kodiak Oil & Gas* 170,500 890
Lufkin Industries 13,400 753
Matrix Service (B)* 62,300 1,260
Meridian Resource* 163,540 394
Natural Gas Services Group* 90,200 1,278
North American Oil Sands (Canada)
(D) (G) (I) (K)* 300,000 3,121
Oilsands Quest (B)* 417,500 1,440
OPTI (Canada) (K)* 185,500 3,197
Pacific Ethanol (B)* 20,300 346
Penn Virginia 8,600 631
Rentech (B)* 651,500 2,046
Superior Energy Services* 23,458 809
Swift Energy* 5,391 225
SXR Uranium One (Canada) (K)* 148,549 2,050
Synenco Energy (Canada) (D) (G) (H) (K)* 37,852 390
Synenco Energy (Canada) (K)* 31,600 325
Synenco Energy, Cl A (Canada) (K)* 159,260 1,639
Toreador Resources (B)* 7,900 143
Union Drilling* 69,500 987
US BioEnergy* 103,600 1,188
USEC* 71,380 1,160
Vaalco Energy (B)* 185,400 960
Venoco* 94,500 1,688
W-H Energy Services* 71,700 3,351
World Fuel Services 35,875 1,660
--------------
80,922
--------------
FINANCIALS -- 10.0%
Acadia Realty Trust+ 72,600 1,893
Advance America Cash Advance Centers 30,000 462
Affiliated Managers Group (B)* 31,136 3,374
American Home Mortgage Investment+ (B) 110,300 2,977
Amerisafe* 146,973 2,770
Asta Funding (B) 26,000 1,123
Bankunited Financial, Cl A 32,051 680
BFC Financial, Cl A* 13,245 58
Canaccord Capital (Canada) (K) 148,400 2,845
Cascade Bancorp (B) 32,412 841
Cash America International 47,569 1,950
Castlepoint Holdings* 60,900 996
Center Financial 44,300 876
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 57
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Growth Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CoBiz 31,400 $ 625
Cohen & Steers (B) 4,700 202
Community Bancorp* 5,800 178
Corus Bankshares 35,507 606
Cowen Group* 22,467 374
Delphi Financial Group, Cl A (B) 71,925 2,894
Dollar Financial* 77,500 1,961
Dundee (Canada)+ (K) 64,500 2,220
Dundee Wealth Management (Canada) (K) 144,391 1,984
Dundee Wealth Management (Canada) (K) 14,600 201
Entertainment Properties Trust+ 7,132 430
Evercore Partners, Cl A 23,400 730
Ezcorp, Cl A (B)* 98,700 1,454
FelCor Lodging Trust+ 109,400 2,841
First Cash Financial Services (B)* 151,400 3,373
First Mercury Financial* 49,500 1,017
First Regional Bancorp* 12,100 359
FirstFed Financial (B)* 49,967 2,840
Glacier Bancorp 33,518 806
Gluskin Sheff + Associates (Canada) (H) (K) 83,000 1,424
Gluskin Sheff + Associates (Canada) (K)* 36,300 623
GMP Capital Trust (Canada) (K)* 59,600 1,112
Greenhill (B) 27,400 1,682
Grubb & Ellis Realty Advisors* 382,900 2,431
HCC Insurance Holdings 38,900 1,198
Hersha Hospitality Trust+ 200,500 2,362
HFF, Cl A* 23,400 351
Highbury Financial (B)* 38,500 220
Highbury Financial Units* 115,400 936
Intervest Bancshares* 13,600 390
Investment Technology Group* 27,500 1,078
ITLA Capital 1,213 63
JER Investors Trust+ 27,000 514
Kansas City Life Insurance 20,300 913
KBW* 6,700 233
Meruelo Maddux Properties* 165,800 1,451
MFA Mortgage Investments+ 245,400 1,890
Midwest Banc Holdings (B) 70,700 1,252
Move* 389,000 2,155
Nara Bancorp 52,000 910
NASDAQ Stock Market* 190,700 5,608
NewStar Financial* 69,500 1,165
NNN Realty Advisors (I) 241,000 2,434
Ocwen Financial* 53,261 685
Omega Healthcare Investors+ 38,800 665
optionsXpress Holdings 70,800 1,667
Penson Worldwide* 47,000 1,419
PFF Bancorp 55,260 1,676
Philadelphia Consolidated Holding* 24,465 1,076
Piper Jaffray* 9,200 570
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Platinum Underwriters Holdings 55,660 $ 1,786
PMI Group 1,325 60
Portfolio Recovery Associates (B)* 59,100 2,639
Preferred Bank 13,950 547
Premierwest Bancorp (B) 5,895 80
PrivateBancorp (B) 4,000 146
RAIT Financial Trust+ 83,000 2,319
Redwood Trust+ 7,069 369
Resource Capital+ 72,100 1,164
Signature Bank (B)* 60,000 1,952
Smithtown Bancorp 8,690 226
Sterling Financial, Washington Shares 32,200 1,004
Suffolk Bancorp 6,200 200
SVB Financial Group (B)* 25,700 1,249
Taylor Capital Group 9,633 337
Thomas Weisel Partners Group (B)* 110,200 2,096
Tower Group 43,720 1,409
TradeStation Group* 114,300 1,439
Triad Guaranty* 14,535 602
UCBH Holdings (B) 45,700 851
United Fire & Casualty 49,400 1,735
United Security Bancshares (B) 7,300 139
Virginia Commerce Bancorp (B)* 19,400 420
Wilshire Bancorp 44,300 726
Winthrop Realty Trust+ 202,500 1,338
World Acceptance (B)* 42,094 1,682
WSB Financial Group* 22,700 409
--------------
113,017
--------------
HEALTH CARE -- 16.5%
3SBio ADR* 78,300 863
Acadia Pharmaceuticals (B)* 47,000 706
Adams Respiratory Therapeutics (B)* 9,970 335
Advanced Magnetics (B)* 14,102 850
Affymetrix (B)* 158,914 4,779
Albany Molecular Research* 59,440 586
Alexion Pharmaceuticals* 200 9
Align Technology (B)* 116,200 1,843
Alkermes* 293,552 4,532
Alliance Imaging* 300,500 2,623
Alnylam Pharmaceuticals (B)* 5,100 92
Alpharma, Cl A 2,430 59
Amedisys (B)* 39,430 1,279
American Dental Partners* 38,154 829
American Medical Systems Holdings* 17,000 360
AMERIGROUP (B)* 62,150 1,889
AMN Healthcare Services* 147,010 3,325
Amsurg (B)* 78,500 1,922
Anesiva* 22,100 153
Applera - Celera Group* 87,800 1,247
Apria Healthcare Group* 122,981 3,966
Arena Pharmaceuticals (B)* 145,600 1,581
Ariad Pharmaceuticals (B)* 344,900 1,549
- --------------------------------------------------------------------------------
58 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Array Biopharma (B)* 81,500 $ 1,035
Arrow International 25,826 831
BioMarin Pharmaceuticals* 102,577 1,770
Biosite (B)* 45,700 3,837
Bradley Pharmaceuticals* 45,502 873
Bruker BioSciences* 7,900 83
Cell Genesys (B)* 447,200 1,878
Centene* 24,300 510
Cephalon (B)* 112,000 7,976
Computer Programs & Systems 17,017 456
Conceptus (B)* 110,700 2,214
Conmed* 20,476 599
Corvel* 27,227 824
Cubist Pharmaceuticals (B)* 277,432 6,123
Cutera* 29,762 1,077
CV Therapeutics (B)* 535,100 4,211
Cynosure, Cl A* 53,654 1,548
Cypress Bioscience* 76,179 579
Digene* 92,495 3,923
Diversa (B)* 29,100 227
DJO (B)* 19,795 750
Emageon (B)* 139,300 1,532
Emergency Medical Services, Cl A* 33,968 1,001
Encysive Pharmaceuticals (B)* 390,400 1,058
Enzon Pharmaceuticals (B)* 73,700 601
Exelixis (B)* 286,621 2,849
Five Star Quality Care (B)* 190,500 1,958
Foxhollow Technologies (B)* 18,000 376
Healthspring* 46,728 1,100
HealthTronics* 15,243 82
Healthways* 25,147 1,176
Hologic (B)* 25,620 1,477
Home Diagnostics* 148,700 1,606
Human Genome Sciences (B)* 183,620 1,950
Illumina (B)* 37,713 1,105
Immunomedics (B)* 351,727 1,611
Incyte (B)* 332,000 2,188
Inverness Medical Innovations (B)* 28,405 1,244
Isis Pharmaceuticals (B)* 54,305 503
Ista Pharmaceuticals (B)* 195,900 1,659
Kendle International* 31,260 1,110
Kensey Nash* 8,000 244
Keryx Biopharmaceuticals* 112,000 1,178
KV Pharmaceutical, Cl A (B)* 17,200 425
Landauer 16,040 810
LeMaitre Vascular* 68,100 439
Lifecell (B)* 36,399 909
Luminex* 44,600 612
Martek Biosciences (B)* 14,700 303
Medarex (B)* 620,900 8,034
Medcath* 35,160 960
Medicines* 81,700 2,049
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Medicis Pharmaceutical, Cl A (B) 35,210 $ 1,085
Mentor (B) 79,676 3,665
Metabolix* 127,500 2,120
MGI Pharma (B)* 43,500 977
Micrus Endovascular* 76,600 1,826
Momenta Pharmaceuticals (B)* 27,357 355
Myriad Genetics (B)* 77,438 2,669
Nastech Pharmaceutical (B)* 22,300 241
National Healthcare 406 21
Noven Pharmaceuticals* 160,543 3,725
NuVasive* 10,412 247
Odyssey HealthCare* 170,000 2,232
Option Care (B) 152,700 2,031
OraSure Technologies* 88,900 653
OSI Pharmaceuticals (B)* 30,100 993
Panacos Pharmaceuticals (B)* 106,539 493
PDL BioPharma (B)* 108,000 2,344
Penwest Pharmaceuticals (B)* 119,800 1,208
PharmaNet Development Group* 22,461 584
PolyMedica (B) 60,900 2,578
Pozen* 34,700 512
Profarma Distribuidora de Produtos
Farmaceuticos (Brazil) (K)* 112,400 1,846
Progenics Pharmaceuticals* 27,700 656
Psychiatric Solutions* 43,575 1,757
Quidel* 86,500 1,038
Regeneron Pharmaceuticals* 89,640 1,938
Salix Pharmaceuticals* 2,500 32
Savient Pharmaceuticals* 41,443 498
Sciele Pharma (B)* 193,068 4,572
Senomyx* 17,621 218
Sirona Dental Systems (B)* 60,400 2,081
Somanetics (B)* 27,400 546
Spectranetics (B)* 93,345 999
Sun Healthcare Group* 44,100 545
SurModics (B)* 68,400 2,462
Symbion* 109,300 2,143
Taro Pharmaceuticals Industries* 88,900 671
Tercica (B)* 132,400 776
Theravance* 18,490 545
Trimeris (B)* 65,100 448
United Therapeutics (B)* 74,000 3,980
ViaCell* 77,161 421
Viropharma* 44,400 637
Vital Images* 29,680 987
Volcano* 62,375 1,123
Watson Pharmaceuticals* 25,658 678
WellCare Health Plans* 2,535 216
West Pharmaceutical Services 85,598 3,974
Zoll Medical (B)* 63,592 1,695
--------------
186,891
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 59
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Growth Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
INDUSTRIALS -- 14.1%
ABX Air (B)* 109,600 $ 751
ACCO Brands* 4,400 106
Aceto 30,981 245
Active Power* 229,900 446
Acuity Brands 82,420 4,487
Advisory Board* 58,362 2,954
Airtran Holdings (B)* 67,476 693
American Commercial Lines (B)* 103,670 3,260
American Reprographics (B)* 78,412 2,414
American Science & Engineering (B)* 36,200 1,907
American Woodmark (B) 61,604 2,265
Ameron International 10,868 716
Angelica 2,897 80
Apogee Enterprises 53,113 1,064
Applied Industrial Technologies 36,478 895
Aries Maritime Transport 37,100 305
Armor Holdings* 32,500 2,188
Basin Water (B)* 193,500 1,329
BE Aerospace (B)* 145,475 4,612
Blount International* 100,500 1,251
Builders FirstSource (B)* 23,000 370
Ceradyne (B)* 102,350 5,603
Chart Industries* 74,400 1,351
Chicago Bridge & Iron 100,643 3,095
Clean Harbors* 52,700 2,383
Comfort Systems USA 24,700 296
COMSYS IT Partners* 103,549 2,061
Consolidated Graphics* 37,700 2,792
Continental Airlines, Cl B* 21,884 796
Corrections of America* 23,185 1,224
CoStar Group* 13,599 608
CRA International* 31,943 1,667
Deluxe 5,402 181
Dynamex* 2,000 51
Dynamic Materials (B) 127,800 4,182
ESCO Technologies (B)* 46,500 2,084
Evergreen Solar (B)* 66,800 651
ExpressJet Holdings* 159,888 934
First Consulting Group* 6,013 55
Flint Energy Services (Canada) (K)* 95,500 2,069
Force Protection (D) (G) (I)* 201,900 3,409
Freightcar America (B) 54,664 2,633
Fuel Tech* 9,983 246
Gardner Denver* 25,361 884
General Cable (B)* 117,866 6,298
Geo Group* 27,735 1,257
Goodman Global* 130,700 2,303
GrafTech International* 593,748 5,391
Granite Construction 38,687 2,138
Grupo Aeroportuario del Sureste ADR 49,500 2,337
H&E Equipment Services* 96,900 2,083
Heico, Cl A 30,107 944
Heidrick & Struggles International* 8,500 412
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Herman Miller 53,845 $ 1,803
Hexcel (B)* 63,000 1,251
Horizon Lines, Cl A 46,619 1,530
HUB Group, Cl A* 135,878 3,939
ICT Group* 19,400 339
IHS, Cl A* 30,023 1,234
II-VI* 60,855 2,060
Infrasource Services* 38,925 1,188
Innerworkings (B)* 72,527 856
Insteel Industries 8,800 148
Interface, Cl A (B)* 15,300 245
John H. Harland 20,872 1,069
Kenexa (B)* 48,204 1,501
Kennametal 16,453 1,112
Kforce* 31,400 432
Knight Transportation (B) 106,425 1,896
Knoll 144,700 3,448
Korn/Ferry International* 26,770 614
Labor Ready* 6,400 122
Lamson & Sessions (B)* 26,500 736
Layne Christensen* 59,100 2,152
Lincoln Electric Holdings 56,000 3,335
Lydall* 56,757 902
Mcgrath Rentcorp 16,300 516
Middleby* 10,085 1,330
NACCO Industries, Cl A 5,536 761
NCI Building Systems (B)* 94,900 4,531
Nordson 12,200 567
Orbital Sciences* 66,926 1,254
PAM Transportation Services* 16,600 342
Perini* 4,700 173
Power-One (B)* 69,120 395
Quanta Services (B)* 66,740 1,683
RBC Bearings* 48,445 1,620
Regal-Beloit 9,900 459
Robbins & Myers 19,957 744
Saia* 7,777 185
Simpson Manufacturing (B) 59,800 1,844
Standard Parking* 1,900 67
Standard Register 6,308 80
Steelcase, Cl A 43,841 872
TAL International Group 118,200 2,837
Taleo, Cl A* 26,775 444
Tecnisa (Brazil) (K)* 280,100 1,472
Tredegar 41,922 955
United Rentals (B)* 63,800 1,754
Volt Information Sciences* 8,239 216
Wabtec 39,609 1,366
Waste Industries USA 9,400 258
Watson Wyatt Worldwide, Cl A 76,460 3,720
Williams Scotsman International* 153,800 3,024
--------------
160,137
--------------
- --------------------------------------------------------------------------------
60 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 27.3%
24/7 Real Media (B)* 329,400 $ 2,645
Adaptec* 411,200 1,591
Advanced Energy Industries* 105,872 2,228
Advent Software* 38,100 1,329
Akamai Technologies (B)* 56,800 2,835
Allot Communications* 174,373 1,595
AMIS Holdings* 98,100 1,074
Amkor Technology (B)* 330,059 4,119
Anadigics (B)* 54,112 640
Ansoft* 51,520 1,630
aQuantive (B)* 256,868 7,169
Arris Group* 214,936 3,026
Art Technology Group (B)* 217,212 504
AsiaInfo Holdings* 123,890 851
Asyst Technologies* 378,900 2,664
ATMI* 44,823 1,370
Blackbaud 35,996 879
Blackboard (B)* 34,222 1,151
Brooks Automation (B)* 257,900 4,423
C-COR* 72,519 1,005
Captaris* 117,655 681
CMGI* 660,198 1,400
CNET Networks* 308,800 2,690
Cogent (B)* 123,400 1,660
Color Kinetics (B)* 22,900 445
CommScope (B)* 73,135 3,137
Commvault Systems (B)* 88,200 1,429
Comtech Group (B)* 79,485 1,389
Concur Technologies (B)* 59,630 1,041
Convergys* 33,519 852
Covansys* 34,752 858
CPI International* 11,800 227
Cray* 175,254 2,417
Credence Systems* 256,115 848
CSG Systems International (B)* 144,455 3,614
CTS 69,547 961
Cymer (B)* 76,721 3,188
Daktronics (B) 25,376 696
DealerTrack Holdings* 113,818 3,496
Digimarc* 168,022 1,699
Digital River (B)* 14,800 818
Diodes (B)* 18,447 643
eCollege.com (B)* 37,384 671
EFJ* 123,700 661
Emergis (Canada) (K)* 426,800 2,353
EMS Technologies* 38,700 746
Emulex* 89,700 1,641
EPIQ Systems (B)* 76,800 1,565
Equinix* 7,923 678
Euronet Worldwide (B)* 91,624 2,461
Factset Research Systems 20,470 1,287
Fair Isaac 27,040 1,046
Formfactor (B)* 34,250 1,533
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Forrester Research* 29,015 $ 823
Genesis Microchip* 77,585 721
Greenfield Online* 66,663 1,060
Heartland Payment Systems (B) 35,400 837
Hittite Microwave* 31,865 1,280
Hutchinson Technology* 108,800 2,540
i2 Technologies (B)* 79,573 1,910
i2 Technologies* 4,229 101
Imation 50,200 2,027
Immersion* 534,100 4,818
Informatica (B)* 148,500 1,994
infoUSA 83,400 802
Interdigital Communications (B)* 92,800 2,939
Internap Network Services* 31,003 488
Interwoven* 64,001 1,082
Intevac* 141,825 3,740
IPG Photonics (B)* 30,400 584
Isilon Systems (B)* 89,400 1,446
Itron (B)* 40,800 2,654
JA Solar Holdings ADR* 28,635 518
Jack Henry & Associates 91,200 2,193
JDA Software Group* 177,300 2,665
Jupitermedia (B)* 270,600 1,791
Knot* 52,200 1,124
Komag (B)* 79,400 2,599
Lattice Semiconductor* 822,200 4,810
Lightbridge* 63,347 1,113
Lionbridge Technologies* 339,900 1,730
Liquidity Services* 142,534 2,415
Littelfuse* 86,840 3,526
LoJack* 51,200 972
LoopNet* 53,356 912
LTX* 192,765 1,180
Macrovision (B)* 86,700 2,172
Magma Design Automation* 100,320 1,200
Manhattan Associates* 76,306 2,093
Mapinfo* 6,452 130
Marchex, Cl B (B) 439,547 6,734
Mastec* 73,900 814
Mattson Technology* 22,800 207
MAXIMUS 61,000 2,103
Mentor Graphics* 47,169 771
Methode Electronics 59,821 884
Microsemi (B)* 274,363 5,709
MicroStrategy, Cl A (B)* 32,389 4,094
MIPS Technologies* 180,000 1,607
Navisite* 216,100 1,299
Net 1 UEPS Technologies (B)* 40,144 999
Netgear (B)* 42,910 1,224
Netlogic Microsystems (B)* 23,887 636
Netscout Systems* 18,174 164
Novatel* 19,200 712
Novatel Wireless (B)* 98,000 1,572
Novellus Systems* 26,613 852
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 61
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Growth Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Nuance Communications (B)* 141,366 $ 2,164
Omniture (B)* 57,570 1,049
ON Semiconductor (B)* 312,200 2,785
Online Resources (B)* 77,600 890
Opsware (B)* 155,000 1,124
OSI Systems (B)* 93,900 2,483
Packeteer* 39,900 496
Palm (B)* 129,900 2,355
Park Electrochemical 18,300 496
Parkervision (B)* 181,300 2,395
PC Connection* 68,900 985
PDF Solutions* 22,000 248
Perficient* 92,727 1,834
Photon Dynamics* 80,598 1,016
Pixelworks* 413,250 682
Plexus* 6,200 106
PLX Technology (B)* 248,461 2,420
PMC - Sierra (B)* 312,200 2,189
Polycom (B)* 353,285 11,775
Power Integrations* 64,712 1,466
Powerwave Technologies (B)* 370,300 2,107
Presstek (B)* 73,522 445
Quality Systems (B)* 47,851 1,914
Radyne* 19,700 180
Red Hat (B)* 347,300 7,964
RF Micro Devices (B)* 1,023,000 6,373
RightNow Technologies (B)* 35,419 580
Rudolph Technologies (B)* 74,900 1,306
Seachange International* 169,100 1,376
Secure Computing* 200,300 1,542
Sigma Designs (B)* 23,252 611
Silicon Image* 9,074 74
Silicon Motion Technology ADR* 53,860 1,213
Silicon Storage Technology* 188,308 928
Sina* 52,596 1,768
Sirf Technology Holdings (B)* 77,093 2,140
Skyworks Solutions (B)* 507,566 2,918
Smith Micro Software (B)* 78,380 1,460
Sonus Networks (B)* 96,944 782
Sourcefire (B)* 79,500 1,402
Spatialight (B)* 3,000 1
Spatialight (D) (G) (I)* 100,000 38
Spatialight PIPE (I)* 8,667 3
Spatialight PIPE (D) (G) (I)* 110,000 38
Staktek Holdings* 45,064 146
Stratasys (B)* 15,185 649
Sunpower, Cl A (B)* 22,926 1,043
Switch & Data Facilities (B)* 74,000 1,341
Sybase (B)* 117,747 2,977
Symmetricom (B)* 245,013 2,034
Synchronoss Technologies* 76,520 1,331
TAC Acquisition* 293,800 --
Tessera Technologies (B)* 48,500 1,927
THQ (B)* 67,800 2,318
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
TIBCO Software (B)* 123,900 $ 1,056
TNS 41,000 660
Transaction Systems Architects* 26,611 862
Trident Microsystems (B)* 91,000 1,825
Triquint Semiconductor (B)* 654,100 3,270
TTM Technologies* 33,800 322
Universal Display (B)* 121,200 1,829
Valueclick* 90,523 2,365
Varian Semiconductor Equipment Associates (B)* 103,000 5,498
Vasco Data Security International (B)* 95,455 1,706
VeriFone Holdings (B)* 102,125 3,751
Viasat* 39,490 1,302
Vignette* 51,389 954
Volterra Semiconductor (B)* 29,400 384
WebSideStory (B)* 9,100 118
Westell Technologies, Cl A* 38,870 84
Wind River Systems* 413,800 4,113
Wright Express (B)* 58,100 1,762
--------------
308,677
--------------
MATERIALS -- 4.2%
ADA-ES (B)* 28,700 395
AK Steel Holding* 70,000 1,637
Brush Engineered Materials* 31,530 1,528
Buckeye Technologies* 72,015 935
Carpenter Technology 15,500 1,872
Chaparral Steel 21,809 1,269
Cleveland-Cliffs (B) 100,016 6,402
First Quantum Minerals (Canada) (K)* 46,900 3,126
Grande Cache Coal (Canada) (K)* 339,700 162
Graphic Packaging* 184,854 876
Greif, Cl A 14,575 1,619
Haynes International* 25,100 1,831
Headwaters (B)* 57,800 1,263
Hercules* 215,935 4,219
Innospec 20,624 1,189
Metal Management 32,210 1,488
Myers Industries 46,500 869
Neenah Paper 34,300 1,363
NN 11,600 145
Pioneer* 11,515 318
Rock-Tenn, Cl A 32,821 1,090
Schnitzer Steel Industries, Cl A (B) 61,800 2,483
Schweitzer-Mauduit International 32,059 797
Sherritt International (Canada) (K) 212,500 3,065
Spartech 32,627 957
Steel Dynamics 49,200 2,125
Symyx Technologies* 129,700 2,298
Wheeling-Pittsburgh* 97,500 2,310
--------------
47,631
--------------
- --------------------------------------------------------------------------------
62 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES -- 1.6%
Aruba Networks* 25,400 $ 373
Atlantic Tele-Network 4,400 115
BigBand Networks (B)* 131,000 2,359
Cbeyond (B)* 48,610 1,426
Centennial Communications* 53,400 439
Cincinnati Bell* 181,087 851
CT Communications 41,466 999
Dobson Communications, Cl A* 50,000 430
Fairpoint Communications 113,500 2,180
NeuStar, Cl A (B)* 35,929 1,022
NTELOS Holdings 30,300 582
PAETEC Holdings* 95,489 1,001
SBA Communications, Cl A (B)* 108,870 3,217
SureWest Communications 2,831 70
Syniverse Holdings* 94,100 992
Time Warner Telecom, Cl A (B)* 38,935 809
USA Mobility 32,860 655
--------------
17,520
--------------
UTILITIES -- 0.3%
Avista 30,898 749
Ormat Technologies (B) 54,900 2,303
Westar Energy 31,759 874
--------------
3,926
--------------
Total Common Stock
(Cost $984,890) ($ Thousands) 1,101,464
--------------
Number of
Warrants
-----------
WARRANTS -- 0.1%
Infinity Bio-Energy, Expires 05/23/10* 968,246 658
Parkervision (D) (G) (I) (L)* 17,500 81
--------------
Total Warrants
(Cost $502) ($ Thousands) 739
--------------
COMMERCIAL PAPER (C) (E) -- 11.3%
FINANCIALS -- 11.3%
Adirondack, Ser 2005-2
5.319%, 04/24/07 $ 5,424 5,405
Brahms Funding
5.314%, 05/14/07 6,701 6,658
5.313%, 04/16/07 4,881 4,870
Buckingham CDO I LLC
5.320%, 04/25/07 5,016 4,997
Buckingham CDO II LLC
5.318%, 04/23/07 6,237 6,216
Buckingham CDO III LLC
5.320%, 04/26/07 5,570 5,549
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Citius I Funding
5.320%, 04/26/07 $ 2,170 $ 2,161
Citius II Funding LLC
5.292%, 04/02/07 5,424 5,422
Davis Square Funding
5.310%, 04/13/07 11,932 11,910
Elysian Funding LLC
5.353%, 04/23/07 1,953 1,946
Georgetown Funding
5.316%, 04/20/07 13,180 13,141
KKR Pacific Funding Trust
5.341%, 04/27/07 5,424 5,402
Mica Funding LLC
5.316%, 04/20/07 5,656 5,639
5.313%, 04/16/07 2,712 2,706
5.310%, 04/19/07 1,756 1,751
5.294%, 04/05/07 5,858 5,854
Rhineland Funding Capital
5.354%, 04/30/07 522 519
5.332%, 06/06/07 1,994 1,974
5.315%, 05/15/07 5,782 5,744
5.314%, 05/14/07 2,308 2,293
Thornburg Mortgage Capital Resource
5.313%, 04/16/07 1,380 1,377
5.310%, 04/13/07 1,302 1,299
5.309%, 04/12/07 2,712 2,707
5.298%, 04/10/07 5,234 5,226
Valour Bay Capital LLC
5.326%, 05/16/07 6,780 6,734
5.324%, 04/18/07 2,322 2,316
5.319%, 04/12/07 2,712 2,707
Zane Funding
5.369%, 04/24/07 5,120 5,102
5.364%, 04/17/07 166 166
--------------
Total Commercial Paper
(Cost $127,791) ($ Thousands) 127,791
--------------
CORPORATE OBLIGATIONS (C) (F) -- 8.8%
FINANCIALS -- 8.8%
American General Finance (H)
5.370%, 04/16/07 7,865 7,864
Bear Stearns EXL
5.360%, 04/16/07 9,654 9,654
Countrywide Financial MTN
5.428%, 06/27/07 3,254 3,254
Countrywide Financial MTN, Ser A
5.440%, 05/07/07 8,136 8,136
Irish Life & Permanent MTN, Ser X (H)
5.360%, 04/23/07 7,214 7,213
Islandsbanki (H)
5.369%, 04/09/07 8,136 8,136
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 63
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Growth Fund (Concluded)
March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
Jackson National Life Funding (H)
5.320%, 04/02/07 $ 11,933 $ 11,933
Morgan Stanley EXL
5.380%, 04/04/07 1,898 1,898
Morgan Stanley EXL, Ser S
5.340%, 04/03/07 2,712 2,712
Nationwide Building Society (H)
5.410%, 06/28/07 2,983 2,983
5.349%, 04/09/07 5,424 5,424
Northern Rock (H)
5.360%, 04/03/07 5,587 5,587
Premium Asset Trust, Ser 2004-10 (H)
5.380%, 04/16/07 7,593 7,593
SLM EXL, Ser S (H)
5.320%, 04/16/07 5,966 5,966
Skandinav Enskilda Bank (H)
5.320%, 04/18/07 5,966 5,966
Stanfield Victoria LLC MTN (H)
5.445%, 06/11/07 5,424 5,424
--------------
Total Corporate Obligations
(Cost $99,743) ($ Thousands) 99,743
--------------
ASSET-BACKED SECURITIES (C) (F) (H) -- 0.4%
MORTGAGE RELATED SECURITIES -- 0.4%
Duke Funding, Ser 2004-6B, Cl A1S1
5.430%, 04/09/07 4,068 4,068
Newcastle CDO, Ser 2005-6A, Cl IM1
5.340%, 04/24/07 1,085 1,084
--------------
Total Asset-Backed Securities
(Cost $5,152) ($ Thousands) 5,152
--------------
CASH EQUIVALENTS** -- 6.1%
Merrill Lynch EBP Master, 5.100% 1,871,461 1,871
SEI Daily Income Trust
Prime Obligation Fund,
Cl A, 5.180%++ 28,863,511 28,864
SEI Liquidity Fund LP,
5.520%++ (C) 37,966,745 37,967
--------------
Total Cash Equivalents
(Cost $68,702) ($ Thousands) 68,702
--------------
CERTIFICATES OF DEPOSIT (C) -- 0.8%
Barclays Bank (F) (H)
5.440%, 06/11/07 2,712 2,712
CC USA MTN (H)
5.520%, 06/18/07 5,424 5,424
Thornburg Mortgage Capital Resource
5.309%, 04/11/07 674 673
--------------
Total Certificates of Deposit
(Cost $8,809) ($ Thousands) 8,809
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MASTER NOTE (C) (E) -- 0.1%
Bear Stearns
5.558%, 03/31/07 $ 1,627 $ 1,627
--------------
Total Master Note
(Cost $1,627) ($ Thousands) 1,627
--------------
U.S. TREASURY OBLIGATION (A) (E) -- 0.1%
U.S. Treasury Bill
5.035%, 05/24/07 855 849
--------------
Total U.S. Treasury Obligation
(Cost $849) ($ Thousands) 849
--------------
REPURCHASE AGREEMENTS (C) (J) -- 5.1%
Barclays
5.340%, dated 03/30/07, to be
repurchased on 04/02/07,
repurchase price $2,592,221
(collateralized by a U.S.
Government Obligation, par
value $2,571,542, 5.600%,
10/17/13; with total market
value $2,642,942) 2,591 2,591
Deutsche Bank
5.350%, dated 03/30/07, to be
repurchased on 04/02/07,
repurchase price $22,505,868
(collateralized by various
U.S. Government Obligations,
ranging in par value $148,341-
$8,251,258, 0.000%-6.110%,
05/16/07-10/15/19; with total
market value $22,945,759) 22,496 22,496
Lehman Brothers
5.350%, dated 03/30/07, to be
repurchased on 04/02/07,
repurchase price $32,557,433
(collateralized by various
U.S. Government Obligations,
ranging in par value $2,355,294-
$3,968,067, 2.625%-10.351%,
05/15/07-08/03/18; with total
market value $33,194,004) 32,543 32,543
--------------
Total Repurchase Agreements
(Cost $57,630) ($ Thousands) 57,630
--------------
Total Investments -- 130.1%
(Cost $1,355,695) ($ Thousands) $ 1,472,506
==============
- --------------------------------------------------------------------------------
64 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
Futures -- A summary of the open futures contracts held by the Fund at March 31,
2007, 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 260 Jun-2007 $ 564
========
Percentages are based on Net Assets of $1,132,188 ($ Thousands).
* Non-Income Producing Security.
** Rate shown is the 7-day effective yield as of March 31, 2007.
+++ Narrow industries are utilized for compliance purposes, whereas broad
sectors are utilized for reporting.
+ Real Estate Investment Trust.
++ Investment in Affiliated Registered Investment Company (see Note 3).
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(B) This security or a partial position of this security is on loan at March
31, 2007 (see Note 7). The total value of securities on loan at March 31,
2007 was $328,866 ($ 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 March 31, 2007
was $338,719 ($ Thousands).
(D) This security considered restricted. The total value of such securities as
of March 31, 2007 was $8,271 ($ Thousands) and represented 0.73% 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 March 31, 2007. 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
March 31, 2007 was $8,271 ($ Thousands) and represented 0.73% of Net
Assets.
(H) Securities sold within terms of a private placement memorandum, exempt
from registration under Section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors." 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 March 31, 2007 was $10,315 ($ Thousands) and represented
0.91% of Net Assets.
(J) Tri-Party Repurchase Agreement.
(K) This security is traded on a foreign stock exchange. The total value of
such securities as of March 31, 2007 was $38,887 and represented 3.43% of
Net Assets.
(L) This warrant does not have a strike price or expiration date.
ADR -- American Depositary Receipt
CDO -- Collateralized Debt Obligation
Cl -- Class
EXL -- Extendable Maturity
LLC -- Limited Liability Company
LP -- Limited Partnership
MTN -- Medium Term Note
PIPE -- Private Investment, Publilc Entity
Ser -- Series
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 65
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Small Cap Fund
March 31, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS#:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Short-Term Investments 28.7%
Information Technology 14.3%
Financials 12.8%
Consumer Discretionary 10.9%
Industrials 9.8%
Health Care 8.1%
Energy 4.2%
Materials 4.1%
Utilities 3.5%
Consumer Staples 2.5%
Telecommunication Services 1.0%
U.S. Treasury Obligation 0.1%
Warrants 0.0%
# Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 7).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 96.1%
CONSUMER DISCRETIONARY -- 14.7%
99 Cents Only Stores* 3,500 $ 52
Aaron Rents 1,200 32
Abercrombie & Fitch, Cl A 2,399 182
Advance Auto Parts 8,300 320
Aeropostale* 1,000 40
Amazon.com* 4,675 186
American Eagle Outfitters 2,850 85
American Greetings, Cl A 19,200 446
AnnTaylor Stores* 17,300 671
Applebee's International 1,900 47
Arbitron 800 38
ArvinMeritor 20,012 365
Autoliv 17,900 1,022
Autonation* 10,115 215
Bally Technologies (B)* 3,600 85
Bandag (B) 2,100 106
Barnes & Noble 25,283 997
Beazer Homes USA (B) 6,200 180
Bebe Stores 1,700 30
Belo, Cl A 16,800 314
Big Lots (B)* 12,162 380
Black & Decker (B) 11,000 898
Blockbuster, Cl A (B)* 5,800 37
Blyth 2,969 63
Bob Evans Farms 800 30
Bon-Ton Stores 2,427 136
Borders Group 33,900 692
BorgWarner (B) 16,600 1,252
Boyd Gaming 1,527 73
Bright Horizons Family Solutions (B)* 900 34
Brown Shoe 158 7
Brunswick 32,800 1,045
Build-A-Bear Workshop (B)* 1,300 36
Cabela's* 2,400 60
Cablevision Systems, Cl A 11,045 336
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Callaway Golf 2,200 $ 35
Career Education* 1,100 34
Carmax* 20,060 492
Catalina Marketing 1,300 41
Cato, Cl A (B) 30,950 724
CBRL Group 8,400 389
CEC Entertainment* 8,025 333
Centex 1,394 58
Champion Enterprises* 4,000 35
Charming Shoppes* 2,156 28
Cheesecake Factory* 7,100 189
Cherokee (B) 900 39
Chipotle Mexican Grill, Cl A (B)* 12,700 789
Circuit City Stores 30,600 567
Citadel Broadcasting 4,300 41
CKX (B)* 22,900 254
Claire's Stores 2,600 83
Coach* 21,700 1,086
Coinstar* 1,200 38
Coldwater Creek* 1,350 27
Columbia Sportswear 600 37
Corinthian Colleges (B)* 28,985 399
Cosi (B)* 5,500 31
CROCS (B)* 51,385 2,428
Dana 89,500 78
Dick's Sporting Goods (B)* 800 47
Dollar Tree Stores* 4,700 180
Domino's Pizza (B) 5,600 182
Dover Motorsports 15,700 82
DSW, Cl A (B)* 1,600 68
DXP Enterprises* 275 10
Eastman Kodak 2,955 67
Entercom Communications 1,100 31
Ethan Allen Interiors (B) 700 25
Family Dollar Stores 1,000 30
Finish Line, Cl A 2,400 30
Fisher Communications* 600 29
Foot Locker 21,400 504
Ford Motor 1,218 10
Fossil* 1,300 34
Four Seasons Hotels 700 56
GameStop, Cl A* 15,706 512
Gaylord Entertainment* 2,100 111
Gemstar-TV Guide International* 8,500 36
Genitope (B)* 8,400 35
Getty Images (B)* 1,672 81
Goodyear Tire & Rubber (B)* 27,132 846
Great Wolf Resorts* 2,400 32
Group 1 Automotive 317 13
GSI Commerce* 2,700 61
Guess? (B)* 8,280 335
Guitar Center* 700 32
Gymboree* 8,600 345
- --------------------------------------------------------------------------------
66 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Handleman (B) 13,300 $ 93
Harman International Industries 12,027 1,156
Hasbro 14,100 404
Haverty Furniture 2,000 28
Hibbett Sports (B)* 24,100 689
Hooker Furniture 1,800 36
HOT Topic* 23,128 257
Hovnanian Enterprises, Cl A* 1,000 25
IHOP 1,900 111
Interactive Data 900 22
Interpublic Group* 3,400 42
ITT Educational Services (B)* 6,279 512
Jackson Hewitt Tax Service 16,437 529
Jakks Pacific* 16,800 401
Jarden (B)* 22,043 844
John Wiley & Sons, Cl A 1,724 65
Jones Apparel Group 23,022 707
K-Swiss, Cl A 1,100 30
K2* 31,500 381
KB Home (B) 600 26
Kellwood 1,000 29
Kimball International, Cl B 1,600 31
Lamar Advertising, Cl A (B)* 1,400 88
Landry's Restaurants 7,082 210
Laureate Education* 6,800 401
Leapfrog Enterprises (B)* 14,800 158
Lee Enterprises 1,100 33
Levitt, Cl A (B) 1,000 9
Life Time Fitness (B)* 9,000 463
Live Nation* 1,300 29
LKQ (B)* 12,375 270
Lodgenet Entertainment* 800 25
Lodgian* 2,300 31
Martha Stewart Living Omnimedia, Cl A 29,300 498
Matthews International, Cl A 3,400 138
Media General, Cl A 700 27
Melco PBL Entertainment
Macau ADR (B)* 20,600 332
Meredith 1,700 98
Mestek* 2,100 30
Modine Manufacturing 1,200 27
Morgans Hotel Group* 1,700 36
Morningstar* 2,700 139
NetFlix (B)* 1,100 25
New Oriental Education & Technology Group ADR (B)* 3,800 154
New York* 2,900 46
Nutri/System (B)* 13,300 697
NVR (B)* 700 465
O'Reilly Automotive* 1,600 53
OfficeMax 3,903 206
Orient-Express Hotels, Cl A (B) 16,700 999
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
OSI Restaurant Partners 800 $ 32
Oxford Industries 800 40
Pacific Sunwear of California* 1,600 33
Panera Bread, Cl A (B)* 4,000 236
Payless Shoesource* 3,943 131
Penn National Gaming (B)* 13,300 564
Perry Ellis International* 1,967 63
PetSmart 15,998 527
PF Chang's China Bistro (B)* 4,500 188
Phillips-Van Heusen (B) 10,320 607
Pier 1 Imports (B) 44,533 308
Pinnacle Entertainment* 9,261 269
Polaris Industries (B) 700 34
Polo Ralph Lauren (B) 4,400 388
Pool (B) 500 18
Pre-Paid Legal Services (B)* 800 40
Priceline.com* 6,340 338
Quiksilver (B)* 155,900 1,808
R.H. Donnelley 3,942 279
Radio One, Cl D* 4,500 29
RadioShack (B) 14,300 386
Rare Hospitality International* 700 21
Raser Technologies (B)* 6,400 33
RC2* 1,000 40
Regal Entertainment Group, Cl A 11,900 236
Rent-A-Center* 11,171 313
Retail Ventures* 2,736 58
Ross Stores 900 31
Ruby Tuesday 21,500 615
Ryland Group 10,500 443
Saks 41,540 866
Salem Communications, Cl A 2,600 32
Sally Beauty Holdings* 22,600 208
Sauer-Danfoss 3,081 93
Scholastic (B)* 13,700 426
Scientific Games, Cl A* 700 23
Select Comfort (B)* 1,350 24
Service International 3,400 40
Sharper Image (B)* 2,300 25
Sirius Satellite Radio* 6,246 20
Six Flags (B)* 5,200 31
Snap-On 5,700 274
Sonic* 2,100 47
Sonic Automotive, Cl A (B) 13,900 396
Sotheby's Holdings 11,990 533
Source Interlink* 920 6
Stage Stores 4,725 110
Standard Motor Products 1,587 27
Standard-Pacific (B) 1,200 25
Station Casinos 2,400 208
Stein Mart 2,400 39
Strayer Education 1,700 212
Stride Rite (B) 38,900 599
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 67
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Small Cap Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Sunterra* 15,183 $ 238
Tempur-Pedic International (B)* 2,300 60
Tenneco* 1,340 34
Texas Roadhouse, Cl A (B)* 2,400 34
Thor Industries (B) 600 24
Tiffany 9,995 455
Toll Brothers* 1,100 30
Tractor Supply (B)* 400 21
TravelCenters of America LLC* 1,420 55
Triarc, Cl A (B) 6,300 118
Triarc, Cl B 1,200 21
TRW Automotive Holdings* 4,223 147
Tuesday Morning (B) 3,400 50
Under Armour, Cl A (B)* 25,325 1,299
United Auto Group 600 12
Universal Electronics* 1,400 39
Urban Outfitters* 60,800 1,612
Vail Resorts (B)* 1,400 76
Valassis Communications* 5,000 86
Valuevision Media, Cl A* 501 6
Virgin Media 200 5
Visteon (B)* 21,400 183
Volcom (B)* 19,800 680
Warnaco Group* 1,935 55
Warner Music Group (B) 34,800 594
Weight Watchers International 3,873 178
West Marine* 2,122 39
Westwood One 7,900 54
Wet Seal, Cl A (B)* 40,300 264
Weyco Group 57 1
Whirlpool (B) 8,500 722
Williams-Sonoma (B) 4,843 172
Winnebago Industries (B) 900 30
WMS Industries* 1,500 59
Wolverine World Wide (B) 9,405 269
World Wrestling Entertainment, Cl A 1,700 28
Wynn Resorts (B) 5,800 550
XM Satellite Radio Holdings, Cl A* 6,300 81
Zale* 1,000 26
--------------
55,455
--------------
CONSUMER STAPLES -- 3.3%
American Italian Pasta, Cl A (B) 6,300 66
Andersons 924 41
Avon Products 3,557 133
Bare Escentuals* 10,800 387
BJ's Wholesale Club (B)* 46,200 1,563
Boston Beer, Cl A (B)* 800 27
Bunge 448 37
Casey's General Stores 900 23
Central Garden and Pet* 893 13
Central Garden and Pet, Cl A* 1,786 26
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Chattem (B)* 6,955 $ 410
Church & Dwight (B) 4,600 232
Corn Products International 2,459 88
Dean Foods* 1,400 65
Delta & Pine Land 2,100 87
Diamond Foods 1,900 32
Energizer Holdings* 186 16
Hain Celestial Group (B)* 36,590 1,100
Imperial Sugar 139 5
Lance 1,600 32
Molson Coors Brewing, Cl B 18,498 1,750
Nash Finch (B) 11,300 389
NBTY* 1,200 64
Pathmark Stores* 3,100 40
Pepsi Bottling Group 20,600 657
PepsiAmericas (B) 30,100 672
Pilgrim's Pride 33,900 1,125
Playtex Products (B)* 3,500 47
Prestige Brands Holdings* 4,600 55
Ralcorp Holdings* 8,000 514
Rite Aid (B)* 6,700 39
Smart & Final* 641 14
Spectrum Brands* 3,670 23
Supervalu (B) 35,600 1,391
Susser Holdings* 1,800 31
TreeHouse Foods* 1,400 43
Tyson Foods, Cl A 5,325 103
United Natural Foods (B)* 7,000 214
Universal 10,390 637
Village Super Market, Cl A (B) 1,700 162
WD-40 900 29
Weis Markets 500 22
Whole Foods Market 5,000 224
Wild Oats Markets (B)* 1,800 33
--------------
12,661
--------------
ENERGY -- 5.7%
Allis-Chalmers Energy* 627 10
Arch Coal (B) 4,921 151
ATP Oil & Gas (B)* 800 30
Atwood Oceanics (B)* 600 35
Berry Petroleum, Cl A 3,400 104
Bill Barrett (B)* 1,000 32
Bristow Group* 1,800 66
Cal Dive International (B)* 38,900 475
Cameron International (B)* 12,200 766
CARBO Ceramics (B) 1,100 51
Cheniere Energy (B)* 1,100 34
Compagnie Generale de
Geophysique-Veritas ADR* 18,200 758
Consol Energy 7,722 302
Core Laboratories* 4,400 369
Delek US Holdings 1,800 34
- --------------------------------------------------------------------------------
68 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Delta Petroleum (B)* 2,000 $ 46
Denbury Resources* 1,000 30
Dresser-Rand Group (B)* 28,690 874
Dril-Quip (B)* 13,920 602
Encore Acquisition* 1,400 34
Energy Partners (B)* 2,400 44
EOG Resources 800 57
FMC Technologies (B)* 20,190 1,408
Forest Oil (B)* 1,700 57
Foundation Coal Holdings (B) 3,800 131
Gasco Energy* 8,810 22
General Maritime (B) 700 20
Global Industries* 45,700 836
Grant Prideco (B)* 43,300 2,158
Grey Wolf (B)* 2,400 16
Gulf Island Fabrication (B) 1,200 32
Gulfmark Offshore* 1,000 44
Hanover Compressor (B)* 1,700 38
Harvest Natural Resources (B)* 2,600 25
Helix Energy Solutions Group (B)* 38,900 1,451
Helmerich & Payne 1,300 39
Hess 25,800 1,431
Holly 6,730 399
Houston Exploration* 5,500 297
Hydril* 600 58
Input/Output (B)* 48,800 672
Lone Star Technologies* 500 33
Mariner Energy* 1,374 26
Massey Energy 4,069 98
NATCO Group, Cl A* 119 4
National Oilwell Varco (B)* 2,100 163
Newfield Exploration* 7,200 300
Occidental Petroleum 2,856 141
Oceaneering International* 1,000 42
Oil States International* 700 22
Parker Drilling* 2,500 23
Patterson-UTI Energy (B) 27,400 615
Peabody Energy 2,400 97
PetroHawk Energy* 3,700 49
Petroleum Development* 800 43
Plains Exploration & Production* 1,600 72
Range Resources (B) 6,900 230
Rentech* 5,670 18
RPC 3,375 56
Southwestern Energy* 8,500 348
Stone Energy (B)* 6,600 196
Sunoco 9,400 662
Superior Energy Services* 1,100 38
Swift Energy* 9,400 393
Tesoro 17,132 1,721
Tetra Technologies (B)* 24,600 608
Trico Marine Services* 74 3
Ultra Petroleum* 900 48
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Universal Compression Holdings* 2,864 $ 194
US BioEnergy* 27,600 317
USEC* 7,249 118
VeraSun Energy (B)* 8,300 165
W-H Energy Services* 900 42
Whiting Petroleum* 1,000 39
World Fuel Services 12,715 588
--------------
21,550
--------------
FINANCIALS -- 17.3%
1st Source 440 12
A.G. Edwards (B) 2,900 201
Acadia Realty Trust+ 1,200 31
Advance America Cash Advance Centers 3,400 52
Affiliated Managers Group (B)* 25,030 2,712
Agree Realty+ 1,700 58
Alexander's+* 100 41
Alexandria Real Estate Equities+ 6,000 602
Alfa 1,200 22
AllianceBernstein Holding 237 21
Allied Capital (B) 800 23
AMB Property+ 3,900 229
AmCOMP* 51,900 501
Amcore Financial 1,600 51
American Capital Strategies (B) 900 40
American Financial Group (B) 33,300 1,134
American Financial Realty Trust+ 14,900 150
American Home Mortgage
Investment+ (B) 7,538 203
American National Insurance 500 64
AmeriCredit* 26,500 606
Annaly Capital Management+ (B) 16,200 251
Anthracite Capital+ 5,070 61
Anworth Mortgage Asset+ 11,971 117
Apartment Investment &
Management, Cl A++ 300 17
Ashford Hospitality Trust+ 48,900 584
Aspen Insurance Holdings 15,500 406
Asset Acceptance Capital* 2,100 33
Astoria Financial (B) 24,300 646
Axis Capital Holdings 2,905 98
BancFirst 700 32
Bancorpsouth (B) 23,200 567
Bank Mutual 1,700 19
Bank of Hawaii 6,300 334
Bear Stearns 1,000 150
BioMed Realty Trust+ 800 21
BlackRock 811 127
Boston Private Financial Holdings 15,300 427
Brandywine Realty Trust+ 3,183 106
BRE Properties, Cl A+ 400 25
Camden Property Trust+ 4,000 281
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 69
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Small Cap Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Capital Lease Funding+ 2,500 $ 27
Capital One Financial 1,210 91
Capital Trust, Cl A+ 500 23
CapitalSource+ (B) 17,462 439
Capitol Federal Financial (B) 300 11
Castlepoint Holdings* 2,900 47
Cathay General Bancorp (B) 500 17
CB Richard Ellis Group, Cl A* 23,010 787
Cedar Shopping Centers+ 2,376 39
Central Pacific Financial 2,300 84
Charter Financial (B) 1,100 53
Chemical Financial (B) 900 27
Chicago Mercantile Exchange
Holdings, Cl A 319 170
CIT Group 7,300 386
Citizens Banking 5,454 121
City Bank 3,007 97
City National 500 37
Clifton Savings Bancorp (B) 9,700 116
Colonial BancGroup 44,000 1,089
Colonial Properties Trust+ (B) 400 18
Commerce Bancorp (B) 700 23
Commerce Bancshares (B) 8,983 434
Community Bank System 14,000 293
Community Banks (B) 735 18
Corporate Office Properties Trust+ (B) 8,900 407
Cousins Properties+ (B) 4,100 135
Crawford, Cl B 16,500 96
Crescent Real Estate Equities+ (B) 1,000 20
Cullen/Frost Bankers 11,500 602
Deerfield Triarc Capital++ 3,200 48
Delphi Financial Group, Cl A 600 24
DiamondRock Hospitality+ 1,600 30
Douglas Emmett+* 15,200 388
Downey Financial (B) 500 32
Duke Realty+ 900 39
E*Trade Financial* 104,000 2,207
East West Bancorp 11,000 404
EastGroup Properties+ 700 36
Eaton Vance 13,579 484
Education Realty Trust+ 2,400 36
EMC Insurance Group 2,490 64
Employers Holdings* 9,900 198
Endurance Specialty Holdings 13,398 479
Entertainment Properties Trust+ 4,800 289
Equity Lifestyle Properties+ 700 38
Extra Space Storage+ (B) 3,600 68
Federal Agricultural Mortgage, Cl C (B) 17,000 462
Federal Realty Investment Trust+ 300 27
Federated Investors, Cl B 5,400 198
Fieldstone Investment+ 9,100 28
Financial Federal 1,000 26
Financial Institutions 2,200 44
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
First American (B) 22,600 $ 1,146
First Bancorp Puerto Rico 3,100 41
First Busey (B) 900 19
First Cash Financial Services (B)* 40,911 912
First Charter (B) 3,100 67
First Commonwealth Financial (B) 4,800 56
First Financial Bancorp (B) 4,200 63
First Financial Bankshares (B) 1,500 63
First Horizon National (B) 700 29
First Industrial Realty Trust+ 79 4
First Marblehead (B) 1,950 88
First Midwest Bancorp 6,400 235
First Niagara Financial Group 61,700 858
First Potomac Realty Trust+ 800 23
FirstFed Financial (B)* 600 34
FNB (Pennslyvania) (B) 8,300 140
FNB (Virginia) (B) 400 14
Forest City Enterprises, Cl A 6,660 441
Fortress Investment Group LLC,
Cl A (B)* 25,600 734
Franklin Street Properties+ (B) 2,400 46
Friedman Billings Ramsey Group, Cl A+ 12,500 69
Fulton Financial 9,450 137
Getty Realty+ 4,400 126
Glacier Bancorp 1,350 32
Gladstone Capital (B) 1,700 40
Glimcher Realty Trust+ (B) 4,900 132
Gramercy Capital+ 1,000 31
Greenhill (B) 7,900 485
Hancock Holding 500 22
Hanover Insurance Group (B) 13,800 636
Harleysville Group 400 13
Health Care Property Investors+ 1,300 47
Healthcare Realty Trust+ 700 26
Hersha Hospitality Trust+ 2,900 34
Highland Hospitality+ 3,100 55
Highwoods Properties+ 600 24
Home Bancshares (B) 13,100 289
Horace Mann Educators 3,500 72
Hospitality Properties Trust+ 14,200 665
Host Hotels & Resorts+ (B) 28,400 747
Housevalues (B)* 5,300 27
HRPT Properties Trust+ (B) 66,400 817
Hudson City Bancorp 5,600 77
Huntington Bancshares (B) 38,600 843
Inland Real Estate+ (B) 7,000 128
Innkeepers USA Trust+ 13,600 221
IntercontinentalExchange* 3,200 391
International Bancshares 4,100 122
Investment Technology Group* 700 27
Investors Financial Services 4,300 250
Investors Real Estate Trust+ (B) 3,100 33
Irwin Financial (B) 3,600 67
- --------------------------------------------------------------------------------
70 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
iStar Financial+ 700 $ 33
Janus Capital Group 1,800 38
Jefferies Group (B) 29,600 857
JER Investors Trust+ 1,800 34
KBW (B)* 13,800 480
Kilroy Realty+ 400 30
KKR Financial+ 16,500 453
Knight Capital Group, Cl A* 2,300 36
Lakeland Bancorp (B) 1,212 16
LandAmerica Financial Group (B) 13,800 1,020
LaSalle Hotel Properties+ 700 32
Lazard, Cl A (B) 2,500 125
Legg Mason 268 25
Leucadia National 1,000 29
Lexington Realty Trust+ (B) 3,800 80
Longview Fibre+ 1,847 46
Luminent Mortgage Capital+ 56,500 505
Macerich+ 400 37
Mack-Cali Realty+ (B) 11,500 548
MAF Bancorp 2,005 83
Maguire Properties+ (B) 600 21
Markel* 500 242
MarketAxess Holdings (B)* 2,700 45
Marsh & McLennan 8,768 257
Marshall & Ilsley 2,145 99
Max Re Capital 2,000 51
Meruelo Maddux Properties* 44,900 393
MFA Mortgage Investments+ 4,000 31
MGIC Investment (B) 5,700 336
Mid-America Apartment
Communities+ (B) 1,300 73
Mid-State Bancshares 1,956 72
Mills+ 1,800 45
Move (B)* 108,800 603
MVC Capital (B) 31,900 499
Nara Bancorp (B) 900 16
NASDAQ Stock Market* 35,700 1,050
National City 95 4
National Financial Partners 8,397 394
National Health Investors+ 1,300 41
National Health Realty+ 1,600 38
National Penn Bancshares (B) 3,605 68
National Retail Properties+ (B) 15,300 370
National Western Life Insurance, Cl A* 100 25
Nationwide Financial Services, Cl A (B) 23,317 1,256
Nationwide Health Properties+ 400 13
Navigators Group* 2,168 109
NBT Bancorp (B) 3,100 73
Nelnet, Cl A (B) 4,600 110
New Century Financial+ (B) 13,300 14
New Plan Excel Realty Trust+ 13,700 453
New York Community Bancorp 6,458 114
Newcastle Investment+ (B) 1,805 50
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
NorthStar Realty Finance+* 10,300 $ 157
Northwest Bancorp 1,100 30
Nuveen Investments, Cl A (B) 22,200 1,050
NYSE Group* 960 90
Ocwen Financial* 215 3
Old National Bancorp (B) 14,200 258
Old Republic International 31,875 705
One Liberty Properties+ (B) 1,500 34
OneBeacon Insurance Group* 9,100 228
optionsXpress Holdings (B) 3,800 89
Pacific Capital Bancorp 636 20
Park National 1,000 95
Parkway Properties+ 600 31
PartnerRe 700 48
Philadelphia Consolidated Holding (B)* 6,710 295
Piper Jaffray* 11,800 731
Platinum Underwriters Holdings 19,400 622
PMI Group 11,000 497
PNC Financial Services Group 292 21
Popular (B) 23,100 383
Portfolio Recovery Associates (B)* 15,800 706
Post Properties+ 600 27
ProAssurance (B)* 3,700 189
PS Business Parks+ 1,400 99
Public Storage+ 984 93
Radian Group 17,400 955
RAIT Financial Trust+ 1,100 31
Ramco-Gershenson Properties+ 1,000 36
Rayonier+ (B) 2,850 123
Realty Income+ (B) 7,400 209
Regency Centers+ 400 33
Reinsurance Group of America 4,600 266
Republic Property Trust+ 2,800 32
S&T Bancorp 900 30
Safeco 15,000 996
Saul Centers+ 1,300 74
Seacoast Banking of Florida (B) 900 20
Senior Housing Properties Trust+ 6,800 163
Signature Bank* 3,500 114
SL Green Realty+ 400 55
South Financial Group 400 10
Sovereign Bancorp (B) 3,345 85
Sovran Self Storage+ (B) 1,100 61
Spirit Finance+ 4,100 61
St. Joe (B) 10,901 570
Stancorp Financial Group 8,800 433
Sterling Bancorp 343 6
Sterling Bancshares 2,250 25
Sterling Financial, Washington Shares 17,402 543
Stewart Information Services (B) 9,000 376
Strategic Hotels & Resorts+ 1,000 23
Sun Communities+ (B) 3,900 121
Sunstone Hotel Investors+ (B) 5,300 145
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 71
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Small Cap Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
SVB Financial Group* 1,300 $ 63
T. Rowe Price Group 846 40
Tanger Factory Outlet Centers+ 900 36
TCF Financial (B) 35,300 931
TD Ameritrade Holding* 8,359 124
TD Banknorth (B) 17,908 576
Technology Investment Capital (B) 4,500 76
Tejon Ranch* 2,100 99
Toronto-Dominion Bank 1,494 90
Transatlantic Holdings 468 31
Triad Guaranty* 600 25
Trico Bancshares 1,147 27
Trustco Bank (B) 5,600 54
Trustmark 700 20
U-Store-It Trust+ (B) 6,100 123
UCBH Holdings 7,838 146
UDR+ (B) 700 21
Umpqua Holdings (B) 8,300 222
UnionBanCal 14,300 907
United Bankshares (B) 13,100 459
United Community Banks 700 23
United Fire & Casualty 252 9
Universal American Financial* 3,400 66
Universal Health Realty Income Trust+ 300 11
UnumProvident (B) 44,026 1,014
Urstadt Biddle Properties, Cl A+ 1,600 31
Valley National Bancorp 4,620 117
Ventas+ 1,400 59
Virginia Financial Group (B) 750 19
Waddell & Reed Financial, Cl A 1,000 23
Washington Federal 1,800 42
Washington Mutual 2,762 112
Washington Real Estate Investment
Trust+ 1,600 60
Webster Financial (B) 9,083 436
WesBanco 1,500 46
Westamerica Bancorporation 4,517 218
Westfield Financial (B) 2,625 28
Whitney Holding 1,200 37
Wilmington Trust 1,900 80
Wilshire Bancorp 700 12
Winston Hotels+ 26,500 398
Wintrust Financial (B) 3,700 165
Zions Bancorporation 4,950 418
--------------
65,172
--------------
HEALTH CARE -- 10.9%
Abaxis* 5,141 125
Abraxis BioScience* 4,752 127
Acadia Pharmaceuticals (B)* 13,900 209
Accelrys (B)* 46,500 297
Advanced Medical Optics (B)* 13,200 491
Affymetrix (B)* 38,600 1,161
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Air Methods* 1,408 $ 34
Albany Molecular Research* 3,100 30
Alexion Pharmaceuticals (B)* 800 35
Align Technology (B)* 4,700 75
Alkermes* 64,200 991
Allscripts Healthcare Solutions (B)* 1,700 46
Alpharma, Cl A 1,008 24
Amedisys* 9,380 304
American Medical Systems
Holdings (B)* 6,000 127
AMN Healthcare Services* 10,795 244
Amsurg* 1,393 34
Amylin Pharmaceuticals (B)* 2,966 111
Analogic 949 60
Applera-Applied Biosystems Group 3,700 109
Applera-Celera Group (B)* 31,100 442
Apria Healthcare Group (B)* 30,990 999
Arrow International 1,900 61
Axcan Pharma* 31,508 520
Barr Pharmaceuticals* 14,300 663
Bausch & Lomb 14,801 757
Beckman Coulter 500 32
Bio-Reference Labs* 1,381 35
Biogen Idec* 1,192 53
BioMarin Pharmaceuticals* 19,790 342
Biosite* 600 50
Bruker BioSciences* 4,400 46
Cambrex 28,300 696
Centene* 345 7
Cephalon (B)* 31,836 2,267
Cerner (B)* 400 22
Chemed 12,144 595
Community Health Systems (B)* 22,600 797
Computer Programs & Systems 575 15
Conmed* 1,300 38
Cooper (B) 19,500 948
Corvel* 553 17
Covance* 500 30
Coventry Health Care* 5,600 314
Cubist Pharmaceuticals (B)* 65,400 1,443
Cytyc* 1,500 51
Dade Behring Holdings 18,249 800
DaVita* 14,400 768
Dendreon (B)* 9,400 122
Dentsply International 12,700 416
Depomed (B)* 44,000 157
Digene (B)* 5,495 233
Dionex* 500 34
Discovery Laboratories (B)* 26,400 63
Diversa (B)* 10,400 81
DJO* 20,200 766
Eclipsys* 2,656 51
Edwards Lifesciences (B)* 4,000 203
- --------------------------------------------------------------------------------
72 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Emageon (B)* 39,000 $ 429
Emdeon (B)* 10,600 160
Endo Pharmaceuticals Holdings* 2,200 65
Enzon Pharmaceuticals (B)* 2,600 21
eResearch Technology (B)* 65,848 518
ev3 (B)* 2,795 55
Exelixis* 2,800 28
Express Scripts* 6,900 557
Flamel Technologies ADR (B)* 1,900 49
Foxhollow Technologies (B)* 1,600 33
Gen-Probe* 700 33
Genzyme* 5,122 307
Geron (B)* 22,800 160
Greatbatch* 1,091 28
Health Net (B)* 5,300 285
Healthspring* 2,800 66
Healthways (B)* 3,500 164
Henry Schein* 300 17
Hi-Tech Pharmacal* 3,000 33
Hillenbrand Industries 600 36
Hologic (B)* 20,435 1,178
Human Genome Sciences* 2,500 27
Humana* 300 17
I-Flow* 250 4
ICU Medical* 700 27
Idexx Laboratories (B)* 3,700 324
Immucor (B)* 1,950 57
Immunomedics (B)* 71,200 326
IMS Health 5,945 176
Integra LifeSciences Holdings* 600 27
Intralase* 1,700 42
Intuitive Surgical* 500 61
inVentiv Health* 1,000 38
Inverness Medical Innovations (B)* 9,812 430
Invitrogen (B)* 10,500 668
Kendle International* 8,315 295
Kindred Healthcare* 2,817 92
King Pharmaceuticals* 22,600 444
KV Pharmaceutical, Cl A (B)* 1,900 47
LCA-Vision (B) 800 33
Lifecell* 20,100 502
LifePoint Hospitals* 800 31
Ligand Pharmaceuticals, Cl B (B) 5,500 55
Lincare Holdings (B)* 1,400 51
Magellan Health Services* 14,000 588
Manor Care (B) 13,200 718
Martek Biosciences* 500 10
Matria Healthcare* 925 24
Medarex (B)* 169,000 2,187
Medicines* 2,900 73
Medicis Pharmaceutical, Cl A 15,430 476
Merit Medical Systems* 2,500 31
Micrus Endovascular* 22,800 544
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Millennium Pharmaceuticals* 3,700 $ 42
Millipore (B)* 400 29
Mindray Medical International ADR* 6,000 143
Mylan Laboratories 23,500 497
Myriad Genetics (B)* 30,670 1,057
Nastech Pharmaceutical (B)* 6,500 70
Neurocrine Biosciences (B)* 11,350 142
Nighthawk Radiology Holdings (B)* 12,800 233
Noven Pharmaceuticals* 9,905 230
NuVasive* 1,600 38
Odyssey HealthCare* 1,689 22
Omnicare (B) 12,200 485
Omnicell* 1,911 40
Onyx Pharmaceuticals (B)* 2,700 67
OSI Pharmaceuticals (B)* 1,318 43
Owens & Minor 1,400 51
Par Pharmaceutical* 3,275 82
Parexel International (B)* 4,400 158
Patterson* 2,900 103
PDL BioPharma (B)* 32,600 707
Pediatrix Medical Group (B)* 6,580 375
PerkinElmer 2,800 68
Perrigo 1,300 23
Pharmaceutical Product Development 5,800 195
Pharmacopeia Drug Discovery (B)* 21,850 124
Pharmion* 1,700 45
PolyMedica 1,300 55
PRA International* 331 7
PSS World Medical* 1,400 30
Psychiatric Solutions (B)* 14,975 604
Quidel* 2,190 26
Regeneron Pharmaceuticals (B)* 14,830 321
Renovis* 10,300 36
Resmed* 600 30
Respironics* 183 8
Sciele Pharma (B)* 1,800 43
Sirona Dental Systems* 500 17
Stereotaxis (B)* 1,900 23
SurModics (B)* 1,236 44
Tanox* 1,400 26
Tenet Healthcare (B)* 19,697 127
Thermo Fisher Scientific (B)* 3,600 168
Thoratec* 2,000 42
Trizetto Group* 2,800 56
United Therapeutics (B)* 15,700 844
Universal Health Services, Cl B 5,144 295
Varian* 700 41
Varian Medical Systems (B)* 1,000 48
VCA Antech* 800 29
Vertex Pharmaceuticals (B)* 2,883 81
Viasys Healthcare* 1,400 48
Viropharma (B)* 2,300 33
Vital Signs 1,000 52
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 73
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Small Cap Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Vnus Medical Technologies (B)* 4,400 $ 44
Volcano* 14,895 268
Waters* 600 35
Watson Pharmaceuticals* 13,777 364
Wright Medical Group* 2,900 65
Zoll Medical* 1,800 48
-------------
41,242
-------------
INDUSTRIALS -- 13.2%
AAON 1,000 26
ABX Air* 3,664 25
ACCO Brands* 2,300 55
Actuant, Cl A 3,061 156
Adesa 5,100 141
Advisory Board* 3,200 162
AGCO* 3,537 131
Airtran Holdings (B)* 1,800 18
Alaska Air Group (B)* 30,242 1,152
Albany International, Cl A (B) 19,479 700
Alexander & Baldwin 1,519 77
Alliant Techsystems* 503 44
Allied Waste Industries* 2,300 29
Amerco* 666 47
American Commercial Lines* 12,172 383
American Superconductor (B)* 2,800 38
American Woodmark (B) 800 29
Ametek 750 26
AMR (B)* 4,843 147
Angelica 1,400 39
AO Smith 12,011 459
Applied Industrial Technologies 1,050 26
Arkansas Best (B) 7,800 277
Armor Holdings (B)* 400 27
ASV* 377 6
Badger Meter 900 24
Baldor Electric 2,100 79
Basin Water (B)* 4,800 33
BE Aerospace (B)* 25,905 821
Briggs & Stratton (B) 22,145 683
Brink's (B) 23,300 1,478
C&D Technologies 3,182 16
Capstone Turbine* 4,401 5
Central Parking (B) 10,200 226
Chicago Bridge & Iron 22,895 704
ChoicePoint* 15,800 591
Clean Harbors* 86 4
CNH Global (B) 7,360 274
Columbus McKinnon* 2,329 52
Comfort Systems USA 6,316 76
Compx International 7,200 116
Con-way 3,058 152
Continental Airlines, Cl B (B)* 1,200 44
Copart* 9,400 263
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Corporate Executive Board (B) 3,900 $ 296
Corrections of America* 5,470 289
Covenant Transport, Cl A* 1,500 17
Crane 13,800 558
Cubic (B) 13,800 299
Cummins (B) 11,600 1,679
Curtiss-Wright 1,100 42
Danaos (B) 6,900 182
Deere 978 106
Deluxe (B) 23,100 775
Dollar Thrifty Automotive Group* 1,200 61
Donaldson 600 22
Dun & Bradstreet 5,244 478
Dynamic Materials 33,000 1,080
EDO 2,300 60
EGL* 900 36
EMCOR Group* 2,082 123
Energy Conversion Devices (B)* 3,700 129
EnerSys* 659 11
EnPro Industries* 800 29
Equifax 6,808 248
ESCO Technologies (B)* 2,950 132
Fastenal (B) 1,200 42
Flowserve (B) 10,500 600
Fluor 357 32
Forward Air 1,200 39
Franklin Electric 700 33
Freightcar America 1,111 54
FuelCell Energy* 1,130 9
Gardner Denver (B)* 4,300 150
GATX (B) 6,787 324
GenCorp* 2,300 32
General Cable* 1,644 88
General Electric 2,145 76
Geo Group* 1,294 59
Goodrich 20,482 1,054
Gorman-Rupp 1,000 32
Graco 500 20
GrafTech International* 4,600 42
Granite Construction 5,562 307
H&E Equipment Services* 2,200 47
Harsco 3,600 161
Heartland Express 1,800 29
Herman Miller (B) 25,230 845
Honeywell International 1,274 59
HUB Group, Cl A (B)* 13,250 384
Hubbell, Cl B 14,400 695
Hudson Highland Group* 345 5
Huron Consulting Group* 3,100 189
IKON Office Solutions 16,354 235
Infrasource Services* 1,600 49
Insituform Technologies, Cl A* 1,500 31
Ionatron* 550 3
- --------------------------------------------------------------------------------
74 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Jacobs Engineering Group* 2,364 $ 110
JB Hunt Transport Services 18,600 488
JetBlue Airways (B)* 2,600 30
John H. Harland 700 36
Joy Global 21,800 935
Kaman 1,662 39
Kansas City Southern* 17,000 605
Kaydon 700 30
Kelly Services, Cl A (B) 11,000 354
Kennametal 3,300 223
Kforce* 1,469 20
Kirby* 7,889 276
Knight Transportation (B) 1,700 30
Knoll (B) 37,600 896
Ladish* 1,487 56
Laidlaw International 8,700 301
Landstar System 4,700 215
Lennox International 6,346 227
Lincoln Electric Holdings 1,655 99
MAIR Holdings* 5,300 35
Manitowoc 13,525 859
Manpower 700 52
McDermott International* 5,902 289
Mesa Air Group (B)* 3,600 27
Milacron (B)* 67,360 44
Mine Safety Appliances (B) 800 34
Monster Worldwide (B)* 15,600 739
Moog, Cl A* 2,300 96
MSC Industrial Direct, Cl A 1,200 56
MTC Technologies* 1,300 27
Mueller Industries (B) 24,300 731
Mueller Water Products, Cl B 7,105 95
NACCO Industries, Cl A 359 49
Navistar International* 20,909 957
Nordson 1,000 46
Old Dominion Freight Line* 1,050 30
Orbital Sciences* 7,700 144
Oshkosh Truck 2,300 122
Pacer International 2,575 69
Pall 26,500 1,007
PAM Transportation Services (B)* 1,500 31
Pentair 1,291 40
Perini* 319 12
PHH* 14,300 437
Plug Power* 885 3
Quanta Services (B)* 25,725 649
RBC Bearings (B)* 11,715 392
Regal-Beloit (B) 13,800 640
Republic Airways Holdings* 2,900 67
Resources Connection (B)* 1,900 61
Robert Half International 7,200 266
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
RR Donnelley & Sons 1,500 $ 55
Ryder System 28,864 1,424
School Specialty* 900 32
Sequa, Cl A* 109 13
Shaw Group* 4,026 126
SIRVA* 1,391 5
Skywest 1,000 27
Spirit Aerosystems Holdings, Cl A (B)* 7,410 236
SPX 8,000 562
Standard Register 2,989 38
Steelcase, Cl A (B) 43,200 859
Stericycle* 1,043 85
Superior Essex* 2,533 88
Taser International (B)* 4,000 32
Tecumseh Products, Cl A (B)* 24,300 245
Teledyne Technologies (B)* 15,800 592
TeleTech Holdings* 2,300 84
Terex* 500 36
Tetra Tech* 1,300 25
Thomas & Betts* 1,600 78
Timken (B) 13,200 400
Toro 1,400 72
Trex* 250 5
Trinity Industries 13,500 566
TurboChef Technologies (B)* 2,800 43
UAL* 2,192 84
UAP Holding 3,850 100
United Rentals* 25,500 701
United Stationers* 6,062 363
United Technologies 1,760 114
Universal Forest Products (B) 13,200 654
URS* 5,894 251
US Airways Group* 600 27
USG (B)* 10,305 481
UTI Worldwide 16,400 403
Viad 1,200 46
Wabtec 8,052 278
Walter Industries (B) 5,505 136
Washington Group International (B)* 8,483 563
Waste Connections* 9,774 293
Waste Industries USA 1,800 49
Waste Services (B)* 2,900 29
Watson Wyatt Worldwide, Cl A (B) 7,425 361
Watts Water Technologies, Cl A 1,000 38
WESCO International (B)* 10,700 672
Williams Scotsman International* 35,545 699
Woodward Governor (B) 16,800 692
WW Grainger 11,400 881
YRC Worldwide (B)* 17,300 696
-------------
49,653
-------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 75
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Small Cap Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 19.3%
3Com* 31,900 $ 125
Actel* 1,900 31
Activision (B)* 54,900 1,040
Acxiom 1,100 24
Adaptec* 5,800 22
ADC Telecommunications* 2,900 49
Adobe Systems* 966 40
Adtran (B) 2,700 66
Advanced Analogic Technologies* 9,310 61
Advent Software* 10,200 356
Aeroflex* 2,100 28
Agere Systems* 3,054 69
Akamai Technologies (B)* 32,581 1,626
Alliance Semiconductor* 29,600 134
Amdocs* 2,700 99
AMIS Holdings* 11,801 129
Amkor Technology* 4,696 59
Andrew* 3,400 36
Ansys* 2,100 107
aQuantive (B)* 42,300 1,181
Ariba* 2,900 27
ARM Holdings ADR 56,700 445
Arris Group (B)* 27,800 391
Arrow Electronics* 1,000 38
Asyst Technologies* 1,969 14
Atheros Communications (B)* 2,200 53
Atmel* 6,800 34
ATMI* 1,000 31
Autodesk* 1,000 38
Avanex (B)* 72,200 129
Avaya (B)* 47,400 560
Avnet* 13,200 477
Avocent* 26,790 723
AVX 4,600 70
Axcelis Technologies* 5,300 40
BEA Systems* 3,400 39
BearingPoint (B)* 51,100 391
Bel Fuse, Cl B 600 23
Benchmark Electronics* 954 20
BISYS Group (B)* 2,700 31
Black Box 6,200 227
Blackboard (B)* 14,200 478
BMC Software* 4,800 148
Brightpoint* 1,830 21
Broadcom, Cl A* 756 24
Brocade Communications Systems* 93,900 894
Brooks Automation (B)* 73,400 1,259
Cabot Microelectronics (B)* 3,100 104
CACI International, Cl A* 800 37
Cadence Design Systems (B)* 2,600 55
Carrier Access* 964 5
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Ceridian* 4,500 $ 157
Checkfree* 13,800 512
Checkpoint Systems* 5,812 138
Ciena* 1,600 45
Cirrus Logic* 10,362 79
Citrix Systems* 25,101 804
CNET Networks (B)* 99,500 867
Cogent* 6,800 91
Cognex 7,200 156
Cognizant Technology Solutions, Cl A* 3,700 327
Coherent* 400 13
Cohu 297 6
CommScope (B)* 18,605 798
Comtech Group (B)* 15,755 275
Comtech Telecommunications* 1,000 39
Comverse Technology (B)* 30,900 660
Convergys* 17,000 432
Cree (B)* 1,084 18
CSG Systems International (B)* 5,309 133
CTS 3,100 43
Cymer* 18,016 749
Cypress Semiconductor* 3,500 65
DealerTrack Holdings (B)* 9,510 292
Diebold 800 38
Digital River* 800 44
Ditech Networks* 3,800 31
Dolby Laboratories, Cl A* 1,500 52
DST Systems* 800 60
Dycom Industries* 1,400 36
Earthlink (B)* 85,300 627
Echelon (B)* 2,600 27
eFunds* 1,400 37
Electro Scientific Industries* 1,000 19
Electronic Data Systems 8,972 248
Electronics for Imaging* 15,530 364
Emulex* 990 18
Entegris* 3,600 39
EPIQ Systems* 4,380 89
Equinix (B)* 500 43
eSpeed, Cl A* 1,150 11
Euronet Worldwide (B)* 1,100 30
F5 Networks (B)* 14,000 934
Factset Research Systems 6,900 434
Fair Isaac 8,518 329
Fairchild Semiconductor
International (B)* 6,600 110
FEI* 7,800 281
Fidelity National Information
Services (B) 900 41
Flextronics International (B)* 115,900 1,268
Flir Systems (B)* 13,310 475
Formfactor (B)* 9,065 406
- --------------------------------------------------------------------------------
76 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Forrester Research* 900 $ 26
Foundry Networks (B)* 72,500 984
Gartner* 2,600 62
Global Cash Access (B)* 48,800 814
Global Payments 800 27
Greenfield Online (B)* 4,400 70
Harmonic* 6,000 59
Harris 800 41
Heartland Payment Systems 3,400 80
Hewitt Associates, Cl A* 7,134 209
Hyperion Solutions* 1,950 101
Ikanos Communications* 34,550 268
Imation 13,881 561
Informatica (B)* 46,900 630
Ingram Micro, Cl A* 5,381 104
Interdigital Communications* 1,000 32
Intermec* 1,356 30
International Rectifier* 1,432 55
Intersil, Cl A 16,100 426
Intevac* 13,860 365
Iron Mountain* 1,200 31
Isilon Systems (B)* 28,100 454
Itron (B)* 2,135 139
Ixia* 4,400 41
j2 Global Communications* 1,100 30
Jack Henry & Associates (B) 11,800 284
JDS Uniphase (B)* 3,000 46
Juniper Networks* 12,619 248
Keane* 4,200 57
Kemet* 2,900 22
Keynote Systems* 31,700 425
Kopin (B)* 8,800 30
Kronos* 1,000 54
Kulicke & Soffa Industries* 912 8
L-1 Identity Solutions (B)* 14,523 240
Lam Research (B)* 1,600 76
Lattice Semiconductor* 196,900 1,152
Lawson Software (B)* 3,400 28
Lexmark International, Cl A* 9,000 526
Lightbridge* 1,410 25
Littelfuse* 7,600 309
LSI Logic (B)* 51,200 535
Macrovision* 1,200 30
Manhattan Associates* 14,805 406
Mantech International, Cl A* 900 30
Mattson Technology* 608 6
MAXIMUS 426 15
McAfee* 4,011 117
Mellanox Technologies* 12,600 183
MEMC Electronic Materials* 1,700 103
Mentor Graphics* 2,900 47
Mercury Computer Systems* 11,200 155
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Methode Electronics 34,997 $ 517
Mettler Toledo International* 400 36
Micrel* 2,700 30
Microsemi (B)* 37,800 787
MicroStrategy, Cl A* 517 65
MKS Instruments* 17,800 454
MoneyGram International 1,000 28
Monolithic Power Systems* 4,333 56
MPS Group* 1,700 24
MTS Systems 1,074 42
National Instruments 1,300 34
National Semiconductor 12,300 297
NAVTEQ (B)* 1,700 59
NCR* 18,700 893
Ness Technologies* 2,600 33
Net 1 UEPS Technologies (B)* 1,300 32
Netgear* 1,300 37
Netlogic Microsystems* 425 11
Newport* 1,300 21
NIC 3,700 20
Novell* 4,200 30
Nuance Communications (B)* 53,600 821
Omnivision Technologies (B)* 2,800 36
ON Semiconductor (B)* 9,300 83
Openwave Systems (B)* 3,600 29
Opsware* 3,500 25
Orckit Communications* 22,900 233
OSI Systems* 588 16
Palm* 1,200 22
Paxar* 5,050 145
Perficient* 13,405 265
Pericom Semiconductor* 2,100 21
Perot Systems, Cl A (B)* 37,500 670
Photronics* 3,222 50
Plantronics 2,600 61
Plexus* 1,200 21
PMC-Sierra (B)* 5,600 39
Polycom* 76,900 2,563
Powerwave Technologies* 7,010 40
Presstek* 1,150 7
Progress Software* 1,200 37
QLogic* 4,800 82
Quality Systems* 6,445 258
Quantum (B)* 128,400 347
Quest Software* 11,300 184
Rackable Systems (B)* 4,500 76
RADWARE* 14,200 192
Rambus (B)* 2,500 53
RealNetworks* 3,700 29
Red Hat (B)* 97,500 2,236
Renaissance Learning 2,000 26
RF Micro Devices (B)* 251,600 1,567
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 77
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Small Cap Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Rofin-Sinar Technologies* 500 $ 30
S1* 3,900 23
Sabre Holdings, Cl A 4,462 146
SafeNet* 1,500 42
Salesforce.com (B)* 20,250 867
Sanmina-SCI* 14,438 52
Sapient* 5,700 39
Satyam Computer Services ADR (B) 27,100 615
SAVVIS* 14,400 689
Scansource (B)* 1,200 32
Seachange International* 40,700 331
Seagate Technology (B) 21,659 505
Semtech* 4,000 54
Silicon Image* 3,700 30
Silicon Laboratories* 700 21
Sina* 7,805 262
Sirf Technology Holdings (B)* 1,200 33
SkillSoft ADR* 36,495 305
Skyworks Solutions (B)* 246,900 1,420
Smith Micro Software* 16,060 299
Solectron* 344,000 1,084
Sonic Solutions (B)* 15,000 212
Sonus Networks* 6,500 52
Standard Microsystems* 538 16
Sun Microsystems* 45,557 274
Sunpower, Cl A (B)* 4,800 218
Supertex (B)* 900 30
Sybase (B)* 16,900 427
Sycamore Networks* 11,300 42
SYKES Enterprises* 35,800 653
Synaptics* 1,300 33
SYNNEX* 1,023 22
Synopsys* 34,488 905
Syntel 2,100 73
Take-Two Interactive Software (B)* 2,600 52
Talx 1,300 43
Tech Data* 6,924 248
Technitrol 20,900 547
Tekelec (B)* 50,100 747
Tektronix 976 27
Tellabs* 5,700 56
Teradyne (B)* 1,735 29
Tessera Technologies* 900 36
THQ (B)* 24,200 827
TIBCO Software* 148,055 1,261
Transaction Systems Architects* 700 23
Trident Microsystems (B)* 41,100 824
Trimble Navigation* 13,890 373
Triquint Semiconductor* 5,800 29
Ultratech (B)* 31,500 429
Unisys* 4,080 34
United Online 29,300 411
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Utstarcom (B)* 40,700 $ 337
Valueclick* 1,400 37
Varian Semiconductor Equipment Associates* 19,311 1,031
Vasco Data Security International* 17,950 321
Veeco Instruments* 5,806 113
VeriFone Holdings* 9,960 366
Verint Systems* 16,800 540
VeriSign* 13,284 334
Viasat* 9,555 315
Virage Logic* 4,100 30
Vishay Intertechnology* 55,500 776
Wavecom ADR* 17,600 395
Websense* 1,500 34
Western Digital (B)* 55,800 938
Wind River Systems (B)* 111,100 1,104
Zoran (B)* 48,874 832
--------------
72,769
--------------
MATERIALS -- 5.6%
Airgas 22,100 932
AK Steel Holding* 7,738 181
Albemarle 4,800 198
Allegheny Technologies (B) 9,000 960
Aptargroup 2,200 147
Ball (B) 16,900 775
Bowater (B) 7,061 168
Brush Engineered Materials* 7,495 363
Buckeye Technologies* 554 7
Cabot 6,649 317
Carpenter Technology 3,489 421
Celanese, Ser A (B) 19,500 601
Chesapeake 2,500 38
Coeur d'Alene Mines (B)* 5,200 21
Commercial Metals 19,985 627
Compass Minerals International (B) 1,100 37
Constar International (B)* 18,500 164
Crown Holdings* 45,883 1,122
Cytec Industries (B) 21,800 1,226
Deltic Timber 700 34
Eagle Materials 800 36
Eastman Chemical 8,500 538
Ferro 1,925 42
Florida Rock Industries 900 61
FMC 17,396 1,312
Glatfelter 2,300 34
Greif, Cl A 5,799 644
H.B. Fuller 1,600 44
Headwaters (B)* 4,529 99
Hercules* 39,120 764
Huntsman 2,452 47
Innospec 421 24
- --------------------------------------------------------------------------------
78 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
International Flavors & Fragrances 500 $ 24
Koppers Holdings 2,185 56
Louisiana-Pacific 29,700 596
Lubrizol 14,300 737
MacDermid 900 31
Martin Marietta Materials 300 41
Material Sciences* 773 8
MeadWestvaco (B) 14,800 456
Metal Management 2,166 100
Mosaic (B)* 6,500 173
Neenah Paper 4,652 185
NewMarket 467 19
NL Industries 2,700 29
NN 2,200 27
Olympic Steel 460 14
Omnova Solutions* 608 3
Owens-Illinois* 15,627 403
Packaging of America 900 22
PolyOne* 37,100 226
Pope & Talbot* 1,291 9
Quaker Chemical 385 9
Quanex (B) 19,125 810
Rinker Group ADR (B) 1,200 87
Rock-Tenn, Cl A 31,200 1,036
Royal Gold (B) 900 27
RTI International Metals* 208 19
Schnitzer Steel Industries, Cl A (B) 1,339 54
Schweitzer-Mauduit International 1,500 37
Sealed Air 1,200 38
Sensient Technologies 3,400 88
Sigma-Aldrich (B) 5,800 241
Silgan Holdings 2,135 109
Smurfit-Stone Container (B)* 2,800 32
Spartech 1,105 32
Steel Dynamics 13,800 596
Stillwater Mining* 4,200 53
Symyx Technologies* 36,238 642
Temple-Inland 500 30
Terra Industries (B)* 11,800 207
Texas Industries (B) 7,411 560
Titanium Metals* 669 24
United States Steel 6,400 635
Valhi 1,400 19
Valspar 14,000 390
Wausau Paper (B) 6,405 92
Wheeling-Pittsburgh* 1,700 40
--------------
21,050
--------------
TELECOMMUNICATION SERVICES -- 1.4%
Alaska Communications Systems Group 7,030 104
American Tower, Cl A* 5,315 207
Cbeyond* 1,500 44
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Centennial Communications* 3,555 $ 29
CenturyTel 19,200 868
Cincinnati Bell* 950 5
Citizens Communications 12,715 190
Clearwire, Cl A (B)* 38,800 794
Cogent Communications Group* 9,700 229
Consolidated Communications Holdings 1,011 20
Crown Castle International* 3,022 97
CT Communications 2,000 48
Dobson Communications, Cl A* 2,120 18
Fairpoint Communications (B) 1,900 37
General Communication, Cl A* 1,800 25
Global Crossing* 795 22
IDT, Cl B (B) 2,100 24
Iowa Telecommunications Services 5,260 105
Leap Wireless International* 8,530 563
Level 3 Communications (B)* 35,722 218
NII Holdings* 800 59
North Pittsburgh Systems 1,200 26
Price Communications (B) 3,800 76
Qwest Communications International* 25,629 230
SBA Communications, Cl A (B)* 36,875 1,090
Telephone & Data Systems 600 36
Vonage Holdings (B)* 11,475 40
Windstream 2,200 32
--------------
5,236
--------------
UTILITIES -- 4.7%
AES* 1,478 32
AGL Resources 7,600 325
Allegheny Energy (B)* 1,500 74
Allete (B) 8,000 373
Alliant Energy 383 17
Avista (B) 26,200 635
Black Hills (B) 10,880 400
Cascade Natural Gas 4,900 129
Centerpoint Energy (B) 44,900 805
CH Energy Group (B) 1,700 83
Cleco 1,200 31
CMS Energy 48,000 854
Consolidated Edison 500 26
Constellation Energy Group 7,700 669
DPL 2,300 71
Duquesne Light Holdings 2,300 46
Dynegy, Cl A* 4,200 39
El Paso Electric* 2,000 53
Empire District Electric (B) 4,841 120
Energen 4,800 244
EnergySouth 800 34
Equitable Resources 9,454 457
Integrys Energy Group 11,937 663
ITC Holdings 1,000 43
Laclede Group 5,300 165
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 79
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Small Cap Fund (Concluded)
March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
MDU Resources Group (B) 67,175 $ 1,931
MGE Energy 2,200 78
National Fuel Gas 2,400 104
New Jersey Resources 900 45
Nicor (B) 7,200 349
Northeast Utilities (B) 6,018 197
Northwest Natural Gas 1,300 59
NorthWestern 4,600 163
NRG Energy (B)* 6,500 468
Oneok 8,440 380
Ormat Technologies (B) 10,500 441
Otter Tail 2,200 75
Pepco Holdings 22,000 638
Pinnacle West Capital (B) 19,300 931
PNM Resources (B) 20,562 664
PPL 2,600 106
Progress Energy 3,415 172
Puget Energy 16,000 411
Reliant Energy* 28,288 575
SCANA 6,577 284
Sempra Energy (B) 2,900 177
Southern Union (B) 29,700 903
Southwest Gas 2,051 80
Southwest Water (B) 2,400 35
TECO Energy (B) 32,679 562
UGI 34,500 921
UIL Holdings 833 29
Unisource Energy 358 13
Vectren 11,100 317
Wisconsin Energy 4,100 199
--------------
17,695
--------------
Total Common Stock
(Cost $296,019) ($ Thousands) 362,483
--------------
Number of
Warrants
-------------
WARRANTS -- 0.0%
Washington Mutual (D)* 116,700 20
--------------
Total Warrants
(Cost $27) ($ Thousands) 20
--------------
CASH EQUIVALENTS**++ -- 38.7%
SEI Daily Income Trust
Prime Obligation Fund,
Cl A, 5.180% 13,833,939 13,834
SEI Liquidity Fund LP,
5.520% (C) 132,069,190 132,069
--------------
Total Cash Equivalents
(Cost $145,903) ($ Thousands) 145,903
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATION (A) (E) -- 0.2%
U.S. Treasury Bill
5.074%, 05/24/07 $ 641 $ 637
--------------
Total U.S. Treasury Obligation
(Cost $637) ($ Thousands) 637
--------------
Total Investments -- 135.0%
(Cost $442,586) ($ Thousands) $ 509,043
==============
Futures -- A summary of the open futures contracts held by the Fund at March 31,
2007, 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 96 Jun-2007 $ 223
S&P 400 Index E-MINI 78 Jun-2007 160
-------------
$ 383
=============
Percentages are based on Net Assets of $376,954 ($ Thousands).
* Non-Income Producing Security.
** Rate shown is the 7-day effective yield as of March 31, 2007.
+ Real Estate Investment Trust.
++ Investment in Affiliated Registered Investment Company (see Note 3).
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(B) This security or a partial position of this security is on loan at March
31, 2007 (see Note 7). The total value of securities on loan at March 31,
2007 was $129,229 ($ 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 March 31, 2007
was $132,069 ($ Thousands).
(D) This warrant does not have a strike price or expiration date.
(E) The rate reported is the effective yield at time of purchase.
ADR -- American Depositary Receipt
Cl -- Class
LLC -- Limited Liability Company
LP -- Limited Partnership
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
80 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
Small/Mid Cap Diversified Alpha Fund
March 31, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS#:
[THE FOLLOWING TABLE WAS REPRESENTED BY A PIE CHART IN THE PRINTED MATERIAL.]
Financials 17.9%
Asset-Backed Securities 11.6%
Industrials 11.1%
Information Technology 10.8%
U.S. Government Agency Mortgage-Backed Obligations 10.0%
Consumer Discretionary 8.3%
Short-Term Investments 7.3%
Health Care 6.4%
Materials 4.6%
Energy 3.6%
Utilities 3.5%
Consumer Staples 2.4%
U.S. Government Agency Obligations 1.3%
Telecommunication Services 1.0%
U.S. Treasury Obligation 0.2%
# Percentages based on total investments
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 71.9%
CONSUMER DISCRETIONARY -- 9.2%
Abercrombie & Fitch, Cl A 675 $ 51
Amazon.com* 1,760 70
American Eagle Outfitters (C) 4,550 136
ArvinMeritor (C) 5,050 92
Asbury Automotive Group (C) 2,261 64
Barnes & Noble 860 34
Big Lots (C)* 5,291 165
Black & Decker 826 67
Blockbuster, Cl A* 62 --
Blyth 110 2
Bon-Ton Stores 910 51
Books-A-Million 1,607 23
Boyd Gaming 565 27
Brinker International (C) 1,300 43
Brown Shoe (C) 4,430 186
Building Materials Holding (C) 3,600 65
Cablevision Systems, Cl A 4,140 126
CBRL Group 2,765 128
Centex 525 22
Charlotte Russe Holding* 2,631 76
Charming Shoppes* 8,065 104
Citadel Broadcasting (C) 2,700 26
Coinstar (C)* 3,993 125
Corinthian Colleges* 340 5
Cumulus Media, Cl A (C)* 1,800 17
Denny's* 11,060 54
Directed Electronics (C)* 900 8
Dollar Tree Stores (C)* 3,600 138
Dover Downs Gaming & Entertainment (C) 1,100 14
Dress Barn (C)* 1,200 25
DSW, Cl A* 406 17
DXP Enterprises* 100 4
Eastman Kodak 1,100 25
Eddie Bauer Holdings* 18,700 213
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Entercom Communications 3,840 $ 108
Family Dollar Stores 1,208 36
Foot Locker 3,380 80
Ford Motor 460 4
GameStop, Cl A* 3,600 117
Getty Images* 360 17
Gildan Activewear* 1,700 100
Goodyear Tire & Rubber* 3,517 110
Gray Television 4,900 51
Group 1 Automotive 125 5
Gymboree (C)* 2,266 91
Harley-Davidson (C) 300 18
Harman International Industries 200 19
Harris Interactive* 5,743 35
Hasbro (C) 5,965 171
Hayes Lemmerz International* 10,951 80
Hovnanian Enterprises, Cl A* 2,306 58
ITT Educational Services* 400 33
Jackson Hewitt Tax Service (C) 4,675 150
Jarden* 2,910 111
Jo-Ann Stores (C)* 2,823 77
John Wiley & Sons, Cl A 650 25
Jones Apparel Group 3,108 96
K2* 2,793 34
Kimball International, Cl B 2,953 57
Knology* 1,193 19
Lear (C) 2,400 88
Lin TV, Cl A* 3,100 49
Lodgenet Entertainment (C)* 5,050 155
Lodgian (C)* 1,700 23
Maidenform Brands (C)* 4,191 97
Marvel Entertainment (C)* 3,800 105
Meredith (C) 2,129 122
Mothers Work* 183 6
O'Charleys (C)* 7,999 154
Office Depot (C)* 2,300 81
OfficeMax (C) 2,265 119
Oxford Industries (C) 800 40
Payless Shoesource* 3,947 131
Penn National Gaming* 1,830 78
Perry Ellis International* 4,585 147
PetSmart 1,080 36
Pier 1 Imports 885 6
R.H. Donnelley 3,165 224
Regis 2,200 89
Rent-A-Center* 2,795 78
Retail Ventures* 5,006 105
Saks 4,137 86
Sauer-Danfoss 2,328 70
Scholastic (C)* 3,795 118
Sirius Satellite Radio* 2,335 7
Source Interlink* 350 2
Stage Stores 315 7
Standard Motor Products (C) 9,247 158
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 81
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Diversified Alpha Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Standard-Pacific 8,846 $ 185
Steinway Musical Instruments (C) 300 10
Stoneridge* 1,936 20
Sturm Ruger* 7,324 99
Tempur-Pedic International (C)* 6,620 172
Tenneco* 490 12
Tiffany 3,365 153
Timberland, Cl A* 3,800 99
Town Sports International
Holdings (C)* 1,700 37
TRW Automotive Holdings* 1,575 55
Valuevision Media, Cl A* 185 2
Virgin Media 70 2
Warnaco Group* 725 21
Weight Watchers International 1,460 67
West Marine (C)* 9,121 166
Wet Seal, Cl A (C)* 1,600 10
Weyco Group 25 1
Williams-Sonoma 170 6
WMS Industries (C)* 700 27
Xerium Technologies (C) 4,000 32
-------------
7,462
-------------
CONSUMER STAPLES -- 2.7%
Alliance One International (C)* 20,833 192
Andersons 350 15
Avon Products 1,330 50
Bunge 165 14
Central Garden and Pet* 330 5
Central Garden and Pet, Cl A* 670 10
Corn Products International 925 33
Energizer Holdings* 65 5
Estee Lauder, Cl A (C) 1,200 59
Imperial Sugar (C) 960 32
Kroger (C) 900 25
Lance 6,700 136
Loews - Carolina 1,927 146
Longs Drug Stores (C) 4,500 232
Mannatech (C) 1,600 26
Molson Coors Brewing, Cl B (C) 1,925 182
Nash Finch (C) 1,672 58
NBTY (C)* 2,979 158
Pilgrim's Pride 2,260 75
Reddy Ice Holdings (C) 5,172 156
Safeway (C) 1,200 44
Smart & Final* 235 5
Smithfield Foods* 3,470 104
Spectrum Brands* 1,385 9
Tyson Foods, Cl A 1,110 21
Universal (C) 4,831 296
USANA Health Sciences* 1,700 80
-------------
2,168
-------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
ENERGY -- 4.0%
Allis-Chalmers Energy* 250 $ 4
Arch Coal 1,250 38
Arlington Tankers 4,400 105
Basic Energy Services* 4,300 100
Bronco Drilling* 6,900 114
Callon Petroleum (C)* 4,600 62
Carrizo Oil & Gas* 2,420 85
Clayton Williams Energy* 1,100 31
Complete Production Services* 4,700 94
Consol Energy 45 2
Delek US Holdings 5,500 105
Dresser-Rand Group* 1,660 51
Edge Petroleum (C)* 1,700 21
Encore Acquisition* 4,400 106
Evergreen Energy* 7,300 48
Foundation Coal Holdings 4,127 142
Frontier Oil 2,391 78
Gasco Energy* 3,315 8
Hercules Offshore (C)* 3,100 81
Holly 1,426 85
Input/Output (C)* 3,211 44
Massey Energy 1,525 37
Matrix Service (C)* 2,000 41
Meridian Resource* 23,334 56
NATCO Group, Cl A* 50 2
Oilsands Quest* 19,200 66
OPTI (Canada) (D)* 8,800 152
Parallel Petroleum* 2,920 67
Parker Drilling* 5,946 56
Petroquest Energy* 7,617 89
Plains Exploration & Production (C)* 1,600 72
Rentech* 31,930 100
SEACOR Holdings (C)* 1,050 103
St. Mary Land & Exploration (C) 3,700 136
Swift Energy (C)* 2,200 92
SXR Uranium One (Canada) (D)* 6,500 90
Synenco Energy, Cl A (Canada) (D)* 9,340 96
Tesoro 320 32
Tidewater (C) 2,200 129
Toreador Resources (C)* 700 13
Trico Marine Services* 345 13
Universal Compression Holdings* 885 60
USEC (C)* 11,776 191
Venoco* 4,500 80
World Fuel Services 1,490 69
-------------
3,246
-------------
FINANCIALS -- 13.7%
A.G. Edwards (C) 2,510 174
Acadia Realty Trust+ 3,400 89
Affiliated Managers Group (C)* 1,050 114
Alexandria Real Estate Equities+ 500 50
- --------------------------------------------------------------------------------
82 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
AllianceBernstein Holding 90 $ 8
American Financial Group (C) 10,774 367
American Home Mortgage
Investment+ (C) 10,280 277
AmeriCredit (C)* 3,640 83
Ameriprise Financial (C) 700 40
Amerisafe (C)* 5,942 112
Annaly Capital Management+ 13,208 204
Anthracite Capital+ 3,516 42
Anworth Mortgage Asset+ 4,490 44
Arbor Realty Trust+ (C) 1,400 43
Arch Capital Group* 1,800 123
Asset Acceptance Capital (C)* 700 11
Associated Banc 3,000 101
Assurant 2,520 135
Asta Funding (C) 300 13
Bankunited Financial, Cl A (C) 11,119 236
Banner (C) 400 17
BlackRock 310 48
Calamos Asset Management, Cl A (C) 5,530 123
Camden Property Trust+ 1,200 84
Canaccord Capital (Canada) (D) 6,600 127
CapitalSource+ 333 8
Cash America International (C) 2,793 115
CB Richard Ellis Group, Cl A* 1,672 57
Cedar Shopping Centers+ 885 14
Central Pacific Financial 2,840 104
Chicago Mercantile Exchange
Holdings, Cl A 125 67
City Bank (C) 1,425 46
CNA Financial (C)* 2,500 108
Colonial BancGroup 1,960 49
Community Bancorp (C)* 4,355 134
Community Trust Bancorp (C) 400 14
CompuCredit* 2,550 80
Corus Bankshares (C) 10,652 182
DiamondRock Hospitality+ (C) 4,600 87
Dime Community Bancshares 5,830 77
Dollar Financial (C)* 3,900 99
Downey Financial (C) 3,109 201
Duke Realty+ (C) 2,100 91
Dundee (Canada)+ (D) 2,600 89
Dundee Wealth Management
(Canada) (D) 6,800 93
Eaton Vance 5,654 201
EMC Insurance Group 935 24
Entertainment Properties Trust+ (C) 2,361 142
FelCor Lodging Trust+ (C) 4,600 119
First Cash Financial Services* 75 2
First Defiance Financial 552 16
First Industrial Realty Trust+ (C) 2,235 101
First Marblehead 639 29
FirstFed Financial (C)* 4,049 230
Forest City Enterprises, Cl A 2,485 164
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Gluskin Sheff + Associates
(Canada) (D) 4,000 $ 69
GMP Capital Trust (Canada) (D)* 2,900 54
Great Southern Bancorp 1,760 52
Grubb & Ellis Realty Advisors* 15,500 98
Hanover Insurance Group 2,860 132
HCC Insurance Holdings 1,800 55
Hersha Hospitality Trust+ 9,600 113
Highbury Financial Units* 7,600 62
Highland Hospitality+ (C) 3,700 66
Hospitality Properties Trust+ (C) 3,728 174
Housevalues (C)* 2,500 13
IndyMac Bancorp 2,200 71
IntercontinentalExchange* 70 9
Investment Technology Group (C)* 2,100 82
iStar Financial+ 1,573 74
ITLA Capital (C) 2,388 124
Jones Lang LaSalle (C) 1,564 163
Kansas City Life Insurance 1,000 45
KKR Financial+ (C) 400 11
Legg Mason 100 9
Longview Fibre+ 685 17
MAF Bancorp 225 9
Marsh & McLennan 3,290 96
Medical Properties Trust+ (C) 500 7
MFA Mortgage Investments+ 11,200 86
MGIC Investment (C) 2,060 121
Mid-State Bancshares 390 14
NASDAQ Stock Market* 3,300 97
National City 40 1
National Financial Partners 525 25
National Retail Properties+ (C) 4,500 109
Nationwide Financial Services,
Cl A (C) 3,325 179
Navigators Group* 515 26
New York Community Bancorp 14,390 253
Newcastle Investment+ (C) 4,855 135
NorthStar Realty Finance+ (C)* 9,626 146
NYSE Group* 350 33
Ocwen Financial* 4,064 52
Pacific Capital Bancorp (C) 2,140 69
Penson Worldwide (C)* 700 21
PFF Bancorp 5,140 156
Philadelphia Consolidated
Holding (C)* 1,400 62
Platinum Underwriters Holdings 2,900 93
PMI Group (C) 3,335 151
Prologis+ (C) 1,300 84
RAIT Financial Trust+ 3,563 100
Realty Income+ 1,900 54
Redwood Trust+ 880 46
Resource Capital+ (C) 2,000 32
South Financial Group 5,000 124
Southwest Bancorp 1,359 35
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 83
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Diversified Alpha Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
St. Joe 3,855 $ 202
Sterling Bancorp 135 2
SVB Financial Group (C)* 2,300 112
SWS Group 4,100 102
T. Rowe Price Group 315 15
Taylor Capital Group (C) 3,050 107
TCF Financial 3,550 94
TD Ameritrade Holding* 3,135 47
TD Banknorth 4,495 145
TierOne (C) 4,296 116
Transatlantic Holdings 175 11
Triad Guaranty (C)* 2,380 99
Trico Bancshares 425 10
UCBH Holdings 2,935 55
United Community Banks (C) 800 26
United Fire & Casualty 2,170 76
United Security Bancshares (C) 200 4
UnumProvident 1,800 41
Washington Federal 4,180 98
Washington Trust Bancorp 376 10
West Coast Bancorp (C) 300 10
Westamerica Bancorporation 1,685 81
Wilshire Bancorp (C) 700 11
Winthrop Realty Trust+ 9,700 64
World Acceptance (C)* 4,495 180
WR Berkley (C) 800 26
-------------
11,061
-------------
HEALTH CARE -- 7.2%
Abaxis* 1,100 27
Abraxis BioScience* 1,790 48
Air Methods* 535 13
Albany Molecular Research* 9,174 90
Alpharma, Cl A 370 9
American Dental Partners* 4,390 95
AMERIGROUP (C)* 5,683 173
Amsurg* 4,220 103
Amylin Pharmaceuticals* 215 8
Analogic 165 10
Applera-Applied Biosystems
Group (C) 600 18
Applera-Celera Group* 5,000 71
Apria Healthcare Group (C)* 6,692 216
Arena Pharmaceuticals* 6,400 70
Ariad Pharmaceuticals* 16,200 73
Array Biopharma* 3,900 50
Bausch & Lomb 550 28
Bio-Reference Labs* 520 13
Biogen Idec* 450 20
Biosite* 2,100 176
Bradley Pharmaceuticals (C)* 2,403 46
Centene (C)* 1,430 30
Cephalon (C)* 700 50
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Chemed 800 $ 39
Computer Programs & Systems 220 6
Conmed* 4,189 122
Corvel* 1,183 36
Cubist Pharmaceuticals (C)* 1,300 29
CV Therapeutics* 13,800 109
Cytyc (C)* 1,700 58
Dade Behring Holdings 1,150 50
Digene (C)* 500 21
Eclipsys* 990 19
Emdeon* 270 4
Encysive Pharmaceuticals* 16,400 44
Endo Pharmaceuticals Holdings (C)* 5,510 162
Enzon Pharmaceuticals (C)* 2,300 19
eResearch Technology* 2,725 21
Exelixis (C)* 11,500 114
Forest Laboratories (C)* 400 21
Genzyme* 1,915 115
Greatbatch* 410 11
Healthspring* 686 16
Human Genome Sciences* 7,200 77
Humana (C)* 1,400 81
I-Flow* 110 2
Immunomedics* 9,822 45
IMS Health 2,225 66
Incyte* 15,700 104
Inverness Medical Innovations* 795 35
Kensey Nash (C)* 600 18
Kindred Healthcare* 310 10
Kinetic Concepts (C)* 2,600 132
King Pharmaceuticals (C)* 7,706 152
Manor Care 2,300 125
Matria Healthcare* 340 9
Medcath (C)* 4,112 112
Medical Staffing Network Holdings* 9,652 61
Medicines* 2,500 63
Mentor 4,972 229
MGI Pharma (C)* 700 16
Mylan Laboratories (C) 3,400 72
Neurocrine Biosciences* 170 2
Noven Pharmaceuticals (C)* 3,472 81
Odyssey HealthCare* 8,445 111
Omnicell* 725 15
Option Care 7,000 93
Par Pharmaceutical* 440 11
PerkinElmer 5,590 135
PharmaNet Development Group (C)* 3,165 82
PolyMedica 2,700 114
Pozen (C)* 1,300 19
PRA International* 135 3
Progenics Pharmaceuticals (C)* 900 21
Quidel (C)* 3,725 45
Respironics* 60 3
Savient Pharmaceuticals* 4,439 53
- --------------------------------------------------------------------------------
84 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Sciele Pharma (C)* 6,174 $ 146
Sirona Dental Systems (C)* 1,080 37
SurModics* 60 2
Symbion* 5,100 100
Techne (C)* 500 29
Tenet Healthcare* 5,485 35
Trimeris (C)* 1,800 12
United Therapeutics (C)* 400 22
Universal Health Services, Cl B 210 12
Vertex Pharmaceuticals* 550 15
Viropharma (C)* 1,700 24
Watson Pharmaceuticals (C)* 9,429 249
WellCare Health Plans (C)* 1,674 143
West Pharmaceutical Services (C) 4,646 216
Zoll Medical* 3,088 82
-------------
5,774
-------------
INDUSTRIALS -- 12.6%
ABM Industries 1,353 36
ABX Air* 1,390 10
Aceto 5,540 44
Actuant, Cl A 585 30
Acuity Brands (C) 3,033 165
AGCO (C)* 5,142 190
Alaska Air Group* 3,545 135
Albany International, Cl A 2,974 107
Alexander & Baldwin 560 28
Alliant Techsystems* 1,307 115
Allied Waste Industries (C)* 8,800 111
Amerco* 242 17
American Commercial Lines* 4,200 132
American Reprographics* 2,339 72
American Science & Engineering (C)* 900 47
American Woodmark 1,949 72
AMR (C)* 1,745 53
AO Smith 650 25
Aries Maritime Transport 2,300 19
Armor Holdings* 1,500 101
ASV* 150 2
Atlas Air Worldwide Holdings (C)* 1,500 79
Badger Meter 335 9
Barnes Group 1,598 37
BE Aerospace* 4,049 128
Blount International* 5,400 67
Briggs & Stratton 4,970 153
Bucyrus International, Cl A 1,886 97
Builders FirstSource (C)* 4,500 72
C&D Technologies 1,200 6
Capstone Turbine* 1,650 2
Central Parking 3,705 82
Ceradyne (C)* 700 38
ChoicePoint* 370 14
Clean Harbors* 40 2
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Columbus McKinnon* 865 $ 19
Comfort Systems USA 2,375 28
COMSYS IT Partners (C)* 4,494 89
Con-way 1,150 57
Continental Airlines, Cl B (C)* 5,508 200
Corrections of America* 1,680 89
Cummins (C) 1,916 277
Curtiss-Wright 5,553 214
Deere 350 38
Deluxe 237 8
Dover (C) 2,000 98
Dun & Bradstreet 1,785 163
EDO 850 22
EMCOR Group (C)* 4,278 252
EnerSys* 260 4
Equifax 2,550 93
ESCO Technologies* 420 19
ExpressJet Holdings (C)* 17,634 103
Flint Energy Services (Canada) (D)* 4,300 93
Fluor 135 12
Force Protection* 4,500 84
Foster Wheeler* 1,786 104
Freightcar America 2,325 112
FuelCell Energy* 435 3
Gardner Denver (C)* 1,400 49
GATX 1,195 57
General Cable (C)* 1,015 54
General Electric 800 28
Genlyte Group (C)* 1,400 99
Geo Group* 485 22
Goodman Global (C)* 2,300 41
Goodrich 590 30
GrafTech International (C)* 36,414 331
Granite Construction (C) 3,395 188
Grupo Aeroportuario del Sureste ADR 2,300 109
H&E Equipment Services* 3,100 67
Harsco (C) 600 27
Heidrick & Struggles International (C)* 500 24
Herman Miller (C) 2,000 67
Honeywell International 475 22
Hudson Highland Group* 130 2
IKON Office Solutions 6,140 88
Infrasource Services* 4,624 141
Ionatron* 200 1
Jacobs Engineering Group* 3,120 146
John H. Harland 213 11
Joy Global 3,378 145
Kaman 635 15
Kforce* 560 8
Kirby* 475 17
Ladish* 560 21
Layne Christensen (C)* 700 26
Lincoln Electric Holdings 435 26
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 85
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Diversified Alpha Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Lydall* 4,879 $ 78
Manitowoc (C) 669 43
Moog, Cl A* 2,600 108
Multi-Color* 376 13
NACCO Industries, Cl A 717 99
Navistar International* 785 36
NCI Building Systems* 2,000 96
Orbital Sciences (C)* 8,068 151
Pacer International 285 8
Parker Hannifin (C) 1,200 104
Pentair 475 15
Perini (C)* 2,725 100
Plug Power* 335 1
Quanta Services* 6,900 174
Republic Services (C) 9,675 269
Robbins & Myers 2,606 97
RR Donnelley & Sons (C) 2,700 99
Ryder System (C) 1,400 69
Sequa, Cl A* 50 6
Shaw Group* 3,846 120
Simpson Manufacturing 2,900 89
SIRVA* 525 2
Spirit Aerosystems Holdings, Cl A* 4,059 129
Standard Register 2,984 38
Steelcase, Cl A (C) 7,350 146
Stericycle* 210 17
Sun Hydraulics (C) 600 16
Superior Essex* 950 33
TAL International Group 4,100 98
Teleflex (C) 2,166 147
Terex* 1,900 136
Thomas & Betts (C)* 1,400 68
Timken 1,680 51
Tredegar (C) 5,918 135
Trex* 90 2
UAL* 485 19
UAP Holding 1,440 37
United Rentals* 3,000 83
United Stationers* 2,275 136
United Technologies 650 42
Universal Forest Products (C) 300 15
URS* 3,635 155
USG* 560 26
Wabtec 3,675 127
Walter Industries 3,761 93
Washington Group International* 1,880 125
Waste Connections* 960 29
Watson Wyatt Worldwide, Cl A (C) 2,300 112
WESCO International (C)* 200 13
Williams Scotsman International (C)* 1,485 29
-------------
10,174
-------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 12.3%
24/7 Real Media (C)* 14,000 $ 112
Acxiom 215 5
Adaptec* 20,000 77
ADC Telecommunications* 4,915 82
Advanced Analogic Technologies* 1,310 9
Agere Systems* 210 5
Akamai Technologies* 1,885 94
AMIS Holdings (C)* 3,950 43
Amkor Technology (C)* 12,040 150
Andrew* 20,600 218
Arris Group (C)* 3,764 53
Arrow Electronics* 2,313 87
AsiaInfo Holdings* 3,977 27
Aspen Technology (C)* 2,700 35
Asyst Technologies* 18,450 130
Avaya (C)* 1,500 18
Avocent* 65 2
AVX (C) 4,400 67
Benchmark Electronics* 350 7
BMC Software (C)* 900 28
Brightpoint* 700 8
Broadcom, Cl A* 280 9
Brocade Communications Systems* 6,453 61
C-COR* 5,330 74
Cadence Design Systems (C)* 4,200 89
Captaris* 13,014 75
Carrier Access* 375 2
Checkfree (C)* 1,200 45
Checkpoint Systems* 2,185 52
Cirrus Logic* 3,890 30
Citrix Systems* 1,835 59
CMGI* 26,259 56
Cogent* 4,100 55
Cohu 115 2
CommScope* 2,842 122
Convergys (C)* 9,508 242
CPI International (C)* 300 6
Credence Systems* 17,920 59
Cree* 410 7
CSG Systems International (C)* 5,887 147
CTS (C) 9,764 135
Cymer* 260 11
Cypress Semiconductor* 6,857 127
Digimarc* 3,225 33
Diodes* 2,511 88
Eagle Test Systems (C)* 2,100 35
EFJ* 6,800 36
Electronic Data Systems (C) 7,165 198
Electronics for Imaging* 1,860 44
Emergis (Canada) (D)* 18,600 103
EMS Technologies* 3,314 64
Emulex (C)* 2,765 51
EPIQ Systems* 5,645 115
- --------------------------------------------------------------------------------
86 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
eSpeed, Cl A* 445 $ 4
Extreme Networks* 3,763 16
Fair Isaac (C) 3,040 118
Fidelity National Information
Services (C) 500 23
Flir Systems* 905 32
Forrester Research* 1,284 36
Genesis Microchip* 2,948 27
Greenfield Online* 3,853 61
Heartland Payment Systems 1,280 30
Hewitt Associates, Cl A* 2,685 79
Hutchinson Technology* 5,200 121
Ikanos Communications* 2,915 23
Imation 2,360 95
infoUSA (C) 1,800 17
Ingram Micro, Cl A* 1,575 30
Integrated Device Technology (C)* 1,200 19
Interdigital Communications (C)* 3,200 101
Intermec* 500 11
International Rectifier* 240 9
Interwoven* 7,703 130
Intevac (C)* 1,200 32
Itron* 575 37
JDA Software Group* 7,500 113
Juniper Networks* 4,725 93
Jupitermedia* 12,300 81
Komag (C)* 4,879 160
Kronos (C)* 400 21
Kulicke & Soffa Industries* 350 3
Lam Research (C)* 300 14
Lawson Software* 11,671 94
Lexmark International, Cl A (C)* 2,667 156
Lightbridge* 530 9
LoJack (C)* 1,600 30
LSI Logic (C)* 3,300 34
LTX* 9,745 60
Magma Design Automation* 13,989 167
Manhattan Associates (C)* 4,498 123
Mastec* 9,650 106
Mattson Technology* 235 2
MAXIMUS 2,560 88
McAfee* 1,505 44
MEMC Electronic Materials (C)* 700 42
Mentor Graphics (C)* 4,330 71
Methode Electronics 2,294 34
Mettler Toledo International (C)* 1,940 174
Microsemi* 5,300 110
MicroStrategy, Cl A* 327 41
MIPS Technologies* 8,000 71
Monolithic Power Systems* 1,625 21
MTS Systems (C) 1,200 47
Netlogic Microsystems* 170 5
Novatel* 900 33
Novellus Systems (C)* 5,938 190
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Nuance Communications* 4,800 $ 74
ON Semiconductor (C)* 10,900 97
OSI Systems* 4,515 119
Palm* 6,100 111
Parametric Technology* 4,407 84
Park Electrochemical (C) 300 8
Parkervision* 8,800 116
Paxar* 1,885 54
PC Connection* 1,273 18
Perot Systems, Cl A* 9,650 172
Photon Dynamics* 11,085 140
Photronics* 175 3
Plexus* 5,376 92
PMC - Sierra* 13,800 97
Polycom* 3,599 120
Powerwave Technologies* 2,640 15
Presstek* 445 3
RF Micro Devices (C)* 13,800 86
Sabre Holdings, Cl A 1,459 48
Salesforce.com* 250 11
Sanmina-SCI* 580 2
Seachange International* 8,000 65
Sierra Wireless* 4,000 63
Silicon Storage Technology (C)* 29,196 144
Staktek Holdings* 3,915 13
Standard Microsystems* 200 6
Sun Microsystems* 17,095 103
Sybase (C)* 9,670 245
SYNNEX* 385 8
Synopsys* 525 14
Tech Data* 1,880 67
Technitrol (C) 1,900 50
Tektronix 65 2
Teradyne* 4,828 80
TNS (C) 1,900 31
Total System Services (C) 4,838 154
TTM Technologies (C)* 2,700 26
Unisys* 1,525 13
United Online (C) 6,500 91
Varian Semiconductor Equipment
Associates (C)* 600 32
Veeco Instruments (C)* 1,785 35
VeriSign* 4,980 125
Vignette* 3,754 70
Western Digital (C)* 6,000 101
Wright Express* 2,800 85
Zoran* 3,300 56
-------------
9,926
-------------
MATERIALS -- 5.2%
Airgas 3,350 141
AK Steel Holding* 2,905 68
Albemarle (C) 6,522 270
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 87
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Diversified Alpha Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Bowater 1,335 $ 32
Buckeye Technologies (C)* 12,354 160
Cabot 1,970 94
Carpenter Technology 835 101
Celanese, Ser A (C) 2,300 71
Cleveland-Cliffs (C) 4,450 285
Commercial Metals 2,600 82
Crown Holdings* 5,083 124
Eagle Materials (C) 1,100 49
Ferro 720 16
First Quantum Minerals (Canada) (D)* 2,100 140
FMC (C) 2,815 212
Grande Cache Coal (Canada) (D)* 16,200 8
Graphic Packaging* 9,407 45
Greif, Cl A 940 104
Headwaters (C)* 4,515 99
Hercules* 5,600 109
Huntsman 930 18
Innospec 1,674 96
Koppers Holdings 820 21
Lubrizol 1,720 89
Material Sciences* 285 3
Metal Management 560 26
Neenah Paper (C) 2,750 109
NewMarket 165 7
Olympic Steel 175 5
Omnova Solutions* 235 1
Owens-Illinois* 4,885 126
Pioneer* 1,193 33
Pope & Talbot* 475 3
Quaker Chemical 135 3
Rock-Tenn, Cl A (C) 7,239 240
RTI International Metals* 75 7
Schnitzer Steel Industries, Cl A 5,687 228
Schweitzer-Mauduit International (C) 5,143 128
Sherritt International (Canada) (D) 10,100 146
Silgan Holdings 495 25
Sonoco Products 3,921 147
Spartech (C) 8,212 241
Steel Dynamics 2,400 104
Symyx Technologies* 575 10
Texas Industries (C) 625 47
Wausau Paper 760 11
Wheeling-Pittsburgh* 5,740 136
-------------
4,220
-------------
TELECOMMUNICATION SERVICES -- 1.1%
Alaska Communications Systems
Group 1,780 26
Centennial Communications* 1,340 11
CenturyTel 2,639 119
Cincinnati Bell* 370 2
Citizens Communications 7,422 111
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Consolidated Communications
Holdings 375 $ 8
CT Communications (C) 5,850 141
Dobson Communications, Cl A* 790 7
Fairpoint Communications 5,900 113
General Communication, Cl A* 2,443 34
Global Crossing* 300 8
Golden Telecom (C) 600 33
Iowa Telecommunications Services 1,360 27
Leap Wireless International* 1,460 96
Level 3 Communications* 6,935 42
NTELOS Holdings (C) 800 16
Qwest Communications International* 9,610 87
Sierra Wireless* 1,200 19
Vonage Holdings* 1,410 5
-------------
905
-------------
UTILITIES -- 3.9%
AES (C)* 1,950 42
AGL Resources (C) 6,340 271
Alliant Energy (C) 3,027 136
Atmos Energy 4,674 146
Black Hills 3,487 128
Consolidated Edison 180 9
El Paso Electric (C)* 2,700 71
Empire District Electric 1,400 35
Energen 2,380 121
Equitable Resources 1,450 70
Integrys Energy Group 1,482 82
Laclede Group 1,420 44
New Jersey Resources 2,070 104
Nicor (C) 2,200 106
Northeast Utilities 760 25
OGE Energy 2,751 107
Oneok 3,170 143
Ormat Technologies 2,600 109
PNM Resources 3,735 121
Progress Energy 1,275 64
Puget Energy (C) 5,721 147
Reliant Energy* 7,500 152
SCANA 2,470 107
Sempra Energy (C) 1,600 98
Southwest Gas (C) 2,790 108
TECO Energy 585 10
UGI 4,630 124
Unisource Energy 140 5
Vectren 4,184 120
Westar Energy (C) 5,472 150
Wisconsin Energy 3,570 173
-------------
3,128
-------------
Total Common Stock
(Cost $56,409) ($ Thousands) 58,064
-------------
- --------------------------------------------------------------------------------
88 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 13.2%
MORTGAGE RELATED SECURITIES -- 13.2%
American Home Mortgage Investment
Trust, Ser 2004-3, Cl 2A (E)
3.590%, 09/01/07 $ 340 $ 343
American Home Mortgage Investment
Trust, Ser 2005-1, Cl 4A1 (E)
4.992%, 04/01/07 144 145
American Home Mortgage Investment
Trust, Ser 2005-4, Cl 5A (E)
5.350%, 04/25/07 560 562
Bear Stearns Alternative Trust,
Ser 2004-12, Cl 2A2 (E)
4.955%, 01/25/35 392 395
Bear Stearns Asset-Backed Securities,
Ser 2007-AQ2, Cl A1 (E)
5.420%, 04/30/07 390 390
Bear Stearns Asset-Backed Securities,
Ser 2007-HE3, Cl 1A1 (E)
5.440%, 04/30/07 363 363
Carrington Mortgage Loan Trust,
Ser 2007-FRE1, Cl A1
5.440%, 04/25/37 401 401
Countrywide Asset-Backed Certificates,
Ser 2007-BC1, Cl M1 (E)
5.570%, 04/30/07 400 398
Countrywide Home Loans,
Ser 2007-HYB1, Cl 1A1 (E)
5.616%, 03/25/37 490 492
Credit-Based Asset Servicing,
Ser 2007-CB3, Cl A1 (F)
5.766%, 04/25/37 415 415
First Franklin Mortgage Loan Asset,
Ser 2006-FF12, Cl A2 (E)
5.360%, 04/25/07 238 238
GMAC Mortgage Loan Trust,
Ser 2007-HE1, Cl A2 (E)
5.621%, 08/25/37 216 217
GSAMP Trust, Ser 2007-HE2, Cl A2A
0.000%, 04/25/37 414 414
IMPAC Secured Assets CMO Owners
Trust, Ser 2007-1, Cl A1 (E)
5.380%, 04/25/07 1,016 1,016
IMPAC Secured Assets, Ser 2007-2,
Cl 1A1A (E)
5.430%, 04/25/37 417 417
Indymac Residential Asset-Backed Trust,
Ser 2007-A, Cl 2A1 (E)
5.450%, 04/12/07 400 400
Lehman XS Trust, Ser 2007-4N,
Cl 1A1 (E)
5.450%, 04/25/37 417 417
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Merrill Lynch Mortgage Investors,
Ser 2005-A4, Cl 1A (E)
4.762%, 04/01/07 $ 283 $ 285
Merrill Lynch Mortgage Investors,
Ser 2007-HE2, Cl A2A (E)
5.440%, 04/30/07 406 406
Novastar Home Equity Loan, Ser 2007-1,
Cl A2A (E)
5.420%, 04/30/07 424 424
Renaissance Home Equity Loan Trust,
Ser 2007-1, Cl AV1 (E)
5.450%, 04/29/07 406 406
Residential Asset Mortgage Products,
Ser 2007-RS1, Cl A1 (E)
5.430%, 04/09/07 356 356
Residential Asset Securities,
Ser 2007-KS3, Cl A1A (E)
5.430%, 02/25/30 418 418
Residential Funding Mortgage Securities,
Ser 2007-HI1, Cl A1 (E)
5.450%, 03/25/37 418 418
Securitized Asset-Backed Receivables
LLC, Ser 2007-HE1, Cl M1 (E)
5.570%, 04/30/07 500 497
Wamu Mortgage Pass-Through
Certificates, Ser 2007-HY4, Cl 1A1 (E)
5.575%, 04/01/07 400 400
-------------
Total Asset-Backed Securities
(Cost $10,624) ($ Thousands) 10,633
-------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
OBLIGATIONS -- 11.4%
FHLMC
6.000%, 02/01/22 2,908 2,957
FNMA TBA
6.500%, 04/30/37 3,000 3,060
6.000%, 04/30/20 2,000 2,032
5.500%, 04/30/35 800 791
GNMA
3.000%, 04/20/35 393 392
-------------
Total U.S. Government Agency
Mortgage-Backed Obligations
(Cost $9,227) ($ Thousands) 9,232
-------------
COMMERCIAL PAPER (B) -- 5.6%
FINANCIALS -- 5.6%
American General Finance
5.261%, 04/09/07 900 899
General Electric Capital
5.252%, 04/10/07 900 899
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 89
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Diversified Alpha Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
HSBC Finance
5.268%, 04/09/07 $ 900 $ 899
LaSalle Bank
5.242%, 04/05/07 900 899
Rabobank USA Finance
5.290%, 04/04/07 900 900
-------------
Total Commercial Paper
(Cost $4,496) ($ Thousands) 4,496
-------------
CORPORATE OBLIGATIONS --1.8%
CONSUMER DISCRETIONARY -- 0.3%
COX Communications
4.625%, 06/01/13 65 62
Comcast
5.300%, 01/15/14 80 79
Time Warner
6.875%, 05/01/12 70 75
-------------
216
-------------
ENERGY -- 0.1%
Kinder Morgan Energy Partners
5.000%, 12/15/13 65 63
-------------
FINANCIALS -- 1.2%
Bear Stearns
5.350%, 02/01/12 60 60
CIT Group
5.000%, 02/13/14 85 83
Household Finance
6.375%, 10/15/11 70 73
JPMorgan Chase
5.125%, 09/15/14 65 64
Lehman Brothers Holdings MTN
5.250%, 02/06/12 65 65
Merrill Lynch
6.050%, 05/16/16 100 102
Morgan Stanley MTN, Ser G
5.660%, 04/04/07 100 100
Residential Capital
6.500%, 04/17/13 195 193
Wachovia
4.875%, 02/15/14 165 160
istar Financial, Ser 1
5.875%, 03/15/16 45 45
-------------
945
-------------
HEALTH CARE -- 0.1%
Teva Pharmaceutical Finance LLC
5.550%, 02/01/16 65 64
Wellpoint
6.800%, 08/01/12 45 48
-------------
112
-------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES -- 0.0%
Vodafone Group PLC
5.350%, 02/27/12 $ 15 $ 15
-------------
UTILITIES -- 0.1%
Exelon Generation
6.950%, 06/15/11 70 73
-------------
Total Corporate Obligations
(Cost $1,426) ($ Thousands) 1,424
-------------
U.S. GOVERNMENT AGENCY OBLIGATIONS --1.5%
FHLMC CMO STRIPS,
Ser 232, Cl IO, IO
5.000%, 08/01/35 1,038 244
FNMA CMO STRIPS, Ser 360, Cl 2, IO
5.000%, 08/01/35 176 41
FNMA (G)
5.204%, 06/27/07 900 889
-------------
Total U.S. Government Agency Obligations
(Cost $1,165) ($ Thousands) 1,174
-------------
CASH EQUIVALENT -- 8.3%
SEI Daily Income Trust
Prime Obligation Fund,
Cl A, 5.180%**++ 6,723,751 6,724
-------------
Total Cash Equivalent
(Cost $6,724) ($ Thousands) 6,724
-------------
U.S. TREASURY OBLIGATION (A) (B) -- 0.2%
U.S. Treasury Bill
5.115%, 05/24/07 200 198
-------------
Total U.S. Treasury Obligation
(Cost $198) ($ Thousands) 198
-------------
Total Investments -- 113.9%
(Cost $90,269) ($ Thousands) $ 91,945
=============
COMMON STOCK SOLD SHORT -- (5.8)%
CONSUMER DISCRETIONARY -- (1.8)%
Audiovox, Cl A* (600) (9)
Beazer Homes USA (1,300) (38)
Callaway Golf (2,400) (38)
Centex (1,200) (50)
Century Casinos* (11,646) (96)
Churchill Downs (400) (18)
Cosi* (3,633) (20)
Directed Electronics* (10,417) (93)
Fleetwood Enterprises (5,600) (44)
Guitar Center* (400) (18)
H&R Block (4,300) (90)
Lakes Entertainment* (10,083) (112)
Levitt, Cl A (10,256) (95)
Lifetime Brands (4,017) (84)
- --------------------------------------------------------------------------------
90 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
M/I Homes (3,300) $ (88)
MarineMax* (1,134) (26)
Pier 1 Imports (4,800) (33)
Progressive Gaming International* (2,400) (11)
Pulte Homes (1,800) (48)
Ruth's Chris Steak House* (4,838) (99)
Scientific Games, Cl A* (1,300) (43)
Stamps.com* (4,133) (59)
Standard-Pacific (4,200) (88)
Tivo* (5,982) (38)
Toll Brothers* (1,800) (49)
Visteon (5,700) (49)
Zale* (2,000) (53)
-------------
(1,489)
-------------
CONSUMER STAPLES -- (0.3)%
Darling International* (9,108) (59)
Green Mountain Coffee Roasters* (200) (13)
Medifast* (15,083) (108)
Pilgrim's Pride (1,700) (56)
-------------
(236)
-------------
ENERGY -- (0.4)%
Crosstex Energy (1,700) (49)
Murphy Oil (1,300) (69)
Universal Compression Holdings* (1,400) (95)
Warren Resources* (5,200) (68)
World Fuel Services (500) (23)
-------------
(304)
-------------
FINANCIALS -- (0.7)%
Baldwin & Lyons, Cl B (373) (9)
Capitol Federal Financial (400) (15)
Cardinal Financial (5,385) (54)
Cincinnati Financial (200) (9)
Kilroy Realty+ (600) (44)
Plum Creek Timber+ (2,600) (103)
PMA Capital, Cl A (9,140) (86)
Post Properties+ (700) (32)
Thomas Weisel Partners Group* (1,600) (30)
Westfield Financial (7,800) (84)
Yardville National Bancorp (1,312) (48)
-------------
(514)
-------------
HEALTH CARE -- (0.4)%
Advanced Magnetics* (100) (6)
Akorn* (1,600) (11)
Auxilium Pharmaceuticals* (800) (12)
Cadence Pharmaceuticals* (400) (6)
Cerus* (1,100) (7)
Dexcom* (982) (8)
Five Star Quality Care* (3,584) (37)
I-Flow* (1,400) (20)
NxStage Medical* (1,400) (19)
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
OraSure Technologies* (4,895) $ (36)
Pharmion* (2,000) (52)
Providence Service* (500) (12)
Spectranetics* (9,118) (98)
Stereotaxis* (300) (3)
Volcano* (1,000) (18)
-------------
(345)
-------------
INDUSTRIALS -- (0.2)%
Albany International, Cl A (700) (25)
Flanders* (1,500) (11)
Innovative Solutions & Support* (1,863) (47)
Mesa Air Group* (4,600) (35)
Raven Industries (364) (10)
Tecumseh Products, Cl A (700) (7)
-------------
(135)
-------------
INFORMATION TECHNOLOGY -- (1.1)%
Concour Technologies* (5,897) (103)
Echelon* (12,408) (131)
EPIQ Systems* (900) (18)
Exar* (2,600) (34)
InterVoice* (8,410) (56)
Liquidity Services* (1,500) (25)
MAXIMUS (1,600) (55)
Measurement Specialties* (3,087) (70)
Neoware* (400) (4)
Netlogic Microsystems* (1,514) (40)
Online Resources* (9,786) (112)
Radiant Systems* (8,040) (105)
Ultratech* (4,627) (63)
X-Rite (7,998) (104)
-------------
(920)
-------------
MATERIALS -- (0.2)%
Caraustar Industries (1,400) (9)
Glatfelter (2,881) (43)
Louisiana-Pacific (4,600) (92)
Schulman (1,300) (31)
-------------
(175)
-------------
UTILITIES -- (0.7)%
American States Water (1,554) (57)
California Water Service Group (2,365) (91)
EnergySouth (2,422) (101)
Integrys Energy Group (900) (50)
ITC Holdings (1,400) (61)
Olympic Steel (3,204) (99)
SJW (2,291) (93)
-------------
(552)
-------------
Total Common Stock Sold Short
(Proceeds $(4,645)) ($ Thousands) $ (4,670)
-------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 91
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Diversified Alpha Fund (Concluded)
March 31, 2007
Futures -- A summary of the open futures contracts held by the Fund at March 31,
2007, 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) Mar-2008 $ --
90-Day Euro$ (1) Mar-2009 --
90-Day Euro$ (1) Mar-2010 --
90-Day Euro$ (1) Mar-2011 --
90-Day Euro$ (1) Mar-2012 --
90-Day Euro$ 4 Jun-2007 1
90-Day Euro$ 4 Jun-2008 4
90-Day Euro$ (1) Jun-2009 --
90-Day Euro$ (1) Jun-2010 --
90-Day Euro$ (1) Jun-2011 --
90-Day Euro$ (1) Sep-2007 --
90-Day Euro$ (1) Sep-2008 --
90-Day Euro$ (1) Sep-2009 --
90-Day Euro$ (1) Sep-2010 --
90-Day Euro$ (1) Sep-2011 --
90-Day Euro$ (11) Dec-2007 (6)
90-Day Euro$ (1) Dec-2008 --
90-Day Euro$ (1) Dec-2009 --
90-Day Euro$ (1) Dec-2010 --
90-Day Euro$ (1) Dec-2011 --
Russell 2000 Index E-MINI 156 Jun-2007 458
S&P 400 Index E-MINI 157 Jun-2007 389
U.S. 5-Year Note (8) Jun-2007 (4)
U.S. 10-Year Note 2 Jun-2007 --
U.S. Long Treasury Bond Jun-2007 --
--------
$ 842
========
Swaps -- At March 31, 2007, the following Total Return Swap agreements were
outstanding (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
NET
NOTIONAL UNREALIZED
EXPIRATION AMOUNT DEPRECIATION
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
The Fund receives payment on the
monthly reset spread from Lehman
Brothers-CMBS AAA 8.5+ Index plus
5 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) 06/30/07 $ 8,000 $ (5)
The Fund receives payment on the
monthly reset spread from Lehman
Brothers-CMBS AAA 8.5+ Index plus
35 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: Goldman Sachs) 09/01/07 4,000 (3)
--------
$ (8)
========
Swaps -- At March 31, 2007, the following Credit Default Swap agreements were
outstanding (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
NET
NOTIONAL UNREALIZED
EXPIRATION AMOUNT DEPRECIATION
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Fund receives a monthly payment of
0.44% (5.28% per annum) times
notional amount of the ABX. HE.A
06-2 Index. Upon a defined credit
event the Fund pays notional amount
and takes receipt of the defined
deliverable obligation.
(Counterparty: Bank of America) 05/24/46 $ (3,000) $ (162)
Fund receives a monthly payment of
0.64% (7.68% per annum) times
notional amount of the ABX. HE.A
06-2 Index. Upon a defined credit
event the Fund pays notional amount
and takes receipt of the defined
deliverable obligation.
(Counterparty: JPMorgan Chase) 08/25/37 (500) (8)
--------
$ (170)
========
Percentages are based on Net Assets of $80,731 ($ Thousands).
* Non-Income Producing Security.
** Rate shown is the 7-day effective yield as of March 31, 2007.
+ Real Estate Investment Trust.
++ Investment in Affiliated Registered Investment Company (see Note 3).
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(B) The rate reported is the effective yield at time of purchase.
(C) All or a portion of this security has been pledged as collateral for
securities sold short. The total value of collateral for securities sold
short at March 31, 2007 was $20,189 ($ Thousands).
(D) This security is traded on a foreign stock exchange. The total value of
such securities as of March 31, 2007 was $1,260 ($ Thousands) and
represented 1.56% of Net Assets.
(E) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of March 31, 2007. The date reported on the
Schedule of Investments is the next reset date.
(F) Step Bonds -- The rate reflected on the Schedule of Investments is the
effective yield on March 31, 2007. The coupon on a step bond changes on a
specified date.
(G) Zero Coupon Bond -- The rate shown is the effective yield at the date of
purchase.
ADR -- American Depositary Receipt
Cl -- Class
CMO -- Collateralized Mortgage Obligation
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
IO -- Interest Only
LLC -- Limited Liability Company
MTN -- Medium Term Note
PLC -- Public Limited Company
Ser -- Series
STRIPS -- Separately Traded Registered Interest and Principal Securities
TBA -- To Be Announced
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
92 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
Mid-Cap Fund
March 31, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS#:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Financials 19.4%
Information Technology 16.3%
Industrials 13.8%
Consumer Discretionary 12.5%
Health Care 8.9%
Utilities 6.7%
Consumer Staples 6.5%
Materials 6.4%
Energy 5.8%
Short-Term Investments 2.6%
Telecommunication Services 1.0%
U.S. Treasury Obligation 0.1%
Asset-Backed Securities 0.0%
# Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 7).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 97.4%
CONSUMER DISCRETIONARY -- 12.6%
American Eagle Outfitters 65,400 $ 1,961
Brinker International 39,000 1,275
Dick's Sporting Goods* 24,000 1,398
Dollar Tree Stores* 66,700 2,551
EchoStar Communications, Cl A* 51,200 2,224
J.C. Penney 3,100 255
Mattel 97,300 2,683
Meredith 34,700 1,991
MGM Mirage* 16,100 1,119
Nordstrom 23,900 1,265
NVR* 2,900 1,928
Office Depot* 39,300 1,381
OfficeMax 43,400 2,289
PetSmart 10,700 353
Ross Stores 29,900 1,029
--------------
23,702
--------------
CONSUMER STAPLES -- 6.5%
Campbell Soup 60,900 2,372
ConAgra Foods 24,800 618
Estee Lauder, Cl A 51,500 2,516
Kroger 110,500 3,121
Molson Coors Brewing, Cl B 26,800 2,536
Safeway 31,800 1,165
--------------
12,328
--------------
ENERGY -- 5.9%
El Paso 62,200 900
Holly 40,600 2,408
Plains Exploration & Production* 24,200 1,092
SEACOR Holdings* 21,700 2,135
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
St. Mary Land & Exploration 57,200 $ 2,098
Tidewater 40,900 2,396
--------------
11,029
--------------
FINANCIALS -- 19.3%
Affiliated Managers Group* 18,800 2,037
American Financial Group 58,550 1,993
AmeriCredit* 18,400 421
Ameriprise Financial 43,000 2,457
Annaly Capital Management+ 61,000 944
Bank of Hawaii 38,000 2,015
CapitalSource+ 44,100 1,108
CB Richard Ellis Group, Cl A* 61,400 2,099
CNA Financial* 47,200 2,034
Comerica 23,400 1,384
Cullen/Frost Bankers 30,100 1,575
Duke Realty+ 47,000 2,043
First Marblehead 18,800 844
Hospitality Properties Trust+ 39,300 1,839
Investment Technology Group* 49,500 1,940
iStar Financial+ 44,400 2,079
Jones Lang LaSalle 19,900 2,075
Nationwide Financial Services, Cl A 37,800 2,036
Philadelphia Consolidated Holding* 26,700 1,175
Prologis+ 8,700 565
Synovus Financial 29,100 941
Thornburg Mortgage+ 75,100 1,953
WR Berkley 27,850 922
--------------
36,479
--------------
HEALTH CARE -- 8.9%
AmerisourceBergen 3,100 164
Applera - Applied Biosystems Group 20,700 612
Celgene* 21,300 1,117
Cephalon (B)* 8,100 577
Cytyc* 74,200 2,538
Dade Behring Holdings 18,600 816
Endo Pharmaceuticals Holdings* 18,300 538
Forest Laboratories* 21,600 1,111
Humana* 42,500 2,466
Kinetic Concepts* 46,500 2,355
King Pharmaceuticals* 57,700 1,135
Manor Care 5,500 299
Mylan Laboratories 90,300 1,909
Techne* 7,500 428
WellCare Health Plans* 9,600 818
--------------
16,883
--------------
INDUSTRIALS -- 13.8%
Allied Waste Industries* 99,500 1,253
American Standard 11,800 626
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 93
SCHEDULE OF INVESTMENTS (Unaudited)
Mid-Cap Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
AMR* 13,300 $ 405
Armor Holdings* 5,100 343
Continental Airlines, Cl B* 41,000 1,492
CSX 24,400 977
Cummins 16,600 2,402
Eaton 23,100 1,930
Gardner Denver* 56,200 1,959
Harsco 51,800 2,324
L-3 Communications Holdings 1,700 149
Manitowoc 6,900 438
Paccar 40,100 2,943
Parker Hannifin 26,900 2,322
Republic Services 38,400 1,068
RR Donnelley & Sons 60,200 2,203
Ryder System 30,900 1,525
Terex* 14,500 1,041
WESCO International* 11,600 728
--------------
26,128
--------------
INFORMATION TECHNOLOGY -- 16.3%
Alliance Data Systems* 19,600 1,208
Amphenol, Cl A 12,800 827
Avaya* 38,100 450
Avnet* 3,500 126
AVX 36,800 559
BMC Software* 49,700 1,530
Cadence Design Systems (B)* 104,500 2,201
Checkfree* 6,800 252
Computer Sciences* 12,400 646
Convergys* 51,000 1,296
Electronic Data Systems 97,900 2,710
Fair Isaac 51,900 2,008
Fidelity National Information Services 1,800 82
Harris 23,400 1,192
Integrated Device Technology* 15,300 236
Lam Research* 43,700 2,069
Lexmark International, Cl A* 35,400 2,069
MEMC Electronic Materials* 47,300 2,865
Mettler Toledo International* 22,700 2,033
Novellus Systems* 64,600 2,069
Nvidia* 23,800 685
Synopsys* 19,100 501
Western Digital* 111,900 1,881
Xerox* 76,900 1,299
--------------
30,794
--------------
MATERIALS -- 6.4%
Air Products & Chemicals 3,500 259
Airgas 4,400 185
Albemarle 55,200 2,282
Celanese, Ser A 70,200 2,165
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Crown Holdings* 8,500 $ 208
Eagle Materials 5,600 250
FMC 25,200 1,901
Lyondell Chemical 16,500 494
Pactiv* 14,900 503
Sonoco Products 44,400 1,669
United States Steel 21,400 2,122
--------------
12,038
--------------
TELECOMMUNICATION SERVICES -- 1.0%
CenturyTel 12,200 551
US Cellular* 17,900 1,315
--------------
1,866
--------------
UTILITIES -- 6.7%
AES* 97,200 2,092
Alliant Energy 27,500 1,232
CMS Energy 16,100 287
Energy East 21,900 533
Great Plains Energy 26,800 870
Pepco Holdings 72,500 2,104
PG&E 55,300 2,669
Sempra Energy 42,200 2,575
Xcel Energy 13,300 328
--------------
12,690
--------------
Total Common Stock
(Cost $163,298) ($ Thousands) 183,937
--------------
CORPORATE OBLIGATIONS (C) (E) -- 0.1%
FINANCIALS -- 0.1%
American General Finance (F)
5.370%, 04/16/07 $ 9 9
Bear Stearns EXL
5.360%, 04/16/07 12 12
Countrywide Financial MTN
5.428%, 06/27/07 4 4
Countrywide Financial MTN, Ser A
5.440%, 05/07/07 10 10
Irish Life & Permanent MTN, Ser X (F)
5.360%, 04/23/07 9 9
Islandsbanki (F)
5.369%, 04/09/07 10 10
Jackson National Life Funding (F)
5.320%, 04/02/07 14 14
Morgan Stanley EXL
5.380%, 04/04/07 2 2
Morgan Stanley EXL, Ser S
5.340%, 04/03/07 3 3
- --------------------------------------------------------------------------------
94 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Nationwide Building Society (F)
5.410%, 06/28/07 $ 4 $ 4
5.349%, 04/09/07 7 7
Northern Rock (F)
5.360%, 04/03/07 7 7
Premium Asset Trust, Ser 2004-10 (F)
5.380%, 04/16/07 9 9
SLM EXL, Ser S (F)
5.320%, 04/16/07 7 7
Skandinav Enskilda Bank (F)
5.320%, 04/18/07 7 7
Stanfield Victoria LLC MTN (F)
5.445%, 06/11/07 6 6
--------------
Total Corporate Obligations
(Cost $120) ($ Thousands) 120
--------------
COMMERCIAL PAPER (C) (D) -- 0.1%
FINANCIALS -- 0.1%
Adirondack, Ser 2005-2
5.319%, 04/24/07 6 6
Brahms Funding
5.314%, 05/14/07 8 8
5.313%, 04/16/07 6 6
Buckingham CDO I LLC
5.320%, 04/25/07 6 6
Buckingham CDO II LLC
5.318%, 04/23/07 7 7
Buckingham CDO III LLC
5.320%, 04/26/07 7 7
Citius I Funding
5.320%, 04/26/07 3 3
Citius II Funding LLC
5.292%, 04/02/07 6 7
Davis Square Funding
5.310%, 04/13/07 14 14
Elysian Funding LLC
5.353%, 04/23/07 2 2
Georgetown Funding
5.316%, 04/20/07 16 16
KKR Pacific Funding Trust
5.341%, 04/27/07 6 6
Mica Funding LLC
5.316%, 04/20/07 7 7
5.313%, 04/16/07 3 3
5.310%, 04/19/07 2 2
5.294%, 04/05/07 7 7
Rhineland Funding Capital
5.354%, 04/30/07 1 1
5.332%, 06/06/07 2 2
5.315%, 05/15/07 7 7
5.314%, 05/14/07 3 3
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
Thornburg Mortgage Capital Resource
5.313%, 04/16/07 $ 2 $ 2
5.310%, 04/13/07 2 2
5.309%, 04/12/07 3 3
5.298%, 04/10/07 6 6
Valour Bay Capital LLC
5.326%, 05/16/07 8 8
5.324%, 04/18/07 3 3
5.319%, 04/12/07 3 3
Zane Funding
5.369%, 04/24/07 6 6
--------------
Total Commercial Paper
(Cost $153) ($ Thousands) 153
--------------
ASSET-BACKED SECURITIES (C) (E) (F) -- 0.0%
MORTGAGE RELATED SECURITIES -- 0.0%
Duke Funding, Ser 2004-6B, Cl A1S1
5.430%, 04/09/07 5 5
Newcastle CDO, Ser 2005-6A, Cl IM1
5.340%, 04/24/07 1 1
--------------
Total Asset-Backed Securities
(Cost $6) ($ Thousands) 6
--------------
CASH EQUIVALENTS**++ -- 2.6%
SEI Daily Income Trust
Prime Obligation Fund,
Cl A, 5.180% 4,830,219 4,830
SEI Liquidity Fund LP,
5.220% (C) 45,441 45
--------------
Total Cash Equivalents
(Cost $4,875) ($ Thousands) 4,875
--------------
MASTER NOTE (C) (D)-- 0.0%
Bear Stearns
5.558%, 03/31/07 2 2
--------------
Total Master Note
(Cost $2) ($ Thousands) 2
--------------
CERTIFICATES OF DEPOSIT (C) -- 0.0%
Barclays Bank (E) (F)
5.440%, 06/11/07 3 3
CC USA MTN (F)
5.520%, 06/18/07 7 7
Thornburg Mortgage Capital Resource
5.309%, 04/11/07 1 1
--------------
Total Certificates of Deposit
(Cost $11) ($ Thousands) 11
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 95
SCHEDULE OF INVESTMENTS (Unaudited)
Mid-Cap Fund (Concluded)
March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATION (A) (D) -- 0.1%
U.S. Treasury Bill
5.027%, 06/14/07 $ 200 $ 198
--------------
Total U.S. Treasury Obligation
(Cost $198) ($ Thousands) 198
--------------
REPURCHASE AGREEMENTS (C) (G) -- 0.0%
Barclays
5.340%, dated 03/30/07, to be
repurchased on 04/02/07,
repurchase price $3,103
(collateralized by a U.S.
Government Obligation, par
value $3,078, 5.600%,
10/17/13; with total market
value $3,163) 3 3
Deutsche Bank
5.350%, dated 03/30/07, to be
repurchased on 04/02/07,
repurchase price $26,936
(collateralized by various
U.S. Government Obligations,
ranging in par value $178-
$9,876, 0.000%-6.110%,
05/16/07-10/15/19; with total
market value $27,463) 27 27
Lehman Brothers
5.350%, dated 03/30/07, to be
repurchased on 04/02/07,
repurchase price $38,967
(collateralized by various
U.S. Government Obligations,
ranging in par value $2,819-
$4,749, 2.625%-10.351%,
05/15/07-08/03/18; with total
market value $39,729) 39 39
--------------
Total Repurchase Agreements
(Cost $69) ($ Thousands) 69
--------------
Total Investments -- 100.3%
(Cost $168,732) ($ Thousands) $189,371
==============
Futures -- A summary of the open futures contracts held by the Fund at March 31,
2007, is as follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
TYPE OF NUMBER OF EXPIRATION APPRECIATION
CONTRACT CONTRACTS DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
S&P 400 Index E-MINI 55 Jun-2007 $ 104
=============
Percentages are based on Net Assets of $188,871 ($ Thousands).
* Non-Income Producing Security.
** Rate shown is the 7-day effective yield as of March 31, 2007.
+ Real Estate Investment Trust.
++ Investment in Affiliated Registered Investment Company (see Note 3).
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(B) This security or a partial position of this security is on loan at March
31, 2007 (see Note 7). The total value of securities on loan at March 31,
2007 was $389 ($ 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 March 31, 2007
was $405 ($ 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 March 31, 2007. The date reported on the
Schedule of Investments is the next reset date.
(F) Securities sold within terms of a private placement memorandum, exempt
from registration under Section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors." 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
LP -- Limited Partnership
MTN -- Medium Term Note
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
96 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
U.S. Managed Volatility Fund
March 31, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS#:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Consumer Staples 15.1%
Financials 14.1%
Utilities 12.9%
Health Care 10.9%
Industrials 9.7%
Short-Term Investments 8.5%
Information Technology 7.2%
Consumer Discretionary 7.0%
Telecommunication Services 6.1%
Energy 4.3%
Materials 3.8%
U.S. Treasury Obligation 0.4%
# Percentages based on total investments.
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 90.2%
CONSUMER DISCRETIONARY -- 6.9%
Autoliv 29,300 $ 1,673
Belo, Cl A 16,100 301
Choice Hotels International 28,600 1,013
Dillard's, Cl A 40,200 1,316
DIRECTV Group* 80,600 1,859
Eastman Kodak 51,700 1,166
Gildan Activewear* 10,700 630
Harte-Hanks 28,900 797
Hearst-Argyle Television 8,648 235
International Speedway, Cl A 26,900 1,391
ITT Educational Services* 16,200 1,320
J.C. Penney 16,300 1,339
Jarden* 41,900 1,605
Lamar Advertising, Cl A* 21,600 1,360
Pacific Sunwear of California* 24,700 515
Panera Bread, Cl A* 8,400 496
Polaris Industries 13,300 638
Sears Holdings* 12,413 2,236
Shaw Communications, Cl B 48,800 1,802
TRW Automotive Holdings* 49,200 1,713
Washington Post, Cl B 6,266 4,784
Weight Watchers International 29,200 1,346
Yum! Brands 12,300 711
--------------
30,246
--------------
CONSUMER STAPLES -- 15.0%
Anheuser-Busch 26,300 1,327
Brown-Forman, Cl B 58,668 3,846
Campbell Soup 25,516 994
Church & Dwight 33,100 1,666
Clorox 75,730 4,823
Coca-Cola Enterprises 85,799 1,737
Corn Products International 73,999 2,634
Dean Foods* 102,924 4,811
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
General Mills 119,303 $ 6,946
Hershey 29,100 1,591
HJ Heinz 14,100 664
Hormel Foods 167,162 6,217
JM Smucker 20,900 1,114
Kellogg 131,593 6,768
Kimberly-Clark 70,553 4,832
Loews - Carolina 66,073 4,996
McCormick 122,162 4,706
Pepsi Bottling Group 64,372 2,053
PepsiAmericas 78,783 1,758
Reynolds American 9,081 567
WM Wrigley Jr. 30,300 1,543
--------------
65,593
--------------
ENERGY -- 4.2%
Chevron 30,200 2,234
Enbridge 37,300 1,218
Exxon Mobil 25,700 1,939
Holly 28,300 1,678
Imperial Oil 44,700 1,659
Kinder Morgan 44,928 4,783
Nexen 27,400 1,680
Teekay Shipping 32,000 1,731
TransCanada 46,800 1,557
--------------
18,479
--------------
FINANCIALS -- 14.0%
Alleghany* 5,263 1,966
American Financial Group 64,200 2,185
American National Insurance 6,622 847
Assurant 46,215 2,479
Bancorpsouth 34,700 848
BOK Financial 47,596 2,357
Brookfield Asset Management, Cl A 35,600 1,860
CNA Financial* 114,765 4,945
Commerce Bancshares 77,428 3,741
Credicorp 26,300 1,282
East West Bancorp 32,400 1,191
Erie Indemnity, Cl A 32,200 1,699
Federated Investors, Cl B 45,700 1,678
First Citizens BancShares, Cl A 9,756 1,961
Fulton Financial 95,300 1,385
Jones Lang LaSalle 11,200 1,168
Loews 101,887 4,629
Markel* 9,488 4,600
Mercury General 42,550 2,257
PMI Group 28,700 1,298
Reinsurance Group of America 19,587 1,131
RenaissanceRe Holdings 29,800 1,494
Safeco 72,928 4,845
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 97
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Managed Volatility Fund (Concluded)
March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Stancorp Financial Group 27,200 $ 1,337
Student Loan 1,647 306
Transatlantic Holdings 26,885 1,751
Unitrin 2,165 102
Valley National Bancorp 63,900 1,614
Webster Financial 52,071 2,500
Wesco Financial 1,485 683
Whitney Holding 33,900 1,037
Zions Bancorporation 1,126 95
--------------
61,271
--------------
HEALTH CARE -- 10.8%
Alcon 13,900 1,832
AmerisourceBergen 28,100 1,482
Cardinal Health 13,871 1,012
Celgene* 18,200 955
Charles River Laboratories International* 35,700 1,651
Community Health Systems* 28,857 1,017
Coventry Health Care* 31,400 1,760
Dentsply International 45,200 1,480
Edwards Lifesciences* 22,700 1,151
Endo Pharmaceuticals Holdings* 43,500 1,279
Genentech* 9,800 805
Health Net* 1,831 99
Henry Schein* 81,653 4,506
Hillenbrand Industries 78,490 4,660
Idexx Laboratories* 4,400 386
ImClone Systems* 31,400 1,280
Johnson & Johnson 9,474 571
King Pharmaceuticals* 83,300 1,639
Laboratory of America Holdings* 28,684 2,083
McKesson 83,522 4,889
Merck 6,900 305
Patterson* 39,700 1,409
Quest Diagnostics 4,200 209
Schering-Plough 61,500 1,569
Techne* 22,600 1,290
VCA Antech* 29,900 1,086
WellPoint* 59,518 4,827
Wyeth 38,800 1,941
--------------
47,173
--------------
INDUSTRIALS -- 9.6%
Alexander & Baldwin 8,700 439
Alliant Techsystems* 44,884 3,946
Amerco* 6,200 434
C.H. Robinson Worldwide 36,700 1,752
Carlisle 46,650 2,003
Dun & Bradstreet 53,824 4,909
GATX 27,500 1,314
General Cable* 28,800 1,539
Granite Construction 19,900 1,100
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Harsco 34,800 $ 1,561
JetBlue Airways* 88,700 1,021
Landstar System 29,900 1,371
Lennox International 18,600 664
Lincoln Electric Holdings 22,800 1,358
Lockheed Martin 4,145 402
Northrop Grumman 43,657 3,240
Pitney Bowes 81,437 3,696
Republic Services 44,032 1,225
Robert Half International 37,400 1,384
RR Donnelley & Sons 92,747 3,394
Stericycle* 21,194 1,727
Union Pacific 15,900 1,615
UTI Worldwide 18,900 465
Waste Management 41,038 1,412
--------------
41,971
--------------
INFORMATION TECHNOLOGY -- 7.1%
Acxiom 39,800 851
Adtran 20,900 509
Affiliated Computer Services, Cl A* 30,700 1,808
CommScope* 36,300 1,557
Computer Sciences* 5,830 304
Diebold 27,900 1,331
Factset Research Systems 20,100 1,263
Fair Isaac 28,500 1,102
Flir Systems* 36,600 1,306
Harris 32,000 1,630
Hewitt Associates, Cl A* 50,000 1,462
Hyperion Solutions* 32,700 1,695
Ingram Micro, Cl A* 265,304 5,123
International Business Machines 7,631 719
Lexmark International, Cl A* 16,600 970
MoneyGram International 33,800 938
Qualcomm 12,000 512
Silicon Laboratories* 17,800 533
Sybase* 44,700 1,130
Tech Data* 96,698 3,463
Total System Services 49,100 1,564
Zebra Technologies, Cl A* 35,400 1,367
--------------
31,137
--------------
MATERIALS -- 3.8%
Agrium 30,900 1,184
Bemis 34,100 1,139
Cameco 43,900 1,797
Eagle Materials 19,400 866
Greif, Cl A 12,400 1,378
Martin Marietta Materials 12,000 1,622
Methanex 45,900 1,025
Nova Chemicals 46,800 1,449
Packaging of America 59,500 1,452
Pactiv* 37,400 1,262
- --------------------------------------------------------------------------------
98 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Steel Dynamics 37,900 $ 1,637
Titanium Metals* 1,639 59
Valhi 3,432 45
Vulcan Materials 15,100 1,759
--------------
16,674
--------------
TELECOMMUNICATION SERVICES -- 6.0%
AT&T 48,892 1,928
CenturyTel 32,500 1,469
Embarq 83,529 4,707
Leap Wireless International* 24,610 1,624
Sprint Nextel 105,800 2,006
Telephone & Data Systems 112,872 6,729
US Cellular* 75,004 5,509
Verizon Communications 66,701 2,529
--------------
26,501
--------------
UTILITIES -- 12.8%
AGL Resources 29,600 1,265
Alliant Energy 72,488 3,249
Atmos Energy 44,400 1,389
Consolidated Edison 22,500 1,149
Constellation Energy Group 13,700 1,191
DPL 49,900 1,551
DTE Energy 37,200 1,782
Edison International 36,900 1,813
Energen 31,700 1,613
Energy East 52,400 1,276
FirstEnergy 5,303 351
Great Plains Energy 32,100 1,042
Hawaiian Electric Industries 134,610 3,499
Integrys Energy Group 41,945 2,328
KeySpan 70,141 2,886
MDU Resources Group 52,600 1,512
Northeast Utilities 27,863 913
NSTAR 66,036 2,319
OGE Energy 96,738 3,753
Oneok 15,856 714
Pepco Holdings 44,000 1,277
PG&E 23,500 1,134
Puget Energy 63,700 1,636
SCANA 64,657 2,791
TECO Energy 79,400 1,366
TXU 30,900 1,981
Vectren 97,386 2,785
Westar Energy 40,900 1,126
Wisconsin Energy 128,788 6,249
--------------
55,940
--------------
Total Common Stock
(Cost $353,481) ($ Thousands) 394,985
--------------
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CASH EQUIVALENT -- 8.4%
SEI Daily Income Trust
Prime Obligation Fund,
Cl A, 5.180%**+ 36,870,918 $ 36,871
--------------
Total Cash Equivalent
(Cost $36,871) ($ Thousands) 36,871
--------------
U.S. TREASURY OBLIGATION (A) -- 0.4%
U.S. Treasury Bill
5.090%, 05/24/07 $ 1,601 1,590
--------------
Total U.S. Treasury Obligation
(Cost $1,589) ($ Thousands) 1,590
--------------
Total Investments -- 99.0%
(Cost $391,941) ($ Thousands) $ 433,446
==============
Futures -- A summary of the open futures contracts held by the Fund at March 31,
2007, 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 429 Jun-2007 $ 121
======
Percentages are based on Net Assets of $437,621 ($ Thousands).
* Non-Income Producing Security.
** Rate shown is the 7-day effective yield as of March 31, 2007.
+ Investment in Affiliated Registered Investment Company (see Note 3).
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts. The rate reported is the effective yield at time of
purchase.
Cl -- Class
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 99
SCHEDULE OF INVESTMENTS (Unaudited)
Global Managed Volatility Fund
March 31, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS#:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Financials 21.2%
Consumer Staples 17.9%
Health Care 14.0%
Consumer Discretionary 11.4%
Utilities 7.9%
Telecommunication Services 6.0%
Energy 5.6%
Industrials 5.6%
Information Technology 4.3%
Short-Term Investments 3.2%
Materials 2.6%
U.S. Treasury Obligation 0.3%
# Percentages based on total investments.
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 95.4%
AUSTRALIA -- 5.1%
Australia & New Zealand Banking Group 12,223 $ 293
Centro Properties Group 66,056 465
Coca-Cola Amatil 95,040 676
Commonwealth Bank of Australia 12,068 490
DB RREEF Trust 945,878 1,318
GPT Group 417,881 1,668
ING Industrial Fund 336,160 641
Integrated Group 28,296 58
Investa Property Group 77,471 152
Leighton Holdings 12,375 335
Macquarie Communications
Infrastructure Group 88,158 466
McPherson's 12,442 29
MFS 21,941 94
Multiplex Group 213,908 772
Origin Energy 60,248 439
QBE Insurance Group 20,347 518
Rio Tinto 792 50
Stockland 32,517 214
Suncorp-Metway -- --
Tattersall's 114,864 478
Telstra 160,145 603
Westfield Group 26,707 444
Woolworths 19,506 428
--------------
10,631
--------------
AUSTRIA -- 1.7%
Immoeast* 31,189 465
IMMOFINANZ* 90,581 1,447
Meinl European Land* 59,017 1,636
--------------
3,548
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
BELGIUM -- 3.8%
AGFA-Gevaert 6,942 $ 156
Befimmo 346 45
Belgacom 17,997 797
Cofinimmo* 3,581 743
Colruyt 1,585 361
Compagnie Maritime Belge 829 55
D'ieteren 61 25
Electrabel 27 21
InBev 7,689 553
Intervest Offices* 1,579 67
KBC Groep 4,681 580
Leasinvest Real Estate 331 36
Mobistar* 26,594 2,241
Solvay 12,929 1,980
UCB* 2,907 169
Warehouses De Pauw* 873 63
--------------
7,892
--------------
BERMUDA -- 0.7%
Arch Capital Group* 6,896 470
PartnerRe 5,886 404
RenaissanceRe Holdings 8,439 423
XL Capital, Cl A 2,331 163
--------------
1,460
--------------
CANADA -- 3.3%
Aspreva Pharmaceuticals* 1,600 34
Bank of Montreal 6,100 369
Bank of Montreal 1,800 109
Bank of Nova Scotia* 9,600 443
Bank of Nova Scotia 1,400 64
BCE 22,200 628
Canadian Imperial Bank of Commerce 5,600 486
Canadian Tire, Cl A 4,500 291
Cascades 9,300 94
Dorel Industries, Cl B* 700 23
Enbridge 25,300 826
George Weston 9,100 559
Jean Coutu Group, Cl A 5,300 66
Methanex 10,300 230
Onex 43,500 1,209
PrimeWest Energy Trust 4,600 91
Quebecor World 27,100 342
Rothmans 2,900 52
Royal Bank of Canada 9,900 493
TransCanada 13,000 432
--------------
6,841
--------------
- --------------------------------------------------------------------------------
100 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
DENMARK -- 0.7%
Danske Bank 10,000 $ 464
FLSmidth 1,100 74
Jyske Bank* 4,000 321
Sanistal, Cl B* 130 24
Sydbank 7,700 413
Topdanmark* 675 130
--------------
1,426
--------------
FINLAND -- 0.7%
Componenta* 7,368 108
Fortum 12,983 377
Kesko, Cl B 3,900 207
Kone, Cl B 1,135 65
Orion, Cl B 6,940 167
Outokumpu 12,869 441
Ramirent 971 77
Rautaruukki 2,500 116
--------------
1,558
--------------
FRANCE -- 1.0%
Camaieu 56 20
CNP Assurances 1,911 222
Faiveley 404 25
Fonciere Des Regions 394 73
Sanofi-Aventis 6,698 580
Societe Des Autoroutes
Paris-Rhin-Rhone* 235 21
Total 8,288 579
Vinci 3,585 554
--------------
2,074
--------------
GERMANY -- 0.9%
Adidas* 5,448 297
Beiersdorf* 8,603 585
Deutsche Euroshop* 562 44
E.ON 4,305 583
EnBW Energie Baden-Wuerttemberg* 876 58
KWS Saat* 317 46
Salzgitter 1,861 271
--------------
1,884
--------------
HONG KONG -- 2.1%
CLP Holdings 79,000 577
Esprit Holdings 23,000 270
Guoco Group 16,000 225
Hang Seng Bank 154,700 2,197
Hong Kong & China Gas 123,000 275
HongKong Electric Holdings 57,000 292
Jardine Matheson Holdings 16,000 338
Mandarin Oriental International 25,000 47
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Vtech Holdings 14,000 $ 101
Xinyu Hengdeli Holdings* 96,000 37
Yue Yuen Industrial Holdings 16,000 54
--------------
4,413
--------------
ITALY -- 3.0%
ASM* 26,416 170
Banca Carige* 82,811 411
Banca Lombarda e Piemontese* 19,276 474
Banca Popolare dell'Emilia Romagna* 21,773 556
Banche Popolari Unite 12,141 358
Banco di Desio e della Brianza* 1,764 23
Enel 282,554 3,013
ENI 13,238 429
Indesit* 8,108 173
Risanamento 2,310 24
Snam Rete Gas* 34,592 219
Telecom Italia* 86,881 247
Unipol* 17,917 69
--------------
6,166
--------------
JAPAN -- 14.1%
77 Bank 66,000 430
Ajis* 1,300 33
Alpine Electronics 9,500 171
Brother Industries 22,000 297
Canon 9,800 525
Canon Marketing Japan 12,800 268
Central Glass 20,000 135
Central Japan Railway 92 1,044
CHINTAI 37 25
Chubu Electric Power 7,200 247
Chugai Pharmaceutical 4,800 121
Combi 9,500 59
Daiichi Sankyo 18,000 550
Daito Trust Construction 12,500 588
Diamond Lease 800 40
East Japan Railway 61 474
Eisai 4,500 215
FUJI SOFT 19,800 589
FUJIFILM Holdings 8,600 351
Fukuda 6,000 23
Gunma Bank 77,000 544
Haruyama Trading* 2,600 25
Honda Motor 9,900 345
IBJ Leasing 1,100 28
Itochu Techno-Solutions 4,500 215
Japan Tobacco 119 584
JFE Holdings 8,500 502
JMS 10,000 34
Kamei* 4,000 31
Kanamoto 5,000 43
Kansai Electric Power 13,600 390
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 101
SCHEDULE OF INVESTMENTS (Unaudited)
Global Managed Volatility Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Katokichi 98,000 $ 615
KDDI 32 255
Kobayashi Pharmaceutical* 600 23
Kyushu Electric Power 2,800 79
Mabuchi Motor 22,800 1,408
Meiji Dairies 68,000 533
Mitani* 3,400 42
Morinaga Milk Industry* 12,000 59
NAC 1,300 21
Namco Bandai Holdings 8,800 137
Net One Systems 105 124
Nichirei 147,000 858
Nihon Jumbo* 2,100 34
Nintendo 1,800 522
Nippon Meat Packers 47,000 574
Nippon Oil 80,000 648
Nippon Suisan Kaisha 44,500 291
Nippon Telegraph & Telephone 237 1,250
Noevir* 2,500 29
NTT DoCoMo 502 927
Odakyu Electric Railway 17,000 124
Okumura 92,000 503
Proto 1,000 19
Ricoh 26,000 585
San-In Godo Bank 2,000 19
Seiko Epson 13,000 382
Shizuoka Bank 12,000 128
Sohgo Security Services 3,900 71
Sumco 13,800 573
Suzuken 32,600 1,154
Suzuki Motor 8,600 223
Takara Leben 2,200 31
Takeda Pharmaceutical 8,400 550
TIS 6,400 152
Toda 234,000 1,118
Tohoku Electric Power 8,900 225
Tohto Suisan* 9,000 27
Tokyo Electric Power 59,700 2,038
Tokyo Gas 100,000 556
Tokyo Style 38,000 415
Toyo Suisan Kaisha 43,000 845
Toyota Boshoku 5,200 123
Toyota Motor 6,000 384
Tsumura & Co 2,400 56
Uni-Charm 6,200 392
Uniden 79,000 611
Wacoal Holdings 23,000 291
Yamaha 9,800 218
Yaoko 1,200 32
--------------
29,200
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
NETHERLANDS -- 1.2%
Boskalis Westminster* 602 $ 60
Gamma Holding* 1,278 100
Heineken 10,948 571
Hunter Douglas 1,408 124
Royal Dutch Shell, Cl A 16,313 541
Royal KPN 36,144 561
Smit Internationale 292 18
Unilever 14,283 414
Vastned Offices* 1,243 51
--------------
2,440
--------------
NEW ZEALAND -- 0.2%
Air New Zealand 12,657 21
Contact Energy 2,803 19
Fletcher Building 23,994 189
Tower* 15,820 25
Vector 31,630 67
Warehouse Group 15,146 73
--------------
394
--------------
PORTUGAL -- 0.5%
Banco BPI 3,192 28
Banco Espirito Santo 22,746 433
Cimpor Cimentos de Portugal* 12,293 103
Portucel Empresa Produtora
de Pasta e Papel 120,794 424
--------------
988
--------------
SINGAPORE -- 0.4%
Hotel Grand Central 80,000 54
SembCorp Marine 107,000 248
Singapore Telecommunications 266,500 576
--------------
878
--------------
SPAIN -- 1.4%
Abertis Infraestructuras* 18,331 587
Acciona 101 22
ACS Actividades Construcciones
y Servicios 6,613 400
Altadis* 4,309 276
Cementos Portland Valderrivas 308 46
Cia Espanola de Petroleos 463 40
Fomento de Construcciones y Contratas 1,922 197
Gestevision Telecinco* 17,752 511
Inditex 7,870 487
Union Fenosa* 5,909 318
--------------
2,884
--------------
- --------------------------------------------------------------------------------
102 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
SWEDEN -- 0.6%
Aangpanneforeningen, Cl B* 1,200 $ 27
Skandinaviska Enskilda Banken, Cl A 8,800 280
Ssab Svenskt Stal, Ser A 7,400 227
Svenska Handelsbanken, Cl A 8,200 243
Swedish Match 27,000 480
--------------
1,257
--------------
SWITZERLAND -- 2.6%
Affichage Holding Genf 153 30
Alcon 4,380 577
Basler Kantonalbank 272 27
Bell Holding 17 24
Geberit 219 336
MCH Messe Schweiz Holding 53 26
Nestle 3,002 1,164
Novartis 4,339 248
PSP Swiss Property* 1,705 103
St. Galler Kantonalbank 83 42
Swisscom 7,923 2,851
--------------
5,428
--------------
UNITED KINGDOM -- 8.3%
Antofagasta 31,078 316
AstraZeneca 3,349 180
Compass Group 3,501 23
Diageo 123,959 2,503
Firstgroup 13,054 170
Gallaher Group 11,304 251
GlaxoSmithKline 54,214 1,485
HMV Group 226,616 491
Imperial Tobacco Group 6,303 281
Inchcape 10,425 117
J Sainsbury 227,239 2,449
Kelda Group 11,695 215
London Stock Exchange Group 7,541 185
Man Group 26,772 291
Marks & Spencer Group 22,022 292
National Grid 26,182 410
Next 10,953 483
Rank Group 130,337 522
Reckitt Benckiser 43,351 2,250
Scottish & Newcastle 96,864 1,143
Scottish & Southern Energy 12,805 387
Smith & Nephew 23,559 298
Tate & Lyle 21,680 245
Tenon Group 32,655 41
Tesco 32,889 287
Trinity Mirror 136,822 1,428
Willis Group Holdings 7,912 313
WM Morrison Supermarkets 37,196 225
--------------
17,281
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
UNITED STATES -- 43.1%
Abbott Laboratories 11,300 $ 631
Aetna 12,700 556
Aflac 8,300 391
Alliant Energy 3,800 170
Alliant Techsystems* 5,200 457
Alon USA Energy 800 29
AMERIGROUP* 14,800 450
AmerisourceBergen 9,100 480
Amrep 4,200 324
Amylin Pharmaceuticals* 9,400 351
Anheuser-Busch 22,500 1,135
Annaly Capital Management+ 35,800 554
Apache 8,000 566
Apollo Group, Cl A* 37,900 1,664
Arch Coal 800 25
Arkansas Best 2,300 82
AT&T 32,500 1,281
AvalonBay Communities+ 2,800 364
Avery Dennison 1,100 71
Avon Products 13,400 499
Ball 10,300 472
Bank of America 55,700 2,842
Bankunited Financial, Cl A 7,400 157
BB&T 14,200 582
Beckman Coulter 10,900 696
Big Lots* 17,200 538
Biogen Idec* 11,600 515
Books-A-Million 1,300 19
Brandywine Realty Trust+ 4,000 134
CBS, Cl B 27,300 835
Celadon Group* 3,200 53
Chaparral Steel 500 29
Chattem* 8,300 489
Chevron 7,900 584
City Holding 1,700 69
Coca-Cola 25,900 1,243
Colgate-Palmolive 8,300 554
Colonial BancGroup 13,500 334
Comcast, Cl A* 22,500 584
Community Health Systems* 48,100 1,696
ConAgra Foods 24,400 608
ConocoPhillips 7,200 492
Consolidated Edison 42,800 2,185
Coventry Health Care* 18,500 1,037
CPI 1,700 89
Darden Restaurants 13,600 560
Dentsply International 29,700 973
Devon Energy 3,300 228
Dress Barn* 21,700 452
Dynamex* 1,300 33
East West Bancorp 700 26
Enbridge Energy Partners LP 1,100 61
Entergy 4,600 483
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 103
SCHEDULE OF INVESTMENTS (Unaudited)
Global Managed Volatility Fund (Concluded)
March 31, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Essex Property Trust+ 900 $ 117
Estee Lauder, Cl A 5,500 269
Exelon 19,400 1,333
Express Scripts* 800 65
Exxon Mobil 7,700 581
Fannie Mae 2,900 158
FedEx 3,200 344
Fifth Third Bancorp 26,600 1,029
FirstEnergy 4,800 318
FirstFed Financial* 5,600 318
FNB 2,600 93
Friendly Ice Cream* 4,400 65
Frontier Oil 6,100 199
FTD Group* 14,900 246
FTI Consulting* 4,200 141
Gannett 10,800 608
General Mills 35,800 2,084
General Motors 900 28
H&R Block 40,600 854
Hancock Holding 900 40
Harleysville Group 400 13
Harris 7,500 382
Health Management Associates, Cl A 206,300 2,242
Healthcare Services Group 10,000 287
Henry Schein* 1,300 72
Hershey 42,500 2,323
Hess 3,800 211
Hewitt Associates, Cl A* 13,300 389
Hilb Rogal & Hobbs 4,600 226
Hillenbrand Industries 3,500 208
HJ Heinz 4,800 226
Holly 2,800 166
Hooker Furniture 16,900 339
Hormel Foods 1,300 48
Hospira* 1,600 65
Hugoton Royalty Trust 5,700 144
Interstate Hotels & Resorts* 1,800 11
Intervest Bancshares* 6,100 175
j2 Global Communications* 6,200 172
Jarden* 14,600 559
Johnson & Johnson 47,100 2,838
Kellogg 24,300 1,250
Kimberly-Clark 23,900 1,637
Laboratory Corp of America Holdings* 6,500 472
Lear 12,900 471
Lockheed Martin 5,800 563
Magellan Health Services* 11,600 487
Marathon Oil 5,800 573
Markel* 800 388
McClatchy, Cl A 43,300 1,369
McCormick 3,500 135
McGraw-Hill 7,000 440
McKesson 8,600 503
Medco Health Solutions* 500 36
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Medtronic 28,900 $ 1,418
Merck 9,000 398
Mid-America Apartment Communities+ 800 45
Moody's 5,200 323
Mylan Laboratories 18,100 383
NCI, Cl A* 1,600 24
NiSource 14,000 342
Northrop Grumman 7,700 572
Occidental Petroleum 7,400 365
OGE Energy 2,300 89
Ohio Casualty 1,500 45
PAM Transportation Services* 6,200 128
Papa John's International* 13,156 387
Patterson* 41,600 1,476
PepsiCo 3,700 235
Pfizer 21,700 548
Pioneer Natural Resources 52,900 2,281
Principal Financial Group 21,100 1,263
Procter & Gamble 8,700 549
PS Business Parks+ 300 21
Quest Diagnostics 300 15
Regions Financial 8,600 304
Reliv International 14,000 153
Rent-A-Center* 2,600 73
Rockwood Holdings* 600 17
Ryder System 2,300 113
Safeco 40,200 2,670
Schering-Plough 23,500 599
Sierra Bancorp 3,000 84
Southern 21,100 773
Spartan Motors 23,934 556
Stericycle* 5,600 456
STERIS 17,800 473
Stoneridge* 7,400 77
Suburban Propane Partners LP 13,000 572
SunTrust Banks 4,400 365
Team* 2,600 99
Triad Hospitals* 34,300 1,792
Tribune 55,700 1,789
TXU 6,400 410
Tyson Foods, Cl A 30,000 582
United Parcel Service, Cl B 11,000 771
UnitedHealth Group 10,000 530
Universal Health Services, Cl B 7,500 429
Valero Energy 2,800 181
W-H Energy Services* 6,200 290
Wal-Mart Stores 45,600 2,141
Walgreen 9,800 450
Washington Mutual 9,900 400
WellPoint* 6,900 560
Wells Fargo 24,800 854
Wendy's International 15,900 498
World Acceptance* 4,800 192
WR Berkley 17,400 245
- --------------------------------------------------------------------------------
104 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Shares/
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Yum! Brands 8,600 $ 497
Zimmer Holdings* 6,700 572
--------------
89,516
--------------
Total Common Stock
(Cost $188,690) ($ Thousands) 198,159
--------------
CASH EQUIVALENT -- 3.2%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.180%**++ 6,633,368 6,633
--------------
Total Cash Equivalent
(Cost $6,633) ($ Thousands) 6,633
--------------
U.S. TREASURY OBLIGATION (A) -- 0.2%
U.S. Treasury Bill
5.089%, 05/24/07 $ 540 536
--------------
Total U.S. Treasury Obligation
(Cost $536) ($ Thousands) 536
--------------
Total Investments -- 98.8%
(Cost $195,859) ($ Thousands) $ 205,328
==============
Futures -- A summary of the open futures contracts held by the Fund at March 31,
2007, is as follows (see Note 2 in Notes to Financial Statements):
- -------------------------------------------------------------------------------
UNREALIZED
APPRECIATION
TYPE OF NUMBER OF EXPIRATION (DEPRECIATION)
CONTRACT CONTRACTS DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
DJ Euro Stoxx 50 Index 24 Jun-2007 $ 54
FTSE 100 Index 6 Jun-2007 17
Hang Seng Index 2 Apr-2007 1
S&P 500 Index 9 Jun-2007 55
SPI 200 Index 4 Jun-2007 10
Topix Index 5 Jun-2007 (2)
---------------
$ 135
===============
Forward Foreign Currency Contracts -- A summary of the outstanding forward
foreign currency contracts held by the Fund at March 31, 2007, 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)
- --------------------------------------------------------------------------------
4/27/07 AUD 14,079 USD 11,379 $ 16
4/27/07 CAD 8,682 USD 7,499 (34)
4/27/07 EUR 28,069 USD 37,513 116
4/27/07 GBP 9,470 USD 18,608 36
4/27/07 JPY 3,628,499 USD 30,879 36
4/27/07 USD 26 AUD 32 --
4/27/07 USD 242 JPY 28,115 (3)
---------------
$ 167
===============
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $209,878 ($ Thousands).
* Non-Income Producing Security.
** Rate shown is the 7-day effective yield as of March 31, 2007.
+ Real Estate Investment Trust.
++ Investment in Affiliated Registered Investment Company (see Note 3).
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts. The rate reported is the effective yield at time of
purchase.
AUD -- Australian Dollar
CAD -- Canadian Dollar
Cl -- Class
EUR -- Euro
GBP -- British Pound Sterling
JPY -- Japanese Yen
LP -- Limited Partnership
Ser -- Series
USD -- United States Dollar
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 105
SCHEDULE OF INVESTMENTS (Unaudited)
Real Estate Fund
March 31, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS#:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Financials 83.8%
Short-Term Investment 10.3%
Consumer Discretionary 5.3%
Asset-Backed Securities 0.4%
Exchange Traded Fund 0.2%
# Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 7).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 96.4%
CONSUMER DISCRETIONARY -- 7.2%
Hilton Hotels 40,300 $ 1,449
Starwood Hotels & Resorts Worldwide 254,000 16,472
--------------
17,921
--------------
FINANCIALS -- 89.2%
Acadia Realty Trust+ 39,000 1,017
AMB Property+ 132,500 7,790
Archstone-Smith Trust+ (A) 235,450 12,780
AvalonBay Communities+ 91,800 11,934
Boston Properties+ (A) 100,700 11,822
Brandywine Realty Trust+ 107,500 3,592
BRE Properties, Cl A+ (A) 39,700 2,507
British Land (United Kingdom)+ (F) 65,964 1,977
Camden Property Trust+ 68,800 4,837
Corporate Office Properties Trust+ 103,000 4,705
Dawnay Day Treveria
(United Kingdom) (F)* 466,716 876
DCT Industrial Trust+ (A)* 143,600 1,699
Douglas Emmett+* 330,025 8,426
Equity Residential+ (A) 277,200 13,369
Essex Property Trust+ (A) 25,300 3,276
Extra Space Storage+ (A) 153,000 2,898
Federal Realty Investment Trust+ 50,800 4,603
General Growth Properties+ (A) 164,510 10,622
Hammerson (United Kingdom)+ (F) 43,061 1,464
Health Care Property Investors+ (A) 90,900 3,275
Host Hotels & Resorts+ (A) 399,479 10,510
Kimco Realty+ (A) 180,500 8,798
Land Securities Group
(United Kingdom)+ (F) 69,386 2,912
Liberty Property Trust+ (A) 34,500 1,681
Macerich+ (A) 43,900 4,055
Mack-Cali Realty+ 76,200 3,629
Maguire Properties+ 39,400 1,401
Post Properties+ 88,750 4,059
Prologis+ 97,400 6,324
PS Business Parks+ 32,300 2,278
Public Storage+ (A) 114,454 10,835
Regency Centers+ 14,100 1,178
Saul Centers+ (A) 18,800 1,070
Simon Property Group+ (A) 176,850 19,675
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
SL Green Realty+ (A) 36,100 $ 4,952
Strategic Hotels & Resorts+ 135,700 3,103
Sunstone Hotel Investors+ (A) 29,100 793
Taubman Centers+ 45,950 2,665
Thomas Properties Group 34,558 536
Unibail (France)+ (F)* 13,349 4,032
Ventas+ (A) 178,000 7,499
Verde Realty PIPE (G) (H)* 21,400 706
Vornado Realty Trust+ (A) 36,900 4,404
--------------
220,564
--------------
Total Common Stock
(Cost $183,693) ($ Thousands) 238,485
--------------
EXCHANGE TRADED FUND -- 0.3%
iShares Cohen & Steers Realty Majors
Index Fund 6,000 619
--------------
Total Exchange Traded Fund
(Cost $383) ($ Thousands) 619
--------------
COMMERCIAL PAPER (B) (E) -- 13.3%
FINANCIALS -- 13.3%
Adirondack, Ser 2005-2
5.319%, 04/24/07 $ 1,395 1,390
Brahms Funding
5.314%, 05/14/07 1,724 1,713
5.313%, 04/16/07 1,256 1,253
Buckingham CDO I LLC
5.320%, 04/25/07 1,290 1,285
Buckingham CDO II LLC
5.318%, 04/23/07 1,604 1,599
Buckingham CDO III LLC
5.320%, 04/26/07 1,433 1,427
Citius I Funding
5.320%, 04/26/07 558 556
Citius II Funding LLC
5.292%, 04/02/07 1,395 1,395
Davis Square Funding
5.310%, 04/13/07 3,069 3,063
Elysian Funding LLC
5.353%, 04/23/07 502 501
Georgetown Funding
5.316%, 04/20/07 3,390 3,380
KKR Pacific Funding Trust
5.341%, 04/27/07 1,395 1,390
Mica Funding LLC
5.316%, 04/20/07 1,455 1,451
5.313%, 04/16/07 698 696
5.310%, 04/19/07 452 450
5.294%, 04/05/07 1,507 1,506
- --------------------------------------------------------------------------------
106 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Rhineland Funding Capital
5.354%, 04/30/07 $ 134 $ 134
5.332%, 06/06/07 513 508
5.315%, 05/15/07 1,487 1,477
5.314%, 05/14/07 594 590
Thornburg Mortgage Capital Resource
5.313%, 04/16/07 355 354
5.310%, 04/13/07 335 334
5.309%, 04/12/07 698 696
5.298%, 04/10/07 1,346 1,344
Valour Bay Capital LLC
5.326%, 05/16/07 1,744 1,732
5.324%, 04/18/07 597 596
5.319%, 04/12/07 698 696
Zane Funding
5.369%, 04/24/07 1,317 1,312
5.364%, 04/17/07 43 43
--------------
Total Commercial Paper
(Cost $32,871) ($ Thousands) 32,871
--------------
CORPORATE OBLIGATIONS (B) -- 10.4%
FINANCIALS -- 10.4%
American General Finance (C) (D)
5.370%, 04/16/07 2,023 2,023
Bear Stearns EXL (C)
5.360%, 04/16/07 2,483 2,483
Countrywide Financial MTN (C)
5.428%, 06/27/07 837 837
Countrywide Financial MTN, Ser A (C)
5.440%, 05/07/07 2,093 2,093
Irish Life & Permanent MTN, Ser X
(C) (D)
5.360%, 04/23/07 1,856 1,856
Islandsbanki (C) (D)
5.369%, 04/09/07 2,093 2,093
Jackson National Life Funding (C) (D)
5.320%, 04/02/07 3,069 3,069
Morgan Stanley EXL (C)
5.380%, 04/04/07 488 488
Morgan Stanley EXL, Ser S (C)
5.340%, 04/03/07 698 698
Nationwide Building Society (C) (D)
5.410%, 06/28/07 767 767
5.349%, 04/09/07 1,395 1,395
Northern Rock (C) (D)
5.360%, 04/03/07 1,437 1,437
Premium Asset Trust, Ser 2004-10
(C) (D)
5.380%, 04/16/07 1,953 1,953
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
SLM EXL, Ser S (C) (D)
5.320%, 04/16/07 $ 1,535 $ 1,535
Skandinav Enskilda Bank (C) (D)
5.320%, 04/18/07 1,535 1,535
Stanfield Victoria LLC MTN (D)
5.445%, 06/11/07 1,395 1,395
--------------
Total Corporate Obligations
(Cost $25,657) ($ Thousands) 25,657
--------------
ASSET-BACKED SECURITIES (B) -- 0.5%
MORTGAGE RELATED SECURITIES -- 0.5%
Duke Funding, Ser 2004-6B, Cl A1S1
(C) (D)
5.430%, 04/09/07 1,046 1,046
Newcastle CDO, Ser 2005-6A, Cl IM1
(C) (D)
5.340%, 04/24/07 279 279
--------------
Total Asset-Backed Securities
(Cost $1,325) ($ Thousands) 1,325
--------------
CASH EQUIVALENTS**++ -- 8.0%
SEI Daily Income Trust
Prime Obligation Fund,
Cl A, 5.180% 10,109,474 10,109
SEI Liquidity Fund LP,
5.520% (B) 9,766,115 9,766
--------------
Total Cash Equivalents
(Cost $19,875) ($ Thousands) 19,875
--------------
CERTIFICATES OF DEPOSIT (B) -- 0.9%
Barclays Bank (C) (D)
5.440%, 06/11/07 698 698
CC USA MTN (D)
5.520%, 06/18/07 1,395 1,395
Thornburg Mortgage Capital Resource
5.309%, 04/11/07 173 173
--------------
Total Certificates of Deposit
(Cost $2,266) ($ Thousands) 2,266
--------------
MASTER NOTE (B) (E) -- 0.2%
Bear Stearns
5.558%, 03/31/07 419 419
--------------
Total Master Note
(Cost $419) ($ Thousands) 419
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 107
SCHEDULE OF INVESTMENTS (Unaudited)
Real Estate Fund (Concluded)
March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS (B) (I)-- 6.0%
Barclays
5.340%, dated 03/30/07, to be
repurchased on 04/02/07,
repurchase price $666,792
(collateralized by a U.S.
Government Obligation, par
value $661,473, 5.600%,
10/17/13; with total market
value $679,839) $ 666 $ 666
Deutsche Bank
5.350%, dated 03/30/07, to be
repurchased on 04/02/07,
repurchase price $5,789,142
(collateralized by various
U.S. Government Obligations,
ranging in par value $38,158-
$2,122,456, 0.000%-6.110%,
05/16/07-10/15/19; with total
market value $5,902,295) 5,787 5,787
Lehman Brothers
5.350%, dated 03/30/07,
to be repurchased on 04/02/07,
repurchase price $8,374,688
(collateralized by various
U.S. Government Obligations,
ranging in par value $605,848-
$1,020,699, 2.625%-10.351%,
05/15/07-08/03/18; with total
market value $8,538,432) 8,371 8,371
--------------
Total Repurchase Agreements
(Cost $14,824) ($ Thousands) 14,824
--------------
Total Investments -- 136.0%
(Cost $281,313) ($ Thousands) $336,341
==============
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $247,265 ($ Thousands).
* Non-Income Producing Security.
** Rate shown is the 7-day effective yield as of March 31, 2007.
+ Real Estate Investment Trust.
++ Investment in Affiliated Registered Investment Company (see Note 3).
(A) This security or a partial position of this security is on loan at March
31, 2007 (see note 7). The total value of securities on loan at March 31,
2007 was $86,265 ($ Thousands).
(B) This security was purchased with cash collateral held from securities on
loan (see note 7). The total value of such securities as of March 31, 2007
was $87,128 ($ Thousands).
(C) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of March 31, 2007. The date reported on the
Schedule of Investments is the next reset date.
(D) 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.
(E) The rate reported is the effective yield at time of purchase.
(F) This security is traded on a foreign stock exchange. The total value of
such securities as of March 31, 2007 was $11,261 and represented 4.55% of
Net Assets.
(G) Security fair valued using methods determined in good faith by the
Valuation Committee of the Board of Trustees. The total value of such
securities at March 31, 2007 was $706 ($ Thousands) and represented 0.29%
of Net Assets.
(H) Security considered illiquid and restricted. The total value of such
securities at March 31, 2007 was $706 ($ Thousands) and represented 0.29%
of Net Assets.
(I) Tri-Party Repurchase Agreement.
CDO -- Collateralized Debt Obligation
Cl -- Class
EXL -- Extendable Maturity
LLC -- Limited Liability Company
LP -- Limited Partnership
MTN -- Medium Term Note
PIPE -- Private Investment, Public Entity
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
108 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
Enhanced Income Fund
March 31, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS*:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Asset-Backed Securities 33.0%
Loan Participations 27.3%
Short-Term Investments 19.2%
Corporate Obligations 12.5%
U.S. Government Mortgage-Backed Obligations 6.6%
U.S. Government Agency Obligations 1.3%
Certificates of Deposit 0.1%
U.S. Treasury Obligation 0.0%
* Percentages based on total investments.
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 35.5%
AUTOMOTIVE -- 4.0%
AESOP Funding II, Ser 2003-4A,
Cl A2 (B)
2.860%, 08/20/09 $ 500 $ 487
AmeriCredit Automobile Receivables
Trust, Ser 2005-1, Cl B
4.480%, 11/06/09 840 837
AmeriCredit Automobile Receivables
Trust, Ser 2007-AX, Cl A4
5.360%, 10/06/13 570 570
Banc of America Securities Auto Trust,
Ser 2005-WF1, Cl A3
3.990%, 08/18/09 1,408 1,399
Capital Auto Receivables Asset Trust,
Ser 2006-SN1A, Cl A2A (B)
5.400%, 01/20/09 800 800
Capital One Auto Finance Trust,
Ser 2005-C, Cl A3
4.610%, 07/15/10 1,411 1,407
Capital One Prime Auto Receivables,
Ser 2004-3, Cl A3
3.390%, 01/15/09 548 545
Carmax Auto Owner Trust, Ser 2007-1,
Cl C
5.530%, 07/15/13 190 191
Drive, Ser 2007-1, Cl A2
5.300%, 03/15/14 1,925 1,922
Ford Credit Auto Owner Trust,
Ser 2006-A, Cl C
5.480%, 09/15/11 1,500 1,508
Ford Credit Auto Owner Trust,
Ser 2006-B, Cl A2A
5.420%, 07/15/09 800 800
Harley Davidson Motorcycle Trust,
Ser 2006-2, Cl A2
5.350%, 03/15/13 1,000 1,007
Harley-Davidson Motorcycle Trust,
Ser 2006-1, Cl B (B)
5.240%, 11/15/13 1,550 1,554
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Harley-Davidson Motorcycle Trust,
Ser 2006-3, Cl B
5.430%, 11/15/14 $ 890 $ 896
Hertz Vehicle Financing LLC,
Ser 2005-2A, Cl A2
4.930%, 02/25/10 1,125 1,122
Honda Auto Receivables Owners Trust,
Ser 2004-3, Cl A3
2.910%, 10/20/08 220 218
Hyundai Auto Receivables Trust,
Ser 2006-B, Cl D
5.410%, 05/15/13 680 682
Nissan Auto Receivables Owner Trust,
Ser 2003-C, Cl A5
3.210%, 03/16/09 860 852
Onyx Acceptance Owner Trust,
Ser 2004-C, Cl A4
3.500%, 12/15/11 608 601
Superior Wholesale Inventory Financing
Trust, Ser 2007-AE1, Cl B
5.621%, 01/15/12 115 115
Superior Wholesale Inventory Financing
Trust, Ser 2007-AE1, Cl C
5.921%, 01/15/12 215 213
USAA Auto Owner Trust, Ser 2006-4,
Cl B
5.260%, 06/17/13 1,250 1,253
Whole Auto Loan Trust, Ser 2003-1,
Cl A4
2.580%, 03/15/10 694 693
--------------
19,672
--------------
CREDIT CARDS -- 5.9%
Advanta Business Card Master Trust,
Ser 2004-C1, Cl C (C)
6.370%, 04/20/07 485 490
Advanta Business Card Master Trust,
Ser 2005-C1, Cl C1 (C)
5.830%, 04/20/07 800 804
Advanta Business Card Master Trust,
Ser 2006-B2, Cl B2 (C)
5.570%, 04/20/07 1,000 1,002
Advanta Business Card Master Trust,
Ser 2006-C1, Cl C1
5.800%, 10/20/14 1,500 1,512
Advanta Business Card Master Trust,
Ser 2007-B1, Cl B
5.570%, 12/22/14 2,000 2,004
American Express Credit Account Master
Trust, Ser 2004-C, Cl C (B) (C)
5.820%, 04/15/07 1,329 1,332
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 109
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Bank of America Credit Card Trust,
Ser 2006-C7, Cl C7 (C)
5.550%, 04/15/07 $ 1,000 $ 998
Bank One Issuance Trust, Ser 2004-B1,
Cl B1 (C)
5.640%, 04/01/07 1,250 1,257
Bank of America Credit Card Trust,
Ser 2007-C1, Cl C1
5.610%, 04/26/07 1,700 1,702
Cabela's Master Credit Card, Trust,
Ser 2006-3A, Cl C
5.720%, 10/15/14 520 521
Capital One Multi-Asset Execution Trust,
Ser 2002-C1, Cl C1 (C)
8.070%, 07/15/10 1,000 1,012
Capital One Multi-Asset Execution Trust,
Ser 2005-C1, Cl C1
5.720%, 02/15/13 1,800 1,808
Capital One Multi-Asset Execution Trust,
Ser 2007-C2, Cl C2
5.320%, 04/15/07 1,600 1,602
Carmax Auto Owner Trust, Ser 2004-2,
Cl D
3.670%, 09/15/11 471 465
Citibank Credit Card Issuance Trust,
Ser 2001-C1, Cl C1 (C)
6.440%, 01/15/10 2,000 2,013
Citibank Credit Card Issuance Trust,
Ser 2006-C4, Cl C4
5.539%, 01/09/12 1,800 1,800
Discover Card Master Trust I,
Ser 2005-1, Cl B (C)
5.470%, 04/18/07 1,500 1,503
First USA Credit Card Master Trust,
Ser 1998-2, Cl C
6.800%, 02/18/11 2,125 2,162
Household Affinity Credit Card Master
Note Trust, Ser 2003-1, Cl B (C)
5.870%, 04/15/07 1,250 1,255
Household Credit Card Master Note
Trust I, Ser 2006-1, Cl B (C)
5.460%, 06/15/12 455 455
MBNA Credit Card Master Trust,
Ser 2006-C2, Cl C2
5.620%, 08/15/13 1,200 1,201
MBNA Master Credit Card Trust,
Ser 1999-J, Cl C
7.850%, 02/15/12 1,500 1,599
New Century Home Equity Loan Trust,
Ser 2005-1, Cl A1MZ (C)
5.610%, 04/25/07 249 250
--------------
28,747
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MORTGAGE RELATED SECURITIES -- 23.3%
Ace Securities, Ser 2006-HE1, Cl M2 (C)
5.720%, 04/27/07 $ 515 $ 513
Ace Securities, Ser 2006-NC1,
Cl A2B (C)
5.470%, 04/25/07 1,148 1,148
Ace Securities, Ser 2006-OP2, Cl A2B
5.430%, 08/25/36 1,000 999
Adjustable Rate Mortgage Trust,
Ser 2005-12, Cl 2A1 (C)
5.710%, 03/25/36 1,211 1,220
Aicco Premium Finance Master Trust,
Ser 2004-1, Cl A (C)
5.500%, 04/15/07 671 671
Ameriquest Mortgage Securities,
Ser 2004-R12, Cl A3 (C)
5.600%, 04/08/07 366 367
Arkle Master Issuer, Ser 2006-1A,
Cl 3M (C)
5.550%, 05/20/07 1,000 1,000
Asset-Backed Funding Certificates,
Ser 2006-OPT2, Cl A3B (C)
5.430%, 04/25/07 1,100 1,099
Banc of America Funding, Ser 2005-F,
Cl 4A1 (C)
5.373%, 04/01/07 2,628 2,628
Banc of America Mortgage Securities,
Ser 2005-I, Cl 2A1 (C)
4.873%, 04/01/07 798 791
Banc of America Securities Auto Trust,
Ser 2006-G1 Cl A2
5.300%, 03/18/09 1,500 1,500
Bank of America Credit Card Trust,
Ser 2006-B4, Cl B4 (C)
5.400%, 03/15/12 835 835
Bank of America Mortgage Securities,
Ser 2004-J, Cl 2A1 (C)
4.781%, 04/01/07 416 414
Bank of America Mortgage Securities,
Ser 2005-C, Cl 2A2 (C)
4.706%, 04/01/07 1,155 1,140
Bayview Commercial Asset Trust,
Ser 2006-4A, Cl A2
5.590%, 12/25/36 635 634
Bear Stearns Adjustable Rate Mortgage
Trust, Ser 2005-9, Cl A1
4.625%, 10/25/35 2,071 2,036
Bear Stearns Adjustable Rate Mortgage
Trust, Ser 2005-12, Cl 11A1 (C)
5.406%, 04/01/07 986 995
Bear Stearns Adjustable Rate Mortgage
Trust, Ser 2006-1, Cl A1 (C)
4.625%, 04/01/07 2,584 2,538
- --------------------------------------------------------------------------------
110 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Bear Stearns Asset-Backed Securities,
Ser 2005-HE11, Cl A1 (C)
5.440%, 04/25/07 $ 277 $ 277
C-Bass, Ser 16A, Cl A (C)
5.596%, 06/06/07 540 539
Capital One Master Trust, Ser 2002-1A,
Cl B
5.920%, 11/15/11 525 530
Capital One Multi-Asset Execution Trust,
Ser 2003-B3, Cl B3
4.500%, 06/15/11 1,500 1,487
Capital One Multi-Asset Execution Trust,
Ser 2005-B2, Cl B2 (C)
5.470%, 04/15/07 1,000 1,001
Capital Trust Re CDO Ltd., Ser 2006-4A,
Cl A1
5.630%, 10/20/43 1,175 1,174
CapitalSource Commercial Loan Trust,
Ser 2006-2A, Cl A1A (B) (C)
5.530%, 04/20/07 730 730
Caterpillar Financial Asset Trust,
Ser 2006-A, Cl A3
5.570%, 05/25/10 1,250 1,258
Citigroup Commercial Mortgage Trust,
Ser 2006-FL2, Ser D
5.530%, 08/15/21 400 400
Citigroup Mortgage Loan Trust,
Ser 2004-HYB3, Cl 1A (C)
3.912%, 04/01/07 573 581
Citigroup Mortgage Loan Trust,
Ser 2006-AR1, Cl 1A1 (C)
4.900%, 10/25/35 873 863
Citigroup Mortgage Loan Trust,
Ser 2006-WFH3, Cl M1 (C)
5.610%, 04/27/07 805 800
Commercial Mortgage Pass-Through
Certificate, Ser 2006-FL12, Cl A2
5.420%, 12/15/20 1,393 1,393
Countrywide Asset-Backed Certificates,
Ser 2005-13, Cl 3AV3 (C)
5.570%, 04/25/07 1,310 1,311
Countrywide Asset-Backed Certificates,
Ser 2006-18, Cl M1 (C)
5.620%, 03/25/37 1,000 994
Countrywide Asset-Backed Certificates,
Ser 2006-2, Cl 2A2
5.510%, 04/25/07 2,000 2,001
Countrywide Asset-Backed Certificates,
Ser 2006-22, Cl M1
5.550%, 05/25/37 1,500 1,499
Countrywide Asset-Backed Certificates,
Ser 2006-22, Cl M3
5.630%, 05/25/37 1,000 984
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Home Loans,
Ser 2005-HY10, Cl 3A1A (C)
5.398%, 04/01/07 $ 597 $ 599
Countrywide Home Loans,
Ser 2006-HYB1, Cl 1A1 (C)
5.379%, 04/20/07 1,172 1,174
Countrywide Homes Loans,
Ser 2005-22, Cl 2A1
5.303%, 11/25/35 899 898
Credit-Based Asset Servicing,
Ser 2005-CB5, Cl AV1 (C)
5.430%, 04/25/07 30 30
Crusade Global Trust, Ser 2004-2,
Cl A1
5.490%, 11/19/37 294 295
Crusade Global Trust, Ser 2006-1,
Cl A1
5.420%, 07/20/38 1,724 1,724
Diversified REIT Trust, Ser 1999-1A,
Cl A2 (B)
6.780%, 03/18/11 1,241 1,261
First Franklin Mortgage Loan Asset,
Ser 2007-FF1, Cl M2
5.580%, 01/25/38 1,145 1,138
First Horizon Alternative Mortgage Trust,
Ser 2005-AA3, Cl 3A1
5.354%, 04/01/07 1,721 1,725
First Horizon Mortgage Pass-Through
Trust, Ser 2005-AR4, Cl 2A1 (C)
5.340%, 10/25/35 1,340 1,341
GE Business Loan Trust, Ser 2003-2A,
Cl B (B) (C)
6.320%, 11/15/31 151 150
GE Business Loan Trust, Ser 2004-2A,
Cl A
5.540%, 12/15/32 162 162
GE Business Loan Trust, Ser 2004-2A,
Cl B
5.800%, 12/15/32 121 120
GE Business Loan Trust, Ser 2006-2A,
Cl D
6.070%, 11/15/34 307 294
GE Commercial Equipment Financing,
Ser 2004-1, Cl B (C)
5.520%, 04/20/07 591 593
GE Commercial Loan Trust, Ser 2006-3,
Cl C (B) (C)
5.910%, 04/19/07 516 514
GE Corporate Aircraft Financing,
Ser 2006-1A, Cl A2 (B) (C)
5.490%, 04/26/07 181 178
GMAC Commercial Mortgage Securities,
Ser 1998-C2, Cl A2
6.420%, 05/15/35 1,122 1,134
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 111
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GMAC Commercial Mortgage Securities,
Ser 1999-CTL1, Cl A (B)
7.151%, 12/15/16 $ 508 $ 511
GMAC Mortgage Loan Trust,
Ser 2005-AR6, Cl 2A1 (C)
5.222%, 04/01/07 1,248 1,251
GMAC Mortgage Loan Trust,
Ser 2006-HE4, Cl A2 (C)
5.460%, 04/25/07 1,150 1,149
GS Motgage Securities, Ser 2003-C1,
Cl A2A
3.590%, 01/10/40 2,000 1,973
GSR Mortgage Loan Trust,
Ser 2005-AR2, Cl 1A2 (C)
4.596%, 04/01/07 901 900
GSR Mortgage Loan Trust,
Ser 2006-AR1, Cl 3A1
5.413%, 01/25/36 770 768
Granite Master Issuer PLC, Ser 2007-1,
Cl 1C1
5.650%, 12/20/54 410 409
Granite Master Issuer, Ser 2006-3,
Cl M1 (C)
5.540%, 04/22/07 570 570
Greenwich Capital Commercial Funding,
Ser 2006-FL4A, Cl C
5.550%, 11/05/21 810 810
Harborview Mortgage Loan Trust,
Ser 2005-14, Cl 3A1A (C)
5.320%, 12/19/35 1,645 1,651
Holmes Master Issuer PLC, Ser 2007-1,
Cl 1C1
5.520%, 07/16/07 475 475
IMPAC CMB Trust, Ser 2005-1,
Cl 1A1 (C)
5.580%, 04/25/07 600 600
IMPAC CMB Trust, Ser 2005-4,
Cl 1M1 (C)
5.750%, 04/25/07 1,126 1,128
IXIS Real Estate Capital Trust,
Ser 2006-HE3, Cl A2 (C)
5.420%, 04/25/07 1,250 1,249
Indymac Index Mortgage Loan Trust,
Ser 2006-AR41, Cl A3 (C)
5.500%, 04/25/07 1,738 1,741
JPMorgan Mortgage Acquisition,
Ser 2006-CH1, Cl M1
5.540%, 07/25/36 335 333
JPMorgan Mortgage Acquisition,
Ser 2006-CH2, Cl MV1
5.530%, 10/25/36 1,125 1,119
JPMorgan Mortgage Acquisition,
Ser 2006-WMC3, Cl A4 (C)
5.470%, 04/25/07 1,250 1,249
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
JPMorgan Mortgage Trust, Ser 2006-4,
Cl 1A1 (C)
5.842%, 04/01/07 $ 2,904 $ 2,940
Katonah, Ltd., Ser 2006-7A, Cl B (B) (C)
5.780%, 05/15/07 700 700
Leek Finance PLC, Ser 18A, Cl A2B (C)
5.480%, 06/21/07 500 500
MLCC Mortgage Investors, Ser 2006-2,
Cl 2A (C)
5.499%, 04/01/07 2,109 2,124
Master Adjustable Rate Mortgage,
Ser 2004-12, Cl 5A1 (C)
4.466%, 04/01/07 280 281
Mellon Bank Premium Finance Loan
Master Trust, Ser 2004-1, Cl A (C)
5.520%, 06/15/07 1,250 1,250
Merrill Lynch Mortgage Investors,
Ser 2005-A1, Cl 1A (C)
4.288%, 04/01/07 1,456 1,458
Merrill Lynch Mortgage Investors,
Ser 2005-A9, Cl 2A1A (C)
5.191%, 12/25/35 1,188 1,178
Merrill Lynch Mortgage Investors,
Ser 2005-A9, Cl 2A1E (C)
5.159%, 12/25/35 2,600 2,595
Metris Master Trust, Ser 2005-2,
Cl B (C)
5.600%, 04/20/07 2,000 2,001
Morgan Stanley Capital I,
Ser 2007-XLFA, Cl C
5.480%, 10/15/20 1,025 1,025
Morgan Stanley Dean Witter Capital,
Ser 2000-LIFE, Cl A2
7.570%, 11/15/36 908 954
Mortgage Trust, Ser 2005-5, Cl A1 (C)
5.580%, 04/25/07 1,677 1,680
Nationstar Home Equity Loan Trust,
Ser 2006-B, Cl AV2 (C)
5.450%, 09/25/36 1,000 999
Option One Mortgage Loan Trust,
Ser 2005-3, Cl M1 (C)
5.790%, 04/25/07 428 428
Option One Mortgage Loan Trust,
Ser 2007-FXD1, Cl 3A3 (C)
5.611%, 01/25/37 285 286
Option One Mortgage Loan Trust,
Ser 2007-FXD2, Cl 2A1
5.908%, 03/25/38 1,781 1,781
Permanent Master Issuer PLC,
Ser 2006-1, Cl 2C (C)
5.760%, 04/16/07 700 719
Permanent Master Issuer, Ser 2007-1,
Cl 1C (C)
5.502%, 01/15/16 670 670
- --------------------------------------------------------------------------------
112 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Prima, Ser 2006-1, Cl A1
5.420%, 04/01/07 $ 1,289 $ 1,299
Prudential Commercial Mortgage Trust,
Ser 2003-PWR1, Cl A1
3.669%, 02/11/36 1,043 1,008
Residential Funding Mortgage
Securites I, Ser 2006-SA1, Cl 1A1
5.676%, 02/25/36 727 734
Sequoia Mortgage Trust, Ser 2004-10,
Cl A2 (C)
5.640%, 04/20/07 453 454
Sequoia Mortgage Trust, Ser 2004-11,
Cl A1 (C)
5.620%, 04/20/07 310 311
Sequoia Mortgage Trust, Ser 2005-2,
Cl A1 (C)
5.540%, 04/20/07 195 195
Triton Container Finance LLC,
Ser 2006-1A, Cl N
5.490%, 11/26/21 725 725
VTB Capital, Ser 2006-1, Cl A1
5.960%, 08/01/08 310 310
WFS Financial Owner Trust, Ser 2005-3,
Cl B
4.500%, 05/17/13 700 694
WFS Financial Owners Trust,
Ser 2005-2, Cl A
4.170%, 12/17/09 969 966
Wadsworth CDO, Ser 2006-1A,
Cl B (B) (C)
5.820%, 11/05/46 315 310
Washington Mutual Master Note Trust,
Ser 2006-C2A, Cl C2 (B) (C)
5.820%, 04/15/07 800 800
Washington Mutual, Ser 2003-AR10,
Cl A6 (C)
4.062%, 04/01/07 1,500 1,477
Washington Mutual, Ser 2006-AR2,
Cl 1A1 (C)
5.324%, 04/01/07 831 828
Washinton Mutual Master Note Trust,
Ser 2006-C3A, C3A
5.700%, 10/15/13 1,000 1,000
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2006-AR10, Cl 2A1
5.629%, 07/25/36 1,363 1,366
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2006-AR8, Cl 2A1 (C)
5.240%, 04/01/07 1,322 1,320
Wells Fargo Mortgage-Backed Securities,
Ser 2003-J, Cl 2A4 (C)
4.451%, 10/25/33 478 471
Wells Fargo Mortgage-Backed Securities,
Ser 2004-BB, Cl A2 (C)
4.558%, 04/01/07 879 870
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities,
Ser 2004-Z, Cl 2A1 (C)
4.576%, 04/01/07 $ 2,233 $ 2,210
Wells Fargo Mortgage-Backed Securities,
Ser 2005-AR2, Cl 2A2 (C)
4.546%, 04/01/07 1,009 996
Wells Fargo Mortgage-Backed Securities,
Ser 2006-AR6, Cl 3A1 (B)
5.095%, 04/01/07 2,032 2,033
--------------
113,512
--------------
OTHER ASSET-BACKED SECURITIES -- 2.3%
Babson CLO, Ser 2007-1A, Cl A1
5.585%, 07/18/07 1,120 1,120
Blackrock Senior Income Series,
Ser 2006-4A, Cl C
6.035%, 04/20/19 1,930 1,930
CIT Equipment Collateral, Ser 2006-VT2,
Cl C
5.290%, 04/20/14 183 183
Caterpillar Financial Asset Trust,
Ser 2005-A, Cl A3
3.900%, 02/25/09 717 713
Crusade Global Trust, Ser 2007-1,
Cl A1 (C)
5.382%, 04/19/38 1,560 1,560
GE Dealer Floorplan Master Note Trust,
Ser 2006-2, Cl C (C)
5.750%, 04/20/13 460 459
Interstar Millennium Trust, Ser 2002-1G,
Cl A2
5.540%, 07/07/34 210 210
Lambda Finance, Ser 2005-1A,
Cl A3 (C)
5.590%, 11/15/29 1,600 1,602
Marriott Vacation Club Owner Trust,
Ser 2006-2A, Cl A
5.362%, 10/20/28 261 261
Mayport CLO Ltd., Ser 2006-1A, Cl A2L
6.023%, 02/22/20 270 270
Mayport CLO Ltd., Ser 2006-1A, Cl A2l
5.733%, 02/22/20 1,005 1,005
Navistar Financial Dealer Note Master
Trust, Ser 2004-1, Cl A (C)
5.520%, 04/10/07 470 470
PFMT, Ser 2007-1A, Cl 1C
5.280%, 05/12/59 1,235 1,235
--------------
11,018
--------------
Total Asset-Backed Securities
(Cost $172,561) ($ Thousands) 172,949
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 113
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
LOAN PARTICIPATIONS -- 29.3%
Acument Global Tech
8.921%, 08/11/13 $ 1,000 $ 1,005
8.820%, 08/11/13 1,000 1,005
Applied Systems
8.175%, 09/26/13 499 501
Aramark
7.470%, 01/26/14 1,843 1,848
7.344%, 01/26/14 132 132
Atrium
8.104%, 05/31/12 1,000 1,000
Baldor Electric
7.063%, 01/31/14 950 954
Barrington
7.610%, 08/05/13 995 999
Big Dumpster Acquisition
7.570%, 02/05/13 1,000 692
Bio Tech Research Lab (D)
0.000%, 03/17/14 1,000 1,001
Boston Generating LLC
7.616%, 12/20/13 145 146
7.600%, 12/20/13 2,338 2,355
5.241%, 12/20/13 517 521
Brickman Group Holdings
7.399%, 01/23/14 1,000 1,002
Buffets Holding
8.360%, 11/01/13 883 888
5.264%, 11/01/13 117 117
Burlington Coat Factory
7.620%, 05/28/13 1,970 1,957
CCS Medical
8.620%, 09/30/12 1,995 1,982
Cellnet Group
7.320%, 07/22/11 2,000 2,014
Cequel Communications
7.610%, 11/05/13 2,000 2,002
Chiquita
8.375%, 06/28/12 992 1,001
Chiquita Brands
8.375%, 06/28/12 995 1,001
Clarke American (D)
0.000%, 03/09/14 2,000 1,999
Cooper-Standard Auto (D)
0.000%, 12/23/11 1,000 1,003
DTN (D)
0.000%, 08/15/14 995 995
Delphi
8.125%, 04/10/07 2,000 2,006
0.000%, 12/31/07 1,000 1,005
Dollar Financial Group
0.000%, 10/30/12 (D) 1,000 1,004
Eastman Kodak
7.616%, 10/18/12 (D) 1,089 1,091
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Eddie Bauer
9.570%, 06/21/11 $ 1,989 $ 1,990
Education Management LLC
7.375%, 02/07/14 2,000 2,008
FSB Holding
7.875%, 09/29/13 500 505
Ferro
8.070%, 06/06/12 1,356 1,353
1.000%, 06/06/12 (E) 644 1
Ford Motor
8.360%, 12/15/13 998 1,001
Freeport-McMoran Copper & Gold (D)
0.000%, 03/06/14 3,000 3,004
GTM Holding
8.110%, 10/13/13 1,000 1,005
Garden Fresh Restaurant
8.610%, 06/22/11 987 990
Generac Acquistuion
7.860%, 11/15/13 1,980 1,987
General Nutrition Center
7.560%, 09/16/13 2,000 1,999
Georgia Gulf
7.320%, 05/06/07 1,013 1,017
Ginn La Conduit Lender (D)
0.000%, 06/08/11 315 306
0.000%, 06/08/11 316 306
0.000%, 06/08/11 684 662
0.000%, 06/08/11 685 662
Global Petroleum
9.852%, 07/26/13 1,985 1,995
Graceway Pharmaceuticals LLC
11.344%, 12/29/12 1,000 1,014
7.844%, 12/29/11 988 988
HCA
8.114%, 11/07/13 1,995 2,013
Hawker Beechcraft
Acquistisition LLC (D)
0.000%, 03/26/14 78 78
0.000%, 03/26/14 922 924
Ipayment
7.352%, 05/10/13 1,985 1,987
JHT Holding
10.000%, 12/21/12 2,000 2,000
Kuilima Resort
8.070%, 09/30/10 1,581 1,575
LNR Property
8.110%, 07/12/11 1,000 1,005
Land Investors
8.114%, 05/09/11 1,167 1,170
Latham Manufacturing
8.900%, 06/30/12 997 990
Lear
7.866%, 04/25/12 1,994 1,995
- --------------------------------------------------------------------------------
114 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Level 3 Financing (D)
0.000%, 03/01/14 $ 1,000 $ 1,003
Lifecare Holding (D)
0.000%, 08/11/12 500 485
Longyear Global Holding
12.364%, 10/07/13 1,000 1,020
8.614%, 10/06/11 88 89
8.614%, 10/06/12 82 82
8.614%, 10/08/12 827 829
MGM Holding II
8.614%, 04/08/12 2,992 2,989
Metro PCS Wireless
7.625%, 11/03/13 1,995 2,005
7.625%, 11/03/13 499 501
Monitor Oil
17.345%, 05/12/07 1,000 1,000
10.845%, 05/12/07 1,000 1,000
NE Energy
8.745%, 11/01/13 1,789 1,799
8.744%, 11/01/13 211 213
NSG Holdings LLC (D)
0.000%, 06/15/14 102 102
0.000%, 06/15/14 898 901
National Cine Media, LLC
7.070%, 02/13/15 2,000 2,002
National Money Mart
8.050%, 10/30/12 573 576
8.050%, 10/30/12 423 424
Nep II
7.595%, 02/16/14 2,000 2,009
Northwest Airlines
7.850%, 08/21/08 1,000 1,002
Oshkosh Truck
7.350%, 12/06/13 1,500 1,505
PGS Solutions
7.610%, 02/14/13 1,000 1,010
Paramount Resources
9.860%, 08/25/12 1,000 1,005
Pinnacle Foods Group (D)
0.000%, 04/19/14 1,000 1,000
Pivotal Promontory LLC (D)
0.000%, 08/31/10 963 958
0.000%, 08/31/10 2,000 1,991
Plum Point Energy Assocciates LLC
8.614%, 03/14/14 672 678
8.514%, 03/14/14 195 197
Protection One Alarm Monitoring
7.779%, 03/31/12 1,985 1,990
Pure Fishing
8.618%, 09/30/10 997 999
8.618%, 09/30/10 1,000 1,001
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Quintiles Transnational
7.360%, 03/31/13 $ 1,985 $ 1,987
Re Holding
8.320%, 12/09/08 2,000 2,011
Riverdeep Interactive Learning USA
8.096%, 12/20/13 1,000 1,006
Roofing Supply Group
8.610%, 06/30/13 998 988
Sabre (D)
0.000%, 09/30/14 1,500 1,496
Serena Software
7.610%, 03/10/13 1,840 1,846
Sirva Worldwide
11.608%, 12/01/10 1,787 1,754
Solo Cup
8.820%, 02/27/11 997 1,010
Sorenson Communications
8.357%, 02/16/14 995 998
Spansion LLC
8.375%, 10/24/12 1,000 1,007
8.360%, 10/24/12 1,000 1,007
Stile Acquisition (D)
0.000%, 04/06/13 500 487
Stile US Acquisition (D)
0.000%, 04/06/13 500 491
Stratos Global
8.100%, 02/13/12 1,980 1,990
Sungard Data Systems
7.360%, 02/12/14 1,985 1,999
TDS Investors (D)
0.000%, 08/23/13 918 925
0.000%, 08/23/13 82 82
TSI Acquistion LLC
8.070%, 03/12/13 1,000 1,000
The Newark Group
7.570%, 06/30/07 1,667 1,683
7.570%, 06/30/07 333 336
US Airways Group
7.850%, 03/19/14 4,000 4,024
Univision Communications (D)
0.000%, 08/15/14 181 181
0.000%, 08/15/14 2,819 2,819
VML US Finance LLC
8.120%, 05/25/13 1,000 1,008
VNU
8.125%, 08/01/13 995 1,003
Vanguard Car Rental USA Holding
8.352%, 06/14/13 1,490 1,503
Wideopenwest Finance
7.611%, 05/01/13 2,000 2,042
Wm. Bolthouse Farms
7.625%, 12/17/12 1,000 1,005
7.625%, 12/17/12 1,000 1,005
7.625%, 12/17/12 997 1,002
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 115
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Yankee Candle
9.250%, 02/06/14 $ 1,000 $ 1,004
--------------
Total Loan Participations
(Cost $142,397) ($ Thousands) 142,820
--------------
CORPORATE OBLIGATIONS -- 13.4%
CONSUMER DISCRETIONARY -- 1.8%
CBS
7.700%, 07/30/10 1,000 1,076
COX Communications
4.625%, 01/15/10 1,000 986
Clear Channel Communications
6.250%, 03/15/11 1,000 995
Comcast Cable Communications
6.200%, 11/15/08 1,000 1,015
DaimlerChrysler
7.200%, 09/01/09 1,000 1,044
Federated Department Stores
6.300%, 04/01/09 1,000 1,020
Time Warner
5.500%, 11/15/11 815 822
Time Warner Entertainment
7.250%, 09/01/08 1,000 1,022
Univision Communications
3.875%, 10/15/08 825 798
--------------
8,778
--------------
CONSUMER STAPLES -- 1.0%
Altria Group
7.000%, 11/04/13 1,000 1,086
Federated Retail Holding
5.350%, 03/15/12 935 932
General Mills (C)
5.500%, 04/23/07 1,500 1,501
Miller Brewing (B)
4.250%, 08/15/08 1,000 985
Pinnacle Foods LLC
10.625%, 04/01/17 250 246
--------------
4,750
--------------
FINANCIALS -- 7.5%
American General Financial MTN, Ser I
4.875%, 07/15/12 1,000 983
Ameriprise Financial
5.350%, 11/15/10 1,000 1,009
BTM Holding (B) (C)
4.760%, 07/21/15 1,000 981
Banco Santander Chile (B) (C)
5.690%, 06/09/07 1,750 1,767
CIT Group
3.375%, 04/01/09 1,000 968
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Capital One Financial MTN
5.700%, 09/15/11 $ 510 $ 515
Citigroup (C)
5.910%, 08/25/36 1,500 1,517
Comerica Bank (C)
5.365%, 06/19/09 1,175 1,175
Everest Reinsurance Holdings
8.750%, 03/15/10 1,545 1,695
Goldman Sachs Group (C)
5.540%, 02/06/12 1,200 1,198
Hartford Financial Services Group
7.900%, 06/15/10 1,000 1,081
Huntington National Bank
4.375%, 01/15/10 500 488
ILFC E-Capital Trust I (B) (C)
5.900%, 06/21/07 1,000 1,013
JPMorgan Chase Capital XXI, Ser U (C)
6.310%, 02/02/37 2,550 2,579
Keyspan
4.900%, 05/16/08 900 897
Lehman Brothers Holdings MTN,
Ser G (C)
5.610%, 11/10/09 1,650 1,656
Liberty Property +
7.250%, 03/15/11 1,000 1,066
Merrill Lynch (C)
6.120%, 06/12/07 700 706
Monumental Global Funding
5.560%, 04/16/07 1,800 1,801
Morgan Stanley MTN, Ser G
5.660%, 04/04/07 1,700 1,698
Prudential Financial MTN
5.100%, 12/14/11 310 309
RSHB Capital (B)
7.175%, 05/16/13 650 687
Reinsurance Group of America
5.625%, 03/15/17 1,400 1,372
Residential Capital LLC
5.850%, 06/09/08 750 742
Textron Financial MTN
5.125%, 02/03/11 1,000 1,000
UBS Luxembourg
6.230%, 02/11/15 500 509
Union Planters
7.750%, 03/01/11 1,000 1,088
Unitrin
4.875%, 11/01/10 1,000 983
VTB Capital
6.140%, 09/21/07 1,000 1,002
Wachovia (C)
5.480%, 06/15/07 1,750 1,752
Western Union
5.400%, 11/17/11 1,175 1,177
- --------------------------------------------------------------------------------
116 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Willis North America
5.125%, 07/15/10 $ 1,000 $ 981
--------------
36,395
--------------
HEALTH CARE -- 0.4%
Quest Diagnostic
5.125%, 11/01/10 1,000 992
Wyeth
6.950%, 03/15/11 1,000 1,063
--------------
2,055
--------------
INDUSTRIALS -- 0.7%
American Airlines, Ser 2002-1 (C)
5.970%, 06/23/07 797 797
Continental Airlines, Ser 1998-3
6.320%, 11/01/08 1,270 1,282
Continental Airlines, Ser A
5.983%, 04/19/22 565 564
Harrahs Operating
5.500%, 07/01/10 1,000 985
--------------
3,628
--------------
INFORMATION TECHNOLOGY -- 0.1%
Freescale Semiconductor
8.875%, 12/15/14 500 501
--------------
MATERIALS -- 0.1%
Canadian Natural Resources
5.700%, 05/15/17 750 746
--------------
REGIONAL AGENCIES -- 0.1%
Republic of Trinidad & Tobago
9.875%, 10/01/09 500 552
--------------
TELECOMMUNICATION SERVICES -- 0.7%
Corning
6.050%, 06/15/15 1,000 1,008
Telecom Italia Capital (C)
5.970%, 04/18/07 1,000 1,005
Vodafone Group PLC
5.640%, 02/27/12 1,300 1,302
--------------
3,315
--------------
UTILITIES -- 1.0%
Dominion Resources, Ser D (C)
5.650%, 06/28/07 1,675 1,676
Nisource Finance (C)
5.930%, 05/23/07 1,500 1,501
PSEG Power
3.750%, 04/01/09 1,000 971
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Southern, Ser A
5.300%, 01/15/12 $ 665 $ 669
--------------
4,817
--------------
Total Corporate Obligations
(Cost $65,113) ($ Thousands) 65,537
--------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS -- 7.1%
FNMA
6.500%, 09/01/26 811 829
6.000%, 11/01/14 117 119
6.000%, 12/01/20 75 76
6.000%, 01/01/21 349 355
6.000%, 02/01/21 79 81
6.000%, 03/01/21 207 418
6.000%, 04/01/21 198 201
6.000%, 05/01/21 1,007 1,023
6.000%, 06/01/21 507 516
6.000%, 07/01/21 268 273
6.000%, 08/01/21 282 287
6.000%, 09/01/21 102 104
6.000%, 10/01/21 7,047 7,163
6.000%, 10/01/26 8,602 8,701
6.000%, 11/01/26 2,422 2,449
FNMA TBA
5.000%, 04/30/20 12,000 11,831
--------------
Total U.S. Government Agency Mortgage-Backed Obligations
(Cost $34,419) ($ Thousands) 34,426
--------------
U.S. GOVERNMENT AGENCY OBLIGATIONS --1.4%
FHLMC (C)
6.000%, 09/01/26 1,442 1,460
FHLMC CMO, Ser 3153, Cl FX
5.670%, 04/15/07 2,719 2,733
FHLMC (A)
5.202%, 05/23/07 500 496
4.760%, 06/22/99 325 321
FNMA, Ser 2003-8, Cl BN
4.500%, 03/25/16 1,842 1,820
--------------
Total U.S. Government Agency Obligations
(Cost $6,821) ($ Thousands) 6,830
--------------
CASH EQUIVALENT -- 8.8%
SEI Daily Income Trust
Prime Obligation Fund,
Cl A, 5.180%*++ 42,907,954 42,908
--------------
Total Cash Equivalent
(Cost $42,908) ($ Thousands) 42,908
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 117
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund (Concluded)
March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
TIME DEPOSITS -- 4.6%
Lloyds TSB London
5.260%, 05/15/07 $ 7,545 $ 7,545
Royal Bank of Scotland
5.280%, 05/15/07 3,028 3,028
5.270%, 06/19/07 4,418 4,418
UBS London
5.260%, 04/30/07 7,533 7,533
-------------
Total Time Deposits
(Cost $22,524) ($ Thousands) 22,524
-------------
CERTIFICATE OF DEPOSIT -- 0.1%
Sovereign Bank
4.000%, 02/01/08 400 395
-------------
Total Certificate of Deposit
(Cost $394) ($ Thousands) 395
-------------
U.S. TREASURY OBLIGATION (A) -- 0.1%
U.S. Treasury Bill
5.107%, 05/24/07 300 298
-------------
Total U.S. Treasury Obligation
(Cost $298) ($ Thousands) 298
-------------
REPURCHASE AGREEMENT (F) -- 7.2%
Bank of America
5.390%, dated 03/30/07, to be
repurchased on 04/02/07, repurchase
price $35,015,721 (collateralized by
a U.S. Government Obligation, par
value $49,566,935, 5.000%, 06/01/34;
with total market value $35,700,000) 35,000 35,000
-------------
Total Repurchase Agreement
(Cost $35,000) ($ Thousands) 35,000
-------------
Total Investments -- 107.5%
(Cost $522,435) ($ Thousands) $ 523,687
=============
Futures -- A summary of the open futures contracts held by the Fund at March 31,
2007, 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$ 236 Jun-2007 $ (12)
90-Day Euro$ (234) Dec-2007 11
Euro-Bobl 83 Jun-2007 (87)
U.S. 5-Year Note (206) Jun-2007 (109)
U.S. 2-Year Note (55) Jun-2007 (10)
U.S. 10-Year Note (314) Jun-2007 (28)
--------------
$ (235)
==============
Forward Foreign Currency Contracts -- A summary of the outstanding forward
foreign currency contracts held by the Fund at March 31, 2007, 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)
- --------------------------------------------------------------------------------
4/13/07 AUD 3,806 GBP 1,545 $ (43)
4/13/07 AUD 3,982 USD 3,130 (85)
4/13/07 CAD 5,490 USD 4,711 (50)
4/13/07-9/12/07 CHF 41,200 GBP 17,497 360
9/12/07 CHF 1,200 NZD 1,460 35
4/13/07-9/12/07 CHF 33,300 USD 27,206 (231)
4/13/07 EUR 3,114 SEK 28,950 (18)
4/13/07 GBP 253 AUD 630 12
4/13/07-8/10/07 GBP 14,315 CHF 33,700 (328)
4/13/07-9/12/07 GBP 17,802 JPY 4,048,000 (284)
4/13/07 GBP 2,073 USD 4,032 (34)
9/12/07 JPY 119,000 AUD 1,337 44
4/13/07-9/12/07 JPY 4,779,000 GBP 21,040 346
4/13/07-8/10/07 JPY 2,917,000 NZD 35,901 656
4/13/07-9/12/07 JPY 3,916,000 USD 3,916,000 27
4/13/07-8/10/07 NZD 26,893 JPY 26,893 (650)
4/13/07 SEK 11,660 EUR 11,660 13
4/13/07 USD 728 AUD 728 23
4/13/07 USD 2,305 CAD 2,305 46
4/13/07-8/10/07 USD 23,199 CHF 23,199 173
4/13/07 USD 1,611 GBP 1,611 28
4/13/07-7/11/07 USD 27,092 JPY 3,172,000 (13)
--------------
$ 27
==============
Swaps -- At March 31, 2007, the following Credit Default Swap agreements were
outstanding (see Note 2 in Notes to Financial Statements):
- -----------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- -----------------------------------------------------------------------------------------------------
Fund receives a quarterly payment of 0.054%
(6.480% per annum) times notional amount of
the ABX.HE.A 06-1 Index. Upon a defined credit
event the Fund pays notional amount and takes
receipt of the defined deliverable obligation.
(Counterparty: Bank of America) 07/25/45 $ (10,500) $ (367)
Fund receives a quarterly payment of 0.0475%
(0.190% per annum) times notional amount of
Republic of Italy, 6.875%, 09/27/23. Upon a
defined credit event the Fund pays notional
amount and takes receipt of the defined
deliverable obligation.
(Counterparty: Goldman Sachs) 12/20/16 (1,700) 7
--------------
$ (360)
==============
- --------------------------------------------------------------------------------
118 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $487,087 ($ Thousands).
* Rate shown is the 7-day effective yield as of March 31, 2007.
+ Real Estate Investments Trust.
++ Investment in Affiliated Registered Investment Company (see Note 3).
(A) Security, or a portion thereof, has been pledged as collateral on open
futures contracts. The rate reported is the effective yield at time of
purchase.
(B) 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 deter- mined 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 March 31, 2007. The date reported on the
Schedule of Investments is the next reset date.
(D) As of April 30, 2007, this security has not yet settled. The interrest
rate is 0.000% until settle date.
(E) As of April 30, 2007, this security is unfunded.
(F) Tri-Party Repurchase Agreement.
AUD -- Australian Dollar
CAD -- Canadian Dollar
CDO -- Collateralized Debt Obligation
CHF -- Swiss Franc
Cl -- Class
CLO -- Collateralized Loan Obligation
CMBS -- Commercial Mortgage-Backed Security
CMO -- Collateralized Mortgage Obligation
EUR -- Euro
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GBP -- British Pound Sterling
JPY -- Japanese Yen
LLC -- Limited Liability Company
Ltd. -- Limited
MTN -- Medium Term Note
NZD -- New Zealand Dollar
PLC -- Public Limited Company
REIT -- Real Estate Investment Trust
SEK -- Swedish Krona
Ser -- Series
TBA -- To Be Announced
USD -- United States Dollar
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 119
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund
March 31, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS#:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
U.S. Government Mortgage-Backed Obligations 25.7%
Asset-Backed Securities 19.5%
Financials 16.8%
Treasury Obligations 11.6%
Short-Term Investments 10.1%
U.S. Government Agency Obligations 7.3%
Energy 1.8%
Industrials 1.4%
Utilities 1.2%
Consumer Discretionary 1.1%
Telecommunication Services 0.9%
Sovereign 0.6%
Health Care 0.5%
Information Technology 0.4%
Certificates of Deposit 0.3%
Consumer Staples 0.3%
Materials 0.3%
Foreign Bonds 0.2%
# 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 AGENCY MORTGAGE-BACKED
OBLIGATIONS -- 35.8%
FHLMC
7.500%, 11/01/29 to 09/01/32 $ 2,663 $ 2,780
7.000%, 01/01/08 to 01/01/32 2,550 2,593
6.500%, 12/01/13 to 09/01/36 21,520 22,015
6.000%, 03/01/20 to 12/01/33 10,151 10,315
5.500%, 12/01/13 to 04/01/34 14,726 14,758
5.000%, 10/01/18 to 03/01/34 44,128 43,129
4.500%, 07/01/20 to 11/01/35 10,670 10,228
4.000%, 03/01/19 to 10/01/33 16,466 15,460
FHLMC ARM
5.815%, 02/01/36 3,855 3,878
5.601%, 05/01/36 6,619 6,667
5.114%, 01/01/36 7,754 7,672
5.095%, 02/01/36 2,160 2,150
4.992%, 05/01/35 278 276
FHLMC TBA
6.000%, 04/01/16 to 10/01/21 33,851 34,403
5.500%, 04/15/33 to 04/15/37 94,300 93,316
5.000%, 04/21/18 to 04/01/36 29,900 29,058
FNMA
8.000%, 10/01/15 28 29
7.000%, 09/01/26 to 04/01/32 4,662 4,858
6.500%, 05/01/17 to 11/01/31 4,489 4,594
6.000%, 03/01/33 to 10/01/35 15,838 16,022
5.500%, 06/01/14 to 02/01/35 207,602 206,571
5.000%, 01/01/20 to 11/01/34 61,478 60,104
4.508%, 04/01/09 1,635 1,617
4.500%, 03/01/19 to 08/01/35 14,278 13,529
4.330%, 11/01/11
4.000%, 09/01/18 to 12/01/20 24,660 23,301
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FNMA ARM
6.939%, 04/01/07 $ 5,281 $ 5,472
6.934%, 04/01/07 2,547 2,639
6.933%, 04/01/07 2,586 2,679
6.897%, 11/01/35 2,690 2,788
6.444%, 07/01/36 2,537 2,589
6.286%, 10/01/35 12,247 12,690
6.283%, 10/01/35 7,797 8,079
6.279%, 11/01/35 5,289 5,480
5.928%, 09/01/36 4,086 4,131
5.662%, 06/01/36 1,198 1,211
5.635%, 02/01/36 834 838
5.507%, 06/01/36 489 492
5.298%, 04/01/36 1,393 1,395
5.082%, 10/01/36 2,152 2,142
5.037%, 07/01/35 1,559 1,552
4.871%, 09/01/35 826 816
FNMA TBA
6.500%, 04/30/37 147,410 150,358
6.000%, 04/30/20 to 04/30/37 19,600 19,750
5.500%, 04/30/22 to 04/30/35 298,627 200,341
5.000%, 04/30/20 to 04/30/37 327,055 316,375
4.500%, 04/30/20 to 04/14/33 13,500 12,967
GNMA
8.000%, 11/15/29 to 11/15/30 182 194
7.500%, 03/15/29 to 01/15/32 550 574
7.000%, 08/15/13 157 163
6.500%, 04/15/24 to 03/01/37 27,963 28,720
6.000%, 03/15/14 to 04/28/36 77,720 78,820
5.500%, 10/20/34 4,210 4,185
5.000%, 05/15/33 to 10/15/35 6,938 6,760
GNMA ARM
5.625%, 02/20/34 2,464 2,488
4.500%, 08/20/34 to 05/20/36 12,155 12,174
4.000%, 02/20/34 to 03/20/36 5,952 5,968
3.750%, 04/01/07 5,459 5,426
3.750%, 12/20/33 17,983 17,923
GNMA TBA
6.500%, 04/30/35 2,700 2,769
6.000%, 04/15/35 16,419 16,629
--------------
Total U.S. Government Agency Mortgage-
Backed Obligations
(Cost $1,570,707) ($ Thousands) 1,566,900
--------------
CORPORATE OBLIGATIONS -- 27.3%
CONSUMER DISCRETIONARY -- 1.6%
American Achievement
8.250%, 04/01/12 900 918
American Honda Finance (C)
5.100%, 03/27/12 1,685 1,679
- --------------------------------------------------------------------------------
120 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Boyd Gaming
7.125%, 02/01/16 $ 350 $ 343
6.750%, 04/15/14 570 569
COX Communications
7.875%, 08/15/09 750 795
7.125%, 10/01/12 790 852
4.625%, 06/01/13 805 770
CSC Holdings
7.625%, 07/15/18 80 81
Caesars Entertainment
8.125%, 05/15/11 540 572
Clear Channel Communications
6.250%, 03/15/11 2,230 2,219
4.250%, 05/15/09 990 960
Comcast
9.000%, 09/01/08 1,150 1,207
6.500%, 01/15/15 985 1,039
6.500%, 01/15/17 (J) 490 517
5.900%, 03/15/16 550 560
5.850%, 11/15/15 465 472
5.650%, 06/15/35 1,180 1,069
5.450%, 11/15/10 (J) 525 530
5.300%, 01/15/14 2,340 2,308
Comcast Cable Communications
8.375%, 03/15/13 2,695 3,082
6.750%, 01/30/11 (J) 7,430 7,824
Cox Communications
5.875%, 12/01/16 895 902
DaimlerChrysler
7.300%, 01/15/12 1,400 1,511
6.500%, 11/15/13 3,870 4,076
DaimlerChrysler MTN
5.750%, 09/08/11 1,390 1,412
5.690%, 06/08/07 2,890 2,895
DIRECTV Holdings
8.375%, 03/15/13 350 369
Echostar DBS
7.125%, 02/01/16 1,970 2,034
Ford Motor
9.215%, 09/15/21 1,000 917
7.450%, 07/16/31 (J) 2,940 2,275
General Motors
8.250%, 07/15/23 3,100 2,790
Hertz
8.875%, 01/01/14 725 781
Idearc (C)
8.000%, 11/15/16 340 350
Inn of the Mountain Gods
12.000%, 11/15/10 1,010 1,098
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Lamar Media, Ser B
6.625%, 08/15/15 $ 720 $ 702
MGM Mirage
8.500%, 09/15/10 160 171
7.625%, 01/15/17 450 456
Mandalay Resort Group (J)
9.500%, 08/01/08 440 459
News America
6.400%, 12/15/35 1,730 1,721
6.200%, 12/15/34 65 63
Quebecor Media
7.750%, 03/15/16 470 483
River Rock Entertainment
9.750%, 11/01/11 930 990
Rogers Cable
7.875%, 05/01/12 550 598
6.750%, 03/15/15 1,015 1,050
Service International
7.625%, 10/01/18 340 360
7.500%, 04/01/27 (C) 670 670
Station Casinos
7.750%, 08/15/16 1,495 1,534
Time Warner
7.700%, 05/01/32 3,645 4,132
6.875%, 05/01/12 2,455 2,616
Time Warner Entertainment
8.375%, 07/15/33 805 978
Viacom
6.875%, 04/30/36 500 504
5.750%, 04/30/11 495 502
Visteon (J)
8.250%, 08/01/10 530 541
--------------
68,306
--------------
CONSUMER STAPLES -- 0.5%
Altria Group
7.750%, 01/15/27 1,720 2,056
7.000%, 11/04/13 795 863
Anheuser-Busch
5.050%, 10/15/16 940 911
Bunge Finance LP
5.900%, 04/01/17 600 593
CVS (C)
9.350%, 01/10/23 8,600 10,636
General Mills
6.000%, 02/15/12 750 776
Kellogg, Ser B
6.600%, 04/01/11 890 935
Kraft Foods
5.625%, 11/01/11 935 946
5.250%, 10/01/13 995 981
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 121
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Philip Morris Capital
7.500%, 07/16/09 $ 1,750 $ 1,822
Wal-Mart Stores
5.250%, 09/01/35 700 636
--------------
21,155
--------------
ENERGY -- 2.5%
Amerigas
7.125%, 05/20/16 1,105 1,108
Anadarko Finance, Ser B
7.500%, 05/01/31 3,560 3,930
6.750%, 05/01/11 20 21
Anadarko Petroleum
6.450%, 09/15/36 5,850 5,789
5.950%, 09/15/16 50 50
5.755%, 06/15/07 (F) 4,000 4,009
Canadian National Resources
5.850%, 02/01/35 800 744
Canadian Natural Resources
6.500%, 02/15/37 455 462
Chesapeake Energy
6.375%, 06/15/15 500 497
Complete Product Services (C)
8.000%, 12/15/16 805 829
Conoco Funding
7.250%, 10/15/31 530 618
6.950%, 04/15/29 (J) 2,620 2,971
6.350%, 10/15/11 920 966
ConocoPhillips
5.900%, 10/15/32 1,090 1,101
5.625%, 10/15/16 2,105 2,140
4.750%, 10/15/12 3,990 3,938
Devon Financing
6.875%, 09/30/11 1,260 1,340
El Paso
7.750%, 07/15/11 (C) 5,470 5,819
6.950%, 06/01/28 (J) 6,750 6,936
El Paso MTN (J)
7.800%, 08/01/31 967 1,069
7.750%, 01/15/32 1,830 2,022
El Paso Natural Gas (C)
5.950%, 04/15/17 520 522
GAZ Capital
6.212%, 11/22/16 4,740 4,754
Gazprom Capital (C)
6.510%, 03/07/22 3,460 3,512
Hess
7.300%, 08/15/31 4,830 5,324
Husky Oil Ltd.
7.550%, 11/15/16 825 927
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Kansas Gas & Electric
5.647%, 03/29/21 $ 1,460 $ 1,435
Kerr-Mcgee
7.875%, 09/15/31 910 1,058
6.950%, 07/01/24 450 474
Kinder Morgan Energy Partners
7.125%, 03/15/12 90 97
6.750%, 03/15/11 580 609
6.300%, 02/01/09 570 580
6.000%, 02/01/17 795 804
5.000%, 12/15/13 2,735 2,647
Midamerican Energy Holdings
6.125%, 04/01/36 865 863
Nevada Power, Ser M
5.950%, 03/15/16 1,300 1,315
OPTI Canada (C)
8.250%, 12/15/14 400 416
Pacific Gas & Electric
5.800%, 03/01/37 800 771
Peabody Energy, Ser B
6.875%, 03/15/13 300 305
Pemex Project Funding Master Trust
6.625%, 06/15/35 1,260 1,298
Petrobras International Finance
6.125%, 10/06/16 4,110 4,192
Plains All American Pipeline (C)
6.650%, 01/15/37 585 595
6.125%, 01/15/17 1,180 1,204
Pogo Producing (J)
6.875%, 10/01/17 1,000 975
Ras Laffan LNG III (C)
6.332%, 09/30/27 1,305 1,322
Semgroup (C)
8.750%, 11/15/15 200 203
Sonat
7.625%, 07/15/11 2,850 3,060
Southern Natural Gas (C)
5.900%, 04/01/17 1,025 1,025
Suburban Propane Partners
6.875%, 12/15/13 735 724
Tennessee Gas Pipeline
7.625%, 04/01/37 830 954
Tosco
8.125%, 02/15/30 400 507
Vastar Resources
6.500%, 04/01/09 3,490 3,587
Vintage Petroleum
8.250%, 05/01/12 480 500
Western Oil Sands
8.375%, 05/01/12 1,195 1,335
Williams
8.750%, 03/15/32 5,860 6,754
7.750%, 06/15/31 1,880 2,012
- --------------------------------------------------------------------------------
122 SEI Institutional Managed Trust / Semi-Annual Report /March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Williams, Ser A
7.500%, 01/15/31 $ 90 $ 95
XTO Energy
7.500%, 04/15/12 850 930
YPF Sociedad Anonima MTN, Ser A
7.750%, 08/27/07 5,000 5,031
--------------
109,075
--------------
FINANCIALS -- 15.7%
ABX Financing (C)
6.350%, 10/15/36 4,250 4,199
ACE (J)
6.700%, 05/15/36 580 616
ASIF Global Financing XIX (C)
4.900%, 01/17/13 390 384
Aiful (C)
5.000%, 08/10/10 1,420 1,399
Allied Capital
6.625%, 07/15/11 3,285 3,345
Allied World Assurance
7.500%, 08/01/16 2,500 2,695
American Express Travel
5.250%, 11/21/11 1,370 1,378
American General Finance (C) (F) (K)
5.370%, 04/16/07 17,635 17,634
American International Group
6.250%, 03/15/37 2,560 2,492
5.600%, 10/18/16 590 600
4.700%, 10/01/10 1,460 1,441
American International Group MTN
4.950%, 03/20/12 880 873
BAC Capital Trust XI
6.625%, 05/23/36 765 809
Bank of America
5.300%, 03/15/17 1,000 984
Bank One
7.875%, 08/01/10 3,525 3,815
Bank of America
7.400%, 01/15/11 1,325 1,428
5.420%, 03/15/17 (C) 4,900 4,849
5.375%, 06/15/14 3,045 3,045
4.250%, 10/01/10 760 742
Banponce Trust I, Ser A
8.327%, 02/01/27 2,590 2,701
Bear Stearns
5.550%, 01/22/17 (J) 3,600 3,531
5.350%, 02/01/12 3,280 3,286
4.500%, 10/28/10 1,470 1,438
Bear Stearns EXL (F) (K)
5.360%, 04/16/07 21,649 21,649
Boeing Capital
6.500%, 02/15/12 (J) 465 494
5.800%, 01/15/13 425 439
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Bunge Finance
4.375%, 12/15/08 $ 425 $ 418
CIT Group
5.850%, 09/15/16 (J) 1,085 1,095
5.000%, 02/01/15 2,015 1,932
4.250%, 02/01/10 1,595 1,560
Capital One Bank
4.875%, 05/15/08 1,480 1,474
Capital One Financial
6.150%, 09/01/16 910 923
Capital One III
7.686%, 08/15/36 2,936 3,150
China Development Bank
5.000%, 10/15/15 500 491
Cigna
6.150%, 11/15/36 1,145 1,135
Citigroup
5.875%, 02/22/33 2,680 2,626
5.500%, 02/15/17 2,040 2,029
5.100%, 09/29/11 1,210 1,210
5.000%, 09/15/14 3,175 3,100
3.625%, 02/09/09 3,090 3,016
Countrywide Financial MTN (F) (K)
5.428%, 06/27/07 7,297 7,297
Countrywide Financial MTN,
Ser A (F) (K)
5.440%, 05/07/07 18,243 18,243
Credit Suisse First Boston London
(C) (F) (L)
0.000%, 03/24/10 2,387 2,210
0.000%, 03/24/10 8,663 8,019
Credit Suisse First Boston USA
4.875%, 08/15/10 2,210 2,200
Credit Suisse USA
5.500%, 08/16/11 2,125 2,157
Depfa ACS Bank (C)
5.125%, 03/16/37 3,000 2,856
Deutsche Bank Capital Funding Trust
(C) (F)
5.628%, 01/19/49 2,760 2,709
Developers Divers Realty+
5.375%, 10/15/12 585 585
Di Finance, Ser B
9.500%, 02/15/13 90 96
Dow Jones CDX HY, Ser 5-T1 (C)
8.750%, 12/29/10 200 212
Dryden Investor Trust (C) (H)
7.157%, 07/23/08 2,581 2,605
Equity One+
3.875%, 04/15/09 7,480 7,250
Farmers Exchange Capital (C)
7.200%, 07/15/48 1,465 1,510
7.050%, 07/15/28 1,434 1,470
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 123
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Farmers Insurance Exchange (C)
8.625%, 05/01/24 $ 3,017 $ 3,588
First Industrial (F)
7.600%, 07/15/28 1,675 1,882
First Industrial MTN
7.500%, 12/01/17 1,800 2,022
Ford Motor Credit
7.875%, 06/15/10 7,405 7,433
7.375%, 10/28/09 20,540 20,502
7.250%, 10/25/11 336 327
7.000%, 10/01/13 8,000 7,437
6.625%, 06/16/08 1,500 1,495
6.625%, 06/15/11 (C) (F) 3,863 4,154
Forest City Enterprises
7.625%, 06/01/15 500 509
6.500%, 02/01/17 270 263
GE Capital Franchise MTN+
6.860%, 06/15/07 1,850 1,855
GE Global Insurance
7.500%, 06/15/10 105 112
GMAC LLC
8.000%, 11/01/31 4,150 4,449
7.560%, 04/25/07 (F) 5,668 5,732
General Electric Capital MTN
5.375%, 10/20/16 825 824
General Electric Capital MTN, Ser A
6.750%, 03/15/32 2,270 2,572
6.000%, 06/15/12 3,675 3,818
3.750%, 12/15/09 1,971 1,911
General Motors Acceptance
7.750%, 01/19/10 2,430 2,494
7.250%, 03/02/11 3,520 3,539
6.310%, 04/18/07 (F) 3,460 3,460
6.125%, 08/28/07 460 460
5.850%, 01/14/09 1,680 1,658
5.625%, 05/15/09 14,680 14,414
5.125%, 05/09/08 (J) 1,480 1,463
General Motors Acceptance MTN (J)
4.375%, 12/10/07 690 681
Genworth Financial
4.950%, 10/01/15 1,595 1,540
Glitnir Bank (C)
6.693%, 06/15/16 (F) 3,960 4,151
6.330%, 07/28/11 1,980 2,055
Goldman Sachs Group
6.875%, 01/15/11 3,775 3,991
6.450%, 05/01/36 790 802
6.345%, 02/15/34 (J) 520 514
5.950%, 01/15/27 590 572
5.350%, 01/15/16 (J) 925 907
5.250%, 10/15/13 3,565 3,530
5.125%, 01/15/15 2,215 2,157
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
HSBC Finance
8.000%, 07/15/10 $ 3,475 $ 3,767
7.000%, 05/15/12 1,505 1,615
6.375%, 11/27/12 585 614
4.625%, 09/15/10 650 638
4.125%, 12/15/08 (J) 1,000 982
Hartford Financial Services Group
5.500%, 10/15/16 1,460 1,461
Health Care Properties
6.000%, 01/30/17 4,000 4,013
5.650%, 12/15/13 1,675 1,664
Highwoods Realty+
7.500%, 04/15/18 3,642 4,090
7.125%, 02/01/08 3,000 3,038
Host Marriott, Ser Q+
6.750%, 06/01/16 455 458
Household Finance
4.125%, 11/16/09 2,155 2,104
ILFC E-Capital Trust II (C) (F) (J)
6.250%, 12/21/65 900 921
ICICI Bank Ltd.
6.375%, 04/30/22 (C) 2,090 2,071
6.375%, 04/30/22 (F) 320 319
International Lease Finance
4.750%, 01/13/12 1,176 1,155
International Lease Finance MTN
5.580%, 05/24/07 (F) 925 929
5.450%, 03/24/11 1,910 1,934
5.400%, 02/15/12 (J) 1,495 1,514
Irish Life & Permanent MTN,
Ser X (C) (F) (K)
5.360%, 04/23/07 16,176 16,175
Islandsbanki (C) (F) (K)
5.369%, 04/09/07 18,243 18,243
JPMorgan Chase
7.590%, 06/23/07 (F) 1,960 1,872
5.750%, 01/02/13 6,435 6,600
5.600%, 06/01/11 2,225 2,263
5.125%, 09/15/14 740 728
JPMorgan Chase Capital XV (J)
5.875%, 03/15/35 1,645 1,570
JPMorgan Chase Capital XVIII, Ser R
6.950%, 08/17/36 1,765 1,840
Jackson National Life Funding
(C) (F) (K)
5.320%, 04/02/07 26,757 26,757
Kaupthing Bank (C)
7.125%, 05/19/16 1,350 1,460
6.050%, 04/12/07 (F) 6,070 6,124
5.750%, 10/04/11 960 968
Korea Development Bank
4.625%, 09/16/10 1,000 984
4.250%, 11/13/07 755 750
- --------------------------------------------------------------------------------
124 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Landsbanki Islands (C)
6.100%, 08/25/11 $ 5,570 $ 5,716
Lazard Group
7.125%, 05/15/15 2,840 2,994
Lehman Brothers Holdings
5.750%, 01/03/17 1,085 1,087
Lehman Brothers Holdings MTN
11.000%, 11/07/16 (F) 4,283 4,432
8.920%, 08/16/07 (F) 2,370 2,462
5.750%, 07/18/11 2,650 2,704
5.750%, 05/17/13 2,080 2,125
5.500%, 04/04/16 520 517
5.250%, 02/06/12 4,090 4,086
0.000%, 06/20/07 (F) 4,235 4,679
Lehman Brothers Holdings MTN,
Ser H (F) (M)
0.000%, 05/30/07 3,570 3,476
Liberty Mutual Group (C)
7.500%, 08/15/36 (J) 1,025 1,095
6.500%, 03/15/35 1,525 1,477
Lincoln National
6.050%, 04/20/67 605 591
MUFG Capital Finance (F) (J)
6.346%, 07/25/49 1,670 1,706
Merrill Lynch
7.430%, 09/01/22 4 4
6.110%, 01/29/37 1,920 1,861
6.050%, 05/16/16 2,630 2,698
Merrill Lynch MTN, Ser B
3.375%, 09/14/07 2,100 2,081
Merrill Lynch Mortgage Investors Trust,
Ser 2005-SL3, Cl A1 (F)
5.550%, 04/10/07 3,221 3,221
Metlife
6.400%, 12/15/36 695 679
Metropolitan Life Global Funding (C)
4.750%, 06/20/07 1,100 1,099
Morgan Stanley
5.450%, 01/09/17 (J) 3,080 3,029
5.375%, 10/15/15 675 664
5.300%, 03/01/13 1,322 1,320
4.750%, 04/01/14 1,220 1,159
Morgan Stanley EXL (F) (K)
5.380%, 04/04/07 4,257 4,257
Morgan Stanley EXL, Ser S (F) (K)
5.340%, 04/03/07 6,081 6,081
Morgan Stanley MTN
5.824%, 10/18/16 1,200 1,202
NB Capital Trust IV
8.250%, 04/15/27 4,500 4,681
National Capital Trust II (C) (F)
5.486%, 06/17/07 2,231 2,180
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Nationwide Building Society (C) (F) (K)
5.410%, 06/28/07 $ 6,689 $ 6,689
5.349%, 04/09/07 12,162 12,162
Nationwide Mutual Insurance (C)
8.250%, 12/01/31 3,575 4,353
6.600%, 04/15/34 3,590 3,537
North Front Pass-Through Trust (C) (F)
5.810%, 06/15/07 1,975 1,952
Northern Rock (C) (F) (K)
5.360%, 04/03/07 12,527 12,527
PNC Funding
5.625%, 02/01/17 695 700
5.250%, 11/15/15 1,455 1,437
Power Receivables Financial
6.290%, 01/01/12 3,823 3,862
6.290%, 01/01/12 (C) 314 317
Premium Asset Trust,
Ser 2004-10 (C) (F) (K)
5.380%, 04/16/07 17,027 17,027
Prime Property Funding
5.600%, 06/15/11 (C) 1,780 1,793
5.500%, 01/15/14 1,850 1,859
Prologis+
5.500%, 04/01/12 1,245 1,257
5.250%, 11/15/10 445 446
Prudential Financial MTN
5.700%, 12/14/36 1,185 1,134
Rabobank Capital Fund Trust II (C) (F)
5.260%, 12/29/49 200 195
Rabobank Capital Fund Trust III (C) (F)
5.254%, 06/30/07 420 405
Residential Capital
6.875%, 06/30/15 225 227
6.500%, 04/17/13 2,835 2,808
6.125%, 11/21/08 4,275 4,273
6.000%, 02/22/11 2,420 2,387
Resona Bank Ltd. (C)
5.850%, 09/29/49 1,355 1,348
Resona Preferred Global Securities
(C) (F) (J)
7.191%, 07/30/49 1,760 1,859
Royal Bank of Scotland Group
5.000%, 10/01/14 1,210 1,182
SLM EXL, Ser S (C) (F) (K)
5.320%, 04/16/07 13,378 13,378
SLM MTN, Ser A (J)
5.000%, 10/01/13 1,595 1,573
SLM MTN, Ser CPI (F)
3.100%, 04/01/07 5,580 5,379
SMFG Preferred Capital (C)
6.078%, 01/25/17 2,015 2,019
Shinsei Finance Cayman (C) (F) (J)
6.418%, 01/29/49 4,880 4,929
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 125
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Simon Property Group+
5.750%, 05/01/12 $ 2,185 $ 2,234
5.750%, 12/01/15 910 922
5.600%, 09/01/11 (J) 1,665 1,691
Skandinav Enskilda Bank (C) (F) (K)
5.320%, 04/18/07 13,378 13,378
Stanfield Victoria LLC MTN (C) (F) (K)
5.445%, 06/11/07 12,162 12,162
Stingray Pass-Through Trust (C)
5.902%, 01/12/15 4,500 4,168
Sumitomo Mitsui Banking (C) (F)
5.625%, 10/15/15 2,620 2,581
Swiss Re Capital I LP (C) (F)
6.854%, 05/29/49 478 494
TNK-BP Finance
7.500%, 07/18/16 3,320 3,503
6.625%, 03/20/17 (C) 220 218
Toyota Motor Credit
5.500%, 12/15/08 120 121
Turanalem Finance
8.250%, 01/22/37 900 907
8.250%, 01/22/37 (C) 4,190 4,211
UDR+
5.500%, 04/01/14 2,000 1,988
US Bancorp MTN, Ser N
3.125%, 03/15/08 2,215 2,171
Ventas Realty+
9.000%, 05/01/12 180 203
6.500%, 06/01/16 495 507
Wachovia
5.500%, 08/01/35 1,405 1,304
5.300%, 10/15/11 4,500 4,526
5.250%, 08/01/14 4,390 4,339
4.875%, 02/15/14 2,090 2,026
Wachovia Capital Trust III (F)
5.800%, 03/15/11 2,230 2,257
Washington Mutual
4.625%, 04/01/14 3,180 2,975
4.000%, 01/15/09 726 711
Washington Mutual Bank
5.650%, 08/15/14 1,940 1,930
Washington Mutual Preferred
Funding (C) (F)
6.534%, 03/15/49 1,600 1,574
Washington+
5.350%, 05/01/15 687 678
Wells Fargo
5.375%, 02/07/35 2,085 1,961
Wells Fargo Capital
5.950%, 12/15/36 760 732
Westfield Capital (C)
4.375%, 11/15/10 303 295
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Westfield Group (C)
5.400%, 10/01/12 $ 1,325 $ 1,331
Woodbourne Pass-Through Trust (C) (F)
6.420%, 04/08/07 2,500 2,518
ZFS Finance USA Trust II (C) (F)
6.450%, 12/15/65 1,522 1,522
Zions Bancorp
5.500%, 11/16/15 925 909
Zurich Capital Trust I (C)
8.376%, 06/01/37 7,362 7,687
iStar Financial, Ser 1+
5.875%, 03/15/16 795 789
--------------
688,638
--------------
HEALTH CARE -- 0.7%
Abbott Laboratories
5.875%, 05/15/16 1,450 1,500
Aetna
6.000%, 06/15/16 1,570 1,627
Coventry Health Care
5.950%, 03/15/17 1,150 1,144
Davita (C)
6.625%, 03/15/13 945 945
Eli Lilly
5.500%, 03/15/27 1,160 1,118
HCA
9.250%, 11/15/16 (C) 1,639 1,768
9.125%, 11/15/14 (C) 230 246
7.500%, 11/06/33 (J) 3,380 2,881
6.500%, 02/15/16 (J) 749 637
6.300%, 10/01/12 119 111
5.750%, 03/15/14 3,090 2,638
HCA PIK (C)
9.625%, 11/15/16 50 54
Tenet Healthcare
9.875%, 07/01/14 (J) 6,006 6,066
7.375%, 02/01/13 336 312
Teva Pharmaceutical Finance LLC
6.150%, 02/01/36 1,410 1,360
5.550%, 02/01/16 475 466
Wellpoint
6.800%, 08/01/12 1,000 1,066
5.250%, 01/15/16 465 457
Wyeth
6.950%, 03/15/11 4,000 4,253
5.950%, 04/01/37 3,255 3,206
--------------
31,855
--------------
- --------------------------------------------------------------------------------
126 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
INDUSTRIALS -- 2.0%
Air 2 US (C)
8.027%, 10/01/19 $ 880 $ 924
America West Airlines, Ser 1999-1
7.930%, 01/02/19 8,139 8,814
American Airlines, Ser 1999-1
7.024%, 10/15/09 3,630 3,756
Burlington North Santa Fe
6.750%, 07/15/11 1,610 1,696
Canadian National Railway
6.200%, 06/01/36 960 982
Cedar Brakes I LLC (C)
8.500%, 02/15/14 1,457 1,581
Cedar Brakes II LLC (C)
9.875%, 09/01/13 2,836 3,142
Continental Airlines, Ser 1999-2
7.256%, 03/15/20 996 1,070
Continental Airlines, Ser 971A
7.461%, 04/01/15 2,756 2,876
Continental Airlines, Ser 974A
6.900%, 01/02/18 7,383 7,804
Continental Airlines, Ser A
5.983%, 04/19/22 800 799
Corning
5.250%, 08/15/36 480 506
DRS Technologies
6.625%, 02/01/16 505 510
Eastman Kodak
7.250%, 11/15/13 2,740 2,767
Electronic Data Systems
7.125%, 10/15/09 3,680 3,837
Federal Express, Ser A3
8.400%, 03/23/10 596 637
General Electric
5.000%, 02/01/13 1,160 1,151
Honeywell International
5.700%, 03/15/37 700 678
Horizon Lines LLC
9.000%, 11/01/12 1,130 1,187
Hutchison Whampoa International (C)
6.250%, 01/24/14 3,220 3,361
L-3 Communications, Cl B
6.375%, 10/15/15 520 515
Lafarge
6.150%, 07/15/11 770 794
Northwest Airlines, Cl 1A-1 (I)
7.041%, 04/01/22 1,420 1,422
OMI
7.625%, 12/01/13 600 609
Systems 2001 Asset Trust (C)
6.664%, 09/15/13 1,426 1,504
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Teekay Shipping
8.875%, 07/15/11 $ 1,785 $ 1,923
Tyco International Group
7.000%, 06/15/28 230 273
6.875%, 01/15/29 (J) 8,330 9,832
6.750%, 02/15/11 2,190 2,334
6.375%, 10/15/11 8,100 8,560
6.000%, 11/15/13 915 962
United Airlines, Ser A-3 (H)
8.390%, 01/21/11 817 81
United Technologies
6.500%, 06/01/09 2,365 2,438
Waste Management
7.125%, 12/15/17 5,305 5,837
7.100%, 08/01/26 1,710 1,837
Xerox
6.750%, 02/01/17 240 251
--------------
87,250
--------------
INFORMATION TECHNOLOGY -- 0.1%
Compagnie Generale de Geophysique
7.750%, 05/15/17 95 99
7.500%, 05/15/15 1,205 1,241
NXP Funding LLC (C)
9.500%, 10/15/15 365 377
7.875%, 10/15/14 110 114
Sungard Data Systems
10.250%, 08/15/15 725 791
--------------
2,622
--------------
MATERIALS -- 0.4%
BHP Billiton Finance
5.125%, 03/29/12 2,600 2,593
Canadian Natural Resources
5.700%, 05/15/17 960 955
Codelco (C)
4.750%, 10/15/14 960 921
Freeport-McMoRan Copper & Gold
8.375%, 04/01/17 1,450 1,568
Georgia Gulf (C) (J)
9.500%, 10/15/14 220 211
Lyondell Chemical
8.250%, 09/15/16 125 134
8.000%, 09/15/14 220 230
Potash of Saskatchewan
4.875%, 03/01/13 1,220 1,181
Steel Dynamics
6.750%, 04/01/15 705 706
Vale Overseas Limited
8.250%, 01/17/34 150 180
6.875%, 11/21/36 4,395 4,539
6.250%, 01/23/17 1,680 1,712
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 127
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Westlake Chemicals (J)
6.625%, 01/15/16 $ 610 $ 595
Weyerhaeuser
6.750%, 03/15/12 370 389
--------------
15,914
--------------
SOVEREIGN -- 0.9%
Federal Republic of Brazil (J)
11.000%, 08/17/40 4,746 6,402
Quebec Province
5.125%, 11/14/16 1,785 1,782
Republic of Chile
7.125%, 01/11/12 585 633
Republic of Colombia
7.375%, 09/18/37 1,618 1,761
Republic of Italy
5.375%, 06/15/33 870 851
Republic of Panama
9.375%, 04/01/29 46 61
6.700%, 01/26/36 (J) 1,457 1,512
Russian Federation
7.500%, 09/30/07 1,285 1,459
Russian Federation Registered (G)
7.500%, 03/31/30 5,120 5,811
State of Israel
5.500%, 11/09/16 1,470 1,472
United Mexican States (J)
5.625%, 01/15/17 7,109 7,166
United Mexican States MTN, Ser A
6.750%, 09/27/34 (J) 7,387 8,056
5.875%, 01/15/14 760 783
--------------
37,749
--------------
TELECOMMUNICATION SERVICES -- 1.2%
AT&T
6.800%, 05/15/36 615 656
6.450%, 06/15/34 625 636
6.150%, 09/15/34 (J) 1,675 1,649
5.100%, 09/15/14 5,700 5,569
4.125%, 09/15/09 (J) 795 777
America Movil
6.375%, 03/01/35 580 571
BellSouth
6.000%, 11/15/34 (J) 1,370 1,320
4.750%, 11/15/12 170 166
British Telecommunications PLC
8.375%, 12/15/10 1,250 1,395
Cincinnati Bell
7.000%, 02/15/15 500 496
Cingular Wireless
6.500%, 12/15/11 1,455 1,533
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Citizens Communications (C)
7.125%, 03/15/19 $ 370 $ 366
Deutsche Telekom International Finance
8.250%, 06/15/30 1,165 1,443
8.000%, 06/15/10 925 1,003
5.750%, 03/23/16 1,920 1,920
Embarq
7.995%, 06/01/36 220 227
France Telecom
8.500%, 03/01/31 930 1,209
Intelsat (C)
9.000%, 06/15/16 75 83
Intelsat Bermuda Ltd. (C)
9.250%, 06/15/16 325 360
8.872%, 07/15/07 150 153
Koninklije
8.000%, 10/01/10 650 705
Level 3 Financing (C)
8.750%, 02/15/17 690 695
New Cingular Wireless Services
8.125%, 05/01/12 1,595 1,795
New Jersey Bell Telephone
7.850%, 11/15/29 1,135 1,287
Qwest
5.625%, 11/15/08 430 430
Qwest Communications International (F)
8.860%, 05/11/07 1,635 1,651
SBC Communications
5.625%, 06/15/16 1,170 1,174
Sprint Capital
8.750%, 03/15/32 2,415 2,849
8.375%, 03/15/12 3,430 3,827
6.125%, 11/15/08 1,445 1,463
Sprint Nextel (J)
6.000%, 12/01/16 695 684
Telecom Italia Capital
6.200%, 07/18/11 (J) 1,730 1,776
5.250%, 11/15/13 790 766
5.250%, 10/01/15 90 85
4.950%, 09/30/14 1,250 1,177
Telefonica Emisiones Sau
6.421%, 06/20/16 595 621
5.984%, 06/20/11 2,775 2,845
Telefonica Europe
7.750%, 09/15/10 1,925 2,074
Verizon Communications
6.250%, 04/01/37 580 575
5.500%, 04/01/17 1,630 1,619
Verizon New Jersey, Ser A
5.875%, 01/17/12 2,175 2,223
Verizon New York, Ser A
6.875%, 04/01/12 660 696
- --------------------------------------------------------------------------------
128 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Vodafone Group PLC
6.150%, 02/27/37 $ 690 $ 666
5.625%, 02/27/17 585 580
5.350%, 02/27/12 400 401
Windstream
8.625%, 08/01/16 660 722
--------------
54,918
--------------
UTILITIES -- 1.7%
Allegheny Energy Supply (C)
8.250%, 04/15/12 855 936
Amerada Hess (J)
7.875%, 10/01/29 620 715
Arizona Public Services
8.000%, 12/30/15 3,280 3,642
Cogentrix Energy (C)
8.750%, 10/15/08 5,908 6,232
DPL
6.875%, 09/01/11 2,615 2,776
Detroit Edison, Ser A
6.625%, 06/01/36 990 1,083
Dominion Resources
5.700%, 09/17/12 3,270 3,341
4.750%, 12/15/10 1,895 1,868
4.125%, 02/15/08 810 802
Duke Energy
6.250%, 01/15/12 2,105 2,203
5.625%, 11/30/12 4,910 5,025
Exelon
5.625%, 06/15/35 4,750 4,346
Exelon Generation LLC (C)
6.950%, 06/15/11 1,825 1,913
FPL Energy American Wind (C)
6.639%, 06/20/23 6,278 6,535
FirstEnergy, Ser B
6.450%, 11/15/11 1,940 2,033
FirstEnergy, Ser C
7.375%, 11/15/31 7,245 8,231
Indiana Michigan Power
6.050%, 03/15/37 805 793
NRG Energy
7.250%, 02/01/14 1,610 1,650
Nevada Power, Ser A
8.250%, 06/01/11 2,050 2,254
Pacific Gas & Electric
6.050%, 03/01/34 2,110 2,115
Power Contract Financing (C)
6.256%, 02/01/10 2,799 2,825
Progress Energy
6.850%, 04/15/12 1,530 1,641
Public Service
7.875%, 10/01/12 1,315 1,481
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Southern California Edison
6.000%, 01/15/34 $ 1,505 $ 1,535
Southern Natural Gas
8.000%, 03/01/32 170 202
Swepco Capital Trust I (F)
5.250%, 10/01/43 4,255 4,231
TXU Energy
7.000%, 03/15/13 780 811
TXU, Ser P (J)
5.550%, 11/15/14 540 478
TXU, Ser Q
6.500%, 11/15/24 400 337
TXU, Ser R
6.550%, 11/15/34 4,305 3,605
--------------
75,639
--------------
Total Corporate Obligations
(Cost $1,169,516) ($ Thousands) 1,193,121
--------------
ASSET-BACKED SECURITIES -- 27.2%
AUTOMOTIVE -- 0.7%
AmeriCredit Automobile Receivables
Trust, Ser 2003-DM, Cl A4
2.840%, 08/06/10 1,310 1,300
Capital Auto Receivables Asset Trust,
Ser 2004-2, Cl A2
3.350%, 02/15/08 152 152
Capital Auto Receivables Asset Trust,
Ser 2006-1, Cl A3
5.030%, 10/15/09 1,313 1,310
Capital Auto Receivables Asset Trust,
Ser 2006-2, Cl B
5.070%, 12/15/11 2,620 2,610
Capital One Auto Finance Trust,
Ser 2006-A, Cl A4
5.330%, 04/15/07 868 868
Capital One Prime Auto Receivables
Trust, Ser 2006-1, Cl A3
4.990%, 09/15/10 2,402 2,398
Carmax Auto Owner Trust,
Ser 2006-2, Cl A3
5.150%, 02/15/11 2,476 2,479
Carmax Auto Owner Trust,
Ser 2007-1, Cl A2
5.300%, 03/15/10 838 839
DaimlerChrysler Auto Trust,
Ser 2006-D, Cl A4
4.940%, 02/08/12 1,190 1,188
Ford Credit Auto Owner Trust,
Ser 2005-A, Cl A3
3.480%, 11/15/08 1,045 1,039
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 129
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Ford Credit Auto Owner Trust,
Ser 2005-B, Cl A3
4.170%, 01/15/09 $ 748 $ 745
Ford Credit Auto Owner Trust,
Ser 2005-B, Cl A4
4.380%, 01/15/10 854 846
Harley-Davidson Motorcycle Trust,
Ser 2007-1, Cl A2
5.290%, 04/15/07 931 932
Honda Auto Receivables Owner Trust,
Ser 2004-2, Cl A3
3.300%, 06/16/08 760 758
Hyundai Auto Receivables Trust,
Ser 2005-A, Cl A4
4.180%, 02/15/12 1,298 1,276
Nissan Auto Receivables Owner Trust,
Ser 2006-B, Cl A3
5.160%, 02/15/10 705 705
Triad Auto Receivables Owner Trust,
Ser 2003-B, Cl A4
3.200%, 12/13/10 382 377
Triad Auto Receivables Owner Trust,
Ser 2006-B, Cl A4 (F)
5.200%, 04/12/07 563 570
Triad Auto Receivables Owner Trust,
Ser 2006-C, Cl A3
5.260%, 11/14/11 1,039 1,042
USAA Auto Owner Trust,
Ser 2004-3, Cl A3
3.160%, 02/17/09 270 269
USAA Auto Owner Trust,
Ser 2005-1, Cl A3
3.900%, 07/15/09 208 206
USAA Auto Owner Trust,
Ser 2005-3, Cl A2
4.520%, 06/16/08 117 117
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 1,303
WFS Financial Owner Trust,
Ser 2003-3, Cl A4
3.250%, 05/20/11 594 590
WFS Financial Owner Trust,
Ser 2003-4, Cl A4
3.150%, 05/20/11 231 229
WFS Financial Owner Trust,
Ser 2004-1, Cl A4
2.810%, 08/22/11 424 418
WFS Financial Owner Trust,
Ser 2005-3, Cl A3A
4.250%, 06/17/10 317 316
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Wachovia Auto Owner Trust,
Ser 2004-A, Cl A4 (F)
3.660%, 04/29/07 $ 2,436 $ 2,420
Wachovia Auto Owner Trust,
Ser 2005-B, Cl A2
4.820%, 02/20/09 505 504
--------------
28,863
--------------
CREDIT CARDS -- 0.4%
American Express Credit Account
Master Trust, Ser 2003-1, Cl A
5.430%, 04/15/07 7,684 7,692
Chase Issuance Trust, Ser 2004-A9,
Cl A9
3.220%, 06/15/10 1,884 1,864
Citibank Credit Card Issuance Trust,
Ser 2004-A4, Cl A4
3.200%, 08/24/09 2,209 2,191
Citibank Credit Card Issuance Trust,
Ser 2006-A4, Cl A4
5.450%, 05/10/13 4,404 4,482
Discover Card Master Trust I,
Ser 2001-1, Cl A
5.540%, 04/15/07 931 933
MBNA Credit Card Master Note Trust,
Ser 2003-A7, Cl A7
2.650%, 11/15/10 1,361 1,322
--------------
18,484
--------------
MORTGAGE RELATED SECURITIES -- 25.9%
ABFS Mortgage Loan Trust, Ser 2002-1,
Cl A5 (G)
6.510%, 12/15/32 1,812 1,821
ABS Home Equity Loan Trust,
Ser 2001-HE3, Cl A1 (F)
5.860%, 04/15/07 676 676
AFC Home Equity Loan Trust,
Ser 1998-1, Cl 1A2 (F)
5.590%, 04/01/07 141 142
AFC Home Equity Loan Trust,
Ser 2000-1, Cl 2A (F)
5.560%, 04/25/07 5,839 5,844
Aames Mortgage Investment Trust,
Ser 2005-4, Cl B2 (F)
8.070%, 04/12/07 780 665
Ace Securities, Ser 2003-OP1,
Cl M1 (F)
6.020%, 04/26/07 1,000 1,003
Ace Securities, Ser 2005-HE4,
Cl A2A (F)
5.430%, 04/25/07 72 72
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130 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Ace Securities, Ser 2005-HE7,
Cl A1B2 (F)
5.620%, 04/27/07 $ 1,507 $ 1,507
Adjustable Rate Mortgage NIM Trust,
Ser 2005-4, Cl A (C)
5.500%, 12/27/35 371 324
Adjustable Rate Mortgage Trust,
Ser 2005-8, Cl 4A11 (F)
5.442%, 04/01/07 11,909 11,792
Aegis Asset-Backed Securities Trust,
Ser 2003-3, Cl M1 (F)
6.020%, 04/25/07 193 194
American Home Mortgage Investment
Trust, Ser 2004-1, Cl 4A (F)
3.280%, 04/25/07 620 604
American Home Mortgage Investment
Trust, Ser 2004-4, Cl 4A (F)
4.390%, 04/01/07 2,762 2,725
American Home Mortgage Investment
Trust, Ser 2005-1, Cl 6A (F)
5.294%, 04/25/07 7,984 7,990
American Home Mortgage Investment
Trust, Ser 2005-4, Cl 5A (F)
5.350%, 04/25/07 6,483 6,506
Ameriquest Mortgage Securities,
Ser 2003-2, Cl M1 (F)
6.220%, 04/25/07 1,424 1,424
Argent Securities, Ser 2003-W5,
Cl M1 (F)
6.020%, 04/25/07 600 605
Argent Securities, Ser 2003-W9,
Cl M1 (F)
6.010%, 04/26/07 1,287 1,292
Asset Securitization, Ser 1996-D2,
Cl A1
6.920%, 02/14/29 56 56
Asset-Backed Funding Certificates,
Ser 2003-WF1, Cl A2 (F)
6.070%, 04/25/07 2,506 2,517
Asset-Backed Funding Certificates,
Ser 2005-AQ1, Cl A2 (G)
4.300%, 06/25/35 2,656 2,623
Asset-Backed Securities Home Equity
Loan Trust, Ser 2003-HE4, Cl M2 (F)
7.320%, 04/15/07 797 799
Asset-Backed Securities Home Equity
Loan Trust, Ser 2003-HE5, Cl M1 (F)
6.070%, 04/15/07 1,733 1,738
Banc of America Commercial Mortgage
Securities, Ser 2002-PB2, Cl B
6.309%, 06/11/35 659 691
Banc of America Commercial Mortgage
Securities, Ser 2003-1, Cl 2A4
5.000%, 02/25/18 6,036 5,918
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Banc of America Commercial Mortgage
Securities, Ser 2003-1, Cl A2 (F)
4.648%, 04/01/07 $ 723 $ 704
Banc of America Commercial Mortgage
Securities, Ser 2004-1, Cl A4
4.760%, 11/10/39 794 772
Banc of America Commercial Mortgage
Securities, Ser 2004-2, Cl A5
4.580%, 04/01/07 294 283
Banc of America Commercial Mortgage
Securities, Ser 2005-3, Cl A4
4.668%, 07/10/43 11,300 10,822
Banc of America Commercial Mortgage
Securities, Ser 2005-5, Cl A4
5.115%, 10/10/45 309 304
Banc of America Commercial Mortgage
Securities, Ser 2007-1, Cl AAB
5.540%, 01/15/49 1,829 1,839
Banc of America Commercial Mortgage,
Ser 2005-4, Cl A5A
4.933%, 04/01/07 290 282
Banc of America Commercial Mortgage,
Ser 2006-2, Cl A1 (F)
5.611%, 04/01/07 2,665 2,693
Banc of America Commercial Mortgage,
Ser 2006-3, Cl A4
5.889%, 07/10/44 625 648
Banc of America Commercial Mortgage,
Ser 2007-6, Cl A4
5.354%, 04/01/07 2,079 2,070
Banc of America Funding, Ser 2003-1,
Cl A1
6.000%, 05/20/33 5 5
Banc of America Funding, Ser 2005-B,
Cl 2A1 (F)
5.112%, 04/01/07 6,554 6,525
Bear Stearns Asset Backed Securities,
Ser 2007-HE2, Cl 1A1
5.420%, 04/30/07 15,459 15,471
Bear Stearns Asset-Backed Securities,
Ser 2000-2, Cl M2 (G)
8.280%, 08/25/30 8,000 8,140
Bear Stearns Asset-Backed Securities,
Ser 2003-1, Cl A1 (F)
5.820%, 04/25/07 4,926 4,935
Bear Stearns Asset-Backed Securities,
Ser 2006-HE1, Cl 2A1 (F)
5.410%, 04/27/07 3,973 3,972
Bear Stearns Asset-Backed Securities,
Ser 2007-AQ2, Cl A1
5.420%, 04/30/07 7,938 7,938
Bear Stearns Commercial Mortgage
Securities, Ser 2004-ESA, Cl C (C)
4.937%, 05/14/16 1,656 1,652
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 131
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Bear Stearns Commercial Mortgage
Securities, Ser 2004-PWR6, Cl A6
4.825%, 11/11/41 $ 333 $ 324
Bear Stearns Commercial Mortgage
Securities, Ser 2005-T18, Cl A4 (F)
4.930%, 04/01/07 1,318 1,287
Bear Stearns Commercial Mortgage
Securities, Ser 2006-PW11, Cl A4 (F)
5.458%, 04/01/07 640 649
Bear Stearns Commericial Mortgage
Securities, Ser 2007-PW15, Cl A3
5.309%, 02/11/44 1,325 1,329
California Infrastructure SCE,
Ser 1997-1, Cl A7
6.420%, 12/26/09 1,040 1,045
Capital One Multi-Asset Execution Trust,
Ser 2003-A4, Cl A4
3.650%, 07/15/11 845 829
Carrington Mortgage Loan Trust,
Ser 2006-NC5, Cl A2 (F)
5.430%, 04/19/07 1,736 1,735
Chase Commercial Mortgage Securities,
Ser 2000-3, Cl A2
7.319%, 10/15/32 2,575 2,723
Chase Funding Mortgage Loan,
Ser 2002-1, Cl 2A2 (F)
5.820%, 04/25/07 2,586 2,587
Chase Funding Mortgage Loan,
Ser 2003-6, Cl 1A3
3.340%, 05/25/26 1,873 1,850
Chase Manhattan Commercial
Mortgage Trust, Ser 99-C2,
Cl A2 (F)
7.546%, 11/17/32 5,730 5,965
Chase Mortgage Finance, Ser 2005-A1,
Cl 2A3 (F)
5.250%, 04/01/07 12,400 12,307
Citicorp Residential Mortgage
Securities, Ser 2006-1,
Cl A2 (G)
5.682%, 07/25/36 1,236 1,239
Citicorp Residential Mortgage
Securities, Ser 2006-2,
Cl A2 (G)
5.557%, 04/01/07 1,163 1,164
Citigroup Commercial Mortgage Trust,
Ser 2004-CA, Cl C (F)
5.356%, 04/01/07 774 777
Citigroup Commercial Mortgage Trust,
Ser 2006-C5, Cl A4
5.431%, 10/15/49 1,523 1,527
Citigroup Mortgage Loan Trust,
Ser 2005-HE4, Cl A2C (F)
5.590%, 04/27/07 4,800 4,804
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Citigroup Mortgage Loan Trust,
Ser 2006-FX1, Cl A1 (F)
5.420%, 04/30/07 $ 2,165 $ 2,166
Citigroup Mortgage Loan Trust,
Ser 2007-AHL1, Cl A2A
5.360%, 04/25/07 1,711 1,710
Citigroup/Deutsche Bank Commercial
Mortgage, Ser 2006-CD3, Cl AAB
5.608%, 10/15/48 1,013 1,030
Commercial Mortgage Pass-Through
Certificate, Ser 1999-1, Cl E (F)
7.093%, 04/01/07 2,734 2,805
Commercial Mortgage Pass-Through
Certificate, Ser 2000-C1, Cl C
7.706%, 08/15/33 391 420
Commercial Mortgage Pass-Through
Certificate, Ser 2004-LB3A, Cl B (F)
5.281%, 04/01/07 1,225 1,223
Commercial Mortgage Pass-Through
Certificate, Ser 2005-C6, Cl A3 (F)
5.144%, 04/10/07 12,000 11,952
Conseco Finance Home Loan Trust,
Ser 2000-E, Cl M1
8.130%, 08/15/31 2,102 2,143
Conseco Finance Securitization,
Ser 2000-4, Cl A6
8.310%, 05/01/32 1,500 1,246
Conseco Finance, Ser 2001-D,
Cl A5 (G)
6.190%, 11/15/32 2,742 2,775
Contimortgage Home Equity Loan Trust,
Ser 1997-1, Cl A9
7.050%, 03/15/28 82 82
Contimortgage Home Equity Loan Trust,
Ser 1997-2, Cl A9
7.090%, 04/15/28 100 99
Countrywide Alternative Loan Trust,
Ser 2004-J1, Cl 1A1
6.000%, 02/25/34 1,225 1,221
Countrywide Alternative Loan Trust,
Ser 2005-27, Cl 3A2 (F)
6.033%, 04/01/07 1,204 1,204
Countrywide Alternative Loan Trust,
Ser 2005-56, Cl 4A1 (F)
5.630%, 04/25/07 10,812 10,843
Countrywide Alternative Loan Trust,
Ser 2005-59, Cl 1A1 (F)
5.680%, 04/20/07 13,233 13,280
Countrywide Alternative Loan Trust,
Ser 2005-59, Cl 2X, IO (E)
1.879%, 04/01/07 31,757 1,113
Countrywide Alternative Loan Trust,
Ser 2006-OA2, Cl X1P (H)
2.679%, 05/20/46 49,870 2,175
- --------------------------------------------------------------------------------
132 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Alternative Loan Trust,
Ser 2006-OC6, Cl 2A1 (F)
5.390%, 04/25/07 $ 2,662 $ 2,663
Countrywide Asset-Backed Certificates,
Ser 2003-BC2, Cl 2A1 (F)
5.920%, 04/25/07 38 38
Countrywide Asset-Backed Certificates,
Ser 2004-11, Cl A2 (F)
5.700%, 04/25/07 678 679
Countrywide Asset-Backed Certificates,
Ser 2004-14, Cl A4 (F)
5.600%, 04/25/07 1,432 1,435
Countrywide Asset-Backed Certificates,
Ser 2005-15, Cl 1AF1 (F)
5.460%, 04/25/07 7,454 7,455
Countrywide Asset-Backed Certificates,
Ser 2006-IM1, Cl A1 (F)
5.410%, 04/27/07 2,008 2,008
Countrywide Asset-Backed Certificates,
Ser 2006-S1, Cl A2
5.549%, 08/25/21 2,572 2,565
Countrywide Asset-Backed Certificates,
Ser 2007-S2, Cl A2
5.649%, 05/25/37 3,354 3,351
Countrywide Asset-Backet Certificates,
Ser 2006-10, Cl MV1
5.580%, 04/25/07 10,450 10,400
Countrywide Home Equity Loan Trust,
Ser 2004-K, Cl A2 (F)
5.620%, 04/15/07 2,322 2,325
Countrywide Home Equity Loan Trust,
Ser 2005-F, Cl 2A (F)
5.560%, 04/15/07 7,784 7,790
Countrywide Home Equity Loan Trust,
Ser 2005-H, Cl 2A (F)
5.560%, 04/15/07 6,786 6,792
Countrywide Home Equity Loan Trust,
Ser 2005-M, Cl A2 (F)
5.440%, 04/15/07 12,288 12,286
Countrywide Home Loans,
Ser 2005-HY10, Cl 1A1 (F)
5.283%, 04/01/07 2,528 2,554
Countrywide Home Loans,
Ser 2005-HYB9, Cl 1A1 (F)
5.150%, 04/01/07 1,626 1,627
Countrywide Home Loans,
Ser 2005-HYB9, Cl 1A2 (F)
5.150%, 04/01/07 354 354
Countrywide Home Loans,
Ser 2005-R3, Cl AF (C) (F)
5.720%, 04/25/07 7,794 7,840
Countrywide Home Loans,
Ser 2006-HYB1, Cl 1A1 (F)
5.379%, 04/20/07 3,647 3,654
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Loan, Ser 2007-3, Cl 2A1
5.370%, 08/25/37 $ 751 $ 751
Credit Suisse First Boston Mortgage
Securities, Ser 1998-C2, Cl A2
6.300%, 11/15/30 10,747 10,883
Credit Suisse First Boston Mortgage
Securities, Ser 2001-MH29, Cl A (G)
5.600%, 09/25/31 1,406 1,392
Credit Suisse First Boston Mortgage
Securities, Ser 2002-CKS4, Cl A2
5.183%, 11/15/36 16,786 16,770
Credit Suisse First Boston Mortgage
Securities, Ser 2003-AR24,
Cl 2A4 (F)
4.028%, 04/01/07 11,626 11,413
Credit Suisse First Boston Mortgage
Securities, Ser 2003-C4, Cl A4 (F)
5.137%, 08/15/36 1,339 1,332
Credit Suisse First Boston Mortgage
Securities, Ser 2004-C5, Cl A4 (F)
4.829%, 04/15/07 1,815 1,761
Credit Suisse First Boston Mortgage
Securities, Ser 2005-C1, Cl AAB
4.815%, 04/01/07 589 580
Criimi Mae Commercial Mortgage,
Ser 1998-C1, Cl A2 (C)
7.000%, 06/02/33 6,384 6,363
DLJ Commercial Mortgage,
Ser 1999-CG1, Cl A1B
6.460%, 03/10/32 5,030 5,126
DSLA Mortgage Loan Trust,
Ser 2004-AR2, Cl A2B (F)
5.720%, 04/19/07 6,145 6,179
DSLA Mortgage Loan Trust,
Ser 2004-AR3, Cl B2 (F)
6.420%, 04/20/07 834 843
DaimlerChrysler Master Owner Trust,
Ser 2005-A, Cl A
5.370%, 04/15/07 1,746 1,747
Discover Card Master Trust I,
Ser 2003-1, Cl A3
5.460%, 04/15/07 505 505
Duke Funding, Ser 2004-6B,
Cl A1S1 (C) (F) (K)
5.430%, 04/09/07 9,122 9,122
EMC Mortgage Loan Trust,
Ser 2002-AA, Cl A1 (C) (F)
5.790%, 04/25/07 2,249 2,258
Equivantage Home Equity Loan Trust,
Ser 1997-2, Cl A3 (G)
7.775%, 04/01/07 249 248
FFCA Secured Lending, Ser 1999-1A,
IO (C) (F) (H)
1.468%, 04/01/07 9,792 422
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 133
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
First Franklin Mortgage Loan Asset-
Backed Securities, Ser 2004-FF10,
Cl A2 (F)
5.720%, 04/26/07 $ 488 $ 489
First Franklin Mortgage Loan Asset-
Backed Securities, Ser 2004-FF11,
Cl 1A2 (F)
5.670%, 04/25/07 535 535
First Franklin Mortgage Loan Asset-
Backed Securities, Ser 2005-FF10,
Cl A4 (F)
5.640%, 04/25/07 8,400 8,407
First Franklin Mortgage Loan
Asset-Backed Securities,
Ser 2005-FF9, Cl A3 (F)
5.600%, 04/25/07 9,500 9,506
First Franklin Mortgage Loan,
Ser 2005-FFH4, Cl N1 (C)
5.682%, 12/25/35 56 55
First Franklin Mortgage Loan,
Ser 2006-FFA, Cl A3 (F)
5.440%, 04/25/07 8,199 8,198
First Horizon Trust, Ser 2004-HE2,
Cl A (F)
5.540%, 04/25/07 2,853 2,855
First Union National Bank,
Ser 2001-C4, Cl B
6.417%, 12/12/33 809 850
Fleet Home Equity Trust,
Ser 2001-1, Cl A (F)
5.530%, 04/01/07 205 205
Fund America Investors,
Ser 1993-A, Cl A2 (F)
6.168%, 04/01/07 355 352
GE Capital Commercial Mortgage,
Ser 2002-1A, Cl A3
6.269%, 12/10/35 5,610 5,870
GE Capital Commercial Mortgage,
Ser 2002-3A, Cl A2
4.996%, 12/10/37 12,500 12,422
GE Capital Commercial Mortgage,
Ser 2004-C3, Cl A4 (F)
5.190%, 04/01/07 2,067 2,054
GE Capital Commercial Mortgage,
Ser 2005-C4, Cl A3A (F)
5.334%, 04/01/07 12,650 12,781
GE Capital Commercial Mortgage,
Ser 2006-C1, Cl A3 (F)
5.519%, 04/01/07 2,455 2,474
GMAC Commercial Mortgage Securities,
Ser 1998-C1, Cl A2
6.700%, 05/15/30 7,518 7,581
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GMAC Commercial Mortgage Securities,
Ser 1999-C2, Cl A2
6.945%, 09/15/33 $ 240 $ 247
GMAC Commercial Mortgage Securities,
Ser 2004-C1, Cl A1
3.118%, 03/10/38 512 501
GMAC Commercial Mortgage Securities,
Ser 2004-C2, Cl A1
3.896%, 08/10/38 179 176
GMAC Commercial Mortgage Securities,
Ser 2006-C1, Cl A4
5.238%, 04/01/07 4,800 4,761
GMAC Mortgage Loan Trust,
Ser 2004-HE2, Cl A2 (F)
2.880%, 04/25/07 314 307
GMAC Mortgage Loan Trust,
Ser 2004-HE4, Cl A1 (F)
5.600%, 04/25/07 3,691 3,692
GMAC Mortgage Loan Trust,
Ser 2007-HE1, Cl A2
5.621%, 08/25/37 4,497 4,514
GS Mortgage Securities,
Ser 1998-GLII, Cl A2
6.562%, 04/13/31 4,363 4,398
GS Mortgage Securities,
Ser 2004-GG2, Cl A6
5.396%, 08/10/38 544 547
GS Mortgage Securities,
Ser 2005-GG4, Cl A4A
4.751%, 07/10/39 6,500 6,271
GS Mortgage Securities,
Ser 2005-GG4, Cl AABA
4.680%, 07/10/39 350 342
GS Mortgage Securities,
Ser 2006-C1, Cl B
6.970%, 10/18/30 1,189 1,213
GS Mortgage Securities,
Ser 2006-GG6, Cl AM (F)
5.622%, 04/10/38 4,300 4,366
GS Mortgage Securities,
Ser 2006-GG8, Cl AJ
5.622%, 11/10/39 1,455 1,472
GSAA Home Equity Trust,
Ser 2006-2, Cl 2A1 (F)
5.420%, 04/27/07 9,153 9,149
GSAMP Trust, Ser 2003-SEA,
Cl A1 (F)
5.720%, 04/25/07 4,503 4,522
GSAMP Mortgage Loan Trust,
Ser 1998-1, Cl A (C)
8.000%, 09/19/27 99 104
GSR Mortgage Loan Trust,
Ser 2003-13, Cl 1A1 (F)
4.503%, 04/01/07 7,805 7,618
- --------------------------------------------------------------------------------
134 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Great America Leasing Receivables,
Ser 2006-1, Cl A3
5.340%, 01/15/10 $ 1,203 $ 1,205
Green Tree Financial,
Ser 1993-4, Cl A5
7.050%, 01/15/19 520 530
Green Tree Financial,
Ser 1996-5, Cl A6
7.750%, 07/15/27 1,477 1,545
Greenwich Capital Commercial
Funding, Ser 2005-GG3,
Cl AAB (F)
4.619%, 08/10/42 6,305 6,146
Greenwich Capital Commercial
Funding, Ser 2007-GG9,
Cl A4
5.444%, 03/10/39 3,690 3,701
HSI Asset Securitization Trust,
Ser 2005-I1, Cl 2A3 (F)
5.610%, 04/27/07 8,000 8,007
HSI Asset Securitization Trust,
Ser 2005-NC1, Cl 2A4 (F)
5.640%, 04/25/07 1,587 1,587
Harborview Mortgage Loan Trust,
Ser 2005-01, Cl X, IO (E)
1.290%, 04/01/07 33,091 672
Harborview Mortgage Loan Trust,
Ser 2005-10, Cl X, IO (F) (H)
1.284%, 04/01/07 32,732 864
Harborview Mortgage Loan Trust,
Ser 2005-12, Cl X2B, IO (F) (H)
1.082%, 04/01/07 27,701 653
Heller Financial Commercial Mortgage,
Ser 1999-PH1, Cl C (F)
6.867%, 04/15/07 250 258
Home Equity Asset Trust,
Ser 2003-4, Cl M2 (F)
7.220%, 04/25/07 1,275 1,276
Home Equity Asset Trust,
Ser 2005-5N, Cl A (C)
5.500%, 12/27/35 512 358
IMPAC CMB Trust, Ser 2003-12,
Cl A1 (F)
6.080%, 04/25/07 1,643 1,643
IMPAC Secured Assets CMO Owners
Trust, Ser 2007-1, Cl A1
5.380%, 04/25/07 21,037 21,029
Impac Secured Assets CMO Owners
Trust, Ser 2006-3, Cl A4 (F)
5.410%, 04/27/07 8,637 8,637
Indymac INDA Mortgage Loan Trust,
Ser 2005-AR2, Cl 1A1 (F)
4.893%, 04/01/07 685 694
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Indymac Index Mortgage Loan Trust,
Ser 2004-AR12, Cl AX2, IO (E) (H)
0.930%, 04/01/07 $ 30,977 $ 649
Indymac Seconds Asset-Backed Trust,
Ser 2006-6A, Cl A (F)
5.450%, 04/25/07 4,256 4,255
JPMorgan Chase Commercial Mortgage,
Ser 2007-LDPX, Cl A3
5.420%, 01/15/49 4,926 4,950
JPMorgan Chase Commercial Mortgage,
Ser 2001-CIB2, Cl A3
6.429%, 04/15/35 5,170 5,407
JPMorgan Chase Commercial Mortgage,
Ser 2002-C2, Cl A2 (F)
5.050%, 12/12/34 3,078 3,055
JPMorgan Chase Commercial Mortgage,
Ser 2002-CIB5, Cl A2
5.161%, 10/12/37 590 589
JPMorgan Chase Commercial Mortgage,
Ser 2003-CB7, Cl A4 (F)
4.879%, 04/12/07 1,093 1,071
JPMorgan Chase Commercial Mortgage,
Ser 2005-CB11, Cl ASB
5.201%, 08/12/37 878 878
JPMorgan Chase Commercial Mortgage,
Ser 2005-CB12, Cl A4
4.895%, 09/12/37 680 660
JPMorgan Chase Commercial Mortgage,
Ser 2005-CB13, Cl AM
5.335%, 04/01/07 582 583
JPMorgan Chase Commercial Mortgage,
Ser 2005-LDP4, Cl A4 (F)
4.918%, 04/01/07 3,700 3,594
JPMorgan Chase Commercial Mortgage,
Ser 2007-CB18, Cl A3
5.447%, 04/01/07 1,166 1,173
JPMorgan Mortgage Trust, Ser 2005-A3,
Cl 11A2 (F)
4.511%, 04/25/07 12,385 11,793
JPMorgan Mortgage Trust, Ser 2006-A2,
Cl 2A2 (F)
5.773%, 04/01/07 12,600 12,743
JPMorgan Mortgage Trust, Ser 2006-A3,
Cl 3A4 (F)
5.768%, 04/01/07 13,560 13,721
LB Commercial Conduit Mortgage Trust,
Ser 1999-C2, Cl A1
7.105%, 10/15/32 43 43
LB Commercial Conduit Mortgage Trust,
Ser 1999-C2, Cl B
7.425%, 10/15/32 378 397
LB-UBS Commercial Mortgage Trust,
Ser 2002-C2, Cl A4
5.594%, 06/15/31 5,000 5,099
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 135
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
LB-UBS Commercial Mortgage Trust,
Ser 2003-C8, Cl A4
5.124%, 11/15/32 $ 893 $ 888
LB-UBS Commercial Mortgage Trust,
Ser 2007-C1, Cl AM
5.455%, 04/11/07 2,325 2,329
Lehman Brothers Commercial
Mortgage, Ser 1998-C2, Cl A2
6.560%, 11/18/35 2,599 2,620
Lehman XS Trust, Ser 2005-5N,
Cl 1A1 (F)
5.620%, 04/01/07 8,682 8,704
Lehman XS Trust, Ser 2005-5N,
Cl M4 (F)
7.070%, 04/30/07 1,800 1,709
Lehman XS Trust, Ser 2005-5N,
Class 3A3A (F)
5.510%, 04/25/07 188 188
Lehman XS Trust, Ser 2006-7,
Cl 2A1 (F)
5.390%, 04/25/07 2,776 2,776
Long Beach Asset Holdings,
Ser 2005-WL1, Cl N1 (C)
5.193%, 06/25/45 336 333
Long Beach Mortgage Loan Trust,
Ser 2006-WL1, Cl 1A3 (F)
5.650%, 04/27/07 1,676 1,679
MLCC Mortgage Investors,
Ser 2004-B, Cl A3 (F)
7.064%, 04/01/07 1,810 1,838
Master Asset-Backed Securities Trust,
Ser 2004-OPT2, Cl A2 (F)
5.670%, 04/26/07 90 90
Master Asset-Backed Securities Trust,
Ser 2005-AB1, Cl A1B (G)
5.143%, 04/01/07 562 559
Master Asset-Backed Securities Trust,
Ser 2006-AB1, Cl A1 (F)
5.460%, 04/27/07 11,076 11,077
Master Asset-Backed Securities Trust,
Ser 2007-WMC1, Cl A2
5.370%, 04/25/07 1,143 1,142
Master Reperforming Loan Trust,
Ser 2005-1, Cl 1A1 (C)
6.000%, 08/25/34 5,111 5,129
Master Seasoned Securities Trust,
Ser 2004-2, Cl A2
6.500%, 08/25/32 5,446 5,523
Merrill Lynch First Franklin Mortgage
Loan, Ser 2007-1, Cl M1
5.702%, 04/27/07 2,084 2,084
Merrill Lynch Mortgage Investors Trust,
Ser 2004-WMC5, Cl A1A
5.610%, 04/25/07 1,043 1,044
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Merrill Lynch Mortgage Investors,
Ser 2003-OPT1, Cl A3 (F)
5.680%, 07/25/34 $ 1,227 $ 1,230
Merrill Lynch Mortgage Investors,
Ser 2004-A1, Cl 4A (F)
5.347%, 04/01/07 8,326 8,282
Merrill Lynch Mortgage Investors,
Ser 2005-HE2, Cl A2A (F)
5.430%, 04/27/07 1,195 1,196
Merrill Lynch Mortgage Investors,
Ser 2006-WMC2, Cl A2D (G)
5.895%, 04/25/07 5,200 5,256
Merrill Lynch Mortgage Trust,
Ser 2004-BPC1, Cl A5
4.855%, 10/12/41 1,802 1,753
Merrill Lynch Mortgage Trust,
Ser 2004-MKB1, Cl B
5.280%, 02/12/42 465 461
Merrill Lynch Mortgage Trust,
Ser 2005-MCP1, Cl A4 (F) (J)
4.747%, 06/12/43 3,780 3,637
Merrill Lynch/Countrywide Commercial
Mortgage Trust, Ser 2006-4, Cl ASB
5.133%, 12/12/49 3,518 3,483
Merrill Lynch/Countrywide Commercial
Mortgage, Ser 2007-6, Cl A2
5.331%, 03/12/51 1,241 1,248
Mid-State Trust, Ser 11, Cl A1
4.864%, 07/15/38 5,505 5,278
Morgan Stanley ABS Capital 1,
Ser 2006-WMC1, Cl A2A
5.390%, 04/25/07 313 313
Morgan Stanley Capital I,
Ser 2003-IQ5, Cl A4
5.010%, 04/01/07 2,161 2,141
Morgan Stanley Capital I,
Ser 2003-NC8, Cl M1 (F)
6.020%, 04/27/07 2,200 2,203
Morgan Stanley Capital I,
Ser 2004-HQ3, Cl D
4.900%, 01/13/41 124 121
Morgan Stanley Capital I,
Ser 2004-T13, Cl B
4.760%, 09/13/45 578 558
Morgan Stanley Capital I,
Ser 2005-HQ5, Cl AAB
5.037%, 01/14/42 1,940 1,928
Morgan Stanley Capital I,
Ser 2005-HQ6, Cl A4A
4.989%, 08/13/42 5,600 5,475
Morgan Stanley Capital I,
Ser 2006-HQ9, Cl A4
5.731%, 07/12/44 2,684 2,749
- --------------------------------------------------------------------------------
136 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Morgan Stanley Capital I,
Ser 2007-HE2, Cl A2A
5.360%, 04/25/07 $ 849 $ 849
Morgan Stanley Capital I,
Ser 2007-IQ13, Cl A4
5.364%, 03/15/44 1,742 1,738
Morgan Stanley Dean Witter Capital I,
Ser 2003-NC4, Cl M2 (F)
7.320%, 04/25/07 429 430
Morgan Stanley Dean Witter Capital,
Ser 2000-LIFE, Cl A2
7.570%, 11/15/36 3,179 3,339
Morgan Stanley Home Equity Loans,
Ser 2007-1, Cl A1
5.370%, 04/25/07 843 843
Morgan Stanley Mortgage Loan,
Ser 2007-6XS, Cl 2A1S
5.430%, 04/25/07 723 723
Mortgage Capital Funding,
Ser 1998-MC2, Cl A2
6.423%, 06/18/30 4,371 4,396
New Century Home Equity Loan Trust,
Ser 2003-B, Cl M1 (F)
5.970%, 04/27/07 1,917 1,923
New Century Home Equity Loan Trust,
Ser 2004-A, Cl AII3 (F)
4.450%, 04/01/07 2,375 2,363
New Century Home Equity Loan Trust,
Ser 2005-A, Cl A2 (G)
4.461%, 04/25/07 6,071 6,017
New Century Home Equity Loan Trust,
Ser 2005-B, Cl A2A (F)
4.940%, 04/25/07 789 789
Newcastle CDO, Ser 2005-6A,
Cl IM1 (C) (F) (K)
5.340%, 04/24/07 2,432 2,432
Northstar Education Finance,
Ser 2005-1, Cl A5
4.740%, 10/30/45 1,375 1,366
Novastar Home Equity Loan,
Ser 2007-1, Cl A2A
5.420%, 04/30/07 16,190 16,187
Oncor Electric Delivery Transition Bond,
Ser 2003-1, Cl A2
4.030%, 02/15/12 4,458 4,388
Option One Mortgage Loan Trust,
Ser 2001-4, Cl A (F)
5.920%, 04/25/07 667 667
Option One Mortgage Loan Trust,
Ser 2003-5, Cl M1 (F)
5.970%, 04/23/07 1,425 1,428
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Option One Mortgage Loan Trust,
Ser 2006-1, Cl M10 (C) (F)
7.820%, 04/27/07 $ 130 $ 115
Option One Mortgage Loan Trust,
Ser 2006-1, Cl M11 (C) (F)
7.820%, 04/27/07 280 232
Option One Mortgage Securities,
Ser 2005-3A, Cl N1 (C)
5.438%, 08/26/35 445 443
Orchid Structured Finance CDO,
Ser 2003-1A, Cl A1MM (C) (F)
5.525%, 05/18/07 7,173 7,173
Ownit Mortgage Loan Asset-Backed
Securities Trust, Ser 2006-1,
Cl AF1 (G)
5.424%, 12/25/36 9,007 8,962
Ownit Mortgage Loan NIM Trust,
Ser 2005-5A, Cl N1 (C)
5.500%, 10/25/36 84 84
Residential Accredit Loans,
Ser 2006-Q01, Cl 2A3 (F)
5.720%, 04/27/07 1,000 1,007
Residential Asset Mortgage Products,
Ser 2003-RS11, Cl MII1 (F)
6.050%, 04/25/07 188 189
Residential Asset Mortgage Products,
Ser 2003-RS2, Cl AII (F)
5.660%, 04/25/07 126 126
Residential Asset Mortgage Products,
Ser 2003-RS3, Cl AII (F)
5.680%, 04/25/07 187 187
Residential Asset Mortgage Products,
Ser 2003-RS7, Cl AI6
5.340%, 04/01/07 704 698
Residential Asset Mortgage Products,
Ser 2004-SL1, Cl A8
6.500%, 11/25/31 3,342 3,390
Residential Asset Mortgage Products,
Ser 2007-RS1, Cl A1
5.430%, 04/09/07 7,613 7,611
Residential Asset Securities,
Ser 2006-EMX2, Cl A1 (F)
5.400%, 04/27/07 3,892 3,892
Residential Asset Securitization Trust,
Ser 2004-IP2, Cl 2A1 (F)
5.244%, 04/01/07 4,353 4,342
Residential Funding Mortgage Securities,
Ser 2000-HI1, Cl AI7 (G)
8.290%, 02/25/25 3,622 3,642
Residential Funding Mortgage Securities,
Ser 2005-HS1, Cl AI1 (F)
5.440%, 04/25/07 6,613 6,596
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 137
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2A (C) (F)
5.420%, 04/25/07 $ 8,917 $ 8,917
SB Finance NIM Trust, Ser 2005-HE3,
Cl 2N1 (C)
5.000%, 06/25/35 586 582
SB Finance NIM Trust, Ser 2005-HE3,
Cl N1 (C)
4.750%, 09/25/35 1,131 1,117
SLM Student Loan Trust, Ser 2006-2,
Cl B (F)
5.590%, 06/19/07 5,250 5,255
SLM Student Loan Trust, Ser 2006-9,
Cl B (F)
5.590%, 04/12/07 4,000 4,006
SLM Student Loan Trust, Ser 2006-C,
Cl C (F)
5.754%, 06/28/07 4,000 3,964
Saco I Trust, Ser 2005-9, Cl A1 (F)
5.570%, 04/27/07 1,197 1,197
Saco I Trust, Ser 2005-WM3, Cl A1 (F)
5.580%, 04/27/07 2,880 2,881
Saco I Trust, Ser 2006-6, Cl A (F)
5.450%, 04/25/07 5,513 5,511
Sail NIM Notes, Ser 2005-11A,
Cl A (C)
7.500%, 01/27/36 324 110
Salomon Brothers Mortgage Securities
VII, Ser 2001-C2, Cl A3
6.499%, 10/13/11 5,750 6,035
Securitized Asset-Backed Receivables
LLC, Ser 2005-FR4, Cl A3 (F)
5.520%, 04/25/07 2,643 2,643
Sharps SP I LLC NIM Trust,
Ser 2005-HE5N, Cl A1 (C)
5.800%, 08/25/35 449 337
Sharps SP I LLC NIM Trust,
Ser 2005-WF1N, Cl NA (C)
6.150%, 05/25/35 350 315
Soundview Home Equity Loan Trust,
Ser 2005-OPT4, Cl M8 (F)
7.820%, 04/25/07 500 456
Start, Ser 2003-1, Cl X
4.130%, 04/21/07 5,700 5,672
Start, Ser 2003-2, Cl X
4.600%, 04/21/07 6,545 6,543
Structued Asset Securities,
Ser 2007-BC2, Cl A2
5.410%, 04/25/07 16,901 16,898
Structured Adjustable Rate Mortgage
Loan, Ser 2005-19XS, Cl 1A1 (F)
5.640%, 04/26/07 3,325 3,337
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Structured Asset Investment Loan
Trust, Ser 2005-3, Cl A3
5.490%, 04/25/07 $ 419 $ 419
Structured Asset Investment Loan
Trust, Ser 2005-8, Cl A2 (F)
5.450%, 04/25/07 963 963
Structured Asset Investment Loan,
Ser 2003-BC4, Cl M2 (F)
8.320%, 04/25/07 300 301
Structured Asset Securities,
Ser 2004-19XS, Cl A2 (G)
4.370%, 04/01/07 1,461 1,447
Structured Asset Securities,
Ser 2005-17, Cl 5A1 (F)
5.500%, 04/01/07 3,921 3,854
Structured Asset Securities,
Ser 2006-GEL4, Cl A1 (F)
5.440%, 04/27/07 6,120 6,105
TMS SBA Loan Trust, Ser 1999-1,
Cl A (F)
6.050%, 04/15/07 390 387
Terwin Mortgage Trust, Ser 2005-9HGS,
Cl A1 (C) (F)
4.000%, 04/01/07 3,343 3,310
Terwin Mortgage Trust, Ser 2006-2HGS,
Cl A1 (C) (F)
4.500%, 03/25/37 9,103 9,021
Terwin Mortgage Trust, Ser 2006-2HGS,
Cl AX, IO (C) (F)
20.000%, 03/25/37 1,946 2
Terwin Mortgage Trust, Ser 2006-4SL,
Cl A1 (C) (F)
4.500%, 05/25/37 8,431 8,365
Terwin Mortgage Trust, Ser 2006-4SL,
Cl AX, IO (C) (F)
20.000%, 05/25/37 4,991 5
Terwin Mortgage Trust, Ser 2006-6,
Cl A1
4.500%, 07/25/37 6,502 6,453
Terwin Mortgage Trust, Ser 2006-HF1,
Cl A1A (C) (F)
4.500%, 02/25/37 3,542 3,523
Thornburg Mortgage Securities Trust,
Ser 2005-3, Cl 2A1 (F) (J)
5.560%, 04/25/07 13,717 13,727
Thornburg Mortgage Securities Trust,
Ser 2006-1, Cl A3 (F)
5.490%, 04/01/07 23,239 23,210
Thornburg Mortgage Securities Trust,
Ser 2006-3, Cl A2 (F)
5.425%, 04/25/07 15,452 15,429
Thornburg Mortgage Securities Trust,
Ser 2006-3, Cl A3 (F)
5.430%, 04/25/07 15,236 15,209
- --------------------------------------------------------------------------------
138 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Vendee Mortgage Trust, Ser 1994-1,
Cl 2ZB (F)
6.500%, 04/01/07 $ 2,838 $ 2,942
Wachovia Bank Commercial Mortgage
Trust, Ser 2002-C1A, Cl A4
6.287%, 04/15/34 1,543 1,617
Wachovia Bank Commercial Mortgage
Trust, Ser 2002-C2, Cl A4
4.980%, 11/15/34 1,187 1,174
Wachovia Bank Commercial Mortgage
Trust, Ser 2003-C6, Cl A3
4.957%, 08/15/35 737 732
Wachovia Bank Commercial Mortgage
Trust, Ser 2003-C8, Cl A3
4.445%, 11/15/35 839 822
Wachovia Bank Commercial Mortgage
Trust, Ser 2003-C9, Cl A4
5.012%, 12/15/35 566 558
Wachovia Bank Commercial Mortgage
Trust, Ser 2003-C9, Cl B (F)
5.109%, 04/01/07 334 331
Wachovia Bank Commercial Mortgage
Trust, Ser 2004-C10, Cl A4
4.748%, 02/15/41 2,200 2,132
Wachovia Bank Commercial Mortgage
Trust, Ser 2004-C11, Cl B (F)
5.306%, 04/01/07 1,641 1,634
Wachovia Bank Commercial Mortgage
Trust, Ser 2004-C15, Cl B
4.892%, 04/01/07 806 780
Wachovia Bank Commercial Mortgage
Trust, Ser 2005 C-22, Cl A4 (F)
5.266%, 04/01/07 4,131 4,131
Wachovia Bank Commercial Mortgage
Trust, Ser 2005-C18, Cl A4
4.935%, 04/15/42 1,792 1,746
Wachovia Bank Commercial Mortgage
Trust, Ser 2005-C19, Cl A6
4.699%, 05/15/44 685 656
Wachovia Bank Commercial Mortgage
Trust, Ser 2005-C21, Cl A4
5.196%, 04/01/07 867 864
Wachovia Bank Commercial Mortgage
Trust, Ser 2006-C26, Cl APB
5.997%, 06/15/45 2,047 2,127
Wachovia Bank Commercial Mortgage
Trust, Ser 2007-C30, Cl A3
5.246%, 12/15/43 1,158 1,158
Wachovia Bank Commercial Mortgage
Trust, Ser 2007-C30, Cl A5
5.342%, 12/15/43 834 829
Washington Mutual, Ser 2003-MS1,
Cl 1A
5.000%, 02/25/18 2,373 2,322
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Washington Mutual,
Ser 2003-MS2, Cl 3A1
5.000%, 03/25/18 $ 7,169 $ 7,027
Washington Mutual,
Ser 2005-AR13, Cl A1A1 (F)
5.610%, 04/25/07 7,523 7,533
Washington Mutual,
Ser 2005-AR15, Cl A1A2 (F)
5.600%, 04/25/07 10,371 10,405
Washington Mutual,
Ser 2005-AR16, Cl 1A4A (F)
5.121%, 04/25/07 12,955 12,921
Washington Mutual,
Ser 2005-AR19, Cl A1A2 (F)
5.610%, 04/25/07 10,879 10,914
Wells Fargo Home Equity Trust,
Ser 2004-2, Cl M8B (C) (F)
5.000%, 04/01/07 590 419
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2004-H, Cl A-1 (F)
4.527%, 04/01/07 8,447 8,269
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2004-I, Cl B1 (F)
3.365%, 04/01/07 713 717
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2005-17, Cl 1A1 (F)
5.500%, 04/01/07 11,073 10,853
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2006-2, Cl 3A1
5.750%, 03/25/36 2,159 2,150
Zuni Mortgage Loan Trust,
Ser 2006-0A1, Cl A1 (F)
5.450%, 04/25/07 12,369 12,356
--------------
1,133,237
--------------
OTHER ASSET-BACKED SECURITIES -- 0.2%
CNH Equipment Trust, Ser 2004-A,
Cl A4A
5.430%, 04/15/07 1,744 1,745
California Infrastructure PG&E,
Ser 1, Cl A8
6.480%, 12/26/09 250 252
Connecticut RRB Special Purpose Trust,
Ser 2001-1, Cl A4
5.660%, 06/30/07 595 598
Connecticut RRB Special Purpose Trust,
Ser 2001-1, Cl A5
6.210%, 12/30/11 721 744
Embarcadero Aircraft, Ser 2000-A,
Cl A1 (C) (F)
5.800%, 04/15/07 4,300 3,752
MSDWCC Heloc Trust, Ser 2005-1,
Cl A (F)
5.510%, 04/25/07 836 836
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 139
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
PSE&G Transition Funding LLC,
Ser 2001-1, Cl A4
5.660%, 04/15/07 $ 385 $ 386
--------------
8,313
--------------
Total Asset-Backed Securities
(Cost $1,198,129) ($ Thousands) 1,188,897
--------------
U.S. TREASURY OBLIGATIONS -- 16.1%
U.S. Treasury Bills
5.039%, 04/05/07 (E) 110 110
4.625%, 02/15/17 16,899 16,865
U.S. Treasury Bonds
10.375%, 11/15/12 (J) 7,950 8,204
8.875%, 02/15/19 (J) 4,397 6,008
8.125%, 08/15/19 (J) 3,559 4,648
7.500%, 11/15/16 3,162 3,843
6.625%, 02/15/27 2,742 3,327
6.250%, 08/15/23 to 05/15/30 (J) 25,940 30,007
6.125%, 11/15/27 (J) 22,412 25,875
5.375%, 02/15/31 (J) 6,923 7,381
5.250%, 02/15/29 2,670 2,787
4.500%, 02/15/36 (J) 30,946 29,176
3.875%, 04/15/29 (D) 4,469 5,673
3.625%, 04/15/28 (D) (J) 12,601 15,339
2.375%, 04/15/11 (D) (J) 27,099 27,451
2.375%, 01/15/25 (D) (J) 26,199 26,369
2.375%, 01/15/27 (D) 3,312 3,339
2.000%, 01/15/16 (D) 2,207 2,173
2.000%, 01/15/26 (D) (J) 653 620
U.S. Treasury Notes
5.125%, 06/30/08 195 196
5.125%, 05/15/16 (J) 13,851 14,321
5.000%, 07/31/08 600 602
4.875%, 10/31/08 to 02/15/12 (J) 201,864 204,733
4.875%, 08/15/16 320 325
4.750%, 09/30/08 to 02/15/37 (J) 47,758 47,376
4.750%, 12/31/08 to 01/31/12 2,670 2,679
4.625%, 11/30/08 to 11/15/16 (J) 25,995 26,055
4.625%, 12/31/11 10 10
4.500%, 11/15/10 to 11/15/15 (J) 34,895 34,776
4.500%, 11/30/11 594 593
4.375%, 12/15/10 (J) 11,550 11,490
4.250%, 11/15/14 to 08/15/15 (J) 19,458 18,984
4.000%, 04/15/10 (J) 14,750 14,524
3.875%, 09/15/10 2,420 2,370
3.875%, 02/15/13 (J) 2,200 2,125
3.750%, 05/15/08 (J) 1,070 1,057
3.500%, 11/15/09 24,934 24,286
3.500%, 02/15/10 (J) 3,310 3,218
3.375%, 10/15/09 (J) 6,760 6,569
3.375%, 01/15/12 (D) 353 375
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
2.500%, 07/15/16 (D) (J) $ 17,178 $ 17,627
2.000%, 07/15/14 (D) (J) 14,861 14,717
1.875%, 07/15/15 (D) (J) 17,190 16,804
0.875%, 04/15/10 (D) 85 83
U.S. Treasury STRIPS (A) (J)
6.639%, 11/15/21 43,310 20,979
--------------
Total U.S. Treasury Obligations
(Cost $695,430) ($ Thousands) 706,069
--------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 10.2%
FHLB
5.400%, 01/02/09 3,480 3,479
4.875%, 11/18/11 (J) 6,100 6,107
4.050%, 01/21/09 2,000 1,969
3.310%, 01/23/09 (J) 2,000 1,946
FHLMC
6.875%, 09/15/10 (J) 5,560 5,921
6.000%, 06/15/11 to 10/01/21 9,265 9,561
5.625%, 11/23/35 (J) 4,830 4,739
5.500%, 01/01/17 to 03/01/37 14,661 14,548
5.250%, 11/09/07 (A) (B) 170 165
5.000%, 07/01/35 to 12/01/36 14,553 14,094
4.750%, 11/03/09 (J) 3,900 3,891
4.625%, 05/28/13 (J) 3,750 3,649
FHLMC ARM
6.171%, 07/01/36 4,097 4,095
6.009%, 04/01/37 2,941 2,962
5.910%, 01/01/37 2,257 2,276
FHLMC CMO STRIPS, Ser 232, Cl IO, IO
5.000%, 08/01/35 7,842 1,841
FHLMC CMO STRIPS, Ser 233, Cl 12, IO
5.000%, 09/15/35 3,615 851
FHLMC CMO STRIPS, Ser 233, Cl 6, IO
4.500%, 08/15/35 538 131
FHLMC CMO, Ser 1, Cl Z
9.300%, 04/15/19 222 233
FHLMC CMO, Ser 1611, Cl Z
6.500%, 11/15/23 13,647 14,230
FHLMC CMO, Ser 1663, Cl ZB (F)
6.750%, 04/01/07 917 942
FHLMC CMO, Ser 1983, Cl Z
6.500%, 12/15/23 2,152 2,240
FHLMC CMO, Ser 2043, Cl CJ
6.500%, 04/15/28 4,108 4,198
FHLMC CMO, Ser 2277, Cl B
7.500%, 01/15/31 821 833
FHLMC CMO, Ser 2389, Cl CD
6.000%, 03/15/16 4,566 4,587
FHLMC CMO, Ser 2399, Cl XG
6.500%, 01/15/32 8,153 8,373
FHLMC CMO, Ser 2544, Cl IW, IO
5.500%, 03/15/26 2,903 107
- --------------------------------------------------------------------------------
140 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FHLMC CMO, Ser 2579, Cl PI, IO
5.500%, 03/15/27 $ 759 $ 14
FHLMC CMO, Ser 2623, Cl AJ (F)
4.500%, 04/01/07 1,309 1,281
FHLMC CMO, Ser 2631, Cl MT
3.500%, 01/15/22 876 868
FHLMC CMO, Ser 2645, Cl MK
3.500%, 07/15/22 1,173 1,159
FHLMC CMO, Ser 2733, Cl ME
5.000%, 01/15/34 5,995 5,659
FHLMC CMO, Ser 2809, Cl HX, IO
6.000%, 10/15/24 2,700 109
FHLMC CMO, Ser 2841, Cl BD (F)
4.000%, 04/01/07 1,371 1,334
FHLMC CMO, Ser 2890, Cl AP
3.750%, 12/15/11 2,450 2,397
FHLMC CMO, Ser 2945, Cl SA (F)
2.718%, 04/15/07 6,633 6,274
FHLMC CMO, Ser 2975, Cl EA (F)
5.000%, 04/01/07 1,104 1,100
FHLMC CMO, Ser 3014, Cl NA
4.500%, 11/15/25 3,949 3,902
FHLMC CMO, Ser 3017, Cl TA
4.500%, 08/15/35 2,111 2,037
FHLMC CMO, Ser 3020, Cl MA
5.500%, 04/15/27 2,464 2,470
FHLMC CMO, Ser 3035, Cl DM
5.500%, 11/15/25 2,803 2,806
FHLMC CMO, Ser 3086, Cl PA
5.500%, 05/15/26 3,529 3,538
FHLMC CMO, Ser 3135, Cl JA
6.000%, 09/15/27 3,401 3,438
FHLMC CMO, Ser 3151, Cl LA
6.000%, 11/15/27 3,495 3,530
FHLMC CMO, Ser 3151, Cl PA
6.000%, 04/01/07 2,829 2,858
FHLMC CMO, Ser 3164, Cl NA (F)
6.000%, 04/01/07 5,862 5,929
FHLMC CMO, Ser 3172, Cl PA (F)
6.000%, 04/01/07 4,186 4,231
FHLMC CMO, Ser 3176, Cl HA
6.000%, 02/15/28 3,712 3,758
FHLMC CMO, Ser 3178, Cl MA
6.000%, 10/15/26 10,766 10,888
FHLMC CMO, Ser 3192, Cl GA
6.000%, 03/15/27 2,221 2,246
FHLMC CMO, Ser 3211, Cl PA
5.500%, 11/15/29 3,705 3,721
FHLMC CMO, Ser 3215, Cl QA
6.000%, 06/15/27 3,254 3,289
FHLMC, Ser 3149, Cl PB
6.000%, 04/01/07 5,592 5,680
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FHLMC, Ser 3171, Cl NE
6.000%, 04/01/07 $ 1,376 $ 1,391
FHLMC, Ser 3177, Cl PA
6.000%, 04/01/07 373 378
FHLMC, Ser 3179, Cl PD
5.750%, 04/01/07 3,371 3,392
FHLMC, Ser 3216, Cl NA
6.000%, 05/15/28 1,893 1,916
FHLMC, Ser 3291, Cl BY
4.500%, 03/15/22 1,945 1,819
FNMA
7.250%, 01/15/10 (J) 5,800 6,164
7.125%, 06/15/10 (J) 6,400 6,837
6.625%, 09/15/09 20 21
6.250%, 02/01/11 (J) 8,000 8,392
6.000%, 05/15/11 (J) 6,100 6,360
5.933%, 11/01/36 4,185 4,242
5.858%, 02/01/37 9,469 9,563
5.740%, 04/01/36 1,328 1,338
5.500%, 02/01/17 to 03/01/37 44,446 44,051
5.400%, 04/13/09 810 810
5.204%, 06/27/07 934 922
5.188%, 11/01/36 748 741
4.000%, 05/01/21 285 269
FNMA CMO STRIPS, Ser 365, Cl 2
5.000%, 02/01/36 1,394 355
FNMA CMO STRIPS, Ser 359, Cl 6, IO
5.000%, 11/01/35 1,433 333
FNMA CMO STRIPS, Ser 360, Cl 2, IO
5.000%, 08/01/35 39,605 9,297
FNMA CMO STRIPS, Ser 365, Cl 4, IO
5.000%, 04/01/36 1,512 352
FNMA CMO STRIPS, Ser 377, Cl 2, IO
5.000%, 10/01/36 1,185 285
FNMA CMO, Ser 1999-11, Cl Z
5.500%, 03/25/29 7,324 7,261
FNMA CMO, Ser 2001-T2, Cl B
6.022%, 11/25/10 4,500 4,658
FNMA CMO, Ser 2002-94, Cl BJ, IO
5.500%, 04/25/16 747 41
FNMA CMO, Ser 2002-T11, Cl A
4.768%, 04/25/12 215 213
FNMA CMO, Ser 2003-113, Cl PN
3.500%, 02/25/13 1,313 1,292
FNMA CMO, Ser 2003-15, Cl CH (F)
4.000%, 04/01/07 941 917
FNMA CMO, Ser 2003-16, Cl PN (F)
4.500%, 04/01/07 1,137 1,121
FNMA CMO, Ser 2003-33, Cl CH (F)
4.000%, 04/01/07 1,872 1,820
FNMA CMO, Ser 2003-56, Cl AD
4.500%, 01/25/27 1,798 1,768
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 141
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FNMA CMO, Ser 2003-T1, Cl A
3.807%, 11/25/12 $ 665 $ 644
FNMA CMO, Ser 2004-80, Cl XE
5.000%, 04/01/07 3,330 3,190
FNMA CMO, Ser 2005-38, Cl CD
5.000%, 06/25/19 1,564 1,556
FNMA CMO, Ser 2005-57, Cl EG (F)
5.620%, 04/25/07 3,882 3,890
FNMA CMO, Ser 2005-69, Cl JM
4.500%, 08/25/25 2,499 2,322
FNMA CMO, Ser 2005-77, Cl BX
4.500%, 07/25/28 706 697
FNMA CMO, Ser 2005-92, Cl NM
3.500%, 04/25/13 1,535 1,512
FNMA CMO, Ser 2006-10, Cl FD (F)
5.670%, 04/25/07 6,305 6,324
FNMA CMO, Ser 2006-18, Cl PA
5.500%, 01/25/26 1,934 1,935
FNMA CMO, Ser 2006-26, Cl QA
5.500%, 04/01/07 3,405 3,410
FNMA CMO, Ser 2006-29, Cl PA
5.500%, 08/25/26 3,492 3,494
FNMA CMO, Ser 2006-31, Cl PA
5.500%, 11/25/26 2,089 2,093
FNMA CMO, Ser 2006-41, Cl MA
5.500%, 04/25/24 798 798
FNMA CMO, Ser 2006-53, Cl PA
5.500%, 12/25/26 619 620
FNMA CMO, Ser 2006-55, Cl PA
6.000%, 05/25/26 2,063 2,080
FNMA CMO, Ser 2006-80, Cl PB (F)
6.000%, 04/01/07 3,998 4,042
FNMA CMO, Ser 2006-80, Cl PD (F)
6.000%, 04/01/07 1,290 1,314
FNMA CMO, Ser 34, Cl QJ
4.500%, 01/25/16 3,169 3,126
FNMA CMO, Ser G93-20, Cl ZQ
7.000%, 04/01/07 577 600
FNMA CMO, Ser G93-39, Cl ZQ (F)
6.500%, 04/01/07 981 1,015
FNMA CMO, Ser G93-41, Cl Z (F)
7.000%, 04/01/07 1,278 1,333
FNMA (E)
5.232%, 07/02/07 50 49
5.199%, 04/18/07 (B) 125 125
5.197%, 06/25/07 3,890 3,844
5.176%, 06/01/07 (B) 100 99
FNMA, Ser 2001-T11, Cl B (F)
5.503%, 04/01/07 620 635
FNMA, Ser 2004-19, Cl AY
4.000%, 04/25/19 2,212 2,005
FNMA, Ser 2006-112, Cl QA
5.500%, 04/01/07 4,904 4,926
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FNMA, Ser 2006-64, Cl PA
5.500%, 04/01/07 $ 1,303 $ 1,307
FNMA, Ser 2603, Cl KT
4.750%, 07/15/14 1,543 1,515
FNMA, Ser 2632, Cl NE
4.000%, 06/15/13 3,812 3,701
FNMA, Ser 3173, Cl PH
6.000%, 09/15/27 2,548 2,578
FNMA, Ser 3217, Cl PY
6.000%, 07/15/29 5,022 5,089
FNMA, Ser 3262, Cl PA
5.500%, 05/15/29 2,181 2,191
FNMA, Ser 3279, Cl PA
5.500%, 02/15/23 4,625 4,645
GNMA
6.000%, 07/15/34 to 07/20/35 17,277 17,517
GNMA CMO, Ser 2001-18, Cl WH (F)
7.784%, 04/20/07 419 445
GNMA CMO, Ser 2002-51, Cl SG (F)
9.394%, 04/20/07 367 408
GNMA CMO, Ser 2003-58, Cl LG, IO
5.500%, 05/17/29 4,036 282
GNMA CMO, Ser 2003-86, Cl LC, IO
5.500%, 10/20/27 3,146 91
GNMA CMO, Ser 2003-86, Cl ZK
5.000%, 10/20/33 8,857 8,191
GNMA CMO, Ser 2004-80, Cl IP, IO
5.500%, 07/20/34 7,519 579
GNMA CMO, Ser 2006-3, Cl A
4.212%, 01/16/28 594 582
GNMA CMO, Ser 8, Cl A
3.942%, 08/16/25 873 854
GNMA, Ser 2006-33, Cl NA
5.000%, 01/20/36 1,863 1,788
Small Business Administration,
Ser 2003-P10A, Cl 1
4.524%, 02/10/13 3,940 3,826
--------------
Total U.S. Government Agency Obligations
(Cost $444,663) ($ Thousands) 444,070
--------------
COMMERCIAL PAPER (A) -- 7.5%
FINANCIALS -- 7.5%
Adirondack, Ser 2005-2
5.319%, 04/24/07 12,162 12,119
Brahms Funding
5.314%, 05/14/07 15,026 14,929
5.313%, 04/16/07 10,946 10,920
Buckingham CDO I LLC
5.320%, 04/25/07 11,247 11,206
Buckingham CDO II LLC
5.318%, 04/23/07 13,987 13,939
Buckingham CDO III LLC
5.320%, 04/26/07 12,491 12,443
- --------------------------------------------------------------------------------
142 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Citius I Funding (K)
5.320%, 04/26/07 $ 4,865 $ 4,846
Citius II Funding LLC
5.292%, 04/02/07 12,162 12,159
Davis Square Funding
5.310%, 04/13/07 26,757 26,706
Elysian Funding LLC (K)
5.353%, 04/23/07 4,378 4,364
General Electric Finance
5.252%, 04/19/07 4,905 4,892
Georgetown Funding (K)
5.316%, 04/20/07 29,554 29,467
KKR Pacific Funding Trust
5.341%, 04/27/07 12,162 12,114
Mica Funding LLC (K)
5.316%, 04/20/07 12,683 12,646
5.313%, 04/16/07 6,081 6,067
5.310%, 04/19/07 3,937 3,926
5.294%, 04/05/07 13,135 13,126
Prudential Finance
5.253%, 04/12/07 12,000 11,981
Rabobank USA Finance
5.375%, 04/02/07 17,220 17,217
Rhineland Funding Capital (K)
5.354%, 04/30/07 1,170 1,165
5.332%, 06/06/07 4,470 4,426
5.315%, 05/15/07 12,965 12,880
5.314%, 05/14/07 5,175 5,142
Thornburg Mortgage Capital
Resource
5.313%, 04/16/07 3,095 3,088
5.310%, 04/13/07 2,919 2,913
5.309%, 04/12/07 6,081 6,070
5.298%, 04/10/07 11,737 11,719
UBS Finance (K)
5.271%, 04/02/07 8,000 8,000
Valour Bay Capital LLC
5.326%, 05/16/07 15,203 15,100
5.324%, 04/18/07 5,206 5,193
5.319%, 04/12/07 6,081 6,070
Zane Funding
5.369%, 04/24/07 11,481 11,440
5.364%, 04/17/07 373 372
--------------
Total Commercial Paper
(Cost $328,643) ($ Thousands) 328,645
--------------
FOREIGN BONDS -- 0.3%
Canadian Government (D)
4.000%, 12/01/31 779 976
Deutsche Bundesrepublik
3.750%, 01/04/15 6,320 8,249
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
ICICI Bank Ltd.
6.375%, 04/30/22 $ 240 $ 238
Shell International Finance
5.200%, 03/22/17 3,615 3,578
--------------
Total Foreign Bonds
(Cost $12,740) ($ Thousands) 13,041
--------------
CASH EQUIVALENTS** -- 2.7%
Evergreen Select Money Market
Fund, Institutional Class, 5.200% 1,255,581 1,256
SEI Daily Income Trust
Prime Obligation Fund,
Cl A, 5.180%++ 31,577,916 31,578
SEI Liquidity Fund LP,
5.520%++ (K) 85,135,392 85,135
--------------
Total Cash Equivalents
(Cost $117,969) ($ Thousands) 117,969
--------------
CERTIFICATES OF DEPOSIT (K) -- 0.5%
Barclays Bank (C) (F)
5.440%, 06/11/07 6,081 6,081
CC USA MTN (C)
5.520%, 06/18/07 12,162 12,162
JPMorgan Chase (F)
8.750%, 05/28/07 2,152 2,129
Thornburg Mortgage Capital
Resource
5.309%, 04/11/07 1,512 1,509
--------------
Total Certificates of Deposit
(Cost $21,852) ($ Thousands) 21,881
--------------
MASTER NOTE (A) (K) -- 0.1%
Bear Stearns
5.558%, 03/31/07 3,649 3,649
--------------
Total Master Note
(Cost $3,649) ($ Thousands) 3,649
--------------
REPURCHASE AGREEMENTS (N) -- 11.4%
Barclays
5.340%, dated 03/30/07, to be
repurchased on 04/02/07,
repurchase price $5,812,711
(collateralized by a U.S.
Government Obligation, par
value $5,766,342, 5.600%,
10/17/13; with total market
value $5,926,447) (K) 5,810 5,810
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 143
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Deutsche Bank
5.350%, dated 03/30/07, to be
repurchased on 04/02/07,
repurchase price $50,466,425
(collateralized by various
U.S. Government Obligations,
ranging in par value $332,636-
$18,502,353, 0.000%-6.110%,
05/16/07-10/15/19; with total
market value $51,452,823) (K) $ 50,444 $ 50,444
Lehman Brothers
5.350%, dated 03/30/07, to be
repurchased on 04/02/07,
repurchase price $73,005,727
(collateralized by various
U.S. Government Obligations,
ranging in par value $5,281,435-
$8,897,865, 2.625%-10.351%,
05/15/07-08/03/18; with total
market value $74,433,154) (K) 72,973 72,973
Lehman Brothers
5.250%, dated 03/30/07, to be
repurchased on 04/02/07,
repurchase price $48,440,124
(collateralized by U.S. Government
Obligation, par value $48,310,000,
4.875%, 11/18/11; with total
market value $49,394,560) 48,426 48,426
Merrill Lynch
5.250%, dated 03/30/07, to be
repurchased on 04/02/07,
repurchase price $115,033,542
(collateralized by various
U.S. Government Obligations,
ranging in par value $16,280,000-
$50,000,000, 5.000%-5.375%,
08/15/07-09/14/07; with total
market value $117,580,350) 115,000 115,000
Nomura
5.300%, dated 03/30/07, to be
repurchased on 04/02/07,
repurchase price $205,034,353
(collateralized by various
U.S. Government Obligations,
ranging in par value $4,100,000-
$49,570,000, 4.400%-5.750%,
9/23/11-4/15/14; with total
market value $208,930,006) 204,974 204,974
--------------
Total Repurchase Agreements
(Cost $497,627) ($ Thousands) 497,627
--------------
Total Investments -- 139.1%
(Cost $6,060,925) ($ Thousands) $ 6,081,869
==============
- --------------------------------------------------------------------------------
Market Value
Description Contracts ($ Thousands)
- --------------------------------------------------------------------------------
WRITTEN OPTIONS -- 0.0%
June 2007 90-Day Euro$ Future Call,
Expires 06/18/07, Strike Price $95 (128) $ (6)
June 2007 90-Day Euro$ Future Put,
Expires 06/18/07, Strike Price $94.75 (128) (23)
February 2007 U.S. 30-Year Treasury Bond
Put, Expires 02/23/07,
Strike Price $109 (122) (41)
June 2007 U.S Ten Year Treasury Note
Put, Expires 05/25/07,
Strike Price $108 (248) (163)
June 2007 U.S. 20-Year Treasury Note
Put, Expires 05/25/07,
Strike Price $109* (300) (103)
June 2007 U.S. Ten Year Treasury Call,
Expires 05/25/07, Strike Price $110* (102) (17)
June 2007 U.S. Ten Year Treasury Call,
Expires 05/25/07, Strike Price $115* (300) (47)
June 2007 U.S. Ten Year Treasury Note
Call, Expires 05/25/07,
Strike Price $108* (80) (64)
June 2007 U.S. Ten Year Treasury Note
Call, Expires 05/25/07,
Strike Price $113* (500) (242)
June 2007 U.S. Ten Year Treasury Note
Put, Expires 05/25/07,
Strike Price $106* (102) (11)
--------------
Total Written Options
(Premiums Received $(875)) ($ Thousands) (717)
--------------
SWAPTIONS -- 0.0%
U.S. Swaption, Citigroup (12,070,000) (1)
U.S. Swaption, Lehman Brothers (14,200,000) (1)
--------------
Total Swaptions
(Premiums Received $(36)) ($ Thousands) (2)
--------------
Futures -- A summary of the open futures contracts held by the Fund at March 31,
2007, 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$ 903 Mar-2008 $ 547
90-Day Euro$ 50 Mar-2009 75
90-Day Euro$ 45 Mar-2010 59
90-Day Euro$ (5) Mar-2011 (5)
90-Day Euro$ 70 Jun-2007 (47)
90-Day Euro$ 50 Jun-2008 70
90-Day Euro$ 50 Jun-2009 72
90-Day Euro$ 25 Jun-2010 31
90-Day Euro$ (5) Jun-2011 (5)
90-Day Euro$ 1,613 Sep-2007 (91)
90-Day Euro$ 50 Sep-2008 74
90-Day Euro$ 50 Sep-2009 70
90-Day Euro$ 3 Sep-2010 1
90-Day Euro$ 345 Dec-2007 104
90-Day Euro$ (254) Dec-2008 (223)
90-Day Euro$ 50 Dec-2009 67
90-Day Euro$ 11 Dec-2010 4
Euro-Bund 348 Jun-2007 (559)
10-Year Swap (2) Jun-2007 (1)
- --------------------------------------------------------------------------------
144 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
UNREALIZED
APPRECIATION
TYPE OF NUMBER OF EXPIRATION (DEPRECIATION)
CONTRACT CONTRACTS DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
U.S. 5-Year Note 1,752 Jun-2007 $ 1,084
U.S. 2-Year Note 457 Jun-2007 297
U.S. 10-Year Note (991) Jun-2007 586
U.S. Long Treasury Bond 111 Jun-2007 (48)
-------------
$ 2,162
=============
Forward Foreign Currency Contracts -- A summary of the outstanding forward
foreign currency contracts held by the Fund at March 31, 2007, 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)
- --------------------------------------------------------------------------------
5/9/07 EUR 6,375 USD 8,288 $ (211)
5/9/07 CAD 5,776 USD 4,899 (115)
5/9/07 USD 17,307 EUR 13,270 383
5/9/07 USD 16,528 JPY 1,982,542 349
--------------
$ 406
==============
Swaps -- At March 31, 2007, the following Credit Default Swap agreements were
outstanding (see Note 2 in Notes to Financial Statements):
- ---------------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- ---------------------------------------------------------------------------------------------------------
Fund pays a quarterly payment of 0.270% (1.080%
per annum) times notional amount of Southwest
Airlines Co., 6.500%, 03/01/12. Upon a defined
credit event the Fund receives the notional
amount and delivers the defined obligation.
(Counterparty: Merrill Lynch) 12/20/11 $ 2,125 $ 3
Fund pays a quarterly payment of 0.450% (1.800%
per annum) times notional amount of Lubrizol
Corp., 7.250%, 06/15/35. Upon a defined credit
event the Fund receives the notional amount
and delivers the defined obligation.
(Counterparty: JP Morgan Chase) 12/20/11 2,125 (4)
Fund pays a quarterly payment of 0.690% (2.760%
per annum) times notional amount of Donnelley
(R.R.) & Sons, 4.950%, 04/01/14. Upon a
defined credit event the Fund receives the
notional amount and delivers the defined
obligation. (Counterparty: Merrill Lynch) 12/20/11 2,250 (15)
Fund pays a quarterly payment of 0.200%
(0.800% per annum) times notional amount
of PPG Industries, Inc., 7.050%, 08/15/09.
Upon a defined credit event the Fund
receives the notional amount and delivers
the defined obligation.
(Counterparty: JP Morgan Chase) 12/20/11 2,250 (1)
Fund pays a quarterly payment of 0.450% (1.800%
per annum) times notional amount of Lubrizol
Corp., 7.250%, 06/15/25. Upon a defined credit
event the Fund receives the notional amount
and delivers the defined obligation.
(Counterparty: Merrill Lynch) 12/20/11 2,125 3
Fund pays a quarterly payment of 0.440% (1.760%
per annum) times notional amount of Autozone,
Inc., 5.875%, 10/15/12. Upon a defined credit
event the Fund receives the notional amount
and delivers the defined obligation.
(Counterparty: Bank of America) 12/20/13 2,125 (16)
Fund pays a quarterly payment of 0.475% (1.900%
per annum) times notional amount of
Meadwestavaco Corp., 6.850%, 04/01/12. Upon
a defined credit event the Fund receives the
notional amount and delivers the defined
obligation. (Counterparty: Bank of America) 12/20/11 2,250 1
Fund pays a quarterly payment of 0.460% (1.840%
per annum) times notional amount of Autozone,
Inc., 5.875%, 10/15/12. Upon a defined credit
event the Fund receives the notional amount
and delivers the defined obligation.
(Counterparty: JP Morgan Chase) 12/20/11 2,125 (17)
- ---------------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- ---------------------------------------------------------------------------------------------------------
Fund pays a quarterly payment of 1.180% (4.720%
per annum) times notional amount of Gap, Inc.,
8.800%, 12/15/08. Upon a defined credit event
the Fund receives the notional amount and
delivers the defined obligation.
(Counterparty: JP Morgan Chase) 12/20/11 $ 2,250 $ (23)
Fund pays a quarterly payment of 0.425% (1.700%
per annum) times notional amount of Eastman
Chemical, Inc., 7.600%, 02/01/27. Upon a
defined credit event the Fund receives the
notional amount and delivers the defined
obligation. (Counterparty: Bank of America) 12/20/11 2,250 (4)
Fund pays a quarterly payment of 0.550% (2.200%
per annum) times notional amount of Black &
Decker Corp., 7.125%, 06/01/11. Upon a
defined credit event the Fund receives the
notional amount and delivers the defined
obligation. (Counterparty: Bank of America) 12/20/11 2,125 (13)
Fund pays a quarterly payment of 0.190% (0.760%
per annum) times notional amount of TJX
Companies, 7.450%, 12/15/09. Upon a defined
credit event the Fund receives the notional
amount and delivers the defined obligation.
(Counterparty: Bank of America) 12/20/11 2,250 2
Fund pays a quarterly payment of 0.220% (0.880%
per annum) times notional amount of Nucor
Corp., 4.875%, 10/01/12. Upon a defined credit
event the Fund receives the notional amount
and delivers the defined obligation.
(Counterparty: Bank of America) 12/20/11 2,125 (11)
Fund pays a quarterly payment of 0.130% (0.520%
per annum) times notional amount of Lowes
Companies, Inc., 8.250%, 06/01/10. Upon a
defined credit event the Fund receives the
notional amount and delivers the defined
obligation. (Counterparty: Merrill Lynch) 12/20/11 2,250 4
Fund pays a quarterly payment of 1.180% (4.720%
per annum) times notional amount of Gap, Inc.,
8.800%, 12/15/08. Upon a defined credit event
the Fund receives the notional amount and
delivers the defined obligation.
(Counterparty: Bank of America) 12/20/11 2,125 (24)
Fund pays a quarterly payment of 0.770% (3.080%
per annum) times notional amount of Jones
Apparel Group, 5.125%, 11/15/14. Upon a
defined credit event the Fund receives the
notional amount and delivers the defined
obligation. (Counterparty: JP Morgan Chase) 12/20/11 2,250 14
Fund pays a quarterly payment of 0.140% (0.560%
per annum) times notional amount of Pitney
Bowes, Inc. 4.625%, 10/01/12. Upon a defined
credit event the Fund receives the notional
amount and delivers the defined obligation.
(Counterparty: Bank of America) 12/20/13 4,500 (5)
Fund pays a quarterly payment of 0.445% (1.780%
per annum) times notional amount of Darden
Restaurants, Inc., 7.125%, 02/01/16. Upon a
defined credit event the Fund receives the
notional amount and delivers the defined
obligation. (Counterparty: Bank of America) 12/20/11 2,250 (8)
Fund pays a quarterly payment of 0.475% (1.900%
per annum) times notional amount of The
Limited, Inc., 6.125%, 12/01/12. Upon a defined
credit event the Fund receives the notional
amount and delivers the defined obligation.
(Counterparty: Bank of America) 12/20/11 2,250 (2)
Fund pays a quarterly payment of 0.550% (2.200%
per annum) times notional amount of Black &
Decker Corp., 7.125%, 06/01/11. Upon a
defined credit event the Fund receives the
notional amount and delivers the defined
obligation. (Counterparty: JP Morgan Chase) 12/20/11 2,125 (13)
Fund pays a quarterly payment of 0.900% (3.600%
per annum) times notional amount of MDC
Holdings, Inc., 5.500%, 05/15/13. Upon a
defined credit event the Fund receives the
notional amount and delivers the defined
obligation. (Counterparty: Merrill Lynch) 12/20/11 2,250 30
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 145
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2007
- ---------------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- ---------------------------------------------------------------------------------------------------------
Fund pays a quarterly payment of 0.390% (1.560%
per annum) times notional amount of Hasbro,
Inc., 2.750%, 12/01/21. Upon a defined credit
event the Fund receives the notional amount
and delivers the defined obligation.
(Counterparty: JP Morgan Chase) 12/20/11 $ 2,250 $ 65
Fund pays a quarterly payment of 0.340% (1.360%
per annum) times notional amount of Agrium,
Inc., 8.250%, 02/15/16. Upon a defined credit
event the Fund receives the notional amount
and delivers the defined obligation.
(Counterparty: JP Morgan Chase) 12/20/11 2,250 (10)
Fund pays a quarterly payment of 0.338% (1.352%
per annum) times notional amount of Whirlpool
Corp., 7.750%, 07/15/16. Upon a defined
credit event the Fund receives the notional
amount and delivers the defined obligation.
(Counterparty: Merrill Lynch) 12/20/11 2,250 22
Fund pays a quarterly payment of 0.450% (1.800%
per annum) times notional amount of
Weyerhaeuser Company, 6.750%, 03/15/12.
Upon a defined credit event the Fund receives
the notional amount and delivers the defined
obligation. (Counterparty: Bank of America) 12/20/11 2,125 (4)
Fund pays a quarterly payment of 0.220% (0.880%
per annum) times notional amount of Nucor
Corp., 4.875%, 10/01/12. Upon a defined credit
event the Fund receives the notional amount
and delivers the defined obligation.
(Counterparty: JP Morgan Chase) 12/20/11 2,125 (11)
Fund pays a quarterly payment of 0.270% (1.080%
per annum) times notional amount of Southwest
Airlines Co., 6.500%, 03/01/12. Upon a defined
credit event the Fund receives the notional
amount and delivers the defined obligation.
(Counterparty: JP Morgan Chase) 12/20/11 2,250 3
Fund pays a quarterly payment of 0.390% (1.560%
per annum) times notional amount of Radian
Group, Inc., 7.750%, 06/01/11. Upon a defined
credit event the Fund receives the notional
amount and delivers the defined obligation.
(Counterparty: JP Morgan Chase) 12/20/13 2,250 (10)
Fund pays a quarterly payment of 0.390% (1.560%
per annum) times notional amount of Darden
Restaurants, Inc., 7.125%, 02/01/16. Upon a
defined credit event the Fund receives the
notional amount and delivers the defined
obligation. (Counterparty: Bank of America) 12/20/13 2,125 (12)
Fund pays a quarterly payment of 0.350% (1.400%
per annum) times notional amount of MGIC
Investment Corp., 6.000%, 09/15/16. Upon a
defined credit event the Fund receives the
notional amount and delivers the defined
obligation. (Counterparty: Bank of America) 12/20/13 2,125 32
Fund pays a quarterly payment of 0.350% (1.400%
per annum) times notional amount of PMI
Group, Inc., 6.000%, 09/15/16. Upon a defined
credit event the Fund receives the notional
amount and delivers the defined obligation.
(Counterparty: JP Morgan Chase) 12/20/13 2,125 59
Fund pays a quarterly payment of 0.390% (1.560%
per annum) times notional amount of Johnson
Controls, Inc., 7.125%, 07/15/17. Upon a
defined credit event the Fund receives the
notional amount and delivers the defined
obligation. (Counterparty: Bank of America) 12/20/13 2,125 (14)
Fund pays a quarterly payment of 0.350% (1.400%
per annum) times notional amount of Alcan,
Inc., 4.875%, 09/15/12. Upon a defined credit
event the Fund receives the notional amount
and delivers the defined obligation.
(Counterparty: Bank of America) 12/20/13 2,125 (3)
Fund pays a quarterly payment of 0.350% (1.400%
per annum) times notional amount of Radian
Group, Inc., 7.750%, 06/01/11. Upon a defined
credit event the Fund receives the notional
amount and delivers the defined obligation.
(Counterparty: Bank of America) 12/20/13 2,125 66
- ---------------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- ---------------------------------------------------------------------------------------------------------
Fund pays a quarterly payment of 0.350% (1.400%
per annum) times notional amount of PMI
Group, Inc., 6.000%, 09/15/16. Upon a defined
credit event the Fund receives the notional
amount and delivers the defined obligation.
(Counterparty: Bank of America) 12/20/13 $ 2,125 $ 59
Fund pays a quarterly payment of 0.350% (1.400%
per annum) times notional amount of MGIC
Investment Corp., 6.000%, 03/15/07. Upon a
defined credit event the Fund receives the
notional amount and delivers the defined
obligation. (Counterparty: JP Morgan Chase) 12/20/13 2,125 32
Fund pays a quarterly payment of 0.280% (1.120%
per annum) times notional amount of Nordstrom,
Inc., 6.950%, 03/15/28. Upon a defined credit
event the Fund receives the notional amount
and delivers the defined obligation.
(Counterparty: JP Morgan Chase) 12/20/13 2,125 (4)
Fund pays a quarterly payment of 0.250% (1.000%
per annum) times notional amount of Dow
Chemical, Inc., 6.000%, 10/01/12. Upon a
defined credit event the Fund receives the
notional amount and delivers the defined
obligation. (Counterparty: Merrill Lynch) 12/20/13 2,125 14
Fund pays a quarterly payment of 0.730% (2.920%
per annum) times notional amount of Masco
Corp., 5.875%, 07/15/12. Upon a defined credit
event the Fund receives the notional amount
and delivers the defined obligation.
(Counterparty: Bank of America) 12/20/13 2,250 11
Fund pays a quarterly payment of 0.260% (1.040%
per annum) times notional amount of Dow
Chemical, Inc., 6.000%, 10/01/12. Upon a
defined credit event the Fund receives the
notional amount and delivers the defined
obligation. (Counterparty: JP Morgan Chase) 12/20/13 2,125 13
Fund pays a quarterly payment of 0.280% (1.120%
per annum) times notional amount of Nordstrom,
Inc., 6.950%, 03/15/28. Upon a defined credit
event the Fund receives notional amount and
delivers the defined obligation.
(Counterparty: Merrill Lynch) 12/20/13 2,125 (4)
Fund pays a quarterly payment of 0.320% (1.280%
per annum) times notional amount of Alcan,
Inc., 4.875%, 09/15/12. Upon a defined credit
event the Fund receives the notional amount
and delivers the defined obligation.
(Counterparty: Bank of America) 03/20/14 1,800 2
Fund pays a quarterly payment of 0.450% (1.800%
per annum) times notional amount of
Weyerhaeuser Company, 6.750%, 03/15/12.
Upon a defined credit event the Fund receives
the notional amount and delivers the defined
obligation. (Counterparty: Merrill Lynch) 03/20/12 2,125 6
Fund receives a quarterly payment of 0.400%
(1.600% per annum) times notional amount of
CDX.NA.IG Index. Upon a defined credit event
the Fund pays notional amount and takes
receipt of a defined deliverable obligation.
(Counterparty: Bank of America) 12/20/11 (40,100) 256
Fund receives a quarterly payment of 0.400%
(1.600% per annum) times notional amount of
CDX.NA.IG Index. Upon a defined credit event
the Fund pays notional amount and takes
receipt of a defined deliverable obligation.
(Counterparty: Merrill Lynch) 12/20/11 (10,875) 72
Fund receives a quarterly payment of 0.400%
(1.600% per annum) times notional amount of
CDX.NA.IG Index. Upon a defined credit event
the Fund pays notional amount and takes
receipt of a defined deliverable obligation.
(Counterparty: Merrill Lynch) 12/20/11 (40,100) 256
Fund receives a quarterly payment of 0.400%
(1.600% per annum) times notional amount of
CDX.NA.IG Index. Upon a defined credit event
the Fund pays notional amount and takes
receipt of a defined deliverable obligation.
(Counterparty: Merrill Lynch) 12/20/11 (1,800) 9
- --------------------------------------------------------------------------------
146 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- ---------------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- ---------------------------------------------------------------------------------------------------------
Fund receives a quarterly payment of 0.400%
(1.600% per annum) times notional amount of
CDX.NA.IG Index. Upon a defined credit event
the Fund pays notional amount and takes
receipt of a defined deliverable obligation.
(Counterparty: Bank of America) 12/20/11 $ (2,125) $ (5)
Fund receives a monthly payment of 0.640%
(7.680% per annum) times notional amount of
ABX.HE.A 07-1Index. Upon a defined credit
event the Fund pays notional amount and takes
receipt of a defined deliverable obligation.
(Counterparty: Bank of America) 08/25/37 (2,000) 28
Fund receives a monthly payment of 0.640%
(7.680% per annum) times notional amount of
ABX.HE.A 07-1Index. Upon a defined credit
event the Fund pays notional amount and takes
receipt of a defined deliverable obligation.
(Counterparty: JP Morgan Chase) 08/25/37 (3,000) (49)
Fund receives a monthly payment of 0.640%
(7.680% per annum) times notional amount of
ABX.HE.A 07-1Index. Upon a defined credit
event the Fund pays notional amount and takes
receipt of a defined deliverable obligation.
(Counterparty: Bank of America) 08/25/37 (500) (7)
Fund receives a monthly payment of 0.640%
(7.680% per annum) times notional amount of
ABX.HE.A 07-1Index. Upon a defined credit
event the Fund pays notional amount and takes
receipt of a defined deliverable obligation.
(Counterparty: Merrill Lynch) 08/25/37 (2,000) (12)
Fund receives a monthly payment of 0.640%
(7.680% per annum) times notional amount of
ABX.HE.A 07-1Index. Upon a defined credit
event the Fund pays notional amount and takes
receipt of a defined deliverable obligation.
(Counterparty: Merrill Lynch) 08/25/37 (2,500) (39)
Fund receives a monthly payment of 0.440%
(5.280% per annum) times notional amount of
ABX.HE.A 06-1Index. Upon a defined credit
event the Fund pays notional amount and takes
receipt of a defined deliverable obligation.
(Counterparty: Merrill Lynch) 05/24/46 (20,000) (554)
Fund receives a monthly payment of 0.640%
(7.680% per annum) times notional amount of
ABX.HE.A 07-1Index. Upon a defined credit
event the Fund pays notional amount and takes
receipt of a defined deliverable obligation.
(Counterparty: Merrill Lynch) 08/25/37 (1,500) (37)
Fund pays a monthly payment of 1.900% (22.800%
per annum) times notional amount of GSAMP
Trust, Ser 2005-HE1, Cl B2, 5.014%, 12/25/34.
Upon a defined credit event the Fund receives
notional amount and delivers defined obligation.
(Counterparty: Citigroup) 11/25/34 633 (7)
Fund pays a monthly payment of 1.900% (22.800%
per annum) times notional amount of ACE
Securities Corp., Ser 2004-RM2, Cl B1, 5.014%,
01/25/35. Upon a defined credit event the Fund
receives notional amount and delivers defined
obligation. (Counterparty: Citigroup) 01/25/35 633 (7)
Fund pays a monthly payment of 3.350% (40.200%
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 the Fund receives notional amount and
delivers defined obligation.
(Counterparty: Citigroup) 12/25/34 633 (186)
Fund pays a monthly payment of 2.050% (24.600%
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
the Fund receives notional amount and delivers
defined obligation. (Counterparty: Citigroup) 07/25/34 633 (61)
Fund pays a monthly payment of 1.950% (23.400%
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
the Fund receives notional amount and delivers
defined obligation. (Counterparty: Citigroup) 11/25/34 633 (37)
- ---------------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- ---------------------------------------------------------------------------------------------------------
Fund pays a monthly payment of 1.900% (22.800%
per annum) times notional amount of
Countrywide Asset-Backed Certificates,
Ser 2004-12, Cl MV8, 5.114%, 11/25/34.
Upona defined credit event the Fund receives
notional amount and delivers defined obligation.
(Counterparty: Citigroup) 05/25/34 $ 633 $ (12)
Fund pays a monthly payment of 2.050% 24.600%
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 the Fund receives notional
amount and delivers defined obligation.
(Counterparty: Citigroup) 05/25/34 633 (3)
Fund pays a monthly payment of 2.000% (24.000%
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 the Fund receives
notional amount and delivers defined obligation.
(Counterparty: Citigroup) 06/25/34 1,056 (15)
Fund pays a monthly payment of 3.000% (36.000%
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 the Fund receives
notional amount and delivers defined obligation.
(Counterparty: Citigroup) 02/25/34 1,056 (57)
Fund pays a monthly payment of 3.050% (36.600%
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 the Fund
receives notional amount and delivers defined
obligation. (Counterparty: Citigroup) 03/25/34 633 (146)
Fund pays a monthly payment of 2.030% (24.360%
per annum) times notional amount of Long
Beach Mortgage Loan Trust, Ser 2004-5, Cl M5,
5.564%, 06/25/34. Upon a defined credit event
the Fund receives notional amount and delivers
defined obligation. (Counterparty: Citigroup) 06/25/34 633 (10)
Fund pays a monthly payment of 2.100% (25.200%
per annum) times notional amount of Master
Asset-Backed Securities Trust, Ser 2004-WMC2,
Cl M5, 5.714%, 06/25/34. Upon a defined credit
event the Fund receives notional amount and
delivers defined obligation.
(Counterparty: Citigroup) 06/25/34 633 (16)
Fund pays a monthly payment of 2.050% (24.600%
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
the Fund receives notional amount and delivers
defined obligation. (Counterparty: Citigroup) 08/25/34 633 (15)
Fund pays a monthly payment of 2.070% (24.840%
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
the Fund receives notional amount and delivers
defined obligation. (Counterparty: Citigroup) 05/25/34 633 (5)
Fund pays a monthly payment of 2.900% (34.800%
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 the Fund receives notional amount and
delivers defined obligation.
(Counterparty: Citigroup) 02/25/35 1,056 (26)
Fund pays a monthly payment of 1.900% (22.800%
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 the Fund receives notional amount and
delivers defined obligation.
(Counterparty: Citigroup) 11/25/34 633 (23)
--------------
$ (495)
==============
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 147
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Concluded)
March 31, 2007
Swaps -- At March 31, 2007 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 Bank of America--CMBS AAA 10Yr
Index plus 20 basis points times the notional
amount. The Fund receives payment if the
return on the spread appreciates over the
payment period and pays if the return on the
spread depreciates over the payment period.
(Counter Party: Bank of America) 07/31/07 $ 21,000 $ (93)
The Fund receives payment on the monthly reset
spread from Bank of America--CMBS AAA 10Yr
Index plus 8 basis points times the notional
amount. The Fund receives payment if the
return on the spread appreciates over the
payment period and pays if the return on the
spread depreciates over the payment
period. (Counter Party: Bank of America) 07/31/07 20,000 (17)
The Fund receives payment on the monthly reset
spread from Lehman Brothers--CMBS AAA 8.5+
Index plus 10 basis points times the notional
amount. The Fund receives payment if the return
on the spread appreciates over the payment
period and pays if the return on the spread
depreciates over the payment period.
(Counter Party: Wachovia) 05/01/07 20,000 (12)
The Fund receives payment on the monthly reset
spread from Lehman Brothers--CMBS AAA 8.5+
Index plus 12.5 basis points times the notional
amount. The Fund receives payment if the return
on the spread appreciates over the payment
period and pays if the return on the spread
depreciates over the payment period.
(Counter Party: Wachovia) 06/01/07 30,000 (17)
--------------
$ (139)
==============
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $4,371,708 ($ Thousands).
* Non-Income Producing Security.
** Rate shown is the 7-day effective yield as of March 31, 2007.
+ Real Estate Investments Trust.
++ Investment in Affiliated Registered Investment Company (see Note 3).
(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) 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.
(D) Treasury Inflation Index Notes
(E) Zero Coupon Bond -- The rate reported on the Schedule of Investments 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 March 31, 2007. 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 March 31, 2007. The coupon on a step bond changes on a
specified date.
(H) Securities considered illiquid. The total value of such securities as of
March 31, 2007 was $7,449 ($ Thousands) and represented 0.17% of Net
Assets.
(I) Security in default on interest payments.
(J) This security or a partial position of this security is on loan at March
31, 2007 (see Note 7). The total value of securities on loan at March 31,
2007 was $730,836 ($ Thousands).
(K) This security was purchased with cash collateral held from securities on
loan (see Note 7). The total value of such securities as of March 31, 2007
was $759,532 ($ 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.
ABS -- Asset-Back Security
ARM -- Adjustable Rate Mortgage
CAD -- Canadian Dollar
CDO -- Collateralized Debt Obligation
Cl -- Class
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
JPY -- Japanese Yen
LLC -- Limited Liability Company
LP -- Limited Partnership
Ltd. -- Limited
MTN -- Medium Term Note
NIM -- Net Interest Margin
PIK -- Payment-in-Kind
PLC -- Public Limited Company
Ser -- Series
STRIPS -- Separately Traded Registered Interest and Principal Securities
TBA -- To Be Announced
USD -- U.S. Dollar
Amount designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
148 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
High Yield Bond Fund
March 31, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS#:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Consumer Discretionary 19.9%
Financials 16.2%
Telecommunication Services 9.1%
Industrials 8.3%
Materials 7.9%
Energy 6.3%
Short-Term Investments 6.2%
Loan Participants 5.7%
Collateralized Loan Obligations 5.0%
Health Care 4.9%
Utilities 2.9%
Information Technology 2.7%
Consumer Staples 2.0%
Collateralized Debt Obligations 1.5%
Preferred Stocks 0.4%
Certificates of Deposits 0.3%
Convertible Bond 0.3%
Asset-Backed Securities 0.2%
Common Stock 0.2%
U.S. Government Agency Obligation 0.0%
Warrants 0.0%
# Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 7).
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS -- 82.8%
CONSUMER DISCRETIONARY -- 22.1%
AEP Industries
7.875%, 03/15/13 $ 1,275 $ 1,300
AMF Bowling Worldwide
10.000%, 03/01/10 830 867
Acco Brands
7.625%, 08/15/15 4,325 4,325
Adelphia Communications
10.250%, 06/15/11 150 158
Adelphia Communications, Ser B (C)
9.500%, 02/15/04 25 26
7.750%, 01/15/09 225 233
Adesa
7.625%, 06/15/12 525 557
American Casino & Entertainment
7.850%, 02/01/12 50 52
American Greetings
7.375%, 06/01/16 725 748
American Real Estate (A)
7.125%, 02/15/13 3,275 3,234
American Tower
7.500%, 05/01/12 125 130
Amscan Holdings
8.750%, 05/01/14 1,860 1,827
Aramark
8.860%, 02/01/07 (D) 350 360
8.500%, 02/01/15 (G) 4,150 4,316
Arvinmeritor (G)
8.750%, 03/01/12 1,790 1,848
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Asbury Auto Group (A)
7.625%, 03/15/17 $ 150 $ 150
Autonation (D)
7.360%, 04/15/07 930 939
Avis Budget Car Rental (A)
7.860%, 05/15/07 (D) 965 984
7.750%, 05/15/16 200 204
Barrington Broadcasting (A)
10.500%, 08/15/14 550 578
Boyd Gaming
8.750%, 04/15/12 75 78
7.750%, 12/15/12 100 103
7.125%, 02/01/16 2,475 2,425
6.750%, 04/15/14 1,200 1,197
Broder Brothers, Ser B
11.250%, 10/15/10 1,260 1,285
Brookstone (G)
12.000%, 10/15/12 730 759
Brown Shoe
8.750%, 05/01/12 1,250 1,325
Burlington Coat (G)
11.125%, 04/15/14 3,150 3,213
CBD Media Holdings
9.250%, 07/15/12 500 524
8.625%, 06/01/11 275 283
CCH I Holdings LLC
13.500%, 01/15/14 (B) 400 404
11.125%, 01/15/14 (A) 525 491
11.000%, 10/01/15 (G) 7,981 8,280
10.000%, 05/15/14 (G) 600 536
9.920%, 04/01/14 (G) 850 757
CCH II LLC
10.250%, 09/15/10 1,840 1,941
10.250%, 10/01/13 595 650
CCH II LLC, Ser B
10.250%, 09/15/10 550 580
CCO Holdings LLC
8.750%, 11/15/13 3,350 3,467
CSC Holdings
7.875%, 12/15/07 200 202
7.250%, 07/15/08 250 253
CSC Holdings, Ser B
8.125%, 08/15/09 275 285
Cablevision Systems, Ser B
9.870%, 04/03/07 (D) 1,760 1,866
8.000%, 04/15/12 895 908
Caesars Entertainment
8.875%, 09/15/08 440 459
8.125%, 05/15/11 225 238
7.875%, 03/15/10 650 679
Canwest Media (G)
8.000%, 09/15/12 825 854
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 149
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Cinemark (B)
8.340%, 03/15/14 $ 450 $ 412
Collins & Aikman Floorcovering, Ser B
9.750%, 02/15/10 375 382
Cornell
10.750%, 07/01/12 500 546
Couche-Tard US
7.500%, 12/15/13 125 128
Dana (G)
6.500%, 03/01/09 1,575 1,209
Del Laboratories
10.360%, 04/28/07 (D) 480 497
8.000%, 02/01/12 2,165 2,019
Delphi
6.500%, 05/01/09 75 84
Denny's
10.000%, 10/01/12 600 640
Dex Media
8.310%, 11/15/13 (B) 2,900 2,701
8.000%, 11/15/13 150 157
Dex Media East LLC
12.125%, 11/15/12 1,620 1,772
9.875%, 11/15/09 629 657
DirectTV Holdings
8.375%, 03/15/13 1,815 1,913
6.375%, 06/15/15 3,610 3,429
Easton-Bell Sports
8.375%, 10/01/12 1,485 1,466
Echostar DBS
7.125%, 02/01/16 2,934 3,029
7.000%, 10/01/13 2,305 2,374
6.625%, 10/01/14 200 201
6.375%, 10/01/11 325 327
El Dorado Casino Shreveport PIK (G)
10.000%, 08/01/12 1,065 1,022
Elizabeth Arden
7.750%, 01/15/14 1,225 1,249
Eye Care Centers of America
10.750%, 02/15/15 700 775
Federal-Mogul (C)
18.521%, 01/15/09 (G) 225 200
8.370%, 11/15/01 325 291
7.750%, 07/01/06 50 45
7.375%, 01/15/06 100 89
7.120%, 07/01/04 100 89
Festival Fun Park LLC
10.875%, 04/15/14 1,906 1,963
Ford Motor
9.500%, 09/15/11 100 100
9.215%, 09/15/21 350 321
8.900%, 01/15/32 900 788
8.875%, 01/15/22 50 45
7.450%, 07/16/31 (G) 394 305
6.500%, 08/01/18 (G) 1,170 933
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
French Lick Resorts (A)
10.750%, 04/15/14 $ 3,958 $ 3,325
Gamestop
8.000%, 10/01/12 966 1,024
General Motors
8.375%, 07/15/33 (G) 6,741 6,050
8.250%, 07/15/23 1,148 1,033
7.700%, 04/15/16 562 523
General Nutrition Center
9.788%, 03/15/14 650 637
Goodyear Tire & Rubber
8.625%, 12/01/11 715 769
7.857%, 08/15/11 1,075 1,125
Great Canadian Gaming (A)
7.250%, 02/15/15 300 302
Gregg Appliances
9.000%, 02/01/13 2,532 2,659
Group 1 Automotive
8.250%, 08/15/13 525 545
Hanesbrand (D)
8.735%, 06/15/07 2,770 2,822
Harrahs Operating
8.000%, 02/01/11 675 695
Herbst Gaming
8.125%, 06/01/12 2,286 2,309
7.000%, 11/15/14 1,425 1,375
Hertz
8.875%, 01/01/14 3,344 3,603
Hydrochem Industrial (A)
9.250%, 02/15/13 625 641
Idearc (A)
8.000%, 11/15/16 1,750 1,800
Inn of the Mountain Gods
12.000%, 11/15/10 275 299
Isle of Capri Casinos
9.000%, 03/15/12 622 648
7.000%, 03/01/14 1,275 1,249
Jarden
7.500%, 05/01/17 3,125 3,156
Jo-Ann Stores (G)
7.500%, 03/01/12 325 314
LBI Media (B)
8.065%, 10/15/13 675 587
Lamar Media
7.250%, 01/01/13 350 354
Lamar Media, Ser B
6.625%, 08/15/15 550 536
Leslie's Poolmart
7.750%, 02/01/13 550 556
Lin Televison, Ser B
6.500%, 05/15/13 1,100 1,077
Lodgenet Entertainment
9.500%, 06/15/13 690 754
- --------------------------------------------------------------------------------
150 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MGM Mirage
8.375%, 02/01/11 $ 1,950 $ 2,052
6.875%, 04/01/16 (G) 3,560 3,462
6.750%, 04/01/13 735 729
5.875%, 02/27/14 2,270 2,111
Majestic Holdings LLC (A) (B)
8.335%, 10/15/11 175 123
Majestic Star Casino LLC
9.500%, 10/15/10 1,250 1,311
Majestic Star II
9.750%, 01/15/11 1,750 1,667
Mandalay Resort Group
9.375%, 02/15/10 575 620
7.625%, 07/15/13 200 199
Mediacom Broadband LLC (A)
8.500%, 10/15/15 325 332
Mediacom LLC (G)
9.500%, 01/15/13 3,276 3,378
Medianews
6.375%, 04/01/14 150 132
Metaldyne (G)
10.000%, 11/01/13 2,027 2,073
Mohegan Tribal Gaming
7.125%, 08/15/14 50 51
6.875%, 02/15/15 1,325 1,322
6.125%, 02/15/13 250 246
Momentive Performance (A)
11.500%, 12/01/16 (G) 3,175 3,254
9.750%, 12/01/14 800 824
NPC International
9.500%, 05/01/14 300 311
Neiman Marcus Group (G)
10.375%, 10/15/15 1,089 1,214
Neiman Marcus Group PIK
9.000%, 10/15/15 250 274
Nexstar Holdings LLC (B)
11.375%, 04/01/13 700 677
Pantry
7.750%, 02/15/14 1,050 1,061
Penhall International (A)
12.000%, 08/01/14 2,140 2,311
Penn National Gaming
6.875%, 12/01/11 950 950
6.750%, 03/01/15 1,170 1,135
Perry Ellis International, Ser B
8.875%, 09/15/13 1,556 1,595
Petro Stopping Centers
9.000%, 02/15/12 250 258
Phillips Van-Heusen
8.125%, 05/01/13 375 394
7.250%, 02/15/11 75 77
Playtex Products
8.000%, 03/01/11 970 1,014
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Pokagon Gaming Authority (A)
10.375%, 06/15/14 $ 600 $ 662
Polypore International (B)
10.261%, 10/01/12 325 304
Primedia
8.875%, 05/15/11 725 745
Quebecor Media
7.750%, 03/15/16 1,075 1,105
RH Donnelley
10.875%, 12/15/12 800 864
RH Donnelley, Ser A-1
6.875%, 01/15/13 600 584
6.875%, 01/15/13 1,250 1,216
RH Donnelley, Ser A-2
6.875%, 01/15/13 1,765 1,716
RJ Tower (C) (G)
12.000%, 06/01/13 175 13
Reader's Digest (A)
9.000%, 02/15/17 325 313
Rental Service (A) (G)
9.500%, 12/01/14 4,170 4,441
SGS International
12.000%, 12/15/13 1,875 1,987
Sally Holdings LLC (A) (G)
10.500%, 11/15/16 1,345 1,382
9.250%, 11/15/14 2,120 2,178
Sbarro
10.375%, 02/01/15 125 130
Sealy Mattress
8.250%, 06/15/14 2,656 2,795
Seneca Gaming
7.250%, 05/01/12 600 604
7.250%, 05/01/12 175 176
Service
7.700%, 04/15/09 445 463
7.625%, 10/01/18 793 839
7.375%, 10/01/14 1,722 1,791
7.000%, 06/15/17 (G) 1,375 1,385
6.750%, 04/01/15 (A) 800 799
6.750%, 04/01/16 800 796
6.500%, 03/15/08 1,467 1,474
Simmons (B)
12.879%, 12/15/14 2,625 2,159
Sinclair Broadcast Group (A) (B)
4.875%, 07/15/18 450 443
Sonic Automotive, Ser B (G)
8.625%, 08/15/13 2,145 2,231
Spectrum Brands
7.375%, 02/01/15 3,103 2,482
Stanadyne Holdings (B)
8.528%, 02/15/15 1,575 1,213
Stanadyne, Ser 1
10.000%, 08/15/14 450 464
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 151
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Starwood Hotels & Resorts
7.375%, 05/01/07 $ 1,012 $ 1,013
Station Casinos
6.875%, 03/01/16 3,975 3,642
6.625%, 03/15/18 2,725 2,425
Steinway Musical Instruments (A)
7.000%, 03/01/14 4,545 4,477
Stewart Enterprises
6.250%, 02/15/13 1,255 1,217
Sun Media
7.625%, 02/15/13 2,070 2,101
Superior Essex Com & Essex Group
9.000%, 04/15/12 654 675
TDS Investor (A)
11.875%, 09/01/16 (G) 1,835 2,012
9.985%, 06/01/07 (D) 1,771 1,806
9.875%, 09/01/14 15 16
TRW Automotive (A)
7.250%, 03/15/17 2,325 2,278
7.000%, 03/15/14 (G) 2,025 1,984
Tenneco Automotive (G)
8.625%, 11/15/14 5,091 5,307
Titan International (A)
8.000%, 01/15/12 2,450 2,520
Town Sports International (B)
4.828%, 02/01/14 2,217 1,984
Turning Stone Casino Entertainment (A)
9.125%, 12/15/10 1,100 1,117
Turning Stone Resort Casinos (A)
9.125%, 09/15/14 150 154
Umbrella Acquisition (A)
9.750%, 03/15/15 4,975 4,956
Unifi
11.500%, 05/15/14 250 248
United Auto Group (A)
7.750%, 12/15/16 1,800 1,818
United Components
9.375%, 06/15/13 1,100 1,138
United Rentals North America
7.000%, 02/15/14 775 773
6.500%, 02/15/12 3,900 3,890
Universal City Florida (D)
10.110%, 05/01/07 4,897 5,050
Vail Resorts
6.750%, 02/15/14 2,235 2,241
Vertis (G)
9.750%, 04/01/09 225 229
Videotron
6.875%, 01/15/14 3,795 3,833
6.375%, 12/15/15 25 25
Visant Holding (B)
8.711%, 12/01/13 3,896 3,604
Visteon (G)
7.000%, 03/10/14 975 853
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Warner Music Group
7.375%, 04/15/14 $ 1,760 $ 1,676
Wynn Las Vegas LLC
6.625%, 12/01/14 2,316 2,293
-------------
270,069
-------------
CONSUMER STAPLES -- 2.2%
B&G Foods Holding
8.000%, 10/01/11 525 532
Carrols
9.000%, 01/15/13 1,470 1,499
Constellation Brands
7.250%, 09/01/16 3,810 3,858
Dean Foods
7.000%, 06/01/16 1,175 1,179
Del Monte
6.750%, 02/15/15 1,976 1,954
Fleming (C)
10.125%, 04/01/08 1,053 89
9.250%, 06/15/10 188 16
Jean Coutu Group
8.500%, 08/01/14 (G) 100 108
7.625%, 08/01/12 400 424
Merisant
9.500%, 07/15/13 350 283
NBTY
7.125%, 10/01/15 3,026 3,045
Natural Beef Pack
10.500%, 08/01/11 1,652 1,735
Pilgrim's Pride
8.375%, 05/01/17 310 306
7.625%, 05/01/15 545 544
Pinnacle Foods LLC
10.625%, 04/01/17 (A) 900 885
9.250%, 04/01/15 1,050 1,032
Playtex Products
9.375%, 06/01/11 2,430 2,512
Rite Aid
9.250%, 06/01/13 (G) 1,025 1,020
8.625%, 03/01/15 700 663
7.700%, 02/15/27 (G) 150 125
7.500%, 01/15/15 25 25
7.500%, 03/01/17 1,100 1,086
6.875%, 08/15/13 100 88
6.875%, 12/15/28 (G) 375 300
Stater Brothers Holdings (D)
8.860%, 06/15/07 1,336 1,356
Visant Holding (G)
8.750%, 12/01/13 1,270 1,324
Winn-Dixie Pass-Thru Trust (A) (G)
8.181%, 09/01/24 488 415
7.803%, 09/01/17 245 208
-------------
26,611
-------------
- --------------------------------------------------------------------------------
152 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ENERGY -- 7.0%
Allis-Chalmers Energy
9.000%, 01/15/14 $ 4,442 $ 4,475
8.500%, 03/01/17 (A) 350 345
Atlas Pipeline Partners
8.125%, 12/15/15 375 386
Aventine Renew (A)
10.000%, 04/01/17 1,100 1,137
Baytex Energy
9.625%, 07/15/10 350 368
Brigham Exploratioin
9.625%, 05/01/14 650 647
Chaparral Energy
8.875%, 02/01/17 (A) 700 703
8.500%, 12/01/15 1,812 1,789
Chesapeake Energy
7.750%, 01/15/15 (G) 2,459 2,564
7.500%, 09/15/13 600 627
7.500%, 06/15/14 806 844
7.000%, 08/15/14 324 334
6.875%, 01/15/16 462 468
6.500%, 08/15/17 3,550 3,506
6.375%, 06/15/15 50 50
Colorado Interstate Gas
6.800%, 11/15/15 125 133
5.950%, 03/15/15 275 277
Compton Pet Finance
7.625%, 12/01/13 375 367
Comstock Resources
6.875%, 03/01/12 75 73
Denbury Resources
7.500%, 04/01/13 2,555 2,581
7.500%, 12/15/15 1,550 1,565
El Paso
7.750%, 07/15/11 (A) 725 771
7.420%, 02/15/37 1,025 1,079
El Paso MTN
8.050%, 10/15/30 375 426
7.800%, 08/01/31 (G) 1,050 1,160
7.750%, 01/15/32 (G) 1,050 1,160
El Paso Production Holdings
7.750%, 06/01/13 2,535 2,649
Encore Acquisition
7.250%, 12/01/17 550 522
6.000%, 07/15/15 625 556
Forest Oil
8.000%, 12/15/11 785 818
Frigstad Discoverer
11.500%, 02/21/12 1,000 1,000
Giant Industries
8.000%, 05/15/14 500 540
Grant Prideco, Ser B
6.125%, 08/15/15 300 298
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Hanover Compressor
9.000%, 06/01/14 $ 1,700 $ 1,840
7.500%, 04/15/13 815 835
Hanover Equipment Trust, Ser 2001 B
8.750%, 09/01/11 3,260 3,390
Hilcorp Energy
9.000%, 06/01/16 (A) 1,050 1,113
7.750%, 11/01/15 2,300 2,260
Holly Energy Partners
6.250%, 03/01/15 625 597
Inergy Finance
6.875%, 12/15/14 525 517
James River Coal
9.375%, 06/01/12 1,725 1,535
Markwest Energy, Ser B
8.500%, 07/15/16 200 209
6.875%, 11/01/14 1,500 1,455
Massey Energy
6.875%, 12/15/13 1,600 1,518
Newfield Exploration
6.625%, 04/15/16 1,440 1,440
Northwest Pipeline
7.000%, 06/15/16 225 241
OPTI Canada (A) (G)
8.250%, 12/15/14 1,860 1,934
PHI
7.125%, 04/15/13 125 119
Pacific Energy
6.250%, 09/15/15 100 100
Parker Drilling
10.110%, 06/01/07 (D) (G) 2,778 2,834
9.625%, 10/01/13 236 256
Peabody Energy (G)
7.375%, 11/01/16 2,775 2,921
Peabody Energy, Ser B
6.875%, 03/15/13 100 102
Petrohawk Energy
9.125%, 07/15/13 2,055 2,189
Plains Exploration (G)
7.000%, 03/15/17 625 628
Pogo Producing
7.875%, 05/01/13 750 756
6.875%, 10/01/17 175 171
Pogo Producing, Ser B
8.250%, 04/15/11 773 787
Pride International
7.375%, 07/15/14 859 880
Quicksilver Resources
7.125%, 04/01/16 1,625 1,601
Range Resources
6.375%, 03/15/15 350 345
Regency Energy Partners (A)
8.375%, 12/15/13 1,850 1,887
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 153
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Sabine Pass LNG LP
7.500%, 11/30/16 $ 1,500 $ 1,511
7.250%, 11/30/13 (G) 900 907
Semgroup (A)
8.750%, 11/15/15 1,290 1,309
Sesi LLC
6.875%, 06/01/14 1,000 992
Southern Natural Gas
7.350%, 02/15/31 375 415
Tesoro
6.625%, 11/01/15 875 886
6.250%, 11/01/12 175 177
Transcont Gas Pipe
6.400%, 04/15/16 175 180
Veneco
8.750%, 12/15/11 2,560 2,573
Whiting Petroleum
7.000%, 02/01/14 1,660 1,618
Williams
8.750%, 03/15/32 525 605
8.125%, 03/15/12 660 718
7.750%, 06/15/31 500 535
7.625%, 07/15/19 525 571
6.375%, 10/01/10 (A) 775 786
Williams Partners LP (A)
7.250%, 02/01/17 2,105 2,226
Williams, Ser A (G)
7.500%, 01/15/31 425 450
-------------
85,137
-------------
FINANCIALS -- 11.9%
AAC Group Holding (B)
9.210%, 10/01/12 860 772
AAC Group Holding PIK (A) (G)
12.750%, 10/01/12 625 703
ALH Finance
8.500%, 01/15/13 2,785 2,778
Ace Cash Express (A)
10.250%, 10/01/14 775 798
Alamosa Delaware
8.500%, 01/31/12 1,005 1,064
American General Finance (A) (D) (H)
5.370%, 04/16/07 3,611 3,611
Arch Western Finance
6.750%, 07/01/13 4,500 4,427
Armstrong World (G)
7.450%, 05/15/29 525 --
Ashtead Capital (A)
9.000%, 08/15/16 1,090 1,161
BCP Crystal Holdings (G)
9.625%, 06/15/14 1,250 1,420
Bear Stearns EXL (D) (H)
5.360%, 04/16/07 4,433 4,433
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Beazer Homes USA (G)
6.875%, 07/15/15 $ 2,155 $ 1,923
Cardtronics
9.250%, 08/15/13 150 158
Choctaw Resort Development Entity (A)
7.250%, 11/15/19 1,066 1,073
Countrywide Financial MTN (D) (H)
5.428%, 06/27/07 1,494 1,494
Countrywide Financial MTN,
Ser A (D) (H)
5.440%, 05/07/07 3,736 3,736
Credit Suisse First Boston London
(A) (D) (K)
0.000%, 06/24/07 2,611 2,417
0.000%, 06/24/07 3,849 3,563
Crystal US Holdings, Ser B (B)
7.526%, 10/01/14 925 859
Dow Jones CDX HY, Ser 6-T1 (A)
8.625%, 06/29/11 4,000 4,215
Dow Jones CDX, Ser 7-T1 (G)
8.375%, 12/29/11 500 518
FTI Consulting
7.750%, 10/01/16 1,275 1,339
7.625%, 06/15/13 425 441
Felcor Lodging LP
8.500%, 06/01/11 300 321
7.275%, 04/30/07 (A) (D) 225 227
Ford Motor Credit
9.810%, 04/17/07 (D) 3,185 3,377
9.750%, 09/15/10 (A) 2,312 2,435
8.110%, 04/13/07 (D) 475 464
8.000%, 12/15/16 5,450 5,244
7.375%, 10/28/09 825 823
7.375%, 02/01/11 675 664
7.250%, 10/25/11 715 695
7.000%, 10/01/13 (G) 6,063 5,636
6.930%, 04/18/07 (D) 1,300 1,280
GMAC LLC
8.000%, 11/01/31(G) 5,696 6,107
7.560%, 04/25/07 (D) 500 506
7.000%, 02/01/12 100 100
6.875%, 08/28/12 4,795 4,776
6.750%, 12/01/14 (G) 5,886 5,786
6.000%, 12/15/11 (D) 225 218
H-Lines Finance Holding (B)
4.935%, 04/01/13 801 761
Hawker Beechcraft Aquisition (A)
8.875%, 04/01/15 875 905
8.500%, 04/01/15 990 1,028
Hellas II (A) (D)
11.115%, 06/21/07 2,250 2,301
- --------------------------------------------------------------------------------
154 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Host Hotels & Resorts LP
6.875%, 11/01/14 $ 1,190 $ 1,208
Host Marriott+
7.125%, 11/01/13 1,000 1,023
Host Marriott, Ser M+
7.000%, 08/15/12 400 408
Host Marriott, Ser O+
6.375%, 03/15/15 475 471
Host Marriott, Ser Q+
6.750%, 06/01/16 1,630 1,642
Innophos Investments PIK (A) (D) (G)
13.380%, 05/16/07 1,042 1,088
Ipayment
9.750%, 05/15/14 650 666
Irish Life & Permanent MTN,
Ser X (A) (D) (H)
5.360%, 04/23/07 3,312 3,312
Islandsbanki (A) (D) (H)
5.369%, 04/09/07 3,736 3,736
Jackson National Life Funding
(A) (D) (H)
5.320%, 04/02/07 5,479 5,479
K&F Acquisition
7.750%, 11/15/14 500 531
Lehman Brothers Holdings MTN
11.000%, 11/07/16 1,132 1,171
Marlin Water Trust II (C)
6.310%, 07/15/03 4,200 630
Medimedia USA (A)
11.375%, 11/15/14 775 815
Morgan Stanley EXL (D) (H)
5.380%, 04/04/07 872 872
Morgan Stanley EXL, Ser S (D) (H)
5.340%, 04/03/07 1,245 1,245
NSG Holdings LLC
7.750%, 12/15/25 475 496
Nationwide Building Society (A) (D) (H)
5.410%, 06/28/07 1,370 1,370
5.349%, 04/09/07 2,491 2,491
Nielsen Finance LLC (A)
10.000%, 08/01/14 1,425 1,553
9.550%, 08/01/16 (B) (G) 1,175 823
Noble Group (A)
6.625%, 03/17/15 1,050 990
Northern Rock (A) (D) (H)
5.360%, 04/03/07 2,565 2,565
Omega Healthcare Investors+
7.000%, 01/15/16 1,300 1,313
Orascom Telecom Finance
7.875%, 02/08/14 275 271
PNA Intmed Holding (D)
12.360%, 05/15/07 500 513
PXRE Capital Trust 1
8.850%, 02/01/27 900 914
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Premium Asset Trust, Ser 2004-10
(A) (D) (H)
5.380%, 04/16/07 $ 3,487 $ 3,487
Rouse LP + (A)
6.750%, 05/01/13 1,590 1,620
SLM EXL, Ser S (A) (D) (H)
5.320%, 04/16/07 2,740 2,740
Seitel Acquisition
9.750%, 02/15/14 1,025 1,038
Senior Housing Properties+
7.875%, 04/15/15 671 708
Skandinav Enskilda Bank (A) (D) (H)
5.320%, 04/18/07 2,740 2,739
Snoqualmie Enterprises Authority
9.150%, 08/01/07 (D) 300 305
9.125%, 02/01/15 (G) 1,100 1,134
Stanfield Victoria LLC MTN (A) (H)
5.445%, 06/11/07 2,491 2,490
Trustreet Properties+
7.500%, 04/01/15 1,000 1,089
Ventas Realty+
7.125%, 06/01/15 75 79
6.750%, 04/01/17 850 880
6.625%, 10/15/14 375 383
WMG Holdings (B)
6.244%, 12/15/14 1,835 1,404
Yankee Acquisition (G)
9.750%, 02/15/17 400 405
8.500%, 02/15/15 1,050 1,063
-------------
145,717
-------------
HEALTH CARE -- 5.5%
Advanced Mecial Optics
7.500%, 05/01/17 575 579
Bio-Rad Laboratories
7.500%, 08/15/13 175 180
6.125%, 12/15/14 850 824
Biovail
7.875%, 04/01/10 3,767 3,841
CRC Health
10.750%, 02/01/16 1,725 1,889
Cooper
7.125%, 02/15/15 2,090 2,121
Encore Medical Finance (A)
11.750%, 11/15/14 1,300 1,332
Fresenius Medical Capital Trust II
7.875%, 02/01/08 1,830 1,853
Fresenius Medical Capital Trust IV
7.875%, 06/15/11 790 829
Genesis Healthcare
8.000%, 10/15/13 1,300 1,381
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 155
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
HCA
9.250%, 11/15/16 (A) $ 10,250 $ 11,057
9.125%, 11/15/14 (A) 855 914
8.750%, 09/01/10 135 142
6.750%, 07/15/13 615 567
6.500%, 02/15/16 (G) 2,500 2,128
HCA PIK (A)
9.625%, 11/15/16 4,325 4,671
Iasis Healthcare
8.750%, 06/15/14 475 492
Kinetic Concepts
7.375%, 05/15/13 293 303
MQ Associates (B) (G)
4.170%, 08/15/12 201 81
Medcath Holdings
9.875%, 07/15/12 431 467
Norcross Safety Products, Ser B
9.875%, 08/15/11 1,315 1,394
Polypore (G)
8.750%, 05/15/12 225 232
Primedia (D)
10.735%, 05/15/07 1,650 1,708
Res-care
7.750%, 10/15/13 675 688
Select Medical
11.080%, 09/29/07 (D) 600 576
7.625%, 02/01/15 2,970 2,673
Sun Healthcare Group (A)
9.125%, 04/15/15 375 384
Tenet Healthcare (G)
9.875%, 07/01/14 3,925 3,964
9.250%, 02/01/15 4,641 4,595
Triad Hospitals
7.000%, 05/15/12 855 887
7.000%, 11/15/13 3,675 3,836
US Oncology Holdings
10.750%, 08/15/14 5,624 6,271
10.580%, 09/15/07 (D) 2,532 2,583
9.797%, 03/15/12 (A) 650 657
9.000%, 08/15/12 675 721
--------------
66,820
--------------
INDUSTRIALS -- 9.2%
AGY Holdings (A)
11.000%, 11/15/14 850 884
Acih (A) (B) (G)
6.030%, 12/15/12 1,175 987
Ahern Rentals
9.250%, 08/15/13 1,250 1,304
Ainsworth Lumber
7.250%, 10/01/12 450 332
6.750%, 03/15/14 (G) 450 308
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Aleris International
10.000%, 12/15/16 $ 1,150 $ 1,202
Alliant Techsystems
6.750%, 04/01/16 575 576
Allied Waste North America (G)
7.250%, 03/15/15 610 622
6.125%, 02/15/14 2,585 2,514
Allied Waste North America, Ser B (G)
7.375%, 04/15/14 340 345
American Airlines, Ser 01-1
7.379%, 05/23/16 122 121
American Axle & Manufacturing
7.875%, 03/01/17 350 349
American Railcar
7.500%, 03/01/14 1,175 1,207
Ames True Temper
10.000%, 07/15/12 1,375 1,334
9.360%, 04/15/07 (D) 1,345 1,375
Associated Materials (B)
14.390%, 03/01/14 375 263
Baker & Taylor (A)
11.500%, 07/01/13 950 988
Baldor Electric
8.625%, 02/15/17 1,220 1,290
Basell (A) (G)
8.375%, 08/15/15 1,640 1,710
Belden CDT
7.000%, 03/15/17 1,320 1,346
Buffalo Thunder Development
Authority (A)
9.375%, 12/15/14 2,600 2,652
Buhrmann US
8.250%, 07/01/14 1,750 1,768
7.875%, 03/01/15 (G) 625 625
Builders Firstsource (D) (G)
9.610%, 05/16/07 1,200 1,218
Chart Industries (A)
9.125%, 10/15/15 325 340
Continental Airlines, Ser RJ04
9.558%, 09/01/19 3 3
Corrections Corp of America
6.750%, 01/31/14 450 458
6.250%, 03/15/13 2,852 2,852
D R Horton
5.625%, 09/15/14 1,090 1,036
DRS Technologies
7.625%, 02/01/18 (G) 575 598
6.875%, 11/01/13 150 152
6.625%, 02/01/16 1,000 1,010
Dayton Superior
13.000%, 06/15/09 1,532 1,568
- --------------------------------------------------------------------------------
156 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Delta Air Lines (C) (G)
8.300%, 12/15/29 $ 575 $ 323
Delta Air Lines, Ser 2002-1, Cl C (C)
7.779%, 01/02/12 881 893
Dex Media West, Ser B
9.875%, 08/15/13 2,465 2,690
Education Management LLC
10.250%, 06/01/16 2,225 2,414
Esco (A)
9.230%, 06/15/07 (D) 150 156
8.625%, 12/15/13 740 784
Fastentech
11.500%, 05/01/11 1,826 1,938
General Cable (G)
7.125%, 04/01/17 480 483
Gulfmark Offshore
7.750%, 07/15/14 875 888
Harvest Operations
7.875%, 10/15/11 375 360
Horizon Lines LLC
9.000%, 11/01/12 855 898
Indalex Holding, Ser B
11.500%, 02/01/14 1,225 1,268
Interface
9.500%, 02/01/14 275 299
Interline Brands
8.125%, 06/15/14 1,090 1,125
Iron Mountain
8.625%, 04/01/13 747 769
7.750%, 01/15/15 420 428
6.625%, 01/01/16 3,200 3,088
J.B. Poindexter (G)
8.750%, 03/15/14 425 396
K Hovnanian Enterprises
8.625%, 01/15/17 (G) 1,920 1,853
7.500%, 05/15/16 450 420
6.250%, 01/15/16 1,075 922
L-3 Communications
5.875%, 01/15/15 5,331 5,178
L-3 Communications, Cl B
6.375%, 10/15/15 2,239 2,219
Language Line
11.125%, 06/15/12 100 106
Maax (G)
9.750%, 06/15/12 875 599
Meritage Homes
7.000%, 05/01/14 1,225 1,156
6.250%, 03/15/15 850 767
Michaels Stores (A)
11.375%, 11/01/16 (G) 945 1,018
10.000%, 11/01/14 1,253 1,341
Millar Western Forest
7.750%, 11/15/13 1,305 1,188
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Mobile Services Group (A)
9.750%, 08/01/14 $ 450 $ 476
NCL (D)
10.625%, 07/15/07 500 495
NTK Holdings (G) (I)
11.930%, 03/01/14 100 73
Nebraska Book
8.625%, 03/15/12 250 252
Nortek
8.500%, 09/01/14 1,325 1,289
North American Energy Partner
8.750%, 12/01/11 250 255
Northwest Airlines (C)
10.000%, 02/01/09 (G) 750 634
8.875%, 06/01/06 (G) 1,575 1,327
7.875%, 03/15/08 (G) 175 148
7.625%, 11/15/23 1,200 1,011
Nutro Products (A) (D)
9.400%, 04/15/07 1,025 1,056
Open Solutions
9.750%, 02/01/15 3,345 3,445
Park-Ohio Industries
8.375%, 11/15/14 800 784
Ply Gem
9.000%, 02/15/12 350 304
Propex Frabics
10.000%, 12/01/12 225 196
Quality Distributors
9.000%, 11/15/10 825 792
Quebecor World Capital (A) (G)
8.750%, 03/15/16 2,715 2,749
RBS Global & Rexnord
11.750%, 08/01/16 (A) 1,000 1,074
9.500%, 08/01/14 910 946
8.875%, 09/01/16 900 909
Rainbow National Services LLC (A)
10.375%, 09/01/14 525 587
8.750%, 09/01/12 1,485 1,580
Southern States Cooperative (A)
10.500%, 11/01/10 408 433
Stallion Oilfield Services
9.750%, 02/01/15 1,975 2,010
Sunstate Equipment (A)
10.500%, 04/01/13 1,010 1,071
Super Value
7.500%, 11/15/14 875 912
Tech Olympic USA (G)
10.375%, 07/01/12 620 468
Tembec Industries
8.625%, 06/30/09 1,075 759
8.625%, 06/30/09 (G) 575 406
Terex
7.375%, 01/15/14 2,033 2,094
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 157
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Transdigm
7.750%, 07/15/14 $ 1,775 $ 1,833
Tube City IMS
9.750%, 02/01/15 800 832
UCAR Finance
10.250%, 02/15/12 988 1,037
UCI Holdco PIK (A)
12.365%, 06/15/07 720 715
United Air Lines (C)
9.125%, 01/15/12 1,075 8
United Air Lines, Ser 01-1
6.201%, 09/01/08 1,071 1,079
United Air Lines, Ser 95A2
9.560%, 10/19/18 807 466
United Air Lines, Ser A (C)
10.670%, 05/01/04 525 4
United Airlines, Ser 95A1
9.020%, 04/19/12 514 297
Vanguard Health Holdings I
8.678%, 10/01/15 250 203
Vanguard Health Holdings II
9.000%, 10/01/14 1,725 1,747
Visant
7.625%, 10/01/12 2,285 2,325
Wimar Opco LLC
9.625%, 12/15/14 3,950 3,965
--------------
112,350
--------------
INFORMATION TECHNOLOGY -- 3.0%
Activant Solution (G)
9.500%, 05/01/16 2,025 1,995
Advanced Micro Devices
7.750%, 11/01/12 647 654
Compagnie Generale de Geophysique
7.750%, 05/15/17 1,605 1,673
7.500%, 05/15/15 1,500 1,545
Freescale Semiconductor (A)
10.125%, 12/15/16 (G) 2,785 2,792
9.230%, 06/15/07 (D) (G) 275 274
8.875%, 12/15/14 1,445 1,447
Freescale Semiconductor PIK (A)
9.125%, 12/15/14 3,900 3,871
Magnachip Semiconductor
8.605%, 06/15/07 (D) 175 150
8.000%, 12/15/14 (D) (G) 300 187
6.875%, 12/15/11r (G) 550 451
NXP Funding LLC (A)
9.500%, 10/15/15 (G) 4,305 4,445
7.875%, 10/15/14 2,100 2,168
SS&C Technologies (A) (G)
11.750%, 12/01/13 1,260 1,408
Sensata Technologies (G)
8.000%, 05/01/14 1,645 1,635
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Smart Modular (D)
10.860%, 04/01/07 $ 670 $ 710
Sungard Data Systems (G)
10.250%, 08/15/15 7,155 7,808
UGS
10.000%, 06/01/12 890 974
UGS Capital PIK (A) (D)
10.348%, 06/15/07 2,535 2,579
Viasystems
10.500%, 01/15/11 400 402
--------------
37,168
--------------
MATERIALS -- 8.7%
AK Steel
7.875%, 02/15/09 (G) 1,525 1,525
7.750%, 06/15/12 2,184 2,219
Abitibi-Consolidated
8.550%, 08/01/10 375 380
Appleton Papers
8.125%, 06/15/11 425 437
Appleton Papers, Ser B
9.750%, 06/15/14 1,150 1,187
Ball
6.875%, 12/15/12 355 359
Berry Plastics Holding (G)
8.875%, 09/15/14 150 153
Bowater
9.500%, 10/15/12 500 510
Bowater Canada Finance
7.950%, 11/15/11 600 583
Bway
10.000%, 10/15/10 674 707
Cascades
7.250%, 02/15/13 655 655
Catalyst Paper
7.375%, 03/01/14 455 440
Catalyst Paper, Ser D
8.625%, 06/15/11 1,708 1,734
Claymont Steel
8.875%, 02/15/15 275 274
Crown Americas
7.750%, 11/15/15 1,789 1,861
Crown Cork & Seal
8.000%, 04/15/23 2,150 2,107
Domtar
9.500%, 08/01/16 275 308
7.125%, 08/15/15 (G) 1,775 1,766
Equistar Chemical
10.625%, 05/01/11 1,773 1,871
10.125%, 09/01/08 1,772 1,865
FMG Finance (A)
10.625%, 09/01/16 (G) 3,615 4,157
10.000%, 09/01/13 400 435
- --------------------------------------------------------------------------------
158 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Freeport-McMoRan Copper & Gold
10.125%, 02/01/10 $ 841 $ 885
Freeport-McMoRan, Copper & Gold
8.564%, 04/01/15 150 158
8.375%, 04/01/17 5,250 5,677
Georgia Gulf (G)
7.125%, 12/15/13 300 276
Georgia-Pacific
8.125%, 05/15/11 865 908
8.000%, 01/15/24 1,250 1,256
7.700%, 06/15/15 2,020 2,070
7.125%, 01/15/17 (A) 1,015 1,018
7.000%, 01/15/15 (A) 1,650 1,658
Graham Packaging (G)
9.875%, 10/15/14 2,410 2,458
Griffin Coal Mining (A) (G)
9.500%, 12/01/16 2,725 2,875
Huntsman International LLC (A)
7.875%, 11/15/14 1,355 1,401
Huntsman LLC
11.500%, 07/15/12 1,130 1,263
5.000%, 02/16/08 1 25
Ineos Group Holdings PLC (A) (G)
8.500%, 02/15/16 4,380 4,194
Innophos
8.875%, 08/15/14 550 569
Intertape Polymer
8.500%, 08/01/14 275 245
Lyondell Chemical
10.875%, 05/01/09 (G) 1,924 1,934
10.500%, 06/01/13 1,620 1,774
8.250%, 09/15/16 2,750 2,942
8.000%, 09/15/14 1,958 2,051
Macdermid
6.750%, 04/15/17 1,420 1,450
Massey Energy
6.625%, 11/15/10 813 821
Metals USA Holding PIK
11.365%, 06/22/07 1,125 1,102
Methanex
6.000%, 08/15/15 175 168
Mosaic (A)
7.625%, 12/01/16 1,975 2,084
7.375%, 12/01/14 350 365
Mosaic Global Holdings (A)
7.300%, 01/15/28 350 327
Nalco
8.875%, 11/15/13 (G) 1,580 1,679
7.750%, 11/15/11 2,035 2,086
Neenah (A)
9.500%, 01/01/17 475 475
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Newark Group
9.750%, 03/15/14 $ 775 $ 808
Novelis (B)
7.250%, 08/15/07 2,740 2,898
Owens-Brockway Glass
8.875%, 02/15/09 175 179
8.250%, 05/15/13 4,745 4,947
6.750%, 12/01/14 (G) 350 346
Owens-Illinois
7.350%, 05/15/08 2,250 2,261
P H Glatfelter
7.125%, 05/01/16 1,705 1,731
PNA Group (A)
10.750%, 09/01/16 1,325 1,424
Packaging Dynamics (A)
10.000%, 05/01/16 3,045 3,136
Polyone
10.625%, 05/15/10 1,700 1,793
8.875%, 05/01/12 (G) 2,570 2,583
Reichold Industries (A)
9.000%, 08/15/14 2,049 2,100
Rockwood Specialties Group (A)
7.500%, 11/15/14 1,580 1,604
Solo Cup (G)
8.500%, 02/15/14 1,200 1,021
Solutia (C)
11.250%, 07/15/09 1,050 1,066
7.375%, 10/15/27 (G) 350 332
6.720%, 10/15/37 75 71
Steel Dynamics
9.500%, 03/15/09 545 557
9.500%, 03/15/09 (G) 1,638 1,675
Stelco (D)
10.870%, 03/31/16 425 445
Terra Capital
7.000%, 02/01/17 2,755 2,741
Vitro
9.125%, 02/01/17 1,190 1,220
--------------
106,665
--------------
TELECOMMUNICATION SERVICES -- 10.0%
American Cellular, Ser B
10.000%, 08/01/11 403 427
American Tower
7.125%, 10/15/12 1,840 1,895
Axtel
5.625%, 02/01/17 1,605 1,581
Centennial Communications
11.110%, 04/01/07 (D) 100 105
10.750%, 12/15/08 (G) 261 262
10.125%, 06/15/13 (G) 2,545 2,749
8.125%, 02/01/14 (G) 2,400 2,478
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 159
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Cincinnati Bell
8.375%, 01/15/14 (G) $ 1,955 $ 1,999
7.250%, 07/15/13 2,150 2,231
Citizens Communications
9.250%, 05/15/11 1,775 1,979
6.250%, 01/15/13 685 680
Consolidated Communication Holdings
9.750%, 04/01/12 3,189 3,376
Cricket Communications I (A) (G)
9.375%, 11/01/14 4,930 5,226
Digicel Group Ltd. (G)
9.125%, 01/15/15 1,050 1,005
8.875%, 01/15/15 1,150 1,115
Digicel Ltd. (A)
9.250%, 09/01/12 2,000 2,110
Dobson Cellular Systems
9.875%, 11/01/12 380 414
8.375%, 11/01/11 (G) 250 265
Dobson Communications
9.610%, 04/15/07 (D) 840 864
8.875%, 10/01/13 (G) 3,505 3,610
Embarq
7.082%, 06/01/16 1,175 1,198
GCI
7.250%, 02/15/14 1,525 1,525
Hawaiian Telecom Communications,
Ser B (G)
9.750%, 05/01/13 700 724
Horizon PCS
11.375%, 07/15/12 1,630 1,805
IPCS
11.500%, 05/01/12 1,060 1,166
Insight Communications (B)
12.250%, 02/15/11 1,500 1,567
Intelsat (A)
9.000%, 06/15/16 475 523
Intelsat Bermuda Ltd.
11.250%, 06/15/16 (A) 2,730 3,099
9.250%, 06/15/16 (A) 578 640
8.872%, 07/15/07 (D) 2,975 3,034
Intelsat Intermediate
9.375%, 02/01/15 4,955 4,113
Intelsat Ltd.
6.500%, 11/01/13 1,025 905
Intelsat Sub Holdings Ltd.
8.625%, 01/15/15 700 749
Level 3 Financing
9.250%, 11/01/14 (A) 10,060 10,337
9.150%, 02/15/15 125 126
8.750%, 02/15/17 350 353
Lucent Technologies
6.450%, 03/15/29 700 632
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MetroPCS Wireless
9.250%, 11/01/14 $ 4,850 $ 5,129
NTL Cable PLC
9.125%, 08/15/16 300 317
8.750%, 04/15/14 875 910
Nordic Telephone (A)
8.875%, 05/01/16 3,180 3,403
Nortel Networks (A) (D)
9.610%, 04/15/07 400 428
Primus Telecommunications (G)
8.000%, 01/15/14 1,925 1,249
Qwest
8.875%, 03/15/12 2,195 2,425
8.610%, 06/15/07 (D) 1,296 1,413
7.875%, 09/01/11 300 319
7.625%, 06/15/15 832 888
7.500%, 10/01/14 1,355 1,430
7.250%, 09/15/25 875 902
7.250%, 10/15/35 1,050 1,047
Qwest Capital Funding
7.900%, 08/15/10 150 156
Qwest Communications International
8.860%, 05/11/07 (D) 4,364 4,408
7.500%, 02/15/14 550 566
7.250%, 02/15/11 125 128
Qwest Communications International,
Ser B (G)
7.500%, 02/15/14 4,020 4,141
Rogers Wireless
8.485%, 06/15/07 (D) 1,651 1,684
8.000%, 12/15/12 750 795
7.250%, 12/15/12 250 267
6.375%, 03/01/14 1,085 1,112
Rural Cellular
9.750%, 01/15/10 275 283
8.250%, 03/15/12 2,315 2,419
Securus Technologies (G)
11.000%, 09/01/11 100 99
Syniverse Technologies, Ser B
7.750%, 08/15/13 150 147
Telenet Group Holdings (A) (B)
8.588%, 06/15/14 1,071 1,004
Triton
8.500%, 06/01/13 1,625 1,674
US Unwired, Ser B
10.000%, 06/15/12 450 491
West (A)
11.000%, 10/15/16 (G) 650 686
9.500%, 10/15/14 4,895 5,066
Wind Acquisitions Finance (A)
10.750%, 12/01/15 2,445 2,800
- --------------------------------------------------------------------------------
160 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Windstream
8.625%, 08/01/16 $ 6,640 $ 7,262
8.125%, 08/01/13 240 260
7.000%, 03/15/19 825 825
--------------
123,000
--------------
UTILITIES -- 3.2%
AES
9.375%, 09/15/10 775 843
9.000%, 05/15/15 (A) 675 721
8.875%, 02/15/11 1,485 1,596
7.750%, 03/01/14 1,075 1,129
Aquila
14.875%, 07/01/12 1,100 1,433
9.000%, 11/15/21 629 642
8.000%, 03/01/23 3,535 3,610
Calpine Generating (C) (D)
14.370%, 04/01/07 1,600 1,696
Midwest Generation LLC
8.750%, 05/01/34 1,640 1,779
Mirant
7.900%, 07/15/09 50 2
7.400%, 07/15/04 (C) (G) 450 16
5.750%, 07/15/07 (G) 1,150 40
Mirant Americas
9.125%, 05/01/31 (G) 1,353 1,441
8.500%, 10/01/21 4,472 4,539
8.300%, 05/01/11 575 589
Mirant Noth America
7.375%, 12/31/13 2,150 2,204
NRG Energy
7.375%, 02/01/16 3,620 3,720
7.375%, 01/15/17 6,440 6,609
7.250%, 02/01/14 1,080 1,107
Pacific Energy Partners
7.125%, 06/15/14 225 235
Reliant Energy
9.250%, 07/15/10 2,250 2,371
Sierra Pacific Resources
7.803%, 06/15/12 450 476
Southern Natural Gas
8.875%, 03/15/10 375 392
TXU, Ser P (G)
5.550%, 11/15/14 600 531
TXU, Ser R
6.550%, 11/15/34 150 126
Tenaska Alabama (A)
7.000%, 06/30/21 1,094 1,101
--------------
38,948
--------------
Total Corporate Obligations
(Cost $993,401) ($ Thousands) 1,012,485
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
LOAN PARTICIPATIONS -- 6.5%
FINANCIALS -- 6.5%
Affinion
11.660%, 03/01/12 $ 900 $ 878
Amkor Technology
9.860%, 10/27/10 1,500 1,553
Aramark
7.470%, 06/30/07 537 539
7.445%, 05/26/07 38 38
Boston Generating
9.600%, 06/19/14 500 512
9.570%, 06/18/14 1,000 1,024
9.570%, 06/21/14 700 717
7.600%, 12/19/13 2,000 2,015
12.350%, 12/21/16 150 163
CCFC
11.320%, 08/26/09 2,068 2,141
Cebridge
11.380%, 05/05/14 750 778
11.371%, 05/05/14 3,725 3,861
Century Cable
10.250%, 06/30/09 3 3
Charter
8.125%, 03/01/14 500 499
Cooper Standard
7.875%, 12/23/11 2,228 2,234
Delphi
8.125%, 12/31/07 3,950 3,961
Ford Term Loan
8.360%, 12/12/13 675 677
Georgia Pacific
7.340%, 02/14/13 1,366 1,373
Green Valley
8.560%, 08/16/14 225 227
7.310%, 02/16/14 217 217
HCA, Ser B
7.614%, 11/15/14 2,500 2,522
Hawkeye Renewables
9.320%, 06/30/12 2,243 2,179
Idearc, Ser B
7.320%, 11/15/14 3,500 3,519
Intelsat Bermuda (I)
7.860%, 02/02/14 1,875 1,877
Kelson
8.125%, 03/01/14 3,125 3,073
6.570%, 03/16/13 375 374
LSP General Finance
8.864%, 04/13/13 2,000 2,017
Level 3 Term Loan
7.570%, 12/01/11 750 754
Murray
13.900%, 01/31/11 4,555 4,817
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 161
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
NRG Energy
7.364%, 02/01/13 $ 1,986 $ 1,999
Nalco, Ser B
7.106%, 11/04/10 952 958
Neiman Marcus, Ser B
7.891%, 03/13/13 1,797 1,812
Nielsen Finance
8.190%, 08/09/13 750 756
Northwest Airlines
7.850%, 08/21/08 1,500 1,503
Paetec Holdings
8.620%, 02/28/13 1,000 1,010
Plygem
11.070%, 11/02/11 250 255
Rental Services
8.857%, 11/30/13 2,500 2,544
Revlon
5.369%, 01/15/12 1,550 1,595
Rexnord
11.598%, 02/20/13 1,950 1,962
Sandridge
8.625%, 04/01/15 1,050 1,071
Simmons
10.648%, 02/15/12 770 757
10.648%, 02/15/12 1,125 1,106
TPF Generation Holdings LLC
9.620%, 12/15/14 1,750 1,779
Tropicana Entertainment
7.860%, 12/31/11 1,500 1,515
United Air Lines
7.375%, 02/01/14 3,000 3,005
Univision Communications (L)
0.000%, 03/15/14 1,000 1,000
Venoco
10.000%, 03/30/11 150 151
10.000%, 04/26/11 4,500 4,537
9.875%, 04/26/11 500 504
Wide Open West
10.360%, 04/28/13 1,750 1,786
Wind Acquisition Holdings
12.558%, 12/12/11 2,381 2,434
2.000%, 12/21/11 700 716
--------------
Total Loan Participations
(Cost $78,668) ($ Thousands) 79,297
--------------
COMMERCIAL PAPER (I) -- 6.0%
FINANCIALS -- 6.0%
Adirondack, Ser 2005-2 (H)
5.319%, 04/24/07 2,491 2,482
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Brahms Funding (H)
5.314%, 05/14/07 $ 3,077 $ 3,057
5.313%, 04/16/07 2,241 2,236
Buckingham CDO I LLC (H)
5.320%, 04/25/07 2,303 2,295
Buckingham CDO II LLC (H)
5.318%, 04/23/07 2,864 2,854
Buckingham CDO III LLC (H)
5.320%, 04/26/07 2,558 2,548
Ciesco
5.277%, 04/20/07 5,260 5,245
Citius I Funding (H)
5.320%, 04/26/07 996 992
Citius II Funding LLC (H)
5.292%, 04/02/07 2,491 2,490
Daimler Chrysler
5.396%, 04/16/07 2,450 2,445
Davis Square Funding (H)
5.310%, 04/13/07 5,479 5,469
Elysian Funding LLC (H)
5.353%, 04/23/07 897 894
Georgetown Funding (H)
5.316%, 04/20/07 6,052 6,034
Hawker Beechcraft (A) (G)
9.750%, 04/01/17 550 554
KKR Pacific Funding Trust (H)
5.341%, 04/27/07 2,491 2,481
Kitty Hawk
5.282%, 04/18/07 5,210 5,197
Mica Funding LLC (H)
5.316%, 04/20/07 2,597 2,590
5.313%, 04/16/07 1,245 1,242
5.310%, 04/19/07 806 804
5.294%, 04/05/07 2,690 2,688
Rhineland Funding Capital (H)
5.354%, 04/30/07 240 239
5.332%, 06/06/07 915 906
5.315%, 05/15/07 2,655 2,637
5.314%, 05/14/07 1,060 1,053
Stone Container
8.000%, 03/15/17 1,450 1,450
Thornburg Mortgage Capital
Resource (H)
5.313%, 04/16/07 634 632
5.310%, 04/13/07 598 597
5.309%, 04/12/07 1,245 1,243
5.298%, 04/10/07 2,403 2,400
Valour Bay Capital LLC (H)
5.326%, 05/16/07 3,113 3,092
5.324%, 04/18/07 1,066 1,063
5.319%, 04/12/07 1,245 1,243
- --------------------------------------------------------------------------------
162 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Zane Funding (H)
5.369%, 04/24/07 $ 2,351 $ 2,343
5.364%, 04/17/07 76 76
--------------
Total Commercial Paper
(Cost $73,571) ($ Thousands) 73,571
--------------
COLLATERALIZED LOAN OBLIGATIONS -- 5.6%
FINANCIALS -- 5.6%
Ares IIIR, Ser 2007-1A, Cl SUB
0.000%, 04/16/21 3,800 3,724
Ares VR, Ser 2006-1A, Cl SUB (A)
0.000%, 02/24/18 7,000 6,300
CIFC Funding, Ser 2006-I (D)
0.000%, 10/20/20 2,300 2,300
CIFC Funding, Ser 2006-II
0.000%, 03/01/21 3,000 3,000
Capitalsource Advisors, Ser 2006-1A,
Cl SUB (A)
0.000%, 08/27/20 3,200 3,258
Copper River, Ser 2006-1A, Cl INC
0.000%, 01/20/21 3,000 2,970
De Meer Middle Market, Ser 2006-1A,
Cl INC
0.000%, 10/20/18 2,229 2,104
Gleneagles, Ser AI (D)
0.000%, 11/01/17 7 6,500
Golden Tree Loan Opportunities III Ltd.,
Ser 2007-3A, Cl SUB
0.000%, 05/01/22 3,400 3,400
ING Investment Management (A) (D)
0.000%, 12/01/17 13 11,719
ING Investment Management II (A) (D)
0.000%, 08/01/20 6 5,516
Lightpoint, Ser 2006-4A, Cl IN (A)
0.000%, 04/15/18 2,500 2,155
Marathon, Ser 2005-2A, Cl INC
0.000%, 12/20/19 3,000 2,880
Pamco, Ser 1998-1A, Cl B2 (A) (D)
6.710%, 11/01/06 2,500 2,371
Stanfield Bristol, Ser 2005-1A,
Cl SUB (A)
0.000%, 10/15/19 6,300 5,494
Stanfield Vayron, Ser 2006-1A,
Cl SUB
0.000%, 07/15/18 2,300 2,220
Tralee 2007-1A, Cl SUB
0.000%, 04/16/22 2,700 2,565
--------------
Total Collateralized Loan Obligations
(Cost $67,999) ($ Thousands) 68,476
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 0.2%
MORTGAGE RELATED SECURITIES -- 0.2%
Countrywide Alternative Loan Trust,
Ser 2006-OA9, Cl X1P (E)
1.841%, 07/20/46 $ 2,965 $ 135
Duke Funding, Ser 2004-6B, Cl A1S1
(A) (D) (H)
5.430%, 04/09/07 1,868 1,868
Harborview Mortgage Loan Trust,
Ser 2005-01, Cl X, IO (E)
1.290%, 04/01/07 126 2
Harborview Mortgage Loan Trust,
Ser 2005-10, Cl X, IO (D) (F)
1.284%, 04/01/07 747 20
Harborview Mortgage Loan Trust,
Ser 2005-12, Cl X2A, IO (D)
0.609%, 10/19/35 1,559 15
Indymac Index Mortgage Loan Trust,
Ser 2004-AR12, Cl AX2, IO (E) (F)
0.930%, 04/01/07 2,399 50
Newcastle CDO, Ser 2005-6A,
Cl IM1 (A) (D) (H)
5.340%, 04/24/07 498 498
Washington Mutual, Ser 2007-OA2,
Cl 1XPP, IO
0.002%, 03/25/47 2,169 32
--------------
Total Asset-Backed Securities
(Cost $2,589) ($ Thousands) 2,620
--------------
COLLATERALIZED DEBT OBLIGATIONS -- 1.6%
FINANCIALS -- 1.6%
Carlyle High Yield Partners,
Ser 2006-8A, Cl N
0.000%, 05/21/21 3,700 3,423
Connecticut Valley Structured Credit,
Ser 2006-3A, Cl NOTE (A)
0.000%, 03/23/23 2,200 2,090
Peritus I (F)
9.000%, 05/24/15 3,750 1,125
Peritus I, Ser 2005-1A, Cl C (A) (F)
9.000%, 05/24/15 14,231 13,438
--------------
Total Collateralized Debt Obligations
(Cost $19,818) ($ Thousands) 20,076
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 163
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Concluded)
March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
CONVERTIBLE BONDS -- 0.4%
Commercial Industrial Finace,
Ser 2007-2A
0.000%, 04/15/21 $ 2,700 $ 2,592
Flextronics CV to 64.4122
1.000%, 08/01/10 1,265 1,215
Ford Motor CV to 108.6957
4.250%, 12/15/36 325 358
Freeport-McMoRan Copper & Gold,
6.750%, CV To 1.3605* 6,250 668
Mirant CV to 14.7167 (G)
2.500%, 06/15/21 2,200 44
--------------
Total Convertible Bonds
(Cost $4,918) ($ Thousands) 4,877
--------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.0%
FINANCIAL SERVICES -- 0.0%
FHLMC CMO, Ser 2696, Cl NI, IO
5.500%, 03/15/23 15 --
FNMA CMO, Ser 2003-37, Cl IG, IO
5.500%, 05/25/32 8 1
--------------
Total U.S. Government Agency Obligations
(Cost $27) ($ Thousands) 1
--------------
COMMON STOCK -- 0.2%
Armstrong World Industries* 6,123 311
Core-Mark Holding* 12,816 457
Huntsman 8,061 154
Owens Corning (G)* 28,933 922
Shreveport Gaming Holdings (G)* 13,948 126
UAL (G)* 2,958 113
Winn-Dixie Stores (G)* 8,445 149
--------------
Total Common Stock
(Cost $2,118) ($ Thousands) 2,232
--------------
PREFERRED STOCK -- 0.4%
ION Media, 14.250%* 1 5
Rockwall Investors 0.000% (A) (D)* 4,000,000 3,880
Rural Cellular PIK, 12.250%* 374 420
Rural Cellular, Ser B PIK, 11.375%* 350 437
--------------
Total Preferred Stock
(Cost $4,308) ($ Thousands) 4,742
--------------
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Number of
Warrants
-------------
WARRANTS -- 0.0%
Grande Communications,
Expires 04/01/11* 850 $ 8
--------------
Total Warrants
(Cost $8) ($ Thousands) 8
--------------
CASH EQUIVALENTS**++ -- 4.7%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.180% 40,606,578 40,607
SEI Liquidity Fund LP,
5.520% (H) 17,433,781 17,434
--------------
Total Cash Equivalents
(Cost $58,041) ($ Thousands) 58,041
--------------
CERTIFICATES OF DEPOSIT (H) -- 0.3%
Barclays Bank (A) (D)
5.440%, 06/11/07 $ 1,245 1,245
CC USA MTN (A)
5.520%, 06/18/07 2,491 2,491
Thornburg Mortgage Capital
Resource
5.309%, 04/11/07 310 309
--------------
Total Certificates of Deposit
(Cost $4,045) ($ Thousands) 4,045
--------------
MASTER NOTE (D) (I) -- 0.1%
Bear Stearns
5.558%, 03/31/07 747 747
--------------
Total Master Note
(Cost $747) ($ Thousands) 747
--------------
REPURCHASE AGREEMENTS (H) (J) -- 2.2%
Barclays
5.340%, dated 03/30/07, to be repurchased
on 04/02/07, repurchase price $1,190,310
(collateralized by a U.S. Government
Obligation, par value $1,180,815, 5.600%,
10/17/13; with total market value
$1,213,601) 1,190 1,190
Deutsche Bank
5.350%, dated 03/30/07, to be repurchased
on 04/02/07, repurchase price $10,334,370
(collateralized by various U.S. Government
Obligations, ranging in par value $68,116-
$3,788,859, 0.000%-6.110%,
05/16/07-10/15/19; with total market value
$10,536,362) 10,330 10,330
- --------------------------------------------------------------------------------
164 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Lehman Brothers
5.350%, dated 03/30/07, to be repurchased
on 04/02/07, repurchase price $14,949,903
(collateralized by various U.S. Government
Obligations, ranging in par value
$1,081,517- $1,822,079, 2.625%-10.351%,
05/15/07-08/03/18; with total market
value $15,242,208) $ 14,943 $ 14,943
--------------
Total Repurchase Agreements
(Cost $26,463) ($ Thousands) 26,463
--------------
Total Investments -- 111.0%
(Cost $1,336,721) ($ Thousands)+++ $ 1,357,681
==============
Percentages are based on Net Assets of $1,222,739 ($ Thousands).
* Non-Income Producing Security.
** Rate shown is the 7-day effective yield as of March 31, 2007.
+ Real Estate Investments Trust.
++ Investment in Affiliated Registered Investment Company (see Note 3).
(A) Securities sold within terms of a private placement memorandum, exempt
from registration under Section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors." These securities have been determined to be liquid
under guidelines established by the Board of Trustees.
(B) Step Bonds -- The rate reflected on the Schedule of Investments is the
effective yield on March 31, 2007. 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 March 31, 2007. The date reported on the
Schedule of Investments is the next reset date.
(E) Zero Coupon Bond -- The rate reported on the Schedule of Investments is
the effective yield at time of purchase.
(F) Securities considered illiquid. The total value of such securities as of
March 31, 2007 was $14,633 ($ Thousands) and represented 1.20% of Net
Assets.
(G) This security or a partial position of this security is on loan at March
31, 2007 (see Note 7). The total value of securities on loan at March 31,
2007 was $146,910 ($ 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 March 31, 2007
was $155,535 ($ 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 April 30, 2007, this security has not yet settled. The Interest rate
is 0.000% until settle date.
CDO -- Collateralized Debt Obligation
Cl -- Class
CMO -- Collateralized Mortgage Obligation
CV -- Convertible Security
EXL -- Extendable Maturity
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
IO -- Interest Only
LLC -- Limited Liability Company
LP -- Limited Partnership
Ltd. -- Limited
MTN -- Medium Term Note
PCS -- Personal Communications Service
PIK -- Payment-in-Kind
PLC -- Public Limited Company
Ser -- Series
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 165
Statements of Assets and Liabilities ($ Thousands)
March 31, 2007 (Unaudited)
- -----------------------------------------------------------------------------------------------------------------------------------
LARGE CAP LARGE CAP TAX-MANAGED
VALUE GROWTH LARGE CAP
FUND FUND FUND
- -----------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments at value+ $ 3,983,214* $ 3,673,476* $ 2,765,565*
Repurchase agreement+ 74,538 75,877 51,664
Affiliated investment, at value++ 117,406 102,945 122,427
Cash 116 -- --
Foreign currency, at value+++ -- -- --
Restricted cash held for securities sold short -- -- --
Receivable for investment securities sold 12,891 26,847 5,237
Receivable for fund shares sold 2,137 1,740 1,233
Dividends and interest receivable 5,541 2,995 3,097
Receivable for variation margin 5 10 20
Unrealized appreciation on futures -- 8 --
Prepaid expenses 38 53 36
- -----------------------------------------------------------------------------------------------------------------------------------
Total Assets 4,195,886 3,883,951 2,949,279
- -----------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return on securities loaned 438,100 445,970 303,658
Payable for securities sold short+++++ -- -- --
Payable for investment securities purchased 5,321 21,139 1,973
Payable for fund shares redeemed 6,997 6,391 2,555
Payable for variation margin 13 9 15
Administration fees payable 1,102 1,013 775
Investment advisory fees payable 894 994 686
Shareholder servicing fees payable Class A 628 422 403
Shareholder servicing fees payable Class I 6 6 --
Shareholder servicing fees payable Class Y -- -- 1
Overdraft of foreign currency, at value+++ -- -- --
Administration servicing fees payable Class I 7 6 --
Payable to custodian -- 2,081 414
Income distribution payable 5 -- --
Swap contracts at value++++ -- -- --
Accrued expense payable 108 194 125
- -----------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 453,181 478,225 310,605
- -----------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 3,742,705 $ 3,405,726 $ 2,638,674
===================================================================================================================================
+ Cost of investments and repurchase agreements 3,184,983 3,157,593 2,210,862
++ Cost of affiliated investments 117,406 102,945 122,427
+++ Cost of foreign currency -- -- --
++++ Cost of swaps -- -- --
+++++ Proceeds from securities sold short -- -- --
* Includes market value of securities on loan 424,538 435,572 295,803
NET ASSETS:
Paid-in-Capital (unlimited authorization -- no par value) $ 2,758,201 $ 4,127,504 $ 2,422,669
Undistributed net investment income (Accumulated
net investment loss) 1,079 374 549
Accumulated net realized gain (loss) on investments
securities sold short, option contracts, futures, credit
default swaps and foreign currency 109,644 (1,314,338) (391,606)
Net unrealized appreciation on investments, securities sold
short and option contracts 872,769 591,760 606,367
Net unrealized appreciation on futures contracts 1,012 426 695
Net unrealized depreciation on swap contracts -- -- --
Net unrealized depreciation on forward foreign currency
contracts, foreign currencies and translation of other
assets and liabilities denominated in foreign currencies -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 3,742,705 $ 3,405,726 $ 2,638,674
===================================================================================================================================
Net Asset Value, Offering and Redemption Price Per
Share -- Class A $ 23.11 $ 21.23 $ 13.57
($ 3,709,513,069 / ($ 3,377,806,665 / ($ 2,633,989,452 /
160,549,936 shares) 159,126,690 shares) 194,131,714 shares)
===================================================================================================================================
Net Asset Value, Offering and Redemption Price Per
Share -- Class I $ 23.10 $ 21.01 NA
($ 33,191,959 / ($ 27,919,506 /
1,437,003 shares) 1,328,744 shares)
===================================================================================================================================
Net Asset Value, Offering and Redemption Price Per
Share -- Class Y N/A N/A $ 13.71
($ 4,684,204 /
341,731 shares)
===================================================================================================================================
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 / Semi-Annual Report / March 31, 2007
- ------------------------------------------------------------------------------------------------------------------------------------
LARGE CAP
DIVERSIFIED SMALL
ALPHA CAP VALUE SMALL CAP
FUND FUND GROWTH FUND
- ------------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments at value+ $ 1,522,367 $ 1,375,131* $ 1,348,045*
Repurchase agreement+ -- 52,289 57,630
Affiliated investment, at value++ 65,125 90,696 66,831
Cash -- -- 1,318
Foreign currency, at value+++ -- -- --
Restricted cash held for securities sold short 2,473 -- --
Receivable for investment securities sold 23,911 7,611 5,627
Receivable for fund shares sold 4,165 993 1,191
Dividends and interest receivable 2,039 1,733 564
Receivable for variation margin 31 187 96
Unrealized appreciation on futures 5 -- --
Prepaid expenses 17 18 17
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 1,620,133 1,528,658 1,481,319
- ------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return on securities loaned -- 307,328 338,719
Payable for securities sold short+++++ 156,262 -- --
Payable for investment securities purchased 93,489 7,557 7,705
Payable for fund shares redeemed 275 922 889
Payable for variation margin 84 -- --
Administration fees payable 391 354 329
Investment advisory fees payable 437 656 604
Shareholder servicing fees payable Class A 213 103 101
Shareholder servicing fees payable Class I -- 3 2
Shareholder servicing fees payable Class Y -- -- --
Overdraft of foreign currency, at value+++ 57 -- 720
Administration servicing fees payable Class I -- 3 2
Payable to custodian 460 122 --
Income distribution payable -- 1 --
Swap contracts at value++++ 1,441 -- --
Accrued expense payable 50 63 60
- ------------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 253,159 317,112 349,131
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 1,366,974 $ 1,211,546 $ 1,132,188
====================================================================================================================================
+ Cost of investments and repurchase agreements 1,418,735 1,210,007 1,288,864
++ Cost of affiliated investments 65,125 90,696 66,831
+++ Cost of foreign currency (57) -- (700)
++++ Cost of swaps (1,090) -- --
+++++ Proceeds from securities sold short (155,195) -- --
* Includes market value of securities on loan -- 298,074 328,866
NET ASSETS:
Paid-in-Capital (unlimited authorization -- no par value) $ 1,250,187 $ 921,504 $ 1,017,193
Undistributed net investment income (Accumulated
net investment loss) 72 404 (2,263)
Accumulated net realized gain (loss) on investments
securities sold short, option contracts, futures, credit
default swaps and foreign currency 10,394 71,655 (97)
Net unrealized appreciation on investments, securities sold
short and option contracts 102,565 217,413 116,811
Net unrealized appreciation on futures contracts 4,107 570 564
Net unrealized depreciation on swap contracts (351) -- --
Net unrealized depreciation on forward foreign currency
contracts, foreign currencies and translation of other
assets and liabilities denominated in foreign currencies -- -- (20)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 1,366,974 $ 1,211,546 $ 1,132,188
====================================================================================================================================
Net Asset Value, Offering and Redemption Price Per Share -- Class A $ 11.13 $ 21.79 $ 20.62
($1,366,561,706 / ($ 1,195,414,119 / ($ 1,119,755,847 /
122,792,306 shares) 54,861,868 shares) 54,311,601 shares)
====================================================================================================================================
Net Asset Value, Offering and Redemption Price Per Share -- Class I $ 11.13 $ 21.71 $ 20.32
($ 411,932 / ($ 16,132,205 / ($ 12,431,795 /
37,002 shares) 743,238 shares) 611,796 shares)
====================================================================================================================================
Net Asset Value, Offering and Redemption Price Per Share -- Class Y N/A N/A N/A
====================================================================================================================================
- ------------------------------------------------------------------------------------------------------------------------
SMALL/MID
CAP
TAX-MANAGED DIVERSIFIED
SMALL CAP ALPHA
FUND FUND
- ------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments at value+ $ 363,140* $ 85,221
Repurchase agreement+ -- --
Affiliated investment, at value++ 145,903 6,724
Cash 86 --
Foreign currency, at value+++ -- 2
Restricted cash held for securities sold short -- 362
Receivable for investment securities sold 2,586 1,121
Receivable for fund shares sold 298 5
Dividends and interest receivable 365 157
Receivable for variation margin 44 85
Unrealized appreciation on futures -- --
Prepaid expenses 5 25
- ------------------------------------------------------------------------------------------------------------------------
Total Assets 512,427 93,702
- ------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return on securities loaned 132,069 --
Payable for securities sold short+++++ -- 4,670
Payable for investment securities purchased 2,862 7,918
Payable for fund shares redeemed 168 --
Payable for variation margin -- --
Administration fees payable 110 23
Investment advisory fees payable 166 35
Shareholder servicing fees payable Class A 79 16
Shareholder servicing fees payable Class I -- --
Shareholder servicing fees payable Class Y -- --
Overdraft of foreign currency, at value+++ -- --
Administration servicing fees payable Class I -- --
Payable to custodian -- 73
Income distribution payable -- --
Swap contracts at value++++ -- 233
Accrued expense payable 19 3
- ------------------------------------------------------------------------------------------------------------------------
Total Liabilities 135,473 12,971
- ------------------------------------------------------------------------------------------------------------------------
Net Assets $ 376,954 $ 80,731
========================================================================================================================
+ Cost of investments and repurchase agreements 296,683 83,545
++ Cost of affiliated investments 145,903 6,724
+++ Cost of foreign currency -- 2
++++ Cost of swaps -- (55)
+++++ Proceeds from securities sold short -- (4,645)
* Includes market value of securities on loan 129,229 --
NET ASSETS:
Paid-in-Capital (unlimited authorization -- no par value) $ 300,364 $ 78,672
Undistributed net investment income (Accumulated
net investment loss) 71 17
Accumulated net realized gain (loss) on investments
securities sold short, option contracts, futures, credit default
swaps and foreign currency 9,679 (273)
Net unrealized appreciation on investments, securities sold
short and option contracts 66,457 1,651
Net unrealized appreciation on futures contracts 383 842
Net unrealized depreciation on swap contracts -- (178)
Net unrealized depreciation on forward foreign currency
contracts, foreign currencies and translation of other
assets and liabilities denominated in foreign currencies -- --
- ------------------------------------------------------------------------------------------------------------------------
Net Assets $ 376,954 $ 80,731
========================================================================================================================
Net Asset Value, Offering and Redemption Price Per Share -- Class A $ 13.62 $ 10.26
($ 376,953,764 / ($ 80,731,494 /
27,667,662 shares) 7,869,549 shares)
========================================================================================================================
Net Asset Value, Offering and Redemption Price Per Share -- Class I N/A N/A
========================================================================================================================
Net Asset Value, Offering and Redemption Price Per Share -- Class Y N/A N/A
========================================================================================================================
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 167
Statements of Assets and Liabilities ($ Thousands)
March 31, 2007 (Unaudited)
- ------------------------------------------------------------------------------------------------------------------------------------
U.S. MANAGED GLOBAL MANAGED
MID-CAP VOLATILITY VOLATILITY
FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments at value+ $ 184,427* $ 396,575 $ 198,695
Repurchase agreement+ 69 -- --
Affiliated investment, at value++ 4,875 36,871 6,633
Cash -- 77 6,192
Foreign currency, at value+++ -- -- --
Receivable for investment securities sold -- -- 724
Receivable for fund shares sold 123 4,659 2,161
Dividends and interest receivable 139 450 719
Receivable for variation margin 8 -- --
Receivable for shareholder servicing fee -- -- --
Unrealized gain on foreign spot currency contracts -- -- 1,185
Unrealized gain on forward foreign currency contracts -- -- 205
Prepaid expenses 2 4 --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 189,643 438,636 216,514
- ------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return on securities loaned 405 -- --
Payable for investment securities purchased -- 439 2,036
Payable for fund shares redeemed 202 177 71
Payable for variation margin -- 8 4
Administration fees payable 55 121 56
Investment advisory fees payable 63 170 65
Trustee fees payable -- -- --
Shareholder servicing fees payable Class A 39 86 39
Shareholder servicing fees payable Class I -- -- --
Administration servicing fees payable Class I -- -- --
Overdraft of foreign currency, at value+++ -- -- 3,125
Swaptions# -- -- --
Options written, at value++++ -- -- --
Payable to custodian 4 -- --
Income distribution payable -- -- --
Unrealized loss on foreign currency contracts -- -- 38
Unrealized loss on foreign spot currency contracts -- -- 1,187
Swap contracts at value+++++ -- -- --
Accrued expense payable 4 14 15
- ------------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 772 1,015 6,636
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 188,871 $ 437,621 $ 209,878
====================================================================================================================================
+ Cost of investments and repurchase agreements 163,857 355,070 189,226
++ Cost of affiliated investments 4,875 36,871 6,633
+++ Cost of foreign currency -- -- (3,115)
++++ Premiums received -- -- --
+++++ Cost of swaps -- -- --
# Premiums received -- -- --
* Includes market value of securities on loan 389 -- --
NET ASSETS:
Paid-in-Capital (unlimited authorization -- no par value) $ 164,499 $ 391,733 $ 197,673
Undistributed (Distributions in excess of) net
investment income 18 23 157
Accumulated net realized gain (loss) on investments, option
contracts, futures, credit default swaps and foreign
currency 3,611 4,239 2,274
Net unrealized appreciation on investments and
option contracts 20,639 41,505 9,469
Net unrealized appreciation (depreciation) on
futures contracts 104 121 135
Net unrealized depreciation on swap contracts -- -- --
Net unrealized appreciation on swaptions -- -- --
Net unrealized appreciation (depreciation) on forward
foreign currency contracts, foreign currencies and
translation of other assets and liabilities denominated in
foreign currencies -- -- 170
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 188,871 $ 437,621 $ 209,878
====================================================================================================================================
Net Asset Value, Offering and Redemption Price Per
Share -- Class A $ 21.84 $ 12.80 $ 11.12
($ 188,870,875 / ($ 437,620,899 / ($ 209,878,270 /
8,646,896 shares) 34,175,899 shares) 18,881,227 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.
- --------------------------------------------------------------------------------
168 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- ------------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE ENHANCED
FUND INCOME FUND
- ------------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments at value+ $ 301,642* $ 445,779
Repurchase agreement+ 14,824 35,000
Affiliated investment, at value++ 19,875 42,908
Cash -- 5,169
Foreign currency, at value+++ -- --
Receivable for investment securities sold -- 3,345
Receivable for fund shares sold 347 1,265
Dividends and interest receivable 757 2,440
Receivable for variation margin -- 49
Receivable for shareholder servicing fee -- 135
Unrealized gain on foreign spot currency contracts -- --
Unrealized gain on forward foreign currency contracts -- 3,580
Prepaid expenses 2 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 337,447 539,672
- ------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return on securities loaned 87,128 --
Payable for investment securities purchased 2,058 45,047
Payable for fund shares redeemed 652 3,304
Payable for variation margin -- --
Administration fees payable 74 135
Investment advisory fees payable 130 169
Trustee fees payable -- --
Shareholder servicing fees payable Class A 28 --
Shareholder servicing fees payable Class I -- --
Administration servicing fees payable Class I -- --
Overdraft of foreign currency, at value+++ -- --
Swaptions# -- --
Options written, at value++++ -- --
Payable to custodian 105 --
Income distribution payable -- --
Unrealized loss on foreign currency contracts -- 3,553
Unrealized loss on foreign spot currency contracts -- --
Swap contracts at value+++++ -- 307
Accrued expense payable 7 70
- ------------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 90,182 52,585
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 247,265 $ 487,087
====================================================================================================================================
+ Cost of investments and repurchase agreements 261,438 479,527
++ Cost of affiliated investments 19,875 42,908
+++ Cost of foreign currency -- --
++++ Premiums received -- --
+++++ Cost of swaps -- 53
# Premiums received -- --
* Includes market value of securities on loan 86,265 --
NET ASSETS:
Paid-in-Capital (unlimited authorization -- no par value) $ 188,230 $ 486,368
Undistributed (Distributions in excess of) net
investment income (73) (819)
Accumulated net realized gain (loss) on investments, option
contracts, futures, credit default swaps and foreign
currency 4,080 824
Net unrealized appreciation on investments and
option contracts 55,028 1,252
Net unrealized appreciation (depreciation) on
futures contracts -- (235)
Net unrealized depreciation on swap contracts -- (360)
Net unrealized appreciation on swaptions -- --
Net unrealized appreciation (depreciation) on forward
foreign currency contracts, foreign currencies and
translation of other assets and liabilities denominated in
foreign currencies -- 57
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 247,265 $ 487,087
====================================================================================================================================
Net Asset Value, Offering and Redemption Price Per
Share -- Class A $ 19.73 $ 10.09
($ 247,265,048 / ($ 487,087,064 /
12,530,819 shares) 48,298,120 shares)
====================================================================================================================================
Net Asset Value, Offering and Redemption Price Per
Share -- Class I N/A N/A
====================================================================================================================================
- ------------------------------------------------------------------------------------------------------------------------------------
CORE FIXED HIGH YIELD
INCOME FUND BOND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments at value+ $ 5,467,529* $ 1,273,177*
Repurchase agreement+ 497,627 26,463
Affiliated investment, at value++ 116,713 58,041
Cash 1,715 --
Foreign currency, at value+++ 3,951 --
Receivable for investment securities sold 315,977 21,030
Receivable for fund shares sold 4,047 2,758
Dividends and interest receivable 32,762 22,593
Receivable for variation margin -- --
Receivable for shareholder servicing fee -- --
Unrealized gain on foreign spot currency contracts -- --
Unrealized gain on forward foreign currency contracts 731 --
Prepaid expenses 65 16
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 6,441,117 1,404,078
- ------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return on securities loaned 759,532 155,535
Payable for investment securities purchased 1,298,453 21,767
Payable for fund shares redeemed 4,198 1,682
Payable for variation margin 177 --
Administration fees payable 1,033 363
Investment advisory fees payable 969 411
Trustee fees payable 1 --
Shareholder servicing fees payable Class A 248 87
Shareholder servicing fees payable Class I 3 --
Administration servicing fees payable Class I 3 --
Overdraft of foreign currency, at value+++ -- --
Swaptions# 2 --
Options written, at value++++ 717 --
Payable to custodian -- 733
Income distribution payable 1,003 671
Unrealized loss on foreign currency contracts 325 --
Unrealized loss on foreign spot currency contracts -- --
Swap contracts at value+++++ 2,400 --
Accrued expense payable 345 90
- ------------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 2,069,409 181,339
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 4,371,708 $ 1,222,739
====================================================================================================================================
+ Cost of investments and repurchase agreements 5,944,212 1,278,680
++ Cost of affiliated investments 116,713 58,041
+++ Cost of foreign currency 3,837 --
++++ Premiums received (875) --
+++++ Cost of swaps (1,766) --
# Premiums received (36) --
* Includes market value of securities on loan 730,836 146,910
NET ASSETS:
Paid-in-Capital (unlimited authorization -- no par value) $ 4,398,566 $ 1,366,707
Undistributed (Distributions in excess of) net
investment income (740) (780)
Accumulated net realized gain (loss) on investments, option
contracts, futures, credit default swaps and foreign
currency (48,615) (164,148)
Net unrealized appreciation on investments and
option contracts 21,102 20,960
Net unrealized appreciation (depreciation) on
futures contracts 2,162 --
Net unrealized depreciation on swap contracts (634) --
Net unrealized appreciation on swaptions 34 --
Net unrealized appreciation (depreciation) on forward
foreign currency contracts, foreign currencies and
translation of other assets and liabilities denominated in
foreign currencies (167) --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 4,371,708 $ 1,222,739
====================================================================================================================================
Net Asset Value, Offering and Redemption Price Per
Share -- Class A $ 10.34 $ 8.60
($ 4,357,728,126 / ($ 1,222,739,223 /
421,494,764 shares) 142,151,364 shares)
====================================================================================================================================
Net Asset Value, Offering and Redemption Price Per
Share -- Class I $ 10.33 N/A
($ 13,979,962 /
1,352,696 shares)
====================================================================================================================================
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 169
Statements of Operations ($ Thousands)
For the six month period ended March 31, 2007 (Unaudited)
- --------------------------------------------------------------------------------------------------
LARGE CAP LARGE CAP TAX-MANAGED
VALUE GROWTH LARGE CAP
FUND FUND FUND
- --------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends $ 47,853 $ 18,230 $ 22,309
Dividends from Affiliated Registered Investment Company* 1,482 1,306 1,412
Interest Income 52 278 171
Income from Securities Lending 253 227 188
Less: Foreign Taxes Withheld (37) (31) (27)
- --------------------------------------------------------------------------------------------------
Total Investment Income 49,603 20,010 24,053
- --------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 6,602 6,922 5,106
Administration Fees 6,602 6,056 4,463
Shareholder Servicing Fees (A) 4,675 4,290 3,185
Shareholder Servicing Fees (I) 41 36 --
Shareholder Servicing Fees (Y) -- -- 4
Administration Servicing Fees (I) 41 36 --
Printing Fees 130 105 77
Professional Fees 126 69 50
Custodian/Wire Agent Fees 114 80 53
Trustee Fees 22 20 14
Registration Fees -- 24 15
Interest Expense on Securities Sold Short -- -- --
Other Expenses 55 33 25
- --------------------------------------------------------------------------------------------------
Total Expenses 18,408 17,671 12,992
- --------------------------------------------------------------------------------------------------
Less:
Waiver of Investment Advisory Fees (1,257) (971) (1,139)
Waiver of Shareholder Servicing Fees (A) (876) (1,666) (842)
Waiver of Shareholder Servicing Fees (I) (7) (14) --
Waiver of Shareholder Servicing Fees (Y) -- -- (2)
Fees Paid Indirectly (4) (103) (38)
- --------------------------------------------------------------------------------------------------
Net Expenses 16,264 14,917 10,971
- --------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS) 33,339 5,093 13,082
==================================================================================================
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
NET REALIZED GAIN (LOSS) ON:
Investments 192,872 65,786 54,155
Securities Sold Short -- -- --
Futures Contracts 3,206 2,394 311
Written Options -- -- --
Swap Contracts -- -- --
Foreign Currency Transactions -- -- --
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments 106,089 147,565 117,593
Securities Sold Short -- -- --
Futures Contracts (165) (349) 150
Written Options -- -- --
Swap Contracts -- -- --
Foreign Currency and Translation of Other Assets
and Liabilities Denominated in Foreign Currency -- -- --
- --------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $335,341 $220,489 $185,291
==================================================================================================
Amounts designated as "--" are $0 or have been rounded to $0.
* See Note 3 in Notes to Financial Statements.
(1) The Small/Mid Cap Diversified Alpha Fund commenced operations on December
20, 2006.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
170 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------------------------------------------------------
LARGE CAP SMALL SMALL TAX-MANAGED SMALL/MID CAP
DIVERSIFIED ALPHA CAP VALUE CAP GROWTH SMALL CAP DIVERSIFIED ALPHA
FUND FUND FUND FUND FUND(1)
- --------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends $ 6,211 $ 8,627 $ 2,311 $ 2,061 $ 197
Dividends from Affiliated Registered Investment
Company* 1,694 1,147 747 508 172
Interest Income 5,106 94 99 18 211
Income from Securities Lending -- 453 964 202 --
Less: Foreign Taxes Withheld (8) (9) (28) (1) (1)
- --------------------------------------------------------------------------------------------------------------------------------
Total Investment Income 13,003 10,312 4,093 2,788 579
- --------------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 2,395 3,919 3,706 1,140 158
Administration Fees 2,095 2,110 1,996 614 74
Shareholder Servicing Fees (A) 1,497 1,488 1,410 438 53
Shareholder Servicing Fees (I) -- 19 16 -- --
Shareholder Servicing Fees (Y) -- -- -- -- --
Administration Servicing Fees (I) -- 19 16 -- --
Printing Fees 35 36 34 10 2
Professional Fees 23 23 22 7 1
Custodian/Wire Agent Fees 24 26 29 7 1
Trustee Fees 7 7 6 2 --
Registration Fees 5 7 7 2 10
Interest Expense on Securities Sold Short 455 -- -- -- 9
Other Expenses 11 13 13 8 6
- --------------------------------------------------------------------------------------------------------------------------------
Total Expenses 6,547 7,667 7,255 2,228 314
- --------------------------------------------------------------------------------------------------------------------------------
Less:
Waiver of Investment Advisory Fees (22) (14) (71) (223) (45)
Waiver of Shareholder Servicing Fees (A) (380) (815) (727) -- (1)
Waiver of Shareholder Servicing Fees (I) -- (11) (8) -- --
Waiver of Shareholder Servicing Fees (Y) -- -- -- -- --
Fees Paid Indirectly -- (118) (104) (58) --
- --------------------------------------------------------------------------------------------------------------------------------
Net Expenses 6,145 6,709 6,345 1,947 268
- --------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS) 6,858 3,603 (2,252) 841 311
================================================================================================================================
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS:
NET REALIZED GAIN (LOSS) ON:
Investments 24,123 86,766 47,617 13,309 (59)
Securities Sold Short (6,494) -- -- -- --
Futures Contracts 8,841 3,483 2,851 1,461 (222)
Written Options 71 -- -- -- --
Swap Contracts (78) -- -- -- 8
Foreign Currency Transactions -- (1) (50) -- --
NET CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON:
Investments 69,012 54,159 73,109 21,805 1,676
Securities Sold Short (4,643) -- -- -- (25)
Futures Contracts (632) (172) 31 84 842
Written Options (13) -- -- -- --
Swap Contracts (412) -- -- -- (178)
Foreign Currency and Translation of Other
Assets and Liabilities Denominated in
Foreign Currency 2 -- (20) -- --
- --------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $96,635 $147,838 $121,286 $37,500 $2,353
================================================================================================================================
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 171
Statements of Operations ($ Thousands)
For the six month period ended March 31, 2007 (Unaudited)
- -----------------------------------------------------------------------------------------------------------------------------------
U.S. MANAGED GLOBAL MANAGED
MID-CAP VOLATILITY VOLATILITY
FUND FUND FUND
- -----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends $ 920 $ 2,873 $ 1,895
Dividends from Affiliated Registered Investment Company* 130 601 137
Interest Income 5 40 12
Income from Securities Lending 8 -- --
Less: Foreign Taxes Withheld -- (13) (118)
- -----------------------------------------------------------------------------------------------------------------------------------
Total Investment Income 1,063 3,501 1,926
- -----------------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 280 1,137 457
Administration Fees 243 612 246
Shareholder Servicing Fees (A) 173 437 176
Shareholder Servicing Fees (I) -- -- --
Administration Servicing Fees (I) -- -- --
Printing Fees 3 10 4
Custodian/Wire Agent Fees 2 6 27
Professional Fees 2 7 3
Trustee Fees 1 2 1
Registration Fees 1 2 1
Other Expenses 1 3 7
- -----------------------------------------------------------------------------------------------------------------------------------
Total Expenses 706 2,216 922
- -----------------------------------------------------------------------------------------------------------------------------------
Less:
Waiver of Investment Advisory Fees -- (236) (141)
Waiver of Shareholder Servicing Fees (A) (7) (39) (1)
Waiver of Shareholder Servicing Fees (I) -- -- --
Fees Paid Indirectly -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Net Expenses 699 1,941 780
- -----------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 364 1,560 1,146
===================================================================================================================================
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
NET REALIZED GAIN (LOSS) ON:
Investments 4,976 6,259 4,146
Futures Contracts (127) (134) 75
Written Options -- -- --
Swap Contracts -- -- --
Foreign Currency Transactions -- -- (1,420)
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments 12,763 25,182 7,365
Futures Contracts 108 (116) 66
Written Options -- -- --
Swap Contracts -- -- --
Swaptions -- -- --
Foreign Currency and Translation of Other Assets
and Liabilities Denominated in Foreign Currency -- -- (95)
- -----------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $18,084 $32,751 $11,283
===================================================================================================================================
Amounts designated as "--" are $0 or have been rounded to $0.
* See Note 3 in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
172 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- -----------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE ENHANCED CORE FIXED HIGH YIELD
FUND INCOME FUND INCOME FUND BOND FUND
- -----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends $ 3,009 $ 45 $ -- $ 6,745
Dividends from Affiliated Registered Investment Company* 281 746 980 1,024
Interest Income -- 10,316 114,296 43,655
Income from Securities Lending 7 -- 530 184
Less: Foreign Taxes Withheld (6) (5) (32) --
- -----------------------------------------------------------------------------------------------------------------------------------
Total Investment Income 3,291 11,102 115,774 51,608
- -----------------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 754 714 5,875 2,795
Administration Fees 406 625 5,982 2,006
Shareholder Servicing Fees (A) 290 446 5,324 1,433
Shareholder Servicing Fees (I) -- -- 18 --
Administration Servicing Fees (I) -- -- 18 --
Printing Fees 6 9 130 34
Custodian/Wire Agent Fees 4 6 107 23
Professional Fees 4 6 92 23
Trustee Fees 1 1 25 6
Registration Fees 1 3 27 8
Other Expenses 2 8 270 73
- -----------------------------------------------------------------------------------------------------------------------------------
Total Expenses 1,468 1,818 17,868 6,401
- -----------------------------------------------------------------------------------------------------------------------------------
Less:
Waiver of Investment Advisory Fees (36) -- (225) (487)
Waiver of Shareholder Servicing Fees (A) (133) (749) (3,929) (986)
Waiver of Shareholder Servicing Fees (I) -- -- (13) --
Fees Paid Indirectly (11) -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Net Expenses 1,288 1,069 13,701 4,928
- -----------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 2,003 10,033 102,073 46,680
===================================================================================================================================
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
NET REALIZED GAIN (LOSS) ON:
Investments 6,207 259 21,623 4,083
Futures Contracts -- (244) 1,193 --
Written Options -- -- 692 235
Swap Contracts -- 1 714 1,001
Foreign Currency Transactions 2 1,071 (856) --
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments 17,527 910 (3,780) 25,384
Futures Contracts -- (20) 1,076 --
Written Options -- -- -- --
Swap Contracts -- (360) (530) (967)
Swaptions -- -- 34 --
Foreign Currency and Translation of Other Assets
and Liabilities Denominated in Foreign Currency -- (349) 257 --
- -----------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $25,739 $11,301 $122,496 $76,416
===================================================================================================================================
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 173
Statements of Changes in Net Assets ($ Thousands)
For the six month period ended March 31, 2007 (Unaudited) and the year ended
September 30, 2006
- ------------------------------------------------------------------------------------------------------------------------------------
LARGE CAP LARGE CAP TAX-MANAGED
VALUE FUND GROWTH FUND LARGE CAP FUND
- ------------------------------------------------------------------------------------------------------------------------------------
10/1/06 10/1/05 10/1/06 10/1/05 10/1/06 10/1/05
to 3/31/07 to 9/30/06 to 3/31/07 to 9/30/06 to 3/31/07 to 9/30/06
- ------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income (Loss) $ 33,339 $ 64,301 $ 5,093 $ 6,461 $ 13,082 $ 20,700
Net Realized Gain (Loss) from Investments,
Securities Sold Short, Futures Contracts,
Written Options and Swap Contracts 196,078 342,943 68,180 129,685 54,466 60,244
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 105,924 78,903 147,216 28,030 117,743 105,956
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currencies and
Translation of Other Assets and Liabilities
Denominated in Foreign Currency -- -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets
from Operations 335,341 486,147 220,489 164,176 185,291 186,900
- ------------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (47,083) (64,544) (5,554) (6,263) (17,580) (19,618)
Class I (348) (381) (5) -- -- --
Class Y -- -- -- -- (34) (46)
Net Realized Gains:
Class A (341,377) (246,892) -- -- -- --
Class I (2,981) (1,453) -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (391,789) (313,270) (5,559) (6,263) (17,614) (19,664)
- ------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS(1):
Class A:
Proceeds from Shares Issued 302,293 590,885 277,258 645,544 273,841 412,756
Reinvestment of Dividends & Distributions 363,712 295,797 5,268 5,960 16,614 18,614
Cost of Shares Redeemed (662,612) (1,526,556) (505,594) (1,425,125) (197,322) (397,596)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 3,393 (639,874) (223,068) (773,621) 93,133 33,774
- ------------------------------------------------------------------------------------------------------------------------------------
Class I:
Proceeds from Shares Issued 6,627 10,321 4,317 7,533 -- --
Reinvestment of Dividends & Distributions 3,304 1,775 5 -- -- --
Cost of Shares Redeemed (7,580) (7,142) (5,987) (10,332) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class I Transactions 2,351 4,954 (1,665) (2,799) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Class Y:
Proceeds from Shares Issued -- -- -- -- 96 161
Reinvestment of Dividends & Distributions -- -- -- -- 34 46
Cost of Shares Redeemed -- -- -- -- (331) (1,104)
- ------------------------------------------------------------------------------------------------------------------------------------
Decrease in Net Assets Derived
from Class Y Transactions -- -- -- -- (201) (897)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions 5,744 (634,920) (224,733) (776,420) 92,932 32,877
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (50,704) (462,043) (9,803) (618,507) 260,609 200,113
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR/PERIOD 3,793,409 4,255,452 3,415,529 4,034,036 2,378,065 2,177,952
- ------------------------------------------------------------------------------------------------------------------------------------
END OF YEAR/PERIOD $3,742,705 $ 3,793,409 $3,405,726 $ 3,415,529 $2,638,674 $2,378,065
- ------------------------------------------------------------------------------------------------------------------------------------
UNDISTRIBUTED NET INVESTMENT INCOME/
(ACCUMULATED NET INVESTMENT LOSS)
INCLUDED IN NET ASSETS AT PERIOD END $ 1,079 $ 15,171 $ 374 $ 840 $ 549 $ 5,081
====================================================================================================================================
(1) See Note 4 in Notes to Financial Statements for additional information.
(2) The Large Cap Diversified Alpha Fund commenced operations on December 14,
2005.
(3) The Small/Mid Cap Diversified Alpha Fund commenced operations on December
20, 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 / Semi-Annual Report / March 31, 2007
- ------------------------------------------------------------------------------------------------------------------------------------
LARGE CAP DIVERSIFIED SMALL CAP SMALL CAP
ALPHA FUND(2) VALUE FUND GROWTH FUND
- ------------------------------------------------------------------------------------------------------------------------------------
10/1/06 12/14/05 10/1/06 10/1/05 10/1/06 10/1/05
to 3/31/07 to 9/30/06 to 3/31/07 to 9/30/06 to 3/31/07 to 9/30/06
- ------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income (Loss) $ 6,858 $ 8,870 $ 3,603 $ 3,389 $ (2,252) $ (4,517)
Net Realized Gain (Loss) from Investments,
Securities Sold Short, Futures Contracts,
Written Options and Swap Contracts 26,463 (7,358) 90,249 125,159 50,468 58,444
Net Realized Loss on Foreign Currency
Transactions -- (1) (1) (16) (50) (12)
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Securities
Sold Short, Futures Contracts, Written
Options and Swap Contracts 63,312 43,009 53,987 (19,635) 73,140 (15,531)
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currencies and
Translation of Other Assets and Liabilities
Denominated in Foreign Currency 2 (2) -- -- (20) --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets
from Operations 96,635 44,518 147,838 108,897 121,286 38,384
- ------------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (9,931) (5,836) (4,319) (3,393) -- --
Class I (1) -- (35) (17) -- --
Class Y -- -- -- -- -- --
Net Realized Gains:
Class A (7,983) -- (112,541) (110,921) -- --
Class I -- -- (1,420) (1,326) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (17,915) (5,836) (118,315) (115,657) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS(1):
Class A:
Proceeds from Shares Issued 388,335 1,157,412 143,551 294,921 148,949 383,822
Reinvestment of Dividends & Distributions 17,850 5,833 111,522 109,275 -- --
Cost of Shares Redeemed (200,427) (119,826) (248,962) (303,550) (260,522) (368,970)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 205,758 1,043,419 6,111 100,646 (111,573) 14,852
- ------------------------------------------------------------------------------------------------------------------------------------
Class I:
Proceeds from Shares Issued 608 21 3,410 5,461 1,999 4,279
Reinvestment of Dividends & Distributions 1 -- 1,447 1,325 -- --
Cost of Shares Redeemed (235) -- (3,416) (5,103) (2,763) (3,766)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class I Transactions 374 21 1,441 1,683 (764) 513
- ------------------------------------------------------------------------------------------------------------------------------------
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 206,132 1,043,440 7,552 102,329 (112,337) 15,365
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 284,852 1,082,122 37,075 95,569 8,949 53,749
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR/PERIOD 1,082,122 -- 1,174,471 1,078,902 1,123,239 1,069,490
- ------------------------------------------------------------------------------------------------------------------------------------
END OF YEAR/PERIOD $1,366,974 $1,082,122 $1,211,546 $1,174,471 $1,132,188 $1,123,239
- ------------------------------------------------------------------------------------------------------------------------------------
UNDISTRIBUTED NET INVESTMENT INCOME/
(ACCUMULATED NET INVESTMENT LOSS)
INCLUDED IN NET ASSETS AT PERIOD END $ 72 $ 3,146 $ 404 $ 1,155 $ (2,263) $ (11)
====================================================================================================================================
- ---------------------------------------------------------------------------------------------------------
TAX-MANAGED SMALL/MID CAP
SMALL CAP FUND DIVERSIFIED ALPHA FUND(3)
- ---------------------------------------------------------------------------------------------------------
10/1/06 10/1/05 12/20/06
to 3/31/07 to 9/30/06 to 3/31/07
- ---------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income (Loss) $ 841 $ 267 $ 311
Net Realized Gain (Loss) from Investments,
Securities Sold Short, Futures Contracts,
Written Options and Swap Contracts 14,770 22,010 (273)
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 21,889 (7,197) 2,315
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currencies and
Translation of Other Assets and Liabilities
Denominated in Foreign Currency -- -- --
- ---------------------------------------------------------------------------------------------------------
Net Increase in Net Assets
from Operations 37,500 15,080 2,353
- ---------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (1,068) -- (294)
Class I -- -- --
Class Y -- -- --
Net Realized Gains:
Class A (23,058) (15,044) --
Class I -- -- --
- ---------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (24,126) (15,044) (294)
- ---------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS(1):
Class A:
Proceeds from Shares Issued 55,546 79,945 81,957
Reinvestment of Dividends & Distributions 22,495 14,133 294
Cost of Shares Redeemed (28,794) (49,300) (3,579)
- ---------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 49,247 44,778 78,672
- ---------------------------------------------------------------------------------------------------------
Class I:
Proceeds from Shares Issued -- -- --
Reinvestment of Dividends & Distributions -- -- --
Cost of Shares Redeemed -- -- --
- ---------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class I Transactions -- -- --
- ---------------------------------------------------------------------------------------------------------
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 49,247 44,778 78,672
- ---------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 62,621 44,814 80,731
- ---------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR/PERIOD 314,333 269,519 --
- ---------------------------------------------------------------------------------------------------------
END OF YEAR/PERIOD $376,954 $314,333 $80,731
- ---------------------------------------------------------------------------------------------------------
UNDISTRIBUTED NET INVESTMENT INCOME/
(ACCUMULATED NET INVESTMENT LOSS)
INCLUDED IN NET ASSETS AT PERIOD END $ 71 $ 298 $ 17
=========================================================================================================
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 175
Statements of Changes in Net Assets ($ Thousands)
For the six month period ended March 31, 2007 (Unaudited) and the year ended
September 30, 2006
- ------------------------------------------------------------------------------------------------------------------------------------
U.S. MANAGED GLOBAL MANAGED
MID-CAP FUND VOLATILITY FUND VOLATILITY FUND(2)
- ------------------------------------------------------------------------------------------------------------------------------------
10/1/06 10/1/05 10/1/06 10/1/05 10/1/06 7/27/06
to 3/31/07 to 9/30/06 to 3/31/07 to 9/30/06 to 3/31/07 to 9/30/06
- ------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 364 $ 638 $ 1,560 $ 2,026 $ 1,146 $ 182
Net Realized Gain (Loss) on Investments,
Futures Contracts, Written Options
and Swap Contracts 4,849 9,194 6,125 8,540 4,221 164
Payment by Affiliate* -- -- -- -- -- --
Net Realized Gain (Loss) on Foreign Currency
Transactions -- -- -- -- (1,420) 380
Net Change in Unrealized Appreciation
(Depreciation) on Investments,
Futures Contracts, Written Options,
Swap Contracts, and Swaptions 12,871 (2,133) 25,066 8,060 7,431 2,173
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currencies and
Translation of Other Assets and Liabilities
Denominated in Foreign Currency -- -- -- -- (95) 265
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 18,084 7,699 32,751 18,626 11,283 3,164
- ------------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (474) (598) (2,199) (1,689) (1,567) --
Class I -- -- -- -- -- --
Net Realized Gains:
Class A (6,793) (6,634) (8,410) (2,511) (675) --
Class I -- -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (7,267) (7,232) (10,609) (4,200) (2,242) --
- ------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS(1):
Class A:
Proceeds from Shares Issued 120,693 79,066 166,018 203,861 117,126 97,370
Reinvestment of Dividends & Distributions 6,108 6,635 10,407 4,138 2,216 --
Cost of Shares Redeemed (38,955) (67,122) (64,469) (78,949) (13,456) (5,583)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 87,846 18,579 111,956 129,050 105,886 91,787
- ------------------------------------------------------------------------------------------------------------------------------------
Class I:
Proceeds from Shares Issued -- -- -- -- -- --
Reinvestment of Dividends & Distributions -- -- -- -- -- --
Cost of Shares Redeemed -- -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class I Transactions -- -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions 87,846 18,579 111,956 129,050 105,886 91,787
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 98,663 19,046 134,098 143,476 114,927 94,951
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR/PERIOD 90,208 71,162 303,523 160,047 94,951 --
- ------------------------------------------------------------------------------------------------------------------------------------
END OF YEAR/PERIOD $188,871 $ 90,208 $437,621 $303,523 $209,878 $94,951
- ------------------------------------------------------------------------------------------------------------------------------------
UNDISTRIBUTED NET INVESTMENT INCOME/
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME) INCLUDED IN
NET ASSETS AT PERIOD END $ 18 $ 128 $ 23 $ 662 $ 157 $ 578
====================================================================================================================================
* See Note 3 in Notes to Financial Statements.
(1) See Note 4 in the Notes to Financial Statements for additional
information.
(2) The Global Managed Volatility and Enhanced Income Funds commenced
operations on July 27, 2006.
(3) Includes a payment by affiliate (see Note 3).
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
176 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- ------------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE ENHANCED
FUND INCOME FUND(3)
- ------------------------------------------------------------------------------------------------------------------------------------
10/1/06 10/1/05 10/1/06 7/27/06
to 3/31/07 to 9/30/06 to 3/31/07 to 9/30/06
- ------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 2,003 $ 1,842 $ 10,033 $ 2,057
Net Realized Gain (Loss) on Investments,
Futures Contracts, Written Options
and Swap Contracts 6,207 10,236 16 (270)
Payment by Affiliate* -- -- -- --
Net Realized Gain (Loss) on Foreign Currency
Transactions 2 (11) 1,071 --
Net Change in Unrealized Appreciation
(Depreciation) on Investments,
Futures Contracts, Written Options,
Swap Contracts, and Swaptions 17,527 23,191 530 127
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currencies and
Translation of Other Assets and Liabilities
Denominated in Foreign Currency -- -- (349) 406
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 25,739 35,258 11,301 2,320
- ------------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (2,647) (2,763) (12,902) --
Class I -- -- -- --
Net Realized Gains:
Class A (10,114) (3,510) -- --
Class I -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (12,761) (6,273) (12,902) --
- ------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS(1):
Class A:
Proceeds from Shares Issued 110,917 133,772 307,129 249,264
Reinvestment of Dividends & Distributions 12,240 6,040 12,629 --
Cost of Shares Redeemed (81,544) (72,528) (67,051) (15,603)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 41,613 67,284 252,707 233,661
- ------------------------------------------------------------------------------------------------------------------------------------
Class I:
Proceeds from Shares Issued -- -- -- --
Reinvestment of Dividends & Distributions -- -- -- --
Cost of Shares Redeemed -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class I Transactions -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions 41,613 67,284 252,707 233,661
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 54,591 96,269 251,106 235,981
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR/PERIOD 192,674 96,405 235,981 --
- ------------------------------------------------------------------------------------------------------------------------------------
END OF YEAR/PERIOD $247,265 $192,674 $487,087 $235,981
- ------------------------------------------------------------------------------------------------------------------------------------
UNDISTRIBUTED NET INVESTMENT INCOME/
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME) INCLUDED IN
NET ASSETS AT PERIOD END $ (73) $ 571 $ (819) $ 2,050
====================================================================================================================================
- ------------------------------------------------------------------------------------------------------------------------------------
CORE FIXED HIGH YIELD
INCOME FUND BOND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
10/1/06 10/1/05 10/1/06 10/1/05
to 3/31/07 to 9/30/06 to 3/31/07 to 9/30/06
- ------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 102,073 $ 192,220(3) $ 46,680 $ 88,943
Net Realized Gain (Loss) on Investments,
Futures Contracts, Written Options
and Swap Contracts 24,222 (64,436) 5,319 (35,255)
Payment by Affiliate* -- -- -- 3
Net Realized Gain (Loss) on Foreign Currency
Transactions (856) (1,028) -- --
Net Change in Unrealized Appreciation
(Depreciation) on Investments,
Futures Contracts, Written Options,
Swap Contracts, and Swaptions (3,200) 24,370 24,417 14,191
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currencies and
Translation of Other Assets and Liabilities
Denominated in Foreign Currency 257 (434) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 122,496 150,692 76,416 67,882
- ------------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (102,048) (193,342) (47,675) (89,029)
Class I (317) (551) -- --
Net Realized Gains:
Class A -- (13,424) -- --
Class I -- (40) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (102,365) (207,357) (47,675) (89,029)
- ------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS(1):
Class A:
Proceeds from Shares Issued 518,022 1,114,502 241,608 483,558
Reinvestment of Dividends & Distributions 96,339 194,414 43,841 81,500
Cost of Shares Redeemed (570,008) (1,053,127) (160,162) (1,075,121)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 44,353 255,789 125,287 (510,063)
- ------------------------------------------------------------------------------------------------------------------------------------
Class I:
Proceeds from Shares Issued 3,831 6,246 -- --
Reinvestment of Dividends & Distributions 317 589 -- --
Cost of Shares Redeemed (4,268) (5,605) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class I Transactions (120) 1,230 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions 44,233 257,019 125,287 (510,063)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 64,364 200,354 154,028 (531,210)
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR/PERIOD 4,307,344 4,106,990 1,068,711 1,599,921
- ------------------------------------------------------------------------------------------------------------------------------------
END OF YEAR/PERIOD $4,371,708 $ 4,307,344 $1,222,739 $ 1,068,711
- ------------------------------------------------------------------------------------------------------------------------------------
UNDISTRIBUTED NET INVESTMENT INCOME/
(DISTRIBUTIONS IN EXCESS OF NET
INVESTMENT INCOME) INCLUDED IN
NET ASSETS AT PERIOD END $ (740) $ (448) $ (780) $ 215
====================================================================================================================================
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 177
Financial Highlights
For the period ended March 31, 2007 and the years ended September 30,
(unless otherwise indicated)
For a Share Outstanding Throughout the Periods
- -------------------------------------------------------------------------------------------------------
Net
Realized
and
Net Asset Net Unrealized Dividends
Value, Investment Gains from Net
Beginning Income (Losses) on Total from Investment
of Period (Loss) Securities Operations Income
- -------------------------------------------------------------------------------------------------------
LARGE CAP VALUE FUND
Class A
2007* $23.54 $ 0.21(1) $ 1.91(1) $ 2.12 $(0.29)
2006 22.45 0.37(1) 2.41(1) 2.78 (0.37)
2005 19.80 0.35(1) 2.76(1) 3.11 (0.34)
2004 16.81 0.30(1) 2.99(1) 3.29 (0.30)
2003 13.94 0.25(1) 2.86(1) 3.11 (0.24)
2002 17.39 0.21 (3.26) (3.05) (0.21)
Class I
2007* $23.52 $ 0.18(1) $ 1.91(1) $ 2.09 $(0.25)
2006 22.43 0.31(1) 2.42(1) 2.73 (0.32)
2005 19.78 0.29(1) 2.77(1) 3.06 (0.29)
2004 16.80 0.25(1) 2.98(1) 3.23 (0.25)
2003 13.94 0.21(1) 2.86(1) 3.07 (0.21)
2002 17.39 0.19 (3.28) (3.09) (0.17)
LARGE CAP GROWTH FUND
Class A
2007* $19.95 $ 0.03(1) $ 1.28(1) $ 1.31 $(0.03)
2006 19.23 0.04(1) 0.71(1) 0.75 (0.03)
2005 17.13 0.09(1) 2.09(1) 2.18 (0.08)
2004 15.77 (0.01)(1) 1.37(1) 1.36 --
2003 12.97 --(1) 2.81(1) 2.81 --
2002 16.73 (0.04)(1) (3.72)(1) (3.76) --
Class I
2007* $19.75 $ --(1) $ 1.26(1) $ 1.26 $ --
2006 19.04 (0.01)(1) 0.72(1) 0.71 --
2005 17.00 0.04(1) 2.07(1) 2.11 (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 LARGE CAP FUND
Class A
2007* $12.68 $ 0.07(1) $ 0.91(1) $ 0.98 $(0.09)
2006 11.78 0.11(1) 0.90(1) 1.01 (0.11)
2005 10.41 0.12(1) 1.37(1) 1.49 (0.12)
2004 9.20 0.08(1) 1.21(1) 1.29 (0.08)
2003 7.50 0.08(1) 1.70(1) 1.78 (0.08)
2002 9.49 0.06 (1.98) (1.92) (0.07)
Class Y
2007* $12.79 $ 0.09(1) $ 0.93(1) $ 1.02 $(0.10)
2006 11.86 0.15(1) 0.89(1) 1.04 (0.11)
2005 10.45 0.16(1) 1.38(1) 1.54 (0.13)
2004 9.21 0.12(1) 1.20(1) 1.32 (0.08)
2003 7.50 0.10(1) 1.71(1) 1.81 (0.10)
2002(4) 10.45 0.05 (2.98) (2.93) (0.02)
LARGE CAP DIVERSIFIED ALPHA FUND
Class A
2007* $10.38 $ 0.06(1) $ 0.86(1) $ 0.92 $(0.09)
2006(2) 10.00 0.10(1) 0.34(1) 0.44 (0.06)
Class I
2007* $10.38 $ 0.04(1) $ 0.87(1) $ 0.91 $(0.08)
2006(3) 10.28 0.01(1) 0.09(1) 0.10 --
- ---------------------------------------------------------------------------------------------------
Distributions Total
from Dividends,
Realized Distributions Net Asset
Capital Return and Return Value, End Total
Gains of Capital of Capital of Period Return+
- ---------------------------------------------------------------------------------------------------
LARGE CAP VALUE FUND
Class A
2007* $(2.26) $ -- $(2.55) $23.11 9.30%
2006 (1.32) -- (1.69) 23.54 13.42
2005 (0.12) -- (0.46) 22.45 15.87
2004 -- -- (0.30) 19.80 19.66
2003 -- -- (0.24) 16.81 22.55
2002 (0.19) -- (0.40) 13.94 (18.06)
Class I
2007* $(2.26) $ -- $(2.51) $23.10 9.16%
2006 (1.32) -- (1.64) 23.52 13.16
2005 (0.12) -- (0.41) 22.43 15.61
2004 -- -- (0.25) 19.78 19.33
2003 -- -- (0.21) 16.80 22.17
2002 (0.19) -- (0.36) 13.94 (18.24)
LARGE CAP GROWTH FUND
Class A
2007* $ -- $ -- $(0.03) $21.23 6.59%
2006 -- -- (0.03) 19.95 3.92
2005 -- -- (0.08) 19.23 12.75
2004 -- -- -- 17.13 8.62
2003 -- (0.01) (0.01) 15.77 21.66
2002 -- -- -- 12.97 (22.47)
Class I
2007* $ -- $ -- $ -- $21.01 6.40%
2006 -- -- -- 19.75 3.73
2005 -- -- (0.07) 19.04 12.42
2004 -- -- -- 17.00 8.42
2003 -- -- --** 15.68 21.37
2002 -- -- -- 12.92 (22.73)
TAX-MANAGED LARGE CAP FUND
Class A
2007* $ -- $ -- $(0.09) $13.57 7.76%
2006 -- -- (0.11) 12.68 8.58
2005 -- -- (0.12) 11.78 14.40
2004 -- -- (0.08) 10.41 14.05
2003 -- -- (0.08) 9.20 23.84
2002 -- -- (0.07) 7.50 (20.44)
Class Y
2007* $ -- $ -- $(0.10) $13.71 7.97%
2006 -- -- (0.11) 12.79 8.83
2005 -- -- (0.13) 11.86 14.78
2004 -- -- (0.08) 10.45 14.41
2003 -- -- (0.10) 9.21 24.26
2002(4) -- -- (0.02) 7.50 (28.05)
LARGE CAP DIVERSIFIED ALPHA FUND
Class A
2007* $(0.08) $ -- $(0.17) $11.13 8.87%
2006(2) -- -- (0.06) 10.38 4.44
Class I
2007* $(0.08) $ -- $(0.16) $11.13 8.73%
2006(3) -- -- -- 10.38 0.97
- -----------------------------------------------------------------------------------------------------------------------------
Ratio of
Ratio of Expenses
Expenses to Average Ratio of Net
to Average Net Assets Investment
Ratio of Net Assets (Excluding Income
Net Assets Expenses (Excluding Fees Paid (Loss) Portfolio
End of Period to Average Fees Paid Indirectly to Average Turnover
($Thousands) Net Assets Indirectly) and Waivers) Net Assets Rate+
- -----------------------------------------------------------------------------------------------------------------------------
LARGE CAP VALUE FUND
Class A
2007* $3,709,513 0.86% 0.86% 0.97% 1.77% 16%
2006 3,762,101 0.86 0.87 0.97 1.67 58
2005 4,230,717 0.86 0.86 0.97 1.63 44
2004 4,153,475 0.85 0.85 0.97 1.59 46
2003 3,527,686 0.85 0.85 0.97 1.61 106
2002 2,896,977 0.85 0.85 0.97 1.23 41
Class I
2007* $ 33,192 1.11% 1.12% 1.22% 1.52% 16%
2006 31,308 1.11 1.12 1.22 1.40 58
2005 24,735 1.11 1.11 1.22 1.37 44
2004 20,180 1.10 1.10 1.22 1.33 46
2003 9,086 1.10 1.10 1.22 1.36 106
2002 6,175 1.10 1.10 1.22 1.01 41
LARGE CAP GROWTH FUND
Class A
2007* $3,377,807 0.86% 0.87% 1.02% 0.30% 24%
2006 3,387,749 0.86 0.87 1.02 0.18 89
2005 4,004,347 0.86 0.86 1.02 0.47 52
2004 3,846,240 0.85 0.85 1.02 (0.03) 36
2003 3,564,487 0.85 0.85 1.02 0.02 72
2002 2,904,802 0.85 0.85 1.02 (0.21) 62
Class I
2007* $ 27,920 1.11% 1.12% 1.27% 0.05% 24%
2006 27,780 1.11 1.12 1.27 (0.07) 89
2005 29,689 1.11 1.11 1.27 0.22 52
2004 28,431 1.10 1.10 1.27 (0.28) 36
2003 12,323 1.10 1.10 1.27 (0.24) 72
2002 7,934 1.10 1.10 1.27 (0.41) 62
TAX-MANAGED LARGE CAP FUND
Class A
2007* $2,633,989 0.86% 0.86% 1.02% 1.02% 26%
2006 2,373,507 0.86 0.87 1.02 0.91 65
2005 2,172,885 0.86 0.86 1.02 1.08 31
2004 1,977,883 0.85 0.85 1.02 0.83 29
2003 1,757,292 0.85 0.85 1.02 0.85 99
2002 1,436,467 0.85 0.85 1.03 0.65 80
Class Y
2007* $ 4,684 0.56% 0.56% 0.72% 1.32% 26%
2006 4,558 0.56 0.57 0.72 1.21 65
2005 5,067 0.56 0.56 0.72 1.39 31
2004 4,909 0.55 0.55 0.72 1.13 29
2003 3,834 0.55 0.55 0.72 1.17 99
2002(4) 2,631 0.55 0.55 0.72 1.03 80
LARGE CAP DIVERSIFIED ALPHA FUND
Class A
2007* $1,336,562 1.03%(11) 1.03%(11) 1.09% 1.11% 42%
2006(2) 1,082,101 1.09+++ 1.09+++ 1.16 1.18 72
Class I
2007* $ 412 1.26%(11) 1.26%(11) 1.33% 0.70% 42%
2006(3) 21 1.08+++ 1.08+++ 1.15 1.12 72
- --------------------------------------------------------------------------------
178 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- ------------------------------------------------------------------------------------------------------
Net
Realized
and
Net Asset Net Unrealized Dividends
Value, Investment Gains from Net
Beginning Income (Losses) on Total from Investment
of Period (Loss) Securities Operations Income
- ------------------------------------------------------------------------------------------------------
SMALL CAP VALUE FUND
Class A
2007* $21.28 $ 0.07(1) $ 2.67(1) $ 2.74 $(0.08)
2006 21.58 0.05(1) 1.97(1) 2.02 (0.06)
2005 20.74 0.06(1) 4.02(1) 4.08 (0.05)
2004 17.45 0.03(1) 4.32(1) 4.35 (0.06)
2003 13.99 0.08(1) 3.91(1) 3.99 (0.09)
2002 15.66 0.08 (0.21) (0.13) (0.09)
Class I
2007* $21.21 $ 0.04(1) $ 2.66(1) $ 2.70 $(0.05)
2006 21.52 --(1) 1.98(1) 1.98 (0.03)
2005 20.71 (0.01)(1) 4.03(1) 4.02 (0.02)
2004 17.44 (0.02)(1) 4.31(1) 4.29 (0.02)
2003 13.99 0.04(1) 3.90(1) 3.94 (0.05)
2002(5) 16.47 0.02 (2.49) (2.47) (0.01)
SMALL CAP GROWTH FUND
Class A
2007* $18.56 $(0.04)(1) $ 2.10(1) $ 2.06 $ --
2006 17.86 (0.07)(1) 0.77(1) 0.70 --
2005 15.14 (0.10)(1) 2.82(1) 2.72 --
2004 14.11 (0.10)(1) 1.13(1) 1.03 --
2003 9.62 (0.08)(1) 4.57(1) 4.49 --
2002 12.35 (0.09)(1) (2.64)(1) (2.73) --
Class I
2007* $18.32 $(0.06)(1) $ 2.06(1) $ 2.00 $ --
2006 17.67 (0.12)(1) 0.77(1) 0.65 --
2005 15.02 (0.14)(1) 2.79(1) 2.65 --
2004 14.03 (0.14)(1) 1.13(1) 0.99 --
2003 9.59 (0.11)(1) 4.55(1) 4.44 --
2002 12.35 (0.08)(1) (2.68)(1) (2.76) --
TAX-MANAGED SMALL CAP FUND
Class A
2007* $13.10 $ 0.03(1) $ 1.47(1) $ 1.50 $(0.04)
2006 13.13 0.01(1) 0.68(1) 0.69 --
2005 11.63 (0.02)(1) 2.36(1) 2.34 --
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/MID CAP DIVERSIFIED ALPHA FUND
Class A
2007(9)* $10.00 $ 0.04(1) $ 0.26(1) $ 0.30 $(0.04)
- ------------------------------------------------------------------------------------------
Distributions
from Total
Realized Dividends Net Asset
Capital and Value, End Total
Gains Distributions of Period Return+
- ------------------------------------------------------------------------------------------
SMALL CAP VALUE FUND
Class A
2007* $(2.15) $(2.23) $21.79 13.17%
2006 (2.26) (2.32) 21.28 10.34
2005 (3.19) (3.24) 21.58 21.21
2004 (1.00) (1.06) 20.74 25.67
2003 (0.44) (0.53) 17.45 29.28
2002 (1.45) (1.54) 13.99 (2.20)
Class I
2007* $(2.15) $(2.20) $21.71 13.02%
2006 (2.26) (2.29) 21.21 10.11
2005 (3.19) (3.21) 21.52 20.88
2004 (1.00) (1.02) 20.71 25.29
2003 (0.44) (0.49) 17.44 28.91
2002(5) -- (0.01) 13.99 (14.99)
SMALL CAP GROWTH FUND
Class A
2007* $ -- $ -- $20.62 11.10%
2006 -- -- 18.56 3.92
2005 -- -- 17.86 17.97
2004 -- -- 15.14 7.30
2003 -- -- 14.11 46.67
2002 -- -- 9.62 (22.11)
Class I
2007* $ -- $ -- $20.32 10.92%
2006 -- -- 18.32 3.68
2005 -- -- 17.67 17.64
2004 -- -- 15.02 7.06
2003 -- -- 14.03 46.30
2002 -- -- 9.59 (22.35)
TAX-MANAGED SMALL CAP FUND
Class A
2007* $(0.94) $(0.98) $13.62 11.61%
2006 $(0.72) (0.72) 13.10 5.50
2005 (0.84) (0.84) 13.13 20.80
2004 -- -- 11.63 16.30
2003 -- -- 10.00 32.63
2002 -- -- 7.54 (7.48)
SMALL/MID CAP DIVERSIFIED
ALPHA FUND
Class A
2007(9)* $ -- $(0.04) $10.26 2.98%
- ---------------------------------------------------------------------------------------------------------------------------
Ratio of
Ratio of Expenses
Expenses to Average Ratio of Net
to Average Net Assets Investment
Ratio of Net Assets (Excluding Income
Net Assets Expenses (Excluding Fees Paid (Loss) Portfolio
End of Period to Average Fees Paid Indirectly to Average Turnover
($Thousands) Net Assets Indirectly) and Waivers) Net Assets Rate+
- ---------------------------------------------------------------------------------------------------------------------------
SMALL CAP VALUE FUND
Class A
2007* $1,195,414 1.11% 1.13% 1.27% 0.60% 48%
2006 1,160,178 1.11 1.13 1.27 0.31 72
2005 1,066,189 1.11 1.11 1.27 0.27 71
2004 942,037 1.10 1.10 1.27 0.17 89
2003 795,501 1.10 1.10 1.27 0.52 99
2002 691,668 1.10 1.10 1.27 0.46 48
Class I
2007* $ 16,132 1.36% 1.38% 1.52% 0.35% 48%
2006 14,293 1.36 1.38 1.52 0.06 72
2005 12,713 1.36 1.36 1.52 (0.03) 71
2004 7,400 1.35 1.35 1.52 (0.09) 89
2003 2,572 1.35 1.35 1.52 0.23 99
2002(5) 727 1.35 1.35 1.52 0.21 48
SMALL CAP GROWTH FUND
Class A
2007* $1,119,756 1.11% 1.13% 1.27% (0.39)% 77%
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
2007* $ 12,432 1.36% 1.38% 1.52% (0.64)% 77%
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
TAX-MANAGED SMALL CAP FUND
Class A
2007* $ 376,954 1.11% 1.14% 1.27% 0.48% 37%
2006 314,333 1.11 1.14 1.27 0.09 73
2005 269,519 1.11 1.11 1.27 (0.17) 99
2004 214,859 1.10 1.10 1.27 (0.31) 86
2003 181,773 1.10 1.10 1.27 (0.21) 142
2002 143,764 1.10 1.10 1.26 (0.21) 86
SMALL/MID CAP DIVERSIFIED ALPHA FUND
Class A
2007(9)* $ 80,731 1.22%(12) 1.22%(12) 1.26% 1.47% 28%
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 179
Financial Highlights
For the period ended March 31, 2007 and the years ended September 30,
(unless otherwise indicated)
For a Share Outstanding Throughout the Periods
- ------------------------------------------------------------------------------------------------------------------------------------
Net
Realized
and Distributions
Net Asset Unrealized Dividends from Total
Value, Net Gains from Net Realized Dividends Net Asset
Beginning Investment (Losses) on Total from Investment Capital and Value, End Total
of Period Income Securities Operations Income Gains Distributions of Period Return+
- ------------------------------------------------------------------------------------------------------------------------------------
MID-CAP FUND
Class A
2007* $20.40 $0.06(1) $ 3.00(1) $ 3.06 $(0.08) $(1.54) $(1.62) $21.84 15.41%
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)(10) (0.40) (0.05) -- (0.05) 11.74 (3.34)
U.S. MANAGED VOLATILITY FUND
Class A
2007* $12.02 $0.06(1) $1.12(1) $1.18 $(0.08) $(0.32) $(0.40) $12.80 10.01%
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
2007* $10.37 $0.09(1) $0.83(1) $0.92 $(0.11) $(0.06) $(0.17) $11.12 8.90%
2006(7) 10.00 0.02(1) 0.35(1) 0.37 -- -- -- 10.37 3.70
REAL ESTATE FUND
Class A
2007* $18.43 $0.19(1) $2.27(1) $2.46 $(0.23) $(0.93) $(1.16) $19.73 13.57%
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
2007* $10.11 $0.28(1) $0.05(1) $0.33 $(0.35) $ -- $(0.35) $10.09 3.22%
2006(7) 10.00 0.10(1) 0.01(1) 0.11 -- -- -- 10.11 1.10
- --------------------------------------------------------------------------------------------
Ratio of
Ratio of Expenses
Expenses to Average
to Average Net Assets Ratio of Net
Ratio of Net Assets (Excluding Investment
Net Assets Expenses (Excluding Fees Paid Income Portfolio
End of Period to Average Fees Paid Indirectly to Average Turnover
($Thousands) Net Assets Indirectly) and Waivers) Net Assets Rate+
- --------------------------------------------------------------------------------------------
MID-CAP FUND
Class A
2007* $188,871 1.01% 1.01% 1.02% 0.53% 54%
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
2007* $437,621 1.11% 1.11% 1.27% 0.89% 55%
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
2007* $209,878 1.10% 1.10% 1.31% 1.63% 71%
2006(7) 94,951 1.10 1.10 1.30 1.22 13
REAL ESTATE FUND
Class A
2007* $247,265 1.11% 1.12% 1.27% 1.73% 35%
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
2007* $487,087 0.60% 0.60% 1.02% 5.62% 15%
2006(7) 235,981 0.60 0.60 1.10 5.54 70
- --------------------------------------------------------------------------------
180 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- ------------------------------------------------------------------------------------------------------------------------------------
Net
Realized
and Distributions
Net Asset Unrealized Dividends from Total
Value, Net Gains from Net Realized Dividends Net Asset
Beginning Investment (Losses) on Total from Investment Capital and Value, End Total
of Period Income Securities Operations Income Gains Distributions of Period Return+
- ------------------------------------------------------------------------------------------------------------------------------------
CORE FIXED INCOME FUND
Class A
2007* $10.29 $0.25(1) $ 0.05(1) $0.30 $(0.25) $ -- $(0.25) $10.34 2.91%
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
2007* $10.29 $0.23(1) $ 0.04(1) $0.27 $(0.23) $ -- $(0.23) $10.33 2.78%
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
2007* $8.38 $0.35(1) $ 0.22(1) $0.57 $(0.35) $ -- $(0.35) $ 8.60 6.94%
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
to Average Net Assets Ratio of Net
Ratio of Net Assets (Excluding Investment
Net Assets Expenses (Excluding Fees Paid Income Portfolio
End of Period to Average Fees Paid Indirectly to Average Turnover
($Thousands) Net Assets Indirectly) and Waivers) Net Assets Rate+
- ------------------------------------------------------------------------------------------------
CORE FIXED INCOME FUND
Class A
2007* $4,357,728 0.64% 0.64% 0.84% 4.78% 201%
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
2007* $ 13,980 0.89% 0.89% 1.09% 4.54% 201%
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
2007* $1,222,739 0.86% 0.86% 1.12% 8.14% 55%
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.
* For the six month period ended March 31, 2007. All ratios for the period
have been annualized
** Amount represents less than $0.01.
*** The expense ratio includes the litigation fees paid (see Note 9). 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) Commenced operations on December 20, 2006. All ratios have been anualized.
(10) 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.
(11) 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 1.21% for Class A and Class I Shares, respectively.
(12) The expense ratios include dividend expense and interest expense on
securities sold short. Had these expenses been excluded the ratios would
have been 1.21%.
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 181
Notes to Financial Statements (Unaudited)
March 31, 2007
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 Value, Large Cap Growth,
Tax-Managed Large Cap, Large Cap Diversified Alpha, Small Cap Value, Small Cap
Growth, Tax-Managed Small Cap, Small/Mid Cap Diversified Alpha, Mid-Cap, U.S.
Managed Volatility, Global Managed Volatility, Real Estate, Enhanced Income,
Core Fixed Income, High Yield Bond 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 Value, Large Cap Growth, Large Cap
Diversified Alpha, Small Cap Value, Small Cap Growth, Small/Mid Cap Diversified
Alpha, Mid-Cap, U.S. Managed Volatility, Global Managed Volatility, Real Estate,
Enhanced Income, Core Fixed Income, High Yield Bond 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 March 31, 2007, the Real Return Plus Fund has 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 noti-fies 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.
- --------------------------------------------------------------------------------
182 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
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 March 31, 2007.
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 period ended March 31, 2007, 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 period ended March 31,
2007. The Funds' investments in futures contracts are designed to enable the
Funds to more closely approximate the performance of their benchmark indices.
The Core Fixed Income Fund may use futures contracts for tactical hedging
purposes as well as to enhance the Fund's returns. Initial margin deposits of
cash or
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 183
Notes to Financial Statements (Unaudited) (Continued)
March 31, 2007
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 Core Fixed Income Fund had option contracts as of March 31,
2007 as disclosed in the Fund's Schedule of Investments.
The risk in writing a call option is that the Funds give up the opportunity for
profit if the market price of the security increases. The risk in writing a put
option is that the Funds may incur a loss if the market price of the security
decreases and the option is exercised. The risk in purchasing an option is that
the Funds pay a premium whether or not the option is exercised. The Funds also
have the additional risk of being unable to enter into a closing transaction at
an acceptable price if a liquid secondary market does not exist. Option
contracts also involve the risk that they may not work as intended due to
unanticipated developments in market conditions or other causes.
Finally, the risk exists that losses on written options could exceed amounts
disclosed on the Statement of Assets and Liabilities.
Written option transactions entered into during the six month period ended March
31, 2007 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 131 $ 71 1,511 $ 864
Written -- -- 2,740 1,134
Expired (131) (71) (1,471) (828)
Closing Buys -- -- (770) (296)
- ----------------------------------------------------------------------------------------------
Balance at the end of period -- $ -- 2,010 $ 874
==============================================================================================
At March 31, 2007, the 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. 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 to manage the Fund's exposure to
interest rates. Payments received or made are recorded as realized gains or
loss. The Fund could be exposed to credit or market risk due to unfavorable
changes in the fluctuation of interest rates or if the counterparty defaults on
its obligation to perform. Risk of loss may exceed amounts recognized on the
statement of assets and liabilities. Interest rate swap contracts outstanding at
period end, if any, are listed after the Fund's portfolio. 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
- --------------------------------------------------------------------------------
184 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
duration of the investment portfolio, to protect the Fund's value from changes
in interest rates, or to expose a Fund to a different security or market.
Swaps are marked-to-market daily based upon quotations from market makers and
the resulting changes in market values, if any, are recorded as an unrealized
gain or loss in the Statement of Operations. Net payments of interest are
recorded as realized gains or losses.
Entering into swap agreements involves, to varying degrees, elements of credit
and market risk in excess of the amounts recognized on the Statement of Assets
and Liabilities. Such risks involve the possibility that there will be no liquid
market for these agreements, that the counterparty to the agreement may default
on its obligation to perform and that there may be unfavorable changes in the
fluctuation of interest rates. Risks also arise from potential losses from
adverse market movements.
DELAYED DELIVERY TRANSACTIONS -- The Core Fixed Income Fund may purchase or sell
securities on a when-issued or delayed delivery basis. These transactions
involve a commitment by the Fund to purchase or sell securities for a
predetermined price or yield, with payment and delivery taking place beyond the
customary settlement period. When delayed delivery purchases are outstanding,
the Fund will set aside liquid assets in an amount sufficient to meet the
purchase price. When purchasing a security on a delayed delivery basis, the Fund
assumes the rights and risks of ownership of the security, including the risk of
price and yield fluctuations, and takes such fluctuations into account when
determining its net asset value. The Fund may dispose of or renegotiate a
delayed delivery transaction after it is entered into, and may sell when-issued
securities before they are delivered, which may result in a capital gain or
loss. When the Fund has sold a security on a delayed delivery basis, the Fund
does not participate in future gains and losses with respect to the security.
COLLATERALIZED DEBT OBLIGATIONS -- The Funds may invest in collateralized debt
obligations ("CDOs"), which include collateralized loan obligations ("CLOs") and
other similarly structured securities. CLOs are a type of asset-backed
securities. A CLO is a trust typically collateralized by a pool of loans, which
may include, among others, domestic and foreign senior secured loans, senior
unsecured loans, and subordinate corporate loans, including loans that may be
rated below investment grade or equivalent unrated loans. CDOs may charge
management fees and administrative expenses.
For CDOs, the cashflows from the trust are split into two or more portions,
called tranches, varying in risk and yield. The riskiest portion is the "equity"
tranche which bears the bulk of defaults from the bonds or loans in the trust
and serves to protect the other, more senior tranches from default in all but
the most severe circumstances. Since it is partially protected from defaults, a
senior tranche from a CDO trust typically has a higher rating and lower yield
than their underlying securities, and can be rated investment grade. Despite the
protection from the equity tranche, CDO tranches can experience substantial
losses due to actual defaults, increased sensitivity to defaults due to
collateral default and disappearance of protecting tranches, market anticipation
of defaults, as well as aversion to CDO securities as a class.
The risks of an investment in a CDO depend largely on the type of the collateral
securities and the class of the CDO in which a Fund invests. Normally, CLOs and
other CDOs are privately offered and sold, and thus, are not registered under
the securities laws. As a result, investments in CDOs may be characterized by
the Funds as illiquid securities; however, an active dealer market may exist for
CDOs, allowing a CDO to qualify for Rule 144A transactions. In addition to the
normal risks associated with fixed income securities (e.g., interest rate risk
and default risk), CDOs carry additional risks including, but are not limited
to: (i) the possibility that distributions from collateral securities will not
be adequate to make interest or other payments; (ii) the quality of the
collateral may decline in value or default; (iii) the Funds may invest in CDOs
that are subordinate to other classes; and (iv) the complex structure of the
security may not be fully understood at the time of investment and may produce
disputes with the issuer or unexpected investment results.
ILLIQUID SECURITIES -- A security is considered illiquid if it cannot be sold or
disposed of in the ordinary course of business within seven days or less for its
approximate carrying value on the books of the Funds. Valuations of illiquid
securities may differ significantly from the values that would have been used
had an active market value for these securities existed.
RESTRICTED SECURITIES -- At March 31, 2007, the following Fund owned private
placement investments that were purchased through private offerings or acquired
through initial public offerings and cannot be sold without prior registration
under the Securities Act of 1933 or pursuant to an exemption therefrom. In
addition, the Fund has generally agreed to further restrictions on the
disposition of certain holdings as set forth in various agreements entered into
in connection with the purchase of these investments. These investments are
valued at fair value as determined in accordance with the procedures approved by
the Board of Trustees. The acquisition dates of these investments, the
enforceable right to acquire these securities, along with their cost and values
at March 31, 2007, 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 83,600 03/10/05 03/10/05 $1,296 $1,766 0.16%
North American Oil Sands 300,000 05/30/06 05/30/06 3,277 3,121 0.28
Parkervision Warrants 17,500 06/20/05 06/20/05 36 81 0.01
Synenco Energy 37,852 08/19/05 08/19/05 438 390 0.03
Spatialight 100,000 01/12/06 01/12/06 262 38 0.00
------ ------ ------
$5,309 $5,396 0.48%
====== ====== ======
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 185
Notes to Financial Statements (Unaudited) (Continued)
March 31, 2007
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment
income are declared and paid to shareholders quarterly for the Large Cap Value,
Large Cap Growth, Tax-Managed Large Cap, Large Cap Diversified Alpha, Small Cap
Value, Small Cap Growth, Tax-Managed Small Cap, Small/Mid Cap Diversified Alpha,
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.
The Large Cap Value, Large Cap Diversified Alpha, Small Cap Value, Tax-Managed
Small Cap, 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 capital gains are only determined by each REIT after its
fiscal year-end, and may differ from the estimated amounts.
3. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
ADMINISTRATION AND TRANSFER AGENCY AGREEMENT -- The Trust and SEI Investments
Global Funds Services (the "Administrator") are parties to an amended and
restated Administration and Transfer Agency Agreement dated December 10, 2003
under which the Administrator provides administrative and transfer agency
services to the Funds for an annual fee of 0.35% of the average daily net assets
of the Large Cap Value, Large Cap Growth, Tax-Managed Large Cap Class A, Large
Cap Diversified Alpha, Small Cap Value, Small Cap Growth, Tax-Managed Small Cap,
Small/Mid Cap Diversified Alpha, 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 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 Large Cap Fund, Class A 0.4000 0.8600
Tax-Managed Large Cap Fund, Class Y 0.4000 0.5600
Large Cap Diversified Alpha Fund, Class A 0.4000 0.9500
Large Cap Diversified Alpha Fund, Class I 0.4000 1.2000
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
Tax-Managed Small Cap Fund, Class A 0.6500 1.1100
Small/Mid Cap Diversified Alpha Fund,Class A 0.7500 1.2000
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
Core Fixed Income Fund, Class I 0.2750 0.8900
High Yield Bond Fund, Class A 0.4875 0.8600
As of March 31, 2007, SIMC has entered into investment sub-advisory agreements
with the following parties:
- --------------------------------------------------------------------------------
Investment Sub-Adviser
- --------------------------------------------------------------------------------
LARGE CAP VALUE FUND
Alliance Bernstein 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 LARGE CAP FUND
Alliance Bernstein 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 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.
SMALL CAP VALUE FUND
Artisan Partners Limited Partnership
BlackRock Capital Management, Inc.
David J. Greene and Company, LLC
LSV Asset Management
Lee Munder Investments, Ltd.
- --------------------------------------------------------------------------------
186 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- --------------------------------------------------------------------------------
Investment Sub-Adviser
- --------------------------------------------------------------------------------
SMALL CAP VALUE FUND (CONTINUED)
Martingale Asset Management, L.P.
PanAgora Asset Management, Inc.*
Robeco U.S.A., Inc.
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
TAX-MANAGED SMALL CAP FUND
BlackRock Capital Management, Inc.
David J. Greene and Company, LLC
Delaware Management Company
Los Angeles Capital Management and Equity Research, Inc.
LSV Asset Management
Mazama Capital Management, Inc.
McKinley Capital Management Inc.
Parametric Portfolio Associates
SMALL/MID CAP DIVERSIFIED ALPHA FUND
Integrity Asset Management LLC
Los Angeles Capital Management and Equity Research, Inc.
Martingale Asset Management, L.P.
PanAgora Asset Management, Inc.
Smith Breeden Associates, 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
Ares Management LLC
J.P. Morgan Investment Management, Inc.
Nomura Corporate Research and Asset Management Inc.
* As of March 31, 2007, 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, which was included in
net investment income in the Statement of Changes, 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 Changes, for losses incurred of
$2,947 due to the sale of shares in a specific company in excess of the amount
permitted under applicable Securities and Exchange Commission rules. This amount
is included in the net realized and unrealized gain (loss) on investments
section on the Statement of Operations. The reimbursement has no impact on the
Fund's total return.
DISTRIBUTION AGREEMENT -- SEI Investments Distribution Co. (the "Distributor"),
a wholly owned subsidiary of SEI Investments Company ("SEI"), serves as each
Fund's Distributor pursuant to a distribution agreement with the Trust. The
Trust has adopted a shareholder servicing plan for Class A, Class I and Class Y
shares (the "Shareholder Servicing Plans") under which a shareholder servicing
fee of up to 0.25% of average daily net assets attributable to Class A and Class
I shares, and a shareholder servicing fee of up to 0.15% of average daily net
assets attributable to Class Y shares, will be paid to the Distributor. In
addition to the Shareholder Servicing Plans, the Class I shares have adopted
administrative service plans that provide for administrative service fees
payable to the Distributor of up to 0.25% of the average daily net assets
attributed to that class.
OTHER -- The Distribution Agreement between the Distributor and the Trust
provides that the Distributor may receive compensation on fund transactions
effected for the Trust in accordance with the rules of the Securities and
Exchange Commission ("SEC"). Accordingly, it is expected that fund transactions
may result in brokerage commissions being paid to the Distributor. SEC rules
require that such commissions not exceed usual and customary commissions.
Such commissions for the six month period ended March 31, 2007 were as follows
($ Thousands):
Large Cap Growth Fund $ 82
Tax-Managed Large Cap Fund 22
Small Cap Value Fund 96
Small Cap Growth Fund 78
Tax-Managed Large Cap Fund 22
Tax-Managed Small Cap Fund 38
Real Estate Fund 10
----
$348
====
Under both the Shareholder Servicing Plans and administrative service plan, the
Distributor may retain as profit any difference between the fee it receives and
the amount it pays to third parties. For the six month period ended March 31,
2007, the Distributor retained 100% of the shareholder servicing fees, less the
waiver, and 100% of the administration servicing fees.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 187
Notes to Financial Statements (Unaudited) (Continued)
March 31, 2007
Certain officers and/or trustees of the Trust are also officers of the
Administrator or the Adviser. The Trust pays each unaffiliated Trustee an annual
fee for attendance at quarterly, interim and committee meetings. Compensation of
officers and affiliated Trustees of the Trust is paid by the Adviser or
Administrator.
LSV Asset Management (a partially owned subsidiary of SIMC) serves as the
sub-adviser to the Large Cap Value, Tax-Managed Large Cap, Small Cap Value and
Tax-Managed Small Cap Funds. For this service LSV Asset Management is entitled
to receive a fee from SIMC. Such fees for the six month period ended March 31,
2007 were as follows ($ Thousands):
Large Cap Value Fund $336
Tax-Managed Large Cap Fund 134
Small Cap Value Fund 155
Tax-Managed Small Cap Fund 69
----
$694
====
FEES PAID INDIRECTLY -- The Funds may direct certain fund trades to the
Distributor who pays a portion of the Fund's expenses. Accordingly, the expenses
reduced, which were used to pay third party expenses, and the effect on the
Fund's expense ratio, as a percentage of the Fund's average daily net assets for
the six month period ended March 31, 2007, can be found on the Statement of
Operations.
INVESTMENT IN AFFILIATED REGISTERED INVESTMENT COMPANY -- For management
purposes, the Funds may invest in SEI money market funds. The Funds may also
invest in the cash collateral from the securities lending program in the SEI
Liquidity Fund LP.
4. CAPITAL SHARE TRANSACTIONS
Capital Share Transactions for the Funds were as follows (Thousands):
For the six month period ended March 31, 2007 (Unaudited) and the year or
period ended September 30, 2006
- ------------------------------------------------------------------------------------------------------------------------------
LARGE CAP LARGE CAP TAX-MANAGED
VALUE FUND GROWTH FUND LARGE CAP FUND
- ------------------------------------------------------------------------------------------------------------------------------
10/1/06 10/1/05 10/1/06 10/1/05 10/1/06 10/1/05
to 3/31/07 9/30/06 to 3/31/07 9/30/06 to 3/31/07 9/30/06
- ------------------------------------------------------------------------------------------------------------------------------
Class A:
Shares Issued 12,904 26,779 13,162 32,792 20,403 33,862
Shares Issued in Lieu of Dividends & Distributions 15,969 14,126 251 300 1,251 1,534
Shares Redeemed (28,118) (69,601) (24,069) (71,571) (14,727) (32,596)
- -------------------------------------------------------------------------------------------------------------------------------
Total Class A Transactions 755 (28,696) (10,656) (38,479) 6,927 2,800
- -------------------------------------------------------------------------------------------------------------------------------
Class I:
Shares Issued 284 465 207 383 -- --
Shares Issued in Lieu of Dividends & Distributions 145 85 -- -- -- --
Shares Redeemed (323) (322) (285) (535) -- --
- -------------------------------------------------------------------------------------------------------------------------------
Total Class I Transactions 106 228 (78) (152) -- --
- -------------------------------------------------------------------------------------------------------------------------------
Class Y:
Shares Issued -- -- -- -- 7 14
Shares Issued in Lieu of Dividends & Distributions -- -- -- -- 3 4
Shares Redeemed -- -- -- -- (24) (89)
- -------------------------------------------------------------------------------------------------------------------------------
Total Class Y Transactions -- -- -- (14) (71)
- -------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Capital Share Transactions 861 (28,468) (10,734) (38,631) 6,913 2,729
- -------------------------------------------------------------------------------------------------------------------------------
Amounts designated as "--" are $0 or have been rounded to $0.
- --------------------------------------------------------------------------------
188 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
- -------------------------------------------------------------------------------------------------------------------------------
LARGE CAP DIVERSIFIED SMALL CAP SMALL CAP
ALPHA FUND(1) VALUE FUND GROWTH FUND
- -------------------------------------------------------------------------------------------------------------------------------
10/1/06 12/14/05 10/1/06 10/1/05 10/1/06 10/1/05
to 3/31/07 9/30/06 to 3/31/07 9/30/06 to 3/31/07 9/30/06
- -------------------------------------------------------------------------------------------------------------------------------
Class A:
Shares Issued 35,451 115,472 6,617 14,206 7,504 20,574
Shares Issued in Lieu of Dividends & Distributions 1,643 576 5,245 5,563 -- --
Shares Redeemed (18,517) (11,833) (11,508) (14,670) (13,057) (19,958)
- -------------------------------------------------------------------------------------------------------------------------------
Total Class A Transactions 18,577 104,215 354 5,099 (5,553) 616
- -------------------------------------------------------------------------------------------------------------------------------
Class I:
Shares Issued 56 2 158 263 101 228
Shares Issued in Lieu of Dividends & Distributions -- -- 69 68 -- --
Shares Redeemed (21) -- (158) (248) (139) (205)
- -------------------------------------------------------------------------------------------------------------------------------
Total Class I Transactions 35 2 69 83 (38) 23
- -------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Capital Share Transactions 18,612 104,217 423 5,182 (5,591) 639
- -------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
SMALL/MID CAP
TAX-MANAGED DIVERSIFIED MID-CAP U.S. MANAGED GLOBAL MANAGED
SMALL CAP FUND ALPHA FUND(2) FUND VOLATILITY FUND VOLATILITY FUND(3)
- -----------------------------------------------------------------------------------------------------------------------------------
10/1/06 10/1/05 12/20/06 10/1/06 10/1/05 10/1/06 10/1/05 10/1/06 7/27/06
to 3/31/07 9/30/06 to 3/31/07 to 3/31/07 9/30/06 to 3/31/07 9/30/06 to 3/31/07 9/30/06
- -----------------------------------------------------------------------------------------------------------------------------------
Class A:
Shares Issued 4,123 6,096 8,193 5,784 3,896 13,319 17,714 10,754 9,704
Shares Issued in Lieu of
Dividends &
Distributions 1,681 1,122 29 293 342 842 366 204 --
Shares Redeemed (2,136) (3,751) (352) (1,852) (3,323) (5,233) (6,865) (1,234) (547)
- -----------------------------------------------------------------------------------------------------------------------------------
Total Class A Transactions 3,668 3,467 7,870 4,225 915 8,928 11,215 9,724 9,157
- -----------------------------------------------------------------------------------------------------------------------------------
Net Increase in Capital
Share Transactions 3,668 3,467 7,870 4,225 915 8,928 11,215 9,724 9,157
- -----------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE ENHANCED CORE FIXED HIGH YIELD
FUND INCOME FUND(3) INCOME FUND BOND FUND
- ----------------------------------------------------------------------------------------------------------------------------------
10/1/06 10/1/05 10/1/06 7/27/06 10/1/06 10/1/05 10/1/06 10/1/05
to 3/31/07 9/30/06 to 3/31/07 9/30/06 to 3/31/07 9/30/06 to 3/31/07 9/30/06
- ----------------------------------------------------------------------------------------------------------------------------------
Class A:
Shares Issued 5,641 7,942 30,323 24,889 50,178 109,028 28,289 57,619
Shares Issued in Lieu of
Dividends & Distributions 635 375 1,255 -- 9,325 19,036 5,128 9,708
Shares Redeemed (4,199) (4,351) (6,619) (1,550) (55,230) (103,170) (18,743) (128,063)
- ----------------------------------------------------------------------------------------------------------------------------------
Total Class A Transactions 2,077 3,966 24,959 23,339 4,273 24,894 14,674 (60,736)
- ----------------------------------------------------------------------------------------------------------------------------------
Class I:
Shares Issued -- -- -- -- 372 611 -- --
Shares Issued in Lieu of
Dividends & Distributions -- -- -- -- 31 58 -- --
Shares Redeemed -- -- -- -- (414) (549) -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Total Class I Transactions -- -- -- -- (11) 120 -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Capital Share Transactions 2,077 3,966 24,959 23,339 4,262 25,014 14,674 (60,736)
- ----------------------------------------------------------------------------------------------------------------------------------
(1) The Large Cap Diversified Alpha Fund commenced operations on December 14,
2005.
(2) The Small/Mid Cap Diversified Alpha Fund commenced operations on December
20, 2006.
(3) The Global Managed Volatility and Enhanced Income Funds commenced
operations on July 27, 2006.
Amounts designated as "--" are $0 or have been rounded to $0.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 189
Notes to Financial Statements (Unaudited) (Continued)
March 31, 2007
5. INVESTMENT TRANSACTIONS
The cost of security purchases and proceeds from the sale of securities, other
than temporary cash investments and futures, during the six month period ended
March 31, 2007, were as follows:
- -------------------------------------------------------------------------------------
U.S. Gov't Other Total
($ Thousands) ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------------
LARGE CAP VALUE FUND
Purchases .......................... $ -- $ 610,571 $ 610,571
Sales .............................. -- 978,408 978,408
LARGE CAP GROWTH FUND
Purchases .......................... -- 827,123 827,123
Sales .............................. -- 1,050,631 1,050,631
TAX-MANAGED LARGE CAP FUND
Purchases .......................... -- 667,021 667,021
Sales .............................. -- 638,623 638,623
LARGE CAP DIVERSIFIED ALPHA FUND
Purchases .......................... -- 669,356 669,356
Sales .............................. -- 545,156 545,156
SMALL CAP VALUE FUND
Purchases .......................... -- 556,676 556,676
Sales .............................. -- 672,988 672,988
SMALL CAP GROWTH FUND
Purchases .......................... -- 854,455 854,455
Sales .............................. -- 956,464 956,464
TAX-MANAGED SMALL CAP FUND
Purchases .......................... -- 152,813 152,813
Sales .............................. -- 122,200 122,200
SMALL/MID CAP DIVERSIFIED ALPHA FUND
Purchases .......................... -- 85,807 85,807
Sales .............................. -- 20,717 20,717
MID-CAP FUND
Purchases .......................... -- 151,256 151,256
Sales .............................. -- 72,585 72,585
U.S. MANAGED VOLATILITY FUND
Purchases .......................... -- 271,739 271,739
Sales .............................. -- 179,704 179,704
GLOBAL MANAGED VOLATILITY FUND
Purchases .......................... -- 193,863 193,863
Sales .............................. -- 96,075 96,075
REAL ESTATE FUND
Purchases .......................... -- 124,434 124,434
Sales .............................. -- 77,266 77,266
ENHANCED INCOME FUND
Purchases .......................... 23,733 96,829 120,562
Sales .............................. 11,905 12,304 24,209
CORE FIXED INCOME FUND
Purchases .......................... 7,853,285 705,687 8,558,972
Sales .............................. 7,769,499 803,156 8,572,655
HIGH YIELD BOND FUND
Purchases .......................... 903 627,430 628,333
Sales .............................. 2,296 517,366 519,662
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.
- --------------------------------------------------------------------------------
190 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
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 Value Fund 2006 $109,621 $203,649 $313,270
2005 88,105 4,927 93,032
Large Cap Growth Fund 2006 6,263 -- 6,263
2005 17,915 -- 17,915
Tax-Managed Large Cap Fund 2006 19,664 -- 19,664
2005 22,762 -- 22,762
Large Cap Diversified Alpha Fund 2006 5,836 -- 5,836
Small Cap Value Fund 2006 38,571 77,086 115,657
2005 58,192 90,972 149,164
Small Cap Growth Fund 2006 -- -- --
2005 -- -- --
Tax-Managed Small Cap Fund 2006 4,108 10,936 15,044
2005 1,893 13,691 15,584
Mid-Cap Fund 2006 4,046 3,186 7,232
2005 2,402 3,479 5,881
U.S. Managed Volatility Fund 2006 4,098 102 4,200
2005 635 6 641
Global Managed Volatility Fund 2006 -- -- --
Real Estate Fund 2006 4,354 1,919 6,273
2005 1,959 220 2,179
Enhanced Income Fund 2006 -- -- --
Core Fixed Income Fund 2006 194,350 13,007 207,357
2005 171,693 23,897 195,590
High Yield Bond Fund 2006 89,029 -- 89,029
2005 100,331 -- 100,331
As of September 30, 2006, the components of Distributable Earnings/(Accumulated
Losses) were as follows:
- ------------------------------------------------------------------------------------------------------------------------------------
Undistributed Undistributed Capital Post Unrealized Other Total
Ordinary Long-Term Loss October Appreciation Temporary Distributable Earnings/
Income Capital Gain Carryforwards Losses (Depreciation) Differences (Accumulated Losses)
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- ------------------------------------------------------------------------------------------------------------------------------------
Large Cap Value
Fund $37,892 $265,434 $ -- $ -- $737,626 $ -- $1,040,952
Large Cap Growth
Fund 843 -- (1,283,428) (28,217) 374,094 -- (936,708)
Tax-Managed Large
Cap Fund 5,081 -- (426,770) -- 470,018 (1) 48,328
Large Cap
Diversified Alpha
Fund 3,969 2,954 -- (1) 31,206 (61) 38,067
Small Cap Value
Fund 20,231 85,277 -- -- 155,011 -- 260,519
Small Cap Growth
Fund -- -- (36,498) -- 30,207 -- (6,291)
Tax-Managed Small
Cap Fund 2,629 17,421 -- -- 43,166 -- 63,216
Mid-Cap Fund 371 5,399 -- -- 7,785 -- 13,555
U.S. Managed
Volatility Fund 4,375 3,837 -- -- 15,534 -- 23,746
Global Managed
Volatility Fund 1,264 15 -- -- 2,151 (266) 3,164
Real Estate Fund* 572 8,248 -- -- 37,237 -- 46,057
Enhanced Income
Fund 2,456 -- -- (478) 748 (406) 2,320
Core Fixed Income
Fund 17,472 -- (18,435) (46,207) 18,099 (17,918) (46,989)
High Yield Bond
Fund 7,291 -- (133,914) (30,072) (9,221) (6,793) (172,709)
* Information reflects Fund activity based on Fund's December 31, 2005 tax
reporting year.
Post October losses represent losses realized on investment transactions from
November 1, 2005 through September 30, 2006 that, in accordance with Federal
income tax regulations, the Funds may defer and treat as having arisen in the
following fiscal year. For Federal income tax purposes, capital loss
carryforwards may be carried forward and applied against future capital gains as
follows:
- -----------------------------------------------------------------------------------------------------
Total Capital
Expires Expires Expires Expires Loss
2014 2012 2011 2010 Carryforwards
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------------------------------------------
Large Cap Growth Fund $ -- $ 7,113 $625,971 $650,344 $1,283,428
Tax-Managed Large Cap Fund -- 16,066 203,461 207,243 426,770
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 / Semi-Annual Report / March 31, 2007 191
Notes to Financial Statements (Unaudited) (Concluded)
March 31, 2007
During the year ended September 30, 2006, the Large Cap Growth, Tax-Managed
Large Cap and Small Cap Growth Funds utilized $104,070,991, $51,847,526 and
$60,625,876, respectively, of capital loss carryforward to offset capital gains.
For Federal income tax purposes, the cost of securities owned at March 31, 2007,
and the net realized gains or losses on securities sold for the period, were
different from amounts reported for financial reporting purposes, primarily due
to wash sales which cannot be used for Federal income tax purposes in the
current year and have been deferred for use in future years. The Federal tax
cost and aggregate gross unrealized appreciation and depreciation on investments
held by the Funds at March 31, 2007, were as follows:
- --------------------------------------------------------------------------------------------------
Federal Appreciated Depreciated Net Unrealized
Tax Cost Securities Securities Appreciation
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------------------------
Large Cap Value Fund $3,302,389 $898,676 $(25,907) $872,769
Large Cap Growth Fund 3,260,538 632,228 (40,468) 591,760
Tax-Managed Large Cap Fund 2,333,289 620,800 (14,433) 606,367
Large Cap Diversified Alpha Fund 1,483,860 124,644 (21,012) 103,632
Small Cap Value Fund 1,300,703 247,120 (29,707) 217,413
Small Cap Growth Fund 1,355,695 166,891 (50,080) 116,811
Tax-Managed Small Cap Fund 442,586 75,547 (9,090) 66,457
Small/Mid Cap Diversified Alpha Fund 90,269 4,220 (2,544) 1,676
Mid-Cap Fund 168,732 22,294 (1,655) 20,639
U.S. Managed Volatility Fund 391,941 44,973 (3,468) 41,505
Global Managed Volatility Fund 195,859 12,272 (2,803) 9,469
Real Estate 281,313 55,140 (112) 55,028
Enhanced Income Fund 522,435 1,431 (179) 1,252
Core Fixed Income Fund 6,060,925 56,428 (35,484) 20,944
High Yield Bond Fund 1,336,721 29,522 (8,562) 20,960
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. LITIGATION
The Core Fixed Income Fund has participated as a plaintiff bond-holder, along
with other institutional bondholders, in litigation against Duty Free
International, British Airport Authority ("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.
- --------------------------------------------------------------------------------
192 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
10. 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. The Funds will not
be required to adopt FIN 48 until March 31, 2008. As of March 31, 2007, 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 March 31, 2007, 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.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 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 / Semi-Annual Report / March 31, 2007
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
10/1/06 3/31/07 RATIOS PERIOD*
- --------------------------------------------------------------------------------
LARGE CAP VALUE FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,093.00 0.86% $4.49
Class I Shares $1,000.00 $1,091.60 1.11% $5.79
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,020.64 0.86% $4.33
Class I Shares $1,000.00 $1,019.40 1.11% $5.59
- --------------------------------------------------------------------------------
LARGE CAP GROWTH FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,065.90 0.86% $4.43
Class I Shares $1,000.00 $1,064.00 1.11% $5.71
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,020.64 0.86% $4.33
Class I Shares $1,000.00 $1,019.40 1.11% $5.59
- --------------------------------------------------------------------------------
TAX-MANAGED LARGE CAP FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,077.60 0.86% $4.45
Class Y Shares $1,000.00 $1,079.70 0.56% $2.90
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,020.64 0.86% $4.33
Class Y Shares $1,000.00 $1,022.14 0.56% $2.82
- --------------------------------------------------------------------------------
LARGE CAP DIVERSIFIED ALPHA FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,088.70 1.03% $5.36
Class I Shares $1,000.00 $1,087.30 1.26% $6.56
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,019.80 1.03% $5.19
Class I Shares $1,000.00 $1,018.65 1.26% $6.34
- --------------------------------------------------------------------------------
SMALL CAP VALUE FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,131.70 1.11% $5.90
Class I Shares $1,000.00 $1,130.20 1.36% $7.22
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,019.40 1.11% $5.59
Class I Shares $1,000.00 $1,018.15 1.36% $6.84
- --------------------------------------------------------------------------------
SMALL CAP GROWTH FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,111.00 1.11% $5.84
Class I Shares $1,000.00 $1,109.20 1.36% $7.15
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,019.40 1.11% $5.59
Class I Shares $1,000.00 $1,018.15 1.36% $6.84
- --------------------------------------------------------------------------------
TAX-MANAGED SMALL CAP FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,116.10 1.11% $5.86
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,019.40 1.11% $5.59
- --------------------------------------------------------------------------------
MID-CAP FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,154.10 1.01% $5.42
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,019.90 1.01% $5.09
- --------------------------------------------------------------------------------
U.S. MANAGED VOLATILITY FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,100.10 1.11% $5.81
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,019.40 1.11% $5.59
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
10/1/06 3/31/07 RATIOS PERIOD*
- --------------------------------------------------------------------------------
GLOBAL MANAGED VOLATILITY FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,089.00 1.10% $2.08
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,019.45 1.10% $5.54
- --------------------------------------------------------------------------------
REAL ESTATE FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,135.70 1.11% $5.91
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,019.40 1.11% $5.59
- --------------------------------------------------------------------------------
ENHANCED INCOME FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,032.20 0.60% $1.10
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,021.94 0.60% $3.02
- --------------------------------------------------------------------------------
CORE FIXED INCOME FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,029.10 0.64% $3.24
Class I Shares $1,000.00 $1,027.80 0.89% $4.50
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,021.74 0.64% $3.23
Class I Shares $1,000.00 $1,020.49 0.89% $4.48
- --------------------------------------------------------------------------------
HIGH YIELD BOND FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,069.40 0.86% $4.44
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,020.64 0.86% $4.33
- --------------------------------------------------------------------------------
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/20/06(1) 3/31/07 RATIOS PERIOD
- --------------------------------------------------------------------------------
SMALL/MID CAP DIVERSIFIED ALPHA FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,029.80 1.22% $3.46**
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,018.85 1.22% $6.14*
(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 182/365 (to reflect
one-half year period shown).
** Expenses are equal to the Fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by 102/365 (to reflect
the period since inception).
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SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007 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 the series of the Trust (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 the
Sub-Advisers' 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, the Funds' 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 Funds; 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 Funds' 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 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
the Sub-Advisers regarding: (a) the quality of SIMC's and the Sub-Advisers'
investment management and other services; (b) SIMC's and the Sub-Advisers'
investment management personnel; (c) SIMC's and the Sub-Advisers' operations and
financial condition; (d) SIMC's and the Sub-Advisers' brokerage practices
(including any soft dollar arrangements) and investment strategies; (e) the
level of the advisory fees that SIMC and the Sub-Advisers charge the Funds
compared with the fees each charge to comparable mutual funds; (f) the Funds'
overall fees and operating expenses compared with similar mutual funds; (g) the
level of SIMC's and the Sub-Advisers' profitability from their Fund-related
operations; (h) SIMC's and the Sub-Advisers' compliance systems; (i) SIMC's and
the Sub-Advisers' policies on and compliance procedures for personal securities
transactions; (j) SIMC's and the Sub-Advisers' reputation, expertise and
resources in domestic and/or international financial markets; and (k) the Funds'
performance compared with similar mutual funds.
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196 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
At the December 7, 2006, December 8, 2006 and March 14, 2007 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 the Funds' investment performance and how it compared to that of other
comparable mutual funds;
o the Funds' 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 the Funds, 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 the Funds' performance relative to their peer groups and
appropriate indices/benchmarks, in light of total return, yield and market
trends. As part of this review, the Trustees considered the composition of each
peer group and selection criteria. In evaluating performance, the Trustees
considered both market risk and shareholder risk expectations for the Funds.
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 the Funds' 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 the Funds' respective peer groups. 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 / Semi-Annual Report / March 31, 2007 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-Adviser and their affiliates, directly
or indirectly. The Trustees considered whether the varied levels of compensation
and profitability under the Investment Advisory Agreements and other service
agreements were reasonable and justified in light of the quality of all services
rendered to the Funds by SIMC and the Sub-Advisers and their affiliates. When
considering the profitability of the Sub-Advisers, the Board took into account
the fact that the Sub-Advisers are compensated by SIMC, and not by the Funds
directly, and such compensation with respect to any Sub-Adviser reflects an
arms-length negotiation between the Sub-Adviser and SIMC. Based on this
evaluation, the Board concluded that, within the context of its full
deliberations, the profitability of SIMC and the Sub-Advisers are 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 the Funds' 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.
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198 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2007
Notes
Notes
SEI INSTITUTIONAL MANAGED TRUST SEMI-ANNUAL REPORT MARCH 31, 2007
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)
[LOGO]
SEI New ways.
New answers.(R)
SEI Investments Distribution Co.
Oaks, PA 19456 1.800.DIAL.SEI (1.800.342.5734)
SEI-F-092 (3/07)
ITEM 2. CODE OF ETHICS.
Not applicable for semi-annual report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable for semi-annual report.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable for semi-annual report.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to open-end management investment companies.
ITEM 6. SCHEDULE OF INVESTMENTS.
Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable to open-end management investment companies.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable. Effective for closed-end management investment companies for
fiscal years ending on or after December 31, 2005
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT COMPANY AND
AFFILIATED PURCHASERS.
Not applicable to open-end management investment companies.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
The Trust has a standing Nominating Committee (the "Committee") currently
consisting of the Independent Trustees. The Committee is responsible for
evaluating and recommending nominees for election to the Trust's Board of
Trustees (the "Board"). Pursuant to the Committee's Charter, adopted on June 18,
2004, the Committee will review all shareholder recommendations for nominations
to fill vacancies on the Board if such recommendations are submitted in writing
and addressed to the Committee at the Trust's office.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The certifying officers, whose certifications are included herewith, have
evaluated the registrant's disclosure controls and procedures within 90 days of
the filing date of this report. Based on their evaluation, the certifying
officers have concluded that the registrant's disclosure controls and procedures
are adequately designed, and are operating effectively to ensure, that
information required to be disclosed by the registrant in the reports it files
or submits under the Securities Exchange Act of 1934 is recorded, processed,
summarized and reported within the time periods specified in the Securities and
Exchange Commission's rules and forms.
(b) There were no significant changes in the registrant's internal control over
financial reporting that occurred during the registrant's last fiscal half-year
that have materially affected, or are reasonably likely to materially affect,
the registrants internal control over financial reporting.
ITEMS 12. EXHIBITS.
(a)(1) Not applicable for semi-annual report.
(a)(2) A separate certification for the principal executive officer and the
principal financial officer of the registrant as required by Rule 30a-2(a) under
the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed
herewith.
(b) Officer certifications as required by Rule 30a-2(b) under the Investment
Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing
as an Exhibit.
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) SEI Institutional Managed Trust
By (Signature and Title)* /s/ Robert A. Nesher
---------------------------------
Robert A. Nesher, President & CEO
Date: May 26, 2007
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ Robert A. Nesher
-----------------------------------
Robert A. Nesher, President & CEO
Date: May 26, 2007
By (Signature and Title)* /s/ Stephen F. Panner
-----------------------------------
Stephen F. Panner, Controller & CFO
Date: May 26, 2007
* Print the name and title of each signing officer under his or her signature.