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 811-5601
SEI INSTITUTIONAL INTERNATIONAL TRUST
(Exact name of registrant as specified in charter)
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c/o CT Corporation
101 Federal Street
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: SEPTEMBER 30, 2007
ITEM 1. REPORTS TO STOCKHOLDERS.
[LOGO]
SEI New ways.
New answers.(R)
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SEI Institutional International Trust
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Annual Report as of September 30, 2007
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International Equity Fund
Emerging Markets Equity Fund
International Fixed Income Fund
Emerging Markets Debt Fund
TABLE OF CONTENTS
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Management's Discussion and Analysis of Fund Performance 1
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Schedules of Investments 7
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Statements of Assets and Liabilities 56
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Statements of Operations 57
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Statements of Changes in Net Assets 58
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Financial Highlights 60
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Notes to Financial Statements 61
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Report of Independent Registered Public Accounting Firm 70
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Trustees and Officers of the Trust 71
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Disclosure of Fund Expenses 75
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Board of Trustees Considerations in Approving the Funds'
Investment Advisory and Sub-Advisory Agreements 76
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Notice to Shareholders 79
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The Trust files its complete schedule of portfolio holdings with the Securities
and Exchange Commission for the first and third quarters of each fiscal year on
Form N-Q within sixty days after the end of the period. 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.
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2007
International Equity Fund
Objective
The International Equity Fund (the "Fund") seeks to provide long-term capital
appreciation by investing in equity securities of foreign issuers.
Strategy
The Fund invests primarily in common stocks and other equity securities of
issuers of all capitalization ranges that are located in at least 3 countries
other than the U.S. The Fund invests primarily in companies located in developed
countries, but may also invest in companies located in emerging markets. The
Fund uses a multi-manager approach, relying upon a number of sub-advisors with
differing investment philosophies to manage portions of the Fund's portfolio
under the general supervision of SEI Investments Management Corporation
("SIMC").
Analysis
International equities posted strong returns during the year ended September 30,
2007. Overall, the non-U.S. developed equity markets, as measured by the Morgan
Stanley MSCI EAFE Index, gained 24.87% in U.S. dollar terms during the period.
Basic Materials (55.8%) and Telecommunication Services (41.0%) led all sectors
during the period. On the negative side, Financials (-13.0%) and Healthcare
(-5.3%) were laggards for the year. The resiliency of global growth,
particularly in emerging markets, such as China and India, has led to the
continued demand for raw materials. Consolidation of the telecommunication
sector in Europe has led to strong performance. On the other had subprime
turmoil in the U.S. and the subsequent credit squeeze put pressure on the
financial sector. Drug related issues continue to plague the health care sector
as new drug pipelines are scarce.
The International Equity Fund, Class A trailed the Morgan Stanley MSCI EAFE
Index during the period, advancing 23.56%. The Fund benefited from an overweight
to Basic Materials, and stock selection in Industrials and Consumer
Discretionary. However, somewhat offsetting the positive contributors were stock
selection in Basic Materials and an underweight to Utilities. Four of the seven
sub-advisors outperformed for the year ended September 30, 2007. McKinley
Capital Management, Inc. was the best performing sub-advisor with a strategic
exposure to price and earnings momentum being rewarded in the market place. In
addition, a tactical exposure to emerging markets added value as well. Somewhat
offsetting the positive contribution was the Fund's exposure to Smith Breeden
Associates, Inc. who underperformed for the one year period due to their
exposure to asset-backed securities, which sold off as a result of the mortgage
market selloff.
International Equity Fund
AVERAGE ANNUAL TOTAL RETURN 1
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Annualized Annualized Annualized Annualized
One Year 3 Year 5 Year 10 Year Inception to
Return Return Return Return Date
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Class A 23.56% 22.75% 21.57% 7.32% 6.48%
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Class I 23.25% 22.39% 21.27% 7.09% 6.23%
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Comparison of Change in the Value of a $100,000 Investment in the International
Equity Fund, Class A and Class I, versus the Morgan Stanley MSCI EAFE Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
International equity International Equity Morgan Stanley
Fund, Class A Fund, Class I MSCI EAFE Index
9/97 $100,000 $100,000 $100,000
9/98 $ 91,250 $ 91,170 $ 91,660
9/99 $125,797 $125,539 $120,029
9/00 $131,018 $130,235 $123,846
9/01 $ 90,599 $ 89,953 $ 88,513
9/02 $ 76,293 $ 75,660 $ 74,767
9/03 $ 90,720 $ 89,770 $ 94,213
9/04 $109,536 $108,209 $115,016
9/05 $138,376 $136,192 $144,678
9/06 $163,976 $160,979 $172,398
9/07 $202,609 $198,407 $215,274
1 For the period ended September 30, 2007. Past performance is no indication
of future performance. Class I Shares were offered beginning on January 4,
2002. Class A Shares were offered beginning December 20, 1989. Class I
Shares performance for the period prior to January 4, 2002 is performance
derived from the performance of the Class A Shares. The performance of
Class I Shares may be lower than the performance of Class A Shares because
of different distribution fees paid by Class I shareholders. Returns shown
do not reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares. The returns for certain
periods reflect fee waivers and/or reimbursements in effect for that
period; absent fee waivers and reimbursements, performance would have been
lower.
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SEI Institutional International Trust / Annual Report / September 30, 2007 1
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2007
Emerging Markets Equity Fund
Objective
The Emerging Markets Equity Fund (the "Fund") seeks to provide long-term capital
appreciation by investing primarily in common stocks and other equity securities
of foreign companies located in emerging market countries.
Strategy
The Fund normally maintains investments in at least 6 emerging market countries
and does not invest more than 35% of its total assets in any one emerging market
country. The Fund uses a multi-manager approach, relying upon a number of
sub-advisors with differing investment philosophies to manage portions of the
Fund's portfolio under the general supervision of SEI Investments Management
Corporation ("SIMC").
Analysis
The asset class returned 58.63% for the year ended September 30, 2007 as
measured by the Morgan Stanley MSCI Emerging Markets Index. On an absolute
basis, the asset class has been the best performer over the past one-year
period. Historically emerging markets has waxed and waned with their developed
counterparts, but a sea change in drivers of growth has shifted significantly
from developed countries to emerging markets. This has been apparent in the
absolute performance of the asset class and strong economic demand in the face
of an uncertain global developed economic environment. Over the year ended
September 30, 2007, all sectors posted double digit performance. Basic Materials
(104.6%) and Industrials (101.4%) were the strongest performers while Healthcare
(25.3%) and Information Technology (16.8%) lagged behind the MSCI Emerging
Markets Index. On a country basis, the BRIC nations (Brazil, Russia, India, and
China) which constitutes over 40% of the Index, returned 80.2% over the period.
The market was led by China (134.4%), Brazil (67.3%) and India (63.2%). The
laggards for the period included Russia (24.3%) and Taiwan (32.5%). Emerging
markets currencies as a whole appreciated significantly versus the U.S. dollar
as well.
The Fund lagged the broader market during the period, returning 48.27% versus
58.63% in U.S. dollar terms. Underperformance was the result of an underweight
to China as well as the decisions to underweight materials in favor of
overweighting the Consumer Discretionary and Information Technology sectors.
Somewhat offsetting the negative contributors were the positive decision to
underweight Energy as well as good stock selection in the sector. The Fund also
benefited from good stock selection in Telecommunication Services and Consumer
Staples. The defensive positioning of the managers as a result of high
valuations and earnings at cyclical peaks has led five of six sub-advisors to
lag the market for the year.
One new manager, AXA Rosenberg Investment Management LLC (AXA) was funded during
the first quarter of the year ended September 30, 2007. Since funding AXA has
been a positive contributor to performance.
Emerging Markets Equity Fund
AVERAGE ANNUAL TOTAL RETURN 1
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Annualized Annualized Annualized Annualized
One Year 3 Year 5 Year 10 Year Inception to
Return Return Return Return Date
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Class A 48.27% 35.69% 33.60% 8.21% 8.51%
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Comparison of Change in the Value of a $100,000 Investment in the Emerging
Markets Equity Fund, versus the Morgan Stanley MSCI Emerging Markets Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Emerging Markets Morgan Stanley MSCI
Equity Fund Emerging Markets Index
9/97 $100,000 $100,000
9/98 $ 48,570 $ 52,190
9/99 $ 71,995 $ 81,688
9/00 $ 72,506 $ 82,023
9/01 $ 47,970 $ 54,824
9/02 $ 51,702 $ 59,292
9/03 $ 71,261 $ 86,549
9/04 $ 88,086 $109,510
9/05 $127,443 $161,177
9/06 $148,420 $194,734
9/07 $220,063 $308,907
1 For the period ended September 30, 2007. Past performance is no indication
of future performance. Class A Shares were offered beginning January 17,
1995. Returns shown do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares. The returns for certain periods reflect fee waivers and/or
reimbursements in effect for that period; absent fee waivers and
reimbursements, performance would have been lower.
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2 SEI Institutional International Trust / Annual Report / September 30, 2007
International Fixed Income Fund
Objective
The International Fixed Income Fund (the "Fund") seeks to provide capital
appreciation and current income through investments in investment grade fixed
income securities of foreign government and corporate issuers.
Strategy
The Fund seeks to provide U.S.-based investors with a vehicle to diversity and
enhance the returns of the domestic fixed income portion of their Funds.
Although there are no restrictions of the Fund's overall duration, under normal
conditions it is expected to range between four and six years. The Fund is
managed against a broad aggregate index inclusive of sovereign, mortgage and
corporate securities. The Fund is diversified through its issuers, market
capitalization, and industry and country positioning.
Country and currency allocations are made separately. As a result, the Fund's
currency exposure may differ from its underlying bond holdings. Under normal
circumstances, the Fund intends to be diversified across six to twelve
countries, across the three major trading blocs: North America, Europe and the
Pacific Basin. Depending upon the relative fundamental and technical views, each
trading bloc is over or underweighted relative to the Fund's benchmark index.
Currency exposure is actively managed to maximize return and control risk
through the use of forward currency contracts and cross-currency hedging
techniques.
Analysis
The International fixed income market, as measured by the Lehman Global
Aggregate ex-U.S. Index, returned 3.29% over the year ended September 30, 2007.
The performance of the international bond markets over the year ended September
30, 2007 was marked with extreme volatility. At the start of this period, bonds
came under pressure as a result of generally sound economic data and higher
inflationary pressures which saw central banks in the United Kingdom and Europe
hike rates on a number of occasions in order to stem these risks. Carry related
bond and currency strategies performed well in this time and bond yields tended
to drift upwards given the central bank rate increases as well as the sound
economic data releases.
Markets however became increasingly jittery in the third quarter of the year
ended September 30, 2007, amid isolated mishaps relating to sub-prime shocks,
most notably the collapse of two Bear Stearns hedge funds. By July 2007,
however, there was overwhelming evidence that the sub-prime woes of the U.S. had
proliferated to funds and institutions around the world, most notably in Europe
and as far a field as Australia. Investors became increasingly concerned that a
major bank might fail and began to demand a higher premium for additional risk.
As a result, investors rapidly sold out of equities and purchased safer assets
such as government bonds and yields increases seen earlier in the year were
reduced. Volatility surged to levels not seen since early 2003 when the Iraq war
began. Inter-bank lending seized up in August as a result of the sub-prime
crisis and major central banks around the globe provided emergency funding in an
effort to restore order to the financial markets. The Bank of England (BoE) was
the only exception, saying it would not come to the rescue of institutions that
had mis-priced risk. However, when faced with requests for emergency funding
from mortgage lender Northern Rock and scenes of depositors making a run on the
bank, the BoE did a U-turn and provided much-needed relief. Inter bank rates
spiked as a result of the higher risk aversion in the market and a general
unwillingness by banks to lend money to each other as freely thereby reducing
the extent of liquidity in the market.
Central bank liquidity interventions helped markets to bounce back in August and
they were given further impetus from a decision by the U.S. Federal Reserve
(Fed) to slash interest rates by half a percentage point in September. Other
central banks, which before the credit crisis were hawkish on base interest
rates, remained on hold. Economic data moderated toward the end of September
2007 as investors became more concerned about the probability of a U.S.
recession given the events of the credit crisis, weaker housing markets and
weaker investor confidence.
In the U.S. bond market, the shedding of risk propped up prices and pushed
yields lower for relatively risk-free government securities, led by gains in
U.S. Treasuries. Yields fell sharply at the short end of the maturity spectrum
in the aftermath of the sub-prime debacle. With yields at the long end of the
curve little changed, the U.S. yield curve
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SEI Institutional International Trust / Annual Report / September 30, 2007 3
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2007
reverted to a 'normal' shape, with 10-year yields above two-year yields, having
been inverted at the start of the review period.
United Kingdom and European government bond markets saw increases in yields
despite central bank pauses, underpinned by concerns over inflationary
pressures. Yields rose across the curve in Europe and the United Kingdom and
marginally in Japan. European and United Kingdom bond markets in general were
little changed over the review period, as falling prices offset the return from
yields, although government bonds posted strong gains in July and August amid a
flight to safety. The United Kingdom and European yield curves steepened while
swap spread and corporate credit spreads widened notably in Europe thanks to the
sub-prime crisis.
In the currency markets, the dollar fell notably against the Euro and British
Pound Sterling, amid forecasts of slower economic growth and lower interest
rates in the U.S. The dollar also weakened against the Japanese Yen, although at
a more modest pace as investors unwound carry trades globally.
The Fund underperformed its index with a return of 2.34%. The main detractors
from performance included the currency positioning by Record Currency Management
Limited who were long the British Pound Sterling and Australian Dollar against
the Japanese Yen. The Japanese Yen rallied notably against these two currency
pairs and as a result detracted from the Fund particularly in the third quarter
of 2007. Short duration positioning by BlackRock Financial Management, Inc. and
Fidelity International Investment Advisors (UK) Limited detracted at various
points throughout the year when global bond yields were falling. Curve
steepeners offset these out-right duration positions to some extent. The Fund's
position in bank loans detracted toward the end of the third quarter of 2007
amid the sub-prime and credit crisis.
International Fixed Income Fund
AVERAGE ANNUAL TOTAL RETURN 1
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Annualized Annualized Annualized Annualized
One Year 3 Year 5 Year 10 Year Inception to
Return Return Return Return Date
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Class A 2.34% 1.21% 5.45% 3.90% 4.84%
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Comparison of Change in the Value of a $100,000 Investment in the International
Fixed Income Fund, versus the Lehman Global Aggregate ex-U.S. Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
International Fixed Lehman Global Aggregate
Income Fund ex-U.S.Index
9/97 $100,000 $100,000
9/98 $112,470 $113,490
9/99 $110,940 $116,123
9/00 $100,312 $123,578
9/01 $103,482 $135,380
9/02 $112,485 $143,218
9/03 $131,664 $148,918
9/04 $141,446 $153,520
9/05 $145,704 $164,067
9/06 $143,314 $169,333
9/07 $146,668 $174,904
1 For the period ended September 30, 2007. Past performance is no indication
of future performance. Class A Shares were offered beginning September 1,
1993. Returns shown do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares. The returns for certain periods reflect fee waivers and/or
reimbursements in effect for that period; absent fee waivers and
reimbursements, performance would have been lower.
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4 SEI Institutional International Trust / Annual Report / September 30, 2007
Emerging Markets Debt Fund
Objective
The Emerging Markets Debt Fund (the "Fund') seeks to maximize total return from
a portfolio consisting of primarily U.S., dollar-denominated debt securities of
government, government-related and corporate issuers in emerging market
countries.
Strategy
The Fund seeks to provide U.S.-based investors with a vehicle to diversify and
enhance the returns of the domestic fixed income portion of their portfolios.
Structuring and managing the Fund entails a multistep process. First, an
internal assessment of country risk is compared with the market's pricing of
country risk to determine relative value opportunities. The output determines
which countries are 1) "core" holdings which have the strongest
economic/political/debt attributes, 2) "trading" countries which present more
opportunistic value and 3) countries "not currently suitable" for investment.
Under normal circumstances, the Fund will be diversified across 25-30 countries.
The next step in the process determines relative value amongst sectors within a
country, and security selection within the sectors. The final step incorporates
a disciplined sell process through continual risk/reward analysis across, and
within emerging debt countries. U.S. interest-rate risk relative to the
benchmark is controlled through the maintenance of a tightly constrained U.S.
Treasury duration. Excess return is captured through active management of the
sovereign spread component relative to the benchmark.
Analysis
Emerging Markets Debt ("EMD") as measured by the J.P. Morgan EMBI Global Index
posted performance of 7.19% during the year ended September 30, 2007 as the
market incurred heightened levels of volatility due to the global credit crunch
which caused all risk assets to decline in value. Broadly, the market continues
to benefit from strong internal factors - improving economies and the passage of
critical reforms - as well as strong external factors - high commodity prices.
The continued improvement in EMD credit fundamentals was again rewarded by the
rating agencies throughout the period as Mexico, Brazil, Peru, Poland and Belize
all saw their ratings upgraded.
With the large number of credit rating improvements for EMD countries over the
past year, the J.P. Morgan EMBI Global Index average credit rating is now BB+,
its highest average rating on record. Further, there is now a strong probability
that the index will hold an average credit rating of BBB-, or investment grade,
over the next year. Politics remain at the forefront, especially early in the
period, with investor attention focused on the presidential elections in Ecuador
and Brazil. After many months of divergent polling results, Rafael Correa, the
ex-finance minister who advocated defaulting on debt and cutting ties with the
World Bank and IMF, was declared the winner of the presidential election. Correa
received 58% of votes tallied, compared with 42% for Alvaro Noboa, Ecuador's
largest banana exporter. On the news of the victory by Correa, Ecuadorian bonds
initially fell dramatically, although they rebounded after Correa made all
interest payments during the year. In Brazil, incumbent President Lula failed to
win in the first round, wining 48.6% of the vote, to Geraldo Alckmin's 41.6%.
However, in the second round, held on October 29, Lula received 61% to Alckmin's
39% and will serve a second term. During the period, EMD spreads over U.S.
Treasuries widened 7 basis point to end at 225 basis points with the market
yield ending the period at 6.85%.
The Emerging Markets Debt Fund, Class A posted strong results during the year,
returning 10.03%. The Fund's overweight to Brazil was the largest contributor to
Fund performance. Brazil bonds gained 12.1% benefiting from the aforementioned
credit ratings upgrades while shaking off political volatility. An underweight
to Russia also added to performance as Russian bonds underperformed the market
by 2% during the period. Mexican bonds benefited from their credit rating
upgrades to generate a return of 7.54% during the 12 month period. Finally, the
Fund's overweight to Uruguay added to returns as it bonds gained 12.5% on the
heels of continued strong economic growth. The largest detractor from
performance was the Fund's overweight to Argentina as its bonds only returned
- -0.25%. Argentine bonds struggled due to growing concern that the government has
been tampering with inflation data. President Kirchner replaced the official in
charge with calculating consumer prices and installed a political appointee,
prompting concern that the government would tamper with the data. The Fund's
underweight to the Philippines detracted from performance as the country was one
of the top per-
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SEI Institutional International Trust / Annual Report / September 30, 2007 5
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL INTERNATIONAL TRUST -- SEPTEMBER 30, 2007
forming country in the index, returning 11.1%. The Fund has been underweight
Philippines bonds all year due to the country's high debt/gross domestic product
ratio. Finally, the Fund's lack of exposure to Cote D'Ivoire (Ivory Coast)
detracted as bonds gained 45.8% during the period. Cote D'Ivoire bonds rallied
sharply on increased expectations for the government and rebels will begin to
hold open talks which could simmer tensions between the two that have divided
the country for three years.
Emerging Markets Debt Fund
AVERAGE ANNUAL TOTAL RETURN 1
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Annualized Annualized Annualized Annualized
One Year 3 Year 5 Year 10 Year Inception to
Return Return Return Return Date
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Class A 10.03% 12.58% 19.39% 11.12% 11.48%
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Comparison of Change in the Value of a $100,000 Investment in the Emerging
Markets Debt Fund, versus the J.P. Morgan EMBI Global Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Emerging Markets J.P. Morgan EMBI
Debt Fund Global Index
9/97 $ 100,000 $ 100,000
9/98 $ 65,900 $ 77,530
9/99 $ 86,428 $ 95,525
9/00 $ 110,688 $ 115,451
9/01 $ 115,879 $ 124,791
9/02 $ 118,371 $ 133,227
9/03 $ 176,550 $ 172,116
9/04 $ 201,214 $ 191,186
9/05 $ 240,129 $ 217,169
9/06 $ 260,972 $ 235,085
9/07 $ 287,148 $ 251,988
1 For the period ended September 30, 2007. Past performance is no indication
of future performance. Class A Shares were offered beginning June 26,
1997. Returns shown do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares. The returns for certain periods reflect fee waivers and/or
reimbursements in effect for that period; absent fee waivers and
reimbursements, performance would have been lower.
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6 SEI Institutional International Trust / Annual Report / September 30, 2007
SCHEDULE OF INVESTMENTS
International Equity Fund
September 30, 2007
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SECTOR WEIGHTINGS (UNAUDITED)+:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Financials 18.6%
Short-Term Investments 13.8%
Industrials 9.4%
Basic Materials 9.4%
Consumer Discretionary 8.7%
Energy 5.6%
Telecommunication Services 5.4%
U.S. Government Agency Mortgage-Backed Securities 5.2%
Information Technology 5.0%
Asset-Backed Securities 3.8%
Consumer Staples 3.7%
Healthcare 3.6%
Utilities 3.2%
Time Deposits 2.8%
Commercial Paper 1.0%
U.S. Treasury Obligations 0.5%
Equity-Linked Warrants 0.2%
Rights 0.1%
Purchased Option 0.0%
Exchange Traded Fund 0.0%
+ 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 -- 85.3%
AUSTRALIA -- 4.8%
Adelaide Brighton 24,500 $ 86
AGL Energy 31,390 441
Amcor (B) 191,383 1,250
AMP 920,250 8,583
Asciano Group* 77,442 615
Australia & New Zealand Banking Group 257,473 6,767
Australian Infrastructure Fund (B) 613,900 1,717
Australian Stock Exchange 3,700 176
Babcock & Brown 17,401 423
BHP Billiton 447,092 17,626
BHP Billiton ADR 6,100 479
BlueScope Steel 469,900 4,470
Boral (B) 27,700 176
Brambles 271,599 3,548
Caltex Australia 4,800 100
Centro Properties Group (B) 47,339 309
Challenger Financial Services Group (B) 899,600 4,936
Commonwealth Bank of Australia 67,687 3,378
CSL (B) 51,929 4,931
CSR 479,000 1,318
Downer EDI (B) 251,017 1,391
Felix Resources 14,500 74
Flight Centre 95,400 1,832
Fortescue Metals Group 200 8
Foster's Group 250,000 1,445
Goodman Fielder (B) 997,297 2,277
Independence Group 12,800 74
ING Industrial Fund (B) 377,625 946
Insurance Australia Group 50,600 235
Jabiru Metals 2,200 3
John Fairfax Holdings (B) 542,200 2,265
Jubilee Mines 28,500 438
Leighton Holdings (B) 109,300 4,981
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Market Value
Description Shares ($ Thousands)
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Lend Lease (B) 22,000 $ 368
Macquarie Airports (B) 1,908,319 7,346
Macquarie Bank (B) 49,210 3,675
Macquarie Infrastructure Group (B) 2,105,350 5,813
MFS 408,400 1,695
Minara Resources (B) 79,600 459
Mincor Resources 18,300 69
Mirvac Group 227,227 1,096
National Australia Bank 236,000 8,293
Newcrest Mining 132,600 3,286
OneSteel 38,200 233
Origin Energy 108,365 988
Pacific Brands 2,016,464 5,532
PaperlinX 353,300 950
Perilya 30,387 107
Portman (B)* 3,500 36
Qantas Airways (B) 950,807 4,695
QBE Insurance Group (B) 831,592 24,874
Rio Tinto 24,500 2,346
Sally Malay Mining 33,500 144
Santos 75,500 1,006
Seven Network (B) 223,100 2,586
Sims Group 19,100 546
Specialty Fashion Group 623,920 889
TABCORP Holdings 68,700 921
Tattersall's (B) 562,000 1,974
Telstra 2,022,000 5,118
Telstra 683,786 2,638
Toll Holdings 77,442 898
West Australian Newspapers Holdings (B) 290,500 3,990
Westfield Group 144,250 2,770
Westpac Banking 185,481 4,678
Woolworths 386,684 10,167
WorleyParsons 114,956 4,314
Zinifex 189,000 2,964
--------------
194,762
--------------
AUSTRIA -- 0.4%
Erste Bank der Oesterreichischen Sparkassen 18,200 1,383
IMMOFINANZ 95,900 1,193
Mayr Melnhof Karton (B) 3,364 371
OMV 400 27
Raiffeisen International Bank Holding (B) 11,818 1,723
Telekom Austria (B) 117,600 3,069
Voestalpine (B) 60,279 5,195
Wienerberger (B) 19,888 1,240
--------------
14,201
--------------
BELGIUM -- 1.0%
AGFA-Gevaert 12,901 248
Belgacom 75,392 3,489
Compagnie Maritime Belge 58,700 4,341
- --------------------------------------------------------------------------------
SEI Institutional International Trust / Annual Report / September 30, 2007 7
SCHEDULE OF INVESTMENTS
International Equity Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
D'ieteren 4,217 $ 1,877
Delhaize Group 19,749 1,887
Dexia (B) 113,998 3,443
Fortis (B) 358,443 10,526
Fortis (Netherlands Line) 173,786 5,104
Gimv 24,500 1,673
InBev 39,859 3,603
KBC Groep 3,847 528
Solvay (B) 21,934 3,174
UCB 23,630 1,391
--------------
41,284
--------------
BERMUDA -- 0.1%
Frontline 62,600 3,059
--------------
BRAZIL -- 0.3%
Cia Vale do Rio Doce ADR 143,600 4,872
Gerdau ADR 138,375 3,628
Uniao de Bancos Brasileiros GDR 13,800 1,816
--------------
10,316
--------------
CANADA -- 2.4%
Alcan 22,500 2,247
Barrick Gold 301,700 12,153
Cameco (B) 175,400 8,098
Canadian National Railway 27,600 1,577
Canadian Natural Resources (B) 34,100 2,593
Eastern Platinum* 1,232,550 2,803
EnCana (B) 106,300 6,579
Fairfax Financial Holdings 5,100 1,245
Manulife Financial 31,700 1,308
Methanex (B) 79,100 1,992
Nexen 1 --
Potash Saskatchewan (B) 121,300 12,823
Research In Motion 146,790 14,466
Rogers Communications, Cl B (B) 246,180 11,218
Shoppers Drug Mart (B) 24,500 1,341
Suncor Energy (B) 36,000 3,422
Teck Cominco, Cl B (B) 148,000 7,033
TELUS (B) 75,083 4,231
--------------
95,129
--------------
CHINA -- 0.1%
China Petroleum & Chemical, Cl H 2,176,000 2,720
China Shenhua Energy 240,000 1,443
Industrial & Commercial Bank of
China, Cl H 1,994,000 1,399
People's Food Holdings 12,000 11
--------------
5,573
--------------
CYPRUS -- 0.1%
Marfin Popular Bank* 389,400 5,316
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
DENMARK -- 1.0%
A P Moller - Maersk, Cl A 273 $ 3,698
A P Moller - Maersk, Cl B (B) 1,044 14,302
Carlsberg, Cl B (B) 25,146 3,425
Danske Bank 96,249 3,898
East Asiatic 14,788 1,102
H Lundbeck (B) 22,400 607
Jyske Bank 7,832 607
Novo-Nordisk, Cl B* 55,440 6,674
Schouw 8,000 762
Sydbank 17,678 767
Vestas Wind Systems* 48,500 3,822
--------------
39,664
--------------
FINLAND -- 1.6%
Elisa, Cl A 26,300 815
Kemira 32,000 746
Kone, Cl B 2,411 175
Konecranes 21,196 850
Metso 52,900 3,634
Neste Oil 21,823 797
Nokia 936,511 35,507
Nokia ADR 7,500 285
Nokian Renkaat 41,000 1,601
OKO Bank, Cl A 83,986 1,732
Outokumpu 94,188 3,374
Rautaruukki 24,500 1,481
Sampo, Cl A 133,800 4,074
Stora Enso, Cl R 222,600 4,324
UPM-Kymmene 131,362 3,169
Wartsila, Cl B 19,600 1,339
--------------
63,903
--------------
FRANCE -- 8.3%
Accor (B) 36,117 3,198
Air France-KLM 153,343 5,620
Air Liquide 35,696 4,765
Alcatel 141,400 1,448
Alstom 7,300 1,480
Atos Origin* 600 35
AXA (B) 200,790 8,961
BNP Paribas 279,845 30,541
Bouygues 123,197 10,598
Business Objects (B)* 10,836 482
Capgemini (B) 26,400 1,623
Carrefour 16,900 1,181
Casino Guichard Perrachon 13,699 1,433
Christian Dior 18,400 2,348
Cie de Saint-Gobain 97,111 10,108
Ciments Francais 7,040 1,234
Club Mediterranee* 1,170 76
CNP Assurances (B) 15,094 1,926
- --------------------------------------------------------------------------------
8 SEI Institutional International Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Compagnie Generale de Geophysique* 14,100 $ 4,595
Compagnie Generale des Etablissements
Michelin, Cl B 81,800 10,968
Credit Agricole 247,083 9,505
Dassault Systemes 28,862 1,889
Financiere de L'Odet 1,280 557
France Telecom (B) 511,856 17,099
Groupe Danone (B) 54,014 4,240
Havas 14,356 85
L'Oreal (B) 52,725 6,898
Lafarge 50,271 7,768
Lagardere S.C.A. (B) 63,782 5,414
Natixis 1,869 41
PagesJaunes Groupe 29,500 605
Pernod-Ricard 3,200 696
Peugeot 149,007 12,265
Publicis Groupe 20,900 857
Renault 99,279 14,348
Rhodia* 213,091 7,734
Safran 36,407 877
Sanofi-Aventis 314,449 26,554
Sanofi-Aventis (Germany Line) 2,125 178
Schneider Electric (B) 58,413 7,360
SCOR 30,863 825
Sequana Capital 334 11
Societe Generale 116,205 19,448
Sodexho Alliance 1,500 103
Suez* 17,972 1,056
Technip 15,900 1,418
Thales 30,202 1,766
Thomson 60,000 911
Total 470,476 38,151
Unibail + 7,900 2,028
Vallourec 29,325 8,424
Veolia Environnement 54,056 4,643
Vinci 183,835 14,324
Vivendi (B) 381,858 16,075
--------------
336,773
--------------
GERMANY -- 8.6%
Allianz 181,896 42,385
Altana 12,688 305
BASF 144,186 19,890
Bayer 334,942 26,589
Bayerische Motoren Werke 192,211 12,364
Commerzbank 185,770 7,501
Continental 36,927 5,093
DaimlerChrysler 275,183 27,645
Deutsche Bank 176,565 22,695
Deutsche Beteiligungs 51,000 1,784
Deutsche Boerse 33,300 4,523
Deutsche Lufthansa (B) 287,271 8,240
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Deutsche Telekom 285,700 $ 5,599
E.ON 180,119 33,213
Fresenius Medical Care 188,250 9,978
Henkel 2,717 128
Hochtief 20,800 2,516
Hypo Real Estate Holding (B) 50,305 2,853
Infineon Technologies* 646,650 11,118
Lanxess 19,800 937
MAN 11,188 1,624
MTU Aero Engines Holding 1,041 63
Muenchener Rueckversicherungs 79,741 15,283
MVV Energie 1,364 56
Norddeutsche Affinerie (B) 107,600 4,713
Rheinmetall* 4,131 328
RWE 93,728 11,757
Salzgitter (B) 51,268 10,043
SAP 63,524 3,709
Siemens 201,026 27,566
Software 21,800 2,041
Suedzucker (B) 111,612 2,237
ThyssenKrupp 161,155 10,236
Volkswagen 38,487 8,675
Vossloh (B) 35,000 3,768
Wincor Nixdorf 10,633 877
--------------
348,332
--------------
GREECE -- 0.1%
Coca Cola Hellenic Bottling 20,305 1,170
Cosmote Mobile Communications 3,741 128
Hellenic Telecommunications Organization 66,000 2,440
OPAP 9,836 381
--------------
4,119
--------------
HONG KONG -- 2.2%
Allied Properties HK 160,000 53
Asia Financial Holdings 10,000 6
Bank of East Asia 441,200 2,476
BOC Hong Kong Holdings 460,500 1,168
Cheung Kong Holdings 482,500 7,962
China Mobile 1,241,000 20,335
China Mobile ADR* 2,800 230
China Netcom Group 575,000 1,540
China Oriental Group 594,000 340
Chinese Estates Holdings 595,900 957
Chow Sang Sang Holdings 66,000 92
CLP Holdings 511,400 3,542
Esprit Holdings 112,000 1,780
Great Eagle Holdings 515,900 1,959
Guoco Group 33,000 450
Hang Lung Group 52,000 296
Hang Lung Properties 365,000 1,635
- --------------------------------------------------------------------------------
SEI Institutional International Trust / Annual Report / September 30, 2007 9
SCHEDULE OF INVESTMENTS
International Equity Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Hang Seng Bank 29,200 $ 519
Henderson Land Development 51,000 405
Hong Kong & China Gas 387,200 902
Hong Kong Exchanges and Clearing 52,000 1,590
Hongkong & Shanghai Hotels 819,000 1,453
HongKong Electric Holdings (B) 786,400 4,090
Hopewell Holdings 586,100 2,799
Hopson Development Holdings 42,000 140
Hutchison Whampoa 155,800 1,668
Jardine Matheson Holdings 800 23
Jardine Strategic Holdings 49,000 774
Kerry Properties 210,000 1,614
Li & Fung (B) 507,200 2,155
Miramar Hotel & Investment 6,000 10
MTR (B) 1,277,100 3,806
New World China Land 5,600 5
New World Development 1,193,600 3,303
Orient Overseas International 15,500 148
Pacific Century Premium Developments 540,000 169
Sino Land 163,659 407
Sinolink Worldwide Holdings (B) 1,040,000 333
Sun Hung Kai 11,000 16
Sun Hung Kai Properties 353,200 5,956
Swire Pacific, Cl A 342,000 4,149
Transport International Holdings 10,400 59
Truly International Holdings 22,000 59
Vtech Holdings 138,200 1,023
Wharf Holdings 861,800 4,238
Wheelock 589,600 1,624
Wing On International 19,000 36
--------------
88,294
--------------
INDIA -- 0.1%
Reliance Industries GDR (F)* 52,140 5,970
--------------
IRELAND -- 0.4%
Allied Irish Banks 118,742 2,871
CRH 165,293 6,547
DCC 72,512 2,135
Depfa Bank 88,100 1,819
Irish Life & Permanent 53,500 1,183
Total Produce 67,294 64
--------------
14,619
--------------
ISRAEL -- 0.3%
Teva Pharmaceutical Industries ADR 278,470 12,384
--------------
ITALY -- 3.1%
ACEA 51,000 1,002
Aedes 139,100 935
AEM (B) 814,000 3,039
Autostrade 315,300 10,623
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Banca Intesa 707,296 $ 5,447
Banco Popolare 39,905 891
Beni Stabili 2,834,700 3,544
Buzzi Unicem 79,408 2,060
Cementir (B) 93,600 944
Danieli 44,500 1,512
Ducati Motor Holding (B) 1,659,100 4,061
Edison 2,424 8
Enel 497,374 5,616
ENI 645,553 23,861
Fiat (B) 582,915 17,583
Fiat RNC 173,540 4,403
Fondiaria-Sai 16,704 782
IFIL - Investments 1,184,350 12,733
Immobiliare Grande Distribuzione (B) 253,900 993
Immobiliare Lombarda 486,766 119
IMMSI 641,600 1,642
Indesit 95,700 1,645
Iride 32,921 121
Italcementi 137,534 3,039
Italmobiliare (B) 15,635 1,945
KME Group 248,566 655
MARR 110,200 1,198
Pirelli & C 780,000 937
Telecom Italia (B) 1,737,568 5,270
Telecom Italia RNC 1,263,689 3,039
UniCredito Italiano 786,448 6,711
--------------
126,358
--------------
JAPAN -- 16.5%
Advantest (B) 24,700 769
Aeon 433,500 6,117
Aida Engineering 6,000 39
Aioi Insurance 150,000 871
Aisan Industry (B) 9,800 119
Aisin Seiki (B) 168,200 6,712
Alpen 7,700 103
Amada 173,800 1,940
AOC Holdings 99,200 1,618
Aoyama Trading 61,400 1,559
Asahi Breweries 83,100 1,264
Asahi Glass 87,000 1,169
Asahi Kasei 118,000 952
Astellas Pharma (B) 28,000 1,341
Atsugi 1,771,600 2,310
Autobacs Seven (B) 66,200 1,718
Bank of Kyoto (B) 195,500 2,368
Bank of the Ryukyus (B) 102,100 1,332
BML 3,900 56
Bosch (B) 54,000 262
Bridgestone (B) 154,200 3,405
Canon 123,248 6,719
- --------------------------------------------------------------------------------
10 SEI Institutional International Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Casio Computer (B) 30,200 $ 432
Cawachi (B) 4,400 118
Central Glass 17,000 86
Central Japan Railway 8 85
Chiba Bank 142,000 1,096
Circle K Sunkus 16,700 259
Citizen Watch (B) 139,000 1,397
CMK 264,700 2,831
Coca-Cola West Holdings (B) 58,600 1,376
COMSYS Holdings 79,000 865
Cosmo Oil (B) 762,800 3,634
Cosmos Initia 7,000 29
Dai Nippon Printing (B) 42,000 600
Daicel Chemical Industries 23,000 182
Dainippon Ink and Chemicals (B) 146,000 646
Dainippon Screen Manufacturing 58,000 349
Dainippon Sumitomo Pharma 22,000 204
Daito Trust Construction (B) 28,100 1,354
Daiwa House Industry 101,000 1,316
Daiwa Securities Group 44,000 419
Denki Kagaku Kogyo 10,000 56
Denso 20,900 787
EDION 49,400 549
Eighteenth Bank 35,000 140
Fanuc (B) 66,200 6,740
Fields (B) 65 88
Fuji Electric Holdings (B) 127,000 565
Fuji Fire & Marine Insurance 93,000 317
Fuji Heavy Industries 138,000 606
Fuji Machine Manufacturing (B) 2,200 43
FUJIFILM Holdings (B) 168,300 7,770
Fujikura 79,000 499
Fujitsu (B) 600,000 4,236
Fukuda Denshi 100 3
Fukuyama Transporting (B) 340,500 1,569
Gunma Bank (B) 453,400 3,020
Gunze 341,200 1,679
Hakuhodo DY Holdings (B) 2,830 198
Hankyu Holdings (B) 313,000 1,597
Heiwa 11,100 130
Hirose Electric (B) 10,100 1,227
Hitachi (B) 759,000 5,048
Hitachi Cable 155,000 960
Hitachi Construction Machinery 10,300 411
Hitachi Koki 6,200 107
Hitachi Maxwell 14,200 153
Hitachi Transport System 500 6
Hokkaido Electric Power 50,000 1,080
Honda Motor 266,200 8,934
Hoya 120,900 4,121
Hyakugo Bank 31,000 179
Idemitsu Kosan 23,300 2,619
Ines 158,000 918
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Inpex Holdings 520 $ 5,335
Isuzu Motors 546,000 3,124
Itochu 783,000 9,497
Japan Steel Works 877,450 14,549
Japan Tobacco (B) 2,003 10,989
JFE Holdings (B) 247,600 17,523
JGC 136,000 2,619
Joshin Denki (B) 138,300 968
Joyo Bank 69,000 385
Kagoshima Bank 1,000 7
Kamigumi 81,000 680
Kaneka 11,000 92
Kansai Electric Power 102,000 2,328
Kanto Tsukuba Bank (B) 230,700 1,534
Kato Sangyo 400 5
Kawasaki Kisen Kaisha (B) 126,000 1,848
KDDI (B) 118 874
Keyence 8,800 1,951
Kinden 8,000 73
Kirin Brewery 95,000 1,255
Kobe Steel 408,000 1,522
Komatsu 143,800 4,826
Komori 52,000 1,273
Kumagai Gumi (B) 570,600 878
Kuraray 37,500 474
Kyocera 11,300 1,058
Kyowa Hakko Kogyo 70,000 720
Kyushu Electric Power (B) 157,500 4,163
Macnica (B) 3,100 69
Maeda (B) 2,000 8
Makita (B) 22,900 1,003
Marubeni 193,000 1,769
Maruichi Steel Tube (B) 5,800 145
Matsushita Electric Industrial 257,100 4,817
Mazda Motor 118,000 596
Millea Holdings 103,100 4,141
Mitsubishi 487,300 15,422
Mitsubishi Chemical Holdings 571,000 4,965
Mitsubishi Estate 525,300 15,026
Mitsubishi Gas Chemical 74,000 685
Mitsubishi Heavy Industries 475,000 3,102
Mitsubishi Materials (B) 437,700 2,717
Mitsubishi Paper Mills (B) 836,400 1,600
Mitsubishi UFJ Financial Group (I) 1,798 17,109
Mitsui 520,600 12,629
Mitsui Chemicals 716,000 7,103
Mitsui Mining & Smelting 121,000 521
Mitsui OSK Lines 723,000 11,699
Mitsui Sumitomo Insurance (B) 273,000 3,202
Miyazaki Bank 27,000 104
Mizuho Financial Group (B) 1,046 5,957
Mochida Pharmaceutical 1,000 9
Murata Manufacturing 20,900 1,505
- --------------------------------------------------------------------------------
SEI Institutional International Trust / Annual Report / September 30, 2007 11
SCHEDULE OF INVESTMENTS
International Equity Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Nagase 24,000 $ 284
Namco Bandai Holdings 31,200 453
NEC 284,000 1,378
NGK Spark Plug 38,000 590
Nichicon (B) 162,700 2,062
Nikon (B) 95,000 3,263
Nintendo (B) 52,975 27,543
Nippo 194,200 1,552
Nippon Beet Sugar Manufacturing (B) 385,800 906
Nippon Electric Glass 112,500 1,810
Nippon Konpo Unyu Soko 157,300 2,139
Nippon Mining Holdings 396,000 3,973
Nippon Oil 425,000 3,943
Nippon Sharyo (B) 534,700 1,199
Nippon Sheet Glass 114,000 696
Nippon Shokubai 62,000 603
Nippon Steel (B) 734,800 5,283
Nippon Telegraph & Telephone 2,553 11,920
Nippon Yusen 328,000 3,200
Nissan Motor (B) 1,200,400 12,013
Nissan Shatai (B) 28,000 172
Nissay Dowa General Insurance 40,000 244
Nisshin Oillio Group 10,000 42
Nisshin Steel 85,000 383
Nisshinbo Industries (B) 270,000 3,749
Nitto Kogyo (B) 3,200 49
Nomura Holdings (B) 92,600 1,551
Noritake (B) 24,000 114
NSK (B) 153,000 1,341
NTT Data (B) 659 2,934
NTT DoCoMo (B) 2,715 3,871
Obayashi (B) 185,000 856
Odakyu Electric Railway (B) 177,000 1,140
Ohara 300 6
Oiles 900 19
Okaya 500 6
Oki Electric Industry (B) 878,000 1,511
OKUMA (B) 19,000 277
Okumura (B) 401,900 2,044
Olympus 14,000 575
Omron 71,800 1,898
Onward Kashiyama 64,000 647
Oriental Land (B) 6,700 388
ORIX (B) 64,700 14,738
Plenus 400 7
Ricoh 162,000 3,423
Riso Kagaku 1,400 28
Rohm 14,700 1,297
Sanki Engineering (B) 203,400 1,227
Sankyo (B) 26,000 1,051
Sanwa Shutter 84,000 470
Sapporo Hokuyo Holdings 34 337
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Sega Sammy Holdings (B) 55,400 $ 737
Seikagaku 1,800 21
Seiko Epson (B) 40,400 999
Seino Transportation 37,000 341
Sekisui Chemical (B) 201,000 1,473
Sekisui House 199,000 2,502
SFCG (B) 9,600 1,343
Sharp 303,000 5,493
Shin-Etsu Chemical 37,600 2,596
Shinsei Bank 241,000 759
Shiseido (B) 27,000 599
Showa Shell Sekiyu (B) 129,400 1,662
SMC 28,200 3,857
Softbank (B) 643,300 11,858
Sojitz 239,500 1,041
Sony (B) 290,700 14,078
SSP 3,000 14
Stanley Electric 36,800 886
Sumco 8,300 338
Sumitomo (B) 537,600 10,377
Sumitomo Chemical 653,200 5,594
Sumitomo Electric Industries 5,680 90
Sumitomo Forestry 36,000 297
Sumitomo Heavy Industries 67,000 862
Sumitomo Metal Industries (B) 958,000 5,581
Sumitomo Metal Mining 200,000 4,852
Sumitomo Mitsui Financial Group (B) 2,856 22,224
Suzuken 6,600 222
Suzuki Motor (B) 198,500 5,868
T&D Holdings 22,000 1,352
Taisho Pharmaceutical (B) 19,000 373
Takeda Pharmaceutical (B) 76,700 5,388
Takefuji (B) 63,100 1,251
Teijin (B) 186,000 907
Toagosei 849,000 3,159
Toda (B) 764,600 4,029
Tokai Rika (B) 27,500 765
Tokyo Electric Power (B) 282,100 7,113
Tokyo Electron 75,800 4,798
Tokyo Gas 406,000 1,889
Tokyo Steel Manufacturing 20,900 324
Tokyu (B) 241,000 1,572
Tokyu Land 130,400 1,307
Toppan Printing (B) 108,000 1,111
Topre 7,600 68
Topy Industries (B) 39,000 104
Toshiba (B) 1,754,000 16,363
Toshiba TEC 32,000 198
Tosoh 169,000 1,095
Toyo Seikan Kaisha (B) 100,800 1,897
Toyota Auto Body (B) 20,100 333
Toyota Industries 34,500 1,485
- --------------------------------------------------------------------------------
12 SEI Institutional International Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Toyota Motor 473,300 $ 27,900
Trend Micro (B) 82,500 3,565
TV Asahi 189 304
Unicharm 24,300 1,490
UNY 142,000 1,236
USS (B) 5,500 361
Wacoal Holdings 5,000 61
Yahoo! Japan (B) 11,963 4,525
Yamada Denki 33,710 3,332
Yamaha (B) 31,500 705
Yamaha Motor 50,500 1,286
Yamatane (B) 627,700 742
Yamato Kogyo 5,400 259
Yamato Transport (B) 165,800 2,484
Yokogawa Bridge 134,400 836
Yokohama Rubber 403,700 3,019
Zephyr 5 7
--------------
669,591
--------------
LUXEMBOURG -- 0.5%
ArcelorMittal (B) 198,196 15,601
ArcelorMittal 9,600 756
Oriflame Cosmetics SDR (B) 22,781 1,377
SES Global FDR (Paris Exchange) 74,390 1,735
--------------
19,469
--------------
MEXICO -- 0.5%
America Movil ADR, Ser L 298,400 19,098
--------------
NETHERLANDS -- 4.5%
ABN AMRO Holding 19,000 999
Aegon 222,956 4,258
Akzo Nobel 238,173 19,578
ASML Holding 49,727 1,644
Buhrmann 187,500 2,037
European Aeronautic Defense and Space 47,100 1,444
Fugro 25,374 2,054
Heineken 11,492 752
Heineken Holding 22,062 1,261
Hunter Douglas 7,817 700
ING Groep 932,888 41,300
Koninklijke Ahold 349,200 5,264
Koninklijke DSM 98,252 5,289
Reed Elsevier (B) 94,150 1,784
Royal Dutch Shell, Cl A 791,129 32,583
Royal Dutch Shell, Cl A (GBP) 340,604 13,997
Royal Dutch Shell, Cl B 456,939 18,731
Royal KPN 173,132 2,997
TNT 94,724 3,961
Unilever (B) 668,980 20,598
Vedior 10,500 230
--------------
181,461
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
NEW ZEALAND -- 0.2%
Air New Zealand 943,900 $ 1,762
Fletcher Building 260,552 2,498
Infratil (B) 367,500 825
Kiwi Income Property Trust 725,600 795
Telecom of New Zealand 590,363 1,994
--------------
7,874
--------------
NORWAY -- 0.7%
Aker, A Shares 15,200 1,068
DnB 240,664 3,671
Ementor* 383,100 3,448
Norske Skogindustrier 77,142 821
Orkla 65,100 1,156
Schibsted 102,900 5,389
Storebrand 156,000 2,411
Tandberg 144,900 3,467
Telenor 217,300 4,328
Yara International 138,400 4,352
--------------
30,111
--------------
POLAND -- 0.0%
Polski Koncern Naftowy Orlen 59,300 1,242
--------------
PORTUGAL -- 0.3%
Banco BPI (B) 128,526 1,078
Banco Comercial Portugues (B) 522,606 2,163
Banco Espirito Santo (B) 142,381 3,220
Cimpor Cimentos de Portugal (B) 151,219 1,249
Energias de Portugal (B) 370,704 2,161
Semapa-Sociedade de
Investimento e Gestao* 68,200 1,109
Sonae Industria (B) 14,703 165
Teixeira Duarte - Engenharia Construcoes* 4,399 13
--------------
11,158
--------------
SINGAPORE -- 1.3%
Allgreen Properties 1,498,200 1,938
CapitaCommercial Trust + 1,071,600 2,050
CapitaLand 931,000 5,111
Chuan Hup Holdings* 877,600 213
City Developments 145,000 1,582
DBS Group Holdings 119,000 1,732
Fraser and Neave (B) 68,000 261
Guocoland 2,000 7
Ho Bee Investment 115,000 169
Hong Leong Finance (B) 447,000 1,168
Hotel Plaza 83,000 121
Jardine Cycle & Carriage 139,000 1,732
K1 Ventures* 296,000 64
Keppel 288,000 2,794
- --------------------------------------------------------------------------------
SEI Institutional International Trust / Annual Report / September 30, 2007 13
SCHEDULE OF INVESTMENTS
International Equity Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Keppel Land (B) 602,200 $ 3,367
Kim Eng Holdings 838,000 1,123
Mapletree Logistics Trust + 3,013,600 2,538
MCL Land 6,000 11
Metro Holdings 97,000 68
NatSteel 36,000 41
Neptune Orient Lines 245,000 875
Olam International 1,210,400 2,560
Oversea-Chinese Banking (B) 663,200 3,976
SembCorp Industries 200,000 869
SembCorp Marine 530,000 1,642
Singapore Airlines 40,140 503
Singapore Exchange 382,500 3,324
Singapore Petroleum 281,000 1,287
Singapore Press Holdings 208,000 605
Singapore Technologies Engineering (B) 284,000 746
Singapore Telecommunications 559,150 1,514
SP Chemicals 123,000 98
United Overseas Bank 232,200 3,457
UOB-Kay Hian Holdings 59,000 86
UOL Group 156,000 547
Venture 37,000 411
Wheelock Properties S (B) 629,900 1,159
Wing Tai Holdings* 1,609,200 4,184
--------------
53,933
--------------
SOUTH AFRICA -- 0.2%
Harmony Gold Mining 146,200 1,729
Harmony Gold Mining ADR* 21,400 255
Sanlam 745,380 2,407
Sasol 39,467 1,694
Standard Bank Group 81,700 1,178
--------------
7,263
--------------
SOUTH KOREA -- 0.8%
Honam Petrochemical 23,600 3,894
Hynix Semiconductor 32,400 1,108
Hyundai Mobis 16,270 1,726
Industrial Bank of Korea 49,730 1,073
Kookmin Bank 18,900 1,574
POSCO 2,700 1,986
Samsung Electronics 3,519 2,211
Samsung Electronics GDR 9,218 2,892
Shinhan Financial Group 187,250 12,236
SK Telecom 410 94
SK Telecom ADR 81,100 2,409
--------------
31,203
--------------
SPAIN -- 2.9%
Acerinox (B) 34,358 1,031
ACS Actividades Construcciones y
Servicios (B) 260,708 14,349
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Banco Bilbao Vizcaya Argentaria (B) 441,635 $ 10,326
Banco Popular Espanol (B) 104,334 1,788
Banco Santander Central Hispano (B) 1,310,854 25,409
Cementos Portland Valderrivas 3,599 391
Ebro Puleva 60,900 1,245
Endesa (B) 10,913 622
Fomento de Construcciones y Contratas 9,400 759
Gas Natural SDG (B) 235,374 13,256
Gestevision Telecinco 49,019 1,283
Iberdrola 37,990 2,226
Iberdrola (GBP) 110,374 6,377
Inditex (B) 28,630 1,924
Repsol 517,271 18,428
Sol Melia (B) 44,100 828
Telefonica (B) 607,698 16,965
Union Fenosa 25,935 1,530
--------------
118,737
--------------
SWEDEN -- 2.0%
Assa Abloy, Cl B (B) 110,200 2,278
Atlas Copco, Cl A (B) 732,375 12,623
Boliden 128,355 2,723
Electrolux, Ser B 23,600 498
Hennes & Mauritz, Cl B 8,000 505
Husqvarna, Cl B 9,092 117
Industrivarden, Cl A (B) 68,600 1,519
Industrivarden, Cl C 51,100 1,064
Investor, Cl B 457,750 11,711
Saab, Cl B* 4,000 94
Sandvik 176,241 3,767
SAS* 107,879 1,926
Skandinaviska Enskilda Banken, Cl A 112,846 3,655
SKF 90,100 1,891
Ssab Svenskt Stal, Ser A 53,400 1,969
Svenska Cellulosa, Cl B 383,259 7,124
Svenska Handelsbanken, Cl A 101,988 3,153
Swedish Match 37,202 771
Tele2, Cl B (B) 78,000 1,679
Telefonaktiebolaget LM Ericsson,
Cl B (B) 2,372,671 9,463
TeliaSonera 834,400 7,513
Trelleborg, Cl B (B) 35,326 830
Volvo, Cl B 226,654 3,933
Wihlborgs Fastigheter 8,028 148
--------------
80,954
--------------
SWITZERLAND -- 4.6%
ABB 211,157 5,542
Adecco 45,654 2,691
AFG Arbonia-Forster Holdings 2,200 815
Bobst Group 642 47
Bucher Industries 3,696 684
- --------------------------------------------------------------------------------
14 SEI Institutional International Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Ciba Specialty Chemicals 12,600 $ 640
Clariant 64,000 784
Compagnie Financiere Richemont, Cl A 145,667 9,620
Credit Suisse Group (B) 338,165 22,376
Elektrizitaets-Gesellschaft Laufenburg 39 46
Energiedienst Holding 124 66
Forbo Holding (B) 1,240 732
Geberit 886 115
Helvetia Holding 1,171 401
Holcim 77,749 8,559
Inficon Holding 12,500 2,141
Kudelski 35,900 1,012
Nestle 44,648 19,989
Nobel Biocare Holding 6,863 1,852
Novartis (B) 340,422 18,723
Rieter Holding 899 485
Roche Holding 123,485 22,314
Schweizerische National-Versicherungs-
Gesellschaft 170 131
Straumann Holding 3,200 896
Swatch Group 17,497 1,117
Swiss Life Holding 9,800 2,533
Swiss Reinsurance 185,480 16,465
Swisscom 11,178 4,236
UBS 197,373 10,577
Xstrata 300,518 19,862
Zurich Financial Services 38,760 11,588
--------------
187,039
--------------
TAIWAN -- 0.3%
AU Optronics 958,714 1,654
Compal Electronics 1,290,784 1,459
High Tech Computer GDR 24,050 1,410
Siliconware Precision Industries 342,628 772
Taiwan Semiconductor Manufacturing 1,028,200 2,004
Taiwan Semiconductor Manufacturing
ADR 328,313 3,322
United Microelectronics (I) 1,627,186 1,180
--------------
11,801
--------------
THAILAND -- 0.0%
PTT 199,200 1,953
Total Access Communication* 20,000 27
--------------
1,980
--------------
UNITED KINGDOM -- 15.1%
3i Group 210,894 4,284
Acergy 352,550 10,419
Amec 654,350 9,879
Anglo American 303,031 20,306
Antofagasta 37,000 575
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
ARM Holdings 163,611 $ 513
AstraZeneca 341,188 17,024
AstraZeneca (SEK) 34,236 1,709
Autonomy* 311,380 5,462
Aviva 904,497 13,563
BAE Systems 2,881,150 28,968
Balfour Beatty 34,352 332
Barclays 1,546,187 18,759
Barratt Developments 165,154 2,517
Bellway 41,245 866
Berkeley Group Holdings 57,500 1,680
BHP Billiton 506,863 18,072
Bovis Homes Group 23,065 307
BP 2,582,747 29,862
Brit Insurance Holdings 88,000 612
British Airways 265,115 2,070
British American Tobacco 206,276 7,363
British Energy Group 494,824 5,388
British Land + 122,718 2,930
BT Group 356,941 2,233
Burberry Group 679,070 9,090
Capital & Regional 6,836 102
Carphone Warehouse Group 90,423 642
Cattles 34,306 244
Centrica 1,221,756 9,471
Charter 28,650 691
Compass Group 398,000 2,449
Cookson Group 47,143 733
Daily Mail & General Trust 147,444 1,892
Diageo 556,900 12,186
Drax Group 29,534 367
DS Smith 209,100 796
Emap 13,661 245
Enterprise Inns 104,931 1,266
Firstgroup 23,778 334
FKI 413,800 767
Friends Provident 825,441 2,893
GKN 186,000 1,341
GlaxoSmithKline 875,616 23,138
Greene King 230,300 4,138
Group 4 Securicor 29,333 121
Hays 187,816 509
HBOS 1,185,620 22,090
Home Retail Group 219,372 1,666
HSBC Holdings 1,409,537 25,975
Hunting 137,700 1,898
Imperial Chemical Industries 160 2
Imperial Tobacco Group 99,141 4,526
International Power 87,693 806
Investec 43,903 458
Kazakhmys 90,899 2,602
Kcom Group 752,400 1,012
- --------------------------------------------------------------------------------
SEI Institutional International Trust / Annual Report / September 30, 2007 15
SCHEDULE OF INVESTMENTS
International Equity Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Kelda Group 86,807 $ 1,524
Kingfisher 319,500 1,164
Laird Group 93,800 1,032
Land Securities Group + 620 21
Legal & General Group 515,760 1,404
Lloyds TSB Group 274,738 3,037
LogicaCMG 280,132 863
London Stock Exchange Group 153,600 5,142
Lonmin 18,300 1,360
Luminar 95,200 1,167
Marks & Spencer Group 117,715 1,476
Marston's 166,400 1,148
Michael Page International 95,122 799
Millennium & Copthorne Hotels 178,800 1,749
Minerva 417,400 1,924
Mitchells & Butlers 246,790 3,072
Mondi* 77,827 737
National Grid 546,351 8,727
Next 46,310 1,853
Northern Foods 1,162,300 2,315
Old Mutual 1,289,311 4,211
Pearson 56,469 871
Premier Foods 247,100 1,123
Prudential 268,000 4,103
Punch Taverns 266,800 5,360
Reckitt Benckiser 82,293 4,815
Reed Elsevier 173,614 2,186
Reuters Group 193,800 2,539
Rio Tinto 172,259 14,838
Rolls-Royce Group 203,000 2,161
Royal & Sun Alliance Insurance Group 1,436,988 4,523
Royal Bank of Scotland Group 3,391,867 36,280
SABMiller 334,690 9,492
Scottish & Newcastle 71,919 896
Scottish & Southern Energy 160,583 4,943
Segro+ 100,423 1,022
Severn Trent 44,900 1,290
Shire 304,100 7,441
Smith & Nephew 877,050 10,677
Smiths Group 69,469 1,513
St Ives Group 203,100 848
Stagecoach Group 284,550 1,317
Standard Chartered 143,822 4,688
Standard Life 221,926 1,304
Stolt-Nielsen 83,600 2,467
Tate & Lyle 10,881 89
Taylor Woodrow 973,105 5,467
TDG 398,700 1,887
Tesco 831,900 7,445
Trinity Mirror 309,856 2,601
Unilever 69,278 2,181
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) (1) ($ Thousands)
- --------------------------------------------------------------------------------
United Utilities 272,035 $ 3,880
Vodafone Group 19,486,505 70,072
Wolseley 92,645 1,560
WPP Group 196,000 2,643
Yell Group 366,107 3,200
--------------
612,590
--------------
Total Common Stock
(Cost $2,723,649) ($ Thousands) 3,455,560
--------------
U.S. GOVERNMENT AGENCY MORTGAGE-
BACKED OBLIGATIONS -- 6.1%
FHLMC (G)
5.900%, 03/31/08 200 195
5.249%, 11/09/07 18,300 18,197
5.034%, 03/03/08 225 221
FHLMC 15 Year TBA
6.000%, 07/01/21 to 05/01/22 29,928 30,307
FHLMC CMO STRIPS, Ser 232,
Cl IO, IO (E)
5.000%, 08/01/35 26,583 7,000
FHLMC CMO STRIPS, Ser 233,
Cl 12, IO (E)
5.000%, 09/15/35 4,727 1,079
FHLMC CMO STRIPS, Ser 233,
Cl 4, IO (E)
4.500%, 09/15/35 1,623 445
FNMA (G)
5.349%, 11/02/07 400 398
4.995%, 02/29/08 100 98
4.716%, 03/12/08 1,925 1,887
4.505%, 03/28/08 125 122
4.117%, 01/02/08 6,359 6,292
FNMA 15 Year TBA
5.500%, 12/01/20 to 10/15/22 29,948 29,881
5.000%, 10/01/22 to 10/01/37 92,000 89,398
FNMA 30 Year TBA
6.000%, 10/01/37 to 11/01/37 1,000 990
5.500%, 10/01/37 6,000 5,876
5.000%, 09/01/35 to 10/01/37 17,890 17,119
FNMA CMO STRIPS, Ser 10, Cl FD (E)
5.855%, 10/25/07 5,069 5,061
FNMA CMO STRIPS, Ser 359,
Cl 6, IO (E)
5.000%, 11/01/35 1,899 488
FNMA CMO STRIPS, Ser 360,
Cl 2, IO (E)
5.000%, 08/01/35 29,060 7,652
FNMA CMO STRIPS, Ser 365,
Cl 2, IO (E)
5.000%, 03/01/36 1,656 433
- --------------------------------------------------------------------------------
16 SEI Institutional International Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) (1) ($ Thousands)
- --------------------------------------------------------------------------------
GNMA ARM
6.500%, 10/30/07 to 02/20/34 2,892 $ 2,916
6.375%, 10/01/07 1,296 1,308
6.000%, 02/20/35 (H) 196 197
5.500%, 06/20/34 to 06/20/36 3,731 3,748
5.500%, 08/20/34 to 03/20/36 (H) 1,830 1,839
5.375%, 06/20/33 (H) 215 216
5.250%, 01/20/30 424 428
5.000%, 02/20/33 822 828
5.000%, 04/20/35 to 02/20/36 (H) 4,949 4,938
4.500%, 07/20/34 1,028 1,030
4.375%, 06/20/33 (H) 1,421 1,429
4.000%, 07/20/35 1,023 1,028
3.750%, 02/20/34 6,684 6,672
--------------
Total U.S. Government Agency Mortgage-Backed Obligations
(Cost $247,373) ($ Thousands) 249,716
--------------
ASSET-BACKED SECURITIES -- 4.6%
ACE Securities, Ser 2003-NC1, Cl M (D)
5.911%, 10/25/07 2,100 2,013
ACE Securities, Ser 2003-OP1, Cl M1 (D)
6.020%, 10/26/07 800 782
Aames Mortgage Investment Trust,
Ser 2005-4, Cl B2 (D) (J)
7.881%, 10/12/07 360 229
Adjustable Rate Mortgage Trust,
Ser 2005-5, Cl 1A1 (D)
4.952%, 10/01/07 1,591 1,598
Aegis Asset Backed Securities Trust,
Ser 2003-3, Cl M1 (D)
6.020%, 10/25/07 151 136
American Home Mortgage Investment Trust,
Ser 2004-3, Cl 3A (D)
3.710%, 10/01/07 1,769 1,749
American Home Mortgage Investment Trust,
Ser 2005-1, Cl 4A1 (D)
4.992%, 10/01/07 513 515
American Home Mortgage Investment Trust,
Ser 2005-1, Cl 6A (D)
5.294%, 10/25/07 13,889 13,754
American Home Mortgage Investment Trust,
Ser 2005-4, Cl 5A (D)
5.350%, 10/25/07 9,149 9,046
American Home Mortgage Investment Trust,
Ser 2006-1, Cl 2A3 (D)
5.100%, 10/25/07 4,560 4,501
Ameriquest Mortgage Securities,
Ser 2003-2, Cl M1 (D)
6.670%, 10/25/07 1,424 1,315
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) (1) ($ Thousands)
- --------------------------------------------------------------------------------
Argent Securities, Ser 2003-W5, Cl M1 (D)
6.020%, 10/25/07 600 $ 581
Argent Securities, Ser 2003-W9, Cl M1 (D)
6.010%, 10/26/07 1,201 1,168
Asset-Backed Securities Home Equity Loan
Trust, Ser 2003-HE5, Cl M1 (D)
6.361%, 10/15/07 1,642 1,582
Banc of America Commercial Mortgage,
Ser 2006-2, Cl A1 (D)
5.611%, 05/10/45 2,395 2,418
Banc of America Funding, Ser 2006-A,
Cl 2A2 (D)
5.568%, 10/01/07 485 483
Basic Asset Backed Securities Trust,
Ser 2006-1, Cl A1 (D)
5.585%, 10/25/07 3,511 3,504
Bear Stearns Adjustable Rate Mortgage
Trust, Ser 2004-7, Cl 1A1 (D)
5.054%, 10/01/07 1,224 1,239
Bear Stearns Alt-A Trust, Ser 2004-12,
Cl 2A2 (D)
5.011%, 10/01/07 2,923 2,897
Countrywide Alternative Loan Trust,
Ser 2004-33, Cl 1A1 (D)
4.989%, 10/01/07 1,825 1,819
Countrywide Alternative Loan Trust,
Ser 2005-69, Cl M3 (D)
6.655%, 10/27/07 800 629
Countrywide Alternative Loan Trust,
Ser 2005-IM1, Cl M3 (D) (J)
7.505%, 10/27/07 1,221 642
Countrywide Alternative Loan Trust,
Ser 2006-0A11, Cl M3 (D)
5.935%, 10/30/07 1,700 1,659
Countrywide Asset-Backed Certificates,
Ser 2003-5, Cl MV2 (D)
7.105%, 10/25/07 959 890
Countrywide Asset-Backed Certificates,
Ser 2005-15, Cl 1AF1 (D)
5.460%, 10/25/07 962 961
Countrywide Asset-Backed Certificates,
Ser 2006-IM1, Cl A1 (D)
5.410%, 10/27/07 204 204
Countrywide Home Loans, Ser 2004-22,
Cl A1 (D)
5.087%, 10/01/07 1,836 1,830
Countrywide Home Loans,
Ser 2006-HYB2, Cl 1A1 (D)
5.030%, 10/20/07 5,225 5,244
Countrywide Home Loans,
Ser 2007-HYB1, Cl 1A1 (D)
5.569%, 10/01/07 2,229 2,238
- --------------------------------------------------------------------------------
SEI Institutional International Trust / Annual Report / September 30, 2007 17
SCHEDULE OF INVESTMENTS
International Equity Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)(1) ($ Thousands)
- --------------------------------------------------------------------------------
Credit Suisse Asset-Backed Mortgage
Trust, Ser 2006-1, Cl A1B (D)
5.725%, 10/26/07 1,272 $ 1,271
DLSA Mortgage Loan Trust,
Ser 2006-AR1, Cl M4 (D)
6.278%, 10/19/07 760 624
DSLA Mortgage Loan Trust,
Ser 2004-AR4, Cl B1 (D)
6.138%, 10/19/07 1,127 1,107
DSLA Mortgage Loan Trust,
Ser 2006-AR1, Cl M5 (D)
6.348%, 10/19/07 490 390
DSLA Mortgage Loan Trust,
Ser 2006-AR1, Cl M7 (D)
7.288%, 10/19/07 490 368
Deutsche Alternatives Securities Mortgage
Loan Trust, Ser 2006-AB3, Cl A1 (D)
6.250%, 06/30/36 3,209 3,183
First Franklin Mortgage Loan Asset,
Ser 2004-FF10, Cl A2 (D)
5.905%, 10/26/07 143 142
First Horizon Alternative Mortgage Trust,
Ser 2005-AA3, Cl 3A1 (D)
5.351%, 10/01/07 987 993
First Horizon Alternative Mortgage Trust,
Ser 2006-AA6, Cl 2A1 (D)
5.655%, 10/01/07 11,756 11,839
First Horizon Mortgage Pass-Through
Trust, Ser 2006-AR3, Cl 1A1 (D)
5.684%, 10/01/07 2,939 2,951
GS Mortgage Securities, Ser 2007-GG10,
Cl A4 (D)
5.993%, 08/10/45 500 509
GSAA Home Equity NIM Trust,
Ser 2006-2, Cl 2A1 (D)
5.605%, 10/27/07 5,877 5,863
GSAA Home Equity NIM Trust,
Ser 2006-HE3N, Cl N1 (F) (J)
5.500%, 05/25/36 220 26
Greenpoint Mortgage Funding Trust,
Ser 2006-AR1, Cl M3 (D)
6.075%, 10/27/07 1,246 1,006
Home Equity Asset NIM Trust,
Ser 2003-4, Cl M2 (D)
7.720%, 10/25/07 1,265 1,230
Home Equity Asset NIM Trust,
Ser 2006-1N, Cl A (F) (J)
6.500%, 05/27/36 216 54
Indymac Mortgage Loan Trust,
Ser 2004-AR11, Cl 4A1 (D)
5.785%, 10/01/07 5,229 5,260
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)(1) ($ Thousands)
- --------------------------------------------------------------------------------
Indymac Mortgage Loan Trust,
Ser 2004-AR6, Cl 1A (D)
6.966%, 10/01/07 435 $ 438
JPMorgan Chase Commercial Mortgage,
Ser 2006-CB17, Cl A4
5.429%, 12/12/43 700 693
Lehman Mortgage Trust, Ser 2006-4,
Cl 4A1
6.000%, 08/25/21 9,493 9,562
Lehman XS Trust, Ser 2005-5N,
Cl M4 (D) (J)
7.070%, 10/31/07 1,850 1,300
Lehman XS Trust, Ser 2005-7N,
Cl M71 (D) (J)
7.255%, 10/27/07 1,075 782
MLCC Mortgage Investors, Ser 2006-1,
Cl 1A1 (D)
5.303%, 10/01/07 5,745 5,750
Master Adjustable Rate Mortgages,
Ser 2005-2, Cl 3A1 (D)
4.771%, 10/01/07 2,839 2,828
Master Asset Backed Securities Trust,
Ser 2003-WMC2, Cl M1 (D)
6.555%, 10/27/07 567 561
Master Asset Backed Securities Trust,
Ser 2006-AB1, Cl A1 (D)
5.645%, 10/27/07 5,604 5,576
Merrill Lynch Mortgage Investors Trust,
Ser 2003-HE1, Cl M2 (D)
7.155%, 10/25/07 325 297
Merrill Lynch Mortgage Investors Trust,
Ser 2005-A4, Cl 1A (D)
5.136%, 10/01/07 532 539
Morgan Stanley Capital I, Cl 2003-NC8,
Cl M1 (D)
6.205%, 10/27/07 2,000 1,927
New Century Home Equity Loan Trust,
Ser 2004-A, Cl AII3 (D)
4.450%, 10/01/07 630 627
Nomura Asset Acceptance, Ser 2004-R1,
Cl A1 (F)
6.500%, 03/25/34 1,468 1,512
Nomura Asset Acceptance, Ser 2004-R2,
Cl A1 (D) (F)
6.500%, 10/25/34 1,593 1,637
Option One Mortgage Loan Trust,
Ser 2003-5, Cl M1 (D)
5.970%, 10/23/07 894 855
Option One Mortgage Loan Trust,
Ser 2006-1, Cl M10 (D) (F) (J)
7.820%, 10/27/07 230 133
- --------------------------------------------------------------------------------
18 SEI Institutional International Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)(1) ($ Thousands)
- --------------------------------------------------------------------------------
Option One Mortgage Loan Trust,
Ser 2006-1, Cl M11 (D) (F) (J)
7.820%, 10/27/07 500 $ 214
Residential Accredit Loans, Ser 2005-Q05,
Cl M3 (D)
6.305%, 10/25/07 1,293 1,109
Residential Accredit Loans, Ser 2005-QA3,
Cl NB2 (D)
5.240%, 10/25/07 4,904 4,938
Residential Accredit Loans, Ser 2006-Q01,
Cl 2A3 (D)
5.720%, 10/27/07 573 562
Residential Asset Mortgage Products,
Ser 2003-RS11, Cl MII1 (D)
6.050%, 10/25/07 188 178
Residential Asset Securities,
Ser 2006-EMX2, Cl A1 (D)
5.585%, 10/27/07 1,991 1,985
Residential Asset Securities,
Ser 2006-KS2, Cl A1 (D)
5.575%, 10/27/07 1,914 1,912
Residential Asset Securitization Trust,
Ser 2004-IP2, Cl 3A1 (D)
5.250%, 10/25/07 4,846 4,837
Resmae Mortgage Loan Trust, Ser 2006-1,
Cl A2A (D) (F)
5.420%, 10/25/07 3,401 3,379
Resmae Mortgage Loan Trust, Ser 2006-1,
Cl A2B (D) (F)
5.655%, 10/25/07 5,355 5,265
SB Finance NIM Trust,
Ser 2006-KS4N, Cl N1 (F) (J)
7.500%, 06/25/36 226 159
Sharps SP I LLC NIM Trust,
Ser 2005-HE3N, Cl N (F) (J)
5.000%, 05/25/35 334 17
Structured Adjustable Rate Mortgage
Loan, Ser 2005-16 XS, Cl M2 (D)
6.405%, 10/25/07 775 743
Structured Asset Investment Loan Trust,
Ser 2003-BC4, Cl M2 (D)
8.320%, 10/25/07 802 747
Structured Asset Investment Loan Trust,
Ser 2005-1, Cl A4 (D) (F)
5.735%, 10/25/07 358 358
Terwin Mortgage Trust, Ser 2006-5,
Cl 1A2A (D) (F)
5.595%, 10/26/07 8,703 8,654
Terwin Mortgage Trust, Ser 2006-6,
Cl 2A1 (D) (J)
4.500%, 06/25/36 1,321 1,212
Washington Mutual Mortgage Pass-Through
Certificates, Ser 2007-HY2, Cl 1A1 (D)
5.776%, 04/25/37 939 952
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)(1) ($ Thousands)
- --------------------------------------------------------------------------------
Washington Mutual Mortgage Pass-Through
Certificates, Ser 2007-HY4, Cl 1A1 (D)
5.560%, 10/01/07 7,337 $ 7,311
Washington Mutual Mortgage Pass-Through
Certificates, Ser 2007-HY6, Cl HY6 (D)
5.707%, 06/25/37 2,825 2,814
Wells Fargo Mortgage Backed Securities
Trust, Ser 2004-I, Cl B1 (D)
5.839%, 10/01/07 409 410
--------------
Total Asset-Backed Securities
(Cost $189,424) ($ Thousands) 185,215
--------------
CORPORATE OBLIGATIONS -- 0.7%
Capmark Financial Group (F)
6.300%, 05/10/17 167 145
5.875%, 05/10/12 335 305
Cit Group
5.000%, 02/13/14 2,030 1,833
Discover Financial Services (F)
6.450%, 06/12/17 335 325
Dominion Resources
4.750%, 12/15/10 1,015 1,001
Exelon Generation
6.950%, 06/15/11 1,520 1,592
Genworth Financial
5.750%, 06/15/14 1,110 1,112
5.650%, 06/15/12 1,690 1,705
Goldman Sachs
5.500%, 11/15/14 145 143
HSBC Finance
6.375%, 10/15/11 1,520 1,570
Istar Financial +
5.875%, 03/15/16 1,015 908
Lehman Brothers Holdings MTN
5.750%, 05/17/13 510 506
5.500%, 04/04/16 1,010 953
Merrill Lynch
6.050%, 05/16/16 820 819
Morgan Stanley
4.750%, 04/01/14 1,520 1,428
Morgan Stanley MTN, Ser G (D)
5.660%, 10/04/07 1,380 1,338
Prudential Financial MTN
5.800%, 06/15/12 460 470
Residential Capital
6.875%, 06/30/15 265 214
6.500%, 04/17/13 3,505 2,830
6.000%, 02/22/11 700 571
Shinsei Finance Cayman (D) (F)
6.418%, 01/29/49 1,740 1,613
Simon Property Group +
5.750%, 12/01/15 1,015 992
5.600%, 09/01/11 795 796
- --------------------------------------------------------------------------------
SEI Institutional International Trust / Annual Report / September 30, 2007 19
SCHEDULE OF INVESTMENTS
International Equity Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)(1)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
Time Warner
6.875%, 05/01/12 1,520 $ 1,595
US Steel
5.650%, 06/01/13 355 348
Vodafone Group
5.350%, 02/27/12 255 254
Washington Mutual Preferred
Funding (D) (F)
6.534%, 03/29/49 1,900 1,739
Weatherford International (F)
5.950%, 06/15/12 570 581
--------------
Total Corporate Obligations
(Cost $28,929) ($ Thousands) 27,686
--------------
PREFERRED STOCK -- 0.4%
AUSTRALIA -- 0.0%
News 44,855 1,001
--------------
BRAZIL -- 0.2%
Petroleo Brasileiro 65,000 2,096
Usinas Siderurgicas de Minas Gerais,
Cl A 54,200 3,771
--------------
5,867
--------------
GERMANY -- 0.1%
Porsche 1,414 3,012
Volkswagen 2,444 336
--------------
3,348
--------------
ITALY -- 0.1%
Istituto Finanziario Industriale 107,200 4,118
--------------
SOUTH KOREA -- 0.0%
Samsung Electronics 2,900 1,350
--------------
Total Preferred Stock
(Cost $9,184) ($ Thousands) 15,684
--------------
EXCHANGE TRADED FUND -- 0.0%
UNITED STATES -- 0.0%
iShares MSCI EAFE Index Fund* 200 17
--------------
Total Exchange Traded Fund
(Cost $15) ($ Thousands) 17
--------------
EQUITY LINKED WARRANT -- 0.3%
TAIWAN -- 0.3%
HON HAI Precision Industry* 1,554 11,704
--------------
Total Equity Linked Warrant
(Cost $7,242) ($ Thousands) 11,704
--------------
- --------------------------------------------------------------------------------
Contracts/Shares/ Market Value
Description Face Amount ($ Thousands)(1) ($ Thousands)
- --------------------------------------------------------------------------------
Number of
Rights
---------
RIGHTS -- 0.1%
AUSTRALIA -- 0.0%
Newcrest Mining, Expires 10/17/07* 131 $ 431
--------------
BELGIUM -- 0.1%
Fortis, Expires 10/09/07* 532 2,818
--------------
Total Rights
(Cost $2,881) ($ Thousands) 3,249
--------------
PURCHASED OPTION -- 0.0%
UNITED STATES -- 0.0%
July 2008 U.S. Ten Year Treasury Call,
Expires 06/16/08, Strike Price $95* 93 164
--------------
Total Purchased Option
(Cost $39) ($ Thousands) 164
--------------
CASH EQUIVALENTS**++ -- 16.4%
SEI Daily Income Trust,
Prime Obligation Fund, Cl A,
5.350% 22,716,873 22,717
SEI Liquidity Fund, LP, 5.367% (C) 641,046,389 641,046
--------------
Total Cash Equivalents
(Cost $663,763) ($ Thousands) 663,763
--------------
TIME DEPOSITS -- 3.3%
UNITED STATES -- 3.3%
Brown Brothers Harriman
8.350%, 10/01/07 ZAR 157 23
6.450%, 10/01/07 NZD 62 47
5.650%, 10/01/07 AUD 787 696
4.950%, 10/01/07 GBP 390 794
4.550%, 10/01/07 HKD 4,173 537
4.520%, 10/01/07 123,213 123,213
4.100%, 10/01/07 NOK 20 3
3.250%, 10/01/07 EUR 661 940
3.150%, 10/01/07 DKK 7,280 1,389
2.850%, 10/01/07 SEK 135 21
1.460%, 10/01/07 CHF 5,342 4,573
1.250%, 10/01/07 SGD 383 258
1.000%, 10/01/07 JPY 25,666 223
--------------
Total Time Deposits
(Cost $132,717) ($ Thousands) 132,717
--------------
- --------------------------------------------------------------------------------
20 SEI Institutional International Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares/Contracts ($ Thousands)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER (E) -- 1.2%
General Electric Capital
9.496%, 10/11/07 15,000 $ 14,978
Prudential Funding
4.684%, 10/02/07 20,000 19,995
Toyota Motor Credit
5.168%, 10/11/07 13,000 12,980
--------------
Total Commercial Paper
(Cost $47,953) ($ Thousands) 47,953
--------------
U.S. TREASURY OBLIGATIONS (E) -- 0.5%
U.S. Treasury Bills (A)
4.380%, 11/23/07 4,839 4,813
3.756%, 12/20/07 675 670
U.S. Treasury Inflationary Index Notes
2.375%, 04/15/11 16,142 16,246
--------------
Total U.S. Treasury Obligations
(Cost $21,592) ($ Thousands) 21,729
--------------
Total Investments -- 118.9%
(Cost $4,074,761) ($ Thousands) $ 4,815,157
==============
WRITTEN OPTION -- 0.0%
UNITED STATES -- 0.0%
June 2008 U.S. Ten Year Treasury Call,
Expires 06/16/08, Strike Price: $95.50 (93) (92)
--------------
Total Written Option
(Premium Received $(15)) ($ Thousands) $ (92)
--------------
A summary of the outstanding forward foreign currency contracts held by the Fund
at September 30, 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)
- --------------------------------------------------------------------------------
10/19/07 AUD 13,952 GBP 5,825 $ (472)
10/19/07 AUD 14,984 USD 12,684 (564)
10/19/07 CAD 82,787 USD 81,333 (2,009)
10/19/07 CHF 8,367 EUR 5,105 90
10/19/07 EUR 11,765 CHF 19,376 (127)
10/19/07 EUR 35,584 USD 49,707 (918)
10/19/07 GBP 1,178 AUD 2,875 144
10/19/07 GBP 11,464 USD 23,180 (166)
10/19/07 MXP 285,400 USD 25,901 (171)
10/19/07 NZD 5,376 USD 3,927 (128)
10/19/07 SGD 28,226 USD 18,767 (274)
10/19/07 USD 2,459 CAD 2,600 158
10/19/07 ZAR 53,822 USD 7,556 (233)
10/19/07-10/29/07 USD 50,685 AUD 59,160 1,605
10/19/07-10/29/07 USD 264,457 GBP 131,833 3,992
10/19/07-10/29/07 USD 6,842 NOK 38,623 282
10/19/07-10/29/07 USD 23,544 SEK 154,533 367
10/19/07-1/22/08 AUD 19,201 JPY 1,852,000 (706)
10/19/07-1/22/08 GBP 43,995 JPY 10,187,000 (76)
10/19/07-1/23/08 USD 154,747 JPY 18,013,387 2,517
10/19/07-2/21/08 GBP 50,329 CHF 120,100 917
10/19/07-2/21/08 JPY 10,103,000 USD 85,382 (3,016)
10/19/07-3/25/08 CHF 129,100 GBP 53,824 (1,628)
10/19/07-3/25/08 CHF 49,900 NZD 57,628 70
10/19/07-3/25/08 CHF 102,000 USD 84,787 (3,031)
10/19/07-3/25/08 NZD 42,379 CHF 36,300 (476)
10/19/07-3/25/08 USD 160,550 CHF 190,298 2,992
10/19/07-3/26/08 JPY 4,582,000 AUD 47,375 1,509
10/19/07-3/26/08 JPY 13,773,000 GBP 59,313 (397)
10/22/07 HKD 133,764 USD 17,187 (30)
10/29/07 USD 2,979 DKK 15,707 20
10/29/07 USD 141,298 EUR 100,066 1,096
10/29/07 USD 6,541 HKD 50,817 (1)
10/29/07 USD 582 NZD 791 14
10/29/07 USD 4,407 SGD 6,604 52
-------
$ 1,402
=======
- --------------------------------------------------------------------------------
SEI Institutional International Trust / Annual Report / September 30, 2007 21
SCHEDULE OF INVESTMENTS
International Equity Fund (Continued)
September 30, 2007
A summary of the open futures contracts held by the Fund at September 30, 2007,
is as follows (see Note 2 in Notes to Financial Statements):
- -------------------------------------------------------------------------------------------
UNREALIZED
NUMBER OF APPRECIATION
TYPE OF CONTRACTS EXPIRATION (DEPRECIATION)
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- -------------------------------------------------------------------------------------------
90-Day Euro$ (178) Mar-2008 $ (179)
90-Day Euro$ (91) Mar-2009 (120)
90-Day Euro$ (134) Mar-2010 (126)
90-Day Euro$ (90) Mar-2011 (65)
90-Day Euro$ 7 Mar-2012 1
90-Day Euro$ 50 Jun-2008 75
90-Day Euro$ 171 Jun-2009 128
90-Day Euro$ (461) Jun-2010 (234)
90-Day Euro$ 34 Jun-2011 (4)
90-Day Euro$ (6) Jun-2012 1
90-Day Euro$ (115) Sep-2008 (160)
90-Day Euro$ 169 Sep-2009 282
90-Day Euro$ (154) Sep-2010 (127)
90-Day Euro$ 41 Sep-2011 (14)
90-Day Euro$ 15 Sep-2012 1
90-Day Euro$ (106) Dec-2007 35
90-Day Euro$ (632) Dec-2008 (911)
90-Day Euro$ (135) Dec-2009 (144)
90-Day Euro$ (137) Dec-2010 (113)
90-Day Euro$ 7 Dec-2011 1
Amsterdam Index 109 Oct-2007 319
CAC40 10 Euro 535 Oct-2007 232
DAX Index 170 Dec-2007 1,722
DJ Euro Stoxx 50 Index 472 Dec-2007 200
FTSE 100 Index 859 Dec-2007 3,746
Hang Seng Index 67 Oct-2007 288
IBEX 35 Plus Index 87 Oct-2007 1,119
MSCI Singapore Index 80 Oct-2007 116
Nikkei 225 Index 38 Dec-2007 97
OMX Index 798 Oct-2007 409
S&P/MIB Index 56 Dec-2007 453
SPI 200 Index 234 Dec-2007 1,405
Topix Index 358 Dec-2007 3,206
U.S. 10-Year Treasury Note (43) Dec-2007 10
U.S. 2-Year Treasury Note 46 Dec-2007 60
U.S. 5-Year Treasury Note (43) Dec-2007 (24)
U.S. Long Treasury Bond (29) Dec-2007 23
---------
$ 11,708
=========
A summary of outstanding swap agreements held by the Fund at September 30, 2007,
is as follows (see Note 2 in Notes to Financial Statements):
- -------------------------------------------------------------------------------------------
TOTAL RETURN SWAPS
- -------------------------------------------------------------------------------------------
NET
UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- -------------------------------------------------------------------------------------------
Deliver payment on the monthly reset spread
from Banc of America - CMBS AAA10Yr
Index plus 35 basis points times the
notional amount. Fund delivers payment
if the return on the spread appreciates
over the payment period and receives if
the return on the spread depreciates over
the payment period.
(Counterparty: Bank of America) 10/31/07 36,000 $ (125)
Deliver payment on the quarterly reset spread
from MSCI EAFE Index minus 20 basis
points times the notional amount. 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: Bear Stearns) 03/23/08 56,563 1,585
Deliver payment on the quarterly reset spread
from MSCI Japan Net Index plus 20 basis
points times the notional amount. 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 International) 04/07/08 49,035 (1,141)
Deliver payment on the quarterly reset spread
from Swiss Market Index plus 23 basis
points times the notional amount. 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: JPMorgan Chase) 01/24/08 CHF 35,728 (1,221)
Receive payment on the monthly reset spread
from Banc of America - CMBS AAA10Yr
Index minus 10 basis points times the
notional amount. Fund receives payment
if the return on the spread appreciates
over the payment period and pays if the
return on the spread depreciates over
the payment period.
(Counterparty: Bank of America) 03/31/08 73,000 252
Receive payment on the monthly reset spread
from Banc of America - CMBS AAA10Yr
Index minus 75 basis points times the
notional amount. 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) 01/31/08 12,000 41
Receive payment on the monthly reset spread
from Banc of America - CMBS AAA10Yr
Index minus 95 basis points times the
notional amount. Fund receives payment
if the return on the spread appreciates
over the payment period and pays if the
return on the spread depreciates over
the payment period.
(Counterparty: Bank of America) 01/31/08 4,000 14
Receive payment on the monthly reset spread
from Banc of America - CMBS AAA10Yr
Index minus 72.5 basis points times the
notional amount. Fund receives payment
if the return on the spread appreciates
over the payment period and pays if the
return on the spread depreciates over the
payment period.
(Counterparty: Bank of America) 02/29/08 30,000 --
Receive payment on the monthly reset spread
from Banc of America - CMBS AAA10Yr
Index minus 50 basis points times the
notional amount. 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 International) 03/31/08 22,000 --
Receive payment on the monthly reset spread
from Banc of America - CMBS AAA10Yr
Index minus 80 basis points times the
notional amount. 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: JPMorgan Chase) 03/31/08 66,000 --
- --------------------------------------------------------------------------------
22 SEI Institutional International Trust / Annual Report / September 30, 2007
- -------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- -------------------------------------------------------------------------------------------
Receive payment on the monthly reset spread
from Banc of America - CMBS AAA10Yr
Index plus 5 basis points times the
notional amount. Fund receives payment
if the return on the spread appreciates
over the payment period and pays if the
return on the spread depreciates over
the payment period.
(Counterparty: Bank of America) 01/31/08 40,000 $ 138
Receive payment on the monthly reset spread
from Banc of America - CMBS AAA10Yr
Index plus 8 basis points times the
notional amount. Fund receives payment
if the return on the spread appreciates
over the payment period and pays if the
return on the spread depreciates over
the payment period.
(Counterparty: Bank of America) 10/02/07 60,000 207
Receive payment on the monthly reset spread
from Banc of America - CMBS AAA10Yr
Index plus 10 basis points times the
notional amount. Fund receives payment
if the return on the spread appreciates
over the payment period and pays if the
return on the spread depreciates over
the payment period.
(Counterparty: Wachovia) 12/31/07 5,000 17
Receive payment on the monthly reset spread
from Banc of America - CMBS AAA10Yr
Index plus 20 basis points times the
notional amount. Fund receives payment
if the return on the spread appreciates
over the payment period and pays if the
return on the spread depreciates over
the payment period.
(Counterparty: Bank of America) 10/02/07 28,000 96
Receive payment on the monthly reset spread
from Banc of America - CMBS AAA10Yr
Index minus 50 basis points times the
notional amount. Fund receives payment
if the return on the spread appreciates
over the payment period and pays if the
return on the spread depreciates over
the payment period.
(Counterparty: Bank of America) 03/02/08 16,000 55
Receive payment on the monthly reset spread
from Banc of America - CMBS AAA10Yr
Index plus 30 basis points times the
notional amount. 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: Merrill Lynch) 01/31/08 45,000 156
Receive payment on the monthly reset spread
from Banc of America - CMBS IG 10Yr
Index plus 20 basis points times the
notional amount. Fund receives payment
if the return on the spread appreciates
over the payment period and pays if the
return on the spread depreciates over
the payment period.
(Counterparty: Bank of America) 10/31/07 15,000 46
Receive payment on the monthly reset spread
from Lehman Brothers - CMBS AAA 8.5
Index plus 15 basis points times the
notional amount. 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: JPMorgan Chase) 01/01/08 8,000 49
Deliver payment on the monthly reset spread
from Lehman Brothers - CMBS AAA 8.5
Index plus 35 basis points times the
notional amount. Fund delivers payment
if the return on the spread appreciates
over the payment period and receives if
the return on the spread depreciates over
the payment period.
(Counterparty: Wachovia) 11/01/07 36,000 (221)
--------
$ (52)
========
- -------------------------------------------------------------------------------------------
CREDIT DEFAULT SWAPS
- -------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- -------------------------------------------------------------------------------------------
Fund receives monthly payment of 0.0367%
(0.440% per annum) times the notional
amount of the ABX.HE.A 06-2 Index. Upon
a defined credit event, Fund pays the
notional amount and takes receipt of the
defined deliverable obligation.
(Counterparty: Bank of America) 05/25/46 11,150 $ (3,234)
Fund receives monthly payment of 0.0142%
(0.170% per annum) times the notional
amount of the ABX.HE.A 06-2 Index. Upon
a defined credit event, Fund pays the
notional amount and takes receipt of the
defined deliverable obligation.
(Counterparty: Bank of America) 05/25/46 500 (8)
Fund receives monthly payment of 0.0142%
(0.170% per annum) times the notional
amount of the ABX.HE.A 06-2 Index. Upon
a defined credit event, Fund pays the
notional amount and takes receipt of the
defined deliverable obligation.
(Counterparty: Bank of America) 05/25/46 3,500 249
Fund receives monthly payment of 0.0533%
(0.640% per annum) times the notional
amount of the ABX.HE.A 07-1 Index. Upon
a defined credit event, Fund pays the
notional amount and takes receipt of the
defined deliverable obligation.
(Counterparty: Bank of America) 08/25/37 2,000 (803)
Fund receives monthly payment of 0.0125%
(0.150% per annum) times the notional
amount of the ABX.HE.A 07-1 Index. Upon
a defined credit event, Fund pays the
notional amount and takes receipt of the
defined deliverable obligation.
(Counterparty: Bank of America) 08/25/37 4,800 79
Fund pays quarterly payment of 0.0800%
(0.320% per annum) times the notional
amount of Alcan, Inc., 4.875%, 09/15/12.
Upon a defined credit event, Fund will
receive the notional amount and deliver
the defined obligation.
(Counterparty: Bank of America) 03/20/14 2,150 (5)
Fund pays quarterly payment of 0.0875%
(0.350% per annum) times the notional
amount of Alcan, Inc., 4.875%, 09/15/12.
Upon a defined credit event, Fund will
receive the notional amount and deliver
the defined obligation.
(Counterparty: Bank of America) 12/20/13 2,500 (20)
Fund pays quarterly payment of 0.1100%
(0.440% per annum) times the notional
amount of Autozone, Inc., 5.875%,
10/15/12. Upon a defined credit event,
Fund will receive the notional amount
and deliver the defined obligation.
(Counterparty: Bank of America) 12/20/11 2,500 (18)
Fund pays quarterly payment of 0.1375%
(0.550% per annum) times the notional
amount of Black & Decker Corp., 7.125%,
06/01/11. Upon a defined credit event,
Fund will receive the notional amount
and deliver the defined obligation.
(Counterparty: Bank of America) 12/20/11 2,500 (35)
Fund pays quarterly payment of 0.0500%
(0.200% per annum) times the notional
amount of Campbell Soup Co., 4.875%,
10/01/13. Upon a defined credit event,
Fund will receive the notional amount
and deliver the defined obligation.
(Counterparty: Bank of America) 06/20/14 3,500 6
Fund pays quarterly payment of 0.1000%
(0.400% per annum) times the notional
amount of CDX.NA.IG. Index. Upon a
defined credit event, Fund will receive
the notional amount and deliver the
defined obligation.
(Counterparty: Bank of America) 12/20/11 2,500 (10)
Fund pays quarterly payment of 0.1000%
(0.400% per annum) times the notional
amount of CDX.NA.IG. Index. Upon a
defined credit event, Fund will receive
the notional amount and deliver the
defined obligation.
(Counterparty: Bank of America) 12/20/11 45,900 (179)
Fund pays quarterly payment of 0.1000%
(0.400% per annum) times the notional
amount of CDX.NA.IG. Index. Upon a
defined credit event, Fund will receive
the notional amount and deliver the
defined obligation.
(Counterparty: Bank of America) 12/20/11 3,025 (28)
- --------------------------------------------------------------------------------
SEI Institutional International Trust / Annual Report / September 30, 2007 23
SCHEDULE OF INVESTMENTS
International Equity Fund (Concluded)
September 30, 2007
- -------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- -------------------------------------------------------------------------------------------
Fund pays quarterly payment of 0.1000%
(0.400% per annum) times the notional
amount of CDX.NA.IG. Index. Upon a
defined credit event, Fund will receive
the notional amount and deliver the
defined obligation.
(Counterparty: Bank of America) 12/20/11 2,000 $ (17)
Fund pays quarterly payment of 0.1113%
(0.445% per annum) times the notional
amount of Darden Restaurants, Inc.,
7.125%, 02/01/16. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined obligation.
(Counterparty: Bank of America) 12/20/11 2,500 (10)
Fund pays quarterly payment of 0.1063%
(0.425% per annum) times the notional
amount of Eastman Chemical Co.,
7.600%, 02/01/27. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined obligation.
(Counterparty: Bank of America) 12/20/11 2,500 (19)
Fund pays quarterly payment of 0.2950%
(1.180% per annum) times the notional
amount of Gap, Inc., 8.800%, 12/15/08.
Upon a defined credit event, Fund
will receive the notional amount and
deliver the defined obligation.
(Counterparty: Bank of America) 12/20/11 2,500 59
Fund pays quarterly payment of 0.0925%
(0.370% per annum) times the notional
amount of Johnson Controls, Inc., 7.125%,
07/15/17. Upon a defined credit event,
Fund will receive the notional amount
and deliver the defined obligation.
(Counterparty: Bank of America) 12/20/13 2,500 (14)
Fund pays quarterly payment of 0.0975%
(0.390% per annum) times the notional
amount of Johnson Controls, Inc., 7.125%,
07/15/17. Upon a defined credit event,
Fund will receive the notional amount
and deliver the defined obligation.
(Counterparty: Bank of America) 12/20/13 2,500 (26)
Fund pays quarterly payment of 0.1188%
(0.475% per annum) times the notional
amount of The Limited, Inc., 6.125%,
12/01/12. Upon a defined credit event,
Fund will receive the notional amount
and deliver the defined obligation.
(Counterparty: Bank of America) 12/20/11 2,500 13
Fund pays quarterly payment of 0.1825%
(0.730% per annum) times the notional
amount of Masco Corp., 5.875%,
07/15/12. Upon a defined credit event,
Fund will receive the notional amount
and deliver the defined obligation.
(Counterparty: Bank of America) 12/20/13 2,500 (26)
Fund pays quarterly payment of 0.1188%
(0.475% per annum) times the notional
amount of MeadWestvaco, 6.850%,
04/01/12. Upon a defined credit event,
Fund will receive the notional amount
and deliver the defined obligation.
(Counterparty: Bank of America) 12/20/11 2,500 (3)
Fund pays quarterly payment of 0.0875%
(0.350% per annum) times the notional
amount of MGIC Investment Corp.,
6.000%, 11/01/15. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined obligation.
(Counterparty: Bank of America) 12/20/13 2,500 143
Fund pays quarterly payment of 0.0550%
(0.220% per annum) times the notional
amount of Nucor Corp., 4.875%, 10/01/12.
Upon a defined credit event, Fund will
receive the notional amount and deliver
the defined obligation.
(Counterparty: Bank of America) 12/20/11 2,500 (2)
Fund pays quarterly payment of 0.0350%
(0.140% per annum) times the notional
amount of Pitney Bowes, Inc., 4.625%,
10/01/12. Upon a defined credit event,
Fund will receive the notional amount
and deliver the defined obligation.
(Counterparty: Bank of America) 12/20/11 5,200 (3)
- -------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- -------------------------------------------------------------------------------------------
Fund pays quarterly payment of 0.0875%
(0.350% per annum) times the notional
amount of PMI Group, Inc., 6.000%,
09/15/16. Upon a defined credit event,
Fund will receive the notional amount
and deliver the defined obligation.
(Counterparty: Bank of America) 12/20/13 2,500 $ 111
Fund pays quarterly payment of 0.0975%
(0.390% per annum) times the notional
amount of Radian Group, Inc., 7.750%,
06/01/11. Upon a defined credit event,
Fund will receive the notional amount
and deliver the defined obligation.
(Counterparty: Bank of America) 12/20/13 2,500 356
Fund pays quarterly payment of 0.0475%
(0.190% per annum) times the notional
amount of TJX Cos, Inc., 7.450%,
12/15/09. Upon a defined credit event,
Fund will receive the notional amount
and deliver the defined obligation.
(Counterparty: Bank of America) 12/20/11 2,500 (3)
Fund pays quarterly payment of 0.1125%
(0.450% per annum) times the notional
amount of Weyerhaeuser, Co., 6.750%,
03/15/12. Upon a defined credit event,
Fund will receive the notional amount
and deliver the defined obligation.
(Counterparty: Bank of America) 12/20/11 2,500 7
Fund receives monthly payment of 0.0142%
(0.170% per annum) times the notional
amount of the ABX.HE.A 06-2 Index.
Upon a defined credit event, Fund pays
the notional amount and takes receipt
of the defined deliverable obligation.
(Counterparty: Barclays) 05/25/46 3,750 (62)
Fund receives monthly payment of 0.0533%
(0.640% per annum) times the notional
amount of the ABX.HE.A 07-1 Index.
Upon a defined credit event, Fund pays
the notional amount and takes receipt
of the defined deliverable obligation.
(Counterparty: Barclays) 07/25/45 8,350 (2,599)
Fund receives monthly payment of 0.0450%
(0.540% per annum) times the notional
amount of the ABX.HE.A 06-1 Index.
Upon a defined credit event, Fund pays
the notional amount and takes receipt
of the defined deliverable obligation.
(Counterparty: Bear Stearns) 07/25/45 2,500 (300)
Fund receives monthly payment of 0.0450%
(0.540% per annum) times the notional
amount of the ABX.HE.A 06-1 Index.
Upon a defined credit event, Fund pays
the notional amount and takes receipt
of the defined deliverable obligation.
(Counterparty: Bear Stearns) 07/25/45 350 (13)
Fund receives monthly payment of 0.0533%
(0.640% per annum) times the notional
amount of the ABX.HE.A 07-1 Index.
Upon a defined credit event, Fund pays
the notional amount and takes receipt
of the defined deliverable obligation.
(Counterparty: JPMorgan Chase) 08/25/37 3,000 (1,295)
Fund receives monthly payment of 0.0125%
(0.150% per annum) times the notional
amount of the ABX.HE.A 07-1 Index.
Upon a defined credit event, Fund pays
the notional amount and takes receipt
of the defined deliverable obligation.
(Counterparty: JPMorgan Chase) 08/25/37 18,200 (254)
Fund receives monthly payment of 0.0125%
(0.150% per annum) times the notional
amount of the ABX.HE.A 07-1 Index.
Upon a defined credit event, Fund pays
the notional amount and takes receipt
of the defineddeliverable obligation.
(Counterparty: JPMorgan Chase) 08/25/37 35,600 (942)
Fund pays quarterly payment of 0.0850%
(0.340% per annum) times the notional
amount of Agrium, Inc., 8.250%,
02/15/11. Upon a defined credit event,
Fund will receive the notional amount and
deliver the defined obligation.
(Counterparty: JPMorgan Chase) 12/20/11 2,500 (10)
- --------------------------------------------------------------------------------
24 SEI Institutional International Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------------------
Fund pays quarterly payment of 0.1150%
(0.460% per annum) times the notional
amount of Autozone, Inc., 5.875%,
10/15/12. Upon a defined credit event,
Fund will receive the notional amount
and deliver the defined obligation.
(Counterparty: JPMorgan Chase) 12/20/11 2,500 $ (21)
Fund pays quarterly payment of 0.1375%
(0.550% per annum) times the notional
amount of Black & Decker Corp., 7.125%,
06/01/11. Upon a defined credit event,
Fund will receive the notional amount
and deliver the defined obligation.
(Counterparty: JPMorgan Chase) 12/20/11 2,500 (35)
Fund pays quarterly payment of 0.0538%
(0.215% per annum) times the notional
amount of Carnival Corp., 6.650%,
01/15/28. Upon a defined credit event,
Fund will receive the notional amount
and deliver the defined obligation.
(Counterparty: JPMorgan Chase) 06/20/12 2,000 12
Fund pays quarterly payment of 0.0650%
(0.260% per annum) times the notional
amount of Dow Chemical Co., 6.000%,
10/01/12. Upon a defined credit event,
Fund will receive the notional amount
and deliver the defined obligation.
(Counterparty: JPMorgan Chase) 12/20/13 2,500 (6)
Fund pays quarterly payment of 0.2950%
(1.180% per annum) times the notional
amount of Gap, Inc., 8.800%, 12/15/08.
Upon a defined credit event, Fund will
receive the notional amount and deliver
the defined obligation.
(Counterparty: JPMorgan Chase) 12/20/11 2,500 54
Fund pays quarterly payment of 0.0975%
(0.390% per annum) times the notional
amount of Hasbro, Inc., 2.750%, 12/01/21.
Upon a defined credit event, Fund will
receive the notional amount and deliver
the defined obligation.
(Counterparty: JPMorgan Chase) 12/20/11 2,500 18
Fund pays quarterly payment of 0.1925%
(0.770% per annum) times the notional
amount of Jones Apparel Group, Inc.,
5.125%, 11/15/14. Upon a defined credit
event, Fund will receive the notional
amount and deliver the defined obligation.
(Counterparty: JPMorgan Chase) 12/20/11 2,500 12
Fund pays quarterly payment of 0.1125%
(0.450% per annum) times the notional
amount of Lubrizol Corp., 7.250%,
06/15/35. Upon a defined credit event,
Fund will receive the notional amount
and deliver the defined obligation.
(Counterparty: JPMorgan Chase) 12/20/11 2,500 (17)
Fund pays quarterly payment of 0.0875%
(0.350% per annum) times the notional
amount of MGIC Investment Corp.,
6.000%, 03/15/07. Upon a defined
credit event, Fund will receive the notional
amount and deliver the defined obligation.
(Counterparty: JPMorgan Chase) 12/20/13 2,500 138
Fund pays quarterly payment of 0.0700%
(0.280% per annum) times the notional
amount of Nordstrom, Inc., 6.950%,
03/15/28. Upon a defined credit event,
Fund will receive the notional amount
and deliver the defined obligation.
(Counterparty: JPMorgan Chase) 12/20/13 2,500 (16)
Fund pays quarterly payment of 0.0550%
(0.220% per annum) times the notional
amount of Nucor Corp., 4.875%, 10/01/12.
Upon a defined credit event, Fund will
receive the notional amount and deliver
the defined obligation.
(Counterparty: JPMorgan Chase) 12/20/11 2,500 (11)
Fund pays quarterly payment of 0.0875%
(0.350% per annum) times the notional
amount of PMI Group, Inc., 6.000%,
09/15/16. Upon a defined credit event,
Fund will receive the notional amount and
deliver the defined obligation.
(Counterparty: JPMorgan Chase) 12/20/13 2,500 111
- --------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------------------
Fund pays quarterly payment of 0.0500%
(0.200% per annum) times the notional
amount of PPG Industries, Inc., 7.050%,
08/15/09. Upon a defined credit event,
Fund will receive the notional amount
and deliver the defined obligation.
(Counterparty: JPMorgan Chase) 12/20/11 2,500 $ (3)
Fund pays quarterly payment of 0.0975%
(0.390% per annum) times the notional
amount of Radian Group, Inc., 7.750%,
06/01/11. Upon a defined credit event,
Fund will receive the notional amount
and deliver the defined obligation.
(Counterparty: JPMorgan Chase) 12/20/13 2,500 307
Fund pays quarterly payment of 0.0675%
(0.270% per annum) times the notional
amount of Southwest Airlines Co.,
6.500%,03/01/12. Upon a defined credit
event, Fund will receive the notional
amount and deliver the defined obligation.
(Counterparty: JPMorgan Chase) 12/20/11 2,500 26
Fund pays quarterly payment of 0.0800%
(0.320% per annum) times the notional
amount of Washington Mutual Co.,
5.250%, 09/15/17. Upon a defined credit
event, Fund will receive the notional
amount and deliver the defined obligation.
(Counterparty: JPMorgan Chase) 03/20/12 2,300 58
Fund pays quarterly payment of 0.0845%
(0.338% per annum) times the notional
amount of Whirlpool Corp., 7.750%,
07/15/16. Upon a defined credit event,
Fund will receive the notional amount
and deliver the defined obligation.
(Counterparty: JPMorgan Chase) 12/20/11 2,500 13
Fund receives monthly payment of 0.0142%
(0.170% per annum) times the notional
amount of the ABX.HE.A 06-2 Index.
Upon adefined credit event, Fund pays
the notional amount and takes receipt
of the defined deliverable obligation.
(Counterparty: Merrill Lynch) 05/25/46 2,750 250
Fund receives monthly payment of 0.0142%
(0.170% per annum) times the notional
amount of the ABX.HE.A 06-2 Index.
Upon a defined credit event, Fund pays
the notional amount and takes receipt
of the defined deliverable obligation.
(Counterparty: Merrill Lynch) 05/25/46 2,750 244
Fund receives monthly payment of 0.0533%
(0.640% per annum) times the notional
amount of the ABX.HE.A 07-1 Index.
Upon a defined credit event, Fund pays
the notional amount and takes receipt
of the defined deliverable obligation.
(Counterparty: Merrill Lynch) 08/25/37 1,500 (660)
Fund receives monthly payment of 0.0533%
(0.640% per annum) times the notional
amount of the ABX.HE.A 07-1 Index.
Upon a defined credit event, Fund pays
the notional amount and takes receipt
of the defineddeliverable obligation.
(Counterparty: Merrill Lynch) 08/25/37 8,250 (2,563)
Fund receives monthly payment of 0.0533%
(0.640% per annum) times the notional
amount of the ABX.HE.A 07-1 Index.
Upon a defined credit event, Fund pays
the notional amount and takes receipt
of the defined deliverable obligation.
(Counterparty: Merrill Lynch) 08/25/37 7,250 (2,939)
Fund pays quarterly payment of 0.1000%
(0.400% per annum) times the notional
amount of CDX.NA.IG. Index. Upon a
defined credit event, Fund will receive
the notional amount and deliver the
defined obligation.
(Counterparty: Merrill Lynch) 12/20/11 2,150 42
Fund pays quarterly payment of 0.1000%
(0.400% per annum) times the notional
amount of CDX.NA.IG., Index. Upon a
defined credit event, Fund will receive
the notional amount and deliver the
defined obligation.
(Counterparty: Merrill Lynch) 12/20/11 12,700 (47)
- --------------------------------------------------------------------------------
SEI Institutional International Trust / Annual Report / September 30, 2007 25
SCHEDULE OF INVESTMENTS
- -------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- -------------------------------------------------------------------------------------------
Fund pays quarterly payment of 0.1000%
(0.400% per annum) times the notional
amount of CDX.NA.IG. Index. Upon a
defined credit event, Fund will receive
the notional amount and deliver the
defined obligation.
(Counterparty: Merrill Lynch) 12/20/11 45,900 $ (215)
Fund receives quarterly payment of 0.1100%
(0.440% per annum) times the notional
amount of Dow Chemical Co., 6.000%,
10/01/12. Upon a defined credit event,
Fund will deliver the notional amount and
take receipt of the defined obligation.
(Counterparty: Merrill Lynch) 12/20/11 5,000 44
Fund pays quarterly payment of 0.0625%
(0.250% per annum) times the notional
amount of Dow Chemical Co., 6.000%,
10/01/12. Upon a defined credit event,
Fund will receive the notional amount and
deliver the defined obligation.
(Counterparty: Merrill Lynch) 12/20/13 2,500 10
Fund pays quarterly payment of 0.0325%
(0.130% per annum) times the notional
amount of Lowe's Cos., 8.250%, 06/01/10.
Upon a defined credit event, Fund will
receive the notional amount and deliver
the defined obligation.
(Counterparty: Merrill Lynch) 12/20/11 2,500 1
Fund pays quarterly payment of 0.1125%
(0.450% per annum) times the notional
amount of Lubrizol Corp., 7.250%,
06/15/25. Upon a defined credit event,
Fund will receivethe notional amount and
deliver the defined obligation.
(Counterparty: Merrill Lynch) 12/20/11 2,500 (16)
Fund pays quarterly payment of 0.2250%
(0.900% per annum) times the notional
amount of MDC Holdings, Inc., 5.500%,
05/15/13. Upon a defined credit event,
Fund will receive the notional amount and
deliver the defined obligation.
(Counterparty: Merrill Lynch) 12/20/11 2,500 (1)
Fund pays quarterly payment of 0.0700%
(0.280% per annum) times the notional
amount of Nordstrom, Inc., 6.950%,
03/15/28. Upon a defined credit event,
Fund will receivethe notional amount and
deliver the defined obligation.
(Counterparty: Merrill Lynch) 12/20/13 2,500 (15)
Fund pays quarterly payment of 0.1725%
(0.690% per annum) times the notional
amount of RR Donnelly & Sons Co.,
4.950%, 04/01/14. Upon a defined credit
event, Fund will receive the notional
amount and deliver the defined obligation.
(Counterparty: Merrill Lynch) 12/20/11 2,500 (42)
Fund pays quarterly payment of 0.0675%
(0.270% per annum) times the notional
amount of Southwest Airlines Co., 6.500%,
03/01/12. Upon a defined credit event,
Fund will receive the notional amount and
deliver the defined obligation.
(Counterparty: Merrill Lynch) 12/20/11 2,500 26
Fund pays quarterly payment of 0.1125%
(0.450% per annum) times the notional
amount of Weyerhaeuser, Co., 6.750%,
03/15/12. Upon a defined credit event,
Fund will receive the notional amount and
deliver the defined obligation.
(Counterparty: Merrill Lynch) 03/20/12 2,500 11
Fund receives monthly payment of 0.0142%
(0.170% per annum) times the notional
amount of the ABX.HE.A 06-2 Index. Upon
a defined credit event, Fund pays the
notional amount and takes receipt of the
defined deliverable obligation.
(Counterparty: Wachovia) 05/25/46 1,800 189
Fund receives monthly payment of 0.0142%
(0.170% per annum) times the notional
amount of the ABX.HE.A 06-2 Index. Upon
a defined credit event, Fund pays the
notional amount and takes receipt of the
defined deliverable obligation.
(Counterparty: Wachovia) 05/25/46 2,460 307
----------
$ (13,649)
==========
Percentages are based on Net Assets of $4,049,391 ($ Thousands).
* Non-Income Producing Security
** Rate shown is the 7-day effective yield as of September 30, 2007.
+ Real Estate Investments Trust
++ Affiliated security
(1) In U.S. dollars unless otherwise indicated.
(A) Security, or portion thereof, has been pledged as collateral on open
future contracts and written options.
(B) This security or a partial position of this security is on loan at
September 30, 2007. The total market value of securities on loan at
September 30, 2007 was $614,002 ($ Thousands) (See Note 7).
(C) This security was purchased with cash collateral held from securities on
loan. The total market value of such securities as of September 30, 2007
was $641,046 ($ Thousands) (See Note 7).
(D) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of September 30, 2007.
(E) The rate reported is the effective yield at time of purchase.
(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) Zero coupon security. The rate reported on the Schedule of Investments is
the effective yield at time of purchase.
(H) Security, or portion of this security, has been pledged as collateral on
open swap contracts. The rate reported on the Schedule of Investments is
the effective yield at time of purchase.
(I) Securities are fair valued using methods determined in good faith by the
Valuation Committee of the Board of Trustees. As of September 30, 2007,
the total market value of these securities was $18,289 ($ Thousands),
representing 0.45% of net assets.
(J) Securities considered illiquid. The total market value of such securities
as of September 30, 2007 was $4,768 ($ Thousands) and represents 0.12% of
net assets.
ADR -- American Depositary Receipt
ARM -- Adjustable Rate Mortgage
AUD -- Australian Dollar
CAD -- Canadian Dollar
CHF -- Swiss Franc
Cl -- Class
CMBS -- Commercial Mortgage-Backed Securities
CMO -- Collateralized Mortgage Obligation
DKK -- Danish Krone
EUR -- Euro
FDR -- Fiduciary Depositary Receipt
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GBP -- British Pound Sterling
GDR -- Global Depositary Receipt
GNMA -- Government National Mortgage Association
HKD -- Hong Kong Dollar
IO -- Interest Only - face amount represents notional amount
JPY -- Japanese Yen
LLC -- Limited Liability Company
LP -- Limited Partnership
MTN -- Medium Term Note
MXP -- Mexican Peso
NIM -- Net Interest Margin
NOK -- Norwegian Krone
NZD -- New Zealand Dollar
SDR -- Swedish Depositary Receipt
SEK -- Swedish Krona
Ser -- Series
SGD -- Singapore Dollar
STRIPS -- Separately Traded Registered Interest and Principal Securities
TBA -- To Be Announced
USD -- U.S. Dollar
ZAR -- South African Rand
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
26 SEI Institutional International Trust / Annual Report / September 30, 2007
Emerging Markets Equity Fund
September 30, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)+:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Financials 18.7%
Basic Materials 13.2%
Telecommunication Services 11.5%
Energy 11.5%
Information Technology 11.2%
Industrials 8.0%
Short-Term Investments 7.9%
Consumer Discretionary 6.6%
Consumer Staples 4.5%
Utilities 3.9%
Healthcare 1.3%
Exchange Traded Fund 0.8%
Time Deposits 0.8%
Equity-Linked Warrants 0.1%
+ Percentages based on total investments. Includes Investments held as
collateral for securities on loan (see Note 7).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 91.1%
ARGENTINA -- 0.2%
IRSA Inversiones y
Representaciones GDR (B)* 51,500 $ 817
Mercadolibre* 3,300 121
MetroGas ADR* 10,600 48
Petrobas Energia Participaciones ADR (B) 181,090 1,820
Telecom Argentina ADR* 38,900 955
--------------
3,761
--------------
BAHRAIN -- 0.1%
Investcorp Bank GDR (A)* 41,294 1,125
--------------
BERMUDA -- 0.1%
Credicorp 18,100 1,225
--------------
BRAZIL -- 8.1%
All America Latina Logistica 52,144 733
Aracruz Celulose ADR (B) 16,300 1,200
Banco Bradesco ADR 225,448 6,621
Banco do Brasil 122,100 2,047
Banco Itau Holding Financeira ADR (B) 23,380 1,183
Banco Nossa Caixa 120,900 2,113
Banestes-Banco do Estado do
Espirito Santo 359,100 322
BR Malls Participacoes* 44,600 533
Brasil Ecodiesel Industria e Comercio
de Biocombus* 104,600 676
Brasil Telecom Participacoes ADR 55,000 4,104
Centrais Eletricas Brasileiras 89,180 1,296
Cia Brasileira de Distribuicao Grupo Pao
de Acucar ADR (B) 175,500 5,321
Cia de Concessoes Rodoviarias 31,100 620
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Cia de Saneamento Basico do Estado
de Sao Paulo 99,669 $ 2,477
Cia Energetica de Minas Gerais ADR 27,200 580
Cia Vale do Rio Doce ADR 260,600 8,842
Cia Vale do Rio Doce Sponsored ADR 775,276 22,057
CPFL Energia 51,100 990
CPFL Energia ADR (B) 5,900 344
Empresa Brasileira de Aeronautica ADR (B) 31,650 1,390
Gafisa ADR (B)* 42,300 1,427
Gerdau ADR 141,300 3,705
Gol Linhas Aereas Inteligentes ADR (B) 21,500 516
Grendene 166,200 2,010
JHSF Participacoes* 9,800 52
Localiza Rent A Car 214,500 2,174
Lojas Renner 203,100 4,042
Marfrig Frigorificos e Comercio
de Alimentos* 91,500 954
Natura Cosmeticos 267,600 3,192
NET Servicos de Comunicacao 5,000 83
Petroleo Brasileiro ADR 143,214 10,813
Petroleo Brasileiro Sponsored ADR 151,940 9,831
Positivo Informatica 12,100 258
Redecard* 92,000 1,700
Santos-Brasil 115,281 1,579
Tam 64,961 1,780
Tele Norte Leste Participacoes ADR 183,810 4,128
Tim Participacoes ADR 194,200 7,877
Uniao de Bancos Brasileiros 16,600 218
Uniao de Bancos Brasileiros GDR 148,020 19,472
Usinas Siderurgicas de Minas Gerais 21,400 1,663
Votorantim Celulose e Papel ADR 79,170 2,266
--------------
143,189
--------------
CANADA -- 0.0%
SXR Uranium One* 35,000 463
--------------
CHILE -- 1.0%
Administradora de Fondos de
Pensiones Provida ADR 11,600 426
Banco Santander Chile ADR 35,874 1,814
Centros Comerciales Sudamericanos 234,383 924
Cia Cervecerias Unidas 182,970 1,356
Cia Cervecerias Unidas ADR 36,696 1,413
CorpBanca 267,929,030 1,976
Embotelladora Andina ADR 32,078 598
Empresa Nacional de Electricidad ADR 78,700 3,380
Empresas CMPC 12,200 436
Enersis ADR 142,322 2,525
La Polar 164,575 1,035
Lan Airlines ADR 110,950 1,781
Multiexport Foods* 340,536 216
--------------
17,880
--------------
- --------------------------------------------------------------------------------
SEI Institutional International Trust / Annual Report / September 30, 2007 27
SCHEDULE OF INVESTMENTS
Emerging Markets Equity Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CHINA -- 7.8%
Anhui Conch Cement 402,000 $ 3,483
Anhui Expressway 274,000 250
Bank of China 5,174,000 2,771
Bengang Steel Plates, Cl B 732,907 866
China Communications Construction 1,594,000 3,792
China Construction Bank 11,789,000 10,759
China COSCO Holdings 144,000 450
China International Marine Containers 566,280 1,217
China Life Insurance 2,598,000 14,932
China Medical Technologies ADR 29,800 1,275
China Petroleum & Chemical, Cl H (B) 5,458,000 6,822
China Shenhua Energy 622,000 3,739
China Shipping Container Lines 2,307,950 1,791
China Shipping Development 2,870,000 9,310
China Telecom 3,606,000 2,720
China Yurun Food Group 4,125,000 5,947
Ctrip.com International ADR 6,000 311
DaChan Food Asia 48,000 18
Dongfeng Motor Group* 1,223,000 1,075
Focus Media Holding ADR (B)* 35,600 2,066
Great Wall Motor 2,253,500 3,336
Great Wall Technology 1,320,000 603
Guangdong Electric Power Development 700,000 742
Harbin Power Equipment 674,000 1,690
Huadian Power International 1,634,000 1,048
Huaneng Power International 1,244,800 1,721
Industrial & Commercial Bank of China,
Cl H 11,302,820 7,929
Jiangxi Copper 199,000 644
Lenovo Group 2,148,000 1,648
Mindray Medical International ADR 35,500 1,525
Perfect World ADR* 11,000 300
PetroChina, Cl H 13,142,000 24,935
PICC Property & Casualty (B) 241,000 469
Semiconductor Manufacturing
International (B) 696,000 82
Shanghai Electric Group 1,068,000 833
Simcere Pharmaceutical Group ADR* 122,200 1,947
Sino-Ocean Land Holdings* 1,620,000 2,294
Sinotrans (B) 1,911,000 1,171
Weiqiao Textile 1,798,400 3,380
WuXi PharmaTech Cayman ADR* 1,786 50
Yanzhou Coal Mining 3,428,000 7,060
Zhejiang Expressway 904,000 1,285
--------------
138,286
--------------
COLOMBIA -- 0.2%
BanColombia ADR (B) 109,560 3,796
--------------
CYPRUS -- 0.1%
AFI Development GDR* 97,400 984
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CZECH REPUBLIC -- 0.9%
CEZ 201,965 $ 12,393
Komercni Banka 8,260 1,921
Telefonica O2 Czech Republic 13,000 367
Unipetrol* 82,000 1,297
--------------
15,978
--------------
EGYPT -- 0.5%
Commercial International Bank GDR 176,250 2,379
Egyptian International Pharmaceutical
Industrial (D) 42,300 216
El Ezz Steel (D) 101,274 965
Orascom Construction Industries (D) 21,344 1,802
Orascom Construction Industries GDR (A) 13,711 2,323
Orascom Construction Industries GDR 600 102
Telecom Egypt (D) 300,000 911
--------------
8,698
--------------
HONG KONG -- 5.6%
AAC Acoustic Technology Holdings 2,870,000 3,543
ASM Pacific Technology 179,000 1,584
Belle International Holdings 61,000 80
Brilliance China Automotive
Holdings (B) 3,473,000 957
Chaoda Modern Agriculture 434,000 353
China Everbright 296,000 1,055
China Mengniu Dairy 939,000 4,091
China Merchants Bank 527,395 2,318
China Mobile 2,601,500 42,629
China Netcom Group 816,500 2,186
China Power International
Development (B) 4,432,200 2,322
China Resources Logic 126,000 16
China Resources Power Holdings 322,000 1,001
China Unicom 64,000 133
CITIC International Financial Holdings 1,348,000 1,079
CNOOC 6,504,500 10,935
Cosco Pacific 2,082,000 6,593
Denway Motors 5,078,000 2,948
Digital China Holdings 1,337,000 776
Global Bio-Chem Technology Group (B) 4,269,500 1,649
Guangzhou Investment 1,546,000 484
Hopson Development Holdings 408,000 1,360
Industrial and Commercial Bank of
China Asia 526,000 1,469
Johnson Electric Holdings 268,000 140
NWS Holdings 125,000 294
Samson Holding 2,020,000 575
Shanghai Industrial Holdings 179,000 894
Shenzhen Investment 1,286,000 1,149
Shenzhou International Group Holdings 175,000 83
- --------------------------------------------------------------------------------
28 SEI Institutional International Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Texwinca Holdings (B) 1,946,600 $ 1,616
TPV Technology 4,110,000 2,963
United Laboratories 954,000 709
Yue Yuen Industrial Holdings (B) 590,500 1,767
--------------
99,751
--------------
HUNGARY -- 0.6%
Danubius Hotel and Spa* 4,715 259
Magyar Telekom 563,279 3,125
OTP Bank 133,833 7,238
Raba Automotive Holding* 10,000 152
Tiszai Vegyi Kombinat* 12,600 563
--------------
11,337
--------------
INDIA -- 7.2%
Andhra Bank 266,993 703
Bank of India 189,610 1,318
Bharat Electronics 21,240 982
Bharat Heavy Electricals 74,374 3,802
Bharat Petroleum 346,653 3,109
Bharti Televentures 745,963 17,595
Birla 73,137 618
CESC 75,930 933
Federal Bank 60,268 563
GAIL India 134,999 1,284
Grasim Industries 18,599 1,639
Gujarat Narmada Valley Fertilizers 144,589 575
Gujarat State Fertilisers 99,273 601
Hero Honda Motors 70,981 1,330
Hindalco Industries 648,021 2,800
Hindalco Industries GDR (A) 374,190 1,579
Hindustan Petroleum 412,300 2,761
Hindustan Zinc 105,859 2,159
Housing Development Finance 54,812 3,477
ICICI Bank 117,543 3,134
India Cements 194,020 1,421
Infosys Technologies 142,156 6,752
ITC 398,150 1,897
Jet Airways India 38,980 888
JSW Steel 69,171 1,481
Larsen & Toubro 45,833 3,230
Mahanagar Telephone Nigam 381,880 1,540
Mahindra & Mahindra 11,290 213
National Aluminium 87,460 662
Nicholas Piramal India 352,000 2,485
Oil & Natural Gas 226,910 5,456
Phoenix Mills 36,519 1,820
Ranbaxy Laboratories 220,316 2,401
Reliance Industries 40,874 2,357
Satyam Computer Services 156,390 1,751
Siemens India 193,444 6,559
State Bank of India GDR (A) 38,640 4,343
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Steel Authority of India 2,065,622 $ 10,738
Sterlite Industries India 204,764 3,847
Sterlite Industries India ADS* 39,466 730
Tata Motors 80,548 1,570
Tata Steel 470,463 10,040
UCO Bank 936,610 1,128
Zee Entertainment Enterprises 500,424 4,293
--------------
128,564
--------------
INDONESIA -- 2.0%
Bank Central Asia 8,394,000 5,645
Bank Mandiri Persero 6,143,000 2,368
Bank Rakyat Indonesia 3,749,000 2,706
Global Mediacom 2,866,000 354
Gudang Garam 1,546,600 1,590
HM Sampoerna 1,008,500 1,527
Indosat 905,900 763
International Nickel Indonesia 186,000 1,291
Telekomunikasi Indonesia 14,614,500 17,579
Telekomunikasi Indonesia ADR 15,500 757
--------------
34,580
--------------
ISRAEL -- 2.0%
Bank Hapoalim 1,587,827 8,102
Bank Leumi Le-Israel 1,016,370 4,447
Bezeq Israeli Telecommunication 3,295,490 5,635
Check Point Software Technologies 6,690 168
Clal Industries and Investments 34,720 199
Delek Group 5,300 1,262
First International Bank of Israel* 51,020 659
Israel Discount Bank* 855,954 1,939
Makhteshim-Agan Industries* 244,375 2,164
Teva Pharmaceutical Industries 35,400 1,570
Teva Pharmaceutical Industries ADR 219,546 9,763
Union Bank of Israel* 21,090 102
--------------
36,010
--------------
JERSEY -- 0.1%
Kazakhgold GDR* 67,936 1,427
--------------
LUXEMBOURG -- 0.1%
Tenaris ADR 45,500 2,394
--------------
MALAYSIA -- 2.9%
AMMB Holdings 1,247,100 1,588
Boustead Holdings 520,000 751
Commerce Asset Holdings 1,173,200 3,684
Gamuda 1,007,900 2,603
Genting 780,000 1,843
Hong Leong Bank 439,700 761
Hong Leong Financial Group 272,700 464
- --------------------------------------------------------------------------------
SEI Institutional International Trust / Annual Report / September 30, 2007 29
SCHEDULE OF INVESTMENTS
Emerging Markets Equity Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Hong Leong Industries 14,000 $ 16
IOI 4,482,100 7,958
KNM Group 183,600 249
Malayan Banking 1,648,200 5,321
Malaysia International Shipping
(Foreign Market) 228,800 658
MMC 1,094,100 2,713
Oriental Holdings 10,000 20
Padiberas Nasional 77,000 46
Proton Holdings 164,400 256
Public Bank (Foreign Market) 460,100 1,418
Resorts World 7,037,200 8,096
Sime Darby 985,700 3,008
Sunway City 379,800 555
Telekom Malaysia (D) 513,300 1,461
Tenaga Nasional 2,935,700 8,142
--------------
51,611
--------------
MEXICO -- 5.1%
Alfa 241,500 1,632
America Movil ADR, Ser L 337,286 21,586
America Movil, Ser L 2,008,800 6,430
Axtel* 224,800 1,722
Cemex* 1,703,527 5,088
Cemex ADR* 129,210 3,866
Coca-Cola Femsa ADR 49,280 2,115
Consorcio 3,975,100 5,326
Controladora Comercial Mexicana 1,149,100 3,049
Cydsa* 74,700 49
Desarrolladora Homex* 22,100 1,226
Embotelladoras Arca 178,450 662
Empresas ICA* 132,000 796
Empresas ICA Sociedad
Controladora ADR* 14,100 338
Fomento Economico Mexicano ADR 86,246 3,226
Gruma 437,100 1,419
Grupo Aeroportuario
del Centro Norte ADR 30,218 870
Grupo Bimbo, Ser A 213,000 1,188
Grupo Carso, Ser A1 410,100 1,564
Grupo Casa Saba ADR 4,500 171
Grupo Continental 1,340,800 2,820
Grupo Financiero Banorte 1,181,564 4,679
Grupo Mexico, Ser B 467,500 3,356
Grupo Televisa 22,300 107
Grupo Televisa ADR 278,320 6,727
Industrias Penoles 7,500 126
Industrias, Ser B* 182,500 707
Kimberly-Clark de Mexico, Ser A 221,000 1,006
Organizacion Soriana 409,600 1,259
Telefonos de Mexico 2,047,100 3,357
Telefonos de Mexico ADR, Ser L 70,220 2,308
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Urbi Desarrollos Urbanos* 345,800 $ 1,243
Wal-Mart de Mexico, Ser V 358,018 1,313
--------------
91,331
--------------
NETHERLANDS -- 0.1%
Vimetco GDR* 127,239 1,209
--------------
PANAMA -- 0.0%
Copa Holdings, Cl A 4,100 164
--------------
PERU -- 0.1%
Cia de Minas Buenaventura ADR (B) 28,800 1,376
--------------
PHILIPPINES -- 0.7%
ABS-CBN Broadcasting PDR 620,900 441
Alliance Global Group 3,716,000 429
Ayala Land 12,363,840 4,460
Bank of the Philippine Islands 1,295,426 1,912
First Philippine Holdings 1,183,600 2,036
JG Summit Holdings 3,229,000 771
Manila Electric 233,860 431
Philippine National Bank* 367,800 396
SM Investments 232,824 1,925
Union Bank of Philippines 335,300 409
--------------
13,210
--------------
POLAND -- 0.9%
Bank Handlowy w Warszawie 49,245 2,107
Echo Investment* 21,600 725
Grupa Lotos 40,303 683
KGHM Polska Miedz 44,457 2,072
Multimedia Polska* 16,105 71
Orbis 25,981 725
Polish Oil & Gas 560,778 1,064
Polski Koncern Naftowy Orlen 176,810 3,703
Telekomunikacja Polska 533,626 4,218
--------------
15,368
--------------
RUSSIA -- 9.1%
Chelyabinsk Zink Plant GDR (A) 62,400 855
Cherkizovo Group GDR 79,406 1,052
CTC Media 3,001 66
Evraz Group GDR 18,733 1,186
Golden Telecom 29,060 2,339
Integra Group Holdings* 49,603 771
LUKOIL ADR 283,930 23,651
Magnitogorsk Iron & Steel Works GDR 141,025 2,137
Mechel ADR 6,000 306
MMC Norilsk Nickel ADR 73,813 20,096
Mobile Telesystems ADR 179,400 12,434
- --------------------------------------------------------------------------------
30 SEI Institutional International Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Novolipetsk Steel GDR 163,069 $ 5,536
OAO Gazprom ADR* 835,139 36,830
Open Investments GDR* 99,000 3,663
Polyus Gold ADR 50,974 2,217
Rosneft Oil GDR (A) 429,237 3,649
Rostelecom ADR (B) 21,784 1,369
Sberbank GDR 12,642 5,876
Sberbank GDR (EUR) 16,711 7,676
Severstal GDR 44,348 940
Severstal Sponsored GDR (A) 55,640 1,171
Sistema-Hals GDR (A)* 7,700 75
Surgutneftegaz ADR (B) 88,150 6,016
Tatneft GDR 5,732 636
Unified Energy System GDR 58,673 7,146
Vimpel-Communications ADR 188,200 5,089
VTB Bank GDR (A)* 728,944 6,524
Wimm-Bill-Dann Foods OJSC ADR 12,760 1,395
--------------
160,701
--------------
SINGAPORE -- 0.0%
Goodpack* 528,000 743
--------------
SOUTH AFRICA -- 5.8%
ABSA Group (B) 96,278 1,745
Aeci 15,000 180
African Rainbow Minerals 55,298 1,054
Anglo Platinum 16,400 2,479
AngloGold Ashanti (B) 62,812 2,971
Aspen Pharmacare Holdings (B) 325,620 1,582
Assore 8,062 444
Barloworld (B) 47,575 894
Bidvest Group (B) 114,949 2,258
DataTec 86,758 447
Ellerine Holdings (B) 157,120 1,684
FirstRand (B) 1,087,289 3,484
Foschini 141,000 1,063
Gold Fields ADR 134,901 2,440
Harmony Gold Mining (B) 117,139 1,386
Impala Platinum Holdings (B) 133,237 4,637
Imperial Holdings 58,337 1,091
JD Group (B) 165,333 1,395
Johnnic Holdings 24,500 55
Kumba Iron Ore (B) 79,016 2,589
Liberty Group (B) 50,000 634
Liberty Holdings 12,600 405
Merafe Resources 5,425,405 1,337
Metropolitan Holdings 351,000 774
Mittal Steel South Africa (B) 92,991 1,848
Mondi* 12,317 121
MTN Group (B) 302,945 4,590
Murray & Roberts Holdings (B) 204,442 2,664
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Mvelaphanda Resources* 22,000 $ 172
Nampak (B)* 857,412 2,685
Naspers (B)* 196,844 5,452
Nedbank Group (B) 259,810 4,709
Sanlam (B) 2,408,597 7,778
Sappi (B)* 507,397 7,688
Sasol (B) 363,854 15,616
Standard Bank Group (B) 551,168 7,949
Steinhoff International Holdings (B)* 628,689 1,778
Telkom (B) 125,000 3,145
--------------
103,223
--------------
SOUTH KOREA -- 14.0%
Amorepacific 641 478
Daegu Bank 72,490 1,343
Daelim Industrial 12,624 2,338
Daewoo Shipbuilding & Marine
Engineering 213,429 13,503
Dongbu Insurance 23,960 1,005
Doosan 7,700 1,599
Eugene 4,290 52
Hana Financial Group 46,876 2,210
Handsome 17,390 266
Hanil Cement Manufacturing 5,122 582
Hanjin Heavy Industries & Construction* 9,780 871
Hankook Tire 48,650 997
Hanwha Chemical 26,210 692
Hynix Semiconductor 16,290 557
Hyundai Department Store 3,125 376
Hyundai Development 84,198 7,866
Hyundai Heavy Industries 15,583 7,203
Hyundai Mipo Dockyard 5,300 1,824
Hyundai Mobis 55,320 5,870
Hyundai Motor 86,632 6,996
KCC Engineering & Construction 3,100 243
KISWIRE 9,300 609
Kookmin Bank 181,282 15,094
Kookmin Bank ADR (B) 68,744 5,636
Korea Development Financing 3,040 176
Korea Electric Power 163,920 7,684
Korea Exchange Bank 58,770 954
Korea Iron & Steel 4,920 508
Korea Kumho Petrochemical 13,680 1,054
Korean Reinsurance 90,156 1,276
KT 25,760 1,293
KT ADR (B) 123,000 3,081
KT&G 74,920 5,853
Kumho Tire 161,490 2,841
Kyeryong Construction Industrial 8,130 493
LG 8,014 552
LG Chem 8,050 844
LG Electronics 35,921 3,356
- --------------------------------------------------------------------------------
SEI Institutional International Trust / Annual Report / September 30, 2007 31
SCHEDULE OF INVESTMENTS
Emerging Markets Equity Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
LG Engineering & Construction 11,980 $ 2,081
LG Philips LCD* 189,540 9,072
Lotte Shopping 19,549 8,331
LS Cable 13,109 1,633
Nong Shim 6,065 1,494
Nong Shim Holdings 4,632 450
Pacific 4,100 853
POSCO 23,949 17,612
POSCO ADR 8,890 1,589
S-Oil 12,904 1,148
Samho International* 19,520 576
Samsung Card 600 37
Samsung Electronics 74,729 46,953
Samsung Fire & Marine Insurance 38,235 8,231
Samsung Heavy Industries 43,990 2,339
Samsung SDI 11,580 777
Samwhan 10,460 362
Samyang Genex 3,374 382
SFA Engineering 9,910 589
Shinhan Financial Group 145,403 9,501
Shinsegae 13,589 9,459
Shinyoung Securities 6,283 462
SK Energy* 33,423 5,844
SK Gas 5,271 500
SK Holdings 8,836 1,883
SK Telecom 11,061 2,538
SK Telecom ADR (B) 90,830 2,698
Woori Investment & Securities 132,750 3,757
--------------
249,326
--------------
TAIWAN -- 11.3%
Acer 990,640 1,745
Advanced Semiconductor Engineering 6,845,925 7,510
Asustek Computer 1,145,272 3,485
AU Optronics 3,146,079 5,427
AU Optronics ADR (B)* 36,330 615
Capital Securities 978,250 594
Catcher Technology 785,940 5,720
Cathay Financial Holding 4,378,213 10,357
Chi Mei Optoelectronics 481,000 559
China Development Financial Holding 4,332,270 1,746
China Motor 1,838,985 1,685
China Steel 222,000 324
Chinatrust Financial Holding 12,782,947 9,381
Chunghwa Picture Tubes 54,000 15
Chunghwa Telecom 4,156,350 7,769
Chunghwa Telecom ADR (B) 247,931 4,582
Compal Electronics 6,278,130 7,099
CTCI 561,550 435
Delta Electronics 2,447,077 9,485
Delta Networks 812,000 345
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Eastern Media International 1,270,000 $ 356
Eva Airways 13,948 5
Far Eastern Textile 162,372 218
Far EasTone Telecommunications 945,000 1,196
First Financial Holding 4,470,872 3,199
Formosa Chemicals & Fibre 358,000 916
Formosa Taffeta 783,000 890
Fubon Financial Holding 846,000 722
Grand Pacific Petrochemical 1,114,000 469
High Tech Computer 226,997 3,328
HON HAI Precision Industry 2,777,281 20,935
InnoLux Display 285,295 1,224
Inventec 1,632,650 1,021
KYE Systems 1 --
Largan Precision 146,000 1,588
Lite-On Technology 989,527 1,546
MediaTek 460,550 8,298
Mega Financial Holding 1,928,000 1,217
Mitac International 838,557 1,169
Nan Ya Plastic 1,700,000 4,428
Nan Ya Printed Circuit Board 159,000 960
Nien Hsing Textile 1,056,000 744
Nien Made Enterprises 22,817 28
Pixart Imaging 188,100 1,539
Powerchip Semiconductor 6,281,143 3,118
President Securities 967,725 655
ProMOS Technologies 3,280,000 1,005
Quanta Computer 3,897,115 6,126
Radiant Opto-Electronics 895,714 1,493
Richtek Technology 97,500 1,159
Shih Wei Navigation 156,229 378
Siliconware Precision Industries 3,076,621 6,929
Silitech Technology 289,876 1,448
Sincere Navigation 347,000 775
SinoPac Financial Holdings 7,011,230 3,266
Sunplus Technology 157,455 299
Taiwan Cement 1,236,592 2,023
Taiwan Cooperative Bank 1,848,640 1,345
Taiwan Fertilizer 1,355,000 3,272
Taiwan Semiconductor Manufacturing 5,063,027 9,867
Taiwan Semiconductor Manufacturing
ADR (B) 633,180 6,408
Tatung 4,521,000 2,355
Teco Electric and Machinery 605,000 357
Tripod Technology 336,300 1,371
Tung Ho Steel Enterprise 604,000 1,009
United Microelectronics (D) 9,804,266 7,108
Walsin Lihwa 2,001,000 993
Wistron 581,885 1,052
Yageo 3,846,440 1,603
Yang Ming Marine Transport 106,847 86
--------------
200,374
--------------
- --------------------------------------------------------------------------------
32 SEI Institutional International Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
THAILAND -- 1.6%
Bangkok Bank 562,200 $ 1,886
Bangkok Bank NVDR (B) 237,700 804
CH. Karnchang 1,171,400 311
Charoen Pokphand Foods 11,301,000 1,731
Delta Electronics Thai 564,600 346
Italian-Thai Development 3,014,800 669
Kasikornbank NVDR (Foreign) 2,448,800 5,894
Krung Thai Bank 4,905,500 1,574
Krung Thai Bank NVDR 1,910,000 613
Land and Houses (B) 4,409,400 1,119
PTT 755,600 7,407
PTT NVDR* 2,000 20
Siam Commercial Bank 1,693,100 3,977
Thai Airways International 1,001,800 1,228
Thai Airways International NVDR 368,800 452
Thai Union Frozen Products 944,800 667
--------------
28,698
--------------
TURKEY -- 2.2%
Akcansa Cimento 8,000 61
Aygaz* 14,000 59
Bossa Ticaret Sanayi Isletme* 80,000 108
Cimsa Cimento Sanayi VE Tica* 69,000 592
Eczacibasi Ilac Sanayi 135,206 580
Eregli Demir ve Celik Fabrikalari 60,000 560
Haci Omer Sabanci Holding 1,082,452 6,926
Kardemir Karabuk Demir Celik
Sanayi ve Ticaret* 575,572 656
KOC Holding 594,000 3,114
Petkim Petrokimya Holding* 15,000 123
Petrol Ofisi 239,021 1,184
Sinpas Gayrimenkul Yatirim Ortakligi* 72,058 458
Tupras Turkiye Petrol Rafine 42,000 1,110
Turk Hava Yollari 52,000 403
Turk Sise ve Cam Fabrikalari 326,300 1,616
Turkcell Iletisim Hizmet 857,413 7,220
Turkiye Garanti Bankasi 751,962 5,742
Turkiye Is Bankasi 1,166,451 7,030
Vestel Elektronik Sanayi 322,261 889
Yazicilar Holding 71,885 525
--------------
38,956
--------------
UNITED KINGDOM -- 0.6%
Anglo American 112,089 7,511
BHP Billiton (B) 76,565 2,704
JKX Oil & Gas 22,550 161
Mondi* 30,793 292
--------------
10,668
--------------
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands)(1) ($ Thousands)
- --------------------------------------------------------------------------------
UNITED STATES -- 0.1%
Caspian Services 71,100 $ 206
Central European Distribution 26,100 1,250
--------------
1,456
--------------
Total Common Stock
(Cost $1,104,073) ($ Thousands) 1,617,862
--------------
DEBENTURE BOND -- 0.0%
BRAZIL -- 0.0%
Companhia Vale do Rio Doce*
0.000%, 09/30/49 8 --
--------------
Total Debenture Bond
(Cost $0) ($ Thousands) --
--------------
PREFERRED STOCK -- 5.3%
BRAZIL -- 5.1%
Aracruz Celulose ADR, Cl B* 201,600 1,474
Banco Bradesco 69,300 2,022
Banco Itau Holding Financeira 32,700 1,646
Brasil Telecom 35,861 337
Braskem, Cl A 298,400 2,786
Centrais Eletricas Brasileiras, Cl B 280,704 3,937
Centrais Eletricas de Santa Catarina 20,500 441
Cia de Bebidas das Americas 5,330 388
Cia de Bebidas das Americas ADR 25,244 1,846
Cia de Tecidos do Norte de Minas -
Coteminas 283,432 1,924
Cia Energetica de Minas Gerais 386,912 8,180
Cia Paranaense de Energia 110,792 1,763
Cia Vale do Rio Doce, Cl A 554,200 15,768
Eletropaulo Metropolitana de Sao Paulo 6,627,700 439
Gerdau 9,300 243
Inepar Industria e Construcoes* 2,100 37
Investimentos Itau 1,141,642 7,849
Mangels Industrial 2,800 45
NET Servicos de Comunicacao* 435,200 7,155
Paranapanema* 29,300 546
Petroleo Brasileiro 440,100 14,196
Sadia 74,300 414
Tam 246,185 6,690
Tele Norte Leste Participacoes 36,300 819
Telemar Norte Leste 61,600 2,209
Telemig Celular Participacoes 41,654 1,215
Usinas Siderurgicas de Minas Gerais, Cl A 50,300 3,499
Votorantim Celulose e Papel 57,000 1,630
--------------
89,498
--------------
- --------------------------------------------------------------------------------
SEI Institutional International Trust / Annual Report / September 30, 2007 33
SCHEDULE OF INVESTMENTS
Emerging Markets Equity Fund (Concluded)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
SOUTH KOREA -- 0.2%
Hyundai Motor 67,540 $ 2,805
Hyundai Motor (Second Preferred) 29,560 1,185
--------------
3,990
--------------
Total Preferred Stock
(Cost $55,812) ($ Thousands) 93,488
--------------
EXCHANGE TRADED FUND -- 0.9%
UNITED STATES -- 0.9%
iShares MSCI Emerging Markets
Index Fund* 104,000 15,543
--------------
Total Exchange Traded Fund
(Cost $13,900) ($ Thousands) 15,543
--------------
EQUITY LINKED WARRANTS -- 0.1%
HONG KONG -- 0.0%
China Overseas Land,
Expires 08/27/08* 238 160
--------------
RUSSIA -- 0.1%
Sberbank, Expires 02/23/10* 409 1,705
--------------
SINGAPORE -- 0.0%
Goodpack Limited, Expires 07/16/09* 66 32
--------------
Total Equity Linked Warrants
(Cost $0) ($ Thousands) 1,897
--------------
CASH EQUIVALENTS**+ -- 8.4%
UNITED STATES -- 8.4%
SEI Daily Income Trust,
Prime Obligation Fund, Cl A,
5.350% 16,098,567 16,099
SEI Liquidity Fund, LP, 5.367% (C) 134,056,425 134,056
--------------
Total Cash Equivalents
(Cost $150,155) ($ Thousands) 150,155
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) (1) ($ Thousands)
- --------------------------------------------------------------------------------
TIME DEPOSITS -- 0.8%
UNITED STATES -- 0.8%
Brown Brothers Harriman
8.350%, 10/01/07 ZAR 3,021 $ 438
4.950%, 10/01/07 GBP 59 121
4.550%, 10/01/07 HKD 6,706 863
4.520%, 10/01/07 13,684 13,684
3.250%, 10/01/07 EUR -- --
1.250%, 10/01/07 SGD -- --
--------------
Total Time Deposits
(Cost $15,106) ($ Thousands) 15,106
--------------
Total Investments -- 106.6%
(Cost $1,339,046) ($ Thousands) $ 1,894,051
==============
Percentages are based on Net Assets of $1,777,229 ($ Thousands).
* Non-Income Producing Security
** Rate shown is the 7-day effective yield as of September 30, 2007.
+ Affiliated security
(1) In U.S. dollars unless otherwise indicated.
(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) This security or a partial position of this security is on loan at
September 30, 2007. The total market value of securities on loan at
September 30, 2007 was $118,121 ($ Thousands) (See Note 7).
(C) This security was purchased with cash collateral held from securities on
loan. The total market value of such securities as of September 30, 2007
was $134,056 ($ Thousands) (See Note 7).
(D) Security fair valued using methods determined in good faith by the
Valuation Committee of the Board of Trustees. The total market value of
such securities as of September 30, 2007 was $12,463 ($ Thousands) and
represents 0.70% of net assets.
ADR -- American Depositary Receipt
ADS -- American Depositary Share
Cl -- Class
EUR -- Euro
GBP -- British Pound Sterling
GDR -- Global Depositary Receipt
HKD -- Hong Kong Dollar
LP -- Limited Partnership
NVDR -- Non-Voting Depositary Receipt
PDR -- Philippine Depositary Receipt
Ser -- Series
SGD -- Singapore Dollar
ZAR -- South African Rand
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
34 SEI Institutional International Trust / Annual Report / September 30, 2007
International Fixed Income Fund
September 30, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)+:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIALS.]
Government 39.2%
Financials 18.8%
Time Deposits 15.1%
Asset-Backed Securities 13.9%
U.S. Government Agency Mortgage-Backed Obligations 4.2%
Consumer Discretionary 1.4%
Telecommunication Services 1.3%
U.S. Treasury Obligations 1.2%
Loan Participations 1.1%
Utilities 0.8%
Industrials 0.7%
Consumer Staples 0.5%
Energy 0.5%
Basic Materials 0.5%
Healthcare 0.3%
Master Notes 0.3%
Information Technology 0.1%
Short-Term Investment 0.1%
+ Percentages based on total investments.
- --------------------------------------------------------------------------------
Face Amount Market Value
Description (Thousands)(1) ($ Thousands)
- --------------------------------------------------------------------------------
GLOBAL BONDS -- 62.5%
AUSTRALIA -- 1.5%
FMG Finance
9.750%, 09/01/13 350 $ 548
Government of Australia
8.750%, 08/15/08 1,900 1,715
7.500%, 09/15/09 5,600 5,051
Macquarie Bank MTN, Ser E (A)
5.500%, 03/19/08 GBP 336 649
New S Wales Treasury
7.000%, 12/01/10 4,950 4,414
--------------
12,377
--------------
AUSTRIA -- 0.4%
Kommunalkredit Austria
4.125%, 02/07/14 1,650 2,289
Telekom Finanzmanagement
5.000%, 07/22/13 601 846
Wienerberger (A)
6.500%, 02/09/17 300 392
--------------
3,527
--------------
BELGIUM -- 1.3%
Kingdom of Belgium, Ser 31
5.500%, 03/28/28 3,387 5,328
Kingdom of Belgium, Ser 41
4.250%, 09/28/13 2,940 4,170
Kingdom of Belgium, Ser 49
4.000%, 03/28/17 950 1,302
--------------
10,800
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description (Thousands)(1) ($ Thousands)
- --------------------------------------------------------------------------------
BERMUDA -- 0.1%
Seadrill (A) (B)
5.870%, 01/23/09 2,000 $ 368
5.370%, 01/23/08 500 92
--------------
460
--------------
BRAZIL -- 0.3%
Federal Republic of Brazil
8.250%, 01/20/34 1,847 2,326
--------------
CANADA -- 1.3%
Bell Canada MTN
5.000%, 02/15/17 270 227
Canada Treasury Bill (D)
2.795%, 10/18/07 2,051 2,060
Government of Canada
5.000%, 06/01/37 2,000 2,194
4.000%, 06/01/16 2,150 2,111
Government of Canada Real Return
3.000%, 12/01/36 772 935
Province of Ontario
4.700%, 06/02/37 1,800 1,744
Province of Ontario MTN, Ser E
1.875%, 01/25/10 JPY 95,000 842
YPG Holdings MTN
5.250%, 02/15/16 665 598
--------------
10,711
--------------
CAYMAN ISLANDS -- 0.6%
Dar Al-Arkan International (A)
7.610%, 07/16/12 825 820
MUFG Capital Finance 2 (A)
4.850%, 07/25/16 1,000 1,251
Mizuho Capital Investments (A)
5.020%, 06/30/11 1,000 1,366
Resona Preferred Global
Securities (A) (B)
7.191%, 07/30/49 443 444
Vale Overseas
6.875%, 11/21/36 301 310
Yorkshire Power Finance
7.250%, 08/04/28 GBP 408 940
--------------
5,131
--------------
CZECH REPUBLIC -- 0.2%
Czech Republic Bond
6.550%, 10/05/11 25,000 1,412
--------------
- --------------------------------------------------------------------------------
SEI Institutional International Trust / Annual Report / September 30, 2007 35
SCHEDULE OF INVESTMENTS
International Fixed Income Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description (Thousands)(1) ($ Thousands)
- --------------------------------------------------------------------------------
DENMARK -- 2.0%
Danica Pension
4.350%, 10/29/49 1,980 $ 2,731
Danske Bank MTN, Ser E (A)
5.875%, 03/26/15 540 789
Kingdom of Denmark
4.000%, 11/15/17 DKK 10,025 1,845
Nykredit
4.858%, 10/01/38 (A) DKK 41,994 7,548
4.000%, 01/01/08 DKK 18,000 3,426
--------------
16,339
--------------
FINLAND -- 1.0%
Government of Finland
4.250%, 07/04/15 150 212
3.875%, 09/15/17 6,000 8,168
--------------
8,380
--------------
FRANCE -- 4.2%
AXA MTN, Ser E (A)
5.777%, 07/29/49 1,100 1,555
Caisse D'Amort Dette Sociale
MTN, Ser E
4.125%, 04/25/17 3,100 4,274
Caisse Nationale des Autoroutes
4.500%, 03/28/18 813 1,139
Caisse Refinancement de l'Habitat
4.250%, 10/25/14 332 462
Cma Cgm Registered
5.500%, 05/16/12 170 228
Compagnie De St Gobain MTN,
Ser E (A)
4.196%, 10/11/07 350 496
Credit Agricole (London) MTN,
Ser E (A)
4.018%, 01/19/10 1,400 1,981
France Telecom MTN, Ser E
4.375%, 02/21/12 150 208
Government of France
5.750%, 10/25/32 8,830 14,541
3.500%, 04/25/15 2,074 2,793
Imerys
5.000%, 04/18/17 200 269
Natixis MTN, Ser E (A)
4.485%, 01/26/17 300 423
PPR MTN, Ser E
4.000%, 01/29/13 1,000 1,322
Renault MTN, Ser E
4.625%, 05/28/10 1,000 1,411
Veolia Environnement MTN, Ser E
5.875%, 06/27/08 1,740 2,492
--------------
33,594
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description (Thousands)(1) ($ Thousands)
- --------------------------------------------------------------------------------
GERMANY -- 5.2%
Bayer (A)
5.000%, 07/29/05 718 $ 928
Bayer MTN, Ser E
5.625%, 05/23/18 150 288
5.450%, 04/10/10 (A) 250 355
Bayerische Landesbank MTN,
Ser E (A)
4.500%, 02/07/19 1,000 1,322
Bundesschatzanweisungen, Ser 1
3.750%, 03/13/09 2,125 3,007
Commerzbank MTN, Ser E (A)
4.125%, 09/12/16 1,350 1,825
Deutsche Bundesrepublik
4.750%, 07/04/34 7,122 10,346
4.250%, 07/04/14 695 988
4.250%, 07/04/17 1,835 2,593
4.000%, 01/04/37 1,590 2,051
3.750%, 01/04/15 6,765 9,316
Henkel Kgaa (A)
5.375%, 11/25/15 221 292
KFW
4.700%, 06/02/37 3,000 2,825
1.350%, 01/20/14 JPY 615,000 5,328
Munich Re (A)
5.767%, 06/29/49 350 488
--------------
41,952
--------------
HUNGARY -- 0.7%
Republic of Hungary
7.250%, 06/12/12 926,940 5,349
--------------
IRELAND -- 0.8%
Ardagh Glass Group PIK
10.750%, 03/01/15 169 232
GE Capital Euro Funding MTN, Ser E
4.375%, 03/30/11 400 561
GE Capital UK Funding MTN, Ser E
5.125%, 03/03/15 1,875 3,598
Hypo Real International Trust I (A)
5.864%, 06/29/49 1,000 1,239
Saphir Finance MTN, Ser E (A)
6.851%, 07/04/49 150 156
Transcapit (Transneft) Registered
5.381%, 06/27/12 600 832
--------------
6,618
--------------
ITALY -- 2.8%
Banca Italease MTN, Ser E (A)
4.213%, 02/02/10 700 942
Banco Popolare Scarl MTN, Ser E (A)
4.659%, 02/08/17 1,350 1,852
- --------------------------------------------------------------------------------
36 SEI Institutional International Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description (Thousands)(1) ($ Thousands)
- --------------------------------------------------------------------------------
Buoni Poliennali Del Tesoro
5.750%, 02/01/33 4,170 $ 6,660
4.000%, 02/01/37 6,600 8,085
Ifil - Investments
5.375%, 06/12/17 200 269
Sanpaolo IMI MTN, Ser E
6.375%, 04/06/10 2,150 3,174
Unicredito Italiano MTN, Ser E (A)
4.500%, 09/22/19 1,300 1,744
--------------
22,726
--------------
JAPAN -- 15.6%
Abbott Japan
1.050%, 11/06/08 67,000 581
Development Bank of Japan
2.300%, 03/19/26 110,000 969
1.600%, 06/20/14 470,000 4,139
East Japan Railway MTN, Ser E
4.750%, 12/08/31 GBP 1,000 1,810
Fukoku Mutual Life Insurance (A)
4.500%, 09/28/25 EUR 500 658
Government of Japan 10 Year Bond,
Ser 252
1.000%, 06/20/13 951,300 8,150
Government of Japan 10 Year Bond,
Ser 256
1.400%, 12/20/13 2,283,000 19,948
Government of Japan 10 Year Bond,
Ser 257
1.300%, 12/20/13 1,794,250 15,585
Government of Japan 10 Year Bond,
Ser 263
1.600%, 09/20/14 520,000 4,585
Government of Japan 10 Year Bond,
Ser 268
1.500%, 03/20/15 1,495,700 13,067
Government of Japan 15 Year Bond,
Ser 35 (A)
0.780%, 07/20/20 375,000 3,072
Government of Japan 15 Year Bond,
Ser 39
1.220%, 03/20/21 349,000 3,034
Government of Japan 15 Year Bond,
Ser 40 (A)
1.350%, 05/20/21 406,600 3,560
Government of Japan 15 Year Bond,
Ser 45 (A)
1.200%, 05/20/22 310,000 2,688
Government of Japan 20 Year Bond,
Ser 48
2.500%, 12/21/20 268,000 2,497
Government of Japan 20 Year Bond,
Ser 82
2.100%, 09/20/25 719,000 6,229
- --------------------------------------------------------------------------------
Face Amount Market Value
Description (Thousands)(1) ($ Thousands)
- --------------------------------------------------------------------------------
Government of Japan 30 Year Bond,
Ser 20
2.500%, 09/20/35 64,000 $ 568
Government of Japan 30 Year Bond,
Ser 22
2.500%, 03/20/36 287,000 2,539
Government of Japan CPI Linked Bond,
Ser 10
1.100%, 12/10/16 1,650,000 14,187
Government of Japan CPI Linked Bond,
Ser 5
0.800%, 09/10/15 498,988 4,216
Japan Finance for Municipal
Enterprises
1.350%, 11/26/13 1,334,000 11,586
Resona Bank (A)
4.125%, 09/27/12 EUR 1,000 1,303
Sumitomo Mitsui Banking
5.625%, 10/15/15 (A) (B) 228 212
4.375%, 10/27/14 (A) EUR 830 1,157
--------------
126,340
--------------
LUXEMBOURG -- 0.8%
Basell AF SCA Registered
8.375%, 08/15/15 173 229
Gaz Capital (B)
6.212%, 11/22/16 230 228
Gaz Capital (Gazprom) MTN, Ser E
6.580%, 10/31/13 150 297
Gazprom OAO
9.625%, 03/01/13 470 544
Glencore Finance
6.500%, 02/27/19 400 779
5.375%, 09/30/11 450 640
Telecom Italia MTN, Ser E
7.000%, 04/20/11 2,050 3,114
Tyco International Group
6.000%, 11/15/13 331 334
--------------
6,165
--------------
MEXICO -- 1.0%
Mexican Bonos, Ser M10
8.000%, 12/17/15 7,900 726
Mexican Bonos, Ser M20
10.000%, 12/05/24 1,400 153
8.000%, 12/07/23 5,150 473
Mexican Bonos, Ser M30
10.000%, 11/20/36 2,210 248
Mexican Bonos, Ser MI10
9.500%, 12/18/14 11,240 1,120
9.000%, 12/20/12 31,008 2,983
8.000%, 12/19/13 28,400 2,622
--------------
8,325
--------------
- --------------------------------------------------------------------------------
SEI Institutional International Trust / Annual Report / September 30, 2007 37
SCHEDULE OF INVESTMENTS
International Fixed Income Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description (Thousands)(1) ($ Thousands)
- --------------------------------------------------------------------------------
NETHERLANDS -- 6.0%
ASML Holding
5.750%, 06/13/17 400 $ 529
Adecco International Financial Services
4.500%, 04/25/13 1,200 1,652
Allianz Finance II (A)
6.125%, 05/31/22 1,000 1,474
Asset Repackaging Trust MTN,
Ser E PIK
11.715%, 12/21/11 267 382
BMW Finance MTN
5.000%, 08/06/18 383 537
Bank Nederlandse Gemeenten MTN,
Ser E
4.000%, 03/02/09 4,000 5,648
4.000%, 02/15/12 3,500 4,888
Boats Invest Netherlands PIK MTN,
Ser E
11.000%, 03/31/17 250 353
Eureko (A)
5.125%, 06/24/15 450 606
Generali Finance (A)
5.479%, 02/28/49 450 620
Government of Netherlands
7.500%, 01/15/23 443 831
4.000%, 07/15/16 13,155 18,196
ING Bank MTN, Ser E
5.500%, 01/04/12 556 802
4.176%, 06/29/49 (A) 382 482
ING Verzekeringen (A)
6.250%, 06/21/21 1,000 1,477
Iberdrola International MTN, Ser E
4.875%, 02/18/13 800 1,119
Kazkommerts International (F)
8.000%, 11/03/15 600 549
Koninklijke Philips Electronic
5.750%, 05/16/08 513 733
Linde Finance (A)
8.125%, 07/14/66 590 1,256
Rabobank Nederland MTN, Ser E (E)
4.125%, 04/04/12 4,000 5,574
Repsol International Finance MTN,
Ser E (A)
4.313%, 02/16/12 200 279
Siemens Financieringsmat (A)
6.125%, 09/14/66 275 530
--------------
48,517
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description (Thousands)(1) ($ Thousands)
- --------------------------------------------------------------------------------
NEW ZEALAND -- 1.2%
Government of New Zealand
6.000%, 07/15/08 7,886 $ 5,909
Westpac New Zealand
7.750%, 03/08/10 5,000 3,706
--------------
9,615
--------------
NORWAY -- 1.8%
DDI Holding
10.000%, 03/15/12 2,000 375
Eksportfinans MTN
4.375%, 09/20/10 2,275 3,230
Government of Norway
6.000%, 05/16/11 22,700 4,359
4.250%, 05/19/17 11,400 1,997
Norwegian Treasury Bill (D)
4.613%, 12/19/07 16,828 3,071
Petrojack (A) (B)
10.540%, 05/30/12 2,000 380
Petrolia Drilling (B)
10.750%, 02/14/11 2,000 384
Sevan Drilling (A) (B)
8.870%, 12/07/12 2,000 367
Sinvest (A) (B)
10.000%, 12/22/09 1,000 188
--------------
14,351
--------------
PANAMA -- 0.1%
Republic of Panama
9.375%, 04/01/29 879 1,178
--------------
PERU -- 0.2%
Republic of Peru
7.350%, 07/21/25 1,094 1,250
--------------
PHILIPPINES -- 0.1%
Republic of Philippines
8.875%, 03/17/15 158 181
8.250%, 01/15/14 524 585
--------------
766
--------------
POLAND -- 0.5%
Republic of Poland
5.000%, 10/24/13 3,185 1,162
4.750%, 04/25/12 8,000 2,916
--------------
4,078
--------------
- --------------------------------------------------------------------------------
38 SEI Institutional International Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description (Thousands)(1) ($ Thousands)
- --------------------------------------------------------------------------------
RUSSIA -- 0.3%
Ministry Finance of Russia, Ser V
3.000%, 05/14/08 1,162 $ 1,142
RS Finance (RSB)
6.825%, 09/16/09 300 384
Russian Federation Registered (C)
7.500%, 03/31/08 1,174 1,324
--------------
2,850
--------------
SINGAPORE -- 0.7%
Government of Singapore
3.750%, 09/01/16 7,963 5,803
--------------
SOUTH AFRICA -- 0.8%
Foodcorp Registered
8.875%, 06/15/12 330 476
Republic of South Africa
13.000%, 08/31/10 32,880 5,251
5.875%, 05/30/22 1,195 1,170
--------------
6,897
--------------
SPAIN -- 0.2%
BBVA International Preferred Uniperson (A)
3.798%, 09/29/49 1,000 1,218
S Finance Preferred Uniperson (A)
7.005%, 07/29/49 150 302
--------------
1,520
--------------
SUPRA-NATIONAL -- 0.2%
European Investment Bank
5.375%, 10/15/12 EUR 551 819
3.125%, 10/15/15 EUR 554 718
--------------
1,537
--------------
SWEDEN -- 0.7%
Kingdom of Sweden, Ser 1043
5.000%, 01/28/09 7,025 1,100
Kingdom of Sweden, Ser 1046
5.500%, 10/08/12 18,975 3,096
Svenska Handelsbanken MTN, Ser E (A)
4.194%, 12/29/49 467 585
Swedbank MTN, Ser E (A)
5.750%, 03/17/16 GBP 420 792
--------------
5,573
--------------
SWITZERLAND -- 0.1%
Bombardier
7.250%, 11/15/16 400 580
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description (Thousands)(1) ($ Thousands)
- --------------------------------------------------------------------------------
UNITED ARAB EMIRATES -- 0.8%
Emirate of Abu Dhabi (B)
5.500%, 08/02/12 3,000 $ 3,052
Nakheel Development
3.173%, 12/14/09 1,285 1,310
National Bank of Abu Dhabi
5.875%, 02/27/12 950 1,904
--------------
6,266
--------------
UNITED KINGDOM -- 5.1%
AIB UK 1 (A)
4.781%, 12/17/49 EUR 194 239
Abbey National Treasury Services
5.375%, 12/30/09 389 781
Abbey National Treasury Services MTN,
Ser E
4.250%, 04/12/21 1,850 2,438
Alliance & Leicester MTN, Ser E
4.250%, 12/30/08 250 495
Anglian Water Services Financial MTN,
Ser E
5.250%, 10/30/15 280 540
4.625%, 10/07/13 1,450 2,040
Anglian Water Services Financial, Ser A5
6.293%, 07/30/30 500 1,046
Bank of Ireland Holdings MTN, Ser 1 (A)
7.400%, 12/29/49 350 543
Bank of Scotland MTN, Ser E
4.750%, 06/08/22 1,775 2,456
Barclays Bank MTN, Ser E
5.750%, 09/14/26 274 532
British Telecommunications
5.750%, 12/07/28 111 204
Brixton +
5.250%, 10/21/15 280 534
Chester Asset Receivables
6.125%, 10/15/10 EUR 2,160 3,177
FCE Bank MTN, Ser E (A)
4.722%, 09/30/09 500 668
FCE Bank MTN, Ser E
7.125%, 01/15/13 EUR 500 660
Friends Provident (A)
6.875%, 11/21/19 413 836
Getin Finance MTN, Ser E (A)
6.019%, 05/13/09 200 277
Green King Finance, Ser B1
5.702%, 12/15/34 70 137
HBOS MTN, Ser E (A)
5.125%, 10/29/49 EUR 386 512
4.875%, 03/29/49 EUR 1,000 1,336
- --------------------------------------------------------------------------------
SEI Institutional International Trust / Annual Report / September 30, 2007 39
SCHEDULE OF INVESTMENTS
International Fixed Income Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description (Thousands)(1) ($ Thousands)
- --------------------------------------------------------------------------------
Halifax MTN, Ser E
6.375%, 04/03/08 267 $ 545
Hammerson +
5.250%, 12/15/16 280 523
Ineo's Group Holdings
7.875%, 02/15/16 EUR 111 146
Lloyds TSB Bank (A)
6.350%, 10/29/49 EUR 391 577
Lloyds TSB Bank MTN, Ser E
6.625%, 03/30/15 214 443
MBNA Europe Funding MTN, Ser E
4.500%, 01/23/09 EUR 558 792
Marks & Spencer MTN, Ser E
5.625%, 03/24/14 268 520
National Westminster Bank
6.500%, 09/07/21 220 458
Northern Rock (B)
5.625%, 06/22/17 2,550 2,541
Northumbrian Water Finance
6.000%, 10/11/17 500 1,009
Novae Group
8.375%, 04/27/17 100 202
Old Mutual MTN, Ser E (A)
4.500%, 01/18/17 450 621
Royal Bank of Scotland Group
6.666%, 12/31/49 CAD 200 201
Standard Chartered Bank MTN,
Ser E (A)
3.625%, 02/03/17 400 528
United Kingdom Treasury
8.750%, 08/25/17 600 1,574
8.000%, 12/07/15 1,300 3,162
5.000%, 03/07/18 950 1,936
4.750%, 09/07/15 390 780
4.250%, 12/07/46 1,100 2,133
Vodafone Group MTN, Ser E
5.900%, 11/26/32 276 533
Vodafone Group MTN, Ser E
4.250%, 05/27/09 EUR 1,218 1,718
W&DB Issuer, Ser B1 (A)
5.641%, 07/15/35 60 117
Zurich Finance MTN, Ser E (A)
6.625%, 10/30/49 260 515
--------------
41,025
--------------
UNITED STATES -- 3.9%
ASIF III Jersey
0.950%, 07/15/09 JPY 56,000 485
BA Covered Bond Issuer MTN, Ser E
4.125%, 04/05/12 EUR 3,100 4,315
BNP Paribas Capital Trust III (A)
6.625%, 12/29/49 1,000 1,476
- --------------------------------------------------------------------------------
Face Amount Market Value
Description (Thousands)(1) ($ Thousands)
- --------------------------------------------------------------------------------
Banca Poparle Bergamo Capital
Trust (A) EUR
8.364%, 12/29/49 475 $ 734
Banca Popolare Lodi Trust (A)
6.742%, 06/29/49 EUR 955 1,367
Bear Stearns
7.625%, 12/07/09 493 514
CIT Group MTN, Ser E
5.500%, 12/15/08 GBP 416 822
Cablevision Systems, Ser B
8.000%, 04/15/12 235 228
Chesapeake Energy
6.250%, 01/15/17 EUR 400 553
Citigroup
5.000%, 09/15/14 5 5
4.750%, 02/10/19 (A) 1,000 1,365
Citigroup MTN, Ser E (A)
4.250%, 02/25/30 EUR 250 297
Countrywide Financial MTN
5.800%, 06/07/12 677 635
Countrywide Home Loan MTN, Ser L
4.000%, 03/22/11 9 8
DaimlerChrysler MTN, Ser E
4.375%, 03/16/10 EUR 400 564
Directv Holdings
6.375%, 06/15/15 232 220
Dubai Islamic Bank
0.000%, 03/22/12 1,050 1,045
Electronic Data Systems, Ser B
6.500%, 08/01/13 474 478
Fisher Scientific International
6.750%, 08/15/14 107 108
6.125%, 07/01/15 71 70
General Electric Capital MTN, Ser E
0.750%, 02/05/09 JPY 39,000 337
General Motors
8.375%, 07/05/33 EUR 200 247
Genworth Financial
1.600%, 06/20/11 JPY 89,000 779
Goldman Sachs Group
4.581%, 02/04/13 EUR 450 628
HSBC Finance MTN, Ser E
6.125%, 01/22/10 GBP 334 680
4.875%, 05/30/17 EUR 500 688
MGM Mirage
6.750%, 09/01/12 595 585
Morgan Stanley MTN, Ser E
5.450%, 01/09/17 800 771
3.750%, 03/01/13 1,000 1,319
Pfizer
1.800%, 02/22/16 JPY 110,000 950
0.800%, 03/18/08 JPY 13,000 113
- --------------------------------------------------------------------------------
40 SEI Institutional International Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description (Thousands)(1) ($ Thousands)
- --------------------------------------------------------------------------------
Qwest Communications International
7.500%, 02/15/14 335 $ 339
Reynolds American
7.625%, 06/01/16 377 401
7.300%, 07/15/15 195 207
7.250%, 06/01/12 572 607
SLM (A)
4.089%, 12/15/07 300 397
4.039%, 06/15/09 150 206
Schering-Plough
5.375%, 10/01/14 EUR 350 498
Toyota Motor Credit
0.750%, 06/09/08 JPY 101,000 876
Tyson Foods
8.250%, 10/01/11 991 1,073
Unicredito Ital Cap Trust
4.028%, 10/27/15 EUR 800 986
Wal-Mart Stores
4.875%, 01/19/39 GBP 238 422
Washington Mutual Bank
4.500%, 01/17/17 1,000 1,287
Western Union
5.930%, 10/01/16 1,538 1,517
--------------
31,202
--------------
Total Global Bonds
(Cost $485,271) ($ Thousands) 505,540
--------------
ASSET-BACKED SECURITIES -- 14.0%
BELGIUM -- 0.4%
B-Arena, Ser 2006-1, Cl A (A)
3.854%, 04/22/44 2,500 3,522
--------------
FRANCE -- 0.5%
Auto Compartiment, Ser 2007-1,
Cl A (A)
3.919%, 02/25/19 2,500 3,537
FCC Sparc, Ser 2005-1, Cl B (A)
0.527%, 07/15/11 400 553
FCC Sparc, Ser 2007-1, Cl D (A)
6.353%, 07/15/08 100 138
--------------
4,228
--------------
GERMANY -- 0.1%
Prime Bricks, Ser 2007-1, Cl B (A)
4.545%, 01/30/40 350 488
Prime Bricks, Ser 2007-1, Cl C (A)
4.745%, 01/30/40 100 139
--------------
627
--------------
IRELAND -- 0.2%
Immeo Residential Finance, Ser 2,
Cl A (A)
4.305%, 12/15/16 500 704
- --------------------------------------------------------------------------------
Face Amount Market Value
Description (Thousands)(1) ($ Thousands)
- --------------------------------------------------------------------------------
Mermaid Secured Finance, Ser 2007-1,
Cl C (A)
4.545%, 01/30/40 100 $ 139
Mermaid Secured Finance, Ser 2007-1,
Cl D (A)
4.745%, 01/30/40 100 139
Talisman Finance, Ser 7, Cl H (A)
6.452%, 04/22/17 500 652
--------------
1,634
--------------
JAPAN -- 0.0%
JLOC, Ser 37X, Cl B1 (A)
1.151%, 01/15/15 20,000 173
--------------
JERSEY -- 0.1%
Whinstone Capital Management,
Ser 1X, Cl B1 (A)
6.596%, 10/25/45 311 623
--------------
LUXEMBOURG -- 0.3%
Geldilux, Ser 2005-TS, Cl 1A (A)
3.878%, 12/10/12 2,000 2,842
--------------
NETHERLANDS -- 2.0%
Amstel Corporate Loan Offering,
Ser 2007-1, Cl A2 (A)
4.085%, 03/25/17 1,000 1,406
Beluga Master Issuer, Ser 2006-1,
Cl A2 (A)
3.899%, 04/28/99 2,500 3,525
Lambda Finance, Ser 2005-1X,
Cl A2 (A)
4.054%, 11/15/29 1,500 2,117
Saecure, Ser 5, Cl A (A)
3.353%, 05/25/42 1,235 1,749
Shield, Ser 1, Cl A (A)
3.924%, 01/20/14 2,500 3,522
Skyline, Ser 2007-1, Cl D (A)
5.013%, 07/22/43 200 270
Storm, Ser 2006-1, Cl A2 (A)
3.864%, 04/22/48 2,500 3,512
--------------
16,101
--------------
SPAIN -- 0.4%
FTA Santander Auto, Ser 1, Cl A (A)
3.902%, 11/25/21 1,607 2,278
Santander Consumer Finance,
Ser 2007-1, Cl A (A)
4.271%, 09/20/22 500 700
--------------
2,978
--------------
- --------------------------------------------------------------------------------
SEI Institutional International Trust / Annual Report / September 30, 2007 41
SCHEDULE OF INVESTMENTS
International Fixed Income Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description (Thousands)(1) ($ Thousands)
- --------------------------------------------------------------------------------
UNITED KINGDOM -- 1.6%
Arkle Master Issuer, Ser 2006-1X,
Cl 2C (A)
4.416%, 02/17/52 150 $ 210
Canary Wharf Finance, Ser II, Cl C2 (A)
6.224%, 10/22/37 200 389
Gracechurch Mortgage Financing,
Ser 2006-1, Cl C3 (A)
4.844%, 11/20/56 250 345
Gracechurch Mortgage Financing,
Ser 2007-1X, Cl 2D2 (A)
4.974%, 11/20/56 400 555
Gracechurch Mortgage Financing,
Ser 2007-1X, Cl 3A2 (A)
4.674%, 11/20/56 2,000 2,811
Granite Master Issuer, Ser 2006-2,
Cl A5 (A)
3.854%, 12/20/54 1,000 1,407
Metrix Funding, Ser 1X, Cl A2 (A)
4.013%, 02/10/19 2,500 3,522
Permanent Financing, Ser 7, Cl 3B (A)
4.875%, 06/10/42 2,500 3,498
--------------
12,737
--------------
UNITED STATES -- 8.4%
BCAP Trust, Ser 2007-AA1, Cl 1A1 (A)
5.420%, 02/25/47 2,339 2,312
Bear Stearns Adjustable Rate Mortgage
Trust, Ser 2004-6, Cl 3A (A)
5.431%, 09/25/34 575 562
Bear Stearns Commercial Mortgage
Securities, Ser 2006-PW14, Cl A4
5.201%, 12/11/38 2,775 2,705
Chase Manhattan Auto Owner Trust,
Ser 2005-B, Cl A4
4.880%, 06/15/12 3,230 3,221
Citibank Credit Card Issuance Trust,
Ser A4, Cl A4
5.375%, 04/10/13 EUR 1,900 2,753
Citigroup Mortgage Loan Trust,
Ser 2005-2, Cl 1A4 (A)
5.107%, 05/25/35 2,631 2,599
Countrywide Alternative Loan Trust,
Ser 2006-43CB, Cl 1A7
6.000%, 01/31/37 4,103 4,137
Countrywide Alternative Loan Trust,
Ser 2006-OC8, Cl 2A1A (A)
5.410%, 11/25/36 2,398 2,395
Countrywide Asset-Backed Certificates,
Ser 2007-2, Cl 2A1 (A)
5.370%, 03/14/37 2,877 2,857
- --------------------------------------------------------------------------------
Face Amount Market Value
Description (Thousands)(1) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Home Loans,
Ser 2003-56, Cl 5A1 (A)
4.781%, 12/25/33 608 $ 597
Credit Suisse First Boston Mortgage
Securities, Ser 2002-CKS4, Cl A2
5.183%, 11/15/36 2,810 2,803
Credit Suisse First Boston Mortgage
Securities, Ser 2003-CKS4, Cl A1
4.485%, 11/15/36 1,755 1,733
Deutsche Alt-A Securities,
Ser 2007-BAR1, Cl A1 (A)
5.400%, 03/25/37 2,100 2,097
Duke Funding, Ser 2004-6B,
Cl A1S1 (A) (B) (G)
5.430%, 10/09/07 7 7
Ford Credit Auto Owner Trust,
Ser 2006-B, Cl A2B (A)
5.340%, 07/15/09 1,497 1,496
Ford Credit Auto Owner Trust,
Ser 2006-C, Cl A3
5.160%, 11/15/10 2,215 2,217
GSR Mortgage Loan Trust,
Ser 2005-AR1, Cl 4A1 (A)
5.134%, 01/25/35 673 664
GSR Mortgage Loan Trust,
Ser 2007-AR2, Cl 2A1 (A)
5.498%, 05/25/37 3,112 3,109
JP Morgan Mortgage Trust,
Seri 2004-A5, Cl 3A1 (A)
5.310%, 12/25/34 702 685
Keybank, Ser 2000-CA, Cl A2 (A)
7.727%, 05/17/32 2,575 2,703
LB-UBS Commercial Mortgage Trust,
Ser 2007-C1, Cl A4
5.424%, 02/15/40 1,449 1,430
LB-UBS Commercial Mortgage Trust,
Ser 2007-C6, Cl A4 (A)
5.858%, 07/15/17 1,310 1,332
LB-UBS Commercial Mortgage Trust,
Ser 2007-C7, Cl A1A
4.475%, 10/15/29 2,926 2,842
Merrill Lynch/Countrywide Commercial
Mortgage, Ser 2007-6, Cl A4 (A)
5.485%, 03/12/51 750 742
Morgan Stanley Capital I,
Ser 2006-IQ12, Cl A4
5.319%, 12/15/43 2,560 2,518
Morgan Stanley Capital I,
Ser 2007-T25, Cl A3 (A)
5.514%, 11/12/49 784 779
Peco Energy Transition Trust,
Ser A, Cl A1
6.520%, 12/31/10 2,600 2,718
- --------------------------------------------------------------------------------
42 SEI Institutional International Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description (Thousands)(1) ($ Thousands)
- --------------------------------------------------------------------------------
SLM Student Loan Trust,
Ser 2, Cl A5 (A)
3.304%, 10/22/07 EUR 1,000 $ 1,414
Salomon Brothers Mortgage Securities,
Ser 2000-C1, Cl A2 (A)
7.520%, 12/18/09 2,475 2,577
Soundview Home Loan Equity Trust,
Ser 2007-NS1, Cl A1 (A)
5.625%, 10/25/07 2,116 2,101
Structured Asset Investment Loan Trust,
Ser 2006-BNC3, Cl A2 (A)
5.360%, 09/25/36 1,677 1,664
USAA Auto Owner Trust,
Ser 2006-4, Cl A3
5.010%, 06/15/11 3,105 3,103
Washington Mutual Mortgage Pass-Through
Certificates, Ser 2006-AR10, Cl 3A2 (A)
6.098%, 08/25/46 445 441
Washington Mutual Mortgage Pass-Through
Certificates, Ser 2006-AR1E, Cl 3A2 (A)
5.544%, 01/25/37 1,120 1,091
Washington Mutual Mortgage Pass-Through
Certificates, Ser 2007-HY1, Cl 3A2 (A)
5.883%, 02/25/37 423 416
Wells Fargo Home Equity, Ser 2006-2,
Cl A1 (A)
5.575%, 10/25/07 1,449 1,443
--------------
68,263
--------------
Total Asset-Backed Securities
(Cost $111,129) ($ Thousands) 113,728
--------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
OBLIGATIONS -- 4.3%
FHLMC
4.750%, 01/15/13 EUR 557 802
FHLMC 30 Year TBA
5.500%, 10/11/07 to 06/01/37 13,974 13,693
FNMA 30 Year TBA
5.500%, 05/01/37 to 10/01/37 5,355 5,245
5.000%, 08/01/34 9,009 8,624
GNMA 30 Year TBA
5.500%, 11/01/34 6,400 6,310
--------------
Total U.S. Government Agency Mortgage-
Backed Obligations
(Cost $34,408) ($ Thousands) 34,674
--------------
CORPORATE OBLIGATIONS -- 2.3%
UNITED STATES -- 2.3%
AT&T
6.500%, 09/01/37 650 670
Altria Group
7.750%, 01/15/27 705 866
- --------------------------------------------------------------------------------
Face Amount Market Value
Description (Thousands)(1) ($ Thousands)
- --------------------------------------------------------------------------------
Autonation (A) (B)
7.374%, 10/15/07 44 $ 42
Bear Stearns MTN
6.950%, 08/10/12 995 1,037
CSC Holdings, Ser B
8.125%, 07/15/09 65 66
Capital One Bank
4.250%, 12/01/08 521 515
Comcast Cable Communication
6.200%, 11/15/08 251 254
Countrywide Financial
6.250%, 05/15/16 288 261
Embarq
7.082%, 06/01/16 1,783 1,848
Ford Motor Credit
6.625%, 06/16/08 365 362
4.950%, 01/15/08 119 118
Freeport-McMorRan Copper & Gold
8.250%, 04/01/15 225 243
Hertz (B)
8.875%, 01/01/14 221 228
ILFC E-Capital Trust I (A) (B)
5.900%, 12/21/07 150 149
JPMorgan Chase MTN (A)
5.437%, 12/22/08 4,000 3,999
JPMorgan Chase MTN, Ser E (A)
4.375%, 11/12/19 1,000 1,321
Lehman Brothers Holdings
6.500%, 07/19/17 197 200
Liberty Mutual Group (B)
7.800%, 03/15/37 315 307
MGM Mirage
8.375%, 02/01/11 211 220
Mirant Americas
8.500%, 10/01/21 399 380
Motorola
7.500%, 05/15/25 85 88
6.500%, 09/01/25 531 514
NRG Energy
7.375%, 02/01/16 225 226
Reliant Energy
7.875%, 06/15/17 225 226
7.625%, 06/15/14 175 176
SLM EXL MTN (A) (G)
5.763%, 10/15/07 10 10
SLM MTN
5.050%, 11/14/14 1,392 1,181
Sara Lee
6.250%, 09/15/11 448 463
Starwood Hotels & Resorts
7.375%, 11/15/15 1,194 1,236
Union Carbide
7.750%, 10/01/96 910 960
- --------------------------------------------------------------------------------
SEI Institutional International Trust / Annual Report / September 30, 2007 43
SCHEDULE OF INVESTMENTS
International Fixed Income Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description (Thousands)(1) ($ Thousands)
- --------------------------------------------------------------------------------
Wachovia Capital Trust III (A)
5.800%, 03/15/11 385 $ 382
Williams
7.875%, 09/01/21 207 225
Xerox
7.625%, 06/15/13 210 218
--------------
Total Corporate Obligations
(Cost $18,855) ($ Thousands) 18,991
--------------
LOAN PARTICIPATIONS -- 1.2%
UNITED STATES -- 1.2%
Amsted Industries Term Loan
7.360%, 04/15/13 245 242
Aramark Term Loan
8.082%, 01/26/14 GBP 299 587
Beverly Enterprises Term Loan
8.070%, 03/04/11 342 339
Boston Generating Term Loan
7.610%, 12/20/13 747 687
Cablevision, Ser B Term Loan
7.122%, 03/29/13 494 486
Education Management Term Loan
7.875%, 06/01/13 743 716
Ford Motor Company Term Loan
8.360%, 12/16/13 744 721
Lear Term Loan
7.867%, 04/25/12 820 803
London Arena & Waterfront Term Loan
8.853%, 03/08/12 1,182 1,147
Momentive Performance Term Loan
7.625%, 12/04/13 995 972
Peach Holding Term Loan
9.110%, 11/21/13 590 572
TP Generation Holdings Term Loan
9.610%, 12/15/14 500 484
Targus Group Term Loan
8.870%, 11/22/12 495 449
United Subcontractors Term Loan
8.360%, 12/27/12 708 638
Wimar Opco Term Loan
7.610%, 01/03/12 488 471
--------------
Total Loan Participations
(Cost $9,687) ($ Thousands) 9,314
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description (Thousands)(1)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
TIME DEPOSITS -- 15.3%
UNITED STATES -- 15.3%
Brown Brothers Harriman
6.450%, 10/01/07 NZD 142 $ 107
5.650%, 10/01/07 AUD 82 73
4.950%, 10/01/07 GBP 12 24
4.520%, 10/01/07 58,087 58,087
4.100%, 10/01/07 NOK 770 142
3.700%, 10/01/07 CAD 1 1
3.250%, 10/01/07 EUR 1 1
3.150%, 10/01/07 DKK 514 98
2.850%, 10/01/07 SEK 5 1
1.000%, 10/01/07 JPY 16,527 144
Lloyds TSB (London)
5.190%, 10/10/07 16,691 16,691
Royal Bank of Canada
4.800%, 11/05/07 16,750 16,750
Royal Bank of Scotland (London)
5.640%, 10/31/07 14,686 14,686
UBS (London)
5.510%, 10/05/07 16,680 16,680
--------------
Total Time Deposits
(Cost $123,485) ($ Thousands) 123,485
--------------
U.S. TREASURY OBLIGATIONS -- 1.2%
U.S. Treasury Inflationary Index Notes
2.500%, 07/15/16 1,870 1,905
2.000%, 01/15/16 3,589 3,509
1.875%, 07/15/13 3,736 3,676
U.S. Treasury Notes
4.750%, 02/15/37 320 316
4.250%, 11/15/14 90 89
--------------
Total U.S. Treasury Obligations
(Cost $9,465) ($ Thousands) 9,495
--------------
MASTER NOTES -- 0.2%
UNITED STATES -- 0.2%
Comcast
6.950%, 08/15/37 1,060 1,110
Kraft Foods
6.500%, 08/11/17 510 519
OAO Gazprom
7.288%, 08/16/37 500 532
--------------
Total Master Notes
(Cost $2,065) ($ Thousands) 2,161
--------------
- --------------------------------------------------------------------------------
44 SEI Institutional International Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CASH EQUIVALENT -- 0.1%
SEI Liquidity Fund,
LP, 5.367%*++ (G) 571,070 $ 571
--------------
Total Cash Equivalent
(Cost $571) ($ Thousands) 571
--------------
Total Investments -- 101.1%
(Cost $794,936) ($ Thousands) $ 817,959
==============
A summary of the outstanding forward foreign currency contracts held by the Fund
at September 30, 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)
- -------------------------------------------------------------------------------
10/4/07 USD 1,474 CZK 28,500 $ 1
10/4/07-10/17/07 USD 2,656 AUD 3,078 68
10/4/07-10/17/07 USD 29,456 GBP 14,606 295
10/4/07-10/17/07 USD 4,755 MXP 52,608 52
10/4/07-10/17/07 USD 8,855 PLN 23,640 67
10/4/07-10/30/07 USD 162,266 EUR 114,843 1,075
10/4/07-11/5/07 CZK 57,000 USD 2,880 (73)
10/4/07-11/5/07 MXP 144,697 USD 13,136 (88)
10/4/07-11/5/07 PLN 34,699 USD 12,546 (553)
10/4/07-11/13/07 NOK 64,398 USD 11,331 (547)
10/4/07-11/13/07 SEK 55,677 USD 8,349 (265)
10/4/07-11/13/07 USD 5,072 NOK 28,335 154
10/4/07-11/16/07 CAD 23,286 USD 22,435 (1,007)
10/4/07-11/16/07 USD 8,696 CAD 9,031 395
10/4/07-11/28/07 GBP 27,616 USD 55,915 (326)
10/4/07-11/29/07 AUD 15,032 USD 12,784 (508)
10/4/07-12/11/07 USD 4,256 SEK 27,853 53
10/4/07-12/13/07 EUR 314,850 USD 438,262 (9,724)
10/4/07-2/13/08 USD 58,689 JPY 6,792,016 575
10/4/07-3/12/08 JPY 22,437,992 USD 192,298 (3,685)
10/10/07-10/26/07 CHF 2,771 EUR 1,699 42
10/10/07-10/26/07 EUR 7,719 CHF 12,625 (158)
10/10/07-10/29/07 AUD 7,057 GBP 2,930 (273)
10/10/07-10/29/07 GBP 1,521 AUD 3,780 245
10/10/07-2/12/08 CHF 44,800 GBP 18,612 (661)
10/10/07-2/12/08 GBP 17,531 CHF 42,000 463
10/10/07-2/13/08 GBP 15,646 JPY 3,644,000 26
10/10/07-3/12/08 CHF 13,900 NZD 16,011 64
10/10/07-3/12/08 CHF 45,051 USD 37,681 (1,057)
10/10/07-3/12/08 JPY 1,533,000 AUD 15,613 345
10/10/07-3/12/08 JPY 4,752,000 GBP 20,354 (176)
10/10/07-3/12/08 USD 32,723 CHF 38,900 744
10/10/07-1/11/08 AUD 8,877 JPY 840,000 (488)
10/10/07-1/11/08 NZD 9,902 CHF 8,400 (220)
10/17/07 DKK 69,529 USD 12,910 (362)
10/17/07-10/22/07 USD 1,462 ZAR 10,072 (4)
10/17/07-10/22/07 ZAR 48,267 USD 6,775 (211)
10/17/07-11/19/07 NZD 10,479 USD 7,798 (93)
10/23/07 EUR 945 SEK 8,834 22
10/24/07 EUR 5,535 JPY 901,907 (11)
10/24/07 JPY 328,370 EUR 2,150 196
10/25/07 EUR 3,500 NOK 27,680 126
10/25/07 NOK 16,273 EUR 2,035 (106)
10/26/07 CAD 2,944 EUR 2,025 (83)
10/29/07 SGD 8,433 USD 5,561 (133)
11/19/07 USD 1,535 NZD 2,153 84
12/5/07 HUF 963,807 USD 5,400 (41)
--------------
$ (15,761)
==============
A summary of the open futures contracts held by the Fund at September 30, 2007,
is as follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
NUMBER OF APPRECIATION
TYPE OF CONTRACTS EXPIRATION (DEPRECIATION)
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
Euro-Bobl 216 Dec-2007 $ (91)
Euro-Bund 215 Dec-2007 (190)
Euro-Schatz 22 Dec-2007 (4)
Japan 10-Year Bond 1 Dec-2007 --
Long Gilt 10-Year Bond 74 Dec-2007 (29)
U.S. 10-Year Treasury Note (335) Dec-2007 2
U.S. 2-Year Treasury Note (178) Dec-2007 (183)
U.S. 5-Year Treasury Note (381) Dec-2007 (32)
U.S. Long Treasury Bond (34) Dec-2007 34
--------------
$ (493)
==============
A summary of outstanding swap agreements held by the Fund at September 30, 2007,
is as follows (see Note 2 in Notes to Financial Statements):
- -------------------------------------------------------------------------------------------
TOTAL RETURN SWAP
- -------------------------------------------------------------------------------------------
Deliver payment on the monthly reset spread
from Lehman Global Aggregate Ex USD
RBI Basket Series 1 Index plus 11 basis
points times the notional amount. 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: Lehman Brothers) 02/01/08 85,521 $ (27)
======
- -------------------------------------------------------------------------------------------
INTEREST RATE SWAPS
- -------------------------------------------------------------------------------------------
Pays a fixed rate of 4.269% and receives a
floating rate based on the 3 Month
Canadian LIBOR quarterly.
(Counterparty: JPMorgan Chase) 03/22/12 CAD 15,000 $ 255
Pays a fixed rate of 4.196% and receives a
floating rate based on the 6 Month Euribor
semi-annually.
(Counterparty: JPMorgan Chase) 03/30/12 EUR 3,000 50
Receives a fixed rate of 5.499% and pays
a floating rate based on the 6 Month
GBP LIBOR semi-annually.
(Counterparty: Deutsche Bank) 03/22/12 GBP 6,000 (49)
Receives a fixed rate of 1.285% and pays
a floating rate based on the 6 Month
Yen LIBOR semi-annually.
(Counterparty: JPMorgan Chase) 03/26/12 JPY 2,600,000 (68)
Receives a fixed rate of 2.218% and pays
a floating rate based on the 6 Month
Yen LIBOR semi-annually.
(Counterparty: JPMorgan Chase) 03/26/27 JPY 1,000,000 (156)
Receives a fixed rate of 7.661% and pays
a floating rate based on the 3 Month
New Zealand BKBM quarterly.
(Counterparty: Deutsche Bank) 03/26/12 NZD 3,000 (70)
------
$ (38)
======
- --------------------------------------------------------------------------------
SEI Institutional International Trust / Annual Report / September 30, 2007 45
SCHEDULE OF INVESTMENTS
International Fixed Income Fund (Concluded)
September 30, 2007
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $808,742 ($ Thousands).
* Rate shown is the 7-day effective yield as of September 30, 2007.
+ Real Estate Investments Trust
++ Affiliated security
(1) In local currency unless otherwise indicated.
(A) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of September 30, 2007.
(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 determined to be liquid
under guidelines established by the Board of Trustees.
(C) Step Bonds -- The rate reflected on the Schedule of Investments is the
effective yield on September 30, 2007. The coupon on a step bond changes
on a specified date.
(D) Zero coupon security. The rate reported on the Schedule of Investments is
the effective yield at time of purchase.
(E) Security purchased on a when-issued basis.
(F) This security or a partial position of this security is on loan at
September 30, 2007. The total market value of securities on loan at
September 30, 2007 was $542 ($ Thousands) (See Note 7).
(G) This security was purchased with cash collateral held from securities on
loan. The total market value of such securities as of September 30, 2007
was $588 ($ Thousands) (See Note 7).
AUD -- Australian Dollar
CAD -- Canadian Dollar
CHF -- Swiss Franc
Cl -- Class
CPI -- Consumer Price Index
CZK -- Czech Koruna
DKK -- Danish Krone
EUR -- Euro
EXL -- Extendable Maturity
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GBP -- British Pound Sterling
GNMA -- Government National Mortgage Association
HUF -- Hungarian Forint
JPY -- Japanese Yen
LIBOR -- London Interbank Offering Rate
LP -- Limited Partnership
MTN -- Medium Term Note
MXP -- Mexican Peso
NOK -- Norwegian Krone
NZD -- New Zealand Dollar
PIK -- Payment-in-Kind
PLN -- Polish Zloty
SEK -- Swedish Krona
Ser -- Series
SGD -- Singapore Dollar
TBA -- To Be Announced
USD -- U.S. Dollar
ZAR -- South African Rand
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
46 SEI Institutional International Trust / Annual Report / September 30, 2007
Emerging Markets Debt Fund
September 30, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)+:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Government 68.3%
Time Deposits 6.0%
Short-Term Investment 4.8%
Deposits to Counterparty as Collateral for Swap Contracts 4.3%
Loan Participations 4.2%
Financials 4.0%
U.S. Treasury Obligations 3.3%
Energy 2.2%
Telecommunication Services 1.7%
Utilities 0.8%
Basic Materials 0.3%
Asset-Backed Securities 0.1%
Warrants 0.0%
+ Percentages based on total investments. Includes Investments held as
collateral for securities on loan (see Note 7).
- --------------------------------------------------------------------------------
Face Amount Market Value
Description (Thousands)(1) ($ Thousands)
- --------------------------------------------------------------------------------
GLOBAL BONDS -- 77.5%
ARGENTINA -- 6.3%
Alto Parana Sa Celara6 (A)
6.375%, 06/09/17 440 $ 444
Cia Transporte Energia Registered (A)
8.875%, 12/15/16 470 437
Province Del Neuquen (A)
8.656%, 10/18/14 250 253
Province of Buenos Aires (A)
9.620%, 04/18/28 1,605 1,384
Province of Buenos Aires Registered
9.625%, 04/18/28 695 596
9.375%, 09/14/18 470 408
2.000%, 05/15/35 (F) 1,200 477
Province of Mendoza Registered
5.500%, 09/04/18 386 297
Republic of Argentina
12.000%, 09/19/16 (G) EUR 1,000 229
11.750%, 05/20/11 (G) EUR 2,500 595
9.000%, 05/29/09 (G) EUR 2,650 1,206
9.000%, 06/20/49 EUR 1,125 526
8.857%, 12/15/35 (B) 2,400 287
8.500%, 07/01/04 (G) EUR 775 362
8.280%, 12/31/33 (C) 15,267 13,854
8.125%, 04/21/08 (G) EUR 4,200 1,940
8.000%, 02/25/02 to
02/26/08 (G) EUR 1,675 788
7.820%, 12/31/33 EUR 249 303
7.625%, 03/31/05 (G) 1,120 280
7.625%, 08/11/07 (G) ITL 2,325,000 536
7.535%, 12/15/35 (B) 12,560 1,633
7.000%, 03/18/04 (G) ITL 1,475,000 350
7.000%, 09/12/13 8,505 7,176
5.830%, 12/31/33 (B) 2,675 1,029
5.475%, 02/03/08 (B) 4,715 2,673
5.389%, 08/03/12 (B) (G) 8,145 4,618
1.330%, 12/31/38 (F) 38,225 15,577
- --------------------------------------------------------------------------------
Face Amount Market Value
Description (Thousands)(1) ($ Thousands)
- --------------------------------------------------------------------------------
Republic of Argentina MTN,
Ser E
10.000%, 01/03/07 (G) ITL 3,000,000 $ 742
9.250%, 07/20/04 (G) 1,375 641
9.000%, 05/24/49 (G) EUR 1,400 660
8.750%, 02/04/49 (G) EUR 1,375 626
8.500%, 07/30/10 (G) EUR 2,000 896
7.625%, 08/11/07 (G) ITL 2,255,000 511
Transportadora Gas Norte (A) (F)
7.500%, 12/31/12 260 231
6.500%, 12/31/12 37 33
Transportadora Gas Norte
Registered (F)
7.500%, 12/31/12 130 116
6.500%, 12/31/12 216 193
--------------
62,907
--------------
BAHAMAS -- 0.1%
Banco Votorantim Nassau (A)
10.625%, 04/10/14 2,750 1,429
--------------
BELIZE -- 0.0%
Government of Belize Registered (F)
4.250%, 02/20/29 400 304
--------------
BERMUDA -- 0.1%
Citic Resources Finance (A)
6.750%, 05/15/14 300 291
Digicel Group (A)
8.875%, 01/15/15 550 517
--------------
808
--------------
BOSNIA-HERZEGOVINA -- 0.1%
Republic of Bosnia & Herzegovina,
Ser B (J)
10.028%, 12/11/17 EUR 2,300 1,238
--------------
BRAZIL -- 9.6%
Cesp-Comp Ener Sao Paulo (A)
9.750%, 01/15/15 BRL 1,375 794
Federal Republic of Brazil
12.500%, 01/05/22 BRL 15,160 10,039
11.000%, 08/17/40 (C) 25,387 33,955
10.500%, 07/14/14 240 304
10.250%, 01/10/28 BRL 15,200 8,687
10.125%, 05/15/27 5,625 8,024
8.875%, 04/15/24 3,700 4,764
8.750%, 02/04/25 3,755 4,806
8.250%, 01/20/34 3,080 3,879
7.125%, 01/20/37 (C) 12,770 14,264
6.000%, 01/17/17 6,785 6,877
--------------
96,393
--------------
- --------------------------------------------------------------------------------
SEI Institutional International Trust / Annual Report / September 30, 2007 47
SCHEDULE OF INVESTMENTS
Emerging Markets Debt Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description (Thousands)(1) ($ Thousands)
- --------------------------------------------------------------------------------
CAYMAN ISLANDS -- 0.5%
Banco Safra (A)
10.875%, 04/03/17 BRL 2,800 $ 1,461
Blue City Investments
13.750%, 11/07/13 750 752
Earls Eight (A) (F)
7.500%, 12/31/12 420 374
Interoceanica IV Finance (A) (J)
3.831%, 11/30/25 1,000 468
3.657%, 11/30/18 450 285
Peru Enhanced Pass-Thru (A) (J)
5.926%, 05/31/25 320 123
3.949%, 05/31/18 1,495 1,024
Vale Overseas
6.875%, 11/21/36 220 226
6.250%, 01/23/17 85 86
--------------
4,799
--------------
CHILE -- 0.5%
Codelco
5.500%, 10/15/13 1,875 1,884
Republic of Chile
5.500%, 01/15/13 3,215 3,269
--------------
5,153
--------------
COLOMBIA -- 4.9%
BanColombia
6.875%, 05/25/17 425 413
Bogota Distrio Capital (A)
9.750%, 07/26/28 COP 1,815,000 869
Republic of Colombia
11.750%, 02/25/20 13,356 19,567
10.375%, 01/28/33 4,080 5,987
9.850%, 06/28/27 (C) COP 27,526,000 13,864
8.125%, 05/21/24 775 903
7.375%, 01/27/17 685 745
7.375%, 09/18/37 6,185 6,804
--------------
49,152
--------------
CYPRUS -- 0.5%
ABH Financial (A)
8.200%, 06/25/12 900 827
Springvale Holdings (B)
11.389%, 09/07/08 1,000 1,000
Teorema Holding
11.000%, 10/27/09 3,400 3,400
--------------
5,227
--------------
DOMINICAN REPUBLIC -- 0.2%
Republic of Dominican Republic
9.040%, 01/23/18 618 682
8.625%, 04/20/27 1,325 1,491
8.625%, 04/20/27 100 112
--------------
2,285
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description (Thousands)(1) ($ Thousands)
- --------------------------------------------------------------------------------
ECUADOR -- 1.1%
Republic of Ecuador Registered
10.000%, 02/15/08 (F) 9,520 $ 8,782
9.375%, 12/15/15 2,785 2,716
--------------
11,498
--------------
EGYPT -- 0.2%
Arab Republic of Egypt (A)
8.750%, 07/18/12 8,450 1,550
--------------
EL SALVADOR -- 1.7%
Republic of El Salvador
8.250%, 04/10/32 3,485 4,130
7.750%, 01/24/23 3,790 4,334
7.650%, 06/15/35 7,891 8,857
--------------
17,321
--------------
GHANA -- 0.1%
Republic of Ghana (A)
8.500%, 10/04/17 1,200 1,224
--------------
INDIA -- 0.0%
ICICI Bank (A)
6.625%, 10/03/12 330 330
--------------
INDONESIA -- 2.2%
BLT Finance
7.500%, 05/15/14 300 283
Excelcomindo Finance
7.125%, 01/18/13 290 291
Garuda Indonesia (B) (H) (I)
5.860%, 12/31/07 1,183 734
Indosat Finance
7.125%, 06/22/12 1,050 1,046
Republic of Indonesia
10.250%, 07/15/27 IDR 47,131,920 5,321
8.500%, 10/12/35 400 474
8.500%, 10/12/35 3,150 3,733
7.500%, 01/15/16 240 260
7.500%, 01/15/16 (A) 1,760 1,892
7.250%, 04/20/15 2,845 3,031
7.250%, 04/20/15 (A) 155 165
6.875%, 03/09/17 670 696
6.750%, 03/10/14 2,600 2,692
6.625%, 02/17/37 650 626
6.625%, 02/17/37 (A) 800 765
--------------
22,009
--------------
IRAQ -- 0.7%
Republic of Iraq
5.800%, 01/15/28 11,450 6,841
--------------
- --------------------------------------------------------------------------------
48 SEI Institutional International Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description (Thousands)(1) ($ Thousands)
- --------------------------------------------------------------------------------
IRELAND -- 0.2%
Dal Capital (Vneshtorgbk)
7.000%, 04/13/09 RUB 19,000 $ 762
Transcapit (Transneft) (A)
6.103%, 06/27/12 700 714
--------------
1,476
--------------
JERSEY -- 0.3%
Aldar Funding
5.767%, 11/10/11 1,000 1,285
UBS Jersey Branch MTN (A) (B)
0.787%, 11/01/13 1,320 1,522
--------------
2,807
--------------
LEBANON -- 0.1%
Lebanese Republic Registered
8.250%, 04/12/21 950 845
--------------
LUXEMBOURG -- 1.1%
Alfa Dividend Payment Rights
Finance (A) (B)
7.260%, 12/15/07 476 462
Gaz Capital for Gazprom Registered
9.625%, 03/01/13 1,500 1,737
8.625%, 04/28/34 3,340 4,310
Kuznetski (Bank of Moscow) (F)
7.500%, 11/25/15 1,200 1,192
RSHB Captl
7.175%, 05/16/13 400 409
6.299%, 05/15/17 (A) 2,545 2,396
UBS (Vimpelcom)
8.250%, 05/23/16 235 241
8.250%, 05/23/16 335 343
--------------
11,090
--------------
MALAYSIA -- 2.4%
Bank Megara Monetary Note (J)
3.192%, 11/01/07 MYR 12,250 3,584
Government of Malaysia
7.500%, 07/15/11 3,910 4,238
3.814%, 02/15/17 MYR 11,625 3,432
3.502%, 05/31/27 MYR 12,250 3,207
Petronas Capital Registered
7.875%, 05/22/12 550 659
7.875%, 05/22/22 7,010 8,455
--------------
23,575
--------------
MEXICO -- 4.7%
Cornhill, Ser 39 (G) (H) (I)
0.000%, 01/30/00 1,650 330
Cornhill, Ser 46 (G) (H) (I)
8.626%, 03/02/00 150 30
- --------------------------------------------------------------------------------
Face Amount Market Value
Description (Thousands)(1) ($ Thousands)
- --------------------------------------------------------------------------------
Mexican Bonos, Ser M20
8.000%, 12/07/23 MXP 71,744 $ 6,589
Pemex Project Funding
Master Trust
8.625%, 02/01/22 650 802
7.375%, 12/15/14 500 550
United Mexican States
8.125%, 12/30/19 5,825 7,069
7.500%, 04/08/33 7,590 9,009
5.625%, 01/15/17 1,420 1,416
United Mexican States MTN
8.300%, 08/15/31 6,225 7,977
United Mexican States MTN,
Ser A
6.750%, 09/27/34 12,663 13,771
United Mexican States MTN,
Ser E
11.000%, 05/08/17 EUR 5,000 5
--------------
47,548
--------------
NETHERLANDS -- 0.7%
HSBK Europe (A)
7.250%, 05/03/17 500 453
ING Bank MTN, Ser E
9.625%, 05/30/08 700 680
Kazkommerts International (A)
7.500%, 11/29/16 450 375
Kazkommerts International
Registered
7.500%, 11/29/16 900 751
Lukoil International Finance (A)
6.656%, 06/07/22 245 232
Majapahit Holding (A)
7.875%, 06/29/37 555 542
7.750%, 10/17/16 280 285
7.750%, 10/17/16 260 263
7.250%, 06/28/17 770 755
TGI International (A)
9.500%, 10/03/17 660 660
White Nights Belagroprom Bank (B)
8.284%, 12/15/07 1,390 1,972
--------------
6,968
--------------
NIGERIA -- 0.2%
HSBC Bank MTN
10.500%, 07/28/08 NGN 255,000 2,030
--------------
PAKISTAN -- 0.1%
Republic of Pakistan
7.875%, 03/31/36 330 290
6.875%, 06/01/17 500 432
--------------
722
--------------
- --------------------------------------------------------------------------------
SEI Institutional International Trust / Annual Report / September 30, 2007 49
SCHEDULE OF INVESTMENTS
Emerging Markets Debt Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description (Thousands)(1) ($ Thousands)
- --------------------------------------------------------------------------------
PANAMA -- 1.9%
Republic of Panama
9.375%, 01/16/23 560 $ 722
9.375%, 04/01/29 2,005 2,687
8.875%, 09/30/27 4,370 5,572
7.250%, 03/15/15 (C) 7,090 7,586
6.700%, 01/26/36 1,605 1,649
6.700%, 01/26/36 580 600
--------------
18,816
--------------
PERU -- 2.5%
Republic of Peru
8.750%, 11/21/33 760 998
8.375%, 05/03/16 3,305 3,875
7.350%, 07/21/25 6,850 7,826
6.900%, 08/12/37 (A) (C) 8,475 2,822
Republic of Peru FLIRB,
Ser 20YR (B)
6.143%, 03/07/08 1,187 1,185
6.143%, 03/07/08 4,920 4,920
5.000%, 03/07/17 752 752
Republic of Peru, Ser 20YR (B)
5.000%, 03/07/08 2,663 2,661
--------------
25,039
--------------
PHILIPPINES -- 6.9%
DMCI Water (I)
0.000%, 12/31/09 1,989 1,989
National Power
9.625%, 05/15/28 1,400 1,680
6.875%, 11/02/16 (A) 965 955
Republic of Philippines
10.625%, 03/16/25 13,265 18,671
9.875%, 01/15/19 500 636
9.500%, 02/02/30 7,170 9,357
9.375%, 01/18/17 6,425 7,830
9.000%, 02/15/13 600 684
8.875%, 03/17/15 200 229
8.250%, 01/15/14 905 1,011
8.000%, 01/15/16 3,600 4,023
7.750%, 01/14/31 (C) 6,638 7,352
7.500%, 09/25/24 (C) 12,509 13,744
6.375%, 01/15/32 (C) 1,025 981
--------------
69,142
--------------
POLAND -- 0.2%
Republic of Poland
5.000%, 10/19/15 1,865 1,842
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description (Thousands)(1) ($ Thousands)
- --------------------------------------------------------------------------------
RUSSIA -- 8.8%
Kazan Orgsintez
9.250%, 10/30/11 505 $ 502
Russian Federation Registered
12.750%, 06/24/28 5,700 10,160
11.000%, 07/24/18 9,585 13,568
7.500%, 03/31/08 to 03/31/30 (F) 53,742 60,615
5.000%, 03/31/30 (F) 3,000 3,384
--------------
88,229
--------------
SOUTH AFRICA -- 0.6%
Republic of South Africa
6.500%, 06/02/14 4,295 4,521
5.875%, 05/30/22 1,115 1,091
--------------
5,612
--------------
SOUTH KOREA -- 0.1%
Shinhan Bank (B)
6.819%, 09/20/36 630 618
Woori Bank
6.208%, 05/02/37 610 562
--------------
1,180
--------------
SUPRA-NATIONAL -- 0.3%
European Investment Bank
10.000%, 01/28/11 TRY 3,770 2,795
--------------
THAILAND -- 0.1%
True Move (A)
10.750%, 12/16/13 1,250 1,305
--------------
TUNISIA -- 0.2%
Banque Centrale de Tunisie
8.250%, 09/19/27 1,095 1,319
7.375%, 04/25/12 465 498
--------------
1,817
--------------
TURKEY -- 4.6%
Republic of Turkey
14.000%, 01/19/11 TRY 10,625 8,513
11.875%, 01/15/30 8,280 12,855
10.000%, 02/15/12 TRY 360 316
9.500%, 01/15/14 500 579
8.000%, 02/14/34 1,800 1,951
7.375%, 02/05/25 4,500 4,680
7.250%, 03/15/15 3,430 3,576
7.000%, 09/26/16 to 06/05/20 3,080 3,125
6.875%, 03/17/36 5,200 4,959
6.750%, 04/03/18 800 794
2.244%, 01/19/11 5,530 4,431
--------------
45,779
--------------
- --------------------------------------------------------------------------------
50 SEI Institutional International Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description (Thousands)(1) ($ Thousands)
- --------------------------------------------------------------------------------
UKRAINE -- 2.1%
Government of Ukraine Registered
8.693%, 02/07/08 (B) 900 $ 943
7.650%, 06/11/13 (C) 5,340 5,701
6.875%, 03/04/11 1,000 1,028
6.875%, 03/04/11 (A) 4,475 4,589
6.580%, 11/21/16 1,600 1,624
6.580%, 11/21/16 (A) 6,735 6,802
Naftogaz Ukrainy
8.125%, 09/30/09 700 670
--------------
21,357
--------------
UNITED KINGDOM -- 0.4%
Barclays Bank (A) (B)
0.000%, 07/17/22 770 898
Credit Suisse First Boston International
(Export/Import - Ukraine)
6.800%, 10/04/12 600 581
Credit Suisse First Boston
for the City of Kiev
8.000%, 11/06/15 750 756
Standard Bank (A)
15.000%, 03/12/12 481 470
Standard Bank MTN, Ser E (B)
15.000%, 07/20/09 658 678
UK Private Bank (A)
8.000%, 02/06/12 1,000 920
--------------
4,303
--------------
UNITED STATES -- 0.4%
Citigroup Funding (A)
10.000%, 01/03/17 (B) 1,500 1,597
6.000%, 05/18/15 800 844
DST
10.750%, 05/22/09 1,300 1,300
--------------
3,741
--------------
URUGUAY -- 3.5%
Republic of Uruguay
9.250%, 05/17/17 5,025 5,955
8.000%, 11/18/22 17,805 19,764
7.625%, 03/21/36 1,100 1,174
7.500%, 03/15/15 1,225 1,295
5.000%, 09/14/18 UYU 33,530 1,765
3.700%, 06/26/37 UYU 47,585 1,949
Republic of Uruguay PIK
7.875%, 01/15/33 3,050 3,370
--------------
35,272
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description (Thousands)(1) ($ Thousands)
- --------------------------------------------------------------------------------
VENEZUELA -- 6.3%
Government of Venezuela
13.625%, 08/15/18 1,200 $ 1,584
10.750%, 09/19/13 4,065 4,492
9.375%, 01/13/34 8,840 9,216
9.250%, 09/15/27 29,805 30,848
8.500%, 10/08/14 3,906 3,916
7.650%, 04/21/25 470 421
6.000%, 12/09/20 4,830 3,888
5.750%, 02/26/16 6,500 5,492
Government of Venezuela Registered
7.000%, 12/01/18 400 356
Petroleos De Venezuela
5.375%, 04/12/27 4,255 2,691
5.250%, 04/12/17 900 664
--------------
63,568
--------------
Total Global Bonds
(Cost $737,369) ($ Thousands) 777,326
--------------
DEPOSIT WITH COUNTERPARTY AS
COLLATERAL FOR SWAP CONTRACTS (E) -- 4.4%
UNITED STATES -- 4.4%
Deposits with Citibank as Collateral
for Swap Contracts Outstanding 648 648
Deposits with Credit Suisse First
Boston as Collateral for Swap
Contracts Outstanding TRY 692 571
Deposits with Credit Suisse First
Boston as Collateral for Swap
Contracts Outstanding 750 750
Deposits with Credit Suisse First
Boston as Collateral for Swap
Contracts Outstanding 8,550 8,550
Deposits with Credit Suisse First
Boston as Collateral for Swap
Contracts Outstanding 1,000 1,000
Deposits with Credit Suisse First
Boston as Collateral for Swap
Contracts Outstanding 1,400 1,400
Deposits with Credit Suisse First
Boston as Collateral for Swap
Contracts Outstanding 1,400 1,400
Deposits with Credit Suisse First
Boston as Collateral for Swap
Contracts Outstanding 3,600 3,600
Deposits with Deutsche Bank as
Collateral for Swap Contracts
Outstanding 877 877
Deposits with Goldman Sachs
as Collateral for Swap
Contracts Outstanding BRL 4,564 2,480
- --------------------------------------------------------------------------------
SEI Institutional International Trust / Annual Report / September 30, 2007 51
SCHEDULE OF INVESTMENTS (Unaudited)
Emerging Markets Debt Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description (Thousands)(1) ($ Thousands)
- --------------------------------------------------------------------------------
Deposits with HSBC as
Collateral for Swap
Contracts Outstanding TRY 5,284 $ 4,362
Deposits with JPMorgan Chase
as Collateral for Swap
Contracts Outstanding 7,812 7,812
Deposits with JPMorgan Chase
as Collateral for Swap
Contracts Outstanding 249 249
Deposits with JPMorgan Chase
as Collateral for Swap
Contracts Outstanding 2,798 2,798
Deposits with Merrill Lynch as
Collateral for Swap Contracts
Outstanding 863 863
Deposits with Standard Bank
as Collateral for Swap
Contracts Outstanding 5,300 5,300
Deposits with Standard Bank
as Collateral for Swap
Contracts Outstanding 239 239
Deposits with Standard Bank
as Collateral for Swap
Contracts Outstanding 352 352
Deposits with Standard Bank
as Collateral for Swap
Contracts Outstanding 438 438
--------------
Total Deposit with Counterparty
as Collateral for Swap Contracts
(Cost $42,980) ($ Thousands) 43,689
--------------
LOAN PARTICIPATIONS -- 4.2%
BRAZIL -- 0.3%
Global Village Telecom Loan,
Senior Secured Note
(Counterparty: Deutsche Bank)
(H)(I)
12.000%, 06/30/11 3,185 3,440
--------------
EGYPT -- 0.2%
Egyptian Urea Petrochemical
(G)(H)(I)
0.000%, 07/01/17 1,950 1,950
--------------
GERMANY -- 0.1%
Rike (H)(I)
0.000%, 08/17/11 1,200 1,200
--------------
INDONESIA -- 0.7%
Indonesia Standby Loan 94
(Counterparty: Deutsche Bank)
(B)(H)(I)
4.000%, 12/29/07 5,298 5,192
- --------------------------------------------------------------------------------
Face Amount Market Value
(Thousands)(1) ($ Thousands)
- --------------------------------------------------------------------------------
Star Energy Mezzanine Note
0.000%, 04/01/08 1,400 $ 1,400
--------------
6,592
--------------
MEXICO -- 1.2%
Altos Hornos, Promissory
Note # 5 (G)(H)(I)
0.000%, 04/29/99 2,500 1,700
Altos Hornos, Promissory
Note # 6 (G)(H)(I)
0.000%, 04/29/99 2,500 1,700
Altos Hornos, Promissory Note
(Counterparty: Deutche Bank)
(G)(H)(I)
0.000%, 12/31/49 4,500 3,060
Altos Hornos, Tranche A
(Counterparty: Banc of America)
(G)(H)(I)
0.000%, 04/11/04 6,540 4,578
Grupo Accerco Del Norte
(Counterparty: Deutsche Bank)
(G)(H)(I)
0.000%, 12/31/49 7,750 1,163
--------------
12,201
--------------
SINGAPORE -- 0.9%
C2C Loan
(Counterparty: Deutsche Bank)
(B)(H)(I)
0.000%, 12/31/10 10,800 6,480
C2C Loan,
(Counterparty: Direct Bank)(H)(I)
0.000%, 12/31/49 2,494 2,494
--------------
8,974
--------------
TURKEY -- 0.8%
Cukurova, Ser A
0.000%, 05/01/08 3,452 3,366
Cukurova, Ser B
0.000%, 05/01/12 4,600 4,485
--------------
7,851
--------------
UNITED STATES -- 0.0%
Baja Ferries
5.100%, 01/26/17 430 430
--------------
Total Loan Participations
(Cost $31,013) ($ Thousands) 42,638
--------------
- --------------------------------------------------------------------------------
52 SEI Institutional International Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description (Thousands)(1) ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 1.4%
BRAZIL -- 1.4%
GVT Holding* 632,252 $ 13,401
THAILAND -- 0.0%
TPI Polene Public* 595,488 282
--------------
Total Common Stock
(Cost $2,904) ($ Thousands) 13,683
--------------
CORPORATE OBLIGATION (B)(D) -- 0.1%
UNITED STATES -- 0.1%
SLM EXL MTN
5.763%, 10/15/07 844 844
--------------
Total Corporate Obligation
(Cost $844) ($ Thousands) 844
--------------
ASSET-BACKED SECURITY (A)(B)(D) -- 0.1%
UNITED STATES -- 0.1%
Duke Funding, Ser 2004-6B, Cl A1S1
5.430%, 10/09/07 576 576
--------------
Total Asset-Backed Security
(Cost $576) ($ Thousands) 576
--------------
Number of
Warrants
---------
WARRANTS -- 0.0%
CYPRUS -- 0.0%
Teorema Holding,
Expires 10/27/09* -- 461
--------------
MEXICO -- 0.0%
United Mexican States,
Expires 11/10/07 174,000 12
--------------
Total Warrants
(Cost $241) ($ Thousands) 473
--------------
TIME DEPOSITS -- 6.1%
UNITED STATES -- 6.1%
Brown Brothers Harriman
4.520%, 10/01/07 61,150 61,150
3.250%, 10/01/07 EUR 73 104
--------------
Total Time Deposits
(Cost $61,254) ($ Thousands) 61,254
--------------
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) (1) ($ Thousands)
- --------------------------------------------------------------------------------
CASH EQUIVALENT**++ (D) -- 4.9%
SEI Liquidity Fund, LP,
5.367% 48,874,633 $ 48,875
--------------
Total Cash Equivalent
(Cost $48,875) ($ Thousands) 48,875
--------------
U.S. TREASURY OBLIGATION -- 3.4%
U.S. Treasury Note
4.875%, 08/31/08 33,665 33,883
--------------
Total U.S. Treasury Obligation
(Cost $33,874) ($ Thousands) 33,883
--------------
Total Investments -- 102.1%
(Cost $959,930) ($ Thousands) $ 1,023,241
==============
A summary of the outstanding forward foreign currency contracts held by the Fund
at September 30, 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)
- --------------------------------------------------------------------------------
10/2/07 USD 3,905 BRL 7,288 $ 56
10/2/07-11/5/07 BRL 14,577 USD 7,692 (219)
10/9/07-10/26/07 TRY 13,891 USD 10,588 (814)
10/16/07 USD 6,583 HUF 1,184,427 118
10/19/07 EUR 7,850 USD 10,711 (457)
10/25/07-1/14/08 USD 7,282 RUB 185,323 133
10/26/07 USD 5,017 TRY 6,532 338
12/26/07-4/1/08 USD 4,600 AED 16,811 (6)
1/10/08 USD 451 NGN 57,816 11
1/18/08-3/26/08 USD 8,036 PLN 21,562 107
------
$ (733)
======
A summary of the open futures contracts held by the Fund at September 30, 2007,
is as follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
NUMBER OF UNREALIZED
TYPE OF CONTRACTS EXPIRATION DEPRECIATION
CONTRACT LONG DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
U.S. Long Treasury Bond 15 Dec-2007 $ (1)
====
- --------------------------------------------------------------------------------
SEI Institutional International Trust / Annual Report / September 30, 2007 53
SCHEDULE OF INVESTMENTS
Emerging Markets Debt Fund (Concluded)
September 30, 2007
A summary of outstanding swap agreements held by the Fund at September 30, 2007,
is as follows (see Note 2 in Notes to Financial Statements):
- -------------------------------------------------------------------------------------------
TOTAL RETURN SWAPS
- -------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- -------------------------------------------------------------------------------------------
Fund receives payment at maturity on the
Brazilian CDI Index times the notional
amount. Fund receives payment if the
return on thespread appreciates over
the payment period and pays if the
return on the spread depreciates over
the payment period.
(Counterparty: Deutsche Bank) 08/15/10 BRL 1,400 $ 172
Fund receives payment at maturity on the
Brazilian CDI Index times the notional
amount. 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) 01/01/17 BRL 4,500 (178)
Fund receives payment at maturity on the
Brazilian CDI Index times the notional
amount. 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: JPMorgan Chase) 08/15/10 BRL 12,000 1,346
Fund receives payment at maturity on the
Brazilian CDI Index times the notional
amount. Fund receives payment if the
return on the spread appreciates over
the return on the payment period and
pays if the return on the spread
depreciates over the payment period.
(Counterparty: JPMorgan Chase) 05/15/11 BRL 4,214 505
Fund receives payment at maturity on the
Brazilian CDI Index times the notional
amount. 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: Merrill Lynch) 08/15/10 BRL 1,400 171
Fund receives payment at maturity on the
Gazprom times the notional amount.
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: Standard Bank) 05/17/08 5,300 --
Fund receives payment at maturity on the
Nigerian NGN Index times the notional
amount. 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: Citibank) 04/03/09 NGN 82,011 91
Fund receives payment at maturity on the
Nigerian NGN Index times the notional
amount. 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: Standard Bank) 01/04/08 NGN 33,633 20
Fund receives payment at maturity on the
Nigerian NGN Index times the notional
amount. 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: Standard Bank) 12/16/08 NGN 45,003 37
Fund receives payment at maturity on the
Nigerian NGN Index times the notional
amount. 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: Standard Bank) 02/25/09 NGN 55,618 22
- -------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- -------------------------------------------------------------------------------------------
Fund receives payment at maturity on the
Turkish TRY Index times the notional
amount. 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: Credit Suisse First Boston) 03/07/12 TRY 700 $ 23
Fund receives payment at maturity on the
Turkish TRY Index times the notional
amount. 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: HSBC Bank) 03/07/12 TRY 5,450 305
-------
$ 2,514
=======
- -------------------------------------------------------------------------------------------
CREDIT DEFAULT SWAPS
- -------------------------------------------------------------------------------------------
Fund receives quarterly payment of 0.9225%
(3.690% per annum) on a termination
date. Upon a defined credit event,
Fund pays the notional amount and takes
receipt of the defined deliverable
obligation. (Counterparty: JPMorgan Chase) 10/20/15 4,500 $ 828
Fund receives quarterly payment of 0.4000%
(1.600% per annum) times the notional
amount of JSC Gazprom, 8.625%, 04/28/34.
Upon a defined credit event, Fund pays the
notional amount and takes receipt of the
defined deliverable obligation.
(Counterparty: Credit Suisse First Boston) 01/20/16 8,550 215
Fund receives quarterly payment of 0.3425%
(1.370% per annum) times the
notional amount of JSC Gazprom,
8.625%, 04/28/34. Upon a defined
credit event, Fund pays the notional
amount and takes receipt of the
defined deliverable obligation.
(Counterparty: Credit Suisse First Boston) 08/20/16 1,000 7
Fund receives semi-annual payment of
2.8750% (5.750% per annum) times
the notional amount of Naftogaz Ukrainy,
8.125%,09/30/09. Upon a defined credit
event, Fund pays the notional amount and
takes receipt of the defined
deliverable obligation.
(Counterparty: Credit Suisse First Boston) 12/20/07 1,400 17
Fund receives semi-annual payment of
2.8750% (5.750% per annum) times
the notional amount of Naftogaz Ukrainy,
8.125%, 09/30/09. Upon a defined
credit event, Fund pays the notional
amount and takes receipt of the defined
deliverable obligation.
(Counterparty: Credit Suisse First Boston) 12/20/08 1,400 (2)
Fund receives semi-annual payment of
2.8750% (5.750% per annum) times
the notional amount of Naftogaz Ukrainy,
8.125%, 09/30/09. Upon a defined credit
event, Fund pays the notional amount
and takes receipt of the defined
deliverable obligation.
(Counterparty: Credit Suisse First Boston) 12/20/09 3,600 (50)
Fund receives semi-annual payment of
2.8750% (5.750% per annum) times
the notional amount of Naftogaz Ukrainy,
8.125%, 09/30/09. Upon a defined credit
event, Fund pays the notional amount and
takes receipt of the defined
deliverable obligation.
(Counterparty: Credit Suisse First Boston) 02/20/11 750 (39)
Fund receives semi-annual payment of
1.6150% (3.230% per annum) times
the notional amount of Republic
of Turkey, 11.875%, 01/15/30. Upon
a defined credit event, Fund pays the
notional amount and takes receipt
of the defined deliverable obligation.
(Counterparty: Citigroup) 03/20/12 3,870 25
Fund receives semi-annual payment of
1.6200% (3.240% per annum) times
the notional amount of Republic of
Turkey, 11.875%, 01/15/30.
Upon a defined credit event, Fund pays
the notional amount and takes receipt
of the defined deliverable obligation.
(Counterparty: JPMorgan Chase) 02/12/12 500 4
- --------------------------------------------------------------------------------
54 SEI Institutional International Trust / Annual Report / September 30, 2007
- -------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS)
- -------------------------------------------------------------------------------------------
Fund receives semi-annual payment of
1.9200% (3.840% per annum) times
the notional amount of Republic of
Turkey, 11.875%, 01/15/30. Upon a
defined credit event, Fund pays
the notional amount and takes receipt
of the defined deliverable obligation.
(Counterparty: JPMorgan Chase) 03/20/12 2,865 $ 49
Fund receives semi-annual payment of 1.500%
(3.00% per annum) times the notional
amount of Republic of Venezuela, 9.250%,
09/15/27. Upon a defined credit event,
Fund pays the notional amount and takes
receipt of the defined deliverable
obligation. (Counterparty: Lehman Brothers) 07/20/17 14,700 (1,020)
Fund receives semi-annual payment of
0.5180% (1.035% per annum) times the
notional amount of Russian Federation,
7.500%, 03/31/30. Upon a defined
credit event, Fund pays the notional
amount and takes receipt of the
defined deliverable obligation.
(Counterparty: JPMorgan Chase) 09/20/17 12,000 130
--------
$ 164
========
- -------------------------------------------------------------------------------------------
INTEREST RATE SWAPS
- -------------------------------------------------------------------------------------------
Pay fixed rate of 10.630% and receive
floating rate, rate based on BRL CDI Index.
(Counterparty: Deutsche Bank) 01/02/12 BRL 8,700 $ (94)
Receive fixed rate of 10.650% and pay
floating rate at maturity, rate based on
BRL CDI Index.
(Counterparty: Lehman Brothers) 01/02/12 BRL 7,300 (74)
Receive fixed rate of 10.880% and pay
floating rate at maturity, rate based on
BRL CDI Index.
(Counterparty: Lehman Brothers) 01/02/12 BRL 5,300 (41)
Receive fixed rate of 11.093% and pay
floating rate at maturity, rate based on
BRL CDI Index.
(Counterparty: Lehman Brothers) 01/02/12 BRL 14,300 (65)
--------
$ (274)
========
Percentages are based on Net Assets of $1,002,602 ($ Thousands).
* Non-Income Producing Security
** Rate shown is the 7-day effective yield as of September 30, 2007.
++ Affiliated security
(1) In U.S. dollars unless otherwise indicated.
(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) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of September 30, 2007.
(C) This security or a partial position of this security is on loan at
September 30, 2007. The total market value of securities on loan at
September 30, 2007 was $46,294 ($ Thousands) (See Note 7).
(D) This security was purchased with cash collateral held from securities on
loan. The total market value of such securities as of September 30, 2007
was $50,295 ($ Thousands) (See Note 7).
(E) Cash on loan to swap counterparty as collateral for outstanding swap
contracts.
(F) Step Bonds -- The rate reflected on the Schedule of Investments is the
effective yield on September 30, 2007. The coupon on a step bond changes
on a specified date.
(G) Security in default on interest payments.
(H) Securities considered illiquid. The total market value of such securities
as of September 30, 2007 was $34,051 ($ Thousands) and represented 3.40%
of Net Assets.
(I) Security fair valued using methods determined in good faith by the
Valuation Committee of the Board of Trustees. The total market value of
such securities as of September 30, 2007 was $36,040 and represented 3.59%
of Net Assets.
(J) Zero coupon security. The rate reported on the Schedule of Investments is
the effective yield at time of purchase.
AED -- United Arab Emirates Dirham
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
BRL -- Brazilian Real
CDI -- Chess Depositary Interest
Cl -- Class
COP -- Colombian Peso
EUR -- Euro
EXL -- Extendable Maturity
FLIRB -- Front Loaded Interest Reduction Bond
HUF -- Hungarian Forint
IDR -- Indonesian Rupiah
ITL -- Italian Lira
MTN -- Medium Term Note
MXP -- Mexican Peso
MYR -- Malaysian Ringgit
NGN -- Nigerian Naira
PIK -- Payment-in-Kind
PLN -- Polish Zloty
RUB -- Russian Ruble
Ser -- Series
TRY -- New Turkish Lira
USD -- U.S. Dollar
UYU -- Uruguay Peso
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional International Trust / Annual Report / September 30, 2007 55
Statements of Assets and Liabilities ($ Thousands)
September 30, 2007
- ------------------------------------------------------------------------------------------------------------------------------------
INTERNATIONAL EMERGING MARKETS INTERNATIONAL FIXED EMERGING MARKETS
EQUITY FUND EQUITY FUND INCOME FUND DEBT FUND
- ------------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments, at value (Cost $3,410,998, $1,188,891,
$794,365 and $911,055, respectively) (1) $ 4,151,394 $ 1,743,896 $ 817,388 $ 974,366
Affiliated investments, at value (Cost $663,763,
$150,155, $571 and $48,875, respectively) 663,763 150,155 571 48,875
Cash 122,360 18,349 60,423 60,778
Foreign currency, at value (Cost $14,077, $19,606,
and $1,900, respectively) 14,790 19,952 2,067 --
Cash pledged as collateral for forward foreign
currency contracts, futures contracts, and swap
contracts -- -- -- 8,276
Receivable for TBA sale commitments 116,125 -- 5,939 --
Receivable for investment securities sold 35,068 11,517 10,445 3,717
Unrealized gain on forward foreign currency contracts 15,825 -- 5,092 763
Dividends and interest receivable 11,505 3,225 9,904 10,100
Receivable for capital shares sold 2,691 986 635 15,374
Foreign tax reclaim receivable 601 149 2 68
Variation margin receivable 513 -- 453 --
Unrealized gain on foreign spot currency contracts 83 -- 9 --
Swap contracts, at value (Premiums given $0) -- -- -- 2,404
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 5,134,718 1,948,229 912,928 1,124,721
- ------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return of securities on loan 641,046 134,056 588 50,295
Payable for TBA purchase commitments 208,036 -- 15,110 --
Payable for investment securities purchased 181,469 29,984 65,552 65,270
Swap contracts, at value (Premiums received $(17,665)
and $0, respectively) 31,366 -- 65 --
Unrealized loss on forward foreign currency contracts 14,423 -- 20,853 1,496
Payable for capital shares redeemed 3,692 1,940 1,279 704
Variation margin payable 862 -- -- --
Written options, at value (Premiums received $(15)) 92 -- -- --
Unrealized loss on foreign spot currency contracts 77 -- 10 --
Foreign currency overdraft, at value (Cost ($3,262)) -- -- -- 3,243
Investment advisory fees payable 1,607 1,185 100 340
Administration fees payable 1,432 883 399 511
Shareholder servicing fees payable 792 340 152 196
Administration servicing fees payable 6 -- -- --
Chief compliance officer fees payable 5 2 1 1
Trustees' fees 1 -- -- --
Accrued expenses 355 266 77 63
Accrued foreign capital gains tax on appreciated
securities 66 2,344 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 1,085,327 171,000 104,186 122,119
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 4,049,391 $ 1,777,229 $ 808,742 $ 1,002,602
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
Paid in Capital (unlimited authorization -- no
par value) $ 2,871,925 $ 939,549 $ 803,320 $ 905,881
Undistributed net investment income 63,726 5,014 2,460 17,018
Accumulated net realized gain on investments,
futures contracts, options, foreign currency
contracts and swap contracts 373,287 279,626 (4,263) 14,604
Net unrealized appreciation on investments and
written options 740,319 555,005 23,023 63,311
Net unrealized appreciation (depreciation) on
futures contracts 11,708 -- (493) (1)
Net unrealized appreciation (depreciation) on swap
contracts (13,701) -- (65) 2,404
Net unrealized appreciation (depreciation) on forward
foreign currency contracts, foreign currencies and
translation of other assets and liabilities
denominated in foreign currencies 2,193 379 (15,240) (615)
Accumulated foreign capital gains tax on
appreciated securities (66) (2,344) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 4,049,391 $ 1,777,229 $ 808,742 $ 1,002,602
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($4,032,235,643 / 249,278,729 shares,
$1,777,229,379 / 82,715,797 shares,
$808,742,355 / 74,122,114 shares,
$1,002,601,953 / 90,836,461 shares) $ 16.18 $ 21.49 $ 10.91 $ 11.04
Net Asset Value, Offering and Redemption
Price Per Share -- Class I
($17,155,574 / 1,063,373 shares) $ 16.13 N/A N/A N/A
- ------------------------------------------------------------------------------------------------------------------------------------
(1) Included in "Investments, at value" is the market value of securities on
loan in the amounts of $614,002, $118,121, $542 and $46,294, ($ Thousands),
respectively.
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
56 SEI Institutional International Trust / Annual Report / September 30, 2007
Statements of Operations ($ Thousands)
For the year ended September 30, 2007
- ------------------------------------------------------------------------------------------------------------------------------------
INTERNATIONAL EMERGING MARKETS INTERNATIONAL FIXED EMERGING MARKETS
EQUITY FUND EQUITY FUND INCOME FUND DEBT FUND
- ------------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends $ 94,819 $ 38,431 $ -- $ --
Dividends from Affiliated Security 2,117 264 -- --
Interest 29,712 1,734 35,633 61,522
Security Lending Income -- Net 3,837 609 41 122
Less: Foreign Taxes Withheld (8,701) (4,012) (97) --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Investment Income 121,784 37,026 35,577 61,644
- ------------------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 19,359 16,096 1,238 7,665
Administration Fees 17,251 9,964 4,951 5,862
Shareholder Servicing Fees -- Class A 9,543 3,832 2,063 2,254
Shareholder Servicing Fees -- Class I 41 -- -- --
Admin Servicing Fees -- Class I 41 -- -- --
Trustees' Fees 53 21 11 12
Chief Compliance Officer Fees 5 2 1 1
Interest Expense on Reverse Repurchase Agreements 3,179 -- -- --
Custodian/Wire Agent Fees 757 1,079 114 85
Printing Fees 254 101 50 59
Overdraft Fees 144 161 68 100
Professional Fees 127 50 28 31
Registration Fees 39 15 10 10
Other Expenses 146 64 32 30
- ------------------------------------------------------------------------------------------------------------------------------------
Total Expenses 50,939 31,385 8,566 16,109
- ------------------------------------------------------------------------------------------------------------------------------------
Less:
Waiver of Investment Advisory Fees -- (1,177) -- (3,745)
Waiver of Shareholder Servicing Fees -- Class A -- -- (163) --
Fees Paid Indirectly (1) (111) (1) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Expenses 50,828 30,207 8,403 12,364
- ------------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 70,956 6,819 27,174 49,280
- ------------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS, WRITTEN OPTIONS, FUTURES CONTRACTS,
SWAP CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS:
Net Realized Gain (Loss) from:
Investments 524,093 348,199 2,933 24,109
Futures Contracts 38,465 -- (1,997) 207
Written Options 232 -- -- --
Swap Contracts 1,843 -- (999) 5,658
Foreign Currency Transactions 36,540 255 6,587 6,551
Net Change in Unrealized Appreciation
(Depreciation) on:
Investments 130,148 254,998 3,277 (2,177)
Futures Contracts 10,166 -- (434) 61
Written Options (121) -- -- --
Swap Contracts (16,744) -- (65) 766
Foreign Capital Gains Tax on Appreciated
Securities -- (1,644) -- --
Foreign Currency Transactions 6,733 888 (17,307) (893)
- ------------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS, WRITTEN OPTIONS, FUTURES CONTRACTS,
SWAP CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS 731,355 602,696 (8,005) 34,282
- ------------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $ 802,311 $ 609,515 $ 19,169 $ 83,562
====================================================================================================================================
(1) See Note 3 in Notes to Financial Statements.
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional International Trust / Annual Report / September 30, 2007 57
Statements of Changes in Net Assets ($ Thousands)
For the years ended September 30,
- -----------------------------------------------------------------------------------------------------------------------------------
INTERNATIONAL EMERGING MARKETS
EQUITY FUND EQUITY FUND
- -----------------------------------------------------------------------------------------------------------------------------------
2007 2006 2007 2006
- -----------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 70,956 $ 61,937 $ 6,819 $ 8,727
Net Realized Gain from Investments, Futures Contracts,
Written Options and Swap Contracts 564,633 463,179 348,199 247,672
Net Realized Gain (Loss) on Forward Foreign Currency Contracts
and Foreign Currency Transactions 36,540 8,160 255 (1,381)
Net Change in Unrealized Appreciation (Depreciation) on Investments,
Futures Contracts, Written Options and Swap Contracts 123,449 43,648 254,998 (49,422)
Net Change in Unrealized Appreciation (Depreciation) on
Foreign Capital Tax Gains on Appreciated Securities -- -- (1,644) 415
Net Change in Unrealized Appreciation (Depreciation) on
Forward Foreign Currency Contracts, Foreign Currencies,
and Translation of Other Assets and Liabilities
Denominated in Foreign Currencies 6,733 (4,521) 888 (506)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 802,311 572,403 609,515 205,505
- -----------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (118,781) (71,852) (6,714) (8,389)
Class I (455) (182) -- --
Net Realized Gains:
Class A (144,096) -- (188,558) (127,622)
Class I (580) -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (263,912) (72,034) (195,272) (136,011)
- -----------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
CLASS A:
Proceeds from Shares Issued 775,114 701,740 358,848 314,335
Reinvestment of Dividends & Distributions 250,704 68,952 188,045 130,923
Cost of Shares Redeemed (1,020,666) (1,005,774) (520,481) (532,680)
- -----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived from Class A Transactions 5,152 (235,082) 26,412 (87,422)
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS I:
Proceeds from Shares Issued 9,593 6,914 -- --
Reinvestment of Dividends & Distributions 1,027 178 -- --
Cost of Shares Redeemed (9,188) (3,181) -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Increase in Net Assets Derived from Class I Transactions 1,432 3,911 -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived from Capital Share
Transactions 6,584 (231,171) 26,412 (87,422)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 544,983 269,198 440,655 (17,928)
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR 3,504,408 3,235,210 1,336,574 1,354,502
- -----------------------------------------------------------------------------------------------------------------------------------
END OF YEAR $ 4,049,391 $ 3,504,408 $ 1,777,229 $ 1,336,574
===================================================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME INCLUDED IN NET ASSETS
AT END OF YEAR $ 63,726 $ 53,534 $ 5,014 $ 5,832
===================================================================================================================================
SHARE TRANSACTIONS:
CLASS A:
Shares Issued 51,249 53,743 19,685 19,358
Reinvestment of Distributions 17,225 5,583 11,346 8,739
Shares Redeemed (67,387) (77,049) (28,516) (32,895)
- -----------------------------------------------------------------------------------------------------------------------------------
Total Class A Transactions 1,087 (17,723) 2,515 (4,798)
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS I:
Shares Issued 636 523 -- --
Reinvestment of Distributions 71 14 -- --
Shares Redeemed (598) (239) -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Total Class I Transactions 109 298 -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Shares Outstanding
from Share Transactions 1,196 (17,425) 2,515 (4,798)
===================================================================================================================================
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
58 SEI Institutional International Trust / Annual Report / September 30, 2007
Statements of Changes in Net Assets ($ Thousands)
For the years ended September 30,
- -----------------------------------------------------------------------------------------------------------------------------------
INTERNATIONAL EMERGING MARKETS
FIXED INCOME FUND DEBT FUND
- -----------------------------------------------------------------------------------------------------------------------------------
2007 2006 2007 2006
- -----------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 27,174 $ 21,939 $ 49,280 $ 44,825
Net Realized Gain (Loss) from Investments,
Futures Contracts and Swap Contracts (63) (2,137) 29,974 59,027
Net Realized Gain (Loss) on Forward Foreign Currency Contracts
and Foreign Currency Transactions 6,587 (55,296) 6,551 6,595
Net Change in Unrealized Appreciation (Depreciation) on
Investments, Futures Contracts and Swap Contracts 2,778 13,924 (1,350) (34,926)
Net Change in Unrealized Appreciation (Depreciation) on Forward
Foreign Currency Contracts, Foreign Currencies, and Translation
of Other Assets and Liabilities Denominated in Foreign Currencies (17,307) 6,913 (893) (2,928)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets Resulting from Operations 19,169 (14,657) 83,562 72,593
- -----------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (15,311) (26,270) (51,400) (72,844)
Net Realized Gains:
Class A -- (22,930) (49,606) (60,041)
- -----------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (15,311) (49,200) (101,006) (132,885)
- -----------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
CLASS A:
Proceeds from Shares Issued 191,286 260,279 316,702 415,908
Reinvestment of Dividends & Distributions 14,446 46,434 95,631 126,564
Cost of Shares Redeemed (242,751) (281,876) (220,630) (797,682)
- -----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived from
Capital Share Transactions (37,019) 24,837 191,703 (255,210)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (33,161) (39,020) 174,259 (315,502)
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR 841,903 880,923 828,343 1,143,845
- -----------------------------------------------------------------------------------------------------------------------------------
END OF YEAR $ 808,742 $ 841,903 $ 1,002,602 $ 828,343
===================================================================================================================================
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME
INCLUDED IN NET ASSETS AT END OF YEAR $ 2,460 $ (29,365) $ 17,018 $ 8,013
===================================================================================================================================
SHARE TRANSACTIONS:
CLASS A:
Shares Issued 17,707 24,116 28,732 37,501
Reinvestment of Dividends & Distributions 1,344 4,294 8,726 11,643
Shares Redeemed (22,446) (26,076) (20,042) (72,592)
- -----------------------------------------------------------------------------------------------------------------------------------
Total Class A Transactions (3,395) 2,334 17,416 (23,448)
===================================================================================================================================
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional International Trust / Annual Report / September 30, 2007 59
Financial Highlights
For the years ended September 30, (unless otherwise indicated)
For a Share Outstanding Throughout Each Year
- --------------------------------------------------------------------------------
Net Realized
and Distributions
Net Asset Net Unrealized Dividends from Total
Value, Investment Gains Total from Net Realized Dividends Net Asset
Beginning Income (Losses) from Investment Capital and Value, End Total
of Period (Loss) on Securities Operations Income Gains Distributions of Period Return+
- -----------------------------------------------------------------------------------------------------------------------------------
INTERNATIONAL EQUITY FUND
CLASS A
2007 $ 14.07 $ 0.28(1) $ 2.89(1) $ 3.17 $ (0.47) $ (0.59) $ (1.06) $ 16.18 23.56%
2006 12.14 0.24(1) 1.97(1) 2.21 (0.28) -- (0.28) 14.07 18.50
2005 9.81 0.16(1) 2.40(1) 2.56 (0.23) -- (0.23) 12.14 26.33
2004 8.20 0.10(1) 1.60(1) 1.70 (0.09) -- (0.09) 9.81 20.74
2003 6.93 0.08(1) 1.23(1) 1.31 (0.04) -- (0.04) 8.20 18.91
CLASS I
2007 $ 14.04 $ 0.25(1) $ 2.88(1) $ 3.13 $ (0.45) $ (0.59) $ (1.04) $ 16.13 23.25%
2006 12.12 0.23(1) 1.94(1) 2.17 (0.25) -- (0.25) 14.04 18.20
2005 9.81 0.14(1) 2.38(1) 2.52 (0.21) -- (0.21) 12.12 25.86
2004 8.20 0.10(1) 1.58(1) 1.68 (0.07) -- (0.07) 9.81 20.54
2003 6.93 0.09(1) 1.20(1) 1.29 (0.02) -- (0.02) 8.20 18.65
EMERGING MARKETS EQUITY FUND
CLASS A
2007 $ 16.67 $ 0.08(1) $ 7.22(1) $ 7.30 $ (0.08) $ (2.40) $ (2.48) $ 21.49 48.27%
2006 15.94 0.11(1) 2.32(1) 2.43 (0.10) (1.60) (1.70) 16.67 16.46
2005 11.10 0.14(1) 4.80(1) 4.94 (0.10) -- (0.10) 15.94 44.68
2004 9.00 0.09(1) 2.03(1) 2.12 (0.02) -- (0.02) 11.10 23.61
2003 6.53 0.05(1) 2.42(1) 2.47 -- -- -- 9.00 37.83
INTERNATIONAL FIXED INCOME FUND
CLASS A
2007 $ 10.86 $ 0.36(1) $ (0.11)(1) $ 0.25 $ (0.20) $ -- $ (0.20) $ 10.91 2.34%
2006 11.72 0.28(1) (0.49)(1) (0.21) (0.34) (0.31) (0.65) 10.86 (1.64)
2005 12.22 0.28(1) 0.15(1) 0.43 (0.89) (0.04) (0.93) 11.72 3.01
2004 12.45 0.28(1) 0.63(1) 0.91 (0.92) (0.22) (1.14) 12.22 7.43
2003 11.00 0.30(1) 1.53(1) 1.83 (0.33) (0.05) (0.38) 12.45 17.05
EMERGING MARKETS DEBT FUND
CLASS A
2007 $ 11.28 $ 0.60(1) $ 0.47(1) $ 1.07 $ (0.65) $ (0.66) $ (1.31) $ 11.04 10.03%
2006 11.81 0.56(1) 0.34(1) 0.90 (0.80) (0.63) (1.43) 11.28 8.68
2005 10.74 0.66(1) 1.31(1) 1.97 (0.63) (0.27) (0.90) 11.81 19.34
2004 11.15 0.61(1) 0.77(1) 1.38 (0.66) (1.13) (1.79) 10.74 13.97
2003 8.12 0.78(1) 3.01(1) 3.79 (0.76) -- (0.76) 11.15 49.15
Ratio of
Ratio of Expenses
Expenses to to Average Ratio of Net
Average Net Net Assets Investment
Ratio of Assets (Excluding Income
Net Assets Expenses (Excluding Waivers and (Loss) Portfolio
End of Period to Average Fees Paid Fees Paid to Average Turnover
($ Thousands) Net Assets* Indirectly)** Indirectly)** Net Assets Rate+
- ---------------------------------------------------------------------------------------------------------------------------------
INTERNATIONAL EQUITY FUND
CLASS A
2007 $ 4,032,236 1.32%(2)(3) 1.33%(2)(3) 1.33%(2) 1.85% 172%
2006 3,491,007 1.32(2) 1.33(2) 1.33(2) 1.85 118
2005 3,227,258 1.24 1.24 1.24 1.50 80
2004 2,705,544 1.26 1.26 1.26 1.06 44
2003 2,258,034 1.28 1.28 1.32 1.12 87
CLASS I
2007 $ 17,155 1.57%(2)(3) 1.58%(2)(3) 1.58%(2) 1.66% 172%
2006 13,401 1.59(2) 1.59(2) 1.59(2) 1.77 118
2005 7,952 1.49 1.49 1.49 1.28 80
2004 5,757 1.51 1.51 1.51 1.06 44
2003 2,061 1.53 1.53 1.57 1.15 87
EMERGING MARKETS EQUITY FUND
CLASS A
2007 $ 1,777,229 1.97%(3) 1.97%(3) 2.05% 0.44% 79%
2006 1,336,574 1.96 1.97 2.06 0.65 65
2005 1,354,502 1.95 1.96 2.05 1.05 69
2004 1,039,735 1.95 1.95 2.12 0.84 88
2003 936,560 1.95 1.95 2.14 0.71 69
INTERNATIONAL FIXED INCOME FUND
CLASS A
2007 $ 808,742 1.02%(3) 1.02%(3) 1.04% 3.29% 215%
2006 841,903 1.01 1.01 1.03 2.61 194
2005 880,923 1.00 1.00 1.04 2.24 145
2004 907,633 1.00 1.00 1.04 2.27 224
2003 865,698 1.00 1.00 1.06 2.60 216
EMERGING MARKETS DEBT FUND
CLASS A
2007 $ 1,002,602 1.37%(3) 1.37%(3) 1.79% 5.47% 81%
2006 828,343 1.36 1.36 1.78 5.03 108
2005 1,143,845 1.35 1.35 1.79 6.03 85
2004 765,483 1.35 1.35 1.79 5.91 77
2003 565,237 1.35 1.35 1.80 7.98 127
* Includes Fees Paid Indirectly.
** See Note 3 in Notes to Financial Statements.
+ Returns and portfolio turnover rates are for the period indicated and have
not been annualized. Returns do not reflect the deduction of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares.
(1) Per share net investment income (loss) and net realized and unrealized
gains/(losses) calculated using average shares.
(2) The expense ratio includes interest expense on reverse repurchase
agreements. Had this expense been excluded, the ratios for Class A and I
shares would have been 1.24% and 1.49%, respectively.
(3) The expense ratio includes overdraft fees. Had this expense been excluded,
the ratios would have been 1.32%, 1.57%, 1.96%, 1.01%, and 1.36% for the
International Equity Fund Class A, the International Equity Fund Class I,
the Emerging Markets Equity Fund, the International Fixed Income Fund, and
the Emerging Markets Debt Fund, respectively.
Amounts designated as "--" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
60 SEI Institutional International Trust / Annual Report / September 30, 2007
NOTES TO FINANCIAL STATEMENTS
Notes to Financial Statements
September 30, 2007
1. ORGANIZATION
SEI Institutional International Trust (the "Trust") was organized as a
Massachusetts business trust under a Declaration of Trust dated June 30, 1988.
The operations of the Trust commenced on December 20, 1989.
The Trust is registered under the Investment Company Act of 1940, as amended, as
an open-end investment company with five funds: the International Equity Fund,
the Tax-Managed International Equity Fund, the Emerging Markets Equity Fund, the
International Fixed Income Fund and the Emerging Markets Debt Fund (together the
"Funds"). The Trust's prospectuses provide a description of each Fund's
investment objectives, policies, and strategies. The Trust is registered to
offer Class A shares of each of the Funds and the International Equity Fund is
registered to offer Class I shares.
As of September 30, 2007, the Tax-Managed International Equity Fund had not yet
commenced operations.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Funds.
USE OF ESTIMATES -- The preparation of financial statements, in conformity with
U.S. 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 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. Debt securities are priced based upon
valuations provided by independent, third-party pricing agents, if available.
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. The prices for foreign securities are reported in
local currency and converted to U.S. dollars using currency exchange rates.
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 Trust's Board of
Trustees (the "Board"). The Trust's Fair Value Procedures are implemented
through a Fair Value Committee (the "Committee") designated by the Board. 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 Committee Meeting be called.
In addition, the Funds' administrator monitors price movements among certain
selected indices, securities and/or baskets of securities that may be an
indicator that the closing prices received earlier from foreign exchanges or
markets may not reflect market value at the time the Fund calculates net asset
value. If price movements in a monitored index or security exceed levels
established by the administrator, the administrator notifies the adviser or
sub-adviser for any Fund holding the relevant securities that such limits have
been exceeded. In such event, the adviser or sub-adviser makes the determination
whether a Committee Meeting should be called based on the information provided.
- --------------------------------------------------------------------------------
SEI Institutional International Trust / Annual Report / September 30, 2007 61
NOTES TO FINANCIAL STATEMENTS
The International Equity Fund and Emerging Markets Equity Fund also use a
third-party fair valuation vendor. The vendor provides a fair value for foreign
securities held by these Funds based on certain factors and methodologies
(involving, generally, tracking valuation correlations between the U.S. market
and each non-U.S. security). Values from the fair value vendor are applied in
the event that there is a movement in the U.S. market that exceeds a specific
threshold that has been established by the Committee. The Committee has also
established a "confidence interval" which is used to determine the level of
historical correlation between the value of a specific foreign security and
movements in the U.S. market before a particular security will be fair valued
when the threshold is exceeded. In the event that the threshold established by
the Committee is exceeded on a specific day, the International Equity Fund and
Emerging Markets Equity Fund will value the non-U.S. securities in their
portfolios that exceed the applicable "confidence interval" based upon the
adjusted prices provided by the fair valuation vendor.
REPURCHASE AGREEMENTS -- Securities pledged as collateral for repurchase
agreements are held by the custodian bank until maturity of the repurchase
agreements. Provisions of the repurchase agreements and the Trust's policies
require that the market value of the collateral, including accrued interest
thereon, is sufficient to cover principal and interest in the event of default
by the counterparty. The Funds may 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
maturity of the repurchase agreement. Tri-party repurchase agreements purchased
as collateral for securities on loan are maintained by the applicable securities
lending agent (see Note 7). Provisions of the agreements require that the market
value of the collateral, including accrued interest thereon, is sufficient to
cover principal and interest in the event of default by the counterparty to the
repurchase agreement. If the counterparty defaults and the value of the
collateral declines, or if the counterparty enters an insolvency proceeding,
realization of the collateral by the Funds may be delayed or limited.
REVERSE REPURCHASE AGREEMENTS -- The International Equity and Emerging Markets
Equity Funds 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. For the year ended September 30, 2007, there were no outstanding
reverse repurchase agreements.
FOREIGN CURRENCY TRANSLATION -- The books and records of the Funds investing in
international securities are maintained in U.S. dollars on the following basis:
(I) market value of investment securities, assets and liabilities at the current
rate of exchange; and
(II) purchases and sales of investment securities, income and expenses at the
relevant rates of exchange prevailing on the respective dates of such
transactions.
The Funds 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 Funds may enter into forward foreign
currency contracts as hedges against either specific transactions, fund
positions or anticipated fund positions. All commitments are "marked-to-market"
daily at the applicable foreign exchange rate, and any resulting unrealized
gains or losses are recorded currently. The 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 year 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.
FUTURES CONTRACTS -- The International Equity Fund, the International Fixed
Income Fund and the Emerging Markets Debt Fund utilized futures contracts during
the year ended September 30, 2007. The Funds' investment in these futures
contracts is designed to enable the Funds to more closely approximate the
performance of their
- --------------------------------------------------------------------------------
62 SEI Institutional International Trust / Annual Report / September 30, 2007
benchmark indices. Initial margin deposits of cash or securities are made upon
entering into futures contracts. The contracts are "marked-to-market" daily and
the resulting changes in value are accounted for as unrealized gains and losses.
Variation margin payments are paid or received, depending upon whether
unrealized losses or gains are incurred. When the contract is closed, the Funds
record 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 related to futures contracts include the possibility that there may not be
a liquid market for the contracts, that the changes in the value of the contract
may not directly correlate with changes in the value of the underlying
securities, and that the counterparty to a contract may default on its
obligation to perform. The notional amount presented in the Schedule of
Investments in the International Equity Fund, the International Fixed Income
Fund and the Emerging Markets Debt Fund represents the Fund's total exposure in
such contracts, whereas only the net unrealized appreciation (depreciation) is
reflected in the Fund's net assets.
Finally, the risk exists that losses could exceed amounts disclosed on the
Statement of Assets and Liabilities.
EQUITY-LINKED WARRANTS -- The International Equity and Emerging Markets Equity
Funds each may invest in equity-linked warrants. The Fund purchases the
equity-linked warrants from a broker, who in turn purchases shares in the local
market and issues a call warrant hedged on the underlying holding. If the Fund
exercises its call and closes its position, the shares are sold and the warrant
redeemed with the proceeds. Each warrant represents one share of the underlying
stocks, therefore the price, performance and liquidity of the warrant are all
directly linked to the underlying stock. The warrants can be redeemed for 100%
of the value of the underlying stock, less transaction costs. In addition to the
market risk of the underlying holding, the Fund bears additional counterparty
risk to the issuing broker. There is currently no active trading market for
equity-linked warrants.
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 actually owning the underlying security. The investor
must pay any decline in value to the counterparty 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
assets versus the accrued income payment based on LIBOR or some other form of
indices on the notional amount. In connection with swap agreements, securities
may be set aside as collateral by the Fund's custodian. A Fund may enter into
swap agreements in order to, among other things, change the maturity or duration
of the investment portfolio, to protect the Fund's value from changes in
interest rates, or to expose a Fund to a different security or market.
Swaps are marked-to-market daily based upon quotations from market makers and
the resulting changes in market values, if any, are recorded as an unrealized
gain or loss in the Statement of Operations. Net payments of interest are
recorded as realized gains or losses.
Entering into swap agreements involves, to varying degrees, elements of credit
and market risk in excess of the amounts recognized on the Statement of Assets
and Liabilities. Such risks involve the possibility that there will be no liquid
market for these agreements, that the counterparty to the agreement may default
on its obligation to perform and that there may be unfavorable changes in the
fluctuation of interest rates. Risks also arise from potential losses from
adverse market movements. In connection with outstanding credit-default swaps as
of September 30, 2007, the Emerging Markets Debt Fund has deposits in the amount
of $43,689,118 with the counterparty as collateral.
OPTIONS WRITTEN/PURCHASED -- The Funds may invest in financial options contracts
to add return or to hedge their existing portfolio securities, or securities
that the Funds intend to purchase, against fluctuations in fair value caused by
changes in prevailing market interest rates. When the Fund writes or purchases
an option, an amount
- --------------------------------------------------------------------------------
SEI Institutional International Trust / Annual Report / September 30, 2007 63
NOTES TO FINANCIAL STATEMENTS (Continued)
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 purchasing or writing
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.
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 could exceed amounts disclosed on the
Statement of Assets and Liabilities.
Written options transactions entered into during the year ended September 30,
2007, are summarized as follows:
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
Number of Premium
Contracts ($ Thousands)
- --------------------------------------------------------------------------------
Balance at the beginning of year 442 $ 232
Written 93 15
Expired (442) (232)
- --------------------------------------------------------------------------------
Balance at the end of year 93 $ 15
- --------------------------------------------------------------------------------
DELAYED DELIVERY TRANSACTIONS -- Funds 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.
LOAN PARTICIPATIONS AND BRADY BONDS -- The Emerging Markets Debt Fund (the
"Fund") invests in U.S. dollar-denominated fixed- and floating-rate loans
("Loans") arranged through private negotiations between a foreign sovereign
entity and one or more financial institutions ("Lenders"). The Fund invests in
such Loans in the form of participations in Loans ("Participations") or
assignments of all or a portion of Loans from third parties ("Assignments").
Participations typically result in the Fund having a contractual relationship
only with the Lender, not with the sovereign borrower. The Fund has the right to
receive payments of principal, interest and any fees to which it is entitled
from the Lender selling the Participation and only upon receipt by the Lender of
the payments from the borrower. In connection with purchasing Participations,
the Fund generally has no right to enforce compliance by the borrower with the
terms of the loan agreement relating to the Loan, nor any rights of set-off
against the borrower, and the Fund will not benefit directly from any collateral
supporting the Loan in which it has purchased the Participation. As a result,
the Fund assumes the credit risk of both the borrower and the Lender that is
selling the Participation.
Certain debt obligations, customarily referred to as "Brady Bonds," are created
through the exchange of existing commercial bank loans to foreign entities for
new obligations in connection with debt restructuring under a plan introduced by
former U.S. Secretary of the Treasury Nicholas F. Brady. Brady Bonds have only
been issued since 1989, and, accordingly, do not have a long payment history.
They are issued by governments that may have previously defaulted on the loans
being restructured by the Brady Bonds, so they are subject to the risk of
default by the issuer. They may be fully or partially collateralized or
uncollateralized and issued in various currencies.
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.
- --------------------------------------------------------------------------------
64 SEI Institutional International Trust / Annual Report / September 30, 2007
CLASSES -- Class-specific expenses are borne by that class. Income, non-class
specific expenses, and realized and unrealized gains/losses are allocated to the
respective classes on the basis of relative daily net assets.
EXPENSES -- Expenses that are directly related to one of the Funds are charged
directly to that Fund. Other operating expenses of the Trust are prorated to the
Funds on the basis of relative daily net assets.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- The International Equity,
Emerging Markets Equity and International Fixed Income Funds will distribute
substantially all of their net investment income and all net realized capital
gains, if any, at least annually. The Emerging Markets Debt Fund will distribute
substantially all of its net investment income, if any, at least quarterly and
all net realized gains, if any, at least annually. All dividends and
distributions are recorded on ex-dividend date.
SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are
accounted for on the trade date of the security purchase or sale. Costs used in
determining net realized capital gains and losses on the sale of investment
securities are those of the specific securities sold. Purchase discounts and
premiums on securities held by the Funds are accreted and amortized to maturity
using the scientific-interest method, which approximates the effective interest
method. Dividend income is recognized on the ex-dividend date and interest
income is recognized using the accrual method.
3. ADMINISTRATION, INVESTMENT ADVISORY AND DISTRIBUTION AGREEMENTS AND OTHER
TRANSACTIONS WITH AFFILIATES
ADMINISTRATION & 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 annual fees, based on the average daily net assets of
the respective funds, as presented below:
International Equity Fund 0.45%
Emerging Markets Equity Fund 0.65%
International Fixed Income Fund 0.60%
Emerging Markets Debt Fund 0.65%
However, the Administrator has voluntarily agreed to waive its fee so that the
total annual expenses of each Fund will not exceed certain expense limitations
adopted by the Administrator as presented below. In the event that the total
annual expenses of a Fund, after reflecting a waiver of all fees by the
Administrator, exceed the specific limitation, the Administrator has agreed to
bear such excess. Any such waiver is voluntary and may be terminated at any time
at the Administrator's sole discretion. At September 30, 2007, there were no
such waivers in each Fund.
- --------------------------------------------------------------------------------
International Emerging International Emerging
Equity Markets Equity Fixed Income Markets Debt
Fund Fund Fund Fund
- --------------------------------------------------------------------------------
Class A 1.29%*+ 1.96%+ 1.01%+ 1.36%+
Class I 1.54%*+ -- -- --
* Effective June 23, 2006 the expense cap excludes interest expense on
reverse repurchase agreements.
+ The expense cap excludes overdraft fees.
INVESTMENT ADVISORY AGREEMENT --SEI Investments Management Corporation ("SIMC")
acts as the Investment Adviser for the Funds under an amended and restated
Investment Advisory Agreement dated December 17, 2002 under which SIMC receives
annual fees, based on the average daily net assets of the respective funds, as
presented below:
International Equity Fund 0.505%
Emerging Markets Equity Fund 1.050%
International Fixed Income Fund 0.150%
Emerging Markets Debt Fund 0.850%
However, SIMC has also voluntarily agreed to waive its fee so that the total
annual expenses of each Fund will not exceed certain expense limitations adopted
by the Adviser as presented above.
As of September 30, 2007, SIMC has entered into Investment Sub-Advisory
Agreements with the following parties:
- --------------------------------------------------------------------------------
Investment Sub-Adviser
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY FUND
AllianceBernstein L.P.
AXA Rosenberg Investment Management LLC
Capital Guardian Trust Company
Fuller & Thaler Asset Management, Inc.
McKinley Capital Management, Inc.
Quantitative Management Associates LLC
Record Currency Management Limited
Smith Breeden Associates, Inc.
EMERGING MARKETS EQUITY FUND
AllianceBernstein L.P.
AXA Rosenberg Investment Management LLC
Emerging Markets Management, LLC
PanAgora Asset Management, Inc.*
Rexiter Capital Management Limited
The Boston Company Asset
Management LLC
* As of September 30, 2007, the sub-adviser was not yet funded.
- --------------------------------------------------------------------------------
SEI Institutional International Trust / Annual Report / September 30, 2007 65
NOTES TO FINANCIAL STATEMENTS (Continued)
- --------------------------------------------------------------------------------
Investment Sub-Adviser
- --------------------------------------------------------------------------------
INTERNATIONAL FIXED INCOME FUND
AllianceBernstein L.P.
BlackRock Financial Management, Inc.
Fidelity International Investment Advisors (UK) Limited
delegates to Fidelity International Investment Advisors
Record Currency Management Limited
EMERGING MARKETS DEBT FUND
Ashmore Investment Management Limited
ING Investment Management Company
Stone Harbor Investment Partners LP
Under the investment sub-advisory agreements, each party receives an annual fee,
paid by SIMC.
SEI Investments Distribution Co. (the "Distributor"), a wholly owned subsidiary
of SEI Investments Company ("SEI") and a registered broker-dealer, acts as the
Distributor of the shares of the Trust under an amended and restated
Distribution Agreement dated September 16, 2002. The Trust has adopted plans
under which firms, including the Distributor, that provide shareholder and
administrative services may receive compensation therefrom. Such plans provide
fees payable to the Distributor equal to the following amounts, calculated as a
percentage of the average daily net assets attributable to each particular class
of each respective fund.
- --------------------------------------------------------------------------------
Shareholder Administrative
Servicing Fees Servicing Fees
- --------------------------------------------------------------------------------
International Equity Fund
Class A 0.25% --
Class I 0.25% 0.25%
Emerging Markets Equity Fund
Class A 0.25% --
International Fixed Income Fund
Class A 0.25% --
Emerging Markets Debt Fund
Class A 0.25% --
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. The SEC rules require that
such commissions not exceed usual and customary commissions. For the year ended
September 30, 2007, the Distributor received no brokerage commissions.
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.
However, the Distributor has also voluntarily agreed to waive its fee so that
the total annual expenses of each Fund will not exceed certain expense
limitations adopted by the Distributor as presented above.
For the year ended September 30, 2007, the Distributor retained 100% of both
Shareholder Servicing fees, less the waiver, and Administration Servicing fees.
INVESTMENT IN AFFILIATED SECURITY -- The Funds may invest cash collateral from
the securities lending program in the SEI Liquidity Fund LP.
PAYMENT TO AFFILIATES -- Certain Officers and Trustees of the Trust are also
Officers and/or Trustees of the Administrator or SEI Investments Management
Corporation ("SIMC") (the "Adviser"), a wholly owned subsidiary of SEI. The
Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly,
interim, and committee meetings. The Administrator or the Adviser pays
compensation of Officers and affiliated Trustees.
A portion of the services provided by the Chief Compliance Officer ("CCO") and
his staff, whom are employees of the Administrator, are paid for by the Trust as
incurred. The services include regulatory oversight of the Trust's Advisers and
service providers as required by SEC regulations. The CCO's services have been
approved by and are reviewed by the Board.
FEES PAID INDIRECTLY -- The Funds may direct certain fund trades to the
Distributor who pays a portion of the Fund's expenses. Accordingly, the expenses
reduced, which were used to pay third party expenses, and the effect on the
Fund's expense ratio, as a percentage of the Fund's average daily net assets for
the year ended September 30, 2007, can be found on the Statement of Operations
and Financial Highlights, respectively.
- --------------------------------------------------------------------------------
66 SEI Institutional International Trust / Annual Report / September 30, 2007
4. INVESTMENT TRANSACTIONS
The cost of security purchases and the proceeds from the sale and maturity of
securities, other than short-term investments, during the year ended September
30, 2007, were as follows:
- --------------------------------------------------------------------------------
Purchases Sales and Maturities
($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
International Equity Fund
US Government $ 2,985,233 $ 3,068,651
Other 3,475,488 3,701,726
Emerging Markets Equity Fund
US Government -- --
Other 1,180,679 1,359,355
International Fixed Income Fund
US Government 153,566 99,669
Other 1,228,374 1,340,938
Emerging Markets Debt Fund
US Government 16,689 16,690
Other 684,526 632,835
5. 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.
The Funds may be subject to taxes imposed by countries in which they invest with
respect to their investments in issuers existing or operating in such countries.
Such taxes are generally based on income earned. The Funds accrue such taxes
when the related income is earned.
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 of America. These differences, which may
result in distribution reclassifications, are primarily due to foreign currency
gains and losses, passive foreign investment companies gains and losses,
equalization, disallowance of net operating loss and swap reclassifications, and
prior year adjustments. These book/tax differences are either temporary or
permanent in nature. To the extent these differences are permanent, they are
charged or credited to paid-in capital, undistributed net investment income or
accumulated net realized gain, as appropriate, in the period that the
differences arise.
Accordingly, the following permanent differences have been reclassified to/from
the following accounts as of September 30, 2007:
- --------------------------------------------------------------------------------
Undistributed Accumulated
Net Investment Realized Paid-in-
Income/(Loss) Gain/(Loss) Capital
($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
International Equity Fund $ 58,472 $ (104,202) $ 45,730
Emerging Markets Equity Fund (923) (45,980) 46,903
International Fixed Income Fund 19,962 (5,675) (14,287)
Emerging Markets Debt Fund 11,125 (15,072) 3,947
These reclassifications had no impact on the net assets or net asset value of
the Funds.
The International Equity, Emerging Markets Equity and Emerging Markets Debt
Funds utilized earnings and profits distributed to shareholders on redemption of
shares as part of the dividends paid deduction for income tax purposes.
The tax character of dividends and distributions declared during the last two
fiscal years was as follows:
- --------------------------------------------------------------------------------
Long-Term
Ordinary Income Capital Gain Totals
($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
International
Equity Fund 2007 $ 136,952 $ 126,960 $ 263,912
2006 72,034 -- 72,034
Emerging Markets
Equity Fund 2007 45,745 149,527 195,272
2006 17,376 118,635 136,011
International Fixed
Income Fund 2007 15,311 -- 15,311
2006 36,979 12,221 49,200
Emerging Markets
Debt Fund 2007 64,597 36,409 101,006
2006 89,598 43,287 132,885
As of September 30, 2007, the components of Distributable Earnings/(Accumulated
Losses) were as follows:
- -------------------------------------------------------------------------------------------------
Post-
Undistributed Undistributed Capital October
Ordinary Long-Term Loss Currency
Income Capital Gain Carryforwards Losses
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------------------------
International Equity Fund $ 249,837 $ 225,673 $ -- $ --
Emerging Markets Equity Fund 73,361 222,929 -- --
International Fixed Income Fund -- -- (4,224) (4,917)
Emerging Markets Debt Fund 38,621 7,559 -- --
- -------------------------------------------------------------------------------------------------
Unrealized Other Total
Appreciation Temporary Distributable
(Depreciation) Differences Earnings/
($ Thousands) ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------------------------
International Equity Fund $ 701,167 $ 789 $ 1,177,466
Emerging Markets Equity Fund 541,390 -- 837,680
International Fixed Income Fund (1,416) 15,979 5,422
Emerging Markets Debt Fund 61,317 (10,776) 96,721
- --------------------------------------------------------------------------------
SEI Institutional International Trust / Annual Report / September 30, 2007 67
NOTES TO FINANCIAL STATEMENTS (Continued)
Post-October losses represent losses realized on investment or foreign currency
transactions from November 1, 2006 through September 30, 2007 that, in
accordance with Federal income tax regulations, the Funds defer and treat as
having arisen in the following fiscal year. For Federal income tax purposes,
capital losses may be carried forward and applied against future capital gains
as follows:
- --------------------------------------------------------------------------------
Total Capital
Loss
Expires Carryforward
2015 09/30/07
($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
International Fixed Income Fund $ 4,224 $ 4,224
For tax purposes, the losses in the Funds can be carried forward for a maximum
of eight years to offset any net realized capital gains.
The Federal tax cost, aggregate gross unrealized appreciation and depreciation
on total investments at September 30, 2007 for each Fund is as follows:
- ------------------------------------------------------------------------------------
Aggregate Aggregate
Gross Gross Net
Federal Unrealized Unrealized Unrealized
Tax Cost Appreciation Depreciation Appreciation
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- ------------------------------------------------------------------------------------
International Equity
Fund $ 4,114,047 $ 805,967 $ (104,857) $ 701,110
Emerging Markets
Equity Fund 1,350,696 566,583 (23,228) 543,355
International Fixed
Income Fund 803,577 25,972 (11,590) 14,382
Emerging Markets
Debt Fund 963,712 77,732 (18,203) 59,529
6. CONCENTRATION/RISKS
Each Fund invests in securities of foreign issuers in various countries. These
investments may involve certain considerations and risks not typically
associated with investments in the United States, as a result of, among other
factors, the possibility of future political and economic developments and the
level of governmental supervision and regulation of securities markets in the
respective countries. The International Fixed Income Fund and Emerging Markets
Debt Fund invest in debt securities, the market value of which may change in
response to interest rate changes. Also, the ability of the issuers of debt
securities held by the International Fixed Income Fund and Emerging Markets Debt
Fund to meet their obligations may be affected by economic and political
developments in a specific country, industry or region.
Certain securities held by the Funds are valued on the basis of a price provided
by a principal market maker. The prices provided by the principal market makers
are estimates that may differ from the value that would be realized if the
securities were sold. At September 30, 2007, the total value of these securities
represented approximately 6% of the net assets of the Emerging Markets Debt
Fund.
Forward foreign currency contracts, futures contracts, and swap agreement
contracts involve risk of loss in excess of the amounts recognized in the
Statement of Assets and Liabilities to the extent of the contract amounts.
In the normal course of business, the Funds enter into contracts that provide
general indemnifications by the Fund 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 established;
however, based on experience, the risk of loss from such claim is considered
remote.
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 Board. 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 investment 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, corporate
obligations, asset-backed securities, repurchase agreements or master notes. The
value of the collateral is at least equal to the market value of the securities
loaned. However, due to market fluctuations, 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, high-quality, short-term instruments, such as
floating rate
- --------------------------------------------------------------------------------
68 SEI Institutional International Trust / Annual Report / September 30, 2007
notes, commercial paper, and private placements with an average weighted
maturity not to exceed 60 days and a maturity date not to exceed 397 days and
the SEI Liquidity Fund, L.P.
8. NEW ACCOUNTING PRONOUNCEMENTS
On July 13, 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. Adoption of FIN 48
is required for fiscal years beginning after December 15, 2006 and is to be
applied to all open tax years as of the effective date. Recent SEC guidance
allows implementing FIN 48 in fund asset calculations as late as the fund's last
net asset value calculation in the first required financial statement reporting
period. As a result of adoption, the Funds will incorporate FIN 48 in its
semi-annual report of March 31, 2008. As of September 30, 2007, the Funds do not
anticipate a material impact to the financial statements. However, management's
conclusions regarding FIN 48 could change in the future to the extent there are
changes in tax laws and/or additional guidance from the IRS regarding
interpretations of the existing laws.
In September 2006, the Financial Accounting Standards Board (FASB) issued
STATEMENT ON FINANCIAL ACCOUNTING STANDARDS (SFAS) NO. 157, "FAIR VALUE
MEASUREMENTS." This standard establishes a single authoritative definition of
fair value, sets out a framework for measuring fair value and requires
additional disclosures about fair value measurements. SFAS No. 157 applies to
fair value measurements already required or permitted by existing standards.
SFAS No. 157 is effective for financial statements issued for fiscal years
beginning after November 15, 2007 and interim periods within those fiscal years.
The changes to current generally accepted accounting principles from the
application of this Statement relate to the definition of fair value, the
methods used to measure fair value, and the expanded disclosures about fair
value measurements. As of September 30, 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.
9. OTHER MATTERS
Due to the volatility in the fixed income and equity markets, the market value
of some of the Fund's holdings may currently be lower than shown in the
Schedules of Investments ("SOI"). The values shown in the SOI's were the market
values as of September 30, 2007 and do not reflect any market events after
September 30, 2007.
- --------------------------------------------------------------------------------
SEI Institutional International Trust / Annual Report / September 30, 2007 69
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of
SEI Institutional International Trust
We have audited the accompanying statements of assets and liabilities, including
the schedules of investments of SEI Institutional International Trust,
comprising the International Equity, Emerging Markets Equity, International
Fixed Income and Emerging Markets Debt Funds (collectively, the "Funds"), as of
September 30, 2007, and the related statements of operations for the year then
ended, and the changes in net assets and the financial highlights for each of
the years in the two-year period then ended. These financial statements and
financial highlights are the responsibility of the Fund's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits. The financial highlights for the years
or periods in the three-year period ended September 30, 2005, were audited by
other auditors, whose report dated November 29, 2005, expressed an unqualified
opinion thereon.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements. Our procedures included confirmation of
securities owned as of September 30, 2007, by correspondence with custodians and
brokers. As to securities purchased or sold but not yet received or delivered,
we performed other appropriate auditing procedures. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the funds comprising SEI Institutional International Trust as of September
30, 2007, and the results of their operations for the year then ended, and the
changes in their net assets and the financial highlights for each of the years
in the two-year period then ended, in conformity with U.S. generally accepted
accounting principles.
/s/ KMPG LLP
Philadelphia, Pennsylvania
November 27, 2007
- --------------------------------------------------------------------------------
70 SEI Institutional International Trust / Annual Report / September 30, 2007
TRUSTEES AND OFFICERS OF THE TRUST (UNAUDITED)
The following chart lists Trustees and Officers as of November 15, 2007.
Set forth below are the names, addresses, ages, position with the Trust, Term of
Office and Length of Time Served, the principal occupations for the last five
years, number of portfolios in fund complex overseen by trustee, and other
directorships outside the fund complex of each of the persons currently serving
as Trustees and Officers of the Trust. The Trust's Statement of Additional
Information ("SAI") includes additional information about the Trustees and
Officers. The SAI may be obtained without charge by calling 1-800-342-5734.
- ------------------------------------------------------------------------------------------------------------------------------------
TERM OF NUMBER OF
OFFICE PORTFOLIOS
AND PRINCIPAL IN FUND
NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS
ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY
AND AGE TRUSTS SERVED 1 FIVE YEARS BY TRUSTEE 2 TRUSTEE
- ------------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES
- -------------------
Robert A. Nesher Chairman since 1982 Currently performs various 77 Trustee of The Advisors'
One Freedom of the services on behalf of SEI for Inner Circle Fund, The
Valley Drive, Board of which Mr. Nesher is Advisors' Inner Circle Fund
Oaks, PA 19456 Trustees* compensated. II, Bishop Street Funds,
61 yrs. old Director of SEI Global
Master Fund, plc, SEI Global
Assets Fund, plc, SEI Global
Investments Fund, plc, SEI
Investments Global, Limited,
SEI Investments -- Global
Fund Services, Limited, SEI
Investments (Europe),
Limited, SEI Investments --
Unit Trust Management (UK),
Limited, SEI Global Nominee
Ltd., SEI Opportunity Master
Fund, L.P., SEI Opportunity
Fund, L.P., SEI
Multi-Strategy Funds plc.,
SEI Structured Credit Fund,
L.P. and SEI Alpha Strategy
Portfolios, LP
- ------------------------------------------------------------------------------------------------------------------------------------
William M. Doran Trustee* since 1982 Self-employed consultant since 77 Trustee of The Advisors'
1701 Market Street 2003. Partner, Morgan, Lewis & Inner Circle Fund, The
Philadelphia, PA Bockius LLP (law firm) from Advisors' Inner Circle Fund
19103 1976 to 2003, counsel to the II, Bishop Street Funds,
67 yrs. old Trust, SEI, SIMC, the Director of SEI since 1974.
Administrator and the Director of the Distributor
Distributor. Secretary of SEI since 2003. Director of SEI
since 1978. Investments -- Global Fund
Services, Limited, SEI
Investments Global, Limited,
SEI Investments (Europe),
Limited, SEI Investments
(Asia), Limited, SEI Asset
Korea Co., Ltd. and SEI
Alpha Strategy Portfolios, LP
- ------------------------------------------------------------------------------------------------------------------------------------
TRUSTEES
- --------
F. Wendell Gooch Trustee since 1982 Retired 77 Trustee of STI Classic Funds
One Freedom and STI Classic Variable
Valley Drive, Trust.
Oaks, PA 19456
74 yrs. old
- ------------------------------------------------------------------------------------------------------------------------------------
James M. Storey Trustee since 1995 Attorney, sole practitioner 77 Trustee of The Advisors'
One Freedom since 1994. Partner, Dechert Inner Circle Fund, The
Valley Drive, Price & Rhoads, September Advisors' Inner Circle Fund
Oaks, PA 19456 1987-December 1993. II, Bishop Street Funds,
76 yrs. old Massachusetts Health and
Education Tax- Exempt Trust,
U.S. Charitable Gift Trust
and SEI Alpha Strategy
Portfolios, LP
- ------------------------------------------------------------------------------------------------------------------------------------
* MESSRS. NESHER AND DORAN ARE TRUSTEES WHO MAY BE DEEMED AS "INTERESTED"
PERSONS OF THE TRUST AS THAT TERM IS DEFINED IN THE 1940 ACT BY VIRTUE OF
THEIR AFFILIATION WITH SIMC AND THE TRUST'S DISTRIBUTOR.
1 EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE
ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR UNTIL HE OR SHE
SOONER DIES, RESIGNS OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S
DECLARATION OF TRUST.
2 THE FUND COMPLEX INCLUDES THE FOLLOWING: SEI ASSET ALLOCATION TRUST, SEI
DAILY INCOME TRUST, SEI INSTITUTIONAL INVESTMENTS TRUST, SEI INSTITUTIONAL
INTERNATIONAL TRUST, SEI INSTITUTIONAL MANAGED TRUST, SEI LIQUID ASSET
TRUST, SEI TAX EXEMPT TRUST AND SEI ALPHA STRATEGY PORTFOLIOS, LP.
- --------------------------------------------------------------------------------
SEI Institutional International Trust / Annual Report / September 30, 2007 71
TRUSTEES AND OFFICERS OF THE TRUST (UNAUDITED)
- ------------------------------------------------------------------------------------------------------------------------------------
TERM OF NUMBER OF
OFFICE PORTFOLIOS
AND PRINCIPAL IN FUND
NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS
ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY
AND AGE TRUSTS SERVED 1 FIVE YEARS BY TRUSTEE 2 TRUSTEE
- ------------------------------------------------------------------------------------------------------------------------------------
TRUSTEES (CONTINUED)
- --------------------
George J. Sullivan, Jr. Trustee since 1996 Self-Employed Consultant, 77 Trustee of The Advisors'
One Freedom Newfound Consultants Inc. Inner Circle Fund, The
Valley Drive since April 1997. Advisors' Inner Circle Fund
Oaks, PA 19456 II, Bishop Street Funds,
65 yrs. old State Street Navigator
Securities Lending Trust, SEI
Opportunity Master Fund,
L.P., SEI Opportunity Fund,
L.P., SEI Structured Credit
Fund, L.P. and SEI Alpha
Strategy Portfolios, LP
- ------------------------------------------------------------------------------------------------------------------------------------
Rosemarie B. Greco Trustee since 1999 Director, Governor's Office of 77 Director, Sonoco, Inc.;
One Freedom` Health Care Reform, Director, Exelon Corporation;
Valley Drive Commonwealth of Pennsylvania Trustee, Pennsylvania Real
Oaks, PA 19456 since 2003. Founder and Estate Investment Trust and
61 yrs. old Principal, Grecoventures Ltd. SEI Alpha Strategy
from 1999 to 2002. Portfolios, LP
- ------------------------------------------------------------------------------------------------------------------------------------
Nina Lesavoy Trustee since 2003 Managing Partner, Cue Capital 77 Director of SEI Opportunity
One Freedom since March 2002, Managing Master Fund, L.P., SEI
Valley Drive, Partner and Head of Sales, Opportunity Fund, L.P., SEI
Oaks, PA 19456 Investorforce, March Structured Credit Fund, L.P.
50 yrs. old 2000-December 2001; Global and SEI Alpha Strategy
Partner working for the CEO, Portfolios, LP
Invesco Capital, January
1998-January 2000. Head of
Sales and Client Services,
Chancellor Capital and later
LGT Asset Management,
1986-2000.
- ------------------------------------------------------------------------------------------------------------------------------------
James M. Williams Trustee since 2004 Vice President and Chief 77 Trustee/Director of Ariel
One Freedom Investment Officer, J. Paul Mutual Funds, SEI Opportunity
Valley Drive, Getty Trust, Non-Profit Master Fund, L.P., SEI
Oaks, PA 19456 Foundation for Visual Arts, Opportunity Fund, L.P., SEI
60 yrs. old since December 2002. Structured Credit Fund, L.P.
President, Harbor Capital and SEI Alpha Strategy
Advisors and Harbor Mutual Portfolios, LP
Funds, 2000-2002. Manager,
Pension Asset Management, Ford
Motor Company, 1997-1999.
- ------------------------------------------------------------------------------------------------------------------------------------
Mitchell A. Johnson Trustee since 2007 Private Investor since 1994. 77 Trustee of the Advisors'
One Freedom Inner Circle Fund, The
Valley Drive, Advisor's Inner Circle Fund
Oaks, PA 19456 II, Bishop Street Funds and
65 yrs. old SEI Alpha Strategy
Portfolios, LP
- ------------------------------------------------------------------------------------------------------------------------------------
OFFICERS
- --------
Robert A. Nesher President since 2005 Currently performs various N/A N/A
One Freedom & CEO services on behalf of SEI for
Valley Drive, which Mr. Nesher is
Oaks, PA 19456 compensated.
61 yrs. old
- ------------------------------------------------------------------------------------------------------------------------------------
Stephen F. Panner Controller since 2005 Fund Accounting Director of N/A N/A
One Freedom and the Administrator since 2005.
Valley Drive, Chief Fund Administration Manager,
Oaks, PA 19456 Financial Old Mutual Fund Services,
37 yrs. old Officer 2000-2005. Chief Financial
Officer, Controller and
Treasurer, PBHG Funds and PBHG
Insurance Series Fund,
2004-2005. Assistant
Treasurer, PBHG Funds and PBHG
Insurance Series Fund,
2000-2004. Assistant
Treasurer, Old Mutual Advisors
Fund, 2004-2005.
- ------------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
72 SEI Institutional International Trust / Annual Report / September 30, 2007
- ------------------------------------------------------------------------------------------------------------------------------------
TERM OF NUMBER OF
OFFICE PORTFOLIOS
AND PRINCIPAL IN FUND
NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS
ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY
AND AGE TRUSTS SERVED 1 FIVE YEARS BY TRUSTEE 2 TRUSTEE
- ------------------------------------------------------------------------------------------------------------------------------------
OFFICERS (CONTINUED)
- --------------------
Russell Emery Chief since 2006 Chief Compliance Officer of N/A N/A
One Freedom` Compliance SEI Opportunity Master Fund,
Valley Drive Officer L.P., SEI Opportunity Fund,
Oaks, PA 19456 L.P., Bishop Street Funds, SEI
44 yrs. old Structured Credit Fund, L.P.,
The Advisors' Inner Circle
Fund and the Advisors' Inner
Circle Fund II, since March
2006. Director of Investment
Product Management and
Development of SIMC, February
2003- March 2006. Senior
Investment Analyst--Equity Team
of SEI, March 2000-February
2003.
- ------------------------------------------------------------------------------------------------------------------------------------
Timothy D. Barto Vice since 2002 General Counsel, Vice N/A N/A
One Freedom President President and Secretary of
Valley Drive and SIMC and the Administrator
Oaks, PA 19456 Secretary since 2004. Vice President and
39 yrs. old Assistant Secretary of SEI
since 2001. Vice President of
SIMC and the Administrator
since 1999. Assistant
Secretary of SIMC, the
Administrator and the
Distributor and Vice President
of the Distributor, 1999-2003.
- ------------------------------------------------------------------------------------------------------------------------------------
Sofia A. Rosala Vice since 2004 Vice President and Assistant N/A N/A
One Freedom President Secretary of SIMC and the
Valley Drive and Administrator since 2005.
Oaks, PA 19456 Assistant Compliance Officer of SEI,
33 yrs. old Secretary September 2001-2004.
- ------------------------------------------------------------------------------------------------------------------------------------
James Ndiaye Vice since 2005 Vice President and Assistant N/A N/A
One Freedom President Secretary of SIMC since 2005.
Valley Drive and Vice President, Deutsche Asset
Oaks, PA 19456 Assistant Management (2003-2004).
39 yrs. old Secretary Associate, Morgan, Lewis &
Bockius LLP (2000-2003).
- ------------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Institutional International Trust / Annual Report / September 30, 2007 73
TRUSTEES AND OFFICERS OF THE TRUST (Unaudited) (Concluded)
- ------------------------------------------------------------------------------------------------------------------------------------
TERM OF NUMBER OF
OFFICE PORTFOLIOS
AND PRINCIPAL IN FUND
NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS
ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY
AND AGE TRUSTS SERVED 1 FIVE YEARS BY TRUSTEE 2 TRUSTEE
- ------------------------------------------------------------------------------------------------------------------------------------
OFFICERS (CONTINUED)
- --------------------
Michael T. Pang Vice since 2005 Vice President and Assistant N/A N/A
One Freedom President Secretary of SIMC since 2005.
Valley Drive and Counsel, Caledonian Bank &
Oaks, PA 19456 Assistant Trust's Mutual Funds Group
35 yrs. old Secretary (2004). Counsel, Permal Asset
Management (2001-2004).
- ------------------------------------------------------------------------------------------------------------------------------------
John J. McCue Vice since 2004 Director of Portfolio N/A N/A
One Freedom President Implementations for SIMC since
Valley Drive 1995. Managing Director of
Oaks, PA 19456 Money Market Investments for
44 yrs. old SIMC since 2003.
- ------------------------------------------------------------------------------------------------------------------------------------
Nicole Welch Anti-Money since 2005 Assistant Vice President and N/A N/A
One Freedom Laundering Anti-Money Laundering
Valley Drive Compliance Compliance Coordinator of SEI
Oaks, PA 19456 Officer since 2005. Compliance
30 yrs. old Analyst, TD Waterhouse (2004).
Senior Compliance Analyst, UBS
Financial Services
(2002-2004). Knowledge
Management Analyst,
PriceWaterhouseCoopers
Consulting (2000-2002).
- ------------------------------------------------------------------------------------------------------------------------------------
1 EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE
ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR UNTIL HE OR SHE
SOONER DIES, RESIGNS OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S
DECLARATION OF TRUST.
2 THE FUND COMPLEX INCLUDES THE FOLLOWING: SEI ASSET ALLOCATION TRUST, SEI
DAILY INCOME TRUST, SEI INSTITUTIONAL INVESTMENTS TRUST, SEI INSTITUTIONAL
INTERNATIONAL TRUST, SEI INSTITUTIONAL MANAGED TRUST, SEI LIQUID ASSET
TRUST, SEI TAX EXEMPT TRUST AND SEI ALPHA STRATEGY PORTFOLIOS, LP.
- --------------------------------------------------------------------------------
74 SEI Institutional International Trust / Annual Report / September 30, 2007
Disclosure of Fund Expenses (Unaudited)
All mutual funds have operating expenses. As a shareholder of a 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 fund's gross income and
directly reduce your final investment return. These expenses are expressed as a
percentage of the fund's average net assets; this percentage is known as the
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 this page illustrates your fund's costs in two ways:
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
the Fund, to estimate the expenses you paid over that period. Simply divide your
actual 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."
HYPOTHETICAL 5% RETURN. This section helps you compare your Fund's costs with
those of other mutual funds. It assumes that the fund had an annual 5% return
before expenses during the year, but that the expense ratio (Column 3) for the
period 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
funds.
NOTE: Because the return is set at 5% for comparison purposes -- NOT your Fund's
actual return -- the account values shown may not apply to your specific
investment.
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
4/1/07 9/30/07 RATIOS PERIOD*
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A $1,000.00 $1,075.80 1.26% $ 6.56
Class I $1,000.00 $1,074.60 1.51% $ 7.85
HYPOTHETICAL 5% RETURN
Class A $1,000.00 $1,018.75 1.26% $ 6.38
Class I $1,000.00 $1,017.50 1.51% $ 7.64
- --------------------------------------------------------------------------------
EMERGING MARKETS EQUITY FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A $1,000.00 $1,258.90 1.97% $11.16
HYPOTHETICAL 5% RETURN
Class A $1,000.00 $1,015.19 1.97% $ 9.95
- --------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
4/1/07 9/30/07 RATIOS PERIOD*
- --------------------------------------------------------------------------------
INTERNATIONAL FIXED INCOME FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A $1,000.00 $1,010.20 1.02% $5.14
HYPOTHETICAL 5% RETURN
Class A $1,000.00 $1,019.95 1.02% $5.16
- --------------------------------------------------------------------------------
EMERGING MARKETS DEBT FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A $1,000.00 $1,016.60 1.37% $6.93
HYPOTHETICAL 5% RETURN
Class A $1,000.00 $1,018.20 1.37% $6.93
- --------------------------------------------------------------------------------
* EXPENSES ARE EQUAL TO THE FUND'S ANNUALIZED EXPENSE RATIO MULTIPLIED BY
THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY 183/365 (TO
REFLECT THE ONE-HALF YEAR PERIOD SHOWN).
- --------------------------------------------------------------------------------
SEI Institutional International Trust / Annual Report / September 30, 2007 75
Board of Trustees Considerations in Approving
the Funds' Investment Advisory and Sub-Advisory
Agreements (Unaudited)
The SEI Institutional International 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
- --------------------------------------------------------------------------------
76 SEI Institutional International Trust / Annual Report / September 30, 2007
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.
At the December 8, 2006, March 14, 2007, June 28, 2007 and September 19, 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. The Trustees found the level of SIMC's professional staff
and culture of compliance satisfactory. 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. The
Trustees found Fund performance satisfactory, and where performance was below
the benchmark, the Trustees were satisfied that appropriate steps were being
taken. 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.
- --------------------------------------------------------------------------------
SEI Institutional International Trust / Annual Report / September 30, 2007 77
Board of Trustees Considerations in Approving
the Funds' Investment Advisory and Sub-Advisory
Agreements (Unaudited) (Concluded)
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. The Trustees further considered the fact
that the comparative fee analysis either showed that the various fees were below
average or that there was a reasonable basis for the fee level. 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.
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. The
Trustees found that profitability was reasonable and that the margin was not
increasing despite growth in assets. 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.
- --------------------------------------------------------------------------------
78 SEI Institutional International Trust / Annual Report / September 30, 2007
Notice to Shareholders (Unaudited)
For shareholders that do not have a September 30, 2007 taxable year end, this
notice is for informational purposes only. For shareholders with a September 30,
2007 taxable year end, please consult your tax advisor as to the pertinence of
this notice.
For the fiscal year ended September 30, 2007 the Funds of the SEI Institutional
International Trust are designating the following items with regard to
distributions paid during the year:
(E)
QUALIFYING
(A) (B) DIVIDEND
LONG-TERM ORDINARY (D) INCOME (F) (G) (H)
CAPITAL GAINS INCOME DIVIDENDS (15% TAX U.S. QUALIFIED QUALIFIED
DISTRIBUTIONS DISTRIBUTIONS (C) RECEIVED RATE FOR GOVERNMENT INTEREST SHORT-TERM
FUND (TAX BASIS) (TAX BASIS) TOTAL DEDUCTION (1) QDI) (2) INTEREST (3) INCOME (4) CAPITAL GAIN (5)
- -----------------------------------------------------------------------------------------------------------------------------------
International Equity 48.12% 51.88% 100.00% 0.00% 31.63% 0.00% 7.74% 100.00%
Emerging Markets
Equity 74.95% 25.05% 100.00% 0.00% 28.34% 0.00% 0.00% 100.00%
International Fixed
Income 0.00% 100.00% 100.00% 0.00% 0.00% 3.93% 23.00% 0.00%
Emerging Markets Debt 35.13% 64.87% 100.00% 0.00% 0.00% 0.00% 0.00% 100.00%
The Funds intend to pass through foreign tax credit to shareholders. For the
fiscal year ended September 30, 2007, the amount of foreign source income and
foreign tax credit are as follows:
- --------------------------------------------------------
Foreign Tax
Foreign Source Credit Pass
Fund Income Through
- --------------------------------------------------------
International Equity $ 88,800,478 $ 3,017,343
Emerging Markets Equity 38,306,440 3,932,193
(1) "Dividends Received Deduction" represent dividends which qualify for the
corporate dividends received deduction.
(2) "Qualifying Dividend Income" represent qualifying dividends as created by
the Jobs and Growth Tax Relief Reconciliation Act of 2003. It is the
intention of the Fund to designate the max amount permitted by law.
(3) "U.S. Government Interest" represent the amount of interest that was
derived from direct U.S. Government obligations and distributed during the
fiscal year. Generally, interest from direct U.S. Government obligations
is exempt from state income tax. However, for shareholders who are
residents of California, Connecticut or New York, the statutory threshold
requirements were not satisfied to permit exemption of these amounts from
state income.
(4) "Qualified Interest Income" represent qualifying interest that is exempt
from U.S. withholding tax when paid to foreign investors as created by the
American Jobs Creation Act of 2004.
(5) "Qualified Short-Term Capital Gain" represent qualifying short-term
capital gain that is exempt from U.S. withholding tax when paid to foreign
investors as created by the American Jobs Creation Act of 2004.
Items (A), (B) and (C) are based on the percentage of each fund's total
distribution.
Items (D) and (E) are based on the percentage of "Ordinary Income
Distributions."
Item (F) is based on the percentage of gross income of each Fund.
Item (G) is based on the percentage of net investment income distributions.
Item (H) is based on the percentage of ordinary income distributions.
Please consult your tax adviser for proper treatment of this information. This
notification should be kept with your permanent tax records.
- --------------------------------------------------------------------------------
SEI Institutional International Trust / Annual Report / September 30, 2007 79
Notes
Notes
Notes
Notes
Notes
SEI INSTITUTIONAL INTERNATIONAL TRUST ANNUAL REPORT SEPTEMBER 30, 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
Mitchell A. Johnson
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
KMPG 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 SEI 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-018 (9/07)
ITEM 2. CODE OF ETHICS.
The registrant has adopted a code of ethics that applies to the registrant's
principal executive officer, principal financial officer, comptroller or
principal accounting officer.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a)(1) The registrant's board of trustees has determined that the registrant has
at least one audit committee financial expert serving on the audit committee.
(a)(2) The audit committee financial expert is George J. Sullivan, Jr. Mr.
Sullivan is an independent as defined in Form N-CSR Item 3(a)(2).
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Fees billed by KPMG LLP (KPMG) Related to the Trust
KPMG billed the Trust aggregate fees for services rendered to the Trust for the
last two fiscal years as follows:
- ------------------------------------------------------------------------------------------------------------------------------
FISCAL 2007 FISCAL 2006
- ------------------------------------------------------------------------------------------------------------------------------
All fees and All fees and All other fees All fees and All fees and All other fees
services to the services to and services to services to the services to and services to
Trust that were service service Trust that were service service
pre-approved affiliates that affiliates that pre-approved affiliates that affiliates that
were pre- did not require were pre- did not require
approved pre-approval approved pre-approval
- ------------------------------------------------------------------------------------------------------------------------------
(a) Audit $136,500 N/A $0 $118,700 N/A $0
Fees(1)
- ------------------------------------------------------------------------------------------------------------------------------
(b) Audit- $0 $0 $0 $0 $0 $0
Related
Fees
- ------------------------------------------------------------------------------------------------------------------------------
(c) Tax $0 $0 $0 N/A N/A N/A
Fees
- ------------------------------------------------------------------------------------------------------------------------------
(d) All $5,440 $264,075 $0 $0 $216,500 $60,360
Other
Fees
- ------------------------------------------------------------------------------------------------------------------------------
Notes:
(1) Audit fees include amounts related to the audit of the registrant's
annual financial statements and services normally provided KPMG in
connection with statutory and regulatory filings.
(e)(1) The trust's Audit Committee has adopted and the Board of Trustees has
ratified an Audit and Non-Audit Services Pre-Approval Policy (the "Policy"),
which sets forth the procedures and the conditions pursuant to which services
proposed to be performed by the independent auditor of the Funds may be
pre-approved.
The Policy provides that all requests or applications for proposed services to
be provided by the independent auditor must be submitted to the Registrant's
Chief Financial Officer ("CFO") and must include a detailed description of the
services proposed to be rendered. The CFO will determine whether such services:
(1) require specific pre-approval; (2) are included within the list of services
that have received the general pre-approval of the Audit Committee pursuant to
the Policy; or (3) have been previously pre-approved in connection with the
independent auditor's annual engagement letter for the applicable year or
otherwise. In any instance where services require pre-approval, the Audit
Committee will consider whether such services are consistent with SEC's rules
and whether the provision of such services would impair the auditor's
independence.
Requests or applications to provide services that require specific pre-approval
by the Audit Committee will be submitted to the Audit Committee by the CFO. The
Audit Committee will be informed by the CFO on a quarterly basis of all services
rendered by the independent auditor. The Audit Committee has delegated specific
pre-approval authority to either the Audit Committee Chair or financial expert,
provided that the estimated fee for any such proposed pre-approved service does
not exceed $100,000 and any pre-approval decisions are reported to the Audit
Committee at its next regularly scheduled meeting.
Services that have received the general pre-approval of the Audit Committee are
identified and described in the Policy. In addition, the Policy sets forth a
maximum fee per engagement with respect to each identified service that has
received general pre-approval.
All services to be provided by the independent auditor shall be provided
pursuant to a signed written engagement letter with the Registrant, the
investment advisor or applicable control affiliate (except that matters as to
which an engagement letter would be impractical because of timing issues or
because the matter is small may not be the subject of an engagement letter) that
sets forth both the services to be provided by the independent auditor and the
total fees to be paid to the independent auditor for those services.
In addition, the Audit Committee has determined to take additional measures on
an annual basis to meet its responsibility to oversee the work of the
independent auditor and to assure the auditor's independence from the
Registrant, such as reviewing a formal written statement from the independent
auditor delineating all relationships between the independent auditor and the
Registrant, and discussing with the independent auditor its methods and
procedures for ensuring independence.
(e)(2) Percentage of fees billed applicable to non-audit services pursuant to
waiver of pre-approval requirement were as follows:
-------------------------------------------------------
FISCAL 2007 FISCAL 2006
-------------------------------------------------------
Audit-Related Fees 0% 0%
-------------------------------------------------------
Tax Fees 0% 0%
-------------------------------------------------------
All Other Fees 0% 0%
-------------------------------------------------------
(f) Not Applicable.
(g)(1) The aggregate non-audit fees and services billed by KPMG for the
fiscal years 2007 and 2006 were $269,515 and $276,860, respectively. Non-audit
fees consist of SAS No. 70 review of fund accounting and administration
operations, attestation report in accordance with Rule 17 Ad-13, agreed upon
procedures report over certain internal controls related to compliance with
federal securities laws and regulations and tax consulting services for various
service affiliates of the registrant.
(h) During the past fiscal year, Registrant's principal accountant
provided certain non-audit services to Registrant's investment adviser or to
entities controlling, controlled by, or under common control with Registrant's
investment adviser that provide ongoing services to Registrant that were not
subject to pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of
Regulation S-X. The audit committee of Registrant's Board of Trustees reviewed
and considered these non-audit services provided by Registrant's principal
accountant to Registrant's affiliates, including whether the provision of these
non-audit services is compatible with maintaining the principal accountant's
independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS
Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT COMPANY AND
AFFILIATED PURCHASERS.
Not applicable.
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
18th 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. In their opinion, based on their evaluation,
except as noted below, 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. The registrant's fund accountant identified a
weakness in its internal controls relating to the application of fair value
pricing for certain international equity securities held by
international equity funds that used an automated fair valuation process. This
weakness has since been corrected.
(b) Except for the corrections noted above, 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 registrant's internal control over
financial reporting.
ITEMS 12. EXHIBITS.
(a)(1) Code of Ethics attached hereto.
(a)(2) A separate certification for the principal executive officer and the
principal financial officer of the registrant as required by Rule 30a-2(a) under
the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed
herewith.
(b) Officer certifications as required by Rule 30a-2(b) under the Investment
Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing
as an Exhibit.
- --------------------------------------------------------------------------------
SIGNATURES
Pursuant to the requirements of the securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) SEI Institutional International Trust
By (Signature and Title)* /s/ Robert A. Nesher
------------------------------
Robert A. Nesher
President & CEO
Date: December 6, 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: December 6, 2007
By (Signature and Title)* /s/ Stephen F. Panner
------------------------------
Stephen F. Panner,
Controller & CFO
Date: December 6, 2007
* Print the name and title of each signing officer under his or her signature.