UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
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FORM N-CSR
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CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER 811-04878
SEI INSTITUTIONAL MANAGED TRUST
(Exact name of registrant as specified in charter)
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c/o CT Corporation
101 Federal St.
Boston, MA 02110
(Address of principal executive offices) (Zip code)
SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
(Name and address of agent for service)
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: 1-800-342-5734
DATE OF FISCAL YEAR END: SEPTEMBER 30, 2007
DATE OF REPORTING PERIOD: SEPTEMBER 30, 2007
ITEM 1. REPORTS TO STOCKHOLDERS.
[LOGO] New Ways.
SEI
New answers.(R)
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SEI Institutional Managed Trust
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Annual Report as of September 30, 2007
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Large Cap Value Fund
Large Cap Growth Fund
Tax-Managed Large Cap Fund
Large Cap Diversified Alpha Fund
S&P 500 Index Fund
Small Cap Value Fund
Small Cap Growth Fund
Tax-Managed Small Cap Fund
Small/Mid Cap Diversified Alpha Fund
Mid-Cap Fund
U.S. Managed Volatility Fund
Global Managed Volatility Fund
Real Estate Fund
Enhanced Income Fund
Core Fixed Income Fund
High Yield Bond Fund
TABLE OF CONTENTS
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Management's Discussion and Analysis of Fund Performance 1
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Schedules of Investments 30
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Statements of Assets and Liabilities 202
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Statements of Operations 206
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Statements of Changes in Net Assets 210
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Financial Highlights 215
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Notes to Financial Statements 219
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Report of Independent Registered Public Accounting Firm 233
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Trustees and Officers of the Trust 234
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Disclosure of Fund Expenses 237
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Board of Trustees Considerations in Approving the Advisory and
Sub-Advisory Agreements 239
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Notice to Shareholders 242
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Shareholder Voting Results 243
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The Trust files its complete schedule of portfolio holdings with the Securities
and Exchange Commission ("Commission") for the first and third quarters of each
fiscal year on Form N-Q within sixty days after period end. The Trust's Form N-Q
is available on the Commission's website at http://www.sec.gov, and may be
reviewed and copied at the Commission's Public Reference Room in Washington, DC.
Information on the operation of the Public Reference Room may be obtained by
calling 1-800-SEC-0330.
A description of the policies and procedures that the Trust uses to determine
how to vote proxies relating to portfolio securities, as well as information
relating to how a Fund voted proxies relating to portfolio securities during the
most recent 12-month period ended June 30, is available (i) without charge, upon
request, by calling 1-800-DIAL-SEI; and (ii) on the Commission's website at
http://www.sec.gov.
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007
Large Cap Value Fund
Objective
The Large Cap Value Fund (the "Fund") seeks to provide long-term growth of
capital and income by investing in the equity securities of large companies. The
Fund invests primarily in a diversified portfolio of high quality, income
producing common stocks, which in the adviser's opinion, are undervalued in the
marketplace at the time of purchase.
Strategy
With respect to this Fund, SEI Investments Management Corporation ("SIMC")
employs a multi-manager structure to gain exposure to the entire large cap value
sector, adding value through stock selection while managing risk in the form of
capitalization, valuation and economic sector exposures. Assets of the Fund are
strategically allocated among its four sub-advisers, each of whom has
responsibility for stock selection for its respective assets under management.
Through various investment approaches, each sub-adviser contributes a unique
expertise or sub-style to the Fund. Aronson + Johnson + Ortiz invests in
asset-rich companies selling at relatively low multiples of earnings which have
earnings and price momentum. LSV Asset Management invests in companies trading
at deep discounts to their intrinsic value, while Enhanced Investment
Technologies employs a volatility capture strategy. AllianceBernstein
incorporates intensive fundamental research to invest in undervalued stocks
where there is a relationship between the current price, its future earnings
power and dividend producing capability.
Analysis
The Large Cap Value Fund, Class A, returned 13.91% for the fiscal year, lagging
behind the value area of the market for the period. The Russell 1000 Value Index
returned 14.45% for the fiscal year ended September 30, 2007.
U.S. large cap stocks rallied strongly during the fiscal year returning close to
17% for the one year ending September 30, 2007 as measured by the Russell 1000
Index. Investors were encouraged by strong global economic growth and seemed to
adjust well to slowing growth in the U.S. following record double digit growth
for multiple prior quarters. The rally came in spite of rising oil prices to
above $80 a barrel as well as weakness in housing and ongoing subprime fears.
The fiscal year started out on a strong note as large cap stocks rallied for the
first several months on strong global economic news, low unemployment and a
continued torrid pace of merger and acquisition and private equity activity.
Investors pushed through a temporary setback in late February when the market
fell by 3.5% in a single day. Subprime fears came to a head in late July and
early August, when credit markets seized up and spilled over into equity markets
sending the broader market down close to 10% from the mid-July peaks to
mid-August. This market weakness tended to hit quantitative managers the hardest
due to what we believe to be a shift in capital market flows and hedge fund
trading. Once again, however, markets regained their footing as global central
banks injected liquidity into financial markets, and investors began to price in
a 25 basis points or 50 basis points rate cut by the U.S. Federal Reserve. By
the end of September, markets were once again approaching new highs.
The energy and materials sectors continued to lead markets as both returned
approximately 40% for the fiscal year. Energy rallied on the back of strong oil
prices and heightened supply concerns. The financials sector was the significant
underperformer; weighed down by subprime fallout. Thrifts and mortgage finance,
consumer finance, as well as the large money center banks were among the weakest
performers. The fiscal year witnessed the reversal of two significant and
long-running trends in the U.S. equity market: the underperformance of growth
and the underperformance of megacaps. The Russell 1000 Growth Index outpaced the
Russell 1000 Value Index by close to 5% as both stronger growing and more
expensive stocks, as measured by P/E, outperformed. Although the largest 10% and
20% of the stock universe performed slightly below the broad market for the
entire fiscal year, these stocks staged a sharp comeback starting in the third
fiscal quarter.
The portfolio outpaced the benchmark for the first three quarters of the fiscal
year, but gave back much of the gains following the spillover from the credit
meltdown in July and August. On the positive side, the portfolio benefitted from
strong stock selection within the information technology, industrials and
consumer staples sectors. The portfolio also benefitted from a slight overweight
to faster growing stocks in the value benchmark. However, this was offset by the
negative impact of a slight overweight to diversified financials as well as
negative stock
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SEI Institutional Managed Trust / Annual Report / September 30, 2007 1
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007
selection within thrifts and mortgage finance companies. All four sub-advisers
to the fund traded fairly close to the Russell 1000 Value Index benchmark with
the exception of LSV Asset Management. LSV Asset Management outpaced the value
area of the market as the manger's strong stock selection within the industrials
and information technology sectors more than offset negative stock selection
within the financials sector.
There were no sub-adviser changes during the fiscal year.
Large Cap Value Fund:
AVERAGE ANNUAL TOTAL RETURN 1
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Annualized Annualized Annualized Annualized
One Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
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Large Cap Value Fund,
Class A 13.91% 14.40% 17.03% 7.50% 12.21%
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Large Cap Value Fund,
Class I 13.64% 14.13% 16.73% 7.18% 11.87%
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Comparison of Change in the Value of a $100,000 Investment in the Large Cap
Value Fund, Class A and Class I, versus the Russell 1000 Value Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Large Cap Value Large Cap Value Russell 1000
Fund, Class A Fund, Class I Value Index
9/30/97 $100,000 $100,000 $100,000
9/30/98 98,600 98,210 103,590
9/30/99 115,490 114,631 122,982
9/30/00 120,653 119,331 133,940
9/30/01 114,523 112,911 122,006
9/30/02 93,841 92,316 101,326
9/30/03 115,002 112,782 126,019
9/30/04 137,611 134,583 151,878
9/30/05 159,450 155,591 177,226
9/30/06 180,848 176,067 203,137
9/30/07 206,004 200,083 232,490
1 For the period ended 9/30/07. Past performance is no indication of future
performance. The performance indicated above for Class A Shares begins on
10/3/94 at which time Mellon Equity Associates acted as investment adviser
to the Fund. Previous periods during which the Fund was advised by another
investment adviser are not shown. Class I Shares performance for the
period prior to 8/6/01 is performance derived from the performance of the
Class A Shares. The performance of Class I Shares may be lower than the
performance of Class A Shares because of different distribution fees paid
by Class I shareholders. Class A Shares were offered beginning 10/3/94 and
Class I Shares were offered beginning 8/6/01. Returns shown do not reflect
the deduction of taxes that a shareholder would pay on fund distributions
or the redemption of fund shares. The returns for certain periods reflect
fee waivers and/or reimbursements in effect for that period; absent fee
waivers and reimbursements, performance would have been lower.
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2 SEI Institutional Managed Trust / Annual Report / September 30, 2007
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007
Large Cap Growth Fund
Objective
The investment objective of the Large Cap Growth Fund (the "Fund") is capital
appreciation by investing in the equity securities of large companies. The Fund
invests in the securities of issuers believed to possess significant growth
potential that is underappreciated by the market.
Strategy
With respect to this Fund, SEI Investments Management Corporation ("SIMC")
employs a multi-manager structure to gain exposure to the entire large cap
growth sector, adding value through stock selection while managing risk in the
form of capitalization, valuation and economic sector exposures. Assets of the
Fund are strategically allocated among its sub-advisers, each of which has
responsibility for stock selection for its respective assets under management.
Through various investment approaches, each sub-adviser contributes a unique
expertise to the Fund. Goldman Sachs Asset Management invests in companies with
strong business franchises that are attractively priced relative to their
discounted cash flows. Quantitative Management Associates favors large cap
stocks that have positive news flow and attractive valuation characteristics.
Montag & Caldwell invests in large cap stocks that exhibit accelerating
earnings, are trading at a discount to fair value, and are financially stable.
Enhanced Investment Technologies employs a volatility capture strategy, while
Delaware Management Company invests in stocks that are attractively valued from
a cash flow basis and have strong prospects for organic growth in the future.
Analysis
The Large Cap Growth Fund, Class A, returned 19.26% for the fiscal year, lagging
behind the growth area of the market for the period. The Russell 1000 Growth
Index returned 19.35% for the fiscal year ended September 30, 2007.
U.S. large cap stocks rallied strongly during the fiscal year returning close to
17% for the one year ending September 30, 2007 as measured by the Russell 1000
Index. Investors were encouraged by strong global economic growth and seemed to
adjust well to slowing growth in the U.S. following record double digit growth
for multiple prior quarters. The rally came in spite of rising oil prices to
above $80 a barrel as well as weakness in housing and ongoing subprime fears.
The fiscal year started out on a strong note as large cap stocks rallied for the
first several months on strong global economic news, low unemployment and a
continued torrid pace of merger and acquisition and private equity activity.
Investors pushed through a temporary setback in late February when the market
fell by 3.5% in a single day. Subprime fears came to a head in late July and
early August, when credit markets seized up and spilled over into equity markets
sending the broader market down close to 10% from the mid-July peaks to
mid-August. This market weakness tended to hit quantitative managers the hardest
due to what we believe to be a shift in capital market flows and hedge fund
trading. Once again, however, markets regained their footing as global central
banks injected liquidity into financial markets, and investors began to price in
a 25 basis points or 50 basis points rate cut by the U.S. Federal Reserve. By
the end of September, markets were once again approaching new highs.
The energy and materials sectors continued to lead markets as both returned
approximately 40% for the fiscal year. Energy rallied on the back of strong oil
prices and heightened supply concerns. The financials sector was the significant
underperformer; weighed down by subprime fallout. Thrifts and mortgage finance,
consumer finance, as well as the large money center banks were among the weakest
performers. The fiscal year witnessed the reversal of two significant and
long-running trends in the U.S. equity market: the under-performance of growth
and the underperformance of megacaps. The Russell 1000 Growth Index outpaced the
Russell 1000 Value Index by close to 5% as both stronger growing and more
expensive stocks, as measured by P/E, outperformed. Although the largest 10% and
20% of the stock universe performed slightly below the broad market for the
entire fiscal year, these stocks staged a sharp comeback starting in the third
fiscal quarter.
The portfolio benefited from having a more significant growth exposure than the
benchmark as well as strong stock selection across sectors. Stock selection was
particularly strong within health care, technology and diversified financials.
The energy sector also
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SEI Institutional Managed Trust / Annual Report / September 30, 2007 3
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007
presented a boost as the managers tended to favor the outperforming oil services
and equipment companies that they believe will benefit the most from the
increased global energy demand and limited supply. The most notable detractors
to relative performance were underweight positions to the industrials and
materials sectors which both rallied during the fiscal year. The portfolio also
had a modest overweight to the food retailing industry that lagged the broad
market.
Montag & Caldwell performed very well for the period driven by strong stock
selection within the energy and information technology sectors. Quantitative
Management Associates lagged the growth benchmark as the sub-portfolio sold off
late in the fiscal year following the flight to quality while Enhanced
Investment Technologies suffered from an environment of relatively low
volatility. Lastly, Delaware Management Company and Goldman Sachs Asset
Management outpaced the growth benchmark.
There were no sub-adviser changes during the fiscal year.
Large Cap Growth Fund:
AVERAGE ANNUAL TOTAL RETURN 1
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Annualized Annualized Annualized Annualized
One Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
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Large Cap Growth Fund,
Class A 19.26% 11.80% 13.05% 3.17% 9.13%
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Large Cap Growth Fund,
Class I 18.91% 11.51% 12.78% 2.84% 8.76%
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Comparison of Change in the Value of a $100,000 Investment in the Large Cap
Growth Fund, Class A and Class I, versus the Russell 1000 Growth Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Large Cap Growth Large Cap Growth Russell 1000
Fund, Class A Fund, Class I Growth Index
9/30/97 $100,000 $100,000 $100,000
9/30/98 108,350 107,890 111,100
9/30/99 149,241 147,993 149,818
9/30/00 195,014 192,583 184,921
9/30/01 95,401 93,826 100,523
9/30/02 73,964 72,500 77,895
9/30/03 89,985 87,993 98,086
9/30/04 97,741 95,402 105,452
9/30/05 110,203 107,251 117,684
9/30/06 114,523 111,251 124,792
9/30/07 136,581 132,289 148,940
1 For the period ended 9/30/07. Past performance is no indication of future
performance. Class I Shares performance for the period prior to 8/6/01 is
the performance derived from the performance of the Class A Shares. The
performance of Class I Shares may be lower than the performance of Class A
Shares because of different distribution fees paid by Class I
shareholders. Class A Shares were offered beginning 12/20/94 and Class I
Shares were offered beginning 8/6/01. Returns shown do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or
the redemption of fund shares. The returns for certain periods reflect fee
waivers and/or reimbursements in effect for that period; absent fee
waivers and reimbursements, performance would have been lower.
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4 SEI Institutional Managed Trust / Annual Report / September 30, 2007
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007
Tax-Managed Large Cap Fund
Objective
The investment objective of the Tax-Managed Large Cap Fund (the "Fund") is
capital appreciation by investing in the equity securities of large companies.
The Fund attempts to maximize after-tax returns to investors through lower
turnover and tax management techniques.
Strategy
With respect to this Fund, SEI Investments Management Corporation ("SIMC")
employs a multi-manager structure to gain exposure to the entire U.S. large cap
market, seeking to add value through stock selection in a tax-aware framework
while minimizing risk in the form of capitalization, valuation and economic
sector exposures. Assets of the Fund are strategically allocated among its
sub-advisers, each of which has responsibility for stock selection for its
respective assets under management.
Through various investment approaches, each sub-adviser contributes a unique
expertise to the Fund. Goldman Sachs Asset Management, Delaware Management, and
Montag & Caldwell focus on stocks that have growth characteristics.
AllianceBernstein, LSV Asset Management and Aronson + Johnson + Ortiz focus on
selecting stocks that have value-oriented characteristics. Quantitative
Management Associates invests a core portfolio that favors large cap stocks with
positive news flow trading at attractive valuations. Parametric Portfolio
Associates invests in both value and growth large-cap stocks through a
quantitative process which aggressively harvests tax-losses in the portfolio.
Analysis
The Tax-Managed Large Cap Fund, Class A, returned 17.05% for the fiscal year,
finishing ahead of the broad market for the period. The Russell 1000 Index
returned 16.90% for the fiscal year ended September 30, 2007.
U.S. large cap stocks rallied strongly during the fiscal year returning close to
17% for the one year ending September 30, 2007 as measured by the Russell 1000
Index. Investors were encouraged by strong global economic growth and seemed to
adjust well to slowing growth in the U.S. following record double digit growth
for multiple prior quarters. The rally came in spite of rising oil prices to
above $80 a barrel as well as weakness in housing and ongoing subprime fears.
The fiscal year started out on a strong note as large cap stocks rallied for the
first several months on strong global economic news, low unemployment and a
continued torrid pace of merger and acquisition and private equity activity.
Investors pushed through a temporary setback in late February when the market
fell by 3.5% in a single day. Subprime fears came to a head in late July and
early August, when credit markets seized up and spilled over into equity markets
sending the broader market down close to 10% from the mid-July peaks to
mid-August. This market weakness tended to hit quantitative managers the hardest
due to what we believe to be a shift in capital market flows and hedge fund
trading. Once again, however, markets regained their footing as global central
banks injected liquidity into financial markets, and investors began to price in
a 25 basis points or 50 basis points rate cut by the U.S. Federal Reserve. By
the end of September, markets were once again approaching new highs.
The energy and materials sectors continued to lead markets as both returned
approximately 40% for the fiscal year. Energy rallied on the back of strong oil
prices and heightened supply concerns. The financials sector was the significant
underperformer; weighed down by subprime fallout. Thrifts and mortgage finance,
consumer finance, as well as the large money center banks were among the weakest
performers. The fiscal year witnessed the reversal of two significant and
long-running trends in the U.S. equity market: the underperformance of growth
and the underperformance of megacaps. The Russell 1000 Growth Index outpaced the
Russell 1000 Value Index by close to 5% as both stronger growing and more
expensive stocks, as measured by P/E, outperformed. Although the largest 10% and
20% of the stock universe performed slightly below the broad market for the
entire fiscal year, these stocks staged a sharp comeback starting in the third
fiscal quarter.
The Fund benefited from having a more significant growth exposure than the
benchmark as well as strong stock selection across sectors. Stock selection was
particularly strong within information technology, energy and diversified
financials. Strength within the energy sector was driven by overweight positions
in the outperforming oil services and equipment companies that the managers
generally believe will benefit the most from the increased global energy demand
and
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SEI Institutional Managed Trust / Annual Report / September 30, 2007 5
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007
limited supply. The most notable detractors to relative performance were
underweight positions to the industrials and materials sectors which both
rallied during the fiscal year. The portfolio also had a modest overweight to
thrifts and mortgage finance companies as well as diversified financial
companies which weighed on performance.
The growth managers in the Fund strongly outpaced the growth benchmark while the
value managers traded modestly ahead of the value area of the market. The one
standout is Montag & Caldwell, whose strong performance during the period was
driven by stock selection within the energy and information technology sectors.
During the fiscal year, SIMC added Quantitative Management Associates as a
sub-adviser to the portfolio.
Tax-Managed Large Cap Fund:
AVERAGE ANNUAL TOTAL RETURN 1
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Annualized Annualized Annualized
One Year 3 Year 5 Year Inception
Return Return Return to Date
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Tax-Managed Large Cap
Fund, Class A 17.05% 13.29% 15.48% 4.94%
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Tax-Managed Large Cap
Fund, Class Y 17.43% 13.63% 15.84% 5.12%
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Comparison of Change in the Value of a $100,000 Investment in the Tax-Managed
Large Cap Fund, Class A and Class Y, versus the Russell 1000 Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Tax-Managed Large Tax-Managed Large Russell
Cap Fund, Class A Cap Fund, Class Y 1000 Index
3/5/98 $100,000 $100,000 $100,000
9/30/98 96,177 96,177 96,849
9/30/99 127,530 127,530 122,970
9/30/00 138,574 138,574 144,871
9/30/01 97,113 97,113 103,698
9/30/02 77,263 77,321 83,467
9/30/03 95,683 96,079 104,450
9/30/04 109,126 109,925 118,969
9/30/05 124,840 126,171 135,934
9/30/06 135,551 137,312 149,867
9/30/07 158,663 161,246 175,195
1 For the period ended 9/30/07. Past performance is no indication of future
performance. Class Y Shares performance for the period prior to 4/8/02 is
performance derived from the performance of the Class A Shares. The
performance of Class Y Shares may be different from the performance of
Class A Shares because of different distribution fees paid by Class Y
shareholders. Class A Shares were offered beginning 3/5/98 and Class Y
Shares were offered beginning 4/8/02. Returns shown do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or
the redemption of fund shares. The returns for certain periods reflect fee
waivers and/or reimbursements in effect for that period; absent fee
waivers and reimbursements, performance would have been lower.
- --------------------------------------------------------------------------------
6 SEI Institutional Managed Trust / Annual Report / September 30, 2007
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007
Large Cap Diversified Alpha Fund
Objective
The Large Cap Diversified Alpha Fund (the "Fund") seeks to provide long-term
growth of capital and income by investing in the equity securities of large
companies and in portfolio strategies designed to correlate to a portfolio
composed of large cap equity securities. While the Fund is expected to have an
absolute return and risk profile similar to the broad U.S. large cap equity
market, returns may be derived in part from investing significant portions of
the Fund in securities outside of the large cap market.
Strategy
The Fund uses a multi-manager approach under the general supervision of SEI
Investments Management Corporation ("SIMC"), allocating the assets among
multiple sub-advisers that use different investment strategies to seek to
achieve returns in excess of the performance of a broad U.S. large cap
benchmark. This allocation among investment strategies aims to diversify the
sources from which sub-advisers seek to achieve excess returns (i.e., returns in
excess of a benchmark index), and thereby diversify the relative risk of the
Fund.
Some sub-advisers may engage in short sales up to 30% of the value of their Fund
allocation and use the proceeds from the sale to purchase long positions in
additional equity securities. Some sub-advisers may also use portfolio
strategies that are designed to correlate with a portfolio of large cap equity
securities, but which are composed of derivative instruments backed by other
types of securities.
Aronson + Johnson + Ortiz, Analytic Investors, and Quantitative Management
Associates seek to overweight stocks with attractive fundamental and/or
technical characteristics and underweight or even short stocks with unattractive
fundamental and/or technical characteristics. Enhanced Investment Technologies
employs a volatility capture strategy, Delaware Management Company seeks to
identify stocks with underappreciated growth characteristics, while Smith
Breeden Associates seeks to generate excess returns within the U.S. fixed income
market and transports it to the equity market.
Analysis
The Large Cap Diversified Alpha Fund, Class A, returned 15.64% for the fiscal
year ending September 30, 2007, trailing the broad market. The Russell 1000
Index returned 16.90% for the fiscal year ended September 30, 2007.
U.S. large cap stocks rallied strongly during the fiscal year returning close to
17% for the one year ending September 30, 2007 as measured by the Russell 1000
Index. Investors were encouraged by strong global economic growth and seemed to
adjust well to slowing growth in the U.S. following record double digit growth
for multiple prior quarters. The rally came in spite of rising oil prices to
above $80 a barrel as well as weakness in housing and ongoing subprime fears.
The fiscal year started out on a strong note as large cap stocks rallied for the
first several months on strong global economic news, low unemployment and a
continued torrid pace of merger and acquisition and private equity activity.
Investors pushed through a temporary setback in late February when the market
fell by 3.5% in a single day. Subprime fears came to a head in late July and
early August, when credit markets seized up and spilled over into equity markets
sending the broader market down close to 10% from the mid-July peaks to
mid-August. This market weakness tended to hit quantitative managers the hardest
due to what we believe to be a shift in capital market flows and hedge fund
trading. Once again however, markets regained their footing as global central
banks injected liquidity into financial markets, and investors began to price in
a 25 basis points or 50 basis points rate cut by the U.S. Federal Reserve. By
the end of September, markets were once again approaching new highs.
The energy and materials sectors continued to lead markets as both returned
approximately 40% for the fiscal year. Energy rallied on the back of strong oil
prices and heightened supply concerns. The financials sector was the significant
underperformer; weighed down by subprime fallout. Thrifts and mortgage finance,
consumer finance, as well as the large money center banks were among the weakest
performers. The fiscal year witnessed the reversal of two significant
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 7
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007
and long-running trends in the U.S. equity market: the underperformance of
growth and the underperformance of megacaps. The Russell 1000 Growth Index
outpaced the Russell 1000 Value Index by close to 5% as both stronger growing
and more expensive stocks, as measured by P/E, outperformed. Although the
largest 10% and 20% of the stock universe performed slightly below the broad
market for the entire fiscal year, these stocks staged a sharp comeback starting
in the third fiscal quarter.
The Fund suffered from exposure to the fixed income markets through the Smith
Breeden Associates portable alpha strategy. Although Smith Breeden's portfolio
was generally higher quality with very limited exposure to the subprime area of
the market, the credit crunch that started in July was very broad and few areas
of the bond market were spared. The portfolio also suffered from an underweight
to the rallying energy sector. On the positive side, the portfolio benefited
from being underweight financials as well as strong stock selection across
sectors. Stock selection was particularly strong within materials, health care,
and diversified financial services.
From an individual manager standpoint, Enhanced Investment Technologies,
Quantitative Management Associates, and Smith Breeden Associates fell short of
the broad market, while Analytic Investors, Aronson + Johnson + Ortiz, and
Delaware Management outpaced their respective benchmarks. Analytic Investors
performed particularly well benefiting from their factor momentum investment
strategy.
There were no sub-adviser changes during the fiscal year.
Large Cap Diversified Alpha Fund:
AVERAGE ANNUAL TOTAL RETURN 1
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Annualized
One Year Inception
Return to Date
- --------------------------------------------------------------------------------
Large Cap Diversified Alpha Fund,
Class A 15.64% 11.08%
- --------------------------------------------------------------------------------
Large Cap Diversified Alpha Fund,
Class I 15.42% 10.96%
- --------------------------------------------------------------------------------
Comparison of Change in the Value of a $100,000 Investment in the Large Cap
Diversified Alpha Fund, Class A and Class I, versus the Russell 1000 Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Large Cap Diversified Large Cap Diversified Russell 1000
Alpha Fund, Class A Alpha Fund, Class I Index
12/14/05 $100,000 $100,000 $100,000
9/30/06 104,451 104,451 106,065
9/30/07 120,787 120,557 123,990
1 For the period ended 9/30/07. Past performance is no indication of future
performance. Class I Shares performance for the period prior to 9/14/06 is
performance derived from the performance of the Class A Shares. The
performance of the Class I Shares may be lower than the performance of
Class A Shares because of different distribution fees paid by Class I
shareholders. Class A Shares were offered beginning 12/14/05 and Class I
Shares were offered beginning 9/14/06. Returns shown do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or
the redemption of fund shares. The returns for certain periods reflect fee
waivers and/or reimbursements in effect for that period; absent fee
waivers and reimbursements, performance would have been lower.
- --------------------------------------------------------------------------------
8 SEI Institutional Managed Trust / Annual Report / September 30, 2007
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007
S&P 500 Index Fund
Objective
The S&P 500 Index Fund (the "Fund") seeks to provide investment results that
correspond to the aggregate price and dividend performance of the securities in
the S&P 500 Index (the "Index"). The Index is a capitalization-weighted index of
500 stocks intended to be a representative sample of leading companies in
leading industries within the U.S. economy. Stocks in the Index are chosen for
market size (large-cap), liquidity, and industry group representation.
Strategy
The Fund attempts to match the performance of the widely followed Index by
replicating its composition in full. The fifty largest stocks in the Index
account for approximately 50% of the weighting of the Index. Deviation of
performance between the Fund and the Index, measured as tracking error, is
typically attributable to trading costs and cash reserves held for liquidity
needs. The presence of cash in the Fund may result in underperformance relative
to the Index in rising markets and out-performance in declining markets. To
mitigate these effects, the Fund may use stock index futures to hedge its cash
position. Futures contracts enable the Fund to maintain exposure to the market
with reduced trading expenses, since the cost of the futures contract is
relatively nominal. The value of stock index futures held by the Fund may not
exceed 20% of the Fund's assets.
Analysis
The S&P 500 Index Fund, Class A, returned 16.04% for the fiscal year. For the
fiscal year ending September 30, 2007, the Index posted double digit gains,
returning 16.44%. During the period, large cap securities outperformed their
small cap counterparts but trailed non-U.S. securities. Growth oriented stocks
led their value counterparts. In mid-July and August, the market suffered a bit
of a liquidity crunch as subprime meltdown in fixed income trickled into the
equity markets. The U.S. Federal Reserve cut the federal fund rate by 50 basis
points, which benefited the equity markets.
All ten S&P GICS sectors generated positive returns during the fiscal year.
Materials and energy were two of the best performing sectors. Meanwhile,
financials, health care, and consumer discretionary stocks trailed the rest of
the market. Overall, the financials sector was the worst performing sector
during the fiscal year.
S&P 500 Index Fund:
AVERAGE ANNUAL TOTAL RETURN 1
- --------------------------------------------------------------------------------
Annualized Annualized Annualized Annualized
Six Month One Year 3 Year 5 Year 10 Year Inception
Return 2 Return Return Return Return to Date
- --------------------------------------------------------------------------------
S&P 500
Index Fund,
Class A 8.28% 16.04% 12.71% 15.00% 6.15% 9.07%
- --------------------------------------------------------------------------------
S&P 500
Index Fund,
Class E 8.34% 16.21% 12.87% 15.19% 6.32% 12.09%
- --------------------------------------------------------------------------------
S&P 500
Index Fund,
Class I 8.12% 15.74% 12.42% 14.72% 5.84% 8.75%
- --------------------------------------------------------------------------------
Comparison of Change in the Value of a $10,000 Investment in the S&P 500 Index
Fund, Class A, Class E and Class I, versus the S&P 500 Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
S&P 500 Index S&P 500 Index S&P 500 Index S&P 500
Fund, Class A Fund, Class E Fund, Class I Index
9/30/97 $10,000 $10,000 $10,000 $10,000
9/30/98 10,867 10,883 10,825 10,905
9/30/99 13,835 13,883 13,728 13,937
9/30/00 15,611 15,691 15,431 15,787
9/30/01 11,398 11,473 11,224 11,585
9/30/02 9,030 9,101 8,882 9,211
9/30/03 11,190 11,300 10,984 11,458
9/30/04 12,686 12,834 12,420 13,047
9/30/05 14,179 14,369 13,848 14,645
9/30/06 15,652 15,880 15,247 16,225
9/30/07 18,162 18,454 17,646 18,893
1 For the period ended September 30, 2007. Past performance is no indication
of future performance. Class A shares were offered beginning 2/28/96.
Class E shares were offered beginning 7/31/85. Class I shares were offered
beginning 6/28/02. Class I shares performance for the period prior to
6/28/02 is performance derived from performance of the Class A shares. The
performance of the Class A and Class I shares may be lower than the
performance of Class E shares because of different distribution fees paid
by Class A and Class I shareholders. Effective 7/31/97, the Board of
Trustees approved the renaming of Class A and Class E shares to Class E
and Class A shares, respectively. In addition, returns shown do not
reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares.
2 For the six months ended September 30, 2007. Effective September 14, 2007,
the Funds fiscal year changed from March 31, to September 30.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 9
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007
Small Cap Value Fund
Objective
The Small Cap Value Fund (the "Fund") seeks to provide capital appreciation by
investing in equity securities of smaller companies. The Fund invests in the
stocks of companies it believes are undervalued in light of such fundamental
characteristics as earnings, book value or return on equity.
Strategy
With respect to this Fund, SEI Investments Management Corporation ("SIMC")
employs a multi-manager structure to gain exposure to the entire small cap value
sector, adding value through stock selection while minimizing risk in the form
of capitalization, valuation and economic sector exposures. The Fund is jointly
sub-advised by nine investment managers. Assets of the Fund are strategically
allocated among its eight sub-advisers, each of which has a responsibility for
stock selection for its respective assets under management.
Through various investment approaches, each sub-adviser contributes a particular
expertise or sub-style to the Fund. Using a bottom-up process, Artisan Partners
Limited Partnership seeks to identify companies which are currently trading
below the intrinsic value of the business that have little institutional
following. BlackRock Capital Management focuses on attractively valued companies
with a near term business catalyst. David J. Greene and Company invests in
complex multi-segment businesses often possessing several growth areas masked by
a slower growing parent. Lee Munder Investments uses a classic value approach of
identifying quality businesses at attractive valuations. LSV Asset Management
invests in companies trading at deep discounts to their intrinsic value and near
term earnings visibility. Martingale Asset Management employs a systematic
approach focused on relative valuation, sustainable growth, and management
quality. Wellington Management Company utilizes a unique risk/reward relative
valuation assessment to identify attractive real estate investments. Weiss, Peck
& Greer seeks to exploit market anomalies through both traditional value
investments and special situations, investing when a near-term, positive
catalyst exists at company and sector levels. Each of the aforementioned
sub-styles assumes a different importance in determining overall style risk and
must therefore be weighted accordingly.
Analysis
The Russell 2000 Value Index (the "Index") yielded 6.09% for the fiscal year
ending September 30, 2007. Materials were the biggest contributor to the
performance of the Index over the past year, posting excellent returns on
climbing commodity prices amid growing global demand. Beginning in early 2007,
financials stocks experienced a substantial drop in performance: banks suffered
as investors became concerned over credit risk on subprime residential loans,
and REITs gave back most of their fourth quarter 2006 gains as the housing
market slowed. Consumer discretionary stocks, especially those in retailing,
lagged the Index for the period as investors worried about consumer spending in
the face of tighter credit conditions and rising gas prices.
The Small Cap Value Fund, Class A, gained 10.70% in the last 12 months, and five
of the managers surpassed the benchmark. Strong stock selection across sectors
and a strategic underweight to the lagging financials area boosted Fund returns
above the broad market. On a manager level, David J. Greene and Company beat the
broad market largely through superior stock selection in the industrials area,
and Lee Munder Investments performed the same feat with respect to information
technology and consumer discretionary. LSV Asset Management managed slight
excess returns over the fiscal year, despite struggling in the third quarter of
2007 as many valuation metrics exhibited negative returns. The excess returns
Martingale Asset Management accumulated from October 2006 through June 2007
could not offset the losses in early August as several large hedge fund managers
placed selling pressure on valuation-sensitive stocks which these managers
typically hold. Finally, Wellington Management Company's outperformance versus
the WRESI Index was due to strong and broad stock selection within REIT
securities.
During the fiscal year, SIMC added Weiss, Peck & Greer, LLC as a sub-adviser to
the portfolio.
- --------------------------------------------------------------------------------
10 SEI Institutional Managed Trust / Annual Report / September 30, 2007
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007
Small Cap Value Fund:
AVERAGE ANNUAL TOTAL RETURN 1
- --------------------------------------------------------------------------------
Annualized Annualized Annualized Annualized
One Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
- --------------------------------------------------------------------------------
Small Cap Value Fund,
Class A 10.70% 13.97% 19.19% 9.73% 13.50%
- --------------------------------------------------------------------------------
Small Cap Value Fund,
Class I 10.41% 13.69% 18.87% 9.38% 13.12%
- --------------------------------------------------------------------------------
Comparison of Change in the Value of a $100,000 Investment in the Small Cap
Value Fund, Class A and Class I, versus the Russell 2000 Value Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Small Cap Value Small Cap Value Russell 2000
Fund, Class A Fund, Class I Value Index
9/30/97 $100,000 $100,000 $100,000
9/30/98 86,320 85,930 87,210
9/30/99 90,179 89,488 92,294
9/30/00 104,373 103,054 106,471
9/30/01 107,629 105,877 112,444
9/30/02 105,261 103,262 110,802
9/30/03 136,082 133,115 145,882
9/30/04 171,014 166,780 183,315
9/30/05 207,286 201,604 215,854
9/30/06 228,719 221,986 246,095
9/30/07 253,192 245,095 261,082
1 For the period ended 9/30/07. Past performance is no indication of future
performance. Class I Shares performance for the period prior to 2/11/02 is
performance derived from the performance of the Class A Shares. The
performance of Class I Shares may be lower than the performance of Class A
Shares because of different distribution fees paid by Class I
shareholders. Class A Shares were offered beginning 12/20/94 and Class I
Shares were offered beginning 2/11/02. Returns shown do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or
the redemption of fund shares. The returns for certain periods reflect fee
waivers and/or reimbursements in effect for that period; absent fee
waivers and reimbursements, performance would have been lower.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 11
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007
Small Cap Growth Fund
Objective
The Small Cap Growth Fund (the "Fund") seeks to provide long-term capital
appreciation by investing in equity securities of smaller companies. The Fund
invests in the stocks of companies that have significant growth potential in
light of such characteristics as revenue and earnings growth and positive
earnings surprises.
Strategy
With respect to this Fund, SEI Investments Management Corporation ("SIMC")
employs a multi-manager structure to gain exposure to the entire universe of
small cap growth stocks, adding value through stock selection while minimizing
risk in the form of capitalization, valuation and economic sector exposures. The
Fund is jointly sub-advised by eight investment managers. Assets of the Fund are
strategically allocated among its seven sub-advisers, each of which has a
responsibility for stock selection for its respective assets under management.
Through various investment approaches, each sub-adviser contributes a particular
expertise or sub-style to the Fund. Mazama Capital Management invests primarily
in stocks entering extended periods of growth not yet understood by the market.
Wellington Management Company focuses on companies that demonstrate growth at
reasonable prices. Delaware Management Company focuses on companies with
sustainable growth models that are attractively valued. Lee Munder Investments
seeks companies growing faster than the market while demonstrating skill in
their ability to differentiate an attractive stock from a good company. McKinley
Capital Management emphasizes acceleration of the growth rate of companies
relative to the market's expectations and companies with positive earnings
surprises. Martingale Asset Management employs a systematic approach focused on
relative valuation, sustainable growth, and management quality. PanAgora Asset
Management provides broad coverage over the investment universe by applying
disciplined processes in which each stock is given a unique weighting to factors
such as growth, value, and beta. The stocks are then evaluated based on their
unique factor weightings and the performance of those and other factors in the
marketplace. Each of the aforementioned sub-styles assumes a different
importance in determining overall style risk and must therefore be weighted
accordingly.
Analysis
For the 12 months ending September 30, 2007, the Russell 2000 Growth Index (the
"Index") gained 18.94%. The information technology sector was the biggest
contributor to the performance of the Index over the past year: significant
merger and acquisition activity and increased corporate capital expenditures on
software and services boosted returns. The materials and utilities sectors both
posted excellent returns on climbing commodity prices amid growing global
demand. Beginning in early 2007, financials stocks experienced a substantial
drop in performance: banks suffered as investors became concerned over credit
risk on subprime residential loans, and REITs gave back most of their fourth
quarter 2006 gains as the housing market slowed. Many consumer discretionary
stocks, especially those in retailing, lagged the Index for the period as
investors worried about consumer spending in the face of tighter credit
conditions and rising gas prices.
The Small Cap Growth Fund, Class A, posted returns of 18.05% over the last 12
months. Positive stock selection in the consumer discretionary sector was
mitigated by securities in the health care and information technology areas.
Four of the growth managers, outperformed the broad market. Lee Munder
Investments exhibited excellent security selection in the information technology
and industrials sectors, allowing it to achieve excess returns. An overweight to
the metals and mining industry helped Wellington Management Company to beat the
broad market, and McKinley Capital Management's exposure to high price momentum
stocks lifted its returns above the benchmark. Quantitative managers PanAgora
Asset Management and Martingale Asset Management lagged the Index following a
difficult summer in 2007 during which hedge fund managers had placed selling
pressure on valuation-sensitive stocks which these managers typically hold.
During the fiscal year, SIMC added PanAgora Asset Management as a sub-adviser to
the portfolio.
- --------------------------------------------------------------------------------
12 SEI Institutional Managed Trust / Annual Report / September 30, 2007
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007
Small Cap Growth Fund:
AVERAGE ANNUAL TOTAL RETURN 1
- --------------------------------------------------------------------------------
Annualized Annualized Annualized Annualized
One Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
- --------------------------------------------------------------------------------
Small Cap Growth Fund,
Class A 18.05% 13.11% 17.89% 6.02% 11.74%
- --------------------------------------------------------------------------------
Small Cap Growth Fund,
Class I 17.74% 12.82% 17.60% 5.68% 11.39%
- --------------------------------------------------------------------------------
Comparison of Change in the Value of a $100,000 Investment in the Small Cap
Growth Fund, Class A and Class I, versus the Russell 2000 Growth Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Small Cap Growth Small Cap Growth Russell 2000
Fund, Class A Fund, Class I Growth Index
9/30/97 $100,000 $100,000 $100,000
9/30/98 73,470 73,170 75,170
9/30/99 113,879 112,923 99,698
9/30/00 176,831 174,568 129,268
9/30/01 101,094 99,451 74,213
9/30/02 78,742 77,224 60,736
9/30/03 115,491 112,979 86,075
9/30/04 123,922 120,955 96,335
9/30/05 146,191 142,292 113,646
9/30/06 151,921 147,528 120,329
9/30/07 179,343 173,699 143,119
1 For the period ended 9/30/07. Past performance is no indication of future
performance. Class I Shares performance for the period prior to 8/6/01 is
performance derived from the performance of the Class A Shares. The
performance of Class I Shares may be lower than the performance of Class A
Shares because of different distribution fees paid by Class I
shareholders. Class A Shares were offered beginning 4/20/92 and Class I
Shares were offered beginning 8/6/01. Returns shown do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or
the redemption of fund shares. The returns for certain periods reflect fee
waivers and/or reimbursements in effect for that period; absent fee
waivers and reimbursements, performance would have been lower.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 13
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007
Tax-Managed Small Cap Fund
Objective
The investment objective of the Tax-Managed Small Cap Fund (the "Fund") is
capital appreciation by investing in the equity securities of small companies.
The Fund attempts to maximize after-tax returns to investors through investing
in undervalued securities, selling stocks with the highest tax cost first and
offsetting losses with gains where possible.
Strategy
With respect to this Fund, SEI Investments Management Corporation ("SIMC")
employs a multi-manager structure to gain exposure to the entire small/mid cap
universe, adding value through stock selection while minimizing risk in the form
of capitalization, valuation and economic sector exposures. The Fund is jointly
sub-advised by eight investment managers. Assets of the Fund are strategically
allocated among the eight sub-advisers, each of which has a responsibility for
stock selection for its respective assets under management.
Through various investment approaches, each sub-adviser contributes a particular
expertise or sub-style to the Fund. BlackRock Capital Management focuses on
attractively valued companies with a near-term business catalyst. David J.
Greene and Company looks for undervalued securities that are misunderstood by
the marketplace. Delaware Management Company focuses on sustainable business
models at attractive valuations. LSV Asset Management disciplined proprietary
screening model ranks stocks based on price to book, price to cash flow, past
sales performance, and likelihood of near-term appreciation. Mazama Capital
Management invests primarily in stocks entering extended periods of growth not
yet understood by the market. McKinley Capital Management emphasizes
acceleration of the growth rate of companies relative to the market's
expectations and companies with positive earnings surprises. Parametric
Portfolio Associates invests in both value and growth small-cap stocks through a
quantitative process which aggressively harvests tax-losses in the portfolio.
Los Angeles Capital Management Equity Research relies on a disciplined
systematic approach to both stock selection quantitative portfolio construction.
The research process is focused on identifying investment characteristics and
factors that will work consistently across a broad group of stocks.
Analysis
The Russell 2500 Index (the "Index") gained 15.17% during the fiscal year ending
September 30, 2007. In a reversal of the long-running trend, growth components
of the Index far outperformed value over the period. Industrials were the
biggest contributor to the performance of the Index over the past year, as
capital goods securities continued to rise. Energy rallied on the back of strong
oil prices and heightened supply concerns, and materials posted excellent
returns on climbing commodity prices amid growing global demand. Beginning in
early 2007, financials stocks experienced a substantial drop in performance:
banks suffered as investors became concerned over credit risk on subprime
residential loans, and REITs gave back most of their fourth quarter 2006 gains
as the housing market slowed. Consumer discretionary stocks, especially those in
retailing, lagged the Index for the period as investors worried about consumer
spending in the face of tighter credit conditions and rising gas prices.
The Tax-Managed Small Cap Fund, Class A, gained 16.00% over the past 12 months.
The benefit from the Fund's underweight to financials was mitigated by difficult
stock selection in that area, but stock selection in the consumer discretionary
sector elevated Fund performance above the broad market. On a manager level,
David J. Greene and Company's superior stock selection in industrials and energy
contributed to its outperformance, while Delaware Management Company performed
the same feat with regard to consumer discretionary. McKinley Capital
Management's exposure to high price momentum stocks lifted its returns above the
benchmark. Quantitative manager LSV Asset Management lagged the benchmark for
the fiscal year after struggling in the summer of 2007 as many valuation metrics
exhibited negative returns. Mazama Capital Management was hurt by an underweight
to materials and individual holdings in information technology.
During the fiscal year, SIMC added Los Angeles Capital Management Equity
Research as a sub-adviser to the portfolio.
- --------------------------------------------------------------------------------
14 SEI Institutional Managed Trust / Annual Report / September 30, 2007
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007
Tax-Managed Small Cap Fund:
AVERAGE ANNUAL TOTAL RETURN 1
- --------------------------------------------------------------------------------
Annualized Annualized Annualized
One Year 3 Year 5 Year Inception
Return Return Return to Date
- --------------------------------------------------------------------------------
Tax-Managed Small Cap Fund,
Class A 16.00% 13.92% 17.92% 8.16%
- --------------------------------------------------------------------------------
Comparison of Change in the Value of a $100,000 Investment in the Tax-Managed
Small Cap Fund, Class A, versus the Russell 2500 Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Tax-Managed Small Cap Fund, Class A Russell 2500 Index
10/31/00 $100,000 $100,000
09/30/01 81,561 83,511
09/30/02 75,460 77,290
09/30/03 100,083 104,797
9/30/04 116,396 124,195
9/30/05 140,607 150,636
9/30/06 148,340 163,892
9/30/07 172,075 188,754
1 For the period ended 9/30/07. Past performance is no indication of future
performance. Fund shares were offered beginning 10/31/00. Returns shown do
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares. The returns for certain
periods reflect fee waivers and/or reimbursements in effect for that
period; absent fee waivers and reimbursements, performance would have been
lower.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 15
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007
Small/Mid Cap Diversified Alpha Fund
Objective
The Small/Mid Cap Diversified Alpha Fund (the "Fund") seeks to provide long-term
growth of capital and income by investing in the equity securities of small and
mid-cap companies and in portfolio strategies designed to correlate to a
portfolio composed of small- and mid-cap equity securities. While the Fund is
expected to have an absolute return and risk profile similar to the broad U.S.
small/mid cap equity market, returns may be derived in part from investing
significant portions of the Fund in securities outside of the small/mid cap
market.
Strategy
The Fund uses a multi-manager approach under the general supervision of SEI
Investments Management Corporation ("SIMC"), allocating the assets among
multiple sub-advisers that use different investment strategies to seek to
achieve returns in excess of the performance of a broad U.S. large cap
benchmark. This allocation among investment strategies aims to diversify the
sources from which sub-advisers seek to achieve excess returns (i.e., returns in
excess of a benchmark index), and thereby diversify the relative risk of the
Fund.
Some sub-advisers may engage in short sales up to 30% of the value of their Fund
allocation and use the proceeds from the sale to purchase long positions in
additional equity securities. Some sub-advisers may also use portfolio
strategies that are designed to correlate with a portfolio of small/mid cap
equity securities, but which are composed of derivative instruments backed by
other types of securities.
Los Angeles Capital Management and Equity Research, Martingale Asset Management,
and PanAgora Asset Management seek to overweight stocks with attractive
fundamental and/or technical characteristics and underweight with unattractive
fundamental and/or technical characteristics. All three sub-advisers use
quantitative techniques to identify stock characteristics or factors that they
believe are predictive of future outperformance, although the specific factors,
definition of the factors and the factor weights in the model vary from
sub-adviser to sub-adviser. Integrity Asset Management uses a blend of
qualitative and quantitative elements at each step of their process and focuses
on the timing of purchases to avoid value traps.
Wellington Management Company focuses on companies that demonstrate growth at
reasonable prices. Smith Breeden Associates seeks to generate alpha within the
U.S. fixed income market and transports it to the equity market.
Analysis
The Small/Mid Cap Diversified Alpha Fund, Class A, gained 1.71% for period
December 20, 2006 through September 30, 2007, which represents the inception
date of the Fund through the fiscal year-end.
In a reversal of the long-running trend, growth components of the Russell 2500
Index (the "Index") far outperformed value over the period. Industrials were the
biggest contributor to the performance of the Index over the past year, as
capital goods securities continued to rise. Energy rallied on the back of strong
oil prices and heightened supply concerns, and materials posted excellent
returns on climbing commodity prices amid growing global demand. Beginning in
early 2007, financials stocks experienced a substantial drop in performance:
banks suffered as investors became concerned over credit risk on subprime
residential loans, and REITs gave back most of their fourth quarter 2006 gains
as the housing market slowed. Consumer discretionary stocks, especially those in
retailing, lagged the Index for the period as investors worried about consumer
spending in the face of tighter credit conditions and rising gas prices.
The Fund trailed the overall small/mid cap equity market for the period.
PanAgora Asset Management and Martingale Asset Management struggled,
particularly in August, as quantitative strategies due to forced liquidations
from other levered quantitative funds. Stocks with value-oriented
characteristics significantly underperformed in August, which hurt both
sub-advisers. These sub-advisers also have the ability to short-sell up to 30%
of their portfolios and re-invest the proceeds into additional long securities.
This added flexibility modestly detracted from results. Although Los Angeles
Capital Management and Equity Research also gave up some ground over the summer,
it ended the fiscal period ahead due to its strong outperformance early in the
year. Los Angeles Capital Management and Equity Research had less of an exposure
to value-oriented factors, so they were able to hold onto most of their gains
during the sharp growth/value reversal that occurred in the third quarter.
- --------------------------------------------------------------------------------
16 SEI Institutional Managed Trust / Annual Report / September 30, 2007
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007
Wellington Management Company benefited from its growth orientation as well as
its overweight to the materials sector which enjoyed strong gains. Integrity
outperformed value-oriented stocks, although was roughly in-line with the
overall small/mid market as value-oriented stocks trailed for the period. Smith
Breeden Associates underperformed for the period as the subprime crisis impacted
their A-rated and above mortgage-backed security holdings. In addition,
corporate and asset-backed securities experienced negative returns as compared
to comparable treasury securities, which also negatively impacted Smith Breeden
Associates. The derivative strategy used to gain small/mid cap equity exposure
modestly outperformed the actual Index due to favorable derivative supply/demand
characteristics and pricing for the period.
There were no sub-adviser changes during the fiscal year.
Small/Mid Cap Diversified Alpha Fund:
AVERAGE ANNUAL TOTAL RETURN 1
- --------------------------------------------------------------------------------
Cumulative
Inception
to Date
- --------------------------------------------------------------------------------
Small/Mid Cap Diversified Alpha Fund,
Class A 1.71%
- --------------------------------------------------------------------------------
Comparison of Change in the Value of a $100,000 Investment in the Small/Mid Cap
Diversified Alpha Fund, Class A, versus the Russell 2500 Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Small/Mid Cap Diversified
Alpha Fund, Class A Russell 2500 Index
12/20/06 $100,000 $100,000
9/30/07 101,711 105,941
1 For the period ended 9/30/07. Past performance is no indication of future
performance. Fund Shares were offered beginning 12/20/06. Returns shown do
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares. The returns for certain
periods reflect fee waivers and/or reimbursements in effect for that
period; absent fee waivers and reimbursements, performance would have been
lower.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 17
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007
Mid-Cap Fund
Objective
The Mid-Cap Fund (the "Fund") seeks to provide long-term capital appreciation by
investing primarily in equity securities of mid-sized companies in a core style.
Strategy
Martingale Asset Management employs a systematic approach focused on valuation,
relative performance and management quality. They select stocks of companies
that have low price-earnings ratios and price-book ratios, but that also have
high sustainable growth levels and the probability of high positive earnings
revisions. Quantitative Management Associates believes that markets are largely
efficient, but investors make occasional, systematic mistakes and that
quantitative investment processes that reduce the influence of biases on
investment decisions more effectively identify and exploit these mistakes.
Quantitative Management Associates emphasizes different measures depending on
the growth rate of a company to identify and exploit mispriced stocks.
Analysis
The Russell Mid-Cap Index (the "Index") continued its upward track, gaining
17.87% for the fiscal year ending September 30, 2007. Industrials were the
biggest contributor to the performance of the Index over the past year, as
capital goods securities continued to rise. Energy rallied on the back of strong
oil prices and heightened supply concerns, and materials posted excellent
returns on climbing commodity prices amid growing global demand. Beginning in
early 2007, financials stocks experienced a substantial drop in performance:
banks suffered as investors became concerned over credit risk on sub-prime
residential loans, and REITs gave back most of their fourth quarter 2006 gains
as the housing market slowed. Consumer discretionary stocks, especially those in
consumer durables and apparel, lagged the Index for the period as investors
worried about consumer spending in the face of tighter credit conditions and
rising gas prices.
The Mid-Cap Fund, Class A, posted a return of 17.51% over the prior 12 months.
The Fund benefited from an overweight to the surging materials area and an
underweight to the lagging consumer discretionary sector, although difficult
stock selection in the latter mitigated much of the gain. Positive stock
selection in industrials and health care boosted returns, while individual
securities in utilities detracted. Martingale Asset Management's exposure to
price momentum was beneficial, although their bets on companies with high cash
flow yield hurt them during the period. Going forward, the portfolio will
continue to be broadly diversified across all sectors and will provide exposure
to mid cap stocks in the domestic equity stock market.
During the fiscal year, SEI Investments Management Corporation added
Quantitative Management Associates as a sub-advisor to the portfolio.
Mid-Cap Fund:
AVERAGE ANNUAL TOTAL RETURN 1
- --------------------------------------------------------------------------------
Annualized Annualized Annualized Annualized
One Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
- --------------------------------------------------------------------------------
Mid-Cap Fund,
Class A 17.51% 17.78% 20.82% 9.63% 12.44%
- --------------------------------------------------------------------------------
Comparison of Change in the Value of a $100,000 Investment in the Mid-Cap Fund,
Class A, versus the Russell Mid-Cap Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Mid-Cap Fund, Class A Russell Mid-Cap Index
9/30/97 $100,000 $100,000
9/30/98 84,590 93,990
9/30/99 98,573 112,271
9/30/00 125,325 147,771
9/30/01 100,774 114,730
9/30/02 97,408 104,427
9/30/03 125,579 138,501
9/30/04 153,495 166,963
9/30/05 196,704 208,871
9/30/06 213,424 228,860
9/30/07 250,794 269,757
1 For the period ended 9/30/07. Past performance is no indication of future
performance. Fund shares were offered beginning 2/16/93. Returns shown do
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares. The returns for certain
periods reflect fee waivers and/or reimbursements in effect for that
period; absent fee waivers and reimbursements, performance would have been
lower.
- --------------------------------------------------------------------------------
18 SEI Institutional Managed Trust / Annual Report / September 30, 2007
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007
U.S. Managed Volatility Fund
Objective
The U.S. Managed Volatility Fund (the "Fund") invests in common stocks and other
equity securities and employs a broad range of investment strategies intended to
generate capital appreciation, but with a lower level of volatility than the
broad U.S. equity markets.
Strategy
The Fund uses a multi-manager approach, relying on a number of sub-advisers with
differing investment approaches to manage portions of the Fund's portfolio under
the general supervision of SEI Investments Management Corporation ("SIMC"). Each
sub-adviser, in managing its portion of the Fund's assets, employs various
investment strategies intended to achieve returns similar to that of the broad
U.S. equity markets, but with a lower level of volatility over the long-term.
The Fund seeks to achieve lower volatility by constructing a portfolio of
securities that effectively weights securities based on their total expected
risk and return, without regard to market capitalization, industry or tracking
error targets relative to the broad market. As such, the Fund is expected to
have meaningful differentiations in terms of sector weights and short-term
performance relative to broad market indices.
The Fund utilizes Aronson + Johnson + Ortiz and Analytic Investors as
sub-advisers, each brings a differentiated investment and risk model.
Analysis
The U.S. Managed Volatility Fund, Class A, returned 16.09% for the fiscal year
ended September 30, 2007. The S&P 500 Index returned 16.44% for the fiscal year
ended September 30, 2007.
U.S. stocks rallied strongly during the fiscal year returning close to 17% for
the one year ending September 30, 2007 as measured by the Russell 3000 Index.
Investors were encouraged by strong global economic growth and seemed to adjust
well to slowing growth in the U.S. following record double digit growth for
multiple prior quarters. The rally came in spite of rising oil prices to above
$80 a barrel as well as weakness in housing and ongoing sub-prime fears. The
fiscal year started out on a strong note as large cap stocks rallied for the
first several months on strong global economic news, low unemployment and a
continued torrid pace of merger and acquisition and private equity activity.
Investors pushed through a temporary setback in late February when the market
fell by 3.5% in a single day. Subprime fears came to a head in late July and
early August, when credit markets seized up and spilled over into equity markets
sending the broader market down close to 10% from the mid-July peaks to
mid-August. This market weakness tended to hit quantitative managers the hardest
due to what we believe to be a shift in capital market flows and hedge fund
trading. Once again, however, markets regained their footing as global central
banks injected liquidity into financial markets, and investors began to price in
a 25 basis points or 50 basis points rate cut by the U.S. Federal Reserve. By
the end of September, markets were once again approaching new highs.
The energy and materials sectors, within the U.S. market, continued to lead
markets as both returned approximately 40% for the fiscal year. Energy rallied
on the back of strong oil prices and heightened supply concerns. The financials
sector was the significant underperformer; weighed down by subprime fallout.
Thrifts and mortgage finance, consumer finance, as well as the large money
center banks were among the weakest performers. The fiscal year witnessed the
reversal of two significant and long-running trends in the U.S. equity market:
the under-performance of growth and the underperformance of megacaps. The
Russell 1000 Growth Index outpaced the Russell 1000 Value Index by close to 5%
as both stronger growing and more expensive stocks, as measured by P/E,
outperformed. Although the largest 10% and 20% of the stock universe performed
slightly below the broad market for the entire fiscal year, these stocks staged
a sharp comeback starting in the third fiscal quarter.
Given the Fund is not managed against a specific benchmark, we would expect it
to vary significantly from the broad market performance on a shorter-term basis.
In particular, the Fund generally favors stocks with relatively low beta to the
overall equity market, such as utilities and consumer staples, and largely
avoids stocks with high beta, such as information technology. We would expect
the Fund to have a difficult time keeping up with strongly rallying markets.
Given the close to 17% return for the broad market during this period, we are
pleased with the portfolio performance. For the fiscal period, being underweight
the rallying energy and information technology sectors had a negative impact on
portfolio relative performance. However, this was largely offset by the positive
impact of an underweight financials and consumer discretionary.
There were no sub-adviser changes during the fiscal year.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 19
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007
U.S. Managed Volatility Fund:
AVERAGE ANNUAL TOTAL RETURN 1
- --------------------------------------------------------------------------------
Annualized
One Year Inception
Return to Date
- --------------------------------------------------------------------------------
U.S. Managed Volatility Fund, Class A 16.09% 13.18%
- --------------------------------------------------------------------------------
U.S. Managed Volatility Fund, Class I 15.53% 12.70%
- --------------------------------------------------------------------------------
Comparison of Change in the Value of a $150,000 Investment in the U.S. Managed
Volatility Fund, Class A and Class I, versus the S&P 500 Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
U.S. Managed Volatility U.S. Managed Volatility S&P 500
Fund, Class A Fund, Class I Index
10/28/04 $150,000 $150,000 $150,000
9/30/05 172,385 171,738 166,245
9/30/06 185,555 184,189 184,183
9/30/07 215,411 212,794 214,462
1 For the period ended 9/30/07. Past performance is no indication of future
performance. Class I Shares performance for the period prior to 6/29/07 is
performance derived from the performance of the Class A Shares. The
performance of the Class I Shares may be lower then the performance of the
Class A Shares because of different distribution fees paid by Class I
shareholders. Class A Shares were offered beginning 10/28/04 and Class I
Shares were offered beginning 6/29/07. Returns shown do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or
the redemption of fund shares. The returns for certain periods reflect fee
waivers and/or reimbursements in effect for that period; absent fee
waivers and reimbursements, performance would have been lower.
- --------------------------------------------------------------------------------
20 SEI Institutional Managed Trust / Annual Report / September 30, 2007
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007
Global Managed Volatility Fund
Objective
The Global Managed Volatility Fund (the "Fund") invests in common stocks and
other equity securities and employs a broad range of investment strategies
intended to generate capital appreciation, but with a lower level of volatility
than the broad global equity market.
Strategy
The Fund uses a multi-manager approach, relying on a number of sub-advisers with
differing investment approaches to manage portions of the Fund's portfolio under
the general supervision of SEI Investments Management Corporation ("SIMC"). Each
sub-adviser, in managing its portion of the Fund's assets, employs various
investment strategies intended to achieve returns similar to that of the broad
global equity markets, but with a lower level of volatility over the long-term.
The Fund seeks to achieve lower volatility by constructing a portfolio of
securities that effectively weights securities based on their total expected
risk and return, without regard to market capitalization, industry or tracking
error targets relative to the broad market. As such, the Fund is expected to
have meaningful differentiations in terms of sector weights and short-term
performance relative to broad market indices.
The Fund utilizes Acadian Asset Management and Analytic Investors as
sub-advisers, each brings a differentiated investment and risk model.
Analysis
The Global Managed Volatility Fund, Class A, returned 9.88% for the fiscal year
period ending September 30, 2007. The Morgan Stanley MSCI World Index returned
21.10% for the fiscal year ended September 30, 2007.
Global stocks rallied strongly during the fiscal year returning 18% in U.S.
dollar hedged terms as measured by the Morgan Stanley World Index hedged into
U.S. dollars for the one year ending September 30, 2007. Investors were
encouraged by strong global economic growth and seemed to adjust well to slowing
growth in the U.S. following record double digit growth for multiple prior
quarters. The rally came in spite of rising oil prices to above $80 a barrel as
well as weakness in housing and ongoing sub-prime fears. The fiscal year started
out on a strong note as stocks rallied for the first several months on strong
global economic news and a continued torrid pace of merger and acquisition and
private equity activity. Investors pushed through a temporary setback in late
February when the U.S. market fell by 3.5% in a single day. U.S. subprime fears
came to a head in late July and early August, when credit markets seized up and
spillover into equity markets sent the broad market down sharply from the
mid-July peaks to mid-August. This market weakness tended to hit quantitative
managers the hardest due to what we believe to be a shift in capital market
flows and hedge fund trading. Once again however, markets regained their footing
as global central banks injected liquidity into financial markets. The energy
and materials sectors, within the global market, continued to lead markets as
these sectors returned 36 and 53% respectively. The financials sector was the
significant underperformer weighed down by the consumer finance and mortgage
finance companies.
Given the Fund is not managed against a specific benchmark, we would expect it
to vary significantly from the broad market performance on a shorter-term basis.
In particular, the Fund generally favors stocks with relatively low beta to the
overall equity market, such as utilities, health care, and consumer staples, and
largely avoids stocks with high beta, such as information technology. For the
fiscal period, the portfolio suffered from negative sector allocation. In
particular, the portfolio was significantly underweight the more cyclical areas
of the market including the materials, energy and industrials sectors that
rallied sharply during the fiscal year. The positive impact of being underweight
the lagging financials sectors helped to mitigate relative losses.
There were no sub-adviser changes during the fiscal year.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 21
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007
Global Managed Volatility Fund:
AVERAGE ANNUAL TOTAL RETURN 1
- --------------------------------------------------------------------------------
Annualized
One Year Inception
Return to Date
- --------------------------------------------------------------------------------
Global Managed Volatility Fund, Class A 9.88% 11.73%
- --------------------------------------------------------------------------------
Global Managed Volatility Fund, Class I 9.37% 11.18%
- --------------------------------------------------------------------------------
Comparison of Change in the Value of a $100,000 Investment in the Global Managed
Volatility Fund, Class A and Class I, versus the Morgan Stanley MSCI World Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Global Managed Volatility Global Managed Volatility Morgan Stanley MSCI
Fund, Class A Fund, Class I World Index
7/27/06 $100,000 $100,000 $100,000
9/30/06 103,698 103,586 104,901
9/30/07 113,943 113,292 127,035
1 For the period ended 9/30/07. Past performance is no indication of future
performance. Class I Shares performance for the period prior to 6/29/07 is
performance derived from the performance of the Class A Shares. The
performance of the Class I Shares may be lower then the performance of the
Class A Shares because of different distribution fees paid by Class I
shareholders. Class A Shares were offered beginning 7/27/06 and Class I
Shares were offered beginning 6/29/07. 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.
- --------------------------------------------------------------------------------
22 SEI Institutional Managed Trust / Annual Report / September 30, 2007
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007
Real Estate Fund
Objective
The Real Estate Fund (the "Fund") seeks to provide total return including
current income and capital appreciation by investing in real estate securities.
Strategy
With respect to this Fund, SEI Investments Management Corporation ("SIMC")
employs a multi-manager structure to gain exposure to the entire real estate
sector in the U.S. The Fund is non-diversified and expects to hold a small
number of securities, thus increasing the importance of each holding. The Fund
will invest at least 80% of its net assets in equity securities of real estate
investment trusts ("REITs") and real estate operating companies. The Fund is
jointly sub-advised by two investment managers. Assets of the Fund are
strategically allocated among its two sub-advisors, each of which has a
responsibility for stock selection for its respective assets under management.
Through various investment approaches, each sub-adviser contributes a particular
expertise or sub-style to the Fund. Security Capital Research and Management
integrates research on real estate sub-market analysis with fundamental company
analysis to find attractively priced securities. Wellington Management Company
utilizes a unique risk/reward relative valuation assessment to identify
attractive real estate investments.
Analysis
The Wilshire Real Estate Securities (Full Cap) Index (the "Index") rose 3.87%
for the year ending September 30, 2007. The real estate segment of the market
experienced a broad based slowdown in spring 2007, with all industries posting a
negative return for that period. Two of the largest detractors from the Index's
performance during the fiscal year were the apartment and self storage
industries, while the regional malls industry was a major contributor. Mall
REITs benefited as continuing strong demand for retail space drove rent spreads
higher. Apartment REITs suffered due to an inventory glut, as slowing home sales
increased vacancy rates.
The Real Estate Fund, Class A, returned 5.49% over the past 12 months. The Fund
saw broad based solid performance, besting the benchmark in nine of the twelve
sectors. Wellington Management Company had substantial influence on the Fund,
adding to returns through stock selection in hotels and an underweight to the
lagging apartments industry. The manager's overweight to the outperforming
health care area also boosted performance. Security capital saw flat returns for
the period, as an overweight to health care was mitigated by difficult stock
selection in the office industry.
Real Estate Fund:
AVERAGE ANNUAL TOTAL RETURN 1
- --------------------------------------------------------------------------------
Annualize Annualized
One Year 3 Year Inception
Return Return to Date
- --------------------------------------------------------------------------------
Real Estate Fund, Class A 5.49% 21.38% 21.96%
- --------------------------------------------------------------------------------
Comparison of Change in the Value of a $100,000 Investment in the Real Estate
Fund, Class A, versus the Wilshire Real Estate Securities (Full Cap) Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Real Estate Fund, Wilshire Real Estate Securities
Class A (Full Cap) Index
11/13/03 $100,000 $100,000
9/30/04 120,812 120,286
9/30/05 157,019 154,797
9/30/06 204,815 198,651
9/30/07 216,060 206,338
1 For the period ended 9/30/07. Past performance is no indication of future
performance. Fund shares were offered beginning 11/13/03. Returns shown do
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares. The returns for certain
periods reflect fee waivers and/or reimbursements in effect for that
period; absent fee waivers and reimbursements, performance would have been
lower.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 23
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007
Enhanced Income Fund
Objective
Using multiple sub-advisers, the Enhanced Income Fund (the "Fund") seeks to
provide an enhanced return above LIBOR (London InterBank Offered Rate).
Strategy
The Fund investment strategy focuses on generating absolute return through the
management of securities in multiple asset classes, including currency
management. The Fund's managers employ security selection to invest in a
diversified portfolio of short duration investment grade and non-investment
grade fixed-income securities, including bank loans. Active currency management
is also utilized to enhance long term performance.
Analysis
Over the last 12 months, the dynamics and performance of the fixed income
markets changed dramatically as the severe housing slowdown went from being a
subprime mortgage issue to a full blown liquidity and credit crunch. Escalating
concerns about the potential negative effects on economic growth and credit
conditions prodded the Federal Reserve to cut the Fed Funds rate by 0.50% in
September and other central banks to likewise provide vast amount of liquidity
to their financial systems. As of September 30, 2007, short term U.S. interest
rates were lower by 70 basis points and the U.S. dollar weakened considerably
versus other major currencies.
Every major fixed income asset class was negatively affected by the tumult, but
especially those associated with residential real estate. Investors went on a
buyers strike and refused to purchase anything even remotely associated with
mortgage loans. The rating agencies added to the negative mix by downgrading or
watch-listing hundreds of deals. The cessation of liquidity spilled to the
corporate market, pushing spreads wider by 50 to 150 basis points. Valuations
plummeted regardless of quality or structure, causing severe mark-to-markets
that forced hedge fund and other levered investors to sell high quality assets
(i.e. AAA rated) to meet margin calls and enhance their liquidity. Financial
institutions cautiously protected their own balance sheets and balked at
providing liquidity to their peers and others. Short term markets effectively
ceased functioning, causing LIBOR rates to skyrocket in early September to 5.73%
before gradually returning to 5.23% by September 30, 2007. The Enhanced Income
Fund, Class A, posted a 2.96% return for the year ended September 30, 2007.
The Fund did not keep pace with LIBOR during the fiscal year. After producing
good results in the first 9 months, the Fund's strategy struggled in Q3 2007
with the severe dislocation in the fixed income markets. The enhanced cash
strategy was penalized due to its allocation to the structured (asset-backed
securities and mortgage-backed securities) and investment grade credit sectors,
while the bank loan strategy lagged due to risk-repricing and illiquidity in the
market due to forced liquidations by bank loan funds. Unsold inventory on
dealers' balance sheets added to the negative technical conditions in the loan
market. However, from a fundamental standpoint, the loan market is in good shape
with defaults at all-time low levels, ending the year at 0.30%. The currency
strategy led the benchmark for the fiscal year; however, some gains were given
up in Q3 as the carry trade unwound with higher yielding currencies
underperforming lower yielding ones. Winning strategies included a long position
in British Pound Sterling, Australian Dollar, and New Zealand Dollar and short
positions in Japanese Yen and the Swiss Franc.
- --------------------------------------------------------------------------------
24 SEI Institutional Managed Trust / Annual Report / September 30, 2007
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007
Enhanced Income Fund:
AVERAGE ANNUAL TOTAL RETURN 1
- --------------------------------------------------------------------------------
Annualized
One Year Inception
Return to Date
- --------------------------------------------------------------------------------
Enhanced Income Fund, Class A 2.96% 3.46%
- --------------------------------------------------------------------------------
Enhanced Income Fund, Class I 2.24% 2.76%
- --------------------------------------------------------------------------------
Comparison of Change in the Value of a $100,000 Investment in the Enhanced
Income Fund, Class A and Class I, versus the 3-Month LIBOR Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Enhanced Income Enhanced Income 3-Month LIBOR
Fund, Class A Fund, Class I Index
7/27/06 $100,000 $100,000 $100,000
9/30/96 101,103 101,002 100,927
9/30/07 104,095 103,265 106,347
1 For the period ended 9/30/07. Past performance is no indication of future
performance. Class I Shares performance for the period prior to 6/29/07 is
performance derived from the performance of the Class A Shares.The
performance of Class I Shares may be lower than the performance of Class A
Shares because of different distribution fees paid by Class I
shareholders. Class A Shares were offered beginning 7/27/06 and Class I
Shares were offered beginning 6/29/07. Returns shown do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or
the redemption of fund shares. The returns for certain periods reflect fee
waivers and/or reimbursements in effect for that period; absent fee
waivers and reimbursements, performance would have been lower.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 25
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007
Core Fixed Income Fund
Objective
The Core Fixed Income Fund (the "Fund") seeks to provide current income and
preservation of capital.
Strategy
The Fund's investment strategy focuses on sector rotation, both among and within
sectors, and issue selection. Risk is principally controlled by explicitly
limiting fund interest rate exposure relative to the Lehman Aggregate Bond
Index. The Fund's sub-advisers focus on four key areas in determining portfolio
structure: duration weighting, term structure, sector allocation and issue
selection. While the duration and term structure decision underlie the
implementation process, the sub-advisers primarily concentrate on sector and
issue selection to add value. In addition, the sub-advisers may engage in
currency transactions using futures, foreign currency forward contracts and
other derivatives either to seek to hedge the Fund's currency exposure or to
enhance the Fund's return. This Fund also allows tactical allocation to high
yield and emerging markets debt.
Analysis
The U.S. investment grade bond market returned 5.13% for the fiscal year ended
September 30, 2007, as measured by the Lehman Aggregate Bond Index. The Core
Fixed Income Fund, Class A, posted a 4.00% return for the same period. Over the
last 12 months, two and ten year Treasury yields declined by 0.70% and 0.04%
respectively. Yields fell for the majority of the period as investors expected
the U.S. Federal Reserve to ease monetary policy. This was exacerbated by the
subprime turmoil in 2007 as a flight to quality ensued and liquidity dried up.
The surprise 50 basis points easing of the Fed Funds rate (market expectations
were for 25 basis points) went a long way in restoring confidence and
maneuverability to bond investors. Other central banks helped to calm investors
as well by likewise providing vast amounts of liquidity to their financial
systems. These shifts in interest rates caused the slope of the yield curve (or
the difference between ten year Treasury yields and two year Treasury yields) to
steepen by 0.66%.
The behavior of the spread sectors was worse than U.S. Treasuries and all spread
sectors underperformed equivalently matched Treasuries during the period.
Investors went on a buyers strike and refused to purchase anything even remotely
associated with subprime mortgage loans. In a "liquidity squeeze" high quality
securities are the easiest investments for investors to sell and that's exactly
what drove agency the mortgage-backed securities ("MBS") and commercial
mortgage-backed securities ("CMBS") prices lower. The brunt of underperformance
took place in the third quarter of 2007 as the so called "contagion" spread to
all areas of the market. Corporate bonds suffered as well with liquidity
evaporating and the new issue market shutting down. The asset-backed security
("ABS") sector was hurt the most by the higher volatility and repricing of risk
with the home equity sub-sector contributing to the majority of
underperformance. Throughout most of 2006, spreads for ABS continued to move
tighter despite significant new issuance due to unprecedented demand from non
traditional investors, including hedge funds and collateralized debt
obligations. This reversed in 2007 as the housing market slowed and we saw
increased delinquencies and foreclosures.
The Fund's interest rate positioning contributed to performance for the period
while sector allocations had an adverse impact. The overall underweight to the
corporate sector helped the Fund; however, an allocation to higher beta
corporates at the long end of the curve more than offset the sector call. The
material overweights to the structured sectors, MBS, CMBS and ABS were the prime
reasons for trailing returns versus the benchmark. Security selection,
especially in asset-backed sector of the market, also played a significant role
in the Fund's negative excess performance.
- --------------------------------------------------------------------------------
26 SEI Institutional Managed Trust / Annual Report / September 30, 2007
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007
Core Fixed Income Fund:
AVERAGE ANNUAL TOTAL RETURN 1
- --------------------------------------------------------------------------------
Annualized Annualized Annualized Annualized
One Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
- --------------------------------------------------------------------------------
Core Fixed Income
Fund, Class A 4.00% 3.48% 4.28% 5.71% 6.87%
- --------------------------------------------------------------------------------
Core Fixed Income
Fund, Class I 3.74% 3.22% 4.02% 5.35% 6.43%
- --------------------------------------------------------------------------------
Comparison of Change in the Value of a $100,000 Investment in the Core Fixed
Income Fund, Class A and Class I, versus the Lehman Aggregate Bond Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Core Fixed Income Core Fixed Income Lehman Aggregate
Fund, Class A Fund, Class I Bond Index
9/30/97 $100,000 $100,000 $100,000
9/30/98 111,420 110,850 111,510
9/30/99 110,350 109,265 111,097
9/30/00 118,042 116,323 118,863
9/30/01 133,387 131,050 134,256
9/30/02 141,244 138,297 145,802
9/30/03 150,608 147,106 153,690
9/30/04 157,205 153,167 159,346
9/30/05 161,654 156,966 163,807
9/30/06 167,473 162,365 169,819
9/30/07 174,172 168,438 178,531
1 For the period ended 9/30/07. Past performance is no indication of future
performance. Class I Shares performance for the period prior to 8/6/01 is
performance derived from the performance of the Class A Shares.The
performance of Class I Shares may be lower than the performance of Class A
Shares because of different distribution fees paid by Class I
shareholders. Class A Shares were offered beginning 5/1/87 and Class I
Shares were offered beginning 8/6/01. Returns shown do not reflect the
deduction of taxes that a shareholder would pay on fund distributions or
the redemption of fund shares. The returns for certain periods reflect fee
waivers and/or reimbursements in effect for that period; absent fee
waivers and reimbursements, performance would have been lower.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 27
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007
High Yield Bond Fund
Objective
The investment objective of the High Yield Bond Fund (the "Fund") is to maximize
total return by investing primarily in a diversified portfolio of higher
yielding, lower rated fixed income securities. The strategy seeks to achieve a
high level of total return through sector rotation and security selection.
Strategy
Fund strategy is to identify high yield market sectors and securities that offer
investment opportunities through the analysis of macroeconomic, interest rate,
industry, and technical factors. Those companies that are best suited to benefit
from the identified trends are then selected for investment. Risk is controlled
through a high level of diversification, and by performing detailed and ongoing
credit analysis on the companies considered and purchased.
Analysis
The Merrill Lynch U.S. High Yield Master II Constrained Index posted a 7.79%
return during the 12-month period ending September 30, 2007, as default rates
hovered near all-time lows and corporate fundamentals remained in good shape.
Cable was the top performing sector with companies gathering more subscribers
with their triple-play offering of cable, phone, and internet services. The
additional revenue, lower cost of debt, and improving balance sheets has been a
positive for the sector. The building and construction sector was the worst
performing sector as the housing market weakened during the period primarily due
to subprime mortgage concerns. The subprime phenomenon led to slower home sales
and weaker financial results for homebuilders. The support services sector was a
solid performer led by United Rentals. The company posted good financial results
during the period and also agreed to be acquired by a private equity firm. The
beverage sector was the second worst performing segment for the period. The
sector was dragged down by water and juice producer Le-Natures, whose bonds
plummeted more than 85% after it was discovered that the company was involved in
fraudulent activities. Moody's U.S. issuer-based default rate continued to trend
toward historical lows. The trailing twelve month reading of 1.2% is the lowest
since March 1982 when it was 1.0%. The market is anticipating default rates to
increase slowly over the next twelve months but to remain below the historical
average.
The High Yield Bond Fund, Class A, trailed the index with a 6.72% return for the
fiscal year ended September 30, 2007. The Fund's underweight to Williams
Companies was a negative for the period as the company outperformed the high
yield market due to solid financial results and an asset sale. The Fund's
underweight to Charter Communications was a negative as the firm was the top
contributor to the index return. The company gathered more subscribers with
their triple-play offering of cable, phone, and internet services. The Fund's
overweight to Le-Natures was a negative as corporate fraud hammered bond prices.
The Fund's exposure to structured credit, such as collateralized debt
obligations, was a negative as well. The Fund's exposure to TDS Investor was a
positive as the company agreed to merge with Worldspan, sending bonds higher.
Finally, the Fund's underweight to building and construction was a positive as
the slumping homebuilder sector was a poor performer.
- --------------------------------------------------------------------------------
28 SEI Institutional Managed Trust / Annual Report / September 30, 2007
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2007
High Yield Bond Fund:
AVERAGE ANNUAL TOTAL RETURN 1
- --------------------------------------------------------------------------------
Annualized Annualized Annualized Annualized
One Year 3 Year 5 Year 10 Year Inception
Return Return Return Return to Date
- --------------------------------------------------------------------------------
High Yield Bond Fund,
Class A 6.72% 6.65% 10.02% 5.52% 7.68%
- --------------------------------------------------------------------------------
Comparison of Change in the Value of a $100,000 Investment in the High Yield
Bond Fund, Class A, versus the Merrill Lynch U.S. High Yield Master II
Constrained Index.
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
High Yield Bond Merrill Lynch U.S. High Yield
Fund, Class A Master II Constrained Index
9/30/97 $100,000 $100,000
9/30/98 102,250 102,480
9/30/99 105,839 106,436
9/30/00 105,744 107,394
9/30/01 100,710 100,810
9/30/02 106,199 99,722
9/30/03 127,311 128,442
9/30/04 141,112 144,278
9/30/05 150,581 153,786
9/30/06 160,383 164,890
9/30/07 171,161 177,735
1 For the period ended 9/30/07. Past performance is no indication of future
performance. Fund shares were offered beginning 1/11/95. Returns shown do
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares. The returns for certain
periods reflect fee waivers and/or reimbursements in effect for that
period; absent fee waivers and reimbursements, performance would have been
lower.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 29
SCHEDULE OF INVESTMENTS
Large Cap Value Fund
September 30, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS# (UNAUDITED):
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
28.8% Financials
12.0% Energy
10.8% Short-Term Investments
8.5% Consumer Discretionary
8.4% Industrials
6.5% Health Care
6.2% Consumer Staples
6.2% Telecommunication Services
4.7% Utilities
4.1% Materials
3.7% Information Technology
0.1% Asset-Backed Security
0.0% U.S. Treasury Obligation
#Percentages based on total investments. Includes investments held as collateral
for securities on loan (see Note 7).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK+++ -- 98.7%
CONSUMER DISCRETIONARY -- 9.5%
Apollo Group, Cl A (B)* 56,400 $ 3,392
Autoliv 126,100 7,534
Barnes & Noble 94,200 3,322
Big Lots (B)* 97,900 2,921
Black & Decker (B) 53,100 4,423
BorgWarner 27,500 2,517
Brinker International 269,600 7,398
Cablevision Systems, Cl A (B)* 62,500 2,184
Carnival (B) 31,900 1,545
CBS, Cl B (B) 478,700 15,079
Centex (B) 99,700 2,649
Central European Media
Entertainment, Cl A* 1,400 128
Clear Channel Communications 19,200 719
Coach* 93,800 4,434
Comcast, Cl A (B)* 711,400 17,202
DaimlerChrysler 28,100 2,816
Darden Restaurants 96,200 4,027
Dick's Sporting Goods (B)* 43,000 2,887
Dillard's, Cl A (B) 12,300 269
Discovery Holding, Cl A* 38,600 1,114
Dollar Tree Stores* 110,600 4,484
DreamWorks Animation SKG, Cl A* 4,000 134
Eastman Kodak (B) 172,400 4,613
Expedia (B)* 56,600 1,804
Ford Motor (B) 379,200 3,219
Fortune Brands (B) 51,800 4,221
Gannett 111,300 4,864
General Motors (B) 342,200 12,559
Genuine Parts 14,500 725
Getty Images* 7,500 209
Goodyear Tire & Rubber* 107,700 3,275
Harrah's Entertainment 11,400 991
Hasbro (B) 463,300 12,917
Home Depot 347,000 11,257
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
IAC/InterActive (B)* 54,000 $ 1,602
Idearc 138,955 4,373
Interpublic Group (B)* 163,900 1,701
J.C. Penney 31,500 1,996
Jarden (B)* 11,600 359
Johnson Controls (B) 24,600 2,906
Jones Apparel Group (B) 101,400 2,143
KB Home (B) 142,200 3,564
Kohl's* 27,500 1,577
Lennar, Cl A (B) 44,400 1,006
Liberty Global, Cl A (B)* 110,700 4,541
Liberty Media Holding-Capital, Ser A* 43,100 5,380
Liberty Media Holding-Interactive,
Cl A* 44,000 845
Limited Brands (B) 47,700 1,092
Liz Claiborne (B) 3,400 117
Macy's 312,700 10,106
Magna International, Cl A 51,500 4,960
Mattel 548,900 12,877
McDonald's 496,300 27,033
MDC Holdings (B) 2,700 111
Mohawk Industries (B)* 12,700 1,033
New York Times, Cl A (B) 5,700 113
Newell Rubbermaid 37,900 1,092
News, Cl A 222,700 4,897
Nike, Cl B (B) 47,100 2,763
NVR (B)* 1,200 564
OfficeMax 12,200 418
Pulte Homes 127,900 1,741
R.H. Donnelley (B)* 33,300 1,865
RadioShack (B) 31,000 640
Royal Caribbean Cruises 18,600 726
Ryland Group 500 11
Saks (B) 16,700 286
Sears Holdings* 6,200 789
Service International 95,600 1,233
Shaw Communications, Cl B* 242,200 6,016
Sherwin-Williams 58,400 3,837
Snap-On 24,000 1,189
Stanley Works 39,397 2,211
Starwood Hotels & Resorts Worldwide 42,100 2,558
Station Casinos 12,100 1,059
Target (B) 39,900 2,536
Time Warner 2,070,100 38,007
Time Warner Cable, Cl A* 5,800 190
Tribune 100,689 2,751
Under Armour, Cl A (B)* 49,400 2,955
VF 113,600 9,173
Walt Disney 293,000 10,076
Wendy's International 28,200 984
Whirlpool (B) 42,800 3,814
Wyndham Worldwide 5,900 193
--------------
345,841
--------------
- --------------------------------------------------------------------------------
30 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CONSUMER STAPLES -- 6.9%
Alberto-Culver (B) 45,300 $ 1,123
Altria Group 295,800 20,567
Anheuser-Busch 15,600 780
Archer-Daniels-Midland 13,000 430
Avon Products 4,000 150
Bunge (B) 50,600 5,437
Campbell Soup 15,300 566
Coca-Cola 156,900 9,017
Coca-Cola Enterprises 256,800 6,220
Colgate-Palmolive 63,300 4,514
ConAgra Foods 601,200 15,709
Corn Products International 22,900 1,050
Costco Wholesale (B) 3,200 196
Dean Foods 12,700 325
Del Monte Foods 368,100 3,865
Energizer Holdings (B)* 4,400 488
General Mills 125,700 7,292
HJ Heinz 48,000 2,218
JM Smucker 25,400 1,357
Kellogg 4,400 246
Kimberly-Clark 157,400 11,059
Kraft Foods, Cl A 180,460 6,228
Kroger 598,100 17,058
Loews - Carolina 29,100 2,393
Molson Coors Brewing, Cl B (B) 87,900 8,761
Pepsi Bottling Group 123,100 4,576
PepsiCo 89,300 6,542
Procter & Gamble 910,600 64,052
Reynolds American (B) 190,700 12,127
Safeway (B) 419,827 13,900
Sara Lee 228,900 3,820
Supervalu 157,045 6,126
Tyson Foods, Cl A 204,200 3,645
UST (B) 70,400 3,492
Wal-Mart Stores 52,000 2,270
WM Wrigley Jr. 57,400 3,687
--------------
251,286
--------------
ENERGY -- 13.4%
Anadarko Petroleum 100,200 5,386
Apache 51,200 4,611
Baker Hughes 31,700 2,865
BP ADR 16,700 1,158
Chevron 1,197,700 112,081
ConocoPhillips 688,093 60,394
Devon Energy 7,600 632
ENSCO International 2,300 129
EOG Resources 1,900 137
Exxon Mobil 2,279,800 211,018
Forest Oil* 8,600 370
Frontier Oil 1,900 79
Helmerich & Payne 17,100 561
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Hess 61,500 $ 4,092
Holly 74,000 4,427
Marathon Oil 733,400 41,819
Noble Energy 112,300 7,866
Occidental Petroleum 153,700 9,849
Overseas Shipholding Group 800 62
Patterson-UTI Energy 155,800 3,516
Pogo Producing 2,900 154
SEACOR Holdings* 2,400 228
Sunoco 115,700 8,189
Teekay Shipping 3,100 182
Tidewater 6,200 390
Valero Energy 139,800 9,392
Western Refining 2,600 106
Williams 12,300 419
--------------
490,112
--------------
FINANCIALS -- 31.7%
A.G. Edwards 6,700 561
ACE 74,800 4,531
Alleghany* 3,150 1,279
Allied Capital (B) 31,400 923
Allied World Assurance Holdings 3,200 166
Allstate 526,400 30,105
AMB Property+ 2,100 126
AMBAC Financial Group (B) 21,000 1,321
American Capital Strategies (B) 71,000 3,034
American Financial Group 40,900 1,166
American International Group (B) 1,120,900 75,829
Ameriprise Financial 26,700 1,685
Annaly Capital Management+ 42,800 682
AON (B) 148,200 6,641
Apartment Investment &
Management, Cl A+ 24,900 1,124
Arch Capital Group* 1,800 134
Archstone-Smith Trust+ 9,900 595
Arthur J. Gallagher 14,700 426
Assurant 160,800 8,603
Astoria Financial 108,300 2,873
AvalonBay Communities+ (B) 17,700 2,090
Axis Capital Holdings 128,100 4,984
Bank of America 2,472,650 124,300
Bank of New York Mellon 67,422 2,976
BB&T 425,300 17,178
Bear Stearns (B) 31,400 3,856
BlackRock 400 69
Boston Properties+ 23,400 2,431
BRE Properties, Cl A+ (B) 15,100 844
Brookfield Asset Management, Cl A* 104,600 4,027
Chubb 353,600 18,967
CIT Group 293,100 11,783
Citigroup 2,637,700 123,101
City National 3,400 236
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 31
SCHEDULE OF INVESTMENTS
Large Cap Value Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CME Group 5,700 $ 3,348
Comerica 332,500 17,051
Countrywide Financial (B) 333,200 6,334
Credicorp 6,600 447
Developers Diversified Realty+ (B) 3,400 190
Discover Financial Services* 109,200 2,271
Douglas Emmett+ 5,000 124
Duke Realty+ 17,300 585
Eaton Vance 93,600 3,740
Equity Residential+ (B) 16,200 686
Essex Property Trust+ 800 94
Everest Re Group 99,200 10,936
Fannie Mae 332,300 20,207
Federal Realty Investment Trust+ 1,300 115
Fidelity National Financial, Cl A 178,204 3,115
First American 14,900 546
First Horizon National (B) 68,600 1,829
Franklin Resources 54,800 6,987
Freddie Mac 219,300 12,941
General Growth Properties+ 4,900 263
Genworth Financial, Cl A 211,800 6,509
Goldman Sachs Group 104,400 22,628
Hanover Insurance Group 28,000 1,237
Hartford Financial Services Group 188,900 17,483
HCP+ (B) 72,500 2,405
Health Care+ (B) 12,800 566
Hospitality Properties Trust+ (B) 87,700 3,565
Host Hotels & Resorts+ (B) 49,760 1,117
IndyMac Bancorp (B) 102,900 2,429
iStar Financial+ (B) 76,000 2,583
Janus Capital Group (B) 112,300 3,176
Jones Lang LaSalle 47,700 4,902
JPMorgan Chase 2,019,828 92,548
Keycorp (B) 490,500 15,858
Kimco Realty+ 7,715 349
Legg Mason 35,800 3,018
Lehman Brothers Holdings (B) 154,600 9,543
Leucadia National 6,900 333
Lincoln National 135,267 8,924
Loews 340,400 16,458
M&T Bank 3,200 331
Markel* 5,700 2,759
Marsh & McLennan (B) 18,400 469
MBIA (B) 93,900 5,733
Merrill Lynch (B) 521,500 37,172
Metlife (B) 100,100 6,980
MGIC Investment (B) 78,700 2,543
Moody's (B) 37,900 1,910
Morgan Stanley 563,900 35,526
National City 603,200 15,134
Nationwide Financial Services, Cl A 132,400 7,126
Old Republic International 266,400 4,992
Philadelphia Consolidated Holding* 2,200 91
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Plum Creek Timber+ (B) 7,300 $ 327
PMI Group (B) 169,500 5,543
PNC Financial Services Group 115,255 7,849
Popular (B) 111,000 1,363
Principal Financial Group 103,200 6,511
Prologis+ 3,400 226
Prudential Financial 90,800 8,860
Regency Centers+ 6,200 476
Regions Financial 522,184 15,394
Reinsurance Group of America 7,800 442
Safeco 173,700 10,634
Simon Property Group+ (B) 2,200 220
SL Green Realty+ (B) 1,166 136
Sovereign Bancorp 20,800 354
Sunstone Hotel Investors+ 95,800 2,456
SunTrust Banks (B) 198,100 14,990
Taubman Centers+ 10,400 569
Torchmark 3,700 231
Travelers 699,600 35,218
UnionBanCal 70,800 4,135
UnumProvident (B) 257,000 6,289
US Bancorp 1,357,600 44,163
Valley National Bancorp (B) 19,819 440
Vornado Realty Trust+ (B) 20,100 2,198
Wachovia 701,697 35,190
Washington Mutual (B) 869,000 30,684
Wells Fargo 863,800 30,768
White Mountains Insurance Group 800 416
XL Capital, Cl A (B) 42,500 3,366
Zions Bancorporation 3,000 206
--------------
1,156,506
--------------
HEALTH CARE -- 7.2%
Aetna 98,200 5,329
Alcon (B) 16,700 2,404
AmerisourceBergen 162,900 7,384
Amgen* 194,100 10,980
Bausch & Lomb 13,100 839
Beckman Coulter 1,800 133
Becton Dickinson (B) 40,300 3,307
Boston Scientific* 98,000 1,367
Cardinal Health 73,200 4,577
Celgene (B)* 39,800 2,838
Charles River Laboratories
International* 3,100 174
Cigna 171,800 9,155
Covidien* 46,850 1,944
Eli Lilly 32,200 1,833
Forest Laboratories* 89,200 3,326
Genentech* 29,000 2,263
Gilead Sciences* 83,400 3,409
Hillenbrand Industries 11,300 622
Invitrogen (B)* 55,200 4,512
- --------------------------------------------------------------------------------
32 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Johnson & Johnson 480,500 $ 31,569
Kinetic Concepts* 4,700 265
King Pharmaceuticals* 193,800 2,271
Laboratory of America Holdings (B)* 35,600 2,785
McKesson 2,500 147
Merck 531,400 27,468
Mylan Laboratories 192,300 3,069
PerkinElmer 31,300 914
Pfizer 4,012,200 98,018
PharMerica (B)* 4,093 61
Schering-Plough 95,100 3,008
Tenet Healthcare (B)* 396,700 1,333
Thermo Fisher Scientific* 70,500 4,069
UnitedHealth Group 45,700 2,213
Watson Pharmaceuticals* 6,800 220
WellPoint* 19,400 1,531
Wyeth 364,900 16,256
--------------
261,593
--------------
INDUSTRIALS -- 9.3%
3M 71,900 6,728
AGCO (B)* 20,200 1,025
Alexander & Baldwin 5,600 281
Allied Waste Industries (B)* 19,400 247
Avis Budget Group* 20,300 465
Boeing 73,900 7,759
Burlington Northern Santa Fe 5,800 471
Caterpillar 113,800 8,925
ChoicePoint (B)* 98,100 3,720
Cooper Industries, Cl A 14,200 726
CSX 38,900 1,662
Cummins 59,700 7,635
Deere 83,300 12,363
DRS Technologies 2,500 138
Dun & Bradstreet 40,000 3,944
Eaton 139,700 13,836
FedEx 2,400 251
General Dynamics 34,200 2,889
General Electric 3,315,200 137,249
Harsco 114,000 6,757
Honeywell International 135,800 8,076
Illinois Tool Works 8,000 477
Ingersoll-Rand, Cl A 272,700 14,854
Kansas City Southern (B)* 3,800 122
Kennametal 3,800 319
L-3 Communications Holdings 48,400 4,944
Laidlaw International 12,300 433
Lennox International (B) 31,800 1,075
Lockheed Martin 30,600 3,320
Masco (B) 347,300 8,047
Norfolk Southern 98,100 5,092
Northrop Grumman 282,300 22,019
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Northwest Airlines* 7,700 $ 137
Owens Corning (B)* 9,300 233
Pall 7,700 300
Parker Hannifin (B) 109,900 12,290
Raytheon 132,500 8,456
RR Donnelley & Sons 22,100 808
Ryder System 93,100 4,562
Shaw Group* 1,300 76
SPX 66,400 6,146
Teleflex 3,900 304
Tyco International 54,450 2,414
UAL (B)* 6,000 279
Union Pacific 18,800 2,126
United Parcel Service, Cl B 66,000 4,957
United Rentals* 11,200 360
United Technologies 123,200 9,915
WW Grainger (B) 4,900 447
--------------
339,659
--------------
INFORMATION TECHNOLOGY -- 4.1%
ADC Telecommunications* 6,800 133
Adobe Systems (B)* 60,500 2,641
Apple* 28,300 4,345
Applied Materials (B) 188,800 3,908
Arrow Electronics* 104,800 4,456
Avaya* 30,400 516
Avnet (B)* 250,400 9,981
CA (B) 12,100 311
Cadence Design Systems* 20,100 446
Ceridian* 8,500 295
Citrix Systems* 59,500 2,399
Cognizant Technology Solutions,
Cl A* 27,200 2,170
Computer Sciences* 134,500 7,519
Compuware (B)* 123,000 986
Convergys* 178,600 3,100
eBay* 75,500 2,946
Electronic Arts* 39,400 2,206
Electronic Data Systems 133,900 2,924
Fair Isaac 96,600 3,488
Fidelity National Information Services 9,085 403
Fiserv* 73,100 3,718
Google, Cl A* 6,000 3,404
Hewitt Associates, Cl A* 14,600 512
Hewlett-Packard 175,700 8,748
Ingram Micro, Cl A* 83,200 1,632
Intel 125,600 3,248
International Business Machines (B) 124,600 14,678
Juniper Networks (B)* 165,600 6,063
Lexmark International, Cl A* 3,700 154
Microsoft 163,200 4,808
Motorola 223,800 4,147
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 33
SCHEDULE OF INVESTMENTS
Large Cap Value Fund (Concluded)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
NCR* 18,200 $ 906
Novellus Systems* 14,800 403
Nvidia* 70,000 2,537
Oracle* 226,900 4,912
Sanmina-SCI* 634,300 1,345
Seagate Technology 279,700 7,155
Solectron (B)* 596,600 2,327
Symantec (B)* 251,300 4,870
Tech Data (B)* 63,700 2,556
Tektronix 163,900 4,547
Tyco Electronics* 52,750 1,869
Vishay Intertechnology (B)* 143,200 1,866
Western Digital* 119,900 3,036
Xerox* 283,400 4,914
--------------
149,528
--------------
MATERIALS -- 4.5%
Alcan 35,040 3,507
Alcoa 301,500 11,795
Ashland 52,400 3,155
Bemis 3,400 99
Cabot 13,500 480
Celanese, Ser A 31,200 1,216
Chemtura 12,700 113
Domtar* 90,100 739
Dow Chemical 572,700 24,660
E.I. Du Pont de Nemours (B) 135,300 6,706
Eastman Chemical 86,100 5,745
FMC 10,400 541
Freeport-McMoRan Copper & Gold, Cl B (B) 8,755 918
Huntsman 6,600 175
International Flavors & Fragrances 12,200 645
International Paper (B) 447,400 16,048
Lubrizol 164,700 10,715
Lyondell Chemical 37,900 1,757
MeadWestvaco 17,200 508
Mosaic* 44,100 2,360
Nova Chemicals 65,500 2,528
Nucor 251,400 14,951
Owens-Illinois* 4,000 166
PPG Industries 138,400 10,456
Reliance Steel & Aluminum 8,300 469
Rohm & Haas (B) 108,800 6,057
RPM International 4,500 108
Scotts Miracle-Gro, Cl A 11,100 475
Sealed Air (B) 24,000 613
Sigma-Aldrich 6,900 336
Smurfit-Stone Container* 237,700 2,776
Sonoco Products 108,700 3,281
Southern Copper (B) 61,900 7,665
Steel Dynamics (B) 89,700 4,189
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Temple-Inland 20,600 $ 1,084
United States Steel 92,000 9,747
Valspar 74,900 2,038
Weyerhaeuser 90,600 6,550
--------------
165,371
--------------
TELECOMMUNICATION SERVICES -- 6.9%
Alltel 46,800 3,261
AT&T 3,119,244 131,975
CenturyTel 249,300 11,523
Citizens Communications (B) 94,600 1,355
Embarq 19,300 1,073
Sprint Nextel 1,089,550 20,701
Telephone & Data Systems 33,300 2,223
Verizon Communications 1,652,200 73,159
Vodafone Group ADR (B) 91,400 3,318
Windstream 139,026 1,963
--------------
250,551
--------------
UTILITIES -- 5.2%
Alliant Energy 116,300 4,457
Ameren (B) 97,700 5,129
American Electric Power 370,300 17,063
Atmos Energy 35,900 1,017
CMS Energy (B) 36,700 617
Consolidated Edison (B) 15,400 713
Constellation Energy Group 69,700 5,980
Dominion Resources 9,400 792
DTE Energy (B) 96,600 4,679
Duke Energy 13,448 251
Dynegy, Cl A* 82,200 760
Edison International 91,100 5,052
Energen 137,500 7,854
Entergy 145,600 15,767
Equitable Resources 10,600 550
Exelon 107,800 8,124
FirstEnergy 347,400 22,004
FPL Group 91,700 5,583
MDU Resources Group 15,200 423
Mirant (B)* 38,500 1,566
National Fuel Gas 30,100 1,409
NiSource 32,300 618
Northeast Utilities 102,800 2,937
NRG Energy (B)* 33,300 1,408
NSTAR 33,400 1,163
OGE Energy 4,900 162
Oneok 92,200 4,370
Pepco Holdings 188,700 5,110
PG&E (B) 271,800 12,992
Pinnacle West Capital (B) 204,000 8,060
PPL 21,600 1,000
Progress Energy (B) 125,200 5,866
- --------------------------------------------------------------------------------
34 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Public Service Enterprise Group 112,700 $ 9,917
Puget Energy 60,900 1,490
Questar 3,700 194
Reliant Energy* 292,300 7,483
Sempra Energy 40,300 2,342
Sierra Pacific Resources* 5,300 83
Southern (B) 40,000 1,451
TECO Energy 7,600 125
TXU 7,900 541
UGI 12,200 317
Wisconsin Energy 90,700 4,084
Xcel Energy 339,900 7,322
--------------
188,825
--------------
Total Common Stock
(Cost $2,791,275) ($ Thousands) 3,599,272
--------------
CORPORATE OBLIGATION (C) (E) -- 0.2%
FINANCIALS -- 0.2%
SLM EXL, Ser S
5.763%, 10/15/07 $ 6,762 6,762
--------------
Total Corporate Obligation
(Cost $6,762) ($ Thousands) 6,762
--------------
ASSET-BACKED SECURITY (C) (E) (F) -- 0.1%
MORTGAGE RELATED SECURITY -- 0.1%
Duke Funding, Ser 2004-6B, Cl A1S1
5.430%, 10/09/07 4,610 4,610
--------------
Total Asset-Backed Security
(Cost $4,610) ($ Thousands) 4,610
--------------
CASH EQUIVALENTS**++ -- 12.0%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.350% 44,716,432 44,716
SEI Liquidity Fund LP, 5.367% (C) 391,380,868 391,381
--------------
Total Cash Equivalents
(Cost $436,097) ($ Thousands) 436,097
--------------
U.S. TREASURY OBLIGATION (A) (D) -- 0.1%
U.S. Treasury Bills
3.939%, 11/23/07 2,020 2,009
--------------
Total U.S. Treasury Obligation
(Cost $2,009) ($ Thousands) 2,009
--------------
Total Investments -- 111.1%
(Cost $3,240,753) ($ Thousands) $ 4,048,750
==============
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 APPRECIATION
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
S&P 500 Composite Index 71 Dec-2007 $ 842
=====
Percentages are based on Net Assets of $3,645,192 ($ Thousands).
* Non-Income Producing Security.
** Rate shown is the 7-day effective yield as of September 30, 2007.
+++ Narrow industries are utilized for compliance purposes, whereas broad
sectors are utilized for reporting.
+ Real Estate Investment Trust.
++ Investment in Affiliated Security (see Note 3).
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(B) This security or a partial position of this security is on loan at
September 30, 2007 (see Note 7). The total market value of securities on
loan at September 30, 2007 was $390,549 ($ Thousands).
(C) This security was purchased with cash collateral held from securities on
loan (see Note 7). The total market value of such securities as of
September 30, 2007 was $402,753 ($ Thousands).
(D) The rate reported is the effective yield at time of purchase.
(E) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of September 30, 2007.
(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.
ADR -- American Depositary Receipt
Cl -- Class
EXL -- Extendable Maturity
LP -- Limited Partnership
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 35
SCHEDULE OF INVESTMENTS
Large Cap Growth Fund
September 30, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS# (UNAUDITED):
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
25.4% Information Technology
14.1% Health Care
12.8% Short-Term Investments
11.5% Consumer Discretionary
10.1% Consumer Staples
7.4% Energy
7.1% Industrials
6.6% Financials
2.2% Materials
1.8% Telecommunication Services
0.8% Utilities
0.1% Asset-Backed Security
0.1% U.S. Treasury Obligation
#Percentages based on total investments. Includes investments held as collateral
for securities on loan (see Note 7).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK+++ -- 96.9%
CONSUMER DISCRETIONARY -- 12.8%
Abercrombie & Fitch, Cl A 2,000 $ 161
Advance Auto Parts 4,300 144
Amazon.com* 47,400 4,415
American Eagle Outfitters 38,550 1,014
AnnTaylor Stores (B)* 109,800 3,477
Autozone* 20,569 2,389
Bed Bath & Beyond* 700 24
Best Buy (B) 97,600 4,492
Big Lots* 46,300 1,382
BorgWarner 1,900 174
Brinker International (B) 176,337 4,839
Cablevision Systems, Cl A* 54,346 1,899
Career Education* 43,500 1,218
Carmax* 64,100 1,303
Carnival 3,300 160
CBS, Cl B (B) 14,663 462
Central European Media Entertainment,
Cl A* 6,600 605
Clear Channel Communications 19,300 723
Coach* 178,041 8,416
Comcast, Cl A* 173,714 4,200
CROCS* 41,300 2,777
Darden Restaurants 61,859 2,589
Dick's Sporting Goods* 8,100 544
DIRECTV Group* 321,200 7,799
Discovery Holding, Cl A* 78,400 2,262
Dollar Tree Stores* 33,689 1,366
Dow Jones 15,100 901
DreamWorks Animation SKG, Cl A* 4,500 150
EchoStar Communications, Cl A* 72,100 3,375
Family Dollar Stores 6,300 167
Fortune Brands 166,490 13,567
GameStop, Cl A* 45,400 2,558
Garmin 2,400 287
Gentex (B) 144,200 3,092
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Goodyear Tire & Rubber* 181,700 $ 5,526
Guess? 33,800 1,657
Gymboree* 33,000 1,163
Hanesbrands* 113,300 3,179
Harley-Davidson (B) 60,731 2,806
Harman International Industries 16,000 1,384
Harrah's Entertainment 22,800 1,982
Hasbro 33,900 945
Hilton Hotels 12,217 568
Home Depot 469,421 15,228
IAC/InterActive (B)* 101,567 3,014
International Game Technology 780,300 33,631
Interpublic Group* 112,600 1,169
ITT Educational Services* 45,080 5,486
J.C. Penney 81,934 5,192
Jarden* 14,600 452
John Wiley & Sons, Cl A 8,400 377
Johnson Controls 27,000 3,189
Kohl's* 52,610 3,016
Lamar Advertising, Cl A (B) 182,774 8,950
Liberty Global, Cl A* 118,582 4,864
Liberty Media Holding-Interactive,
Cl A* 42,600 818
Lowe's (B) 613,412 17,188
Macy's 34,700 1,122
Marriott International, Cl A 53,484 2,325
Mattel 86,800 2,036
McDonald's 328,600 17,899
McGraw-Hill 444,623 22,636
Meredith 23,300 1,335
MGM Mirage* 363,900 32,547
Midas* 6,100 115
Morgans Hotel Group* 12,600 274
Newell Rubbermaid 183,916 5,300
News, Cl A 190,384 4,187
Nike, Cl B (B) 257,000 15,076
Nordstrom 27,900 1,308
Nutri/System (B)* 60,100 2,818
NVR (B)* 2,500 1,176
Office Depot* 44,700 922
OfficeMax 4,600 158
Omnicom Group 60,728 2,920
Orient-Express Hotels, Cl A 12,900 661
Penn National Gaming* 7,300 431
PetSmart 5,100 163
Phillips-Van Heusen 11,200 588
Polo Ralph Lauren 38,221 2,972
RadioShack 88,600 1,830
Regal Entertainment Group, Cl A 6,400 140
Rent-A-Center* 12,729 231
Reuters Group ADR (B)* 210,000 16,645
Ross Stores 22,800 585
Saks 71,400 1,225
- --------------------------------------------------------------------------------
36 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Sherwin-Williams 23,800 $ 1,564
Staples (B) 1,350,000 29,012
Starbucks (B)* 286,750 7,513
Station Casinos 17,300 1,513
Steven Madden 12,300 233
Target (B) 169,959 10,804
Tiffany 34,400 1,801
Tim Hortons 29,303 1,021
Time Warner 134,938 2,477
Time Warner Cable, Cl A* 7,600 249
TJX (B) 29,400 855
Urban Outfitters* 45,000 981
Viacom, Cl B* 294,861 11,491
WABCO Holdings* 5,033 235
Walt Disney 209,683 7,211
Warnaco Group* 16,100 629
Weight Watchers International 473,800 27,272
Wendy's International 1,098 38
Whirlpool 1,900 169
Williams-Sonoma (B) 195,220 6,368
Wyndham Worldwide 11,700 383
Wynn Resorts (B) 21,100 3,325
Yum! Brands 202,008 6,834
--------------
466,318
--------------
CONSUMER STAPLES -- 11.2%
Alberto-Culver 9,300 231
Altria Group 290,318 20,186
Anheuser-Busch 110,052 5,502
Archer-Daniels-Midland 25,900 857
Avon Products 51,300 1,925
Campbell Soup 43,401 1,606
Church & Dwight 46,200 2,173
Clorox 200 12
Coca-Cola 669,317 38,466
Colgate-Palmolive 188,967 13,477
Costco Wholesale (B) 279,780 17,170
CVS 723,231 28,662
Energizer Holdings* 26,300 2,915
Estee Lauder, Cl A 26,500 1,125
General Mills 43,300 2,512
Herbalife 12,900 586
HJ Heinz 69,400 3,206
Kellogg 8,500 476
Kimberly-Clark 95,002 6,675
Kraft Foods, Cl A 213,730 7,376
Kroger 244,100 6,962
Loews - Carolina 16,400 1,349
McCormick 10,300 370
NBTY* 35,100 1,425
Pepsi Bottling Group 41,953 1,559
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
PepsiCo 815,174 $ 59,720
Procter & Gamble 1,209,615 85,084
Reynolds American (B) 31,500 2,003
Sara Lee 7,600 127
Sysco 25,400 904
UST 47,600 2,361
Wal-Mart Stores 1,075,701 46,954
Walgreen 801,953 37,884
WM Wrigley Jr. (B) 125,558 8,065
--------------
409,905
--------------
ENERGY -- 8.2%
Baker Hughes 545,831 49,327
Cabot Oil & Gas 22,400 788
Cameron International (B)* 90,926 8,392
Cheniere Energy* 3,800 149
Chesapeake Energy (B) 153,300 5,405
Chevron 28,422 2,660
Cimarex Energy 3,800 141
Devon Energy 136,900 11,390
Dresser-Rand Group* 52,200 2,229
Exxon Mobil 255,400 23,640
FMC Technologies (B)* 63,300 3,650
Frontline* 1,500 72
Global Industries* 36,100 930
GlobalSantaFe 27,400 2,083
Grant Prideco* 2,800 153
Halliburton (B) 625,200 24,008
Holly 31,400 1,879
Hornbeck Offshore Services* 33,400 1,226
National Oilwell Varco* 15,700 2,269
Noble (B) 133,200 6,533
Noble Energy 2,500 175
Occidental Petroleum 178,640 11,447
Oceaneering International* 3,500 265
Range Resources 17,500 711
Schlumberger (B) 650,692 68,323
Smith International 4,700 336
Southwestern Energy* 13,900 582
Suncor Energy 312,090 29,589
Sunoco 46,800 3,312
Superior Energy Services* 10,600 376
Tesoro 68,200 3,139
Tidewater 2,300 144
Transocean* 29,400 3,324
Valero Energy 141,100 9,479
Weatherford International (B)* 294,738 19,800
Western Refining 2,400 97
Williams 21,100 719
XTO Energy 26,509 1,639
--------------
300,381
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 37
SCHEDULE OF INVESTMENTS
Large Cap Growth Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
FINANCIALS -- 7.4%
A.G. Edwards 6,000 $ 502
Affiliated Managers Group* 170 22
Aflac 10,634 607
AMBAC Financial Group (B) 1,000 63
American Express 524,076 31,114
American International Group 111,903 7,570
Arthur J. Gallagher 2,300 67
Bank of New York Mellon 4,300 190
CB Richard Ellis Group, Cl A* 38,474 1,071
Charles Schwab 892,738 19,283
CME Group 80,084 47,037
Discover Financial Services* 354,040 7,364
Eaton Vance 52,500 2,098
Federal Realty Investment Trust+ 1,794 159
Federated Investors, Cl B 800 32
First Cash Financial Services* 32,300 756
First Marblehead 8,650 328
Forest City Enterprises, Cl A 50,604 2,791
Franklin Resources 42,512 5,420
Freddie Mac 427,040 25,200
General Growth Properties+ 41,200 2,209
Goldman Sachs Group 51,696 11,205
Hudson City Bancorp (B) 128,700 1,979
IntercontinentalExchange (B)* 294,000 44,659
Janus Capital Group (B) 155,800 4,406
Jones Lang LaSalle 20,400 2,096
Legg Mason (B) 82,610 6,963
Lehman Brothers Holdings (B) 60,600 3,741
Macerich+ 4,800 420
Merrill Lynch 118,700 8,461
Moody's (B) 108,608 5,474
Morgan Stanley 220,090 13,866
Newcastle Investment+ (B) 5,200 92
NewStar Financial* 7,200 81
Northern Trust 10,518 697
Nuveen Investments, Cl A 2,300 142
NYSE Euronext 7,900 625
People's United Financial 35,990 622
Philadelphia Consolidated Holding* 8,000 331
Prologis+ 1,700 113
Prudential Financial 11,400 1,112
Security Capital Assurance 7,800 178
Simon Property Group+ 5,100 510
SLM 1,018 51
State Street 5,650 385
Synovus Financial 6,100 171
T. Rowe Price Group 3,224 180
Taubman Centers+ 9,200 504
TD Ameritrade Holding* 221,800 4,041
Transatlantic Holdings 200 14
UDR+ 4,700 114
Ventas+ 4,300 178
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Weingarten Realty Investors+ 600 $ 25
XL Capital, Cl A (B) 16,800 1,331
--------------
268,650
--------------
HEALTH CARE -- 15.8%
Abbott Laboratories 533,616 28,613
Aetna 71,200 3,864
Allergan 873,958 56,344
Amgen (B)* 92,803 5,250
Amylin Pharmaceuticals (B)* 154,269 7,713
Bausch & Lomb 5,300 339
Baxter International 296,632 16,694
Beckman Coulter 2,100 155
Becton Dickinson (B) 109,225 8,962
Bristol-Myers Squibb 93,100 2,683
C.R. Bard 3,300 291
Cardinal Health 55,988 3,501
Celgene (B)* 273,866 19,529
Cephalon* 2,800 205
Cerner (B)* 47,700 2,853
Charles River Laboratories
International* 71,900 4,037
Chemed 7,000 435
Cigna 75,421 4,019
Cooper 2,600 136
Covance* 35,300 2,750
Cubist Pharmaceuticals* 26,800 566
Cutera* 12,100 317
Cytyc* 60,100 2,864
Dade Behring Holdings 17,000 1,298
Edwards Lifesciences* 1,600 79
Eli Lilly 121,990 6,945
Express Scripts* 104,980 5,860
Forest Laboratories* 19,129 713
Genentech* 651,730 50,848
Genzyme* 75,600 4,684
Gilead Sciences* 414,478 16,940
Health Net* 49,000 2,648
Hillenbrand Industries 4,400 242
HLTH* 62,300 883
Hologic (B)* 17,500 1,068
Hospira* 2,358 98
Humana* 11,472 802
ICU Medical (B)* 4,800 186
Intuitive Surgical (B)* 2,800 644
Invitrogen (B)* 42,900 3,506
Johnson & Johnson 561,572 36,895
Kinetic Concepts* 31,100 1,750
Laboratory of America Holdings (B)* 50,804 3,974
Manor Care 31,653 2,038
McKesson 18,812 1,106
Medco Health Solutions* 57,991 5,242
Medtronic 189,000 10,662
- --------------------------------------------------------------------------------
38 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Mentor (B) 38,200 $ 1,759
Merck 980,573 50,686
OSI Pharmaceuticals* 46,100 1,567
PDL BioPharma* 141,900 3,067
PerkinElmer 14,000 409
Pfizer 47,100 1,151
Providence Service* 3,500 103
Respironics* 3,800 183
Schering-Plough 485,591 15,359
St. Jude Medical* 477,740 21,054
Stryker (B)* 295,000 20,284
Thermo Fisher Scientific* 390,740 22,554
UnitedHealth Group 1,089,520 52,765
VCA Antech* 17,020 711
Warner Chilcott, Cl A* 7,500 133
Waters* 56,949 3,811
Watson Pharmaceuticals* 2,700 88
WellCare Health Plans* 28,300 2,984
WellPoint* 84,533 6,671
Wyeth 165,418 7,369
Zimmer Holdings* 378,000 30,614
--------------
574,553
--------------
INDUSTRIALS -- 8.0%
3M 50,926 4,766
Acuity Brands 23,600 1,191
Administaff 25,900 940
AGCO* 11,400 579
American Standard 10,300 367
BE Aerospace* 7,900 328
Boeing 137,116 14,396
Brink's 4,300 240
Burlington Northern Santa Fe 4,700 381
C.H. Robinson Worldwide 1,966 107
Caterpillar 49,200 3,859
Ceradyne* 14,000 1,060
Con-way 18,609 856
Continental Airlines, Cl B* 5,000 165
Cooper Industries, Cl A 1,400 71
Corrections of America* 66,700 1,745
Covanta Holding* 6,000 147
CSX 2,900 124
Cummins 12,700 1,624
Danaher 1,000 83
Deere 1,200 178
Delta Air Lines* 21,700 389
Dover 53,200 2,711
Dun & Bradstreet 7,100 700
Eaton 8,700 862
Emerson Electric 545,008 29,005
Equifax 6,285 240
Expeditors International Washington 630,000 29,799
First Solar* 2,900 341
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Fluor (B) 41,600 $ 5,990
Foster Wheeler* 13,400 1,759
Gardner Denver* 70,300 2,742
General Cable* 3,000 201
General Dynamics 1,700 144
General Electric 849,744 35,179
Goodrich 11,400 778
Honeywell International 105,500 6,274
Hubbell, Cl B 8,700 497
Huron Consulting Group* 11,900 864
Illinois Tool Works 22,800 1,360
Ingersoll-Rand, Cl A 14,279 778
ITT 36,900 2,507
JB Hunt Transport Services 12,200 321
Kansas City Southern* 11,500 370
Kennametal 400 34
L-3 Communications Holdings 24,600 2,513
Labor Ready* 37,000 685
Lennox International 4,400 149
Lockheed Martin 118,815 12,890
Manitowoc 35,300 1,563
Manpower 39,200 2,522
McDermott International* 10,200 552
MSC Industrial Direct, Cl A 74,000 3,744
Norfolk Southern 61,400 3,187
Northrop Grumman 58,148 4,536
Northwest Airlines* 16,100 287
Paccar 37,700 3,214
Pall 37,300 1,451
Parker Hannifin (B) 47,800 5,345
Pitney Bowes 23,549 1,070
Precision Castparts 47,421 7,017
Quanta Services* 57,600 1,523
Raytheon 56,000 3,574
Robert Half International (B) 9,300 278
Rockwell Automation 65,000 4,518
Rockwell Collins 6,747 493
Roper Industries 9,100 596
Shaw Group* 2,300 134
Stericycle* 122,490 7,001
Sunpower, Cl A* 1,800 149
Terex* 34,800 3,098
Thomas & Betts* 67,700 3,970
Toro 2,400 141
Trinity Industries (B) 77,900 2,924
UAL* 2,100 98
Union Pacific 3,900 441
United Parcel Service, Cl B (B) 458,275 34,416
United Technologies 192,430 15,487
UTI Worldwide 3,400 78
Waste Management 84,100 3,174
WW Grainger (B) 3,100 283
--------------
290,153
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 39
SCHEDULE OF INVESTMENTS
Large Cap Growth Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 28.1%
Accenture, Cl A 81,400 $ 3,276
Activision* 90,600 1,956
Adobe Systems* 37,026 1,617
Agilent Technologies* 160,605 5,923
Akamai Technologies* 31,804 914
Alliance Data Systems* 17,800 1,378
Altera (B) 67,500 1,625
Amphenol, Cl A 1,922 76
Analog Devices 22,500 814
Apple* 316,419 48,583
Applied Materials 7,805 162
Arrow Electronics* 20,300 863
Autodesk* 5,000 250
Automatic Data Processing 55,850 2,565
Avaya* 16,200 275
Avnet* 61,300 2,443
BMC Software* 144,732 4,520
CA 6,300 162
Cadence Design Systems (B)* 240,611 5,339
CDW 3,500 305
Ceridian* 72,208 2,509
Cisco Systems* 2,221,486 73,553
Cognizant Technology Solutions,
Cl A* 17,201 1,372
CommScope* 12,600 633
Compuware* 27,200 218
Cypress Semiconductor* 6,600 193
Dell* 118,946 3,283
Diebold 11,600 527
DST Systems* 24,700 2,120
eBay (B)* 1,080,600 42,165
Electronic Arts (B)* 458,270 25,659
Electronic Data Systems 57,300 1,251
EMC* 530,200 11,028
Exar* 9,600 125
F5 Networks* 10,700 398
Factset Research Systems 35,500 2,434
Fidelity National Information Services 21,100 936
Fiserv* 108,274 5,507
Google, Cl A* 206,731 117,272
Harris 27,527 1,591
Hewitt Associates, Cl A* 19,700 691
Hewlett-Packard 817,000 40,678
Intel 1,238,787 32,035
International Business Machines (B) 234,539 27,629
Intersil, Cl A 104,000 3,477
Intuit* 1,281,324 38,824
Iron Mountain* 1,412 43
Juniper Networks* 198,800 7,278
Kla-Tencor (B) 96,100 5,360
Lam Research (B)* 94,590 5,038
Lexmark International, Cl A* 14,400 598
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Linear Technology (B) 357,270 $ 12,501
LSI Logic* 29,723 221
Mastercard, Cl A 38,300 5,667
McAfee* 65,100 2,270
MEMC Electronic Materials* 44,359 2,611
Mettler Toledo International* 33,500 3,417
Microsoft 2,646,158 77,956
MicroStrategy, Cl A* 15,720 1,247
MPS Group (B)* 10,200 114
NAVTEQ* 5,400 421
NCR* 13,300 662
Netlogic Microsystems (B)* 12,600 455
Network Appliance* 130,000 3,498
Novellus Systems* 5,800 158
Nvidia* 83,677 3,032
Oracle* 426,665 9,237
Paychex (B) 1,001,168 41,048
PMC - Sierra (B)* 166,500 1,397
Qualcomm 2,202,488 93,077
Rambus* 5,100 98
Red Hat* 9,300 185
Research In Motion* 920,990 90,764
Salesforce.com* 5,400 277
SanDisk (B)* 410,000 22,591
Seagate Technology 1,439,700 36,828
Silicon Laboratories* 49,100 2,050
Symantec (B)* 250,900 4,862
Synopsys* 41,536 1,125
Teradyne (B)* 80,900 1,116
Texas Instruments 219,915 8,047
Trimble Navigation* 1,500 59
Varian Semiconductor Equipment
Associates (B)* 67,350 3,605
VeriFone Holdings* 5,800 257
VeriSign* 5,900 199
Western Union 1,927,394 40,417
Xerox* 10,700 186
Xilinx 8,300 217
Yahoo! (B)* 620,220 16,647
Zoran* 24,400 493
--------------
1,026,483
--------------
MATERIALS -- 2.5%
Air Products & Chemicals 8,000 782
AK Steel Holding* 69,400 3,050
Albemarle 35,700 1,578
Alcoa 54,600 2,136
Allegheny Technologies 35,500 3,903
Ball 20,600 1,107
Cabot 18,700 664
Celanese, Ser A 62,600 2,440
Cleveland-Cliffs 18,400 1,619
Crown Holdings* 76,300 1,737
- --------------------------------------------------------------------------------
40 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Domtar* 98,200 $ 805
E.I. Du Pont de Nemours 20,300 1,006
Ecolab 13,300 628
Florida Rock Industries 35,900 2,243
Freeport-McMoRan Copper & Gold,
Cl B (B) 39,400 4,133
International Flavors & Fragrances 33,900 1,792
Lubrizol 2,500 163
Martin Marietta Materials 19,100 2,551
Monsanto 74,514 6,389
Mosaic* 34,300 1,836
Nalco Holding 71,200 2,111
Olin 18,200 407
Owens-Illinois* 95,800 3,971
Pactiv* 125,900 3,608
PPG Industries 6,100 461
Praxair 400,000 33,504
Reliance Steel & Aluminum 2,800 158
RPM International 4,500 108
Scotts Miracle-Gro, Cl A 2,200 94
Sealed Air 11,800 302
Sigma-Aldrich 5,500 268
Southern Copper 16,600 2,056
Steel Dynamics 7,100 331
Valspar 9,600 261
Vulcan Materials 27,000 2,407
--------------
90,609
--------------
TELECOMMUNICATION SERVICES -- 2.0%
American Tower, Cl A* 377,368 16,431
Citizens Communications 30,400 435
Crown Castle International (B)* 950,892 38,635
Leap Wireless International* 25,600 2,083
MetroPCS Communications* 5,000 136
NII Holdings* 3,670 302
Sprint Nextel 682,600 12,969
Telephone & Data Systems 31,400 2,096
Windstream 90,800 1,282
--------------
74,369
--------------
UTILITIES -- 0.9%
AES* 243,100 4,872
Allegheny Energy* 41,900 2,190
Centerpoint Energy 50,700 813
Constellation Energy Group 52,000 4,461
Dynegy, Cl A* 14,900 137
Equitable Resources 65,300 3,387
Exelon 47,200 3,557
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Mirant* 69,100 $ 2,811
NRG Energy (B)* 189,500 8,014
PPL 38,400 1,778
Questar 5,400 283
TXU 29,370 2,011
--------------
34,314
--------------
Total Common Stock
(Cost $2,719,179) ($ Thousands) 3,535,735
--------------
CORPORATE OBLIGATION (C)(E) -- 0.2%
FINANCIALS -- 0.2%
SLM EXL, Ser S
5.763%, 10/15/07 $ 6,911 6,911
--------------
Total Corporate Obligation
(Cost $6,911) ($ Thousands) 6,911
--------------
ASSET-BACKED SECURITY (C) (E) (F) -- 0.2%
MORTGAGE RELATED SECURITY -- 0.2%
Duke Funding, Ser 2004-6B, Cl A1S1
5.430%, 10/09/07 4,712 4,712
--------------
Total Asset-Backed Security
(Cost $4,712) ($ Thousands) 4,712
--------------
CASH EQUIVALENTS** -- 14.2%
Merrill Lynch EBP Master,
4.035% 8,806,865 8,807
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.350% ++ 110,829,368 110,829
SEI Liquidity Fund LP,
5.367% ++ (C) 400,018,037 400,018
--------------
Total Cash Equivalents
(Cost $519,654) ($ Thousands) 519,654
--------------
U.S. TREASURY OBLIGATION (A)(D) -- 0.1%
U.S. Treasury Bills
3.669%, 11/23/07 4,020 3,998
--------------
Total U.S. Treasury Obligation
(Cost $3,998) ($ Thousands) 3,998
--------------
Total Investments -- 111.6%
(Cost $3,254,454) ($ Thousands) $ 4,071,010
==============
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 41
SCHEDULE OF INVESTMENTS
Large Cap Growth Fund (Concluded)
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):
- --------------------------------------------------------------------------------
NUMBER OF UNREALIZED
TYPE OF CONTRACTS EXPIRATION APPRECIATION
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
S&P 500 Composite Index 236 Dec-2007 $ 973
======
Percentages are based on Net Assets of $3,648,159 ($ Thousands).
* Non-Income Producing Security.
** Rate shown is the 7-day effective yield as of September 30, 2007.
+++ Narrow industries are utilized for compliance purposes, whereas broad
sectors are utilized for reporting.
+ Real Estate Investment Trust.
++ Investment in Affiliated Security (see Note 3).
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(B) This security or a partial position of this security is on loan at
September 30, 2007 (see Note 7). The total market value of securities on
loan at September 30, 2007 was $400,738 ($ Thousands).
(C) This security was purchased with cash collateral held from securities on
loan (see Note 7). The total market value of such securities as of
September 30, 2007 was $411,641 ($ Thousands).
(D) The rate reported is the effective yield at time of purchase.
(E) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of September 30, 2007.
(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.
ADR -- American Depositary Receipt
Cl -- Class
EXL -- Extendable Maturity
LP -- Limited Partnership
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
42 SEI Institutional Managed Trust / Annual Report / September 30, 2007
Tax-Managed Large Cap Fund
September 30, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS# (UNAUDITED):
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
17.6% Financials
15.2% Information Technology
13.9% Short-Term Investments
10.3% Energy
10.0% Health Care
8.9% Consumer Discretionary
7.9% Consumer Staples
7.3% Industrials
3.8% Telecommunication Services
2.0% Materials
2.9% Utilities
0.1% Asset-Backed Security
0.1% U.S. Treasury Obligations
0.0% Warrants
#Percentages based on total investments. Includes investments held as collateral
for securities on loan (see Note 7).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 96.8%
CONSUMER DISCRETIONARY -- 10.0%
Abercrombie & Fitch, Cl A 4,600 $ 371
Amazon.com (B)* 5,800 540
American Eagle Outfitters 6,300 166
American Greetings, Cl A (B) 2,500 66
Apollo Group, Cl A (B)* 15,025 904
Asbury Automotive Group 14,200 281
Autoliv 63,500 3,794
Autonation* 18,800 333
Autozone* 3,200 372
Barnes & Noble 21,250 749
Bed Bath & Beyond (B)* 5,700 194
Best Buy (B) 30,775 1,416
Big Lots (B)* 30,600 913
Black & Decker (B) 15,550 1,295
Bob Evans Farms 7,700 232
BorgWarner 9,900 906
Brinker International 91,750 2,518
Brunswick 2,700 62
Cablevision Systems, Cl A* 9,900 346
Carmax* 4,080 83
Carnival 1,100 53
Cavco Industries* 130 4
CBRL Group 5,000 204
CBS, Cl B (B) 161,869 5,099
CEC Entertainment* 3,000 81
Centex (B) 31,250 830
Cheesecake Factory* 1,125 26
Citadel Broadcasting 3,965 17
Clear Channel Communications 1,400 52
Clear Channel Outdoor Holdings,
Cl A* 9,900 252
Coach* 41,600 1,966
Comcast, Cl A (B)* 260,861 6,308
Comcast, Special Cl A* 7,050 169
CROCS (B)* 2,500 168
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
DaimlerChrysler 7,500 $ 752
Darden Restaurants 17,600 737
DeVry 1,021 38
Dick's Sporting Goods (B)* 14,600 980
Dillard's, Cl A (B) 23,900 522
DIRECTV Group* 150,465 3,653
Discovery Holding, Cl A* 4,780 138
Dollar Tree Stores* 68,800 2,789
Dow Jones 203 12
DR Horton 5,650 72
DreamWorks Animation SKG, Cl A* 5,600 187
Eastman Kodak (B) 61,100 1,635
EchoStar Communications, Cl A* 40,350 1,889
Ethan Allen Interiors (B) 30,500 997
Expedia* 1,535 49
Foot Locker 5,350 82
Ford Motor (B) 110,000 934
Fortune Brands (B) 97,302 7,929
GameStop, Cl A* 3,622 204
Gannett 34,600 1,512
Gap 12,950 239
Garmin 500 60
Gemstar-TV Guide International* 216 2
General Motors (B) 131,000 4,808
Gentex (B) 57,900 1,241
Genuine Parts 4,950 248
Goodyear Tire & Rubber* 55,150 1,677
Group 1 Automotive 4,800 161
Gymboree* 23,900 842
H&R Block (B) 6,800 144
Harley-Davidson (B) 12,500 578
Harrah's Entertainment 3,403 296
Hasbro (B) 141,000 3,931
Hearst-Argyle Television 700 18
Hilton Hotels 8,250 384
Home Depot (B) 352,700 11,442
IAC/InterActive* 6,192 184
Idearc 19,099 601
International Game Technology 396,200 17,076
International Speedway, Cl A 600 28
Interpublic Group (B)* 3,050 32
ITT Educational Services* 1,200 146
J Crew Group* 3,000 125
J.C. Penney 45,700 2,896
Jack in the Box* 20,100 1,303
Johnson Controls 4,600 543
Jones Apparel Group (B) 26,000 549
KB Home (B) 38,100 955
Kohl's* 12,450 714
Lamar Advertising, Cl A (B) 41,379 2,026
Las Vegas Sands (B)* 1,850 247
Leggett & Platt 64,050 1,227
Lennar, Cl A 2,600 59
Lennar, Cl B 260 6
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 43
SCHEDULE OF INVESTMENTS
Tax-Managed Large Cap Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Liberty Global, Cl A (B)* 17,970 $ 737
Liberty Global, Ser C* 2,201 85
Liberty Media Holding-Capital, Ser A* 2,390 298
Liberty Media Holding-Interactive,
Cl A* 10,650 205
Limited Brands 9,450 216
Live Nation* 568 12
Liz Claiborne 1,700 58
Lowe's (B) 342,524 9,598
Macy's 116,922 3,779
Magna International, Cl A 20,000 1,926
Marriott International, Cl A 11,600 504
Mattel 124,800 2,928
McDonald's 393,662 21,443
McGraw-Hill 208,581 10,619
MDC Holdings 1,150 47
MGM Mirage* 204,000 18,246
Midas* 6,000 113
Mohawk Industries (B)* 1,900 154
Morgans Hotel Group* 8,600 187
Newell Rubbermaid 94,720 2,730
News, Cl A 31,694 697
Nike, Cl B (B) 126,400 7,415
Nordstrom 9,800 460
NVR* 100 47
O'Reilly Automotive* 1,800 60
Office Depot* 18,100 373
OfficeMax 600 21
Omnicom Group 25,700 1,236
PetSmart 2,400 77
Pulte Homes 27,600 376
RadioShack (B) 18,300 378
Regal Entertainment Group, Cl A 3,550 78
Rent-A-Center* 3,600 65
Reuters Group ADR (B)* 120,000 9,511
Ross Stores 5,200 133
Ruby Tuesday 1,300 24
Saks (B) 44,300 760
Sears Holdings (B)* 2,690 342
Shaw Communications, Cl B* 84,600 2,101
Sherwin-Williams 21,600 1,419
Sirius Satellite Radio (B)* 15,600 54
Snap-On 3,900 193
Stanley Works 12,600 707
Staples 679,525 14,603
Starbucks* 168,530 4,415
Starwood Hotels & Resorts Worldwide 13,150 799
Target (B) 85,910 5,461
Tempur-Pedic International (B) 7,100 254
Tiffany 1,300 68
Time Warner (B) 769,319 14,125
TJX 24,000 698
TravelCenters of America LLC* 90 3
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Tribune 41,646 $ 1,138
TRW Automotive Holdings* 2,800 89
Under Armour, Cl A (B)* 12,800 766
Urban Outfitters* 3,950 86
Valassis Communications (B)* 31,800 284
VF 15,900 1,284
Viacom, Cl B* 120,984 4,715
Virgin Media 4,250 103
WABCO Holdings* 1,200 56
Walt Disney 180,100 6,194
Washington Post, Cl B 100 80
Weight Watchers International (B) 240,000 13,814
Wendy's International 18,600 649
Whirlpool (B) 20,000 1,782
Williams-Sonoma (B) 154,990 5,056
Wyndham Worldwide (B) 11,330 371
Wynn Resorts (B) 6,500 1,024
Yum! Brands 67,100 2,270
--------------
291,268
--------------
CONSUMER STAPLES -- 9.0%
Altria Group 241,380 16,783
Anheuser-Busch 42,200 2,110
Archer-Daniels-Midland 40,257 1,332
Avon Products 11,200 420
BJ's Wholesale Club* 9,000 298
Brown-Forman, Cl B 1,200 90
Bunge (B) 9,500 1,021
Campbell Soup 7,500 277
Clorox 3,950 241
Coca-Cola 322,800 18,551
Coca-Cola Enterprises 109,250 2,646
Colgate-Palmolive 58,902 4,201
ConAgra Foods 261,500 6,833
Constellation Brands, Cl A* 3,000 73
Costco Wholesale (B) 150,809 9,255
CVS 399,515 15,833
Dean Foods 18,110 463
Del Monte Foods 121,900 1,280
Energizer Holdings (B)* 6,400 709
General Mills 46,500 2,697
Hershey (B) 3,600 167
HJ Heinz 2,150 99
Hormel Foods 4,000 143
Kellogg 27,900 1,562
Kimberly-Clark 99,200 6,970
Kraft Foods, Cl A 246,350 8,502
Kroger 232,400 6,628
Loews - Carolina 5,300 436
McCormick 2,100 76
Molson Coors Brewing, Cl B 22,200 2,213
Nu Skin Enterprises, Cl A 21,400 346
Pepsi Bottling Group 52,000 1,933
- --------------------------------------------------------------------------------
44 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
PepsiCo 358,377 $ 26,255
Pilgrim's Pride (B) 7,500 260
Procter & Gamble 862,296 60,654
Ralcorp Holdings* 6,700 374
Reynolds American (B) 85,000 5,405
Safeway (B) 145,034 4,802
Sanderson Farms 2,600 108
Sara Lee 60,900 1,016
Smithfield Foods* 2,700 85
Supervalu 80,450 3,138
Sysco 13,450 479
TreeHouse Foods* 282 8
Tyson Foods, Cl A 26,372 471
UST 13,100 650
Wal-Mart Stores 413,698 18,058
Walgreen 414,450 19,579
Whole Foods Market (B) 2,500 122
WM Wrigley Jr. 63,967 4,109
--------------
259,761
--------------
ENERGY -- 11.6%
Anadarko Petroleum 63,500 3,413
Apache 26,571 2,393
Arch Coal 3,800 128
Baker Hughes 296,358 26,782
BJ Services 5,400 143
Cabot Oil & Gas 1,000 35
Cameron International* 3,750 346
Chesapeake Energy (B) 59,100 2,084
Chevron 481,162 45,027
Cimarex Energy 25,685 957
ConocoPhillips 282,888 24,829
Consol Energy (B) 2,800 130
Cross Timbers Royalty Trust 53 2
Devon Energy 84,490 7,030
Dresser-Rand Group* 2,650 113
El Paso 30,300 514
ENSCO International 6,000 337
EOG Resources 2,900 210
Exxon Mobil 1,039,082 96,177
FMC Technologies (B)* 15,000 865
Forest Oil* 1,150 50
Foundation Coal Holdings 2,050 80
Frontier Oil 1,400 58
Frontline (B)* 1,300 63
GlobalSantaFe 2,500 190
Grant Prideco* 9,100 496
Halliburton (B) 298,716 11,471
Helix Energy Solutions Group* 3,950 168
Helmerich & Payne 4,300 141
Hess 44,650 2,971
Holly 30,600 1,831
Hornbeck Offshore Services (B)* 28,300 1,039
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Marathon Oil 256,474 $ 14,624
Mariner Energy* 931 19
Massey Energy 2,200 48
Murphy Oil (B) 7,800 545
National Oilwell Varco* 10,430 1,507
Newfield Exploration* 5,100 246
Noble (B) 18,800 922
Noble Energy 20,950 1,467
Occidental Petroleum 231,930 14,862
Patterson-UTI Energy 14,000 316
Peabody Energy (B) 4,400 211
Petro-Canada 27,000 1,550
Pioneer Natural Resources 9,900 445
Pogo Producing 3,450 183
Pride International* 1,050 38
Rowan 5,600 205
Schlumberger (B) 265,466 27,874
Smith International (B) 7,200 514
Spectra Energy 10,922 267
Suncor Energy 165,284 15,671
Sunoco 62,900 4,452
Superior Energy Services* 1,200 43
Teekay Shipping (B) 900 53
Tesoro 1,100 51
Tidewater 950 60
Transocean (B)* 4,700 531
Unit* 10,750 520
Valero Energy 85,494 5,744
Weatherford International (B)* 152,180 10,223
Williams 10,500 358
XTO Energy 23,776 1,470
--------------
335,092
--------------
FINANCIALS -- 19.6%
ACE 24,500 1,484
Affiliated Managers Group (B)* 1,350 172
Aflac 9,650 550
Alleghany* 100 41
Allied World Assurance Holdings 1,000 52
Allstate 216,800 12,399
AMB Property+ 1,700 102
AMBAC Financial Group (B) 5,200 327
American Express 270,409 16,054
American Financial Group 40,400 1,152
American International Group 378,051 25,575
American National Insurance 300 39
AmeriCredit (B)* 2,850 50
Ameriprise Financial 10,100 637
Ameris Bancorp 1,200 22
Annaly Capital Management+ 9,300 148
AON (B) 79,550 3,565
Arch Capital Group* 9,800 729
Archstone-Smith Trust+ 4,550 274
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 45
SCHEDULE OF INVESTMENTS
Tax-Managed Large Cap Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Arthur J. Gallagher 950 $ 28
Ashford Hospitality Trust+ 35,800 360
Assurant 43,100 2,306
Astoria Financial 41,100 1,090
AvalonBay Communities+ 600 71
Axis Capital Holdings 95,750 3,726
Banco Bilbao Viscaya Argentaria ADR 2,254 52
Bank of America 983,025 49,417
Bank of Hawaii 50 3
Bank of New York Mellon 32,784 1,447
BB&T 120,700 4,875
Bear Stearns (B) 20,000 2,456
Boston Properties+ 1,600 166
Brandywine Realty Trust+ 9,300 235
Brookfield Asset Management, Cl A* 48,100 1,852
Camden Property Trust+ 800 51
Capital One Financial (B) 17,901 1,189
CapitalSource+ (B) 3,700 75
CB Richard Ellis Group, Cl A* 3,300 92
CBL & Associates Properties+ 1,700 60
Central Pacific Financial 2,800 82
Charles Schwab 484,993 10,476
Chubb 133,800 7,177
Cincinnati Financial 40,752 1,765
CIT Group 93,600 3,763
Citigroup 1,019,162 47,564
CME Group 39,710 23,324
Colonial Properties Trust+ 2,100 72
Comerica 107,900 5,533
Commerce Bancorp 800 31
Countrywide Financial (B) 138,498 2,633
Credicorp 1,500 102
Discover Financial Services* 247,565 5,149
Duke Realty+ 5,550 188
E*Trade Financial* 2,500 33
Equity Residential+ (B) 8,950 379
Erie Indemnity, Cl A 3,500 214
Everest Re Group 49,400 5,446
Fannie Mae 97,890 5,953
Federal Realty Investment Trust+ 300 27
Fidelity National Financial, Cl A 35,734 625
Fifth Third Bancorp 5,600 190
First Horizon National (B) 25,400 677
First Marblehead (B) 1,275 48
FirstMerit 2,600 51
Forest City Enterprises, Cl A 1,350 74
Franklin Resources 25,200 3,213
Freddie Mac 278,797 16,452
General Growth Properties+ 3,800 204
Genworth Financial, Cl A 45,700 1,404
Goldman Sachs Group 56,400 12,224
Greater Bay Bancorp 1,850 51
Hanover Insurance Group 37,900 1,675
Hartford Financial Services Group 73,600 6,812
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
HCC Insurance Holdings 3,000 $ 86
HCP+ (B) 2,200 73
Health Care+ (B) 650 29
Highwoods Properties+ 1,500 55
Hospitality Properties Trust+ (B) 53,400 2,171
Host Hotels & Resorts+ (B) 16,732 375
HRPT Properties Trust+ 7,250 72
Hudson City Bancorp 33,000 508
Huntington Bancshares 101,750 1,728
IndyMac Bancorp (B) 21,800 515
IntercontinentalExchange (B)* 143,900 21,858
Investment Technology Group* 2,400 103
iStar Financial+ 4,600 156
Janus Capital Group (B) 71,900 2,033
Jones Lang LaSalle 14,700 1,511
JPMorgan Chase 764,620 35,035
Keycorp (B) 226,600 7,326
Kimco Realty+ 1,600 72
Lazard, Cl A 1,200 51
Legg Mason (B) 56,060 4,725
Lehman Brothers Holdings (B) 79,338 4,898
Liberty Property Trust+ 1,650 66
Lincoln National 69,836 4,607
Loews 71,600 3,462
M&T Bank 1,750 181
Macerich+ 1,350 118
Mack-Cali Realty+ 2,400 99
Manulife Financial 9,245 381
Markel* 100 48
Marsh & McLennan 4,453 114
Marshall & Ilsley 4,600 201
MBIA (B) 65,600 4,005
Merrill Lynch (B) 265,700 18,939
Metlife (B) 61,500 4,288
MGIC Investment (B) 26,500 856
Montpelier Re Holdings 21,900 388
Moody's (B) 25,300 1,275
Morgan Stanley 352,950 22,236
NASDAQ Stock Market* 1,200 45
National City 222,700 5,588
Nationwide Financial Services, Cl A 37,850 2,037
New York Community Bancorp (B) 2,237 43
Northern Trust 3,400 225
NorthStar Realty Finance+ (B) 63,000 626
Nuveen Investments, Cl A 1,200 74
Nymex Holdings (B) 1,300 169
NYSE Euronext 1,000 79
Old Republic International 76,506 1,434
People's United Financial 4,725 82
Philadelphia Consolidated Holding* 1,500 62
Phoenix 15,400 217
Piper Jaffray* 366 20
Plum Creek Timber+ (B) 4,700 210
PMI Group 75,400 2,466
- --------------------------------------------------------------------------------
46 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
PNC Financial Services Group 36,507 $ 2,486
Popular (B) 33,400 410
Principal Financial Group 86,800 5,476
Progressive (B) 15,600 303
Prologis+ 13,854 919
Protective Life 2,000 85
Prudential Financial 57,900 5,650
Public Storage+ 2,050 161
Raymond James Financial 2,025 67
Rayonier+ 1,600 77
Realty Income+ (B) 1,050 29
Regency Centers+ 850 65
Regions Financial 196,322 5,788
Reinsurance Group of America 55,700 3,158
RenaissanceRe Holdings 900 59
Safeco (B) 84,500 5,173
SeaBright Insurance Holdings* 2,500 43
Security Capital Assurance 20,400 466
Simon Property Group+ (B) 9,925 992
SL Green Realty+ (B) 750 88
SLM 10,950 544
Sovereign Bancorp 8,190 140
St. Joe (B) 1,750 59
State Street 2,255 154
SunTrust Banks (B) 99,050 7,495
SVB Financial Group (B)* 1,550 73
Synovus Financial 900 25
T. Rowe Price Group 5,000 278
Taubman Centers+ 2,350 129
TCF Financial 2,200 58
TD Ameritrade Holding* 42,050 766
Torchmark 2,450 153
Toronto-Dominion Bank 541 41
Transatlantic Holdings 1,100 77
Travelers 264,531 13,316
UnionBanCal 25,050 1,463
Unitrin 550 27
UnumProvident (B) 47,750 1,168
US Bancorp 463,061 15,063
Ventas+ 3,450 143
Vornado Realty Trust+ 1,700 186
Wachovia (B) 349,034 17,504
Waddell & Reed Financial, Cl A 3,900 105
Washington Mutual (B) 322,637 11,392
Weingarten Realty Investors+ 700 29
Wells Fargo 273,400 9,738
Whitney Holding 1,200 32
WR Berkley 1,700 50
XL Capital, Cl A 18,600 1,473
Zenith National Insurance 3,700 166
Zions Bancorporation 800 55
--------------
567,952
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
HEALTH CARE -- 11.3%
Abbott Laboratories 190,500 $ 10,215
Advanced Medical Optics (B)* 1,222 37
Aetna 48,600 2,638
Alcon (B) 3,800 547
Allergan 438,708 28,284
AmerisourceBergen 63,502 2,879
Amgen* 73,742 4,172
AMN Healthcare Services* 3,600 67
Amylin Pharmaceuticals (B)* 82,870 4,144
Applera -- Applied Biosystems
Group 11,150 386
Barr Pharmaceuticals* 1,650 94
Bausch & Lomb 750 48
Baxter International 123,800 6,967
Beckman Coulter 600 44
Becton Dickinson 32,550 2,671
Biogen Idec* 5,220 346
Boston Scientific* 20,717 289
Bristol-Myers Squibb 28,700 827
C.R. Bard 3,800 335
Cantel Medical* 2,000 31
Cardinal Health 28,930 1,809
Celgene (B)* 130,720 9,322
Cephalon* 400 29
Charles River Laboratories
International* 32,700 1,836
Chemed 900 56
Cigna 99,600 5,308
Community Health Systems* 1,700 53
Cooper 1,600 84
Covance* 350 27
Coventry Health Care* 2,224 138
Covidien* 8,050 334
Cubist Pharmaceuticals* 7,500 159
Cytyc* 3,000 143
Dade Behring Holdings 1,300 99
DaVita* 2,325 147
Dentsply International 900 38
Dionex* 4,900 389
Eli Lilly 22,841 1,300
Express Scripts* 38,300 2,138
Forest Laboratories* 35,400 1,320
Gen-Probe* 800 53
Genentech (B)* 348,540 27,193
Genzyme* 5,250 325
Gilead Sciences* 205,960 8,418
Health Net* 1,600 87
HLTH (B)* 10,300 146
Hologic (B)* 7,300 445
Hospira* 4,060 168
Humana* 8,600 601
ICU Medical* 1,600 62
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 47
SCHEDULE OF INVESTMENTS
Tax-Managed Large Cap Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
ImClone Systems* 650 $ 27
IMS Health 3,944 121
Intuitive Surgical* 750 173
Invitrogen* 14,550 1,189
Johnson & Johnson 386,130 25,369
King Pharmaceuticals* 133,500 1,565
Laboratory of America Holdings* 14,000 1,095
Lincare Holdings* 1,750 64
Manor Care 1,850 119
McKesson 45,226 2,659
Medco Health Solutions* 18,996 1,717
Medicis Pharmaceutical, Cl A (B) 1,000 31
Medtronic 31,400 1,771
Mentor (B) 18,500 852
Merck 599,425 30,984
Millennium Pharmaceuticals (B)* 3,950 40
Millipore* 700 53
Mylan Laboratories 9,900 158
Omnicare (B) 1,044 35
OSI Pharmaceuticals (B)* 14,400 489
Patterson* 2,100 81
PDL BioPharma* 2,150 46
PerkinElmer 11,950 349
Pfizer 1,463,733 35,759
Pharmaceutical Product Development 4,300 152
PharMerica (B)* 1,320 20
Possis Medical* 2,100 28
Quest Diagnostics 2,400 139
Quidel* 17,000 333
Resmed* 1,200 51
Schering-Plough 218,231 6,903
Sepracor* 1,900 52
St. Jude Medical* 279,650 12,324
STERIS 5,400 148
Stryker (B)* 134,537 9,251
Tenet Healthcare (B)* 86,900 292
Thermo Fisher Scientific* 163,486 9,436
UnitedHealth Group 520,092 25,188
Universal Health Services, Cl B 800 44
Valeant Pharmaceuticals International 6,000 93
Varian Medical Systems* 2,300 96
Waters* 11,500 770
Watson Pharmaceuticals* 1,550 50
WellCare Health Plans* 600 63
WellPoint* 67,448 5,323
Wyeth 194,072 8,646
Zimmer Holdings* 199,300 16,141
--------------
327,537
--------------
INDUSTRIALS -- 8.3%
3M 52,600 4,922
ACCO Brands* 482 11
Acuity Brands 5,000 252
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Administaff 9,600 $ 348
AGCO (B)* 2,600 132
Alliant Techsystems (B)* 1,300 142
Allied Waste Industries (B)* 6,854 87
American Standard 3,600 128
AMR* 5,750 128
Avery Dennison 1,200 68
Avis Budget Group* 5,200 119
Boeing 70,903 7,444
Brink's 650 36
Burlington Northern Santa Fe 12,900 1,047
C.H. Robinson Worldwide 3,200 174
Caterpillar 78,800 6,180
ChoicePoint (B)* 34,500 1,308
Cintas 700 26
Continental Airlines, Cl B (B)* 2,450 81
Cooper Industries, Cl A 1,400 72
Covanta Holding* 1,150 28
Crane 850 41
CSX 42,800 1,829
Cummins 36,800 4,706
Danaher (B) 5,400 447
Deere 32,850 4,876
Dover 7,050 359
DRS Technologies 1,050 58
Dun & Bradstreet 18,400 1,814
Eaton 58,200 5,764
Emerson Electric 233,700 12,437
EnPro Industries* 2,700 110
Equifax 10,774 411
Expeditors International Washington 325,400 15,391
Fastenal 2,800 127
FedEx 13,400 1,404
First Solar* 600 71
Flowserve 6,000 457
Fluor 20,650 2,973
Foster Wheeler* 1,400 184
Gardner Denver* 21,200 827
GATX 1,600 68
General Cable* 900 60
General Dynamics 6,200 524
General Electric 1,378,122 57,054
Goodrich 3,950 269
Granite Construction 2,800 148
Harsco 4,600 273
Herman Miller 950 26
Hertz Global Holdings* 3,600 82
Honeywell International 88,700 5,275
Hubbell, Cl B 7,250 414
Hudson Highland Group* 750 10
Huron Consulting Group* 6,200 450
IKON Office Solutions 5,300 68
Illinois Tool Works 14,200 847
Ingersoll-Rand, Cl A 114,900 6,259
- --------------------------------------------------------------------------------
48 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
ITT 7,200 $ 489
Jacobs Engineering Group* 2,080 157
JB Hunt Transport Services 1,800 47
Joy Global (B) 1,800 92
Kansas City Southern (B)* 2,600 84
KBR* 3,300 128
Kirby* 2,100 93
L-3 Communications Holdings 25,000 2,553
Labor Ready* 21,000 389
Lockheed Martin 56,000 6,075
Manitowoc 1,300 58
Manpower 2,200 142
Masco (B) 153,150 3,548
McDermott International* 4,800 260
Monster Worldwide* 5,000 170
MSC Industrial Direct, Cl A 15,800 799
Norfolk Southern 98,300 5,103
Northrop Grumman 143,334 11,180
Paccar 10,112 862
Pacer International 4,900 93
Pall 4,750 185
Parker Hannifin (B) 67,500 7,549
Pentair 2,400 80
PHH* 957 25
Pitney Bowes 4,450 202
Precision Castparts 1,200 178
Quanta Services (B)* 8,100 214
Raytheon 25,800 1,647
Republic Services 9,600 314
Robert Half International 14,200 424
Rockwell Automation 24,400 1,696
Rockwell Collins 7,900 577
RR Donnelley & Sons 63,500 2,322
Ryder System 19,800 970
Shaw Group* 1,550 90
Skywest 4,400 111
Southwest Airlines 18,950 280
SPX 13,850 1,282
Steelcase, Cl A 4,450 80
Stericycle* 22,000 1,258
Terex* 2,250 200
Textron 18,200 1,132
Thomas & Betts* 10,900 639
Timken 27,500 1,022
Trinity Industries (B) 8,700 327
UAL (B)* 900 42
Union Pacific 8,100 916
United Parcel Service, Cl B 248,400 18,655
United Rentals* 7,750 249
United Technologies 173,112 13,932
URS* 900 51
US Airways Group (B)* 1,800 47
USG (B)* 1,400 53
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
UTI Worldwide 2,400 $ 55
Viad 850 31
Waste Management 21,200 800
WW Grainger (B) 4,800 438
--------------
239,241
--------------
INFORMATION TECHNOLOGY -- 17.1%
3Com* 6,400 32
Accenture, Cl A 4,100 165
Activision* 1,800 39
Acxiom 1,200 24
ADC Telecommunications* 3,200 63
Adobe Systems (B)* 45,712 1,996
Advanced Micro Devices (B)* 7,950 105
Advent Software (B)* 1,400 66
Affiliated Computer Services, Cl A* 2,100 105
Agilent Technologies* 48,600 1,792
Akamai Technologies (B)* 6,400 184
Altera (B) 6,400 154
Amkor Technology* 16,800 194
Amphenol, Cl A 2,200 87
Analog Devices (B) 11,050 400
Andrew* 9,250 128
Apple* 139,350 21,396
Applied Materials (B) 102,008 2,112
Arrow Electronics* 44,500 1,892
Atmel* 4,600 24
Autodesk* 4,100 205
Automatic Data Processing 31,200 1,433
Avaya* 7,550 128
Avnet* 39,000 1,555
AVX 9,900 159
BEA Systems* 9,850 137
BMC Software* 14,400 450
Broadcom, Cl A* 6,450 235
Broadridge Financial Solutions 3,275 62
CA (B) 23,568 606
Cadence Design Systems (B)* 57,200 1,269
CDW 1,795 156
Ceridian* 1,482 51
Check Point Software Technologies* 75,900 1,911
Checkfree (B)* 1,600 74
Ciena* 1,500 57
Cisco Systems* 872,133 28,876
Citrix Systems* 31,300 1,262
Cognizant Technology Solutions,
Cl A* 11,456 914
Computer Sciences* 40,200 2,247
Compuware (B)* 44,362 356
Corning 25,700 633
CSG Systems International (B)* 8,100 172
Cypress Semiconductor* 6,250 183
Dell* 31,600 872
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 49
SCHEDULE OF INVESTMENTS
Tax-Managed Large Cap Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Diebold 2,900 $ 132
Dolby Laboratories, Cl A* 4,600 160
DST Systems* 850 73
eBay (B)* 531,534 20,740
Electronic Arts* 247,762 13,872
Electronic Data Systems 56,700 1,238
EMC* 175,900 3,659
Exar* 35,800 468
F5 Networks* 2,100 78
Fair Isaac 23,725 857
Fairchild Semiconductor
International* 1,700 32
Fidelity National Information Services 5,129 228
Fiserv* 25,950 1,320
Global Payments 4,000 177
Google, Cl A* 97,015 55,034
Harris 6,000 347
Hewlett-Packard 414,838 20,655
Ingram Micro, Cl A* 86,400 1,694
Integrated Device Technology* 9,200 142
Intel 495,036 12,802
International Business Machines (B) 96,936 11,419
International Rectifier* 950 31
Intersil, Cl A 33,650 1,125
Intuit* 614,700 18,625
Iron Mountain* 4,725 144
Jabil Circuit 2,650 61
Juniper Networks (B)* 98,450 3,604
Kemet (B)* 6,000 44
Kla-Tencor (B) 16,200 904
Lam Research (B)* 26,300 1,401
Lexmark International, Cl A* 33,600 1,395
Linear Technology (B) 191,711 6,708
LSI Logic (B)* 6,906 51
Mastercard, Cl A 1,200 178
McAfee* 4,400 153
MEMC Electronic Materials* 1,700 100
Mettler Toledo International* 3,500 357
Microchip Technology 3,650 133
Micron Technology (B)* 5,800 64
Microsoft 794,488 23,406
MKS Instruments* 1,750 33
Molex 700 19
MoneyGram International 1,700 38
Motorola 193,750 3,590
National Semiconductor 24,800 673
NAVTEQ* 2,150 168
Network Appliance* 38,300 1,031
Novell* 3,500 27
Novellus Systems* 5,300 144
Nvidia* 66,150 2,397
Oracle* 157,785 3,416
Paychex (B) 543,980 22,303
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Perot Systems, Cl A* 6,700 $ 113
PMC - Sierra (B)* 35,650 299
Polycom* 11,200 301
QLogic* 4,300 58
Qualcomm 1,111,562 46,975
Red Hat* 3,800 75
Research In Motion* 495,810 48,862
Salesforce.com* 1,500 77
SanDisk (B)* 238,150 13,122
Sanmina-SCI* 147,400 312
Seagate Technology (B) 892,000 22,817
Semtech* 5,750 118
Sigma Designs (B)* 19,100 921
Silicon Laboratories* 800 33
Solectron (B)* 216,300 844
SPSS* 4,300 177
Sun Microsystems* 106,000 595
Sybase* 1,200 28
SYKES Enterprises (B)* 6,800 113
Symantec (B)* 205,327 3,979
Synopsys* 2,789 76
Tech Data* 15,593 626
Tektronix 55,600 1,542
Tellabs* 8,050 77
Teradyne* 9,400 130
Texas Instruments 44,100 1,614
Unisys* 6,200 41
Varian Semiconductor Equipment
Associates* 7,950 425
Verigy* 863 21
VeriSign* 7,450 251
Vishay Intertechnology (B)* 81,300 1,059
Western Digital* 35,400 896
Western Union 1,080,981 22,668
Xerox* 210,400 3,648
Xilinx 11,000 288
Yahoo! (B)* 348,163 9,345
Zebra Technologies, Cl A* 450 16
Zoran* 28,300 572
-------------
495,525
-------------
MATERIALS -- 3.3%
Air Products & Chemicals 9,900 968
AK Steel Holding* 2,000 88
Alcan 8,000 801
Alcoa 180,100 7,046
Allegheny Technologies 2,855 314
Ashland 17,700 1,066
Ball 4,400 236
Carpenter Technology 450 58
Chemtura 4,350 39
Crown Holdings* 3,000 68
Dow Chemical 211,900 9,124
- --------------------------------------------------------------------------------
50 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
E.I. Du Pont de Nemours (B) 110,200 $ 5,462
Eagle Materials 1,506 54
Eastman Chemical 24,400 1,628
Ecolab 11,200 529
Florida Rock Industries (B) 900 56
Freeport-McMoRan Copper & Gold,
Cl B (B) 15,410 1,616
Hercules 3,250 68
Huntsman 1,600 42
International Flavors & Fragrances 3,100 164
International Paper 164,000 5,883
Lubrizol 52,500 3,416
Lyondell Chemical 2,900 134
Martin Marietta Materials (B) 550 73
MeadWestvaco 2,450 72
Methanex 58,300 1,481
Monsanto 12,438 1,066
Mosaic* 1,300 70
Newmont Mining 10,000 447
Nova Chemicals 19,700 760
Nucor 107,100 6,369
Olin 25,000 559
OM Group* 12,600 665
Owens-Illinois* 2,750 114
Pactiv* 20,700 593
PPG Industries 71,400 5,394
Praxair 235,800 19,751
Quanex (B) 30,750 1,445
Reliance Steel & Aluminum 1,200 68
Rock-Tenn, Cl A 3,000 87
Rohm & Haas (B) 35,800 1,993
RPM International 3,000 72
Sealed Air (B) 21,000 537
Sigma-Aldrich 2,700 132
Smurfit-Stone Container* 49,800 582
Sonoco Products 20,200 610
Southern Copper (B) 23,900 2,960
Steel Dynamics (B) 58,900 2,751
Temple-Inland 1,100 58
Terra Industries* 5,700 178
Titanium Metals (B)* 1,450 49
Tronox, Cl B 655 6
United States Steel 34,200 3,623
Valspar 40,800 1,110
Weyerhaeuser 35,107 2,538
--------------
95,073
--------------
TELECOMMUNICATION SERVICES -- 4.3%
Alltel 16,050 1,118
American Tower, Cl A* 175,604 7,646
AT&T (B) 1,024,161 43,332
Atlantic Tele-Network 7,700 280
CenturyTel 97,400 4,502
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Citizens Communications (B) 13,450 $ 193
Crown Castle International (B)* 498,112 20,238
Embarq 20,576 1,144
Level 3 Communications (B)* 14,400 67
NII Holdings* 1,600 131
Qwest Communications
International (B)* 52,061 477
SBA Communications, Cl A* 2,550 90
Sprint Nextel 834,932 15,864
Telephone & Data Systems 2,600 174
Telephone & Data Systems,
Special Shares 2,600 161
US Cellular* 6,500 638
Verizon Communications 614,905 27,228
Vodafone Group ADR (B) 22,600 820
Windstream 59,623 842
--------------
124,945
--------------
UTILITIES -- 2.3%
AES* 94,550 1,895
Allegheny Energy* 11,900 622
Alliant Energy 51,100 1,958
Ameren (B) 60,000 3,150
American Electric Power 131,700 6,069
Aqua America (B) 1,333 30
Centerpoint Energy (B) 38,600 619
Consolidated Edison (B) 18,000 833
Constellation Energy Group 17,300 1,484
Dominion Resources 5,900 497
DTE Energy (B) 96,120 4,656
Duke Energy 21,844 408
Dynegy, Cl A* 6,800 63
Edison International 40,300 2,235
Energen 33,300 1,902
Energy East 1,250 34
Entergy 45,250 4,900
Equitable Resources 900 47
Exelon 28,600 2,155
FirstEnergy 104,700 6,632
FPL Group 6,900 420
Great Plains Energy 3,550 102
Idacorp 1,450 48
Nicor 2,350 101
NiSource 3,250 62
NRG Energy (B)* 45,800 1,937
OGE Energy 6,100 202
Pepco Holdings 111,000 3,006
PG&E 91,950 4,395
Pinnacle West Capital (B) 25,600 1,011
PPL 9,800 454
Progress Energy 18,750 878
Public Service Enterprise Group 48,900 4,303
Questar 8,400 441
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 51
SCHEDULE OF INVESTMENTS
Tax-Managed Large Cap Fund (Concluded)
September 30, 2007
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Reliant Energy* 64,262 $ 1,645
Sempra Energy 7,450 433
Southern (B) 13,800 501
TECO Energy 92,100 1,513
TXU 20,000 1,369
UGI 9,400 244
Wisconsin Energy 18,200 820
Xcel Energy 118,800 2,559
--------------
66,633
--------------
Total Common Stock
(Cost $2,065,693) ($ Thousands) 2,803,027
--------------
Number of
Warrants
-------------
WARRANTS -- 0.0%
Lucent Technologies,
Expires 12/10/07* 10,000 --
--------------
Total Warrants
(Cost $--) ($ Thousands) --
--------------
CORPORATE OBLIGATION (C) (E) -- 0.2%
FINANCIALS -- 0.2%
SLM EXL, Ser S
5.763%, 10/15/07 $ 6,280 6,280
--------------
Total Corporate Obligation
(Cost $6,280) ($ Thousands) 6,280
--------------
ASSET-BACKED SECURITY (C) (E) (F) -- 0.2%
MORTGAGE RELATED SECURITY -- 0.2%
Duke Funding, Ser 2004-6B, Cl A1S1
5.430%, 10/09/07 4,282 4,282
--------------
Total Asset-Backed Security
(Cost $4,282) ($ Thousands) 4,282
--------------
CASH EQUIVALENTS** -- 15.7%
Merrill Lynch EBP Master,
4.035% 4,160,417 4,160
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.350% ++ 88,553,335 88,553
SEI Liquidity Fund LP,
5.367% ++ (C) 363,520,279 363,520
--------------
Total Cash Equivalents
(Cost $456,233) ($ Thousands) 456,233
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS (A) (D) -- 0.1%
U.S. Treasury Bills
3.965%, 11/23/07 $ 3,140 $ 3,124
3.439%, 12/20/07 100 99
--------------
Total U.S. Treasury Obligations
(Cost $3,221) ($ Thousands) 3,223
--------------
Total Investments -- 113.0%
(Cost $2,535,709) ($ Thousands) $ 3,273,045
==============
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 APPRECIATION
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
S&P 500 Composite Index 172 Dec-2007 $ 2,331
S&P 400 Index E-MINI 108 Dec-2007 283
----------
$ 2,614
==========
Percentages are based on Net Assets of $2,897,577 ($ Thousands).
* Non-Income Producing Security.
** Rate shown is the 7-day effective yield as of September 30, 2007.
+ Real Estate Investment Trust.
++ Investment in Affiliated Security (see Note 3).
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(B) This security or a partial position of this security is on loan at
September 30, 2007 (see Note 7). The total market value of securities on
loan at September 30, 2007 was $363,051 ($ Thousands).
(C) This security was purchased with cash collateral held from securities on
loan (see Note 7). The total market value of such securities as of
September 30, 2007 was $374,082 ($ Thousands).
(D) The rate reported is the effective yield at time of purchase.
(E) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of September 30, 2007.
(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.
ADR -- American Depositary Receipt
Cl -- Class
EXL -- Extendable Maturity
LLC -- Limited Liability Company
LP -- Limited Partnership
Ser -- Series
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
52 SEI Institutional Managed Trust / Annual Report / September 30, 2007
Large Cap Diversified Alpha Fund
September 30, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS# (UNAUDITED):
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
13.9% Information Technology
12.9% Financials
10.7% Consumer Discretionary
9.9% Health Care
9.5% Short-Term Investment
8.8% Industrials
7.8% Asset-Backed Securities
7.3% Energy
6.0% Consumer Staples
4.4% U.S. Government Agency Mortgage-Backed Obligations
3.1% Materials
2.8% Telecommunication Services
2.5% Utilities
0.4% U.S. Treasury Obligations
0.0% Purchased Options
#Percentages based on total investments
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 92.7%
CONSUMER DISCRETIONARY -- 12.8%
Abercrombie & Fitch, Cl A (D) 22,400 $ 1,808
Aeropostale (D)* 5,150 98
Amazon.com* 15,000 1,397
American Eagle Outfitters (D) 73,700 1,939
AnnTaylor Stores (D)* 49,197 1,558
Asbury Automotive Group 20,100 398
Autozone* 6,283 730
Barnes & Noble (D) 30,000 1,058
Best Buy (D) 128,595 5,918
Big Lots (D)* 98,951 2,953
BorgWarner 700 64
Brinker International (D) 110,094 3,021
Cablevision Systems, Cl A (D)* 103,488 3,616
Career Education* 13,000 364
Carmax* 11,800 240
Carnival 1,800 87
CBS, Cl B (D) 39,883 1,256
Central European Media
Entertainment, Cl A* 2,700 248
Cheesecake Factory (D)* 52,300 1,227
Chico's FAS (D)* 46,500 653
Choice Hotels International 9,156 345
Clear Channel Communications 17,403 652
Coach (D)* 79,595 3,762
Comcast, Cl A (D)* 121,466 2,937
CROCS* 10,600 713
Darden Restaurants (D) 36,318 1,520
Dick's Sporting Goods* 1,800 121
DIRECTV Group (D)* 368,213 8,940
Discovery Holding, Cl A* 32,700 943
Dollar Tree Stores (D)* 54,300 2,201
Dow Jones 3,800 227
DreamWorks Animation SKG, Cl A* 1,900 64
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Eastman Kodak (D) 34,263 $ 917
EchoStar Communications, Cl A (D)* 183,722 8,600
Expedia* 29,100 928
Family Dollar Stores 10,300 274
Ford Motor (D) 478,882 4,066
GameStop, Cl A* 10,200 575
Gannett 7,931 347
Garmin 9,100 1,087
General Motors (D) 78,592 2,884
Gentex (D) 87,100 1,867
Genuine Parts 6,263 313
Goodyear Tire & Rubber (D)* 60,611 1,843
Group 1 Automotive 3,000 101
Guess? 8,200 402
Gymboree (D)* 34,400 1,212
Hanesbrands (D)* 130,853 3,672
Harley-Davidson 21,533 995
Harman International Industries 4,400 381
Harrah's Entertainment 8,027 698
Hasbro (D) 75,900 2,116
Hilton Hotels 3,495 163
Home Depot 46,100 1,496
IAC/InterActive* 43,209 1,282
Idearc 73,655 2,318
International Game Technology 200,421 8,638
Interpublic Group (D)* 217,786 2,261
ITT Educational Services* 13,300 1,618
J Crew Group* 16,300 676
J.C. Penney (D) 24,283 1,539
Jack in the Box (D)* 12,700 823
Jarden* 6,000 186
John Wiley & Sons, Cl A 2,700 121
Johnson Controls (D) 24,693 2,917
Jos. A. Bank Clothiers* 14,100 471
Kohl's* 48,970 2,807
Lamar Advertising, Cl A (D) 33,235 1,628
Liberty Global, Cl A (D)* 86,004 3,528
Liberty Media Holding-Capital, Ser A* 13,000 1,623
Liberty Media Holding-Interactive,
Cl A* 13,400 257
Macy's 3,424 111
Magna International, Cl A 16,900 1,628
Marriott International, Cl A 59,154 2,571
Mattel 60,700 1,424
McDonald's (D) 70,042 3,815
McGraw-Hill (D) 40,748 2,074
Meredith 4,900 281
MGM Mirage* 102,900 9,203
Mohawk Industries* 1,200 98
Morgans Hotel Group* 17,400 378
Newell Rubbermaid 13,602 392
News, Cl A 66,977 1,473
Nike, Cl B 10,624 623
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 53
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Nordstrom 6,600 $ 309
Nutri/System* 25,400 1,191
NVR* 3,100 1,458
Office Depot (D)* 16,757 346
OfficeMax 5,400 185
Omnicom Group 10,548 507
Orient-Express Hotels, Cl A 2,600 133
Papa John's International* 4,700 115
Penn National Gaming* 4,400 260
Penske Auto Group (D) 72,473 1,467
PetSmart 1,300 41
Phillips-Van Heusen 23,200 1,218
Polo Ralph Lauren 9,800 762
R.H. Donnelley (D)* 12,000 672
RadioShack 24,200 500
Regal Entertainment Group, Cl A 3,300 72
Rent-A-Center* 4,900 89
Reuters Group ADR* 61,000 4,835
Ross Stores 7,000 179
Royal Caribbean Cruises 2,300 90
Saks 21,900 376
Sears Holdings* 809 103
Service International 42,900 553
Shaw Communications, Cl B (D)* 87,200 2,166
Sherwin-Williams (D) 34,780 2,285
Snap-On 13,151 652
Staples 320,000 6,877
Station Casinos 6,500 569
Steven Madden 15,100 286
Target 6,145 391
Tiffany 8,600 450
Tim Hortons 7,087 247
Time Warner (D) 331,467 6,086
Time Warner Cable, Cl A* 2,800 92
TravelCenters of America LLC* 1 --
Tribune 800 22
TRW Automotive Holdings (D)* 64,246 2,035
Tween Brands* 11,000 361
Urban Outfitters* 13,600 296
VF 19,444 1,570
Viacom, Cl B (D)* 42,400 1,652
WABCO Holdings* 1,400 65
Walt Disney (D) 252,179 8,672
Warnaco Group* 6,600 258
Warner Music Group 10,940 111
Washington Post, Cl B 180 145
Weight Watchers International 121,300 6,982
Whirlpool (D) 27,580 2,457
Williams-Sonoma 40,100 1,308
Wyndham Worldwide (D) 63,077 2,066
Wynn Resorts 12,200 1,922
Yum! Brands (D) 116,510 3,942
--------------
212,185
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CONSUMER STAPLES -- 7.1%
Alberto-Culver 12,800 $ 317
Altria Group (D) 120,503 8,379
Anheuser-Busch (D) 49,324 2,466
Archer-Daniels-Midland (D) 105,136 3,478
Avon Products 16,300 612
BJ's Wholesale Club* 14,580 484
Bunge 2,900 312
Campbell Soup 3,771 140
Church & Dwight 10,400 489
Coca-Cola (D) 57,605 3,311
Colgate-Palmolive 21,912 1,563
ConAgra Foods 19,000 497
Corn Products International 14,900 683
CVS 6,888 273
Dean Foods 46,721 1,195
Energizer Holdings* 7,700 854
Estee Lauder, Cl A 8,100 344
General Mills (D) 57,400 3,330
Hansen Natural (D)* 26,700 1,513
Herbalife 57,000 2,591
HJ Heinz 12,874 595
Hormel Foods 10,800 386
JM Smucker 9,200 491
Kellogg 10,175 570
Kimberly-Clark (D) 41,135 2,890
Kraft Foods, Cl A 6,739 233
Kroger (D) 292,394 8,339
Loews - Carolina 13,250 1,090
McCormick 2,653 95
Molson Coors Brewing, Cl B 14,900 1,485
NBTY (D)* 56,500 2,294
Pepsi Bottling Group (D) 58,871 2,188
PepsiCo (D) 95,747 7,014
Procter & Gamble (D) 222,049 15,619
Reynolds American (D) 33,634 2,139
Rite Aid* 228,877 1,057
Safeway (D) 118,706 3,930
Smithfield Foods* 53,717 1,692
Supervalu (D) 68,963 2,690
Sysco 28,448 1,012
Tyson Foods, Cl A (D) 271,172 4,840
UST 13,900 689
Wal-Mart Stores (D) 280,919 12,262
Walgreen 230,800 10,903
WM Wrigley Jr. 10,400 668
--------------
118,002
--------------
ENERGY -- 8.7%
Anadarko Petroleum 11,000 591
Apache 522 47
Baker Hughes 530 48
Cabot Oil & Gas 13,600 478
- --------------------------------------------------------------------------------
54 SEI Institutional Managed Trust / Annual Report /September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Cameron International (D)* 28,888 $ 2,666
Cheniere Energy* 1,900 74
Chesapeake Energy (D) 93,900 3,311
Chevron (D) 246,959 23,110
Cimarex Energy (D) 28,900 1,077
ConocoPhillips (D) 115,386 10,127
Devon Energy 6,079 506
Dresser-Rand Group (D)* 46,200 1,973
EnCana (D) 21,900 1,355
Exxon Mobil (D) 492,641 45,599
FMC Technologies (D)* 40,656 2,344
Forest Oil* 1,200 52
Frontier Oil 39,800 1,657
Frontline (D)* 18,200 879
Global Industries* 8,500 219
GlobalSantaFe 5,518 419
Grant Prideco* 1,100 60
Halliburton (D) 95,789 3,678
Helmerich & Payne 57,400 1,884
Hess 48,566 3,231
Holly (D) 32,700 1,956
Hornbeck Offshore Services (D)* 36,800 1,351
Marathon Oil (D) 145,340 8,287
Murphy Oil 3,300 231
National Oilwell Varco* 6,100 881
Noble (D) 36,700 1,800
Noble Energy 3,000 210
Occidental Petroleum (D) 46,600 2,986
Oceaneering International* 900 68
Patterson-UTI Energy (D) 75,000 1,693
Petro-Canada (D) 40,000 2,296
Pride International (D)* 46,502 1,700
Quicksilver Resources* 1,000 47
Range Resources 3,000 122
Schlumberger 26,100 2,741
Smith International 1,300 93
Southwestern Energy* 3,000 126
Sunoco (D) 48,700 3,447
Superior Energy Services* 2,400 85
Teekay Shipping 3,400 200
Tesoro 22,700 1,045
Tidewater 800 50
Transocean (D)* 16,000 1,809
Valero Energy (D) 69,800 4,689
W&T Offshore 1,853 45
Weatherford International* 2,400 161
Western Refining 900 37
Williams 4,000 136
XTO Energy 5,833 361
--------------
144,038
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
FINANCIALS -- 15.0%
A.G. Edwards 17,592 $ 1,473
ACE 42,690 2,586
Aflac 7,716 440
Alleghany* 708 287
Allied Capital 292 9
Allied World Assurance Holdings 1,200 62
Allstate (D) 75,532 4,320
AMBAC Financial Group (D) 21,800 1,371
American Capital Strategies 10,106 432
American Express 11,715 696
American Financial Group (D) 96,695 2,758
American Financial Realty Trust+ 22,600 182
American International Group (D) 101,739 6,883
American National Insurance 1,733 228
AmeriCredit* 15,286 269
Ameriprise Financial 6,888 435
Annaly Capital Management+ 36,600 583
AON (D) 63,004 2,823
Apartment Investment & Management,
Cl A+ 1,241 56
Arch Capital Group* 1,700 126
Archstone-Smith Trust+ 730 44
Arthur J. Gallagher 5,440 158
Ashford Hospitality Trust+ 92,000 925
Assurant (D) 35,707 1,910
AvalonBay Communities+ (D) 12,218 1,442
Axis Capital Holdings 16,200 630
Bank of America (D) 265,242 13,334
Bank of New York Mellon 33,272 1,469
Bankunited Financial, Cl A 5,800 90
BB&T 16,339 660
BOK Financial 1,693 87
Boston Properties+ 2,384 248
Brandywine Realty Trust+ (D) 56,500 1,430
Capital One Financial (D) 43,601 2,896
Capitol Federal Financial 1,321 45
CB Richard Ellis Group, Cl A* 4,200 117
Charles Schwab 139,994 3,024
Chubb (D) 75,818 4,067
CIT Group (D) 27,864 1,120
Citigroup (D) 297,056 13,864
CME Group 15,674 9,206
Colonial BancGroup 7,500 162
Colonial Properties Trust+ 1,000 34
Comerica (D) 42,645 2,187
Credicorp (D) 21,700 1,469
Crystal River Capital+ 4,100 69
Discover Financial Services (D)* 81,693 1,699
Duke Realty+ 1,400 47
Eaton Vance (D) 52,700 2,106
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 55
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Everest Re Group 8,300 $ 915
Fannie Mae 5,447 331
Fidelity National Financial, Cl A 11,420 200
First American 8,500 311
First Citizens BancShares, Cl A 1,771 309
First Marblehead 2,900 110
Forest City Enterprises, Cl A 10,630 586
Franklin Resources (D) 60,595 7,726
Freddie Mac 6,587 389
General Growth Properties+ (D) 36,300 1,946
Genworth Financial, Cl A 9,700 298
Goldman Sachs Group (D) 38,124 8,263
Hanover Insurance Group (D) 24,200 1,069
Hartford Financial Services Group 25,969 2,403
HCP+ 9,800 325
Health Care+ 1,700 75
Hospitality Properties Trust+ 9,687 394
Host Hotels & Resorts+ 24,848 558
Hudson City Bancorp 85,200 1,310
Huntington Bancshares 51,200 869
IntercontinentalExchange* 75,400 11,453
iStar Financial+ (D) 52,100 1,771
Janus Capital Group (D) 101,410 2,868
Jones Lang LaSalle (D) 34,691 3,565
JPMorgan Chase (D) 441,773 20,242
Keycorp (D) 78,501 2,538
Lehman Brothers Holdings (D) 32,118 1,983
Leucadia National 1,200 58
Lincoln National 12,974 856
Loews (D) 199,705 9,656
Macerich+ 500 44
Markel* 1,294 626
Marsh & McLennan 100,765 2,570
MBIA (D) 28,400 1,734
Merrill Lynch (D) 99,755 7,111
Metlife (D) 45,948 3,204
Montpelier Re Holdings 24,300 430
Moody's (D) 26,318 1,326
Morgan Stanley (D) 83,374 5,253
National City 17,702 444
National Financial Partners 7,100 376
Nationwide Financial Services, Cl A 5,300 285
Newcastle Investment+ 51,600 909
NewStar Financial* 5,600 63
Northern Trust 11,843 785
NorthStar Realty Finance+ (D) 128,800 1,279
NYSE Euronext 2,800 222
People's United Financial 7,168 124
Philadelphia Consolidated Holding* 2,100 87
PMI Group (D) 54,200 1,772
PNC Financial Services Group (D) 43,075 2,933
Popular 97,800 1,201
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Prudential Financial 6,400 $ 625
Public Storage+ 16,660 1,310
Raymond James Financial 3,796 125
Rayonier+ (D) 48,341 2,322
Regions Financial 25,397 749
Safeco 38,289 2,344
Simon Property Group+ 929 93
SL Green Realty+ 4,157 485
SLM 2,570 128
Sovereign Bancorp 2,800 48
State Street 330 22
SunTrust Banks (D) 34,021 2,574
Synovus Financial 959 27
T. Rowe Price Group 254 14
Taubman Centers+ 1,900 104
TD Ameritrade Holding* 82,800 1,509
Torchmark 3,671 229
Transatlantic Holdings 17,049 1,199
Travelers (D) 223,969 11,275
UnionBanCal 31,800 1,857
UnumProvident 14,200 347
US Bancorp 38,810 1,262
Wachovia (D) 83,496 4,187
Washington Mutual (D) 67,900 2,398
Wells Fargo (D) 120,912 4,307
White Mountains Insurance Group 100 52
XL Capital, Cl A 13,500 1,069
Zions Bancorporation 115 8
--------------
247,382
--------------
HEALTH CARE -- 11.8%
Abbott Laboratories (D) 53,775 2,883
Aetna (D) 70,110 3,805
Allergan 150,494 9,702
AmerisourceBergen (D) 135,870 6,159
Amgen* 5,752 325
Analogic 14,400 918
Bausch & Lomb 5,000 320
Baxter International 53,010 2,983
Becton Dickinson (D) 30,348 2,490
Biogen Idec (D)* 16,300 1,081
Biovail (D) 58,800 1,021
Bristol-Myers Squibb 45,764 1,319
C.R. Bard 1,300 115
Cardinal Health (D) 123,435 7,718
Celgene* 36,574 2,608
Cephalon* 397 29
Cerner* 14,800 885
Charles River Laboratories
International (D)* 22,600 1,269
Cigna (D) 105,509 5,623
Covance* 11,900 927
- --------------------------------------------------------------------------------
56 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Coventry Health Care* 5,377 $ 335
Covidien (D)* 90,965 3,775
Cubist Pharmaceuticals* 24,300 514
Cutera* 7,300 191
Cytyc* 15,200 724
Dade Behring Holdings 6,200 473
Edwards Lifesciences* 700 35
Eli Lilly (D) 29,189 1,662
Endo Pharmaceuticals Holdings* 26,600 825
Express Scripts (D)* 69,100 3,857
Forest Laboratories (D)* 31,422 1,172
Genentech (D)* 197,625 15,419
Genzyme (D)* 34,284 2,124
Gilead Sciences (D)* 80,200 3,278
Health Net (D)* 120,264 6,500
Henry Schein* 4,443 270
Hillenbrand Industries 23,822 1,311
HLTH* 31,349 444
Hologic* 13,200 805
Hospira* 6,997 290
Humana (D)* 54,480 3,807
Idexx Laboratories* 400 44
Intuitive Surgical* 5,200 1,196
Invitrogen (D)* 44,700 3,653
Johnson & Johnson (D) 154,975 10,182
Kinetic Concepts* 8,400 473
King Pharmaceuticals* 109,998 1,289
Laboratory of America Holdings* 8,545 669
LifePoint Hospitals* 2,200 66
Manor Care 6,583 424
McKesson (D) 103,470 6,083
Medco Health Solutions (D)* 91,729 8,291
Medtronic (D) 66,792 3,768
Mentor 13,600 626
Merck (D) 92,536 4,783
Mylan Laboratories 14,500 231
OSI Pharmaceuticals* 20,300 690
PDL BioPharma* 64,500 1,394
PerkinElmer 9,500 278
Pfizer (D) 521,730 12,746
Providence Service* 1,700 50
Quidel* 56,400 1,103
Respironics* 800 39
Schering-Plough 51,296 1,623
Sierra Health Services* 7,974 337
St. Jude Medical* 3,700 163
Stryker* 15,004 1,032
Tenet Healthcare* 37,589 126
Thermo Fisher Scientific* 34,012 1,963
UnitedHealth Group (D) 278,517 13,489
VCA Antech* 9,400 393
Warner Chilcott, Cl A* 3,500 62
Waters (D)* 29,363 1,965
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Watson Pharmaceuticals* 1,400 $ 45
WellCare Health Plans* 7,800 822
WellPoint (D)* 55,045 4,344
Wyeth 52,081 2,320
Zimmer Holdings* 113,300 9,176
--------------
195,929
--------------
INDUSTRIALS -- 10.6%
3M (D) 21,145 1,979
Acuity Brands 9,400 474
Administaff 8,100 294
AGCO* 11,600 589
Allied Waste Industries* 2,877 37
American Standard 2,400 85
AMR (D)* 27,258 608
Armstrong World Industries* 10,233 415
Avery Dennison 430 25
Avis Budget Group* 8,035 184
BE Aerospace* 4,900 203
Boeing (D) 153,716 16,139
Brink's 700 39
Burlington Northern Santa Fe 1,828 148
C.H. Robinson Worldwide (D) 41,540 2,255
Caterpillar (D) 22,500 1,765
ChoicePoint (D)* 33,700 1,278
Con-way 5,311 244
Continental Airlines, Cl B* 9,572 316
Cooper Industries, Cl A 800 41
Corrections of America* 20,900 547
Crane 3,500 168
CSX 1,942 83
Cummins (D) 20,800 2,660
Danaher 845 70
Deere 5,000 742
Delta Air Lines* 170,429 3,059
Dover 17,400 887
Dun & Bradstreet (D) 19,574 1,930
Eaton (D) 29,600 2,932
Emerson Electric 4,418 235
Expeditors International Washington 150,000 7,095
FedEx (D) 16,727 1,752
Flowserve (D) 15,498 1,181
Fluor 15,980 2,301
Foster Wheeler* 4,500 591
Gardner Denver (D)* 33,600 1,310
General Cable* 15,314 1,028
General Dynamics 9,682 818
General Electric (D) 488,215 20,212
Goodrich (D) 31,500 2,149
Harsco (D) 28,900 1,713
Hertz Global Holdings* 14,018 318
Honeywell International (D) 103,169 6,135
Hubbell, Cl B 8,829 504
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 57
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Huron Consulting Group* 12,400 $ 900
Illinois Tool Works 2,300 137
Ingersoll-Rand, Cl A 12,600 686
ITT 14,518 986
Jacobs Engineering Group* 42,449 3,208
JB Hunt Transport Services 22,900 602
Kansas City Southern* 2,500 80
KBR* 7,153 277
L-3 Communications Holdings (D) 12,400 1,267
Labor Ready* 39,000 722
Laidlaw International 10,500 370
Landstar System 3,900 164
Lennox International 40,820 1,380
Lockheed Martin (D) 60,672 6,582
Manitowoc 9,400 416
Manpower 42,776 2,753
Masco 62,300 1,443
McDermott International* 2,600 141
MSC Industrial Direct, Cl A (D) 30,100 1,523
Norfolk Southern (D) 76,500 3,971
Northrop Grumman (D) 48,883 3,813
Northwest Airlines* 38,663 688
Owens Corning* 13,498 338
Paccar 6,992 596
Pall 12,300 478
Parker Hannifin (D) 37,026 4,141
Pitney Bowes 274 12
Precision Castparts (D) 21,380 3,164
Quanta Services* 18,797 497
Raytheon (D) 96,091 6,133
Republic Services 28,000 916
Robert Half International 57,300 1,711
Rockwell Automation (D) 31,600 2,197
Rockwell Collins 1,154 84
Roper Industries 238 16
RR Donnelley & Sons (D) 72,739 2,659
Ryder System (D) 66,156 3,242
Shaw Group* 21,374 1,242
Spirit Aerosystems Holdings, Cl A* 917 36
SPX (D) 11,883 1,100
Steelcase, Cl A 5,098 92
Stericycle (D)* 41,370 2,365
Sunpower, Cl A* 800 66
Teleflex 2,400 187
Terex* 8,600 766
Thomas & Betts (D)* 26,400 1,548
Timken (D) 43,100 1,601
Trinity Industries 33,400 1,254
Tyco International (D) 76,226 3,380
UAL* 2,100 98
Union Pacific 11,639 1,316
United Parcel Service, Cl B 105,659 7,935
United Rentals* 17,400 560
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
United Technologies 5,204 $ 419
URS* 17,756 1,002
Waste Management (D) 31,900 1,204
WESCO International* 26,763 1,149
WW Grainger (D) 16,600 1,514
--------------
174,665
--------------
INFORMATION TECHNOLOGY -- 16.6%
Accenture, Cl A 18,100 729
Activision* 19,600 423
ADC Telecommunications* 3,200 63
Adobe Systems* 4,700 205
Agilent Technologies (D)* 53,545 1,975
Akamai Technologies* 5,556 160
Alliance Data Systems* 5,700 441
Amdocs* 21,045 783
Analog Devices 3,500 127
Apple* 13,848 2,126
Applied Materials (D) 105,395 2,182
Arrow Electronics (D)* 138,682 5,897
Atmel* 67,028 346
Autodesk* 2,300 115
Automatic Data Processing 33,501 1,539
Avaya* 14,674 249
Avnet (D)* 84,189 3,356
BMC Software* 55,895 1,746
Cadence Design Systems (D)* 79,152 1,756
CDW 1,477 129
Ceridian* 21,500 747
Check Point Software
Technologies (D)* 74,900 1,886
Cisco Systems (D)* 247,530 8,196
Cognizant Technology Solutions,
Cl A* 2,500 199
CommScope* 5,900 296
Computer Sciences (D)* 49,476 2,766
Compuware (D)* 199,800 1,602
Convergys* 52,182 906
Corning 32,281 796
Cypress Semiconductor* 2,400 70
Dell* 14,107 389
Diebold 1,800 82
DST Systems* 4,021 345
eBay (D)* 314,900 12,287
Electronic Data Systems (D) 160,637 3,508
EMC (D)* 159,100 3,309
Emulex* 6,600 126
Exar* 45,000 588
F5 Networks* 5,800 216
Factset Research Systems 12,300 843
Fair Isaac (D) 19,700 711
Fairchild Semiconductor
International* 61,648 1,152
- --------------------------------------------------------------------------------
58 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Fidelity National Information
Services 12,646 $ 561
Fiserv (D)* 52,105 2,650
Google, Cl A (D)* 30,920 17,540
Harris (D) 22,223 1,284
Hewitt Associates, Cl A* 7,000 245
Hewlett-Packard (D) 356,009 17,726
Ingram Micro, Cl A (D)* 242,812 4,762
Integrated Device Technology* 61,400 950
Intel (D) 129,433 3,347
InterDigital* 2,200 46
International Business Machines (D) 88,028 10,370
Intersil, Cl A (D) 52,300 1,748
Intuit (D)* 323,900 9,814
Jabil Circuit 56,311 1,286
Juniper Networks* 123,400 4,518
Kla-Tencor (D) 30,700 1,712
Lam Research (D)* 74,756 3,981
Lexmark International, Cl A* 2,600 108
LSI Logic* 23,125 172
Mastercard, Cl A 12,200 1,805
McAfee* 19,600 683
MEMC Electronic Materials* 9,574 564
Mettler Toledo International (D)* 26,862 2,740
Microsoft (D) 626,496 18,457
NAVTEQ* 2,300 179
NCR (D)* 57,539 2,865
Netlogic Microsystems* 6,100 220
Network Appliance* 59,000 1,588
Novellus Systems* 4,703 128
Nvidia* 25,300 917
Oracle (D)* 217,908 4,718
Paychex 180,000 7,380
PMC - Sierra* 132,100 1,108
Progress Software* 5,600 170
QLogic* 69,500 935
Qualcomm (D) 341,400 14,428
Rambus* 6,100 117
Red Hat* 3,400 68
Research In Motion (D)* 148,500 14,635
Riverbed Technology* 21,000 848
Salesforce.com* 1,300 67
SanDisk* 111,800 6,160
Seagate Technology 350,800 8,973
Silicon Laboratories (D)* 44,100 1,842
Solectron* 59,180 231
SPSS* 12,500 514
SYKES Enterprises* 21,300 354
Symantec (D)* 213,856 4,145
Synopsys* 16,128 437
Tech Data (D)* 86,268 3,461
Tektronix (D) 37,700 1,046
Texas Instruments (D) 146,171 5,348
Total System Services 11,700 325
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Tyco Electronics* 93,363 $ 3,308
Unisys* 103,099 682
Varian Semiconductor Equipment
Associates* 31,000 1,659
VeriFone Holdings* 2,300 102
VeriSign* 24,640 831
Vishay Intertechnology* 62,427 813
WebMD Health, Cl A* 10,548 550
Western Union 312,404 6,551
Xerox (D)* 145,608 2,525
Xilinx 6,900 180
Zebra Technologies, Cl A (D)* 29,500 1,076
Zoran* 27,000 545
--------------
274,465
--------------
MATERIALS -- 3.8%
AK Steel Holding* 14,900 655
Albemarle 9,900 438
Alcan (D) 12,400 1,241
Alcoa 15,900 622
Allegheny Technologies 7,300 803
Ashland 13,500 813
Ball (D) 33,900 1,822
Cabot 6,100 217
Celanese, Ser A 20,300 791
Cleveland-Cliffs 4,900 431
Commercial Metals 21,327 675
Crown Holdings (D)* 143,517 3,266
Domtar* 29,100 239
Dow Chemical (D) 57,280 2,466
E.I. Du Pont de Nemours 8,400 416
Eastman Chemical 15,138 1,010
Ecolab 18,998 897
Florida Rock Industries 7,200 450
FMC 40,244 2,094
Freeport-McMoRan Copper & Gold,
Cl B 11,350 1,191
International Flavors & Fragrances 11,200 592
International Paper (D) 61,847 2,218
Lubrizol 5,000 325
Lyondell Chemical 10,600 491
Martin Marietta Materials 5,400 721
Methanex (D) 41,100 1,044
Monsanto (D) 32,912 2,822
Mosaic* 50,700 2,713
Nalco Holding 15,100 448
Newmont Mining 9,390 420
Nova Chemicals (D) 40,700 1,571
Nucor (D) 38,270 2,276
Owens-Illinois* 26,707 1,107
Pactiv (D)* 91,381 2,619
PPG Industries 16,207 1,224
Praxair 106,615 8,930
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 59
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Reliance Steel & Aluminum 5,400 $ 305
Rohm & Haas 22,916 1,276
Sealed Air 2,818 72
Smurfit-Stone Container (D)* 77,133 901
Sonoco Products 8,677 262
Southern Copper (D) 26,000 3,220
Steel Dynamics (D) 25,800 1,205
Temple-Inland 12,600 663
United States Steel (D) 26,900 2,850
Valspar 22,100 601
Vulcan Materials 7,993 713
Weyerhaeuser 6,100 441
--------------
62,567
--------------
TELECOMMUNICATION SERVICES -- 3.4%
Alltel 5,472 381
American Tower, Cl A* 12,659 551
AT&T (D) 430,910 18,232
Bell Aliant Regional Communications
Income Fund (Canada) (H) 2,066 67
CenturyTel (D) 43,894 2,029
Citizens Communications 32,111 460
Crown Castle International* 145,000 5,891
Embarq 15,413 857
Leap Wireless International* 6,500 529
Qwest Communications International* 107,828 988
Rogers Communications, Cl B (D) 30,200 1,375
Sprint Nextel (D) 392,404 7,456
Telephone & Data Systems 12,900 861
US Cellular* 48,762 4,788
Verizon Communications (D) 196,906 8,719
Windstream (D) 165,052 2,330
--------------
55,514
--------------
UTILITIES -- 2.9%
AES* 33,116 664
AGL Resources 6,000 238
Allegheny Energy* 3,421 179
Alliant Energy 28,338 1,086
American Electric Power 26,900 1,240
Atmos Energy 23,500 665
Centerpoint Energy 46,200 741
CMS Energy 89,871 1,512
Consolidated Edison (D) 38,600 1,787
Constellation Energy Group (D) 26,300 2,256
Dominion Resources 4,797 404
DTE Energy 4,600 223
Duke Energy 30,378 568
Dynegy, Cl A* 131,200 1,212
Edison International (D) 53,135 2,946
Energen (D) 40,800 2,330
Entergy 11,300 1,224
Equitable Resources 18,000 934
- --------------------------------------------------------------------------------
Shares/Contracts/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Exelon 4,374 $ 330
FirstEnergy (D) 47,265 2,994
FPL Group 33,100 2,015
Great Plains Energy 800 23
MDU Resources Group 3,170 88
Mirant* 31,200 1,269
National Fuel Gas 8,700 407
NiSource 20,000 383
Northeast Utilities 51,400 1,468
NRG Energy (D)* 59,000 2,495
NSTAR 3,100 108
Oneok 17,900 848
Pepco Holdings 6,500 176
PG&E (D) 81,340 3,888
Pinnacle West Capital 6,800 269
PPL 16,762 776
Progress Energy (D) 19,600 918
Public Service Enterprise Group (D) 56,612 4,981
Puget Energy 10,324 253
Questar 2,100 110
Reliant Energy* 60,287 1,543
Sempra Energy 13,492 784
Southern 9,927 360
TXU 8,304 569
UGI 22,400 582
Wisconsin Energy 900 41
Xcel Energy 32,871 708
--------------
48,595
--------------
Total Common Stock
(Cost $1,380,115) ($ Thousands) 1,533,342
--------------
PURCHASED OPTIONS -- 0.0%
June 2008 U.S. Ten Year Treasury Call,
Expires 06/16/08,
Strike Price: $95.00* 43 76
--------------
Total Purchased Options
(Cost $18) ($ Thousands) 76
--------------
ASSET-BACKED SECURITIES -- 9.4%
MORTGAGE RELATED SECURITIES -- 9.4%
ABSC NIM Trust, Ser 2005-HE6,
Cl A1 (E)
5.050%, 08/27/35 $ 31 31
Aames Mortgage Investment Trust,
Ser 2005-4, Cl B2 (C)
7.881%, 10/12/07 170 108
Ace Securities, Ser 2003-OP1,
Cl M1 (C)
6.020%, 10/26/07 500 488
- --------------------------------------------------------------------------------
60 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Aegis Asset-Backed Securities Trust,
Ser 2003-3, Cl M1 (C)
6.020%, 10/25/07 $ 54 $ 48
American Home Mortgage Assets,
Ser 2006-3, Cl M5 (C)
5.940%, 10/25/07 250 183
American Home Mortgage
Investment Trust,
Ser 2005-1, Cl 6A (C)
5.294%, 10/25/07 4,191 4,150
American Home Mortgage
Investment Trust,
Ser 2005-4, Cl 5A (C)
5.350%, 10/25/07 2,117 2,093
American Home Mortgage
Investment Trust,
Ser 2006-1, Cl 2A3 (C)
5.100%, 10/25/07 1,244 1,228
Ameriquest Mortgage Securities,
Ser 2003-2, Cl M1 (C)
6.670%, 10/25/07 427 394
Argent Securities, Ser 2003-W5,
Cl M1 (C)
6.020%, 10/25/07 250 242
Argent Securities, Ser 2003-W9,
Cl M1 (C)
6.010%, 10/26/07 343 334
Asset-Backed Funding Certificates,
Ser 2005-AQ1, Cl A2 (G)
4.300%, 06/25/35 513 504
Asset-Backed Funding NIM Trust,
Ser 2005-WMC1, Cl N1 (E)
5.900%, 07/26/35 32 1
Asset-Backed Securities Home Equity
Loan Trust, Ser 2003-HE5,
Cl M1 (C)
6.361%, 10/15/07 547 527
Banc of America Commercial
Mortgage, Ser 2005-6, Cl AM (C)
5.182%, 09/10/47 1,619 1,573
Banc of America Commercial
Mortgage, Ser 2006-3, Cl A4 (C)
5.889%, 07/10/44 1,854 1,900
Banc of America Commerical
Mortgage, Ser 2007-3, Cl A4 (C)
5.838%, 06/10/49 5,050 5,076
Bank of America Commercial
Mortgage, Ser 2005-5, Cl AM (C)
5.176%, 10/10/45 1,762 1,706
Bank of America Commercial
Mortgage, Ser 2006-2, Cl A4 (C)
5.930%, 05/10/45 1,911 1,948
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Bear Stearns Asset-Backed
Securities, Ser 2005-HE11,
Cl A1 (E)
5.500%, 11/25/35 $ 117 $ 103
Bear Stearns Asset-Backed
Securities, Ser 2007-HE4,
Cl 1A1 (C)
5.440%, 10/31/07 2,612 2,595
Carrington Mortgage Loan Trust,
Ser 2007-FRE1, Cl A1 (C)
5.625%, 10/25/07 2,221 2,205
Chase Funding Mortgage Loan,
Ser 2003-6, Cl 1A3
3.340%, 05/25/26 274 270
Countrywide Alternative Loan Trust,
Ser 2004-33, Cl 1A1 (C)
4.989%, 10/01/07 504 503
Countrywide Alternative Loan Trust,
Ser 2005-69, Cl M3 (C)
6.655%, 10/27/07 235 185
Countrywide Alternative Loan Trust,
Ser 2005-IM1, Cl M3 (C)
7.505%, 10/27/07 375 197
Countrywide Alternative Loan Trust,
Ser 2006-OA11, Cl M3 (C)
5.935%, 10/30/07 500 488
Countrywide Alternative Loan Trust,
Ser 2006-OA16, Cl M5 (C)
6.055%, 10/25/07 225 140
Countrywide Asset-Backed
Certificates, Ser 2003-5,
Cl MV2 (C)
7.105%, 10/25/07 280 259
Countrywide Asset-Backed
Certificates, Ser 2005-7,
Cl MV8 (C)
6.955%, 10/27/07 250 185
Countrywide Asset-Backed
Certificates, Ser 2006-S1, Cl A2
5.549%, 08/25/21 1,600 1,588
Countrywide Home Loans,
Ser 2004-22, Cl A1 (C)
5.087%, 10/01/07 417 416
Countrywide Home Loans,
Ser 2006-OA4, Cl M4 (C)
6.325%, 10/27/07 285 238
Countrywide Home Loans,
Ser 2006-OA4, Cl M5 (C)
6.375%, 10/27/07 195 158
Countrywide Home Loans,
Ser 2006-OA5, Cl 1M4 (C)
6.555%, 10/27/07 275 204
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 61
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Home Loans,
Ser 2007-HYB1, Cl 1A1 (C)
5.569%, 10/01/07 $ 1,783 $ 1,790
Credit Suisse Mortgage Capital
Certificates, Ser 2006-C3, Cl A3 (C)
6.021%, 06/15/38 2,381 2,440
Credit-Based Asset Servicing,
Ser 2007-CB3, Cl A1 (G)
5.766%, 03/25/37 4,161 4,137
Credit-Based Asset Servicing,
Ser 2007-CB4, Cl A1A (C)
5.595%, 10/27/07 2,228 2,203
Credit-Based Asset Servicing,
Ser 2007-CB4, Cl A2A (G)
5.844%, 04/25/37 2,427 2,414
DSLA Mortgage Loan Trust,
Ser 2004-AR4, Cl B1 (C)
6.138%, 10/19/07 322 316
FBR Securitization Trust,
Ser 2005-2, Cl M10 (C)
7.755%, 10/28/07 100 59
FBR Securitization Trust,
Ser 2005-4, Cl M11 (C)
7.505%, 10/27/07 210 106
FBR Securitization Trust,
Ser 2005-4, Cl M12 (C)
7.505%, 10/27/07 77 51
FBR Securitization Trust,
Ser 2005-5, Cl M12 (C)
7.755%, 10/27/07 122 104
First Franklin Mortgage Loan,
Ser 2003-FF5, Cl M6 (C)
10.381%, 10/25/07 27 2
First Franklin Mortgage Loan,
Ser 2005-FFH4, Cl N1 (E)
5.682%, 12/25/35 20 15
First Franklin Mortgage Loan,
Ser 2006-FF11, Cl M1 (C)
5.755%, 10/06/07 3,500 2,698
First Franklin Mortgage Loan,
Ser 2006-FF14, Cl A2 (C)
5.565%, 10/25/07 2,675 2,634
First Horizon Alternative Mortgage
Trust, Ser 2006-AA6, Cl 2A1 (C)
5.655%, 10/01/07 3,458 3,482
First Horizon Mortgage Pass-
Through, Ser 2006-AR3,
Cl 1A1 (C)
5.684%, 10/01/07 735 738
GE-WMC Mortgage Securities NIM
Trust, Ser 2005-2A, Cl N1 (E)
5.500%, 01/25/36 129 120
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GS Mortgage Securities,
Ser 2006-GG6, Cl AM (C)
5.622%, 04/10/38 $ 3,800 $ 3,769
GSAMP Trust, Ser 2007-HE2,
Cl A2A (C)
5.440%, 10/20/07 2,572 2,553
Greenwich Capital Commercial
Funding, Ser 2006-GG7,
Cl AM (C)
6.110%, 07/10/38 2,100 2,133
Home Equity Asset Trust NIM,
Ser 2005-7N, Cl A (E)
6.500%, 02/27/36 275 41
Home Equity Asset Trust NIM,
Ser 2005-9N, Cl A (E)
6.500%, 05/27/36 117 29
Home Equity Asset Trust NIM,
Ser 2006-1N, Cl 1A (E)
6.500%, 05/27/36 68 17
Home Equity Asset Trust,
Ser 2003-4, Cl M2 (C)
7.720%, 10/25/07 370 360
Home Equity Mortgage Trust,
Ser 2006-5, Cl A1 (G)
5.500%, 01/25/37 2,514 2,302
Impac CMB Trust, Ser 2004-10,
Cl 4M1 (C)
6.105%, 10/25/07 383 380
Impac Secured Assets CMO Owners
Trust, Ser 2007-1, Cl A1 (C)
5.380%, 10/25/07 5,540 5,527
Impac Secured Assets CMO Owners
Trust, Ser 2007-2, Cl 1A1A (C)
5.615%, 05/25/37 3,393 3,374
Indymac Index Mortgage Loan Trust,
Ser 2006-AR12, Cl M2 (C)
6.055%, 10/25/07 235 196
Indymac Index Mortgage Loan Trust,
Ser 2006-AR2, Cl M6 (C)
7.255%, 10/25/07 240 168
Indymac Index Mortgage Loan Trust,
Ser 2006-AR4, Cl M4 (C)
6.205%, 10/25/07 165 128
Irwin Home Equity, Ser 2007-1,
Cl 2A1 (C) (E)
5.655%, 10/17/07 4,753 4,684
JPMorgan Chase Commercial Mortgage,
Ser 2006-LDP9, Cl A3
5.336%, 05/15/47 1,155 1,133
JPMorgan Chase Commercial Mortgage,
Ser 2007-CB18, Cl A4
5.440%, 10/01/07 5,050 4,981
- --------------------------------------------------------------------------------
62 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
JPMorgan Mortgage Acquisition,
Ser 2006-RM1, Cl A2 (C)
5.585%, 10/27/07 $ 647 $ 642
JPMorgan Mortgage Acquisition,
Ser 2006-WF1, Cl A1B (C)
5.605%, 10/31/07 593 591
Lehman XS Trust, Ser 2005-5N,
Cl M3 (C)
6.505%, 10/25/07 600 528
Lehman XS Trust, Ser 2005-5N,
Cl M4 (C)
7.070%, 10/31/07 725 509
Lehman XS Trust, Ser 2005-7N,
Cl M51 (C)
6.755%, 10/31/07 150 132
Lehman XS Trust, Ser 2005-7N,
Cl M7I (C)
7.255%, 10/27/07 325 236
Lehman XS Trust, Ser 2005-9N,
Cl M4 (C)
6.905%, 10/30/07 225 197
Lehman XS Trust, Ser 2005-9N,
Cl M6 (C)
7.255%, 10/30/07 415 291
Lehman XS Trust, Ser 2006-11,
Cl M10 (C)
7.320%, 10/25/07 210 96
Lehman XS Trust, Ser 2006-12N,
Cl M4 (C)
6.055%, 10/25/07 270 266
Lehman XS Trust, Ser 2006-12N,
Cl M5 (C)
6.105%, 10/25/07 150 113
Lehman XS Trust, Ser 2006-2N,
Cl M5 (C)
6.655%, 10/27/07 240 199
Long Beach Mortgage Loan Trust,
Ser 2006-WL1, Cl 1A3 (C)
5.650%, 10/27/07 560 528
Merrill Lynch Mortgage Investors,
Ser 2005-A4, Cl 1A (C)
5.136%, 10/01/07 576 584
Merrill Lynch Mortgage Investors,
Ser 2005-FF6, Cl N1 (E)
4.500%, 05/25/36 44 40
Merrill Lynch Mortgage Investors,
Ser 2006-1, Cl 1A (C)
5.303%, 10/01/07 1,769 1,771
Merrill Lynch Mortgage Investors,
Ser 2006-MLN1, Cl A2A (C)
5.575%, 10/29/07 686 681
Merrill Lynch Mortgage Investors,
Ser 2007-HE2, Cl A2A (C)
5.625%, 10/30/07 2,749 2,727
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Merrill Lynch Mortgage Investors,
Ser 2007-SL1, Cl A1 (C)
5.620%, 10/11/07 $ 2,404 $ 2,363
Merrill Lynch Mortgage Trust,
Ser 2005-CKI1, Cl A6 (C)
5.417%, 11/12/37 2,316 2,293
Merrill Lynch/Countrywide
Commercial Mortgage,
Ser 2006-4, Cl A3 (C)
5.172%, 12/12/49 5,667 5,509
Morgan Stanley Capital I,
Ser 2003-NC10, Cl M1 (C)
6.185%, 10/27/07 583 577
Morgan Stanley Dean Witter Capital I,
Ser 2003-NC1, Cl M2 (C)
8.580%, 10/27/07 104 99
New Century Home Equity Loan Trust,
Ser 2003-B, Cl M1 (C)
5.970%, 10/27/07 566 526
New Century Home Equity Loan Trust,
Ser 2004-A, Cl AII3 (C)
4.450%, 10/01/07 145 145
New Century Home Equity Loan Trust,
Ser 2005-A, Cl A2 (G)
4.461%, 10/25/07 678 672
Nomura Asset Acceptance,
Ser 2007-1, Cl 1A1A (G)
5.995%, 10/09/07 2,360 2,363
Novastar Home Equity Loan,
Ser 2007-1, Cl A2A1 (C)
5.420%, 10/31/07 3,702 3,660
Option One Mortgage Loan Trust,
Ser 2003-5, Cl M1 (C)
5.970%, 10/23/07 250 239
Option One Mortgage Loan Trust,
Ser 2006-1, Cl M10 (C) (E)
7.820%, 10/27/07 100 58
Option One Mortgage Loan Trust,
Ser 2006-1, Cl M11 (C) (E)
7.820%, 10/27/07 190 81
Option One Mortgage Loan Trust,
Ser 2007-HL1, Cl 2A1 (C)
5.625%, 10/26/07 2,913 2,893
Ownit Mortgage Loan Asset-Backed
Securities Trust, Ser 2006-1,
Cl AF1 (G)
5.424%, 12/25/36 1,688 1,670
Ownit Mortgage Loan NIM Trust,
Ser 2005-5A, Cl N1 (E)
5.500%, 10/25/36 18 17
People's Financial Realty Mortgage
Security, Ser 2006-1, Cl B1 (C)
8.005%, 10/03/07 160 152
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 63
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
RAAC, Ser 2007-SP1, Cl A1 (C)
5.655%, 10/10/07 $ 3,126 $ 3,098
Residential Accredit Loans,
Ser 2006-Q01, Cl 2A3 (C)
5.720%, 10/27/07 342 336
Residential Accredit Loans,
Ser 2006-Q04, Cl N1 (E)
6.048%, 04/25/46 89 89
Residential Accredit Loans,
Ser 2006-Q06, Cl M5 (C)
6.005%, 10/29/07 350 227
Residential Accredit Loans,
Ser 2006-QO3, Cl M4 (C)
6.225%, 10/25/07 250 176
Residential Accredit Loans,
Ser 2006-QO3, Cl M5 (C)
6.285%, 10/25/07 250 169
Residential Asset Mortgage Products,
Ser 2003-RS10, Cl AI5 (C)
4.910%, 01/25/31 166 165
Residential Asset Mortgage Products,
Ser 2006-RZ4, Cl M9 (C)
7.738%, 10/25/07 115 45
Residential Asset Securitization Trust,
Ser 2004-IP2, Cl 3A1 (C)
5.250%, 10/25/07 1,450 1,447
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2A (C) (E)
5.420%, 10/25/07 1,885 1,873
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2B (C) (E)
5.655%, 10/25/07 1,000 983
SB Finance NIM Trust,
Ser 2005-HE3, Cl N1 (E)
4.750%, 09/25/35 55 17
SB Finance NIM Trust,
Ser 2006-KS4N, Cl N1 (E)
7.500%, 06/25/36 72 51
SLM Student Loan Trust,
Ser 2006-C, Cl C (C)
5.750%, 12/28/07 1,000 931
Saco I Trust, Ser 2005-10, Cl 2A1 (C)
5.765%, 10/30/07 3,105 2,898
Sail NIM Notes, Ser 2005-11A,
Cl A (E)
7.500%, 01/27/36 250 30
Sail NIM Notes, Ser 2006-BC1A, Cl A (E)
7.000%, 03/27/36 186 17
Sharps SP I LLC NIM Trust,
Ser 2005-HE3N, Cl N (E)
5.000%, 05/25/35 101 5
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Structured Adjustable Rate Mortgage
Loan, Ser 2005-16XS, Cl M2 (C)
6.405%, 10/25/07 $ 505 $ 484
Structured Adjustable Rate Mortgage
Loan, Ser 2007-9, Cl 2A1
0.000%, 11/25/15 2,000 2,004
Structured Asset Investment Loan,
Ser 2003-BC4, Cl M2 (C)
8.320%, 10/25/07 241 224
Structured Asset Investment Loan,
Ser 2005-4, Cl M11 (C)
8.005%, 10/25/07 250 196
Structured Asset Mortgage Investments,
Ser 2006-AR1, Cl B4 (C)
6.455%, 10/27/07 191 170
Structured Asset Mortgage Investments,
Ser 2006-AR1, Cl B5 (C)
6.555%, 10/27/07 121 104
Terwin Mortgage Trust, Ser 2006-2HGS,
Cl A1 (C) (E)
4.500%, 03/25/37 2,131 2,029
Terwin Mortgage Trust, Ser 2006-2HGS,
Cl B1 (C) (E)
6.285%, 10/25/07 300 20
Terwin Mortgage Trust, Ser 2006-4SL,
Cl A1 (C) (E)
4.500%, 05/25/37 2,161 2,051
Terwin Mortgage Trust, Ser 2006-6,
Cl A1 (C)
4.500%, 07/25/37 953 889
Terwin Mortgage Trust, Ser 2006-HF1,
Cl A1A (C) (E)
4.500%, 02/25/37 352 350
Wachovia Student Loan Trust,
Ser 2006-1, Cl B (C) (E)
5.595%, 12/29/07 3,200 3,087
Washington Mutual Mortgage Pass-
Through Certificates, Ser 2007-HY2,
Cl 1A1 (C)
5.776%, 04/25/37 1,127 1,143
Washington Mutual Mortgage Pass-
Through Certificates, Ser 2007-HY4,
Cl 1A1 (C)
5.560%, 10/01/07 4,585 4,570
Washington Mutual Mortgage Pass-
Through Certificates, Ser 2007-HY6,
Cl 1A1 (C)
5.707%, 06/25/37 3,767 3,752
Wells Fargo Home Equity Trust,
Ser 2004-2, Cl M8A (C) (E)
8.505%, 10/28/07 300 231
--------------
Total Asset-Backed Securities
(Cost $160,552) ($ Thousands) 154,661
--------------
- --------------------------------------------------------------------------------
64 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
OBLIGATIONS -- 5.2%
FHLMC (F)
5.249%, 11/09/07 $ 9,500 $ 9,448
4.527%, 03/28/08 25 24
FHLMC CMO STRIPS, Ser 232, Cl IO, IO
5.000%, 08/01/35 6,427 1,692
FHLMC CMO STRIPS, Ser 233, Cl 12, IO
5.000%, 09/15/35 1,062 242
FHLMC TBA
6.000%, 10/01/19 2,000 2,024
FNMA (F)
5.345%, 11/02/07 1,125 1,121
5.027%, 02/29/08 1,100 1,080
4.716%, 03/12/08 1,600 1,568
FNMA ARM
5.507%, 05/01/36 929 933
FNMA CMO STRIPS, Ser 359, Cl 6, IO
5.000%, 11/01/35 394 101
FNMA CMO STRIPS, Ser 360, Cl 2, IO
5.000%, 08/01/35 18,033 4,748
FNMA TBA
6.500%, 10/01/37 to 11/15/37 6,000 6,106
6.000%, 10/20/21 6,000 6,079
5.500%, 10/15/22 36,000 35,910
5.000%, 10/01/22 12,300 12,054
GNMA ARM
6.000%, 02/20/35 294 296
5.500%, 08/20/34 to 06/20/36 1,194 1,199
5.000%, 06/20/34 to 01/20/36 1,102 1,104
4.750%, 03/20/34 428 427
--------------
Total U.S. Government Agency
Mortgage-Backed Obligations
(Cost $85,740) ($ Thousands) 86,156
--------------
CORPORATE OBLIGATIONS -- 0.4%
CONSUMER DISCRETIONARY -- 0.0%
Time Warner
6.875%, 05/01/12 375 393
--------------
ENERGY -- 0.0%
Weatherford International (E)
5.950%, 06/15/12 205 209
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FINANCIALS -- 0.3%
CIT Group
5.000%, 02/13/14 $ 500 $ 451
Capmark Financial Group (E)
6.300%, 05/10/17 55 48
5.875%, 05/10/12 110 100
Discover Financial Services (E)
6.450%, 06/12/17 115 112
Genworth Financial
5.750%, 06/15/14 275 276
5.650%, 06/15/12 575 580
Goldman Sachs Group
5.500%, 11/15/14 65 64
HSBC Finance
6.375%, 10/15/11 375 387
Lehman Brothers Holdings MTN
5.750%, 05/17/13 125 124
5.500%, 04/04/16 250 236
Merrill Lynch
6.050%, 05/16/16 195 195
Morgan Stanley
4.750%, 04/01/14 375 352
Morgan Stanley MTN, Ser G (C)
5.660%, 10/04/07 380 368
Prudential Financial MTN
5.800%, 06/15/12 170 174
Residential Capital LLC
6.500%, 04/17/13 630 509
Shinsei Finance Cayman Ltd. (C) (E)
6.418%, 01/29/49 400 371
Simon Property Group LP
5.750%, 12/01/15 250 244
5.600%, 09/01/11 210 210
Washington Mutual Preferred
Funding (C) (E)
6.534%, 03/29/49 400 366
iStar Financial, Ser 1
5.875%, 03/15/16 250 224
--------------
5,391
--------------
INDUSTRIALS -- 0.0%
US Steel
5.650%, 06/01/13 120 118
--------------
MATERIALS -- 0.0%
Lafarge
6.150%, 07/15/11 230 235
--------------
TELECOMMUNICATION SERVICES -- 0.0%
Vodafone Group PLC
5.350%, 02/27/12 80 80
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 65
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Share ($ Thousands)
- --------------------------------------------------------------------------------
UTILITIES -- 0.1%
Dominion Resources
4.750%, 12/15/10 $ 250 $ 246
Exelon Generation
6.950%, 06/15/11 375 393
--------------
639
--------------
Total Corporate Obligations
(Cost $7,273) ($ Thousands) 7,065
--------------
CASH EQUIVALENT**++ -- 11.3%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.350% 187,540,285 187,540
--------------
Total Cash Equivalent
(Cost $187,540) ($ Thousands) 187,540
--------------
U.S. TREASURY OBLIGATIONS -- 0.5%
U.S. Treasury Bills (A) (B)
4.840%, 12/13/07 570 566
3.920%, 11/23/07 2,478 2,465
U.S. Treasury Bonds TIPS
2.375%, 04/15/11 5,207 5,240
--------------
Total U.S. Treasury Obligations
(Cost $8,228) ($ Thousands) 8,271
--------------
Total Investments -- 119.5%
(Cost $1,829,466) ($ Thousands) $ 1,977,111
==============
COMMON STOCK SOLD SHORT -- (14.4)%
CONSUMER DISCRETIONARY -- (3.5)%
Advance Auto Parts (33,100) (1,111)
Apollo Group, Cl A* (25,728) (1,548)
Barnes & Noble (20,100) (709)
Carmax* (97,300) (1,978)
Centex (44,900) (1,193)
Central European Media Entertainment,
Cl A* (15,058) (1,381)
Corinthian Colleges* (64,700) (1,029)
CROCS* (8,270) (556)
Dillards, Cl A (37,000) (808)
Discovery Holding, Cl A* (64,164) (1,851)
DR Horton (122,131) (1,564)
Dreamworks Animation SKG, Cl A* (27,887) (932)
E.W. Scripps, Cl A (1,800) (76)
Eastman Kodak (16,000) (428)
Gamestop, Cl A* (13,900) (783)
Gentex (204,426) (4,383)
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
H&R Block (79,100) $ (1,675)
Hearst-Argyle Television (1,060) (28)
International Game Technology (80,229) (3,458)
Interpublic Group* (149,300) (1,550)
KB Home (75,842) (1,901)
Las Vegas Sands* (31,800) (4,243)
Lennar, Cl A (103,445) (2,343)
Liberty Media Holding-Capital, Ser A* (20,810) (2,598)
MDC Holdings (2,700) (111)
MGM Mirage* (17,800) (1,592)
O'Reilly Automotive* (37,800) (1,263)
Orient Express Hotels, Cl A (6,500) (333)
Pulte Homes (95,345) (1,298)
Quiksilver* (96,900) (1,386)
R.H. Donnelley (20,848) (1,168)
Royal Caribbean Cruises (27,100) (1,058)
Ryland Group (35,975) (771)
Saks (34,400) (590)
Sally Beauty Holdings* (93,600) (791)
Scientific Games, Cl A* (41,300) (1,553)
Target (6,300) (400)
Tiffany (31,615) (1,655)
Toll Brothers* (37,824) (756)
Urban Outfitters* (11,379) (248)
Warner Music Group (95,800) (967)
Wynn Resorts (16,089) (2,534)
XM Satellite Radio Holdings, Cl A* (66,700) (944)
--------------
(57,544)
--------------
CONSUMER STAPLES -- (0.1)%
CVS Caremark (11,300) (448)
Whole Foods Market (15,617) (765)
--------------
(1,213)
--------------
ENERGY -- (1.8)%
Arch Coal (48,300) (1,630)
Baker Hughes (11,500) (1,039)
BJ Services (4,300) (114)
Cameco (41,900) (1,937)
CNX Gas* (58,100) (1,672)
Continental Resources* (14,200) (258)
Denbury Resources* (63,700) (2,847)
Diamond Offshore Drilling (7,600) (861)
Enbridge (57,100) (2,094)
Forest Oil* (11,900) (512)
Oceaneering International* (4,659) (353)
Overseas Shipholding Group (33,924) (2,606)
Peabody Energy (72,400) (3,466)
Quicksilver Resources* (78,336) (3,686)
Range Resources (20,800) (846)
Rowan (15,500) (567)
Spectra Energy (25,827) (632)
- --------------------------------------------------------------------------------
66 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Tetra Technologies* (54,600) $ (1,154)
Tidewater (11,729) (737)
TransCanada (55,100) (2,017)
W&T Offshore (51,700) (1,260)
--------------
(30,288)
--------------
FINANCIALS -- (2.5)%
Affiliated Managers Group* (5,600) (714)
AMB Property+ (19,600) (1,172)
Archstone-Smith Trust+ (13,900) (836)
Arthur J. Gallagher (18,500) (536)
AvalonBay Communities+ (11,400) (1,346)
Bear Stearns (33,592) (4,125)
Camden Property Trust+ (13,200) (848)
Capitol Federal Financial (46,900) (1,604)
City National (8,000) (556)
Commerce Bancorp (98,999) (3,839)
Conseco* (101,200) (1,619)
Douglas Emmett+ (55,068) (1,362)
Equity Residential+ (10,400) (441)
Fidelity National Financial, Cl A (60,400) (1,056)
First American (30,500) (1,117)
Fulton Financial (3,900) (56)
Hudson City Bancorp (237,815) (3,658)
IntercontinentalExchange* (8,100) (1,230)
Jefferies Group (60,000) (1,670)
Leucadia National (84,641) (4,081)
Markel* (1,000) (484)
Marsh & McLennan (5,600) (143)
MBIA (43,839) (2,676)
MGIC Investment (16,096) (520)
OneBeacon Insurance Group (1,047) (23)
Peoples United Financial (65,310) (1,129)
Plum Creek Timber+ (10,300) (461)
Progressive (20,000) (388)
Rayonier+ (3,000) (144)
SL Green Realty+ (9,000) (1,051)
T. Rowe Price Group (17,400) (969)
Unitrin (7,300) (362)
Valley National Bancorp (57,625) (1,278)
White Mountains Insurance Group (1,000) (520)
--------------
(42,014)
--------------
HEALTH CARE -- (1.9)%
Abraxis BioScience* (7,000) (160)
Advanced Medical Optics* (30,500) (933)
Affymetrix* (40,900) (1,038)
Brookdale Senior Living (57,219) (2,278)
Cephalon* (18,900) (1,381)
Community Health Care Systems* (8,300) (261)
Cooper (66,139) (3,467)
DaVita* (8,400) (531)
Health Management Associates, Cl A (48,767) (338)
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Henry Schein* (4,300) $ (262)
Kinetic Concepts* (19,648) (1,106)
LifePoint Hospitals* (45,054) (1,352)
McKesson (17,800) (1,046)
Millipore (8,100) (614)
Mylan (14,470) (231)
Omnicare (82,500) (2,733)
Patterson* (8,000) (309)
Pharmaceutical Product Development (91,500) (3,243)
Resmed* (69,800) (2,992)
Respironics* (11,900) (572)
Sepracor* (18,500) (509)
Tenet Healthcare* (372,300) (1,251)
Varian Medical Systems* (31,500) (1,320)
VCA Antech* (22,000) (919)
Vertex Pharmaceuticals* (43,900) (1,685)
WellCare Health Plans* (3,950) (415)
--------------
(30,946)
--------------
INDUSTRIALS -- (1.5)%
Aircastle (7,268) (243)
AMR* (54,200) (1,208)
BE Aerospace* (32,700) (1,358)
Copa Holdings, Cl A (18,761) (751)
Corporate Executive Board (39,780) (2,953)
Corrections Corporation of America* (10,500) (275)
Covanta Holding* (55,400) (1,358)
Danaher (1,900) (157)
DRS Technologies (15,636) (862)
Expeditors International Washington (12,100) (572)
Fastenal (23,400) (1,063)
First Solar* (1,041) (123)
Flowserve (14,100) (1,074)
Foster Wheeler* (18,907) (2,482)
General Cable (26,000) (1,745)
Graco (2,708) (106)
Joy Global (3,900) (198)
Kansas City Southern* (10,500) (338)
Monster Worldwide* (24,800) (845)
Southwest Airlines (81,579) (1,207)
Spirit Aerosystems Holdings, Cl A* (20,400) (794)
Stericycle* (26,665) (1,524)
Sunpower, Cl A* (26,600) (2,203)
Toro (12,002) (706)
UTI Worldwide (41,000) (943)
--------------
(25,088)
--------------
INFORMATION TECHNOLOGY -- (2.1)%
Advanced Micro Devices* (95,700) (1,263)
Amphenol,Cl A (34,400) (1,368)
Applied Materials (41,800) (865)
Avid Technology* (2,200) (60)
BEA Systems* (61,700) (856)
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 67
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Brocade Communication Systems* (46,723) $ (400)
CACI International, Cl A* (5,000) (255)
Cypress Semiconductor* (37,700) (1,101)
Diebold (25,200) (1,145)
Electronic Arts* (20,900) (1,170)
Equinix* (15,800) (1,401)
F5 Networks* (57,588) (2,142)
Fair Isaac (39,302) (1,419)
Fairchild Semiconductor, Cl A* (23,100) (432)
Global Payments (3,507) (155)
International Rectifier* (2,200) (73)
JDS Uniphase* (106,133) (1,588)
Maxim Integrated Products (10,228) (300)
MEMIC Electronic Materials* (20,300) (1,195)
Micron Technology* (110,800) (1,230)
Molex (13,900) (374)
Motorola (24,700) (458)
Novell* (35,100) (268)
Paychex (93,069) (3,816)
QLogic* (138,495) (1,863)
Rambus* (17,800) (340)
Red Hat* (5,355) (106)
Riverbed Technology* (24,016) (970)
Salesforce.com* (43,300) (2,222)
Sanmina* (938) (2)
SAVVIS* (29,300) (1,136)
Silicon Laboratories* (51,710) (2,159)
Tellabs* (26,400) (251)
VeriFone Holdings* (49,760) (2,206)
Vishay Intertechnology* (48,700) (635)
Zebra Technology, Cl A* (1,406) (51)
--------------
(35,275)
--------------
MATERIALS -- (0.6)%
Florida Rock Industries (20,900) (1,306)
Ivanhoe Mines* (116,700) (1,523)
Louisiana-Pacific (29,100) (494)
Mosaic* (43,500) (2,328)
Potash of Saskatchewan (20,700) (2,188)
Sealed Air (2,900) (74)
Temple-Inland (22,600) (1,189)
Weyerhaeuser (4,600) (333)
--------------
(9,435)
--------------
TELECOMMUNICATION SERVICES -- (0.2)%
Citizens Communications (28,658) (410)
Level 3 Communications* (347,830) (1,617)
NII Holdings, Cl B* (15,500) (1,273)
Windstream (26,241) (372)
--------------
(3,672)
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares/Contracts ($ Thousands)
- --------------------------------------------------------------------------------
UTILITIES -- (0.2)%
Duke Energy (42,443) $ (794)
Equitable Resources (21,900) (1,136)
Wisconsin Energy (16,100) (725)
--------------
(2,655)
--------------
Total Common Stock Sold Short
(Proceeds $(233,795)) ($ Thousands) (238,130)
--------------
WRITTEN OPTIONS -- 0.0%
June 2008 U.S. Ten Year Treasury Call,
Expires 06/16/08,
Strike Price: $95.50* (43) (42)
--------------
Total Written Options
(Premiums Received $(7)) ($ Thousands) (42)
--------------
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$ (62) Mar-2008 $ (78)
90-Day Euro$ 5 Mar-2009 7
90-Day Euro$ (44) Mar-2010 (46)
90-Day Euro$ (17) Mar-2011 (8)
90-Day Euro$ (5) Mar-2012 2
90-Day Euro$ 59 Jun-2008 125
90-Day Euro$ 68 Jun-2009 60
90-Day Euro$ (143) Jun-2010 (66)
90-Day Euro$ (4) Jun-2011 (1)
90-Day Euro$ 11 Sep-2008 17
90-Day Euro$ 58 Sep-2009 35
90-Day Euro$ (24) Sep-2010 (13)
90-Day Euro$ (2) Sep-2011 --
90-Day Euro$ (40) Dec-2007 9
90-Day Euro$ (75) Dec-2008 (83)
90-Day Euro$ (45) Dec-2009 (54)
90-Day Euro$ (24) Dec-2010 (11)
90-Day Euro$ (5) Dec-2011 1
10-Year Swap (169) Dec-2007 58
S&P 500 Composite Index 929 Dec-2007 10,362
U.S. 2-Year Note 77 Dec-2007 100
U.S. 5-Year Note 29 Dec-2007 22
U.S. 10-Year Note (162) Dec-2007 78
U.S. Long Treasury Bond 17 Dec-2007 (14)
----------
$ 10,502
==========
- --------------------------------------------------------------------------------
68 SEI Institutional Managed Trust / Annual Report / 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)
- ----------------------------------------------------------------------------------------------------------------------
The Fund delivers payment on the monthly reset spread from Bank of
America--CMBS AAA 10 YR Index plus 35 basis points times the
notional amount. The Fund delivers payment if the return on the
spread appreciates over the payment period and receives payment if
the return on the spread depreciates over the payment period.
(Counterparty: Bank of America) 10/31/07 $ (7,000) $ (24)
The Fund receives payment on the monthly reset spread from Bank of
America--CMBS AAA 10 YR Index plus 10 basis points times the
notional amount. The Fund receives payment if the return on the
spread appreciates over the payment period and pays if the return
on the spread depreciates over the payment period. (Counterparty:
Wachovia) 12/31/07 7,000 24
The Fund receives payment on the monthly reset spread from Bank of
America--CMBS AAA 10 YR Index plus 30 basis points times the
notional amount. The Fund receives payment if the return on the
spread appreciates over the payment period and pays if the return
on the spread depreciates over the payment period. (Counterparty:
Merrill Lynch) 01/31/08 20,000 69
The Fund receives payment on the monthly reset spread from Bank of
America--CMBS AAA 10 YR Index plus 5 basis points times the
notional amount. The Fund receives payment if the return on the
spread appreciates over the payment period and pays if the return
on the spread depreciates over the payment period. (Counterparty:
Bank of America) 01/31/08 15,000 52
The Fund receives payment on the monthly reset spread from Bank of
America--CMBS AAA 10 YR Index plus 8 basis points times the
notional amount. The Fund receives payment if the return on the
spread appreciates over the payment period and pays if the return
on the spread depreciates over the payment period.
(Counterparty: Bank of America) 10/02/07 15,000 51
The Fund receives payment on the monthly reset spread from Bank of
America--CMBS IG 10 YR Index plus 20 basis points times the
notional amount. The Fund receives payment if the return on the
spread appreciates over the payment period and pays if the return
on the spread depreciates over the payment period. (Counterparty:
Bank of America) 10/31/07 12,000 37
The Fund delivers payment on the monthly reset spread from Lehman
Brothers--CMBS AAA 8.5 Index plus 35 basis points times the
notional amount. The Fund delivers payment if the return on the
spread appreciates over the payment period and receives payment if
the return on the spread depreciates over the payment period.
(Counterparty: Wachovia) 11/01/07 (7,000) (43)
The Fund receives payment on the monthly reset spread from Lehman
Brothers--CMBS AAA 8.5 Index plus 15 basis points times the
notional amount. The Fund receives payment if the return on the
spread appreciates over the payment period and pays if the return
on the spread depreciates over the payment period. (Counterparty:
JPMorgan Chase) 01/01/08 5,000 31
-----------
$ 197
===========
- ---------------------------------------------------------------------------------------------------------------------
CREDIT DEFAULT SWAPS
- ----------------------------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- ----------------------------------------------------------------------------------------------------------------------
Fund receives a monthly payment of 0.0533% (0.640% per annum) times
notional amount of ABX.HE.A 07-1 Index. Upon a defined credit event
the Fund pays the notional amount and takes receipt of the
deliverable obligation. (Counterparty: Merrill Lynch) 08/25/37 $ (500) $ (220)
Fund receives a monthly payment of 0.0142% (0.170% per annum) times
notional amount of ABX.HE.AA 06-2 Index. Upon a defined credit
event the Fund pays the notional amount and takes receipt of the
deliverable obligation. (Counterparty: Merrill Lynch) 05/25/46 (2,200) 199
- ----------------------------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- ----------------------------------------------------------------------------------------------------------------------
Fund receives a monthly payment of 0.0533% (0.640% per annum) times
notional amount of ABX.HE.A 07-1 Index. Upon a defined credit event
the Fund pays the notional amount and takes receipt of the
deliverable obligation. (Counterparty: JPMorgan Chase) 08/25/37 $ (1,000) $ (433)
Fund receives a monthly payment of 0.0533% (0.640% per annum) times
notional amount of ABX.HE.A 07-1 Index. Upon a defined credit event
the Fund pays the notional amount and takes receipt of the
deliverable obligation. (Counterparty: Goldman Sachs) 08/25/37 (500) (209)
Fund receives a monthly payment of 0.0367% (0.440% per annum) times
notional amount of ABX.HE.A 06-2 Index. Upon a defined credit event
the Fund pays the notional amount and takes receipt of the
deliverable obligation. (Counterparty: Bank of America) 05/25/46 (9,850) (2,615)
Fund receives a monthly payment of 0.0450% (0.540% per annum) times
notional amount of ABX.HE.A 06-1 Index. Upon a defined credit event
the Fund pays the notional amount and takes receipt of the
deliverable obligation. (Counterparty: Merrill Lynch) 07/25/45 (225) (27)
Fund receives a monthly payment of 0.0142% (0.170% per annum) times
notional amount of ABX.HE.AA 06-2 Index. Upon a defined credit
event the Fund pays the notional amount and takes receipt of the
deliverable obligation. (Counterparty: Merrill Lynch) 05/25/46 (2,200) 193
Fund receives a monthly payment of 0.0125% (0.150% per annum) times
notional amount of ABX.HE.AA 07-1 Index. Upon a defined credit
event the Fund pays the notional amount and takes receipt of the
deliverable obligation. (Counterparty: JPMorgan Chase) 08/25/37 (2,250) (60)
Fund receives a monthly payment of 0.0142% (0.170% per annum) times
notional amount of ABX.HE.AA 06-2 Index. Upon a defined credit
event the Fund pays the notional amount and takes receipt of the
deliverable obligation. (Counterparty: Bank of America) 05/25/46 (2,150) 152
Fund receives a monthly payment of 0.0125% (0.150% per annum) times
notional amount of ABX.HE.AA 07-1 Index. Upon a defined credit
event the Fund pays the notional amount and takes receipt of the
deliverable obligation. (Counterparty: Bank of America) 08/25/37 (300) 5
Fund receives a monthly payment of 0.0142% (0.170% per annum) times
notional amount of ABX.HE.AA 06-2 Index. Upon a defined credit
event the Fund pays the notional amount and takes receipt of the
deliverable obligation. (Counterparty: Bank of America) 05/25/46 (1,550) (26)
Fund receives a monthly payment of 0.0125% (0.150% per annum) times
notional amount of ABX.HE.AA 07-1 Index. Upon a defined credit
event the Fund pays the notional amount and takes receipt of the
deliverable obligation. (Counterparty: JPMorgan Chase) 08/25/37 (1,100) (16)
Fund receives a monthly payment of 0.0142% (0.170% per annum) times
notional amount of ABX.HE.AA 06-2 Index. Upon a defined credit
event the Fund pays the notional amount and takes receipt of the
deliverable obligation. (Counterparty: Wachovia) 05/25/46 (1,600) 166
Fund receives a monthly payment of 0.0142% (0.170% per annum) times
notional amount of ABX.HE.AA 06-2 Index. Upon a defined credit
event the Fund pays the notional amount and takes receipt of the
deliverable obligation. (Counterparty: Wachovia) 05/25/46 (2,000) 248
Fund pays a quarterly payment of 0.0675% (0.270% per annum) times
notional amount of Southwest Airlines Co., 6.500%, 03/01/12. Upon a
defined credit event the Fund receives the notional amount and
delivers of the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 750 8
Fund pays a quarterly payment of 0.1125% (0.450% per annum) times
notional amount of Lubrizol Corp., 7.250%, 06/15/35. Upon a defined
credit event the Fund receives the notional amount and delivers of
the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 750 (5)
Fund pays a quarterly payment of 0.1725% (0.690% per annum) times
notional amount of Donnelley (R.R.) & Sons, 4.950%, 04/01/14. Upon
a defined credit event the Fund receives the notional amount and
delivers of the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 750 (12)
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 69
SCHEDULE OF INVESTMENTS
Large Cap Diversified Alpha Fund (Concluded)
September 30, 2007
- ----------------------------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- ----------------------------------------------------------------------------------------------------------------------
Fund pays a quarterly payment of 0.0500% (0.200% per annum) times
notional amount of PPG Industries, Inc., 7.050%, 08/15/09. Upon a
defined credit event the Fund receives the notional amount and
delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 $ 750 $ (1)
Fund pays a quarterly payment of 0.1125% (0.450% per annum) times
notional amount of Lubrizol Corp., 7.250%, 06/15/25. Upon a defined
credit event the Fund receives the notional amount and delivers of
the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 (5)
Fund pays a quarterly payment of 0.1100% (0.440% per annum) times
notional amount of Autozone, Inc., 5.875%, 10/15/12. Upon a defined
credit event the Fund receives the notional amount and delivers of
the defined obligation. (Counterparty: Bank of America) 12/20/11 750 (5)
Fund pays a quarterly payment of 0.1188% (0.475% per annum) times
notional amount of Meadwestavaco Corp., 6.850%, 04/01/12. Upon a
defined credit event the Fund receives the notional amount and
delivers of the defined obligation. (Counterparty: Bank of America) 12/20/11 750 (1)
Fund pays a quarterly payment of 0.1150% (0.460% per annum) times
notional amount of Autozone, Inc., 5.875%, 10/15/12. Upon a defined
credit event the Fund receives the notional amount and delivers of
the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 (6)
Fund pays a quarterly payment of 0.2950% (1.180% per annum) times
notional amount of Gap, Inc., 8.800%, 12/15/08. Upon a defined
credit event the Fund receives the notional amount and delivers of
the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 18
Fund pays a quarterly payment of 0.1063% (0.425% per annum) times
notional amount of Eastman Chemical, Inc., 7.600%, 02/01/27. Upon a
defined credit event the Fund receives the notional amount and
delivers of the defined obligation. (Counterparty: Bank of America) 12/20/11 750 (6)
Fund pays a quarterly payment of 0.1375% (0.550% per annum) times
notional amount of Black & Decker Corp., 7.125%, 06/01/11. Upon a
defined credit event the Fund receives the notional amount and
delivers of the defined obligation. (Counterparty: Bank of America) 12/20/11 750 (11)
Fund pays a quarterly payment of 0.0475% (0.190% per annum) times
notional amount of TJX Companies, 7.450%, 12/15/09. Upon a defined
credit event the Fund receives the notional amount and delivers of
the defined obligation. (Counterparty: Bank of America) 12/20/11 750 (1)
Fund pays a quarterly payment of 0.0550% (0.220% per annum) times
notional amount of Nucor Corp., 4.875%, 12/01/12. Upon a defined
credit event the Fund receives the notional amount and delivers of
the defined obligation. (Counterparty: Bank of America) 12/20/11 750 (1)
Fund pays a quarterly payment of 0.0325% (0.130% per annum) times
notional amount of Lowe's Companies, Inc., 8.250%, 06/01/10. Upon a
defined credit event the Fund receives the notional amount and
delivers of the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 750 --
Fund pays a quarterly payment of 0.2950% (1.180% per annum) times
notional amount of Gap, Inc., 8.800%, 12/15/08. Upon a defined
credit event the Fund receives the notional amount and delivers of
the defined obligation. (Counterparty: Bank of America) 12/20/11 750 16
Fund pays a quarterly payment of 0.1925% (0.770% per annum) times
notional amount of Jones Apparel Group, 5.125%, 11/15/14. Upon a
defined credit event the Fund receives the notional amount and
delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 4
Fund pays a quarterly payment of 0.0350% (0.140% per annum) times
notional amount of Pitney Bowes, Inc., 4.625%, 10/01/12. Upon a
defined credit event the Fund receives the notional amount and
delivers of the defined obligation. (Counterparty: Bank of America) 12/20/11 1,500 (1)
Fund pays a quarterly payment of 0.1113% (0.445% per annum) times
notional amount of Darden Restaurants, Inc., 7.125%, 02/01/16. Upon
a defined credit event the Fund receives the notional amount and
delivers of the defined obligation. (Counterparty: Bank of America) 12/20/11 750 (3)
- ----------------------------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- ----------------------------------------------------------------------------------------------------------------------
Fund pays a quarterly payment of 0.1188% (0.475% per annum) times
notional amount of The Limited, Inc., 6.125%, 12/01/12. Upon a
defined credit event the Fund receives the notional amount and
delivers of the defined obligation. (Counterparty: Bank of America) 12/20/11 $ 750 $ 4
Fund pays a quarterly payment of 0.1375% (0.550% per annum) times
notional amount of Black & Decker Corp., 7.125%, 06/01/11. Upon a
defined credit event the Fund receives the notional amount and
delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 (10)
Fund pays a quarterly payment of 0.2250% (0.900% per annum) times
notional amount of MDC Holdings, Inc., 5.500%, 05/15/13. Upon a
defined credit event the Fund receives the notional amount and
delivers of the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 750 (1)
Fund pays a quarterly payment of 0.0975 (0.390% per annum) times
notional amount of Hasbro, Inc., 2.750%, 12/01/21. Upon a defined
credit event the Fund receives the notional amount and delivers of
the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 5
Fund pays a quarterly payment of 0.0850% (0.340% per annum) times
notional amount of Agrium, Inc., 8.250%, 02/15/16. Upon a defined
credit event the Fund receives the notional amount and delivers of
the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 (3)
Fund pays a quarterly payment of 0.0845% (0.338% per annum) times
notional amount of Whirlpool Corp., 7.750%, 07/15/16. Upon a
defined credit event the Fund receives the notional amount and
delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 4
Fund pays a quarterly payment of 0.1125% (0.450% per annum) times
notional amount of Weyerhaeuser Company, 6.750%, 03/15/12. Upon a
defined credit event the Fund receives the notional amount and
delivers of the defined obligation. (Counterparty: Bank of America) 12/20/11 750 1
Fund pays a quarterly payment of 0.0550% (0.220% per annum) times
notional amount of Nucor Corp., 4.875%, 10/01/12. Upon a defined
credit event the Fund receives the notional amount and delivers of
the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 (3)
Fund pays a quarterly payment of 0.0675% (0.270% per annum) times
notional amount of Southwest Airlines Co., 6.500%, 03/01/12. Upon a
defined credit event the Fund receives the notional amount and
delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 8
Fund pays a quarterly payment of 0.0975% (0.390% per annum) times
notional amount of Radian Group, Inc., 7.750%, 06/01/11. Upon a
defined credit event the Fund receives the notional amount and
delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 750 92
Fund pays a quarterly payment of 0.0925% (0.370% per annum) times
notional amount of Johnson Controls, Inc., 7.125%, 07/15/17. Upon a
defined credit event the Fund receives the notional amount and
delivers of the defined obligation. (Counterparty: Bank of America) 12/20/13 750 (4)
Fund pays a quarterly payment of 0.0875% (0.350% per annum) times
notional amount of MGIC Investment Corp., 6.000%, 09/15/16. Upon a
defined credit event the Fund receives the notional amount and
delivers of the defined obligation. (Counterparty: Bank of America) 12/20/13 750 43
Fund pays a quarterly payment of 0.0875% (0.350% per annum) times
notional amount of PMI Group, Inc., 6.000%, 09/15/16. Upon a
defined credit event the Fund receives the notional amount and
delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 750 33
Fund pays a quarterly payment of 0.0975% (0.390% per annum) times
notional amount of Johnson Controls, Inc., 7.125%, 07/15/17. Upon a
defined credit event the Fund receives the notional amount and
delivers of the defined obligation. (Counterparty: Bank of America) 12/20/13 750 (8)
Fund pays a quarterly payment of 0.0875% (0.350% per annum) times
notional amount of Alcan, Inc., 4.875%, 09/15/12. Upon a defined
credit event the Fund receives the notional amount and delivers of
the defined obligation. (Counterparty: Bank of America) 12/20/13 750 (3)
- --------------------------------------------------------------------------------
70 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- ----------------------------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- ----------------------------------------------------------------------------------------------------------------------
Fund pays a quarterly payment of 0.0975% (0.390% per annum) times
notional amount of Radian Group, Inc., 7.750%, 06/01/11. Upon a
defined credit event the Fund receives the notional amount and
delivers of the defined obligation. (Counterparty: Bank of America) 12/20/13 $ 750 $ 107
Fund pays a quarterly payment of 0.0875% (0.350% per annum) times
notional amount of PMI Group, Inc., 6.000%, 09/15/16. Upon a
defined credit event the Fund receives the notional amount and
delivers of the defined obligation. (Counterparty: Bank of America) 12/20/13 750 32
Fund pays a quarterly payment of 0.0875% (0.350% per annum) times
notional amount of MGIC Investment Corp., 6.000%, 03/15/07. Upon a
defined credit event the Fund receives the notional amount and
delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 750 36
Fund pays a quarterly payment of 0.0700% (0.280% per annum) times
notional amount of Nordstrom, Inc., 6.950%, 03/15/28. Upon a
defined credit event the Fund receives the notional amount and
delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 750 (5)
Fund pays a quarterly payment of 0.0625% (0.250% per annum) times
notional amount of Dow Chemical, Inc., 6.000%, 10/01/12. Upon a
defined credit event the Fund receives the notional amount and
delivers of the defined obligation. (Counterparty: Merrill Lynch) 12/20/13 750 3
Fund pays a quarterly payment of 0.1825% (0.730% per annum) times
notional amount of Masco Corp., 5.875%, 07/15/12. Upon a defined
credit event the Fund receives the notional amount and delivers of
the defined obligation. (Counterparty: Bank of America) 12/20/13 750 (8)
Fund pays a quarterly payment of 0.0650% (0.260% per annum) times
notional amount of Dow Chemical, Inc., 6.000%, 10/01/12. Upon a
defined credit event the Fund receives the notional amount and
delivers of the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 750 (2)
Fund pays a quarterly payment of 0.0700% (0.280% per annum) times
notional amount of Nordstrom, Inc., 6.950%, 03/15/28. Upon a
defined credit event the Fund receives the notional amount and
delivers of the defined obligation. (Counterparty: Merrill Lynch) 12/20/13 750 (5)
Fund pays a quarterly payment of 0.0538% (0.215% per annum) times
notional amount of Carnival Corp., 6.650%, 01/15/28. Upon a defined
credit event the Fund receives the notional amount and delivers of
the defined obligation. (Counterparty: JPMorgan Chase) 06/20/12 650 4
Fund pays a quarterly payment of 0.0500% (0.200% per annum) times
notional amount of Campbell Soup Co., 4.875%, 10/01/13. Upon a
defined credit event the Fund receives the notional amount and
delivers of the defined obligation. (Counterparty: Bank of America) 06/20/14 1,150 2
Fund pays a quarterly payment of 0.110% (0.440% per annum) times
notional amount of Dow Chemical, Inc., 6.000%, 10/01/12. Upon a
defined credit event the Fund receives the notional amount and
delivers of the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 (1,500) 13
Fund pays a quarterly payment of 0.0800% (0.320% per annum) times
notional amount of Washington Mutual Co., 5.250%, 09/15/17. Upon a
defined credit event the Fund receives the notional amount and
delivers of the defined obligation. (Counterparty: JPMorgan Chase) 03/20/12 700 18
Fund pays a quarterly payment of 0.450% (1.800% per annum) times
notional amount of Weyerhaeuser Company, 6.750%, 03/15/12. Upon a
defined credit event the Fund receives the notional amount and
delivers of the defined obligation. (Counterparty: Merrill Lynch) 03/20/12 750 3
Fund pays a quarterly payment of 0.0800% (0.320% per annum) times
notional amount of Alcan, Inc., 4.875%, 09/15/12. Upon a defined
credit event the Fund receives the notional amount and delivers of
the defined obligation. (Counterparty: Bank of America) 03/20/14 650 (2)
Fund receives a quarterly payment of 0.1000% (0.440% per annum) times
notional amount of CDX.NA.IG Index. Upon a defined credit event the
Fund pays the notional amount and takes receipt of the deliverable
obligation. (Counterparty: Bank of America) 12/20/11 (13,800) (140)
- ----------------------------------------------------------------------------------------------------------------------
NOTIONAL NET UNREALIZED
EXPIRATION AMOUNT DEPRECIATION
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- ----------------------------------------------------------------------------------------------------------------------
Fund receives a quarterly payment of 0.1000% (0.400% per annum) times
notional amount of CDX.NA.IG Index. Upon a defined credit event the
Fund pays the notional amount and takes receipt of the deliverable
obligation. (Counterparty: Bank of America) 12/20/11 $ (1,000) $ (9)
Fund receives a quarterly payment of 0.1000% (0.400% per annum) times
notional amount of CDX.NA.IG Index. Upon a defined credit event the
Fund pays the notional amount and takes receipt of the deliverable
obligation. (Counterparty: Bank of America) 12/20/11 (650) (6)
Fund receives a quarterly payment of 0.1000% (0.400% per annum) times
notional amount of CDX.NA.IG Index. Upon a defined credit event the
Fund pays the notional amount and takes receipt of the deliverable
obligation. (Counterparty: Bank of America) 12/20/11 (750) (7)
Fund receives a quarterly payment of 0.1000% (0.400% per annum) times
notional amount of CDX.NA.IG Index. Upon a defined credit event the
Fund pays the notional amount and takes receipt of the deliverable
obligation. (Counterparty: Merrill Lynch) 12/20/11 (650) (2)
Fund receives a quarterly payment of 0.1000% (0.400% per annum) times
notional amount of CDX.NA.IG Index. Upon a defined credit event the
Fund pays the notional amount and takes receipt of the deliverable
obligation. (Counterparty: Merrill Lynch) 12/20/11 (3,750) (38)
Fund receives a quarterly payment of 0.1000% (0.400% per annum) times
notional amount of CDX.NA.IG Index. Upon a defined credit event the
Fund pays the notional amount and takes receipt of the deliverable
obligation. (Counterparty: Merrill Lynch) 12/20/11 (13,800) (140)
-----------
($ 2,643)
===========
Percentages are based on Net Assets of $1,654,841($ Thousands).
* Non-Income Producing Security.
** Rate shown is the 7-day effective yield as of September 30, 2007.
+ Real Estate Investment Trust.
++ Investment in Affiliated Security (see Note 3).
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(B) The rate reported is the effective yield at time of purchase.
(C) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of September 30, 2007.
(D) All or a portion of this security has been pledged as collateral for
securities sold short. The total market value of collateral for securities
sold short at September 30, 2007 was $734,377 ($ Thousands).
(E) Securities sold within terms of a private placement memorandum, exempt
from registration under Section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors." These securities have been determined to be liquid
under guidelines established by the Board of Trustees.
(F) Zero Coupon Bond -- The rate reported on the Schedule of Investments is
the effective yield at time of purchase.
(G) Step Bonds -- The rate reflected on the Schedule of Investments is the
effective yield on September 30, 2007. The coupon on a step bond changes
on a specified date.
(H) This security is traded on a foreign stock exchange. The total market
value of such securities as of September 30, 2007 was $67 ($ Thousands)
and represented 0.00% of Net Assets.
ADR -- American Depositary Receipt
ARM -- Adjustable Rate Mortgage
Cl -- Class
CMBS -- Commercial Mortgage-Backed Securities
CMO -- Collateralized Mortgage Obligation
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
IO -- Interest Only
LLC -- Limited Liability Company
LP -- Limited Partnership
Ltd. -- Limited
MTN -- Medium Term Note
NIM -- Net Interest Margin
PLC -- Public Limited Company
Ser -- Series
STRIPS -- Separately Traded Registered Interest and Principal Securities
TBA -- To Be Announced
TIPS -- Treasury Inflation-Protected Securities
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 71
SCHEDULE OF INVESTMENTS
S&P 500 Index Fund
September 30, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)#:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
17.7% Financials
14.3% Information Technology
10.8% Short-Term Investments
10.4% Energy
10.3% Health Care
10.2% Industrials
8.5% Consumer Staples
8.3% Consumer Discretionary
3.3% Telecommunication Services
3.0% Utilities
2.9% Materials
0.2% U.S. Treasury Obligation
0.1% Asset-Backed Security
#Percentages based on total investments. Includes investments held as collateral
for securities on loan (see Note 7).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 96.9%
CONSUMER DISCRETIONARY -- 9.0%
Abercrombie & Fitch, Cl A 11,000 $ 888
Amazon.com (B)* 38,500 3,586
Apollo Group, Cl A (B)* 17,503 1,053
Autonation (B)* 18,826 334
Autozone* 5,894 685
Bed Bath & Beyond* 32,933 1,124
Best Buy (B) 50,641 2,330
Big Lots* 13,713 409
Black & Decker 8,209 684
Brunswick 11,315 259
Carnival 55,284 2,677
CBS, Cl B (B) 89,701 2,826
Centex 14,944 397
Circuit City Stores 17,754 140
Clear Channel Communications 62,063 2,324
Coach* 46,310 2,189
Comcast, Cl A (B)* 385,644 9,325
Darden Restaurants 18,113 758
Dillard's, Cl A 7,605 166
DIRECTV Group* 95,500 2,319
Dow Jones (B) 8,163 487
DR Horton (B) 34,149 437
E.W. Scripps, Cl A (B) 10,400 437
Eastman Kodak (B) 35,910 961
Family Dollar Stores 18,922 503
Ford Motor (B) 257,109 2,183
Fortune Brands (B) 19,019 1,550
Gannett 29,347 1,282
Gap 65,931 1,216
General Motors (B) 70,748 2,596
Genuine Parts 21,336 1,067
Goodyear Tire & Rubber* 24,993 760
H&R Block 40,304 854
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Harley-Davidson (B) 32,208 $ 1,488
Harman International Industries 8,200 709
Harrah's Entertainment 23,287 2,024
Hasbro (B) 20,091 560
Hilton Hotels 48,587 2,259
Home Depot (B) 208,564 6,766
IAC/InterActive (B)* 27,200 807
International Game Technology 41,156 1,774
Interpublic Group (B)* 58,601 608
J.C. Penney 28,180 1,786
Johnson Controls 24,619 2,908
Jones Apparel Group (B) 13,590 287
KB Home (B) 9,655 242
Kohl's* 39,447 2,261
Leggett & Platt (B) 22,154 424
Lennar, Cl A 17,207 390
Limited Brands 42,727 978
Liz Claiborne (B) 12,923 444
Lowe's 188,136 5,272
Macy's 57,464 1,857
Marriott International, Cl A 41,240 1,793
Mattel 49,118 1,152
McDonald's 149,060 8,119
McGraw-Hill 42,321 2,155
Meredith 4,863 279
New York Times, Cl A (B) 17,992 355
Newell Rubbermaid 34,747 1,001
News, Cl A 291,133 6,402
Nike, Cl B (B) 47,294 2,774
Nordstrom (B) 27,802 1,304
Office Depot* 34,620 714
OfficeMax 9,393 322
Omnicom Group 40,304 1,938
Polo Ralph Lauren 7,700 599
Pulte Homes 26,555 361
RadioShack (B) 17,025 352
Sears Holdings (B)* 10,365 1,318
Sherwin-Williams 13,916 914
Snap-On 7,353 364
Stanley Works (B) 10,379 583
Staples 89,614 1,926
Starbucks* 90,458 2,370
Starwood Hotels & Resorts Worldwide 26,835 1,630
Target 106,419 6,765
Tiffany 16,973 889
Time Warner 469,114 8,613
TJX 56,867 1,653
Tribune 9,197 251
VF 11,214 906
Viacom, Cl B* 84,401 3,289
Walt Disney 245,627 8,447
Wendy's International 10,808 377
- --------------------------------------------------------------------------------
72 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Whirlpool (B) 9,805 $ 874
Wyndham Worldwide 22,602 740
Yum! Brands 64,870 2,195
--------------
156,374
--------------
CONSUMER STAPLES -- 9.3%
Altria Group 261,956 18,214
Anheuser-Busch 95,074 4,753
Archer-Daniels-Midland 81,666 2,701
Avon Products 55,151 2,070
Brown-Forman, Cl B 9,876 740
Campbell Soup (B) 27,275 1,009
Clorox 18,942 1,155
Coca-Cola 249,096 14,315
Coca-Cola Enterprises 34,817 843
Colgate-Palmolive 64,093 4,571
ConAgra Foods 61,752 1,614
Constellation Brands, Cl A (B)* 24,100 583
Costco Wholesale 55,218 3,389
CVS 184,895 7,327
Dean Foods 16,100 412
Estee Lauder, Cl A 14,500 616
General Mills 43,191 2,505
Hershey (B) 21,612 1,003
HJ Heinz 40,649 1,878
Kellogg 31,367 1,756
Kimberly-Clark 52,899 3,717
Kraft Foods, Cl A 199,388 6,881
Kroger 88,559 2,526
McCormick 16,261 585
Molson Coors Brewing, Cl B 8,523 849
Pepsi Bottling Group 16,436 611
PepsiCo 201,867 14,789
Procter & Gamble 391,976 27,572
Reynolds American (B) 21,440 1,363
Safeway 55,046 1,823
Sara Lee 91,687 1,530
Supervalu 25,997 1,014
Sysco 77,120 2,745
Tyson Foods, Cl A 31,590 564
UST 20,040 994
Wal-Mart Stores 300,411 13,113
Walgreen 125,144 5,912
Whole Foods Market (B) 17,600 862
WM Wrigley Jr. 26,760 1,719
--------------
160,623
--------------
ENERGY -- 11.3%
Anadarko Petroleum 57,880 3,111
Apache 41,000 3,692
Baker Hughes 39,734 3,591
BJ Services 36,656 973
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Chesapeake Energy (B) 51,200 $ 1,805
Chevron 267,597 25,042
ConocoPhillips 203,625 17,872
Consol Energy 22,800 1,063
Devon Energy 55,713 4,635
El Paso (B) 87,294 1,481
ENSCO International (B) 18,900 1,060
EOG Resources 30,544 2,209
Exxon Mobil 692,636 64,110
Halliburton 114,579 4,400
Hess 33,775 2,247
Marathon Oil 85,056 4,850
Murphy Oil (B) 23,463 1,640
Nabors Industries* 34,778 1,070
National Oilwell Varco* 21,934 3,169
Noble (B) 33,542 1,645
Occidental Petroleum 104,204 6,677
Peabody Energy (B) 33,100 1,585
Rowan 13,797 505
Schlumberger (B) 148,862 15,631
Smith International (B) 24,900 1,778
Spectra Energy 78,461 1,921
Sunoco 15,157 1,073
Tesoro 17,100 787
Transocean (B)* 35,578 4,022
Valero Energy 67,508 4,535
Weatherford International* 42,254 2,839
Williams 74,765 2,547
XTO Energy 47,535 2,940
--------------
196,505
--------------
FINANCIALS -- 19.2%
ACE 40,385 2,446
Aflac 59,908 3,417
Allstate 75,259 4,304
AMBAC Financial Group 12,814 806
American Capital Strategies (B) 22,000 940
American Express 147,315 8,746
American International Group 320,271 21,666
Ameriprise Financial 28,584 1,804
AON (B) 36,429 1,632
Apartment Investment & Management,
Cl A+ 12,162 549
Archstone-Smith Trust+ (B) 27,568 1,658
Assurant 13,000 696
AvalonBay Communities+ 9,900 1,169
Bank of America 552,370 27,768
Bank of New York Mellon 141,186 6,232
BB&T 67,797 2,738
Bear Stearns 14,798 1,817
Boston Properties+ 14,900 1,548
Capital One Financial (B) 51,362 3,412
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 73
SCHEDULE OF INVESTMENTS
S&P 500 Index Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CB Richard Ellis Group, Cl A* 23,400 $ 651
Charles Schwab 124,727 2,694
Chubb (B) 49,356 2,647
Cincinnati Financial 21,579 935
CIT Group 24,208 973
Citigroup 621,246 28,994
CME Group 6,147 3,610
Comerica 19,683 1,009
Commerce Bancorp (B) 23,400 907
Countrywide Financial (B) 73,771 1,402
Developers Diversified Realty+ (B) 15,900 888
Discover Financial Services* 65,530 1,363
E*Trade Financial* 53,439 698
Equity Residential+ 36,040 1,527
Fannie Mae 120,581 7,333
Federated Investors, Cl B 11,145 442
Fifth Third Bancorp 67,211 2,277
First Horizon National (B) 15,715 419
Franklin Resources 20,315 2,590
Freddie Mac 81,359 4,801
General Growth Properties+ (B) 30,700 1,646
Genworth Financial, Cl A 54,900 1,687
Goldman Sachs Group 50,662 10,981
Hartford Financial Services Group 39,286 3,636
Host Hotels & Resorts+ 65,100 1,461
Hudson City Bancorp (B) 61,900 952
Huntington Bancshares 45,575 774
IntercontinentalExchange* 8,600 1,306
Janus Capital Group (B) 21,777 616
JPMorgan Chase 425,472 19,495
Keycorp (B) 48,583 1,571
Kimco Realty+ (B) 32,200 1,456
Legg Mason (B) 16,400 1,382
Lehman Brothers Holdings (B) 66,006 4,075
Leucadia National (B) 21,200 1,022
Lincoln National 33,198 2,190
Loews 54,473 2,634
M&T Bank 9,561 989
Marsh & McLennan (B) 69,150 1,763
Marshall & Ilsley 31,970 1,399
MBIA 16,227 991
Merrill Lynch 107,947 7,694
Metlife (B) 91,905 6,409
MGIC Investment (B) 10,395 336
Moody's (B) 28,508 1,437
Morgan Stanley 130,661 8,232
National City 81,048 2,034
Northern Trust 23,605 1,564
Plum Creek Timber+ (B) 22,135 991
PNC Financial Services Group 42,783 2,914
Principal Financial Group 33,448 2,110
Progressive 89,568 1,739
Prologis+ (B) 32,060 2,127
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Prudential Financial 58,166 $ 5,676
Public Storage+ 15,328 1,206
Regions Financial 86,863 2,561
Safeco 13,238 810
Simon Property Group+ (B) 27,709 2,771
SLM 51,343 2,550
Sovereign Bancorp 45,144 769
State Street 49,591 3,380
SunTrust Banks 44,396 3,359
Synovus Financial 40,875 1,147
T. Rowe Price Group (B) 33,208 1,849
Torchmark 12,205 761
Travelers 82,232 4,140
UnumProvident 42,852 1,049
US Bancorp 215,506 7,010
Vornado Realty Trust+ 16,314 1,784
Wachovia 237,160 11,894
Washington Mutual (B) 109,219 3,857
Wells Fargo 418,306 14,900
XL Capital, Cl A 22,605 1,790
Zions Bancorporation 13,760 945
--------------
333,329
--------------
HEALTH CARE -- 11.3%
Abbott Laboratories 190,868 10,234
Aetna 64,002 3,473
Allergan 38,366 2,473
AmerisourceBergen 22,296 1,011
Amgen* 134,493 7,608
Applera -- Applied Biosystems
Group 22,957 795
Barr Pharmaceuticals* 13,300 757
Bausch & Lomb 6,774 433
Baxter International 80,738 4,544
Becton Dickinson (B) 30,562 2,508
Biogen Idec* 35,700 2,368
Boston Scientific (B)* 166,612 2,324
Bristol-Myers Squibb 243,901 7,029
C.R. Bard 12,888 1,137
Cardinal Health 47,455 2,967
Celgene* 47,200 3,366
Cigna 34,971 1,864
Coventry Health Care* 19,413 1,208
Covidien* 61,382 2,547
Eli Lilly 122,230 6,959
Express Scripts* 31,952 1,784
Forest Laboratories* 39,763 1,483
Genzyme* 32,932 2,040
Gilead Sciences* 116,176 4,748
Hospira* 19,504 808
Humana* 20,797 1,453
IMS Health 24,395 747
- --------------------------------------------------------------------------------
74 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Johnson & Johnson 360,656 $ 23,695
King Pharmaceuticals* 30,386 356
Laboratory of America Holdings* 14,263 1,116
Manor Care 9,114 587
McKesson 36,969 2,173
Medco Health Solutions* 34,458 3,115
Medtronic 142,717 8,051
Merck 272,417 14,081
Millipore (B)* 6,793 515
Mylan Laboratories 30,611 489
Patterson (B)* 17,400 672
PerkinElmer 15,240 445
Pfizer 865,104 21,135
Quest Diagnostics 19,824 1,145
Schering-Plough 202,272 6,398
St. Jude Medical* 41,094 1,811
Stryker* 29,642 2,038
Tenet Healthcare (B)* 58,976 198
Thermo Fisher Scientific* 52,543 3,033
UnitedHealth Group 166,047 8,042
Varian Medical Systems* 16,100 674
Waters* 12,697 850
Watson Pharmaceuticals* 12,771 414
WellPoint* 76,661 6,050
Wyeth 166,666 7,425
Zimmer Holdings* 29,655 2,402
--------------
195,578
--------------
INDUSTRIALS -- 11.1%
3M 89,282 8,355
Allied Waste Industries* 31,842 406
American Standard 21,833 778
Avery Dennison 11,415 651
Boeing 97,632 10,250
Burlington Northern Santa Fe 37,524 3,046
C.H. Robinson Worldwide 21,600 1,173
Caterpillar 80,097 6,282
Cintas (B) 17,007 631
Cooper Industries, Cl A (B) 22,786 1,164
CSX 54,650 2,335
Cummins 13,070 1,672
Danaher (B) 29,748 2,460
Deere 28,251 4,193
Dover 25,637 1,306
Eaton 18,269 1,809
Emerson Electric 99,506 5,296
Equifax 17,225 657
FedEx 38,105 3,992
Fluor 11,022 1,587
General Dynamics 49,726 4,200
General Electric 1,279,907 52,988
Goodrich 15,720 1,073
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------------------------
Honeywell International 93,455 $ 5,558
Illinois Tool Works 50,424 3,007
Ingersoll-Rand, Cl A 37,006 2,016
ITT 22,700 1,542
L-3 Communications Holdings 15,523 1,586
Lockheed Martin 44,494 4,827
Masco (B) 45,668 1,058
Monster Worldwide* 16,034 546
Norfolk Southern 48,026 2,493
Northrop Grumman 42,519 3,316
Paccar (B) 30,994 2,642
Pall 15,395 599
Parker Hannifin (B) 14,514 1,623
Pitney Bowes 27,575 1,252
Precision Castparts 17,100 2,530
Raytheon 54,368 3,470
Robert Half International 21,027 628
Rockwell Automation 19,126 1,329
Rockwell Collins 21,078 1,540
RR Donnelley & Sons 27,311 998
Ryder System 7,554 370
Southwest Airlines (B) 96,749 1,432
Terex* 12,800 1,139
Textron 31,298 1,947
Tyco International 61,382 2,722
Union Pacific 33,247 3,759
United Parcel Service, Cl B 131,290 9,860
United Technologies 123,283 9,922
Waste Management 63,628 2,401
WW Grainger (B) 8,965 818
--------------
193,234
--------------
INFORMATION TECHNOLOGY -- 15.7%
Adobe Systems* 72,836 3,180
Advanced Micro Devices (B)* 69,363 916
Affiliated Computer Services, Cl A* 12,349 620
Agilent Technologies* 48,106 1,774
Akamai Technologies* 20,400 586
Altera (B) 44,551 1,073
Analog Devices 39,599 1,432
Apple* 108,592 16,673
Applied Materials (B) 169,550 3,510
Autodesk* 29,017 1,450
Automatic Data Processing 68,850 3,162
Avaya* 56,668 961
BMC Software* 25,549 798
Broadcom, Cl A* 56,636 2,064
CA 51,427 1,323
Ciena* 10,642 405
Cisco Systems* 761,663 25,219
Citrix Systems* 22,542 909
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 75
SCHEDULE OF INVESTMENTS
S&P 500 Index Fund (Concluded)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Cognizant Technology Solutions,
Cl A* 17,800 $ 1,420
Computer Sciences* 21,633 1,209
Compuware (B)* 40,575 325
Convergys* 17,076 296
Corning 194,878 4,804
Dell* 281,474 7,769
eBay* 141,632 5,527
Electronic Arts* 38,778 2,171
Electronic Data Systems 63,102 1,378
EMC* 262,640 5,463
Fidelity National Information Services 20,365 904
Fiserv* 21,380 1,087
Google, Cl A* 28,816 16,346
Hewlett-Packard 321,952 16,030
Intel 730,594 18,893
International Business Machines (B) 170,090 20,037
Intuit* 42,786 1,296
Jabil Circuit 23,079 527
JDS Uniphase (B)* 26,456 396
Juniper Networks (B)* 63,700 2,332
Kla-Tencor (B) 23,171 1,292
Lexmark International, Cl A* 12,039 500
Linear Technology (B) 27,494 962
LSI Logic (B)* 88,746 659
MEMC Electronic Materials* 28,100 1,654
Microchip Technology (B) 27,100 984
Micron Technology (B)* 94,369 1,048
Microsoft 1,006,962 29,665
Molex 17,760 478
Motorola 289,706 5,368
National Semiconductor 29,837 809
NCR* 22,368 1,114
Network Appliance* 46,376 1,248
Novell (B)* 42,389 324
Novellus Systems (B)* 15,727 429
Nvidia* 66,648 2,415
Oracle* 490,556 10,621
Paychex 42,456 1,741
QLogic* 19,848 267
Qualcomm 208,032 8,791
SanDisk* 28,400 1,565
Solectron (B)* 113,054 441
Sun Microsystems* 435,211 2,442
Symantec (B)* 110,447 2,140
Tektronix 9,459 262
Tellabs* 54,699 521
Teradyne* 23,707 327
Texas Instruments 179,234 6,558
Tyco Electronics* 61,382 2,175
Unisys* 43,195 286
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
VeriSign (B)* 30,700 $ 1,036
Western Union 96,512 2,024
Xerox* 114,136 1,979
Xilinx 35,709 933
Yahoo! (B)* 168,238 4,516
--------------
271,839
--------------
MATERIALS -- 3.1%
Air Products & Chemicals 27,026 2,642
Alcoa 111,335 4,355
Allegheny Technologies 12,759 1,403
Ashland 6,993 421
Ball 12,891 693
Bemis 13,090 381
Dow Chemical 118,175 5,089
E.I. Du Pont de Nemours (B) 115,535 5,726
Eastman Chemical 10,508 701
Ecolab 22,230 1,049
Freeport-McMoRan Copper & Gold,
Cl B (B) 46,568 4,885
Hercules 14,607 307
International Flavors & Fragrances 9,794 518
International Paper (B) 53,370 1,914
MeadWestvaco 22,815 674
Monsanto 68,048 5,834
Newmont Mining 56,408 2,523
Nucor 37,682 2,241
Pactiv* 16,587 475
PPG Industries 20,545 1,552
Praxair 38,999 3,267
Rohm & Haas 17,822 992
Sealed Air (B) 20,128 514
Sigma-Aldrich (B) 16,536 806
Temple-Inland 13,177 694
United States Steel 14,826 1,571
Vulcan Materials (B) 11,849 1,056
Weyerhaeuser 26,388 1,908
--------------
54,191
--------------
TELECOMMUNICATION SERVICES -- 3.6%
Alltel 42,582 2,967
AT&T 761,658 32,226
CenturyTel 13,960 645
Citizens Communications (B) 42,331 606
Embarq 18,786 1,044
Qwest Communications
International (B)* 192,526 1,764
Sprint Nextel 361,622 6,871
Verizon Communications 359,822 15,933
Windstream 59,646 842
--------------
62,898
--------------
- --------------------------------------------------------------------------------
76 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
UTILITIES -- 3.3%
AES* 83,090 $ 1,665
Allegheny Energy* 20,568 1,075
Ameren (B) 25,844 1,357
American Electric Power 49,615 2,286
Centerpoint Energy (B) 40,068 642
CMS Energy (B) 27,892 469
Consolidated Edison (B) 34,333 1,590
Constellation Energy Group 22,599 1,939
Dominion Resources (B) 36,670 3,091
DTE Energy 22,145 1,073
Duke Energy 157,222 2,938
Dynegy, Cl A* 50,289 465
Edison International 40,753 2,260
Entergy 24,464 2,649
Exelon 83,354 6,282
FirstEnergy 37,487 2,374
FPL Group 50,720 3,088
Integrys Energy Group 9,434 483
Nicor 5,525 237
NiSource 34,279 656
PG&E 43,829 2,095
Pinnacle West Capital 12,549 496
PPL 48,171 2,230
Progress Energy (B) 31,483 1,475
Public Service Enterprise Group 31,565 2,777
Questar 21,400 1,124
Sempra Energy 32,865 1,910
Southern (B) 93,635 3,397
TECO Energy 26,212 431
TXU 56,924 3,898
Xcel Energy 51,019 1,099
--------------
57,551
--------------
Total Common Stock
(Cost $737,032) ($ Thousands) 1,682,122
--------------
CORPORATE OBLIGATION (C) (E) -- 0.1%
FINANCIALS -- 0.1%
SLM EXL, Ser S
5.763%, 10/15/07 $ 2,641 2,641
--------------
Total Corporate Obligation
(Cost $2,641) ($ Thousands) 2,641
--------------
ASSET-BACKED SECURITY (C) (E) (F) -- 0.1%
MORTGAGE RELATED SECURITY -- 0.1%
Duke Funding, Ser 2004-6B,
Cl A1S1
5.430%, 10/09/07 1,801 1,801
--------------
Total Asset-Backed Security
(Cost $1,801) ($ Thousands) 1,801
--------------
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CASH EQUIVALENTS**++ -- 11.8%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.350% 51,746,418 $ 51,746
SEI Liquidity Fund LP,
5.367% (C) 152,878,076 152,878
--------------
Total Cash Equivalents
(Cost $204,624) ($ Thousands) 204,624
--------------
U.S. TREASURY OBLIGATION (A) (D) -- 0.2%
U.S. Treasury Bills
4.193%, 12/06/07 $ 2,960 2,940
--------------
Total U.S. Treasury Obligation
(Cost $2,938) ($ Thousands) 2,940
--------------
Total Investments -- 109.1%
(Cost $949,036) ($ Thousands) $ 1,894,128
==============
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
CONTRACTS EXPIRATION APPRECIATION
TYPE OF CONTRACT LONG DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
S&P 500 Index E MINI 722 Dec-2007 $ 1,668
=========
Percentages are based on Net Assets of $1,736,166 ($ Thousands).
* Non-Income Producing Security.
** Rate shown is the 7-day effective yield as of September 30, 2007.
+ Real Estate Investment Trust.
++ Investment in Affiliated Security (see Note 3).
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(B) This security or a partial position of this security is on loan at
September 30, 2007. The total market value of securities on loan at
September 30, 2007 was $152,953 ($ Thousands).
(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 $157,320 ($ Thousands).
(D) The rate reported is the effective yield at time of purchase.
(E) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of September 30, 2007.
(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.
Cl -- Class
EXL -- Extendable Maturity
LP -- Limited Partnership
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 77
SCHEDULE OF INVESTMENTS
Small Cap Value Fund
September 30, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS# (UNAUDITED):
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
24.6% Short-Term Investments
19.6% Financials
12.8% Information Technology
10.8% Industrials
9.9% Consumer Discretionary
5.3% Health Care
5.2% Energy
4.0% Materials
3.5% Utilities
3.4% Consumer Staples
0.4% Telecommunication Services
0.3% Asset-Backed Security
0.1% Exchange Traded Fund
0.1% U.S. Treasury Obligation
0.0% Warrants
#Percentages based on total investments. Includes investments held as collateral
for securities on loan (see Note 7).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK+++ -- 97.1%
CONSUMER DISCRETIONARY -- 13.0%
Advance Auto Parts 44,800 $ 1,503
Aftermarket Technology (B)* 61,161 1,941
American Axle & Manufacturing
Holdings 82,517 2,084
American Greetings, Cl A (B) 78,619 2,076
AnnTaylor Stores (B)* 64,300 2,036
Applebee's International (B)* 13,058 325
Arctic Cat 43,600 713
ArvinMeritor (B) 66,000 1,110
Bally Technologies* 55,217 1,956
Bebe Stores (B) 131,284 1,921
Belo, Cl A 115,807 2,010
Big Lots (B)* 6,500 194
Blyth 25,900 530
Books-A-Million 7,500 99
Brinker International 27,541 756
Brown Shoe 72,150 1,400
Buckle 18,600 706
Build-A-Bear Workshop (B)* 39,400 700
California Pizza Kitchen* 20,900 367
Carrols Restaurant Group* 64,800 726
Carter's* 73,300 1,462
Cato, Cl A 59,500 1,216
Cavco Industries* 10,100 338
CBRL Group 72,300 2,950
Champion Enterprises (B)* 152,800 1,678
Charlotte Russe Holding* 55,000 805
Cheesecake Factory* 23,700 556
CKE Restaurants 22,500 365
Collective Brands* 39,400 869
Cooper Tire & Rubber 130,531 3,185
Corinthian Colleges (B)* 138,300 2,200
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Courier 20,874 $ 735
CSK Auto (B)* 92,484 985
Dana 454,800 89
Dillard's, Cl A (B) 31,567 689
Dress Barn* 21,700 369
Ethan Allen Interiors (B) 193,024 6,310
Finish Line, Cl A (B) 86,534 376
Fossil (B)* 50,000 1,868
Furniture Brands International (B) 115,800 1,174
Group 1 Automotive (B) 11,000 369
Handleman (B) 49,600 151
Jack in the Box* 500 32
Jackson Hewitt Tax Service 17,200 481
Jakks Pacific (B)* 50,900 1,360
Jarden (B)* 70,686 2,187
Jo-Ann Stores* 37,000 781
Journal Communications, Cl A 107,100 1,015
Kellwood 94,100 1,604
Lakeland Industries* 76,370 913
Leapfrog Enterprises (B)* 162,126 1,338
Lear (B)* 56,000 1,798
Libbey 93,593 1,640
Lifetime Brands 83,200 1,688
Lin TV, Cl A* 81,900 1,066
Lithia Motors, Cl A 29,800 508
LKQ* 69,400 2,416
M/I Homes (B) 2,200 31
MarineMax (B)* 103,100 1,501
Marriott International, Cl A 66,900 2,908
Marvel Entertainment (B)* 54,500 1,277
MDC Partners, Cl A* 361,500 3,926
Men's Wearhouse 16,677 843
Modine Manufacturing 81,100 2,159
Morgans Hotel Group* 106,178 2,309
Movado Group 18,600 594
Nautilus (B) 37,400 298
Orient-Express Hotels, Cl A 67,500 3,461
Outdoor Channel Holdings (B)* 56,800 513
Pacific Sunwear of California (B)* 115,598 1,711
Perry Ellis International* 53,650 1,487
PF Chang's China Bistro* 11,800 349
Pier 1 Imports (B)* 183,600 868
Pinnacle Entertainment (B)* 124,300 3,385
Polaris Industries (B) 44,300 1,932
Pool (B) 42,200 1,054
Princeton Review* 283,484 2,259
Quiksilver (B)* 279,800 4,001
Rare Hospitality International* 48,300 1,841
Regis (B) 41,298 1,318
Rent-A-Center (B)* 185,000 3,354
Ruby Tuesday (B) 52,100 956
Ruth's Chris Steak House (B)* 63,200 901
Ryland Group (B) 19,000 407
Sally Beauty Holdings (B)* 97,662 825
- --------------------------------------------------------------------------------
78 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Scholastic (B)* 73,400 $ 2,559
Shoe Carnival* 37,300 589
Sinclair Broadcast Group, Cl A 160,600 1,934
Skechers U.S.A., Cl A* 44,600 986
Sonic Automotive, Cl A (B) 154,900 3,708
Starwood Hotels & Resorts Worldwide 16,300 990
Stoneridge* 36,400 371
Talbots (B) 101,900 1,834
Tempur-Pedic International (B) 24,400 872
Trans World Entertainment (B)* 56,100 257
Tupperware Brands (B) 60,500 1,905
Tween Brands (B)* 66,500 2,184
Unifirst 24,457 916
Vail Resorts (B)* 64,564 4,022
Valassis Communications* 46,000 410
Warner Music Group (B) 206,200 2,083
World Wrestling Entertainment, Cl A 98,100 1,479
Zale (B)* 131,200 3,036
--------------
147,322
--------------
CONSUMER STAPLES -- 4.4%
BJ's Wholesale Club* 150,200 4,981
Casey's General Stores 49,020 1,358
Central Garden and Pet (B)* 107,166 954
Central Garden and Pet, Cl A* 78,838 708
Chattem (B)* 13,660 963
Chiquita Brands International (B)* 195,600 3,096
Corn Products International 26,541 1,217
Del Monte Foods 67,300 707
Elizabeth Arden (B)* 79,836 2,152
Fresh Del Monte Produce 5,900 170
Hain Celestial Group* 76,800 2,468
JM Smucker 18,664 997
Lancaster Colony 17,200 656
Longs Drug Stores 42,700 2,121
Molson Coors Brewing, Cl B 44,300 4,415
Nash Finch (B) 42,900 1,709
NBTY* 34,500 1,401
Pantry* 66,145 1,695
Performance Food Group (B)* 57,548 1,734
Pilgrim's Pride (B) 84,900 2,949
Prestige Brands Holdings* 9,300 102
Ralcorp Holdings (B)* 46,551 2,598
Ruddick 80,200 2,690
Sanderson Farms (B) 63,400 2,642
Universal (B) 89,310 4,372
Weis Markets 23,600 1,007
--------------
49,862
--------------
ENERGY -- 6.8%
Alon USA Energy 17,200 581
American Oil & Gas* 68,500 399
Atlas America 32,724 1,690
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Aurora Oil & Gas* 265,800 $ 383
Berry Petroleum, Cl A 52,775 2,089
Bois d'Arc Energy* 3,200 61
Cal Dive International (B)* 163,200 2,448
CARBO Ceramics (B) 7,300 370
Cimarex Energy 90,100 3,356
Complete Production Services* 15,300 313
Comstock Resources* 135,500 4,179
Delek US Holdings 46,900 1,176
Delta Petroleum (B)* 90,900 1,632
Double Hull Tankers 71,400 1,063
Dresser-Rand Group* 64,400 2,751
Edge Petroleum 90,400 1,161
Energy Partners* 56,601 831
Forest Oil* 79,550 3,424
GeoMet* 176,106 896
Global Industries* 130,800 3,369
Goodrich Petroleum (B)* 30,301 961
Grey Wolf (B)* 641,400 4,201
Gulf Island Fabrication 800 31
Gulfmark Offshore (B)* 7,400 360
Hercules Offshore* 53,401 1,394
Holly 8,600 515
Horizon Offshore* 31,600 521
ION Geophysical (B)* 207,400 2,868
Lufkin Industries 18,000 990
Mariner Energy (B)* 139,820 2,896
Newpark Resources* 274,400 1,471
North American Energy Partners* 59,900 1,034
Oil States International* 27,500 1,328
Parker Drilling* 100,900 819
Petroquest Energy* 2,400 26
Rosetta Resources (B)* 211,800 3,884
RPC (B) 231,200 3,285
SEACOR Holdings* 9,800 932
St Mary Land & Exploration 107,800 3,845
Stone Energy* 73,000 2,921
Superior Energy Services (B)* 23,500 833
Swift Energy* 154,829 6,336
Tesoro 17,000 782
Uranium Resources* 42,230 397
USEC (B)* 119,000 1,220
W-H Energy Services* 22,829 1,684
--------------
77,706
--------------
FINANCIALS -- 25.1%
1st Source 8,800 202
ACA Capital Holdings (B)* 38,100 232
Acadia Realty Trust+ (B) 41,400 1,123
Advance America Cash Advance
Centers 46,700 498
Advanta, Cl B (B) 64,200 1,760
AMB Property+ 41,800 2,500
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 79
SCHEDULE OF INVESTMENTS
Small Cap Value Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
AmCOMP* 23,500 $ 222
Amcore Financial (B) 47,874 1,193
American Equity Investment Life
Holding 97,177 1,035
American Physicians Capital 19,500 760
Ameris Bancorp 13,700 248
Amtrust Financial Services (B) 49,900 757
Anchor Bancorp Wisconsin (B) 25,100 678
Annaly Capital Management+ 156,900 2,499
Anthracite Capital+ (B) 137,700 1,253
Arbor Realty Trust+ (B) 186,803 3,529
Argo Group International Holdings* 6,873 299
Ashford Hospitality Trust+ 49,900 501
Aspen Insurance Holdings 97,000 2,707
Assured Guaranty 125,800 3,418
AvalonBay Communities+ 32,400 3,825
BancFirst 13,500 606
Bancorp* 2,700 50
Bancorpsouth 107,596 2,615
Bank Mutual 154,225 1,818
Bank of the Ozarks (B) 6,700 205
Bankunited Financial, Cl A (B) 35,000 544
Banner 400 14
Berkshire Hills Bancorp 20,600 623
BioMed Realty Trust+ 56,900 1,371
Boston Private Financial Holdings (B) 30,900 860
Boston Properties+ 52,400 5,444
British Land (United Kingdom)+ (I) 72,336 1,727
Camden Property Trust+ (B) 39,412 2,532
Capital Lease Funding+ 149,700 1,534
Capital Trust, Cl A+ (B) 50,515 1,793
Capstead Mortgage+ (B) 90,300 928
Cardinal Financial 92,474 924
Cascade Bancorp 17,200 383
Cash America International 52,200 1,963
Cathay General Bancorp (B) 43,998 1,417
Chemical Financial (B) 35,500 861
Citizens Republic Bancorp (B) 61,236 986
City Bank 14,750 424
City Holding 37,300 1,358
CNA Surety* 25,500 450
Columbia Banking System 35,469 1,129
Commerce Group 45,400 1,338
Community Bancorp* 3,900 98
Community Bank System (B) 22,500 439
Community Trust Bancorp 4,690 141
CompuCredit (B)* 25,000 543
Corporate Office Properties Trust+ (B) 24,900 1,037
Corus Bankshares (B) 114,500 1,491
Cousins Properties+ (B) 73,900 2,170
Darwin Professional Underwriters* 32,600 704
Dawnay Day Sirius
(United Kingdom) (I)* 260,400 341
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Dawnay Day Treveria
(United Kingdom) (I) 471,407 $ 670
DCT Industrial Trust+ (B) 200,600 2,100
Dearborn Bancorp* 35,900 463
Delphi Financial Group, Cl A 44,550 1,801
Douglas Emmett+ 135,900 3,361
Education Realty Trust+ (B) 120,999 1,633
Employers Holdings 114,679 2,364
Encore Bancshares* 13,700 288
Endurance Specialty Holdings 31,036 1,290
Entertainment Properties Trust+ (B) 13,600 691
Equity One+ (B) 80,939 2,202
Equity Residential+ (B) 172,300 7,299
Evercore Partners, Cl A 26,000 684
FBL Financial Group, Cl A 16,300 644
Federal Agricultural Mortgage, Cl C 38,900 1,142
FelCor Lodging Trust+ 11,400 227
Financial Federal (B) 28,800 807
First American 88,500 3,241
First Community Bancshares (B) 5,900 214
First Financial (B) 8,200 248
First Financial Bancorp (B) 181,609 2,321
First Financial Bankshares (B) 6,500 261
First Financial Holdings 10,500 328
First Industrial Realty Trust+ (B) 46,700 1,815
First Merchants 33,400 720
First Midwest Bancorp 59,300 2,026
First Niagara Financial Group (B) 223,700 3,165
First State Bancorporation 18,310 360
FirstFed Financial (B)* 18,600 922
FirstMerit (B) 132,365 2,616
Flagstar Bancorp (B) 52,400 510
Flushing Financial 27,400 460
Forest City Enterprises, Cl A 32,800 1,809
Fpic Insurance Group* 16,800 723
Frontier Financial (B) 56,750 1,324
GAMCO Investors, Cl A 22,500 1,233
General Growth Properties+ (B) 144,170 7,730
Gramercy Capital+ (B) 150,326 3,784
Great Southern Bancorp (B) 2,100 52
Greater Bay Bancorp (B) 2,100 58
Greene County Bancshares 10,100 368
Greenhill (B) 10,800 659
Hallmark Financial Services* 10,400 146
Hammerson (United Kingdom)+ (I) 64,301 1,535
Hancock Holding (B) 44,088 1,767
Hanmi Financial 66,000 1,022
Harleysville Group 6,600 211
Heritage Commerce 7,400 157
Hersha Hospitality Trust+ 78,700 779
Hilb Rogal & Hobbs (B) 122,900 5,325
Home Bancshares 2,700 59
Horace Mann Educators 70,776 1,395
Horizon Financial 12,200 247
- --------------------------------------------------------------------------------
80 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Host Hotels & Resorts+ (B) 427,555 $ 9,594
HRPT Properties Trust+ 95,700 946
IMPAC Mortgage Holdings+ (B) 67,100 103
Imperial Capital Bancorp 6,100 172
Infinity Property & Casualty (B) 41,982 1,688
Intervest Bancshares 19,300 478
IPC Holdings (B) 40,200 1,160
Irwin Financial (B) 29,800 328
KBW (B)* 54,400 1,566
Kimco Realty+ (B) 193,200 8,735
Lakeland Financial 9,900 229
Land Securities Group
(United Kingdom)+ (I) 55,420 1,899
LandAmerica Financial Group (B) 9,000 351
LaSalle Hotel Properties+ 58,200 2,449
Liberty Property Trust+ 37,100 1,492
Luminent Mortgage Capital+ (B) 102,700 171
Maguire Properties+ (B) 57,100 1,475
Marlin Business Services* 43,300 620
Max Capital 54,100 1,517
Meadowbrook Insurance Group* 33,800 305
MetroCorp Bancshares 3,300 53
MFA Mortgage Investments+ 163,409 1,315
Mid-America Apartment
Communities+ (B) 35,766 1,783
Nara Bancorp 22,000 344
National Financial Partners (B) 11,644 617
National Interstate 13,600 419
National Retail Properties+ (B) 90,400 2,204
Navigators Group* 7,900 429
NBT Bancorp (B) 41,600 904
NewAlliance Bancshares (B) 115,981 1,703
Newcastle Investment+ (B) 42,840 755
NorthStar Realty Finance+ (B) 46,300 460
Novastar Financial (B) 2,925 26
NYMAGIC 13,100 364
Ocwen Financial (B)* 3,800 36
Odyssey Re Holdings 29,400 1,091
Old National Bancorp (B) 64,200 1,064
Oriental Financial Group 42,700 491
Pacific Capital Bancorp 27,566 725
Pennsylvania Real Estate Investment
Trust+ 11,100 432
Phoenix 59,500 840
Pico Holdings (B)* 51,500 2,140
Piper Jaffray (B)* 60,612 3,249
Platinum Underwriters Holdings 125,459 4,511
PMI Group 18,184 595
Preferred Bank 23,700 932
Presidential Life 31,600 536
ProAssurance (B)* 51,249 2,761
Procentury 16,100 236
Provident Bankshares 24,200 758
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
PS Business Parks+ 30,399 $ 1,728
Radian Group (B) 13,600 317
Rainier Pacific Financial Group 23,042 385
RAIT Financial Trust+ (B) 29,400 242
RenaissanceRe Holdings 31,200 2,041
RLI 10,900 618
Saul Centers+ (B) 18,800 968
SeaBright Insurance Holdings* 44,800 765
Security Bank (B) 5,000 63
Security Capital Assurance (B) 21,600 493
Selective Insurance Group 38,200 813
Signature Bank (B)* 48,542 1,710
Simmons First National, Cl A 3,900 103
Simon Property Group+ (B) 87,300 8,730
South Financial Group (B) 78,080 1,776
Southside Bancshares 6,100 135
Southwest Bancorp 14,700 277
Sterling Bancshares 114,274 1,304
Sterling Financial, Washington Shares 61,668 1,659
Stewart Information Services 134,400 4,606
Strategic Hotels & Resorts+ 36,600 754
Sun Communities+ 65,900 1,982
Sunstone Hotel Investors+ 63,000 1,615
Superior Bancorp (B)* 151,876 1,341
Susquehanna Bancshares (B) 49,800 1,001
SVB Financial Group (B)* 38,800 1,838
Synergy Financial Group 61,500 932
Taylor Capital Group 15,300 427
Technology Investment Capital 41,900 560
Thomas Properties Group 60,200 722
TradeStation Group* 70,900 827
Trico Bancshares 6,500 145
UMB Financial 28,448 1,219
Umpqua Holdings (B) 61,209 1,225
Unibail (France)+ (I) 11,770 3,021
United America Indemnity, Cl A* 19,000 409
United Bankshares 47,570 1,448
Validus Holdings* 35,500 860
Ventas+ (B) 88,100 3,647
Verde Realty PIPE (H) (J)* 21,100 696
Vornado Realty Trust+ (B) 68,100 7,447
Washington Federal 28,270 742
WesBanco (B) 22,000 550
West Coast Bancorp 18,900 537
Westfield Financial 70,500 685
Wilshire Bancorp 47,000 516
Winthrop Realty Trust+ (B) 71,500 481
Wintrust Financial 26,198 1,118
WR Berkley 48,037 1,423
WSFS Financial 33,589 2,096
Zenith National Insurance 34,000 1,526
--------------
284,930
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 81
SCHEDULE OF INVESTMENTS
Small Cap Value Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
HEALTH CARE -- 6.9%
Accelrys* 244,600 $ 1,676
Advanced Medical Optics (B)* 118,500 3,625
Albany Molecular Research* 30,900 467
Alliance Imaging* 2,800 25
Alpharma, Cl A 5,800 124
Amedisys (B)* 45,200 1,737
America Service Group* 50,600 574
AMN Healthcare Services* 178,900 3,351
Applera -- Celera Group* 124,100 1,745
Apria Healthcare Group (B)* 118,100 3,072
Axcan Pharma* 198,228 4,117
Brookdale Senior Living (B) 24,800 987
Cambrex 146,500 1,595
Chemed 38,900 2,418
Community Health Systems* 99,600 3,131
Conmed (B)* 106,900 2,992
Cooper (B) 129,410 6,784
Cross Country Healthcare (B)* 199,300 3,482
Datascope 22,000 744
DexCom* 49,500 494
Discovery Laboratories (B)* 122,100 328
DJO (B)* 14,833 728
Emergent Biosolutions* 18,800 167
Greatbatch (B)* 29,900 795
Hanger Orthopedic Group* 53,600 607
Healthspring* 137,400 2,679
HealthTronics* 150,363 767
ICU Medical* 19,400 752
InterMune* 1,500 29
Invacare 45,900 1,073
Kendle International (B)* 15,527 645
Kensey Nash* 28,490 744
Kindred Healthcare (B)* 70,600 1,264
LifePoint Hospitals* 75,900 2,278
Magellan Health Services (B)* 71,700 2,910
Matrixx Initiatives* 23,100 456
Medical Staffing Network Holdings* 147,200 754
Merge Technologies (B)* 85,000 373
Myriad Genetics (B)* 67,700 3,531
National Dentex* 39,400 625
Neurocrine Biosciences (B)* 68,400 684
Orthofix International* 36,340 1,780
Owens & Minor (B) 22,187 845
Par Pharmaceutical (B)* 26,300 488
Pharmacopeia Drug Discovery* 146,850 840
PharMerica (B)* 112,441 1,678
Providence Service* 18,900 555
PSS World Medical* 74,468 1,425
Res-Care* 69,894 1,596
Salix Pharmaceuticals (B)* 2,700 34
Sciele Pharma (B)* 68,600 1,785
STERIS 20,100 549
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Sunrise Senior Living (B)* 19,400 $ 686
Symmetry Medical* 60,008 1,002
Viropharma* 29,900 266
--------------
78,858
--------------
INDUSTRIALS -- 14.0%
ABX Air* 85,600 606
ACCO Brands* 37,900 851
Actuant, Cl A 14,500 942
Acuity Brands (B) 30,800 1,555
Alaska Air Group* 23,700 547
Albany International, Cl A 104,700 3,925
Altra Holdings* 21,000 350
American Woodmark (B) 16,100 399
AO Smith 63,500 2,786
Apogee Enterprises 36,700 952
Applied Industrial Technologies (B) 18,425 568
Arkansas Best (B) 76,000 2,482
Astec Industries* 25,500 1,465
Atlas Air Worldwide Holdings* 27,000 1,394
Avis Budget Group* 49,382 1,130
BE Aerospace* 31,622 1,313
Beacon Roofing Supply* 10,900 111
Belden CDT 29,294 1,374
Brady, Cl A (B) 73,841 2,649
Brink's 61,800 3,453
Celadon Group* 109,300 1,286
Chart Industries* 59,800 1,923
CIRCOR International 33,756 1,533
Clean Harbors* 37,587 1,673
Commercial Vehicle Group* 104,000 1,334
Consolidated Graphics* 22,300 1,400
Crane 83,500 4,006
Danaos 39,000 1,408
Deluxe (B) 128,300 4,727
Diamond Management & Technology
Consultants (B) 93,700 862
Dollar Thrifty Automotive Group (B)* 27,300 947
EMCOR Group* 41,400 1,298
Encore Wire (B) 28,000 704
EnPro Industries (B)* 50,600 2,054
ESCO Technologies* 50,500 1,679
Federal Signal 105,205 1,616
First Advantage, Cl A* 9,300 164
First Consulting Group* 156,190 1,609
G&K Services 3,864 155
GATX (B) 11,200 479
GeoEye* 39,800 1,025
Global Cash Access* 4,400 47
Goodman Global* 168,251 4,018
GrafTech International* 48,200 860
Granite Construction 20,400 1,082
Great Lakes Dredge & Dock* 103,900 910
- --------------------------------------------------------------------------------
82 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
H&E Equipment Services* 52,000 $ 935
Heidrick & Struggles
International (B)* 49,000 1,786
Hubbell, Cl B 68,200 3,896
Hudson Highland Group* 67,500 859
ICF International* 27,000 745
IKON Office Solutions (B) 94,300 1,212
Interface, Cl A 72,981 1,317
JetBlue Airways* 62,800 579
Kadant* 44,344 1,242
Kansas City Southern (B)* 94,406 3,037
Kaydon (B) 53,352 2,774
KBR* 70,100 2,718
Kelly Services, Cl A 19,700 390
Kforce* 83,500 1,074
Kirby* 27,200 1,201
Knight Transportation (B) 71,200 1,225
Korn/Ferry International* 66,900 1,105
LECG* 120,800 1,800
Marten Transport (B)* 27,100 418
Mesa Air Group (B)* 224,900 999
Milacron (B)* 34,743 247
Mueller Industries 21,408 774
Mueller Water Products, Cl B 24,290 267
Navigant Consulting* 27,400 347
Navios Maritime Holdings 27,300 359
Navistar International* 41,600 2,567
NCI Building Systems (B)* 25,300 1,093
Orbital Sciences (B)* 112,200 2,495
Pacer International 32,800 625
Pall 119,600 4,652
PeopleSupport* 158,400 1,894
Perini (B)* 72,205 4,038
PHH* 66,500 1,748
Power-One (B)* 167,100 852
Regal-Beloit 15,600 747
Republic Airways Holdings* 32,400 686
RSC Holdings (B)* 67,600 1,109
Ryder System 64,900 3,180
Saia* 8,900 147
Schawk 21,200 479
School Specialty (B)* 50,344 1,743
Skywest 48,100 1,211
Spherion (B)* 99,700 824
Superior Essex* 43,300 1,614
Tecumseh Products, Cl A* 155,200 2,988
Teledyne Technologies (B)* 99,527 5,314
Tetra Tech (B)* 96,722 2,043
Trimas* 78,240 1,038
United Rentals* 18,000 579
United Stationers* 9,400 522
Universal Forest Products 16,100 481
US Xpress Enterprises, Cl A (B)* 33,200 656
Wabash National 106,300 1,200
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Walter Industries 95,200 $ 2,561
Waste Connections* 72,700 2,309
Waste Industries USA 14,000 401
Watson Wyatt Worldwide, Cl A 113,000 5,078
Watts Water Technologies, Cl A (B) 35,750 1,098
WESCO International* 41,088 1,764
YRC Worldwide (B)* 24,900 680
--------------
159,373
--------------
INFORMATION TECHNOLOGY -- 16.7%
ACI Worldwide* 12,000 268
Actel* 73,700 791
Alliance Semiconductor 253,400 583
AMIS Holdings (B)* 150,700 1,463
Applied Micro Circuits* 346,600 1,095
ARM Holdings ADR (B) 315,000 2,964
Arris Group (B)* 104,700 1,293
Asyst Technologies* 102,300 541
ATMI* 63,200 1,880
Avanex (B)* 365,200 599
Avocent (B)* 69,989 2,038
Axesstel* 411,000 370
BearingPoint (B)* 473,800 1,919
Benchmark Electronics* 98,200 2,344
Black Box 62,358 2,666
Broadridge Financial Solutions 116,600 2,210
Brocade Communications Systems* 710,000 6,078
CACI International, Cl A (B)* 132,612 6,775
Checkfree (B)* 7,319 341
Checkpoint Systems* 10,500 277
Ciber (B)* 129,000 1,007
Cirrus Logic* 125,800 805
Cognex 49,700 883
Coherent (B)* 72,843 2,337
Comverse Technology (B)* 194,000 3,841
Conexant Systems (B)* 92,500 111
CPI International* 56,950 1,083
CSG Systems International (B)* 81,900 1,740
CTS (B) 179,700 2,318
DSP Group* 52,600 833
Dycom Industries* 87,356 2,676
Earthlink (B)* 479,500 3,798
Electronics for Imaging (B)* 89,000 2,391
Emulex (B)* 133,583 2,561
Entegris (B)* 263,900 2,291
Epicor Software* 46,000 633
Foundry Networks* 150,000 2,665
Gevity HR 119,500 1,225
Ikanos Communications (B)* 154,200 859
Imation 53,300 1,307
Intevac* 94,600 1,438
JDA Software Group* 44,900 928
JDS Uniphase (B)* 136,900 2,048
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 83
SCHEDULE OF INVESTMENTS
Small Cap Value Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Kemet (B)* 87,300 $ 642
Keynote Systems* 134,600 1,848
Lawson Software (B)* 601,100 6,017
LeCroy (B)* 38,900 290
Littelfuse (B)* 71,888 2,566
LTX* 314,300 1,122
Measurement Specialties* 18,400 513
Mentor Graphics (B)* 164,000 2,476
Mercury Computer Systems* 103,400 1,063
Methode Electronics (B) 94,500 1,422
Microsemi (B)* 29,931 834
MKS Instruments (B)* 70,100 1,333
MoneyGram International 13,100 296
MPS Group* 236,500 2,637
Neoware* 58,900 955
Omnivision Technologies* 18,700 425
ON Semiconductor (B)* 37,600 472
Orbotech* 210,300 4,423
Orckit Communications* 108,900 758
Parametric Technology* 234,326 4,082
PC Connection (B)* 40,500 506
Pericom Semiconductor* 19,600 230
Perot Systems, Cl A* 161,819 2,736
Photronics* 41,400 472
Plantronics (B) 46,397 1,325
PMC - Sierra (B)* 117,700 988
Polycom* 26,900 723
Powerwave Technologies (B)* 184,389 1,136
Quantum* 343,200 1,167
Rackable Systems (B)* 220,300 2,857
Radisys (B)* 67,300 838
RADWARE* 121,600 1,908
RF Micro Devices (B)* 427,500 2,877
Richardson Electronics 63,533 435
Rudolph Technologies* 44,100 610
SAIC (B)* 56,900 1,092
Seachange International* 249,000 1,723
Seagate Technology (B) 65,584 1,678
SI International (B)* 94,600 2,703
Silicon Image (B)* 217,800 1,122
SkillSoft ADR* 117,100 1,053
Skyworks Solutions (B)* 680,700 6,154
SonicWALL* 60,800 531
SRA International, Cl A (B)* 59,200 1,662
Standard Microsystems (B)* 65,600 2,520
Sybase (B)* 145,550 3,367
Synopsys* 74,221 2,010
Tech Data* 30,300 1,216
Technitrol 124,800 3,363
Tekelec (B)* 247,600 2,996
Tessera Technologies* 25,335 950
TIBCO Software (B)* 449,300 3,320
TNS (B) 63,247 1,016
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Trident Microsystems* 61,800 $ 982
Ultratech (B)* 252,700 3,502
United Online (B) 202,600 3,041
Utstarcom (B)* 207,400 759
Verint Systems* 122,800 3,193
Wavecom ADR* 56,100 1,374
WidePoint* 268,100 214
Xyratex* 214,753 4,121
Zoran (B)* 212,500 4,292
--------------
189,209
--------------
MATERIALS -- 5.2%
AM Castle 22,500 733
Aptargroup (B) 51,039 1,933
Arch Chemicals 28,190 1,321
Bemis 70,889 2,064
Buckeye Technologies* 106,100 1,606
Constar International* 95,900 443
Crown Holdings* 54,300 1,236
Cytec Industries 76,600 5,239
Ferro (B) 29,177 583
FMC 37,262 1,938
H.B. Fuller (B) 128,400 3,811
Hercules 127,100 2,672
Louisiana-Pacific (B) 115,600 1,962
Myers Industries 19,300 382
Neenah Paper 57,468 1,902
NewMarket 16,800 830
Olin 48,205 1,079
OM Group* 48,500 2,561
Omnova Solutions* 77,300 447
PolyOne* 104,500 781
Quanex (B) 141,850 6,664
Rock-Tenn, Cl A 70,100 2,026
Ryerson (B) 32,400 1,093
Schweitzer-Mauduit International 31,300 729
Sensient Technologies (B) 135,600 3,915
Silgan Holdings 90,028 4,839
Spartech 71,700 1,223
Steel Dynamics (B) 37,900 1,770
Texas Industries 35,900 2,818
Wellman (B) 65,600 157
--------------
58,757
--------------
TELECOMMUNICATION SERVICES -- 0.5%
Atlantic Tele-Network 23,000 836
IDT 49,200 389
IDT, Cl B (B) 48,200 403
Premiere Global Services* 188,200 2,381
Syniverse Holdings (B)* 94,900 1,509
USA Mobility 34,200 577
--------------
6,095
--------------
- --------------------------------------------------------------------------------
84 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- -------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- -------------------------------------------------------------------------------
UTILITIES -- 4.5%
AGL Resources 56,921 $ 2,255
Allete 82,400 3,688
Atmos Energy (B) 65,635 1,859
Avista 27,000 549
Black Hills 18,800 771
Centerpoint Energy (B) 177,100 2,839
CMS Energy (B) 164,800 2,772
El Paso Electric (B)* 171,100 3,958
Empire District Electric (B) 36,458 824
Great Plains Energy 14,300 412
Hawaiian Electric Industries 14,300 310
Idacorp 26,381 864
ITC Holdings 28,400 1,407
Laclede Group 61,500 1,985
Nicor 46,700 2,003
Oneok 16,300 773
Ormat Technologies (B) 54,300 2,516
PNM Resources (B) 32,600 759
Portland General Electric 204,075 5,673
SEMCO Energy* 144,200 1,138
Southern Union 101,400 3,155
Southwest Gas 64,598 1,828
UGI 47,200 1,226
UIL Holdings 98,500 3,103
Unisource Energy 5,500 164
Vectren 12,500 341
Westar Energy (B) 92,905 2,282
WGL Holdings (B) 35,967 1,219
Wisconsin Energy 15,687 706
--------------
51,379
--------------
Total Common Stock
(Cost $980,045) ($ Thousands) 1,103,491
--------------
EXCHANGE TRADED FUND (B) -- 0.1%
iShares Russell 2000 Index Fund 20,835 1,668
--------------
Total Exchange Traded Fund
(Cost $1,590) ($ Thousands) 1,668
--------------
Number of
Warrants
-----------
WARRANTS -- 0.0%
Washington Mutual (D)* 335,142 84
--------------
Total Warrants
(Cost $48) ($ Thousands) 84
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATION (C) (F) -- 0.5%
FINANCIALS -- 0.5%
SLM EXL, Ser S
5.763%, 10/15/07 $ 5,786 $ 5,786
--------------
Total Corporate Obligation
(Cost $5,786) ($ Thousands) 5,786
--------------
ASSET-BACKED SECURITY (C) (F) (G) -- 0.4%
MORTGAGE RELATED SECURITY -- 0.4%
Duke Funding, Ser 2004-6B,
Cl A1S1
5.430%, 10/09/07 3,945 3,945
--------------
Total Asset-Backed Security
(Cost $3,945) ($ Thousands) 3,945
--------------
CASH EQUIVALENTS** -- 32.1%
Merrill Lynch EBP Master,
4.035% 1,172,116 1,172
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.350% ++ 28,708,100 28,708
SEI Liquidity Fund LP,
5.367% ++ (C) 334,921,067 334,921
--------------
Total Cash Equivalents
(Cost $364,801) ($ Thousands) 364,801
--------------
U.S. TREASURY OBLIGATION (A) (E) -- 0.1%
U.S. Treasury Bills
3.914%, 11/23/07 1,020 1,015
--------------
Total U.S. Treasury Obligation
(Cost $1,014) ($ Thousands) 1,015
--------------
Total Investments -- 130.3%
(Cost $1,357,229) ($ Thousands) $ 1,480,790
==============
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 85
SCHEDULE OF INVESTMENTS
Small Cap Value Fund (Concluded)
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):
- --------------------------------------------------------------------------------
NUMBER OF UNREALIZED
TYPE OF CONTRACTS EXPIRATION APPRECIATION
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
Russell 2000 Index E-MINI 291 Dec-2007 $ 706
=======
Percentages are based on Net Assets of $1,136,116 ($ Thousands).
* Non-Income Producing Security.
** Rate shown is the 7-day effective yield as of September 30, 2007.
+++ Narrow industries are utilized for compliance purposes, whereas broad
sectors are utilized for reporting.
+ Real Estate Investment Trust.
++ Investment in Affiliated Security (see Note 3).
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(B) This security or a partial position of this security is on loan at
September 30, 2007 (see Note 7). The total market value of securities on
loan at September 30, 2007 was $330,189 ($ Thousands).
(C) This security was purchased with cash collateral held from securities on
loan (see Note 7). The total market value of such securities as of
September 30, 2007 was $344,652 ($ Thousands).
(D) This warrant represents a potential distribution settlement in a legal
claim and does not have a strike price or expiration date.
(E) The rate reported is the effective yield at time of purchase.
(F) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of September 30, 2007.
(G) Securities sold within terms of a private placement memorandum, exempt
from registration under Section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors." These securities have been determined to be liquid
under guidelines established by the Board of Trustees.
(H) 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 $696 ($ Thousands) and
represented 0.06% of Net Assets.
(I) This security is traded on a foreign stock exchange. The total market
value of such securities as of September 30, 2007 was $9,193 ($ Thousands)
and represented 0.81% of Net Assets.
(J) Securities considered illiquid and restricted. The total market value of
such securities as of September 30, 2007 was $696 ($ Thousands) and
represented 0.06% of Net Assets.
ADR -- American Depositary Receipt
Cl -- Class
EXL -- Extendable Maturity
LP -- Limited Partnership
PIPE -- Private Investment in Public Entity
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
86 SEI Institutional Managed Trust / Annual Report / September 30, 2007
Small Cap Growth Fund
September 30, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS# (UNAUDITED):
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
22.0% Short-Term Investments
20.4% Information Technology
13.4% Health Care
12.0% Consumer Discretionary
11.3% Industrials
8.2% Financials
4.9% Energy
2.8% Materials
2.0% Telecommunication Services
1.6% Consumer Staples
0.9% Utilities
0.2% Asset-Backed Security
0.1% U.S. Treasury Obligation
0.1% Convertible Bond
0.1% Exchange Traded Fund
0.0% Warrants
#Percentages based on total investments. Includes investments held as collateral
for securities on loan (see Note 7).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK++ -- 97.5%
CONSUMER DISCRETIONARY -- 15.2%
Aeropostale* 88,363 $ 1,684
Aftermarket Technology* 28,429 902
Ameristar Casinos 18,000 506
BJ's Restaurants (B)* 37,400 787
Black & Decker 2,593 216
Blockbuster, Cl A* 125,093 672
Blue Nile (B)* 6,400 602
Blyth 33,320 681
Bob Evans Farms 24,293 733
Brown Shoe 69,750 1,353
Buckle 13,600 516
Capella Education* 23,240 1,299
Carrols Restaurant Group* 4,500 50
Carter's* 25,518 509
Casual Male Retail Group (B)* 238,500 2,137
CBRL Group 2,900 118
Century Casinos* 93,439 570
Charming Shoppes (B)* 297,500 2,499
Chipotle Mexican Grill, Cl A (B)* 39,575 4,675
Citi Trends (B)* 30,200 657
Coach* 64,700 3,058
Cooper Tire & Rubber 63,325 1,545
CROCS (B)* 166,900 11,224
CSK Auto (B)* 99,400 1,059
Ctrip.com International ADR 59,100 3,061
Deckers Outdoor* 1,400 154
Denny's* 207,810 831
DeVry 5,753 213
Dick's Sporting Goods* 5,082 341
Dolan Media* 41,400 1,006
Dover Downs Gaming &
Entertainment 58,150 604
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Dress Barn* 46,539 $ 792
Drew Industries (B)* 20,500 834
Dufry South America
(United Kingdom) (J)* 70,800 1,839
Eddie Bauer Holdings (B)* 290,051 2,494
Focus Media Holding ADR (B)* 34,386 1,995
Gaiam, Cl A (B)* 139,800 3,359
GameStop, Cl A* 21,600 1,217
Genius Products* 382,000 1,031
Gildan Activewear* 48,800 1,922
Global Sources (B)* 57,600 1,277
Group 1 Automotive (B) 57,100 1,917
GSI Commerce (B)* 76,115 2,025
Gymboree* 54,600 1,924
Harris Interactive* 181,300 781
Hayes Lemmerz International* 129,458 539
hhgregg* 112,100 1,177
Hibbett Sports (B)* 123,326 3,059
Hooker Furniture 5,012 100
J Crew Group* 29,700 1,233
Jack in the Box* 5,800 376
Jackson Hewitt Tax Service 62,200 1,739
Jakks Pacific* 30,252 808
Jamba (B)* 109,100 767
Jarden* 26,000 805
Jo-Ann Stores* 17,019 359
Jos. A. Bank Clothiers (B)* 70,553 2,358
Journal Communications, Cl A 65,929 625
Lear* 34,900 1,120
Life Time Fitness (B)* 68,127 4,179
Lin TV, Cl A* 32,601 424
LKQ* 43,800 1,525
Lululemon Athletica* 29,700 1,248
Martha Stewart Living Omnimedia,
Cl A (B) 148,600 1,731
Marvel Entertainment (B)* 119,600 2,803
McCormick & Schmick's Seafood
Restaurants* 117,755 2,217
Men's Wearhouse (B) 58,245 2,943
Mohawk Industries* 8,789 715
Monarch Casino & Resort (B)* 9,900 282
Morningstar (B)* 16,275 999
National CineMedia 58,135 1,302
Nexstar Broadcasting Group, Cl A* 36,440 382
NVR* 1,384 651
O'Charleys 21,426 325
Outdoor Channel Holdings (B)* 64,600 583
Papa John's International* 1,400 34
Perry Ellis International* 34,027 943
Phillips-Van Heusen 29,165 1,531
Polaris Industries (B) 24,300 1,060
Pre-Paid Legal Services* 8,332 462
priceline.com (B)* 22,785 2,022
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 87
SCHEDULE OF INVESTMENTS
Small Cap Growth Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Quiksilver (B)* 563,200 $ 8,054
RadioShack 30,928 639
Red Robin Gourmet Burgers (B)* 39,900 1,712
Regis (B) 79,200 2,527
RRSat Global Communications
Network* 73,500 1,801
Ruby Tuesday (B) 25,100 460
Shutterfly (B)* 177,800 5,674
Sinclair Broadcast Group, Cl A 205,609 2,476
Snap-On 22,895 1,134
Sonic Automotive, Cl A (B) 38,780 928
Sotheby's Holdings (B) 36,010 1,721
Stamps.com* 35,800 429
Standard Motor Products 56,975 536
Stoneridge* 39,497 403
Sturm Ruger* 65,923 1,181
Tecnisa (Brazil) (J) 451,700 2,833
Tempur-Pedic International (B) 128,145 4,581
Texas Roadhouse, Cl A* 38,413 449
Thor Industries 28,200 1,269
Timberland, Cl A (B)* 126,400 2,397
Town Sports International Holdings* 70,500 1,072
Triarc, Cl B 91,600 1,146
True Religion Apparel (B)* 126,900 2,234
Tupperware Brands (B) 114,160 3,595
Under Armour, Cl A (B)* 58,035 3,472
Universal Electronics* 35,500 1,154
Valuevision Media, Cl A* 75,900 562
Volcom (B)* 60,760 2,584
West Marine* 53,664 620
Wet Seal, Cl A (B)* 16,500 64
WMS Industries (B)* 83,800 2,774
Zumiez (B)* 105,250 4,670
--------------
176,246
--------------
CONSUMER STAPLES -- 2.0%
Alliance One International* 131,739 862
American Oriental
Bioengineering (B)* 7,200 80
Asiatic Development (Malaysia) (J) 1,206,500 2,266
B&G Foods, Cl A 38,900 498
Bare Escentuals* 48,500 1,206
Boston Beer, Cl A* 26,940 1,311
Chattem (B)* 23,335 1,646
Church & Dwight 8,300 391
Cosan SA Industria e Comercio
(Brazil) (J)* 214,500 2,914
Herbalife 35,721 1,624
Inter Parfums 71,500 1,692
Lance 118,815 2,735
Mannatech (B) 45,100 365
Nash Finch (B) 35,025 1,395
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
NBTY* 53,593 $ 2,176
TreeHouse Foods* 32,700 885
Universal 556 27
USANA Health Sciences (B)* 30,500 1,334
--------------
23,407
--------------
ENERGY -- 6.2%
Arena Resources (B)* 24,535 1,607
Arlington Tankers (B) 88,500 2,180
ATP Oil & Gas (B)* 27,000 1,270
Atwood Oceanics (B)* 20,400 1,562
BA Energy PIPE (Canada)
(D) (G) (J)* 145,000 1,022
BA Energy, Deal #3 PIPE (Canada)
(D) (G) (J)* 37,000 261
Basic Energy Services (B)* 84,700 1,780
Bois d'Arc Energy* 33,900 650
BPZ Energy PIPE (D) (G)* 286,500 2,235
Cal Dive International (B)* 211,000 3,165
CARBO Ceramics (B) 29,100 1,476
Carrizo Oil & Gas* 17,600 790
Complete Production Services* 102,900 2,107
Comstock Resources* 54,000 1,665
Core Laboratories* 18,270 2,328
Delek US Holdings 129,500 3,248
Denbury Resources (B)* 25,126 1,123
Dresser-Rand Group* 59,758 2,552
Dril-Quip (B)* 52,060 2,569
Encore Acquisition (B)* 68,100 2,155
EXCO Resources* 32,222 533
Hercules Offshore (B)* 95,600 2,496
Infinity Bio-Energy* 741,494 3,804
ION Geophysical (B)* 208,965 2,890
Kodiak Oil & Gas* 260,900 861
Lufkin Industries 6,000 330
Meridian Resource* 283,581 703
Natural Gas Services Group* 54,200 933
Oilsands Quest (B)* 398,000 1,763
Oilsands Quest PIPE (D) (G)* 13,700 61
OPTI (Canada) (J)* 122,000 2,286
Parker Drilling* 137,400 1,116
PetroHawk Energy* 51,100 839
Petroquest Energy (B)* 122,100 1,310
Rentech (B)* 822,800 1,777
Rosetta Resources* 90,316 1,656
StealthGas 67,000 1,154
Superior Energy Services (B)* 33,050 1,171
Superior Offshore International* 16,900 190
Superior Well Services (B)* 73,900 1,680
Swift Energy* 4,004 164
Synenco Energy (Canada)
(D) (G) (H) (J)* 19,500 220
- --------------------------------------------------------------------------------
88 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Synenco Energy, Cl A (Canada) (J)* 156,360 $ 1,767
Union Drilling* 19,100 279
Uranium One (Canada) (J)* 148,549 1,966
USEC* 58,732 602
W-H Energy Services* 36,800 2,714
World Fuel Services 29,400 1,200
--------------
72,210
--------------
FINANCIALS -- 9.9%
A.G. Edwards 9,093 762
Acadia Realty Trust+ 69,200 1,877
Advance America Cash Advance
Centers 11,400 122
Affiliated Managers Group (B)* 56,036 7,145
American Financial Realty Trust+ (B) 223,250 1,797
Amerisafe* 66,878 1,106
Bank of the Ozarks (B) 8,600 263
Bankunited Financial, Cl A 39,875 620
Canaccord Capital (Canada) (J) 101,100 1,931
CapitalSource+ 82,055 1,661
Cascade Bancorp (B) 31,812 708
Cash America International 47,569 1,789
Castlepoint Holdings 149,800 1,723
City Bank 400 11
Cohen & Steers (B) 28,900 1,070
Columbia Bancorp (B) 20,300 402
Companhia Brasileira de
Desenvolvimento Imobiliari
Turistico (Brazil) (J)* 3,500 1,822
Companhia Brasileira de
Desenvolvimento Imobiliari
Turistico (Brazil) (J)* 700 364
Corus Bankshares 53,816 701
Darwin Professional Underwriters* 8,800 190
Delphi Financial Group, Cl A 50,225 2,030
Dollar Financial (B)* 73,900 2,108
Dundee (Canada)+ (J)* 50,100 1,953
DundeeWealth (Canada) (J) 75,791 1,352
DundeeWealth (Canada) (J) 7,900 141
East West Bancorp 66,100 2,377
eHealth* 31,157 863
Essex Property Trust+ 3,800 447
Evercore Partners, Cl A 155,300 4,083
Ezcorp, Cl A (B)* 104,200 1,401
FCStone Group* 38,700 1,249
Federated Investors, Cl B 69,800 2,771
FelCor Lodging Trust+ 106,300 2,119
First Cash Financial Services* 92,400 2,164
First Industrial Realty Trust+ (B) 12,200 474
First Mercury Financial* 57,400 1,235
FirstFed Financial (B)* 48,267 2,392
GAMCO Investors, Cl A (B) 12,900 707
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
General Shopping Brasil (Brazil) (J)* 63,100 $ 499
General Shopping Brasil (Brazil) (J)* 208,900 1,652
GFI Group* 1,500 129
Glacier Bancorp 24,418 550
Gluskin Sheff + Associates
(Canada) (H) (J) 69,600 2,136
Gluskin Sheff + Associates
(Canada) (J) 18,800 577
GMP Capital Trust (Canada) (J) 74,900 1,644
Greenhill (B) 35,100 2,143
Grubb & Ellis (B)* 20,000 186
Grubb & Ellis Realty Advisors* 395,700 2,422
Hercules Technology Growth Capital 95,988 1,274
Hersha Hospitality Trust+ 174,200 1,725
HFF* 50,400 598
Highbury Financial (B)* 36,700 165
Highbury Financial Units* 115,400 638
Imperial Capital Bancorp 1,213 34
Jones Lang LaSalle 3,855 396
Kansas City Life Insurance 22,900 1,009
MarketAxess Holdings* 45,300 679
Meadowbrook Insurance Group* 57,700 520
Meruelo Maddux Properties* 289,100 1,709
MFA Mortgage Investments+ (B) 278,100 2,239
Move* 371,200 1,024
NASDAQ Stock Market (B)* 128,300 4,834
Nationwide Health Properties+ (B) 38,600 1,163
Nelnet, Cl A 53,300 972
NNN Realty Advisors (D) (G) 241,000 2,036
Ocwen Financial* 53,261 502
Omega Healthcare Investors+ 38,800 603
optionsXpress Holdings 39,200 1,025
PFF Bancorp 80,360 1,233
Piper Jaffray (B)* 49,100 2,632
Platinum Underwriters Holdings 56,760 2,041
Portfolio Recovery Associates (B) 33,400 1,772
Powershares QQQ 14,407 741
Preferred Bank 13,950 549
Ram Holdings Ltd.* 99,300 923
Sierra Bancorp (B) 1,900 54
Signature Bank (B)* 41,100 1,448
Sterling Financial, Washington Shares 37,500 1,009
SVB Financial Group (B)* 53,665 2,542
Taylor Capital Group 9,633 269
Thomas Weisel Partners Group* 77,800 1,129
Titanium Asset* 140,900 669
TradeStation Group* 45,300 529
UCBH Holdings (B) 66,300 1,159
United Fire & Casualty 35,000 1,368
Victory Acquisition* 50,032 465
Vineyard National Bancorp 19,938 333
Waddell & Reed Financial, Cl A 41,800 1,130
Westamerica Bancorporation 22,400 1,116
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 89
SCHEDULE OF INVESTMENTS
Small Cap Growth Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Wilshire Bancorp 44,300 $ 486
Winthrop Realty Trust+ (B) 22,700 153
World Acceptance (B)* 12,100 400
--------------
115,163
--------------
HEALTH CARE -- 16.9%
3SBio ADR* 137,800 1,988
Abraxis BioScience (B)* 25,500 582
Acadia Pharmaceuticals (B)* 36,700 552
Accuray (B)* 18,500 323
Achillion Pharmaceuticals* 65,100 419
Acorda Therapeutics* 24,200 444
Adams Respiratory Therapeutics (B)* 9,970 384
Affymax* 9,100 246
Affymetrix (B)* 215,014 5,455
Albany Molecular Research* 45,585 688
Alexion Pharmaceuticals* 10,300 671
Align Technology (B)* 100,508 2,546
Alkermes (B)* 296,748 5,460
Alliance Imaging* 356,979 3,234
Altus Pharmaceuticals (B)* 81,600 856
Amedisys (B)* 39,430 1,515
American Dental Partners* 43,411 1,216
American Medical Systems
Holdings (B)* 57,452 974
AMN Healthcare Services* 64,500 1,208
Amsurg* 119,228 2,751
Angiotech Pharmaceuticals* 64,400 404
Apria Healthcare Group (B)* 150,181 3,906
Arena Pharmaceuticals (B)* 158,300 1,733
Ariad Pharmaceuticals (B)* 328,800 1,522
Array Biopharma (B)* 91,100 1,023
Arthrocare (B)* 8,192 458
BioMarin Pharmaceuticals (B)* 144,582 3,600
Bradley Pharmaceuticals* 45,502 828
Bruker BioSciences* 7,900 70
Cambrex 58,789 640
Cell Genesys (B)* 267,500 1,022
Centene* 17,489 376
Cephalon (B)* 119,187 8,708
Chemed 34,132 2,122
Computer Programs & Systems (B) 33,423 881
Conceptus (B)* 52,400 995
Conmed* 31,484 881
Cubist Pharmaceuticals (B)* 287,555 6,076
Cutera* 15,100 396
CV Therapeutics (B)* 499,900 4,489
Cynosure, Cl A (B)* 87,784 3,239
Cypress Bioscience (B)* 77,924 1,067
Depomed (B)* 361,200 740
Dionex* 32,517 2,584
Discovery Laboratories (B)* 164,098 441
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Emergency Medical Services, Cl A* 38,968 $ 1,179
Emergent Biosolutions* 8,300 74
Encysive Pharmaceuticals (B)* 440,000 664
Enzon Pharmaceuticals (B)* 59,800 527
Exelixis (B)* 240,621 2,548
Five Star Quality Care (B)* 156,700 1,288
Foxhollow Technologies* 37,600 993
Greatbatch* 45,289 1,204
Hanger Orthopedic Group* 13,938 158
HealthExtras* 34,100 949
Healthspring* 46,728 911
HealthTronics* 15,243 78
Healthways* 15,800 853
Hologic (B)* 35,645 2,174
Human Genome Sciences (B)* 316,499 3,257
I-Flow* 73,200 1,361
Illumina (B)* 94,213 4,888
Immunomedics* 117,975 270
Incyte (B)* 353,000 2,524
Integra LifeSciences Holdings (B)* 6,000 291
InterMune (B)* 22,500 430
Inverness Medical Innovations* 28,405 1,571
Invitrogen* 10,284 841
Isis Pharmaceuticals (B)* 35,288 528
ISTA Pharmaceuticals (B)* 180,500 1,245
Kendle International (B)* 31,260 1,298
KV Pharmaceutical, Cl A (B)* 17,200 492
Kyphon* 15,300 1,071
Landauer 13,419 684
LCA-Vision 13,283 390
LeMaitre Vascular* 64,400 486
LHC Group* 33,600 721
Lifecell (B)* 21,200 797
MannKind* 34,800 337
Martek Biosciences (B)* 22,000 639
Matria Healthcare* 33,537 877
Medarex (B)* 501,500 7,101
Medcath* 39,460 1,084
Medicines* 49,600 883
Medicis Pharmaceutical, Cl A 67,000 2,044
Medtox Scientific* 33,545 686
Mentor (B) 26,122 1,203
Metabolix (B)* 84,900 2,060
MGI Pharma (B)* 57,201 1,589
Micrus Endovascular* 93,000 1,699
MWI Veterinary Supply* 23,600 891
Myriad Genetics (B)* 77,438 4,038
Noven Pharmaceuticals (B)* 25,500 406
NuVasive* 11,516 414
Odyssey HealthCare* 244,300 2,348
Omnicell* 82,615 2,358
Omrix Biopharmaceuticals* 22,251 786
Onyx Pharmaceuticals* 13,894 605
- --------------------------------------------------------------------------------
90 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
OraSure Technologies* 107,200 $ 1,077
OSI Pharmaceuticals (B)* 27,800 945
Panacos Pharmaceuticals* 106,539 170
Par Pharmaceutical* 17,000 316
Parexel International* 30,645 1,265
PDL BioPharma* 18,900 408
Pediatrix Medical Group* 22,500 1,472
Penwest Pharmaceuticals (B)* 132,600 1,460
PharmaNet Development Group* 22,753 661
Pozen (B)* 34,700 384
Profarma Distribuidora de Produtos
Farmaceuticos (Brazil) (J)* 112,700 2,205
PSS World Medical* 117,800 2,254
Psychiatric Solutions (B)* 78,509 3,084
Qiagen* 69,395 1,347
Radiation Therapy Services* 31,600 658
Regeneron Pharmaceuticals (B)* 100,627 1,791
Res-Care* 29,217 667
Salix Pharmaceuticals (B)* 6,800 84
Sciele Pharma (B)* 176,307 4,588
Seattle Genetics (B)* 32,000 360
Senomyx (B)* 31,796 390
Sirona Dental Systems (B)* 54,100 1,930
Somanetics* 37,600 700
Spectranetics (B)* 93,345 1,258
Sun Healthcare Group* 71,400 1,193
SuperGen (B)* 79,200 344
SurModics (B)* 27,400 1,343
Tercica (B)* 126,300 783
Theravance* 15,900 415
TomoTherapy* 38,100 885
United Therapeutics (B)* 56,300 3,746
Ventana Medical Systems* 9,400 808
ViaCell* 36,682 173
Viropharma* 45,400 404
Vnus Medical Technologies* 38,993 620
Volcano (B)* 62,375 1,025
Watson Pharmaceuticals* 30,253 980
WellCare Health Plans* 10,023 1,057
West Pharmaceutical Services 82,398 3,433
Wright Medical Group (B)* 54,500 1,462
Xenoport* 8,000 376
--------------
197,027
--------------
INDUSTRIALS -- 14.3%
Accuride* 30,530 370
Acuity Brands (B) 70,620 3,565
Advisory Board* 51,162 2,991
Aecom Technology* 54,100 1,890
AGCO* 12,654 642
American Commercial Lines (B)* 86,900 2,062
American Reprographics (B)* 33,105 620
American Woodmark 20,726 514
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
AO Smith 6,900 $ 303
Apogee Enterprises 129,931 3,370
Applied Industrial Technologies 36,478 1,125
Barnes Group 42,180 1,346
BE Aerospace* 115,626 4,802
Belden CDT 68,717 3,223
Blount International (B)* 6,600 75
Bowne 22,279 371
Bucyrus International, Cl A 23,765 1,733
Ceradyne (B)* 63,250 4,791
Chicago Bridge & Iron 79,818 3,437
CIRCOR International 19,124 868
Clean Harbors* 40,800 1,816
COMSYS IT Partners* 118,489 1,992
Consolidated Graphics (B)* 26,000 1,633
Continental Airlines, Cl B* 21,884 723
Cornell* 7,179 169
Corrections of America* 46,370 1,213
CoStar Group* 55,390 2,961
CRA International (B)* 42,500 2,048
Crane 18,100 868
Cubic 4,100 173
Deluxe 18,390 677
Duff & Phelps* 44,701 820
Dynamic Materials 87,700 4,200
DynCorp International, Cl A* 96,283 2,225
Encore Wire 10,137 255
EnPro Industries* 21,999 893
ESCO Technologies (B)* 33,200 1,104
Evergreen Solar (B)* 84,200 752
ExpressJet Holdings* 132,546 410
Flint Energy Services (Canada) (J)* 64,900 1,746
Flow International* 153,700 1,356
Force Protection (B)* 38,600 836
Force Protection (D) (G)* 201,900 3,936
Forward Air 35,100 1,045
Fuel Tech* 9,983 221
Gardner Denver* 23,174 904
General Cable (B)* 63,695 4,275
Geo Group* 53,756 1,592
GeoEye* 37,100 955
Goodman Global* 94,100 2,247
GrafTech International* 71,158 1,269
Granite Construction 5,800 307
H&E Equipment Services (B)* 123,900 2,228
Heartland Express 45,200 645
Heico, Cl A 38,421 1,518
Heidrick & Struggles
International (B)* 45,315 1,652
Herman Miller 14,400 391
Hexcel* 68,700 1,560
Horizon Lines, Cl A (B) 72,519 2,214
HUB Group, Cl A* 97,978 2,942
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 91
SCHEDULE OF INVESTMENTS
Small Cap Growth Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Hudson Highland Group* 34,566 $ 440
Hurco* 3,263 176
Huron Consulting Group* 23,450 1,703
IHS, Cl A* 54,304 3,068
II-VI (B)* 47,900 1,654
Innerworkings (B)* 172,297 2,969
JA Solar Holdings ADR (B)* 22,219 999
Kenexa* 45,400 1,397
Kennametal 16,453 1,382
Kforce* 31,400 404
Knight Transportation (B) 63,825 1,098
Knoll (B) 193,349 3,430
Korn/Ferry International* 26,770 442
Labor Ready* 45,900 850
Landstar System 31,300 1,314
Layne Christensen (B)* 22,900 1,270
Lincoln Electric Holdings 30,900 2,398
Lydall* 61,620 572
Manitowoc 22,308 988
Mcgrath Rentcorp 16,300 542
Middleby* 20,170 1,302
Multi-Color 21,256 485
NACCO Industries, Cl A 5,536 573
NCI Building Systems (B)* 52,900 2,286
Nuco2* 47,300 1,217
Old Dominion Freight Line* 31,995 767
Orbital Sciences (B)* 14,600 325
Orion Marine Group (D) (G)* 169,200 2,411
Perini (B)* 75,320 4,213
Pinnacle Airlines (B)* 117,039 1,875
Power-One (B)* 92,830 473
Quanta Services (B)* 66,740 1,765
RBC Bearings* 48,445 1,858
Republic Airways Holdings* 62,510 1,323
Resources Connection 23,500 544
RSC Holdings (B)* 202,600 3,323
Steelcase, Cl A 47,443 853
Sunpower, Cl A (B)* 8,839 732
Superior Essex* 13,400 500
TAL International Group 74,800 1,875
Teleflex 11,627 906
TeleTech Holdings* 48,100 1,150
TransDigm Group* 17,175 785
Tredegar 41,922 723
UAL* 14,276 664
United Industrial (B) 21,475 1,616
United Rentals* 73,200 2,355
US Airways Group* 20,076 527
Waste Connections* 41,810 1,328
Waste Industries USA 20,400 584
Watson Wyatt Worldwide, Cl A 75,160 3,378
--------------
166,681
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 25.9%
ACI Worldwide* 26,611 $ 595
Acme Packet (B)* 173,500 2,675
Actuate* 144,151 930
Advanced Energy Industries (B)* 121,116 1,829
Advent Software (B)* 36,300 1,705
American Software, Cl A 20,370 187
AMIS Holdings (B)* 98,100 953
Amkor Technology (B)* 205,900 2,372
Anadigics (B)* 28,055 507
Ansoft (B)* 9,600 317
Ariba* 77,652 837
Arris Group* 172,036 2,125
Arrow Electronics* 19,216 817
Art Technology Group (B)* 217,212 656
Aruba Networks (B)* 72,900 1,458
AsiaInfo Holdings* 123,890 1,122
Aspen Technology (B)* 20,900 299
Asyst Technologies* 418,900 2,216
Atheros Communications (B)* 119,335 3,576
ATMI* 44,104 1,312
Avocent* 116,700 3,398
Bankrate* 16,800 775
BigBand Networks (B)* 24,300 156
Blackboard (B)* 16,871 773
Blue Coat Systems* 5,000 394
Brooks Automation* 41,400 590
C-COR* 72,519 833
Captaris* 117,655 622
Chordiant Software (B)* 121,500 1,684
CMGI* 560,172 762
CNET Networks (B)* 471,400 3,512
Cogent (B)* 23,600 370
CommScope* 40,375 2,028
Commvault Systems* 70,200 1,300
Comtech Group (B)* 106,300 1,936
Comtech Telecommunications* 25,675 1,373
Comverge (B)* 14,071 462
Concur Technologies (B)* 104,128 3,282
Convergys* 33,519 582
CPI International* 8,200 156
Credence Systems* 337,868 1,044
CSG Systems International (B)* 133,955 2,847
CTS (B) 7,700 99
Cymer* 56,400 2,165
Cypress Semiconductor* 43,900 1,282
Daktronics (B) 71,183 1,938
Data Domain (B)* 42,500 1,315
DealerTrack Holdings* 106,389 4,456
DemandTec* 73,602 1,005
Digimarc* 77,836 703
Diodes (B)* 35,464 1,138
DivX (B)* 70,269 1,045
- --------------------------------------------------------------------------------
92 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Double-Take Software* 101,500 $ 1,940
DSP Group* 80,000 1,266
DTS* 36,000 1,093
Echelon (B)* 26,650 667
EFJ* 117,900 684
Emergis (Canada) (J)* 299,400 2,103
EMS Technologies* 38,700 949
Emulex (B)* 97,200 1,863
Epicor Software* 156,400 2,154
EPIQ Systems (B)* 102,380 1,927
Equinix (B)* 37,377 3,315
Euronet Worldwide (B)* 73,610 2,191
Factset Research Systems 20,470 1,403
FalconStor Software* 102,255 1,232
Greenfield Online* 8,259 126
Harris Stratex Networks, Cl A (B)* 79,600 1,391
Heartland Payment Systems (B) 11,600 298
Hittite Microwave* 31,865 1,407
Hutchinson Technology* 89,900 2,212
Imation 93,200 2,286
Imergent (B) 30,800 691
Immersion (B)* 63,900 1,047
Infinera (B)* 26,161 527
Informatica (B)* 123,300 1,936
InterDigital* 136,600 2,839
IPG Photonics* 119,200 2,344
Jack Henry & Associates (B) 95,800 2,477
JDA Software Group* 162,700 3,361
Jupitermedias* 220,000 1,393
Knot (B)* 19,600 417
Liquidity Services* 43,476 478
LoJack* 115,544 2,191
LTX* 223,082 796
Magma Design Automation* 14,646 206
Manhattan Associates (B)* 64,899 1,779
Mantech International, Cl A* 53,500 1,925
Marchex, Cl B (B) 93,500 889
Mentor Graphics (B)* 159,100 2,402
Mercadolibre (B)* 59,359 2,174
Methode Electronics 59,821 900
Micros Systems* 18,900 1,230
Microsemi (B)* 300,673 8,383
MicroStrategy, Cl A* 23,089 1,832
MIPS Technologies (B)* 260,300 2,056
Monolithic Power Systems* 59,570 1,513
Navisite* 218,400 1,920
Net 1 UEPS Technologies (B)* 33,247 903
Netezza* 77,400 968
Netgear* 42,910 1,305
Netlogic Microsystems (B)* 31,304 1,130
Novatel* 49,500 1,943
Novatel Wireless (B)* 171,442 3,883
Nuance Communications (B)* 125,321 2,420
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Omniture (B)* 127,300 $ 3,860
ON Semiconductor (B)* 382,360 4,802
OSI Systems* 60,900 1,371
Palm (B)* 161,000 2,620
Park Electrochemical 44,600 1,498
Parkervision (B)* 165,200 2,508
PC Connection* 68,900 861
Perfect World ADR* 40,200 1,098
Perficient (B)* 98,675 2,158
Photon Dynamics* 80,598 729
Plexus* 80,100 2,195
PLX Technology* 188,124 2,032
PMC - Sierra (B)* 260,200 2,183
Polycom (B)* 369,700 9,930
Power Integrations* 56,317 1,673
Powerwave Technologies (B)* 86,600 533
Presstek (B)* 73,522 461
Quality Systems (B) 12,621 462
Red Hat (B)* 461,400 9,168
RF Micro Devices (B)* 769,200 5,177
RightNow Technologies (B)* 44,052 709
Rudolph Technologies* 65,300 903
SAVVIS* 29,400 1,140
Seachange International* 228,000 1,578
Secure Computing* 171,100 1,665
ShoreTel* 155,900 2,233
Sigma Designs (B)* 50,069 2,415
Silicon Motion Technology ADR* 76,140 1,714
Silicon Storage Technology* 188,308 606
Sina (B)* 55,156 2,639
Sirf Technology Holdings (B)* 123,797 2,643
Skyworks Solutions (B)* 544,677 4,924
Smart Modular Technologies WWH* 4,500 32
Solera Holdings* 46,400 835
Sourcefire (B)* 45,300 411
SPSS* 28,540 1,174
Staktek Holdings* 60,910 210
Stratasys (B)* 38,970 1,074
Sybase (B)* 117,747 2,724
Symmetricom* 10,461 49
Synaptics* 29,045 1,387
Synchronoss Technologies (B)* 89,830 3,778
TAC Acquisition 293,800 1
Taleo, Cl A* 88,024 2,237
TechTarget* 18,700 316
Teradyne* 54,854 757
Terremark Worldwide* 158,600 1,137
THQ (B)* 202,294 5,053
Trina Solar ADR (B)* 44,300 2,524
Triquint Semiconductor* 333,900 1,639
TTM Technologies (B)* 195,100 2,257
Ultimate Software Group* 27,000 942
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 93
SCHEDULE OF INVESTMENTS
Small Cap Growth Fund (Concluded)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
United Online 60,800 $ 913
Universal Display (B)* 92,500 1,639
Valueclick* 55,222 1,240
Varian Semiconductor Equipment
Associates (B)* 57,100 3,056
Vasco Data Security
International (B)* 76,945 2,717
VeriFone Holdings (B)* 88,925 3,942
Verigy* 54,540 1,348
Viasat (B)* 39,490 1,218
Vignette* 91,389 1,834
Virtusa* 75,261 1,129
VistaPrint (B)* 64,915 2,426
Vocus* 55,200 1,614
Westell Technologies, Cl A* 38,870 92
Wind River Systems (B)* 427,000 5,026
Wright Express* 83,900 3,062
Zygo* 76,938 1,003
--------------
300,562
--------------
MATERIALS -- 3.5%
ADA-ES (B)* 27,400 340
AK Steel Holding* 14,900 655
Buckeye Technologies* 72,015 1,090
Carpenter Technology 13,800 1,794
Celanese, Ser A 6,455 252
CF Industries Holdings 2,175 165
Cincinnati Bell* 181,087 894
Cleveland-Cliffs (B) 26,816 2,359
First Quantum Minerals (Canada) (J) 26,600 2,613
Frontera Copper (Canada) (J)* 194,000 1,283
Graphic Packaging* 40,430 183
Greif, Cl A (B) 29,150 1,769
Haynes International* 28,700 2,450
Hercules 191,935 4,034
Horsehead Holding (B)* 106,484 2,387
Innospec 41,248 940
Katanga Mining (Canada) (J)* 103,200 1,797
Koppers Holdings 37,920 1,464
Metal Management 22,970 1,245
Rock-Tenn, Cl A 32,821 948
Schnitzer Steel Industries, Cl A (B) 14,100 1,033
Schweitzer-Mauduit International 32,059 747
Sherritt International (Canada) (J) 174,100 2,789
Spartech 32,627 557
Steel Dynamics (B) 46,900 2,190
Terra Industries* 72,252 2,259
Wheeling-Pittsburgh (B)* 138,700 2,677
--------------
40,914
--------------
TELECOMMUNICATION SERVICES -- 2.5%
Atlantic Tele-Network 4,400 160
Cbeyond (B)* 43,998 1,795
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Centennial Communications* 120,571 $ 1,220
CenturyTel 5,564 257
Clearwire, Cl A (B)* 131,100 3,204
Cogent Communications Group* 40,400 943
Fairpoint Communications (B) 165,500 3,121
NeuStar, Cl A* 69,498 2,383
NTELOS Holdings 143,360 4,223
Premiere Global Services* 96,900 1,226
Rural Cellular, Cl A* 22,148 964
SBA Communications, Cl A (B)* 146,370 5,164
SureWest Communications 2,831 71
Syniverse Holdings* 103,900 1,652
Time Warner Telecom, Cl A (B)* 92,185 2,025
USA Mobility 43,795 739
--------------
29,147
--------------
UTILITIES -- 1.1%
AGL Resources 22,712 900
Atmos Energy 30,233 856
Black Hills 22,506 923
Cia de Saneamento de Minas
Gerais-COPASA (Brazil) (J)* 91,000 1,484
ITC Holdings 36,208 1,794
Ormat Technologies (B) 69,400 3,216
PNOC Energy Development
(Philippines) (J)* 10,767,000 1,530
Portland General Electric 20,973 583
Southwest Gas 16,811 476
WGL Holdings 25,179 853
--------------
12,615
--------------
Total Common Stock
(Cost $1,010,757) ($ Thousands) 1,133,972
--------------
EXCHANGE TRADED FUND -- 0.1%
iShares Russell 2000 Growth
Index Fund 15,078 1,284
--------------
Total Exchange Traded Fund
(Cost $1,246) ($ Thousands) 1,284
--------------
Number of
Warrants
-------------
WARRANTS -- 0.0%
Parkervision, Deal #2 (D) (G) (I)* 17,500 108
Rentech,
Expires 04/25/12 (D) (G)* 19,400 11
Titanium Asset Management,
Expires 06/21/11* 147,800 157
Victory Acquisition,
Expires 04/24/11* 50,032 68
--------------
Total Warrants
(Cost $103) ($ Thousands) 344
--------------
- --------------------------------------------------------------------------------
94 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATION (C) (F) -- 0.5%
FINANCIALS -- 0.5%
SLM EXL, Ser S
5.763%, 10/15/07 $ 6,428 $ 6,428
--------------
Total Corporate Obligation
(Cost $6,428) ($ Thousands) 6,428
--------------
ASSET-BACKED SECURITY (C) (F) (H) -- 0.4%
MORTGAGE RELATED SECURITY -- 0.4%
Duke Funding,
Ser 2004-6B, Cl A1S1
5.430%, 10/09/07 4,383 4,383
--------------
Total Asset-Backed Security
(Cost $4,383) ($ Thousands) 4,383
--------------
CONVERTIBLE BOND -- 0.2%
Nova BioSource CV to 273.2240
10.000%, 09/30/12 1,926 1,926
--------------
Total Convertible Bond
(Cost $1,926) ($ Thousands) 1,926
--------------
CASH EQUIVALENTS** -- 34.4%
Merrill Lynch EBP Master,
4.035% 1,797,676 1,798
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.350% ++ 27,133,093 27,133
SEI Liquidity Fund LP,
5.367% ++ (C) 372,099,060 372,099
--------------
Total Cash Equivalents
(Cost $401,030) ($ Thousands) 401,030
--------------
U.S. TREASURY OBLIGATION (A) (E) -- 0.1%
U.S. Treasury Bills
4.078%, 11/23/07 650 646
--------------
Total U.S. Treasury Obligation
(Cost $646) ($ Thousands) 646
--------------
Total Investments -- 133.2%
(Cost $1,426,519) ($ Thousands) $ 1,550,013
==============
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 APPRECIATION
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
Russell 2000 Index E-MINI 137 Dec-2007 $ 324
======
Percentages are based on Net Assets of $1,163,323 ($ Thousands).
* Non-Income Producing Security.
** Rate shown is the 7-day effective yield as of September 30, 2007.
+++ Narrow industries are utilized for compliance purposes, whereas broad
sectors are utilized for reporting.
+ Real Estate Investment Trust.
++ Investment in Affiliated Security (see Note 3).
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(B) This security or a partial position of this security is on loan at
September 30, 2007 (see Note 7). The total market value of securities on
loan at September 30, 2007 was $367,102 ($ Thousands).
(C) This security was purchased with cash collateral held from securities on
loan (see Note 7). The total market value of such securities as of
September 30, 2007 was $382,910 ($ Thousands).
(D) This security considered illiquid and restricted. The total market value
of such securities as of September 30, 2007 was $12,301 ($ Thousands) and
represented 1.06% of Net Assets.
(E) The rate reported is the effective yield at time of purchase.
(F) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of September 30, 2007.
(G) 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 $12,301 ($ Thousands) and
represented 1.06% of Net Assets.
(H) Securities sold within terms of a private placement memorandum, exempt
from registration under Section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors." These securities have been determined to be liquid
under guidelines established by the Board of Trustees.
(I) This warrant does not have a strike price or expiration date.
(J) This security is traded on a foreign stock exchange. The total market
value of such securities as of September 30, 2007 was $48,995 ($
Thousands) and represented 4.21% of Net Assets.
ADR -- American Depositary Receipt
Cl -- Class
CV -- Convertible Security
EXL -- Extendable Maturity
LP -- Limited Partnership
Ltd. -- Limited
PIPE -- Private Investment in Public Entity
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 95
SCHEDULE OF INVESTMENTS
Tax-Managed Small Cap Fund
September 30, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS# (UNAUDITED):
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
23.8% Short-Term Investments
16.0% Information Technology
12.6% Financials
11.5% Industrials
10.8% Consumer Discretionary
9.3% Health Care
4.7% Energy
4.4% Materials
2.9% Utilities
2.5% Consumer Staples
1.4% Telecommunication Services
0.1% U.S. Treasury Obligation
0.0% Warrants
#Percentages based on total investments. Includes investments held as collateral
for securities on loan (see Note 7).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 96.3%
CONSUMER DISCRETIONARY -- 13.6%
99 Cents Only Stores* 7,100 $ 73
Aaron Rents 1,200 27
Abercrombie & Fitch, Cl A 2,269 183
Advance Auto Parts 9,900 332
Aeropostale* 1,500 29
American Eagle Outfitters 13,050 343
American Greetings, Cl A 19,200 507
AnnTaylor Stores* 3,000 95
Applebee's International* 1,900 47
Arbitron 800 36
ArvinMeritor 18,300 308
Autoliv 17,900 1,070
Autonation* 10,115 179
Bally Technologies* 3,600 128
Barnes & Noble 3,200 113
Beazer Homes USA (B) 6,200 51
Belo, Cl A 27,500 477
Big Lots (B)* 24,680 736
Black & Decker 11,000 916
Blyth 3,024 62
Bob Evans Farms 800 24
Bon-Ton Stores (B) 9,300 211
Borders Group (B) 24,400 325
BorgWarner 3,900 357
Bright Horizons Family Solutions (B)* 900 39
Brown Shoe 2,132 41
Brunswick 18,300 418
Cabela's (B)* 2,400 57
Cablevision Systems, Cl A* 8,820 308
Callaway Golf 2,200 35
Career Education* 1,100 31
Carmax* 4,400 89
Carter's* 6,300 126
Catalina Marketing* 1,300 42
Cato, Cl A (B) 32,150 657
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CBRL Group (B) 10,700 $ 437
CEC Entertainment* 1,200 32
Champion Enterprises (B)* 4,000 44
Charming Shoppes* 5,300 45
Cherokee (B) 900 35
Childrens Place Retail Stores* 3,000 73
Chipotle Mexican Grill, Cl A (B)* 13,000 1,536
CKX (B)* 2,800 34
Coach* 21,700 1,026
Coinstar* 1,800 58
Collective Brands* 2,900 64
Columbia Sportswear 4,400 243
Cooper Tire & Rubber 14,845 362
Corinthian Colleges (B)* 29,215 465
CROCS (B)* 53,050 3,568
Dana 89,500 17
Darden Restaurants 9,500 398
Denny's* 7,750 31
Dick's Sporting Goods (B)* 800 54
Discovery Holding, Cl A* 1,700 49
Dollar Tree Stores* 4,700 191
Domino's Pizza 2,000 33
Dover Motorsports 22,500 146
DreamWorks Animation SKG, Cl A* 6,875 230
Dress Barn* 2,000 34
Drew Industries* 1,300 53
DSW, Cl A (B)* 1,300 33
Eastman Kodak 3,700 99
Entercom Communications 7,600 147
Ethan Allen Interiors (B) 700 23
Fisher Communications* 600 30
Ford Motor 843 7
Fossil* 1,300 49
GameStop, Cl A* 2,206 124
Gaylord Entertainment* 2,100 112
Gemstar-TV Guide International* 8,500 59
Getty Images* 2,047 57
Goodyear Tire & Rubber (B)* 22,707 691
Great Wolf Resorts (B)* 2,400 30
Group 1 Automotive 3,100 104
GSI Commerce (B)* 2,700 72
Guess? (B) 10,630 521
Guitar Center (B)* 700 42
Handleman (B) 13,300 41
Harman International Industries 677 59
Hasbro 19,700 549
Hearst-Argyle Television 4,500 117
Home Solutions of America* 1,025 4
Hooker Furniture 1,800 36
IAC/InterActive* 6,425 191
Iconix Brand Group (B)* 1,600 38
IHOP (B) 1,900 120
Interactive Data 900 25
- --------------------------------------------------------------------------------
96 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
ITT Educational Services (B)* 5,314 $ 647
J Crew Group* 6,300 261
Jackson Hewitt Tax Service (B) 6,977 195
Jakks Pacific (B)* 16,800 449
Jarden* 19,689 609
Jones Apparel Group 21,722 459
Journal Communications, Cl A 27,300 259
Lamar Advertising, Cl A (B) 1,400 69
Landry's Restaurants 2,200 58
Leapfrog Enterprises* 36,938 305
Lear* 15,700 504
Lee Enterprises 8,800 137
Life Time Fitness (B)* 15,200 932
Limited Brands 25,700 588
Live Nation* 3,100 66
LKQ (B)* 36,200 1,260
Lodgenet Entertainment* 800 20
Lodgian* 2,300 27
Lululemon Athletica (B)* 3,200 135
Martha Stewart Living Omnimedia,
Cl A (B) 44,200 515
Marvel Entertainment (B)* 8,500 199
Matthews International, Cl A 3,400 149
McClatchy, Cl A (B) 3,900 78
Mediacom Communications, Cl A* 9,900 70
Men's Wearhouse 19,785 1,000
Meredith 1,700 97
Mestek* 2,100 29
Modine Manufacturing (B) 13,800 367
Morgans Hotel Group* 28,600 622
Morningstar (B)* 4,100 252
Movado Group 1,100 35
National CineMedia 1,600 36
NetFlix (B)* 1,900 39
New Oriental Education & Technology
Group ADR* 4,400 293
Nutri/System (B)* 11,600 544
NVR (B)* 700 329
O'Reilly Automotive* 1,600 53
Orient-Express Hotels, Cl A (B) 17,000 872
Oxford Industries 800 29
Pacific Sunwear of California* 2,400 36
Panera Bread, Cl A (B)* 600 25
Papa John's International* 1,400 34
Penn National Gaming* 3,700 218
Penske Auto Group 600 12
PEP Boys - Manny Moe & Jack 4,400 62
PetSmart 22,000 702
PF Chang's China Bistro (B)* 1,500 44
Phillips-Van Heusen (B) 17,875 938
Pier 1 Imports (B)* 42,200 200
Pinnacle Entertainment* 25,961 707
Polaris Industries (B) 8,700 380
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Polo Ralph Lauren 4,400 $ 342
Pre-Paid Legal Services (B)* 800 44
priceline.com (B)* 13,075 1,160
Quiksilver (B)* 212,100 3,033
R.H. Donnelley* 3,657 205
RadioShack 1,900 39
Rare Hospitality International* 700 27
Raser Technologies (B)* 6,400 83
Regal Entertainment Group, Cl A (B) 17,645 387
Rent-A-Center* 14,986 272
Ross Stores 900 23
Ruby Tuesday 36,200 664
Ryland Group (B) 7,800 167
Saks 19,240 330
Sally Beauty Holdings* 30,625 259
Sauer-Danfoss 3,611 96
Scholastic (B)* 16,500 575
Scientific Games, Cl A (B)* 15,700 590
Sealy 2,800 39
Service International 3,400 44
Sirius Satellite Radio* 7,866 27
Skechers U.S.A., Cl A* 2,500 55
Smith & Wesson Holding* 575 11
Snap-On 6,615 328
Sonic* 2,100 49
Sonic Automotive, Cl A 14,200 340
Sotheby's Holdings (B) 9,850 471
Speedway Motorsports 1,300 48
Stage Stores 3,900 71
Station Casinos 2,400 210
Stewart Enterprises, Cl A 6,300 48
Strayer Education 600 101
Sun-Times Media Group, Cl A 2,425 6
Talbots (B) 29,635 533
Tempur-Pedic International (B) 2,300 82
Texas Roadhouse, Cl A (B)* 3,900 46
Thor Industries (B) 600 27
Tiffany 12,400 649
Tractor Supply (B)* 400 18
TravelCenters of America LLC (B)* 1,420 46
Triarc, Cl B 2,500 31
TRW Automotive Holdings* 19,323 612
Tupperware Brands 1,400 44
Tween Brands* 1,400 46
Under Armour, Cl A (B)* 22,855 1,367
Universal Electronics* 11,130 362
Urban Outfitters* 50,700 1,105
Vail Resorts (B)* 1,400 87
Virgin Media 210 5
Visteon* 16,950 87
Volcom (B)* 12,700 540
Warnaco Group* 1,210 47
Warner Music Group (B) 41,900 423
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 97
SCHEDULE OF INVESTMENTS
Tax-Managed Small Cap Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Weight Watchers International 4,933 $ 284
Whirlpool 8,500 757
Williams-Sonoma (B) 4,900 160
WMS Industries* 10,450 346
Wynn Resorts (B) 5,800 914
XM Satellite Radio Holdings, Cl A* 9,130 129
Zale* 1,000 23
Zumiez (B)* 19,400 861
--------------
56,831
--------------
CONSUMER STAPLES -- 3.2%
American Italian Pasta, Cl A (B) 6,300 52
American Oriental
Bioengineering (B)* 25,100 280
Andersons 1,354 65
Avon Products 4,502 169
Bare Escentuals (B)* 14,600 363
BJ's Wholesale Club (B)* 40,300 1,336
Boston Beer, Cl A (B)* 800 39
Bunge 573 62
Casey's General Stores 900 25
Central Garden and Pet, Cl A* 2,241 20
Chattem (B)* 7,865 555
Church & Dwight 4,600 216
Corn Products International 3,114 143
Dean Foods 1,400 36
Diamond Foods 1,900 39
Elizabeth Arden* 8,362 225
Flowers Foods 1,650 36
Hain Celestial Group (B)* 19,400 623
Imperial Sugar 179 5
Lance 1,600 37
Longs Drug Stores 700 35
McCormick 15,200 547
Molson Coors Brewing, Cl B 21,718 2,165
Nash Finch (B) 11,300 450
NBTY* 1,200 49
Pathmark Stores* 3,100 40
Pepsi Bottling Group 25,100 933
PepsiAmericas 30,100 976
Pilgrim's Pride 23,550 818
Playtex Products* 3,500 64
Prestige Brands Holdings* 4,600 50
Pricesmart 1,600 38
Ralcorp Holdings* 1,100 61
Revlon, Cl A* 26,875 31
Rite Aid (B)* 6,700 31
Ruddick 18,400 617
Sanderson Farms 1,200 50
Seaboard 89 174
Supervalu 20,900 815
TreeHouse Foods* 1,400 38
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Tyson Foods, Cl A 2,400 $ 43
United Natural Foods (B)* 7,000 191
Universal (B) 6,830 334
Village Super Market, Cl A (B) 3,400 177
WD-40 900 31
Weis Markets 500 21
Whole Foods Market (B) 1,500 73
--------------
13,178
--------------
ENERGY -- 6.0%
Alon USA Energy 5,610 189
Arch Coal (B) 1,971 66
Arena Resources* 325 21
ATP Oil & Gas (B)* 8,900 419
Atwood Oceanics (B)* 600 46
Basic Energy Services* 25 1
Berry Petroleum, Cl A 3,400 135
Bill Barrett (B)* 1,000 39
Bristow Group (B)* 1,800 79
Cal Dive International (B)* 30,900 463
Cameron International* 13,325 1,230
CARBO Ceramics (B) 1,100 56
Carrizo Oil & Gas* 150 7
Cheniere Energy (B)* 1,700 67
Compagnie Generale de
Geophysique-Veritas ADR (B)* 18,200 1,185
Consol Energy 1,727 80
Continental Resources* 3,700 67
Core Laboratories* 5,115 652
Crosstex Energy 3,185 121
Delek US Holdings (B) 1,800 45
Delta Petroleum (B)* 2,000 36
Denbury Resources* 1,000 45
Dresser-Rand Group* 29,275 1,250
Dril-Quip* 16,005 790
Encore Acquisition* 1,400 44
ENGlobal* 1,290 15
EOG Resources 800 58
EXCO Resources* 2,200 36
Exterran Holdings (B)* 6,801 546
FMC Technologies (B)* 24,340 1,403
Forest Oil* 2,359 102
Foundation Coal Holdings (B) 12,850 504
General Maritime (B) 2,500 70
Global Industries* 31,900 822
Golar (B) 2,900 65
Grant Prideco (B)* 39,000 2,126
Gulf Island Fabrication (B) 1,200 46
Gulfmark Offshore* 1,000 49
Harvest Natural Resources (B)* 2,600 31
Helix Energy Solutions Group (B)* 19,900 845
Helmerich & Payne 1,300 43
- --------------------------------------------------------------------------------
98 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Hercules Offshore* 1,900 $ 50
Hess 25,800 1,716
Holly 7,725 462
Hugoton Royalty Trust 3,150 74
ION Geophysical (B)* 48,800 675
Lufkin Industries 1,100 61
Mariner Energy* 3,274 68
Massey Energy 2,469 54
McMoRan Exploration* 1,710 23
NATCO Group, Cl A* 174 9
National Oilwell Varco (B)* 2,100 303
Newfield Exploration* 7,200 347
Occidental Petroleum 2,856 183
Oceaneering International* 4,975 377
Oil States International* 1,300 63
Parker Drilling* 2,500 20
Patterson-UTI Energy 41,100 928
Peabody Energy 2,400 115
PetroHawk Energy (B)* 25,500 419
Petroleum Development (B)* 2,550 113
Plains Exploration & Production (B)* 2,725 120
Range Resources (B) 4,100 167
Rentech* 24,848 54
Rosetta Resources* 3,100 57
RPC 3,375 48
Southwestern Energy* 8,500 356
Stone Energy* 2,400 96
Sunoco 11,600 821
Superior Energy Services* 1,100 39
Swift Energy* 16,400 671
Tesoro 34,754 1,599
Tetra Technologies* 4,650 98
Transmontaigne Partners LP 500 16
Ultra Petroleum* 900 56
Unit* 6,825 330
US BioEnergy (B)* 12,100 93
Vaalco Energy* 1,800 8
VeraSun Energy (B)* 3,300 36
Verenium (B)* 10,400 55
W&T Offshore 1,850 45
W-H Energy Services* 900 66
Western Refining 350 14
Whiting Petroleum* 1,000 44
Willbros Group (B)* 1,900 65
Williams 2,485 85
--------------
24,993
--------------
FINANCIALS -- 15.9%
1st Source 440 10
A.G. Edwards 2,900 243
Abington Bancorp 3,900 38
Acadia Realty Trust+ 1,200 33
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Advance America Cash Advance
Centers 2,900 $ 31
Affiliated Managers Group (B)* 29,590 3,773
Agree Realty+ 1,700 53
Alexander's+* 100 39
Alexandria Real Estate Equities+ 6,400 616
Alfa 1,200 22
AllianceBernstein Holding LP 332 29
Allied Capital (B) 800 24
AMB Property+ 3,900 233
AmCOMP* 51,900 490
American Capital Strategies (B) 800 34
American Financial Group (B) 33,300 950
American Financial Realty Trust+ 6,700 54
American Home Mortgage
Investment+ 7,208 3
American National Insurance (B) 500 66
AmeriCredit* 25,300 445
Amtrust Financial Services 2,200 33
Annaly Capital Management+ (B) 27,255 434
AON 8,850 397
Apartment Investment &
Management, Cl A+ 300 14
Ares Capital 4,700 76
Ashford Hospitality Trust+ 47,300 475
Aspen Insurance Holdings 11,500 321
Astoria Financial (B) 24,300 645
AvalonBay Communities+ 2,700 319
BancFirst 700 31
Bancorpsouth (B) 23,200 564
Bank Mutual 1,700 20
Bank of Hawaii 6,300 333
Bear Stearns 1,000 123
BioMed Realty Trust+ 1,400 34
BlackRock 1,071 186
Blackstone Group LP* 47,300 1,186
Boston Private Financial Holdings (B) 1,100 31
BRE Properties, Cl A+ 400 22
Capital Lease Funding+ 2,500 26
Capital One Financial 1,210 80
Capital Trust, Cl A+ (B) 500 18
Capitol Federal Financial 300 10
CB Richard Ellis Group, Cl A* 15,830 441
Central Pacific Financial 2,300 67
Charter Financial (B) 1,100 59
CIT Group 19,400 780
Citizens Republic Bancorp 7,200 116
City Bank 1,432 41
City National 500 35
Clifton Savings Bancorp (B) 9,700 115
CME Group 479 281
CNA Surety* 3,000 53
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 99
SCHEDULE OF INVESTMENTS
Tax-Managed Small Cap Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Colonial BancGroup 57,470 $ 1,243
Commerce Bancorp (B) 700 27
Commerce Bancshares (B) 1,983 91
Community Bank System (B) 14,000 273
Community Banks 735 22
CompuCredit* 3,625 79
Corporate Office Properties Trust+ (B) 8,900 371
Cousins Properties+ (B) 4,100 120
Crawford, Cl B 16,500 105
Cullen/Frost Bankers 15,100 757
CVB Financial 3,100 36
Delphi Financial Group, Cl A 600 24
DiamondRock Hospitality+ 1,600 28
Discover Financial Services* 5,650 118
Dollar Financial* 200 6
Downey Financial (B) 500 29
Duke Realty+ 900 30
E*Trade Financial* 98,500 1,286
East West Bancorp 11,900 428
Eaton Vance 17,129 684
EMC Insurance Group 3,120 81
Employers Holdings 5,600 115
Endurance Specialty Holdings 10,698 445
Entertainment Properties Trust+ 800 41
Equity Lifestyle Properties+ 700 36
Everest Re Group 8,700 959
Extra Space Storage+ (B) 10,200 157
FCStone Group (B)* 1,500 48
Federal Agricultural Mortgage,
Cl C (B) 17,000 499
Federal Realty Investment Trust+ 300 27
Federated Investors, Cl B 20,100 798
Financial Federal (B) 1,000 28
Financial Institutions 2,200 40
First American 25,300 926
First Bancorp Puerto Rico (B) 6,300 60
First Busey (B) 900 20
First Cash Financial Services (B)* 40,700 953
First Commonwealth Financial (B) 10,000 111
First Community Bancorp 600 33
First Financial Bankshares (B) 1,500 60
First Industrial Realty Trust+ 109 4
First Marblehead (B) 1,950 74
First Mercury Financial* 12,282 264
First Midwest Bancorp 12,300 420
First Niagara Financial Group 61,700 873
FirstMerit 3,300 65
Flagstar Bancorp (B) 8,600 84
Flagstone Reinsurance Holdings 4,400 58
FNB (Pennsylvania) (B) 9,600 159
FNB (Virginia) (B) 400 12
Forest City Enterprises, Cl A 6,280 346
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Fortress Investment Group LLC (B) 35,700 $ 761
Franklin Street Properties+ (B) 6,900 119
Friedman Billings Ramsey Group,
Cl A+ 20,100 93
Frontier Financial (B) 10,500 245
Fulton Financial 9,450 136
Getty Realty+ (B) 4,400 120
GFI Group* 2,200 189
Glacier Bancorp 1,350 30
Glimcher Realty Trust+ (B) 7,200 169
Gramercy Capital+ (B) 2,200 55
Greenhill (B) 11,000 672
Greenlight Capital Re (B)* 3,100 63
Hancock Holding 500 20
Hanover Insurance Group (B) 19,900 879
Harleysville Group 3,500 112
Healthcare Realty Trust+ 3,100 83
Hersha Hospitality Trust+ 2,900 29
Highwoods Properties+ 600 22
Hilltop Holdings+* 3,600 42
Home Bancshares (B) 15,100 329
Home Properties+ 1,200 63
Horace Mann Educators 3,500 69
Hospitality Properties Trust+ 23,100 939
Host Hotels & Resorts+ 28,400 637
HRPT Properties Trust+ (B) 64,000 633
Hudson City Bancorp 5,600 86
Huntington Bancshares (B) 34,000 577
Inland Real Estate+ (B) 7,000 108
IntercontinentalExchange* 3,910 594
International Securities Exchange
Holdings 700 47
Investment Technology Group* 1,300 56
Investors Real Estate Trust+ (B) 3,100 33
iStar Financial+ 5,900 201
Janus Capital Group 1,800 51
Jefferies Group (B) 34,200 952
Jones Lang LaSalle 2,300 236
KBW (B)* 15,200 437
Kilroy Realty+ 400 24
KKR Financial Holdings (B) 17,500 295
Knight Capital Group, Cl A* 2,300 28
LandAmerica Financial Group (B) 13,800 538
LaSalle Hotel Properties+ 7,500 316
Lazard, Cl A (B) 7,750 329
Legg Mason 358 30
Leucadia National 1,875 90
Lexington Realty Trust+ (B) 3,800 76
Luminent Mortgage Capital+ (B) 52,700 88
Macerich+ 400 35
Maguire Properties+ 1,750 45
Markel* 500 242
- --------------------------------------------------------------------------------
100 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
MarketAxess Holdings (B)* 2,700 $ 41
Marsh & McLennan 14,568 371
Marshall & Ilsley 2,145 94
Max Capital 2,000 56
MCG Capital (B) 56,200 809
Merrill Lynch 513 37
Meruelo Maddux Properties (B)* 84,000 496
MFA Mortgage Investments+ 4,000 32
MGIC Investment (B) 9,115 295
Midland 1,000 55
Mid-America Apartment
Communities+ (B) 1,300 65
Move (B)* 143,255 395
MVC Capital (B) 31,900 591
Nara Bancorp (B) 900 14
NASDAQ Stock Market (B)* 24,500 923
National City 2,791 70
National Financial Partners (B) 6,207 329
National Health Investors+ 1,300 40
National Health Realty+ 1,600 37
National Penn Bancshares 5,400 88
National Retail Properties+ (B) 17,700 432
National Western Life Insurance, Cl A 100 26
Nationwide Financial Services,
Cl A (B) 24,342 1,310
Nationwide Health Properties+ 400 12
Navigators Group* 4,838 262
NBT Bancorp (B) 3,100 67
Nelnet, Cl A 2,025 37
New York Community Bancorp 6,048 115
Newcastle Investment+ (B) 6,700 118
NexCen Brands* 2,575 17
NorthStar Realty Finance+ 10,300 102
Northwest Bancorp (B) 1,100 31
Novastar Financial 22,400 199
Nuveen Investments, Cl A 2,500 155
NYSE Euronext 1,150 91
Old National Bancorp (B) 24,900 413
Old Republic International 31,875 597
Omega Healthcare Investors+ 7,100 110
One Liberty Properties+ (B) 1,500 29
optionsXpress Holdings (B) 3,800 99
Pacific Capital Bancorp 796 21
Park National (B) 1,200 105
Parkway Properties+ 600 26
PartnerRe 700 55
PennantPark Investment 27,400 367
People's United Financial (B) 41,965 725
Phoenix 3,700 52
Pico Holdings* 800 33
Piper Jaffray* 14,500 777
Platinum Underwriters Holdings 11,600 417
PMI Group 11,000 360
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
PNC Financial Services Group 292 $ 20
Popular (B) 23,100 284
Portfolio Recovery Associates (B) 14,200 754
Post Properties+ 600 23
Potlatch 900 41
ProAssurance (B)* 3,700 199
PS Business Parks+ 1,400 80
Public Storage+ 2,434 191
Radian Group (B) 16,300 379
RAIT Financial Trust+ (B) 26,600 219
Ramco-Gershenson Properties+ 1,000 31
Rayonier+ (B) 2,850 137
Realty Income+ (B) 7,400 207
Redwood Trust+ 1,100 37
Reinsurance Group of America 5,325 302
Republic Property Trust+ (B) 2,800 41
S&T Bancorp (B) 900 29
Safeco 15,000 918
Saul Centers+ (B) 1,300 67
SL Green Realty+ 2,600 304
Sovran Self Storage+ 800 37
St. Joe 13,051 439
Stancorp Financial Group 8,800 436
State Auto Financial 1,400 41
State Street 3,895 265
Sterling Bancshares 34,850 398
Sterling Financial, Washington Shares 17,402 468
Stewart Information Services 2,900 99
Strategic Hotels & Resorts+ 3,500 72
Sun Communities+ (B) 3,900 117
Sunstone Hotel Investors+ 23,200 595
Susquehanna Bancshares 3,700 74
SVB Financial Group* 1,300 62
T. Rowe Price Group 1,091 61
Tanger Factory Outlet Centers+ 900 37
TCF Financial (B) 35,300 924
TD Ameritrade Holding* 10,579 193
Tejon Ranch* 2,100 87
Thomas Weisel Partners Group* 19,100 277
Toronto-Dominion Bank 1,493 114
TradeStation Group* 22,600 264
Transatlantic Holdings 593 42
Trico Bancshares 547 12
Trustco Bank (B) 5,600 61
Trustmark (B) 1,400 39
U-Store-It Trust+ (B) 11,000 145
UDR+ (B) 700 17
UnionBanCal 14,300 835
United Bankshares (B) 13,100 399
Unitrin 7,600 377
Universal American Financial* 3,400 78
Universal Health Realty Income
Trust+ 300 11
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 101
SCHEDULE OF INVESTMENTS
Tax-Managed Small Cap Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
UnumProvident 45,296 $ 1,108
Valley National Bancorp (B) 4,851 108
Ventas+ 1,400 58
Waddell & Reed Financial, Cl A 1,000 27
Washington Federal 1,800 47
Washington Mutual 2,762 98
Washington Real Estate Investment
Trust+ (B) 1,600 53
Webster Financial (B) 3,200 135
Westamerica Bancorporation 157 8
Western Alliance Bancorp* 3,200 75
Westfield Financial (B) 2,625 26
Whitney Holding (B) 26,500 699
Wilmington Trust 1,900 74
Wintrust Financial (B) 6,146 262
Zions Bancorporation 250 17
--------------
66,260
--------------
HEALTH CARE -- 11.8%
Abaxis* 2,200 49
Abraxis BioScience (B)* 53,912 1,231
Acadia Pharmaceuticals* 15,600 235
Accelrys (B)* 46,500 319
Adams Respiratory Therapeutics* 1,930 74
Advanced Medical Optics (B)* 24,200 740
Affymetrix (B)* 59,800 1,517
Air Methods* 1,783 82
Albany Molecular Research* 3,100 47
Alexion Pharmaceuticals (B)* 1,400 91
Align Technology (B)* 7,865 199
Alkermes* 69,700 1,282
Allscripts Healthcare Solutions (B)* 1,700 46
Alpharma, Cl A 908 19
Amedisys* 10,870 418
American Medical Systems
Holdings (B)* 6,000 102
AMERIGROUP* 1,620 56
Amylin Pharmaceuticals (B)* 2,400 120
Analogic 1,174 75
Angiotech Pharmaceuticals* 27,900 175
Applera -- Applied Biosystems
Group 3,700 128
Applera -- Celera Group (B)* 31,100 437
Apria Healthcare Group (B)* 32,630 849
Arena Pharmaceuticals (B)* 3,300 36
Arrow International 1,900 86
Axcan Pharma (B)* 39,708 825
Barr Pharmaceuticals* 17,400 990
Bausch & Lomb 15,196 973
Beckman Coulter 500 37
Bio-Rad Laboratories, Cl A* 900 81
BioMarin Pharmaceuticals (B)* 24,700 615
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Bruker BioSciences* 4,400 $ 39
Cambrex 32,900 358
Cell Genesys (B)* 77,400 296
Centene* 700 15
Cephalon (B)* 35,096 2,564
Cerner (B)* 400 24
Chemed 19,699 1,224
Community Health Systems (B)* 25,500 802
Computer Programs & Systems 720 19
Conmed* 1,300 36
Cooper (B) 27,835 1,459
Corvel* 618 14
Covance* 850 66
Coventry Health Care* 9,100 566
Cubist Pharmaceuticals (B)* 71,400 1,509
CV Therapeutics (B)* 66,100 594
Cytyc* 1,500 71
Dade Behring Holdings 500 38
Datascope 11,200 379
DaVita* 8,900 562
Dentsply International 5,600 233
Dionex* 500 40
Discovery Laboratories (B)* 26,400 71
DJO* 6,850 336
Eclipsys* 3,296 77
Edwards Lifesciences (B)* 4,000 197
Emeritus* 2,700 73
Encysive Pharmaceuticals* 14,825 22
Endo Pharmaceuticals Holdings* 15,340 476
Enzon Pharmaceuticals (B)* 2,600 23
eResearch Technology (B)* 48,998 558
ev3 (B)* 2,795 46
Exelixis* 4,800 51
Express Scripts* 9,050 505
Foxhollow Technologies (B)* 1,600 42
Gen-Probe* 700 47
Genitope (B)* 8,400 38
Genzyme* 3,952 245
Geron (B)* 25,400 186
Haemonetics* 700 35
Health Net (B)* 8,900 481
Healthsouth (B)* 3,300 58
Healthspring* 2,900 57
Healthways (B)* 3,500 189
Henry Schein* 300 18
Hi-Tech Pharmacal (B)* 3,000 36
Hillenbrand Industries 600 33
HLTH (B)* 10,770 153
Hologic (B)* 14,005 854
Human Genome Sciences* 10,100 104
Humana* 300 21
Idexx Laboratories (B)* 4,215 462
- --------------------------------------------------------------------------------
102 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Illumina (B)* 13,000 $ 674
Immucor (B)* 1,950 70
IMS Health 7,490 229
Indevus Pharmaceuticals* 5,975 41
Integra LifeSciences Holdings* 600 29
Intuitive Surgical* 975 224
Invacare 1,500 35
inVentiv Health* 1,000 44
Inverness Medical Innovations* 11,452 634
Invitrogen* 15,205 1,243
Isis Pharmaceuticals (B)* 3,900 58
Kendle International* 9,705 403
Kindred Healthcare* 3,127 56
King Pharmaceuticals* 22,600 265
KV Pharmaceutical, Cl A (B)* 1,900 54
Lifecell (B)* 20,100 755
LifePoint Hospitals* 800 24
Ligand Pharmaceuticals, Cl B (B) 5,600 30
Lincare Holdings (B)* 14,000 513
Magellan Health Services* 16,200 657
MannKind (B)* 3,700 36
Manor Care 9,800 631
Martek Biosciences* 11,300 328
Medarex (B)* 163,700 2,318
Medicis Pharmaceutical, Cl A (B) 21,500 656
Merit Medical Systems* 2,500 32
Metabolix (B)* 24,600 597
MGI Pharma* 2,400 67
Millennium Pharmaceuticals (B)* 3,700 38
Millipore (B)* 400 30
Myriad Genetics (B)* 29,370 1,532
Nektar Therapeutics (B)* 3,900 34
Neurocrine Biosciences (B)* 13,800 138
NuVasive* 1,600 57
Odyssey HealthCare* 889 9
Omnicare (B) 4,000 133
Omnicell* 1,531 44
Onyx Pharmaceuticals (B)* 2,700 117
Orthofix International* 635 31
OSI Pharmaceuticals (B)* 1,918 65
Owens & Minor 9,710 370
Par Pharmaceutical* 3,570 66
Parexel International (B)* 4,400 182
Patterson* 1,200 46
PDL BioPharma* 10,400 225
Pediatrix Medical Group (B)* 5,475 358
PerkinElmer 2,800 82
Perrigo 3,400 73
Pharmaceutical Product
Development (B) 2,700 96
Pharmacopeia Drug Discovery (B)* 29,750 170
PharMerica (B)* 18,075 270
Pharmion* 1,700 78
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Phase Forward* 3,300 $ 66
PolyMedica (B) 1,300 68
Protalix BioTherapeutics (B)* 2,600 90
PSS World Medical* 21,000 402
Psychiatric Solutions (B)* 16,705 656
Qiagen (B)* 9,779 190
Regeneron Pharmaceuticals* 26,900 479
Renovis* 10,300 40
Resmed* 4,740 203
Respironics* 218 10
Sciele Pharma (B)* 1,800 47
Sepracor* 9,300 256
Sirona Dental Systems* 4,075 145
Stereotaxis (B)* 1,900 26
STERIS 2,400 66
SurModics (B)* 1,100 54
Thermo Fisher Scientific (B)* 3,600 208
Thoratec (B)* 2,000 41
Trizetto Group* 2,800 49
United Therapeutics (B)* 15,700 1,045
Universal Health Services, Cl B 689 37
Varian* 700 45
Varian Medical Systems (B)* 1,000 42
VCA Antech* 800 33
Ventana Medical Systems* 1,500 129
Vertex Pharmaceuticals (B)* 1,400 54
Vital Signs 1,000 52
Vnus Medical Technologies (B)* 4,400 70
Volcano* 17,315 285
Waters* 1,500 100
Watson Pharmaceuticals* 27,800 901
Wright Medical Group* 2,900 78
Zoll Medical* 1,800 47
--------------
49,297
--------------
INDUSTRIALS -- 14.6%
AAON 1,500 30
ABX Air* 4,644 33
ACCO Brands* 13,080 294
Actuant, Cl A (B) 3,501 227
Advisory Board* 1,900 111
AGCO* 13,877 705
Airtran Holdings (B)* 5,600 55
Alaska Air Group (B)* 31,412 725
Albany International, Cl A (B) 19,359 726
Alexander & Baldwin 1,914 96
Allegiant Travel* 1,100 33
Alliant Techsystems* 563 62
Allied Waste Industries* 2,300 29
Altra Holdings* 13,800 230
Amerco* 316 20
American Commercial Lines* 2,637 63
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 103
SCHEDULE OF INVESTMENTS
Tax-Managed Small Cap Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
American Ecology 31,000 $ 657
American Superconductor (B)* 2,800 57
Ameron International 400 42
Ametek 750 32
Ampco-Pittsburgh 8,000 315
AMR* 1,800 40
Angelica 1,400 28
AO Smith 12,441 546
Applied Industrial Technologies 1,050 32
Arkansas Best (B) 9,500 310
ASV* 472 7
Atlas Air Worldwide Holdings* 800 41
Badger Meter 125 4
Baldor Electric 2,100 84
Barnes Group 11,565 369
Basin Water (B)* 4,800 57
BE Aerospace (B)* 21,045 874
Blount International* 2,075 24
Bowne 20,900 348
Brady, Cl A 1,600 57
Briggs & Stratton (B) 18,150 457
Brink's 23,300 1,302
Bucyrus International, Cl A 7,265 530
Cenveo* 7,075 153
Ceradyne* 600 45
Chicago Bridge & Iron 39,395 1,696
ChoicePoint* 1,235 47
Clarcor 1,600 55
Clean Harbors* 126 6
CNH Global 3,060 186
Columbus McKinnon* 2,549 63
Compx International 7,900 155
Con-way 3,903 180
Continental Airlines, Cl B (B)* 1,200 40
Copart* 6,700 230
Corporate Executive Board 500 37
Corrections of America* 12,710 333
Crane 17,100 820
Cummins 12,500 1,599
Curtiss-Wright 1,200 57
Danaos 7,900 285
Deluxe 21,700 799
Dollar Thrifty Automotive Group (B)* 1,200 42
Donaldson 10,700 447
Dun & Bradstreet 6,549 646
Dynamic Materials (B) 27,500 1,317
Eagle Bulk Shipping (B) 5,900 152
EDO 2,885 162
EMCOR Group* 5,264 165
Energy Conversion Devices (B)* 1,400 32
EnPro Industries* 800 32
Equifax 11,958 456
ESCO Technologies (B)* 13,410 446
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Evergreen Solar (B)* 3,700 $ 33
Fastenal (B) 1,200 54
Federal Signal 2,500 38
First Solar* 3,245 382
Flow International (B)* 70,200 619
Flowserve (B) 3,000 229
Fluor 502 72
Forward Air 1,200 36
Freightcar America 1,411 54
FTI Consulting* 1,000 50
G&K Services 900 36
GATX (B) 3,600 154
GenCorp* 9,825 117
General Cable* 12,714 853
General Electric 150 6
Geo Group* 3,263 97
Global Cash Access* 3,200 34
Goodrich 20,932 1,428
Gorman-Rupp 1,000 33
Graco 500 20
GrafTech International* 4,600 82
Granite Construction 1,500 80
H&E Equipment Services* 2,375 43
Harsco 3,600 213
Heartland Express (B) 1,800 26
Herman Miller 5,600 152
Hertz Global Holdings* 23,600 536
Hexcel* 1,800 41
Honeywell International 1,614 96
HUB Group, Cl A* 15,210 457
Hubbell, Cl B 14,400 823
Huron Consulting Group* 7,590 551
IDEX 11,245 409
Insituform Technologies, Cl A (B)* 1,500 23
Interline Brands* 2,500 57
Ionatron* 655 2
Jacobs Engineering Group* 5,024 380
JB Hunt Transport Services 18,600 489
JetBlue Airways (B)* 2,600 24
Joy Global 22,000 1,119
Kaman 2,082 72
Kansas City Southern* 17,000 547
Kaydon 700 36
KBR* 14,300 554
Kelly Services, Cl A (B) 16,300 323
Kirby* 2,404 106
Knoll (B) 36,500 648
Ladish* 1,917 106
Laidlaw International 8,700 306
Landstar System 7,300 306
Lennox International 15,200 514
Lincoln Electric Holdings 1,980 154
MAIR Holdings* 5,300 31
- --------------------------------------------------------------------------------
104 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Manitowoc 28,930 $ 1,281
Manpower 700 45
McDermott International* 6,659 360
Middleby* 9,800 632
Milacron (B)* 6,736 48
Mine Safety Appliances (B) 1,600 75
Mobile Mini* 1,400 34
Monster Worldwide* 18,300 623
Moog, Cl A (B)* 2,300 101
MSC Industrial Direct, Cl A 1,200 61
MTC Technologies* 1,300 25
Mueller Industries (B) 24,300 878
Mueller Water Products, Cl B 3,205 35
Navistar International* 8,400 518
NCI Building Systems* 2,900 125
Nordson 1,000 50
Old Dominion Freight Line* 1,050 25
Orbital Sciences* 32,900 732
Oshkosh Truck 3,400 211
Pacer International 1,700 32
Pall 39,265 1,527
PAM Transportation Services (B)* 1,500 27
PHH* 14,400 378
Quanta Services (B)* 30,311 802
RBC Bearings (B)* 13,420 515
Regal-Beloit 600 29
Republic Airways Holdings* 23,660 501
Resources Connection (B) 1,900 44
Robert Half International 1,900 57
Rockwell Automation 150 10
Rollins 1,600 43
RR Donnelley & Sons 1,500 55
Ryder System 28,929 1,418
School Specialty (B)* 2,000 69
Sequa, Cl A* 189 31
Shaw Group* 5,421 315
Skywest 1,500 38
Spirit Aerosystems Holdings, Cl A* 18,210 709
SPX 5,900 546
Standard Register 3,764 48
Steelcase, Cl A 43,200 777
Stericycle* 1,000 57
Sunpower, Cl A (B)* 1,800 149
Superior Essex* 33 1
Taser International (B)* 4,000 63
Tecumseh Products, Cl A* 31,700 610
Teledyne Technologies (B)* 23,340 1,246
TeleTech Holdings* 2,300 55
Tetra Tech (B)* 1,300 27
Thomas & Betts* 1,600 94
Timken (B) 15,210 565
Toro 1,400 82
TransDigm Group* 900 41
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Trinity Industries (B) 24,800 $ 931
TurboChef Technologies (B)* 2,800 37
UAP Holding 29,615 929
United Rentals* 20,200 650
United Stationers* 7,737 430
United Technologies 2,260 182
Universal Forest Products (B) 13,500 404
URS* 24,599 1,389
USG (B)* 800 30
UTI Worldwide 6,400 147
Viad 3,500 126
Wabtec 9,287 348
Walter Industries (B) 6,255 168
Washington Group International* 5,008 440
Waste Connections* 31,539 1,002
Waste Industries USA 1,800 52
Waste Services* 2,900 28
Watson Wyatt Worldwide, Cl A (B) 8,455 380
Watts Water Technologies, Cl A (B) 1,000 31
WESCO International* 1,495 64
Williams Scotsman International* 2,900 80
Woodward Governor (B) 14,500 905
WW Grainger 7,300 666
YRC Worldwide (B)* 17,300 473
--------------
60,698
--------------
INFORMATION TECHNOLOGY -- 20.3%
3Com* 31,900 158
ACI Worldwide (B)* 700 16
Activision (B)* 98,300 2,122
Acxiom 4,900 97
ADC Telecommunications* 2,900 57
Adobe Systems* 966 42
Adtran (B) 2,700 62
Advanced Analogic Technologies* 13,125 140
Advanced Energy Industries* 2,300 35
Advent Software* 9,600 451
Akamai Technologies* 8,681 249
Alliance Semiconductor 29,600 68
Amdocs* 2,700 100
AMIS Holdings* 16,641 162
Amkor Technology (B)* 32,900 379
Andrew* 5,200 72
Ansys* 4,200 144
Applied Micro Circuits* 68,100 215
Ariba* 2,900 31
ARM Holdings ADR 63,700 599
Arris Group (B)* 31,200 385
Arrow Electronics* 1,000 43
Aspen Technology* 3,200 46
Atheros Communications (B)* 16,335 490
Atmel* 6,600 34
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 105
SCHEDULE OF INVESTMENTS
Tax-Managed Small Cap Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
ATMI* 1,600 $ 48
Authorize.Net Holdings* 3,400 60
Autodesk* 1,000 50
Avanex (B)* 72,200 118
Avaya* 15,900 270
Avnet* 25,610 1,021
Avocent* 35,300 1,028
AVX 4,600 74
Axcelis Technologies* 5,300 27
BEA Systems* 18,400 255
BearingPoint (B)* 80,800 327
Bel Fuse, Cl B 600 21
Benchmark Electronics* 3,444 82
Black Box 6,200 265
Blackbaud 1,500 38
Blackboard (B)* 3,325 152
Blue Coat Systems* 100 8
BMC Software* 4,800 150
Brightpoint* 2,305 35
Broadcom, Cl A* 111 4
Broadridge Financial Solutions 23,600 447
Brocade Communications Systems* 134,500 1,151
Brooks Automation* 4,900 70
Cabot Microelectronics (B)* 3,100 133
CACI International, Cl A* 1,200 61
Cadence Design Systems (B)* 2,600 58
Cavium Networks* 2,300 75
Ceridian* 4,500 156
Checkfree* 1,500 70
Checkpoint Systems* 7,002 185
Ciena* 1,600 61
Cirrus Logic* 6,512 42
Citrix Systems* 27,596 1,113
CNET Networks (B)* 118,900 886
Cogent (B)* 6,800 107
Cognex 9,900 176
Cognizant Technology Solutions,
Cl A* 3,700 295
Coherent* 3,600 115
CommScope* 12,100 608
Commvault Systems* 22,900 424
Computer Sciences* 5,010 280
Comtech Telecommunications* 1,000 53
Comverse Technology* 39,300 778
Convergys* 17,000 295
Cree* 1,374 43
CSG Systems International (B)* 4,734 101
CTS 16,025 207
Cymer* 20,001 768
Cypress Semiconductor* 3,525 103
Daktronics (B) 1,300 35
DealerTrack Holdings (B)* 11,060 463
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Dice Holdings (B)* 23,100 $ 237
Diebold 4,950 225
Digital River* 800 36
Dolby Laboratories, Cl A* 1,500 52
DST Systems* 800 69
Dycom Industries* 2,600 80
Earthlink* 38,800 307
Echelon (B)* 2,600 65
Electro Scientific Industries* 1,000 24
Electronic Arts* 11,600 649
Electronic Data Systems 25,442 556
Electronics for Imaging* 25,365 681
Emulex* 3,610 69
Entegris (B)* 3,600 31
Equinix (B)* 500 44
Euronet Worldwide (B)* 3,300 98
F5 Networks* 31,900 1,186
Factset Research Systems 11,775 807
Fairchild Semiconductor
International (B)* 6,600 123
FEI* 1,300 41
Fidelity National Information Services 900 40
Flextronics International (B)* 196,000 2,191
Flir Systems* 3,305 183
Formfactor* 700 31
Forrester Research* 900 21
Foundry Networks* 85,200 1,514
Gartner* 2,600 64
Gevity HR 29,900 306
Global Payments 5,300 234
Greenfield Online (B)* 4,400 67
Harmonic* 27,200 289
Harris 800 46
Heartland Payment Systems (B) 6,885 177
Hewitt Associates, Cl A* 9,084 318
Ikanos Communications* 31,200 174
Immersion (B)* 18,700 306
Informatica (B)* 57,000 895
Ingram Micro, Cl A* 1,200 24
InterDigital* 1,500 31
Intermec (B)* 3,276 86
International Rectifier* 807 27
Intersil, Cl A 60,100 2,009
Intuit* 7,925 240
Iron Mountain* 1,200 37
Itron (B)* 2,565 239
Ixia* 4,400 38
j2 Global Communications* 2,400 79
Jack Henry & Associates 2,200 57
JDS Uniphase (B)* 29,300 438
Juniper Networks* 12,954 474
Kemet* 2,900 21
- --------------------------------------------------------------------------------
106 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Keynote Systems* 31,700 $ 435
Kopin (B)* 8,800 34
Kulicke & Soffa Industries* 1,137 10
L-1 Identity Solutions (B)* 6,423 121
Lam Research (B)* 2,050 109
Lawson Software (B)* 67,900 680
Lexmark International, Cl A* 11,175 464
Littelfuse* 800 29
LoopNet* 1,900 39
Loral Space & Communications* 3,000 119
LSI Logic* 21,975 163
Macrovision* 1,200 30
Manhattan Associates* 14,575 400
Mantech International, Cl A* 1,500 54
Mastec* 2,600 37
Mattson Technology* 783 7
MAXIMUS (B) 2,100 92
McAfee* 5,081 177
MEMC Electronic Materials* 1,700 100
Mentor Graphics* 5,000 76
Mercury Computer Systems* 20,900 215
Methode Electronics 33,500 504
Mettler Toledo International* 400 41
Micrel 2,700 29
Microsemi (B)* 50,125 1,397
MicroStrategy, Cl A* 587 47
Microtune* 5,210 31
MKS Instruments* 17,800 339
Molex 13,100 353
MoneyGram International 1,000 23
Monolithic Power Systems* 5,478 139
MPS Group* 1,700 19
MSC.Software* 2,900 39
MTS Systems 1,319 55
National Instruments 1,300 45
National Semiconductor 12,800 347
NAVTEQ* 1,700 133
NCR* 2,225 111
Ness Technologies* 2,600 28
Net 1 UEPS Technologies (B)* 1,300 35
Netgear* 1,300 40
Netlogic Microsystems* 525 19
Newport* 1,300 20
NIC (B) 3,700 26
Novell* 4,200 32
Nuance Communications* 70,700 1,365
Omnivision Technologies (B)* 2,800 64
ON Semiconductor (B)* 45,410 570
Orckit Communications (B)* 22,900 159
Palm (B)* 2,300 37
Park Electrochemical 1,200 40
Perficient* 15,595 341
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Pericom Semiconductor* 2,100 $ 25
Perot Systems, Cl A* 3,100 52
Plantronics (B) 2,600 74
Plexus* 1,200 33
PMC - Sierra (B)* 5,600 47
Polycom* 123,200 3,309
Powerwave Technologies* 20,755 128
Progress Software* 1,200 36
Quest Software* 2,300 39
Rackable Systems (B)* 18,300 237
RADWARE* 14,200 223
Rambus* 2,400 46
RealNetworks* 6,900 47
Red Hat (B)* 133,800 2,659
RF Micro Devices (B)* 227,600 1,532
Riverbed Technology* 44,700 1,805
Rofin-Sinar Technologies* 500 35
S1* 3,900 35
SAIC* 2,800 54
Salesforce.com (B)* 25,060 1,286
SanDisk* 1,150 63
Sapient* 5,700 38
Satyam Computer Services ADR (B) 37,600 973
Scansource (B)* 1,200 34
Seachange International* 50,500 349
Seagate Technology 20,159 516
Semtech* 4,000 82
Silicon Laboratories* 3,925 164
Silicon Motion Technology ADR* 16,535 372
Sina* 9,075 434
Sirf Technology Holdings (B)* 3,600 77
SkillSoft ADR* 36,495 328
Skyworks Solutions* 230,200 2,081
Solectron* 118,800 463
Solera Holdings (B)* 40,800 734
Sonus Networks* 6,500 40
SRA International, Cl A* 1,500 42
Standard Microsystems* 1,548 59
Sun Microsystems* 40,822 229
Supertex (B)* 900 36
Sybase (B)* 24,500 567
Sycamore Networks* 11,300 46
SYKES Enterprises* 50,400 837
Synaptics* 1,300 62
Synchronoss Technologies* 12,225 514
SYNNEX* 1,243 26
Synopsys* 25,053 678
Syntel 2,100 87
Take-Two Interactive Software (B)* 2,600 44
Tech Data* 9,800 393
Technitrol 20,900 563
Tekelec (B)* 56,700 686
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 107
SCHEDULE OF INVESTMENTS
Tax-Managed Small Cap Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Tektronix 986 $ 27
Tellabs* 5,700 54
Tessera Technologies* 900 34
THQ (B)* 51,400 1,284
TIBCO Software* 103,900 768
Trident Microsystems (B)* 45,482 723
Trimble Navigation* 15,885 623
Triquint Semiconductor* 106,000 520
Ultratech (B)* 35,700 495
United Online 29,300 440
Universal Display (B)* 29,785 528
Utstarcom (B)* 42,300 155
Valueclick* 1,400 31
Varian Semiconductor Equipment
Associates* 21,500 1,151
Vasco Data Security International* 14,685 519
Veeco Instruments* 6,946 135
VeriFone Holdings (B)* 32,405 1,437
Verigy* 15,020 371
Verint Systems* 26,000 676
VeriSign* 17,264 582
Viasat* 11,010 339
Vishay Intertechnology* 55,500 723
Wavecom ADR (B)* 12,900 316
Websense* 1,500 30
Western Digital* 47,200 1,195
Wind River Systems (B)* 127,200 1,497
Zoran* 53,069 1,072
--------------
84,488
--------------
MATERIALS -- 5.5%
Airgas 8,905 460
AK Steel Holding* 9,853 433
Albemarle 4,800 212
Allegheny Technologies 9,000 990
Apex Silver Mines (B)* 6,875 134
Aptargroup 12,980 492
Ashland 12,725 766
Ball (B) 16,900 908
Cabot 8,094 288
Carpenter Technology 3,964 515
Celanese, Ser A 11,300 440
Century Aluminum* 700 37
Cincinnati Bell* 1,205 6
Coeur d'Alene Mines (B)* 20,000 76
Commercial Metals 19,985 633
Compass Minerals International (B) 2,700 92
Constar International* 18,500 85
Crown Holdings* 34,500 785
Cytec Industries 20,300 1,388
Deltic Timber 700 40
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Eagle Materials (B) 800 $ 29
Eastman Chemical 8,500 567
Ferro 1,700 34
Florida Rock Industries 900 56
FMC 43,197 2,247
Glatfelter 2,300 34
Graphic Packaging* 22,900 104
Greif, Cl A 8,173 496
H.B. Fuller 18,600 552
Headwaters* 3,449 51
Hercules 47,820 1,005
International Flavors & Fragrances 500 26
Koppers Holdings 1,200 46
Kronos Worldwide 1,900 36
Louisiana-Pacific 13,900 236
Lubrizol 14,300 930
Martin Marietta Materials (B) 300 40
MeadWestvaco 14,800 437
Metal Management 700 38
Minerals Technologies 600 40
Mosaic (B)* 6,500 348
Neenah Paper 2,442 81
NewMarket 592 29
NN 2,200 22
Owens-Illinois* 18,852 781
Packaging of America 900 26
Pactiv* 14,800 424
PolyOne* 42,500 318
Quanex (B) 19,125 899
Rock-Tenn, Cl A 12,200 353
Royal Gold (B) 900 29
Ryerson (B) 1,300 44
Schnitzer Steel Industries, Cl A (B) 300 22
Schweitzer-Mauduit International 1,500 35
Scotts Miracle-Gro, Cl A 5,000 214
Sealed Air 1,200 31
Sensient Technologies 3,400 98
Sigma-Aldrich (B) 5,800 283
Silgan Holdings 2,485 134
Smurfit-Stone Container (B)* 2,800 33
Steel Dynamics 13,800 644
Stillwater Mining* 4,200 43
Symyx Technologies* 1,878 16
Terra Industries (B)* 11,800 369
Texas Industries (B) 11,836 929
Titanium Metals (B)* 668 22
United States Steel 6,400 678
Valhi 1,400 33
Valspar 14,000 381
WR Grace* 635 17
--------------
23,120
--------------
- --------------------------------------------------------------------------------
108 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES -- 1.8%
Alaska Communications Systems
Group 19,495 $ 282
American Tower, Cl A* 5,315 231
Cbeyond* 1,800 73
Centennial Communications* 19,955 202
CenturyTel 19,200 887
Citizens Communications 2,380 34
Clearwire, Cl A (B)* 39,200 958
Cogent Communications Group* 11,800 275
Consolidated Communications
Holdings 41 1
Crown Castle International* 3,022 123
Dobson Communications, Cl A* 4,855 62
Fairpoint Communications 1,900 36
FiberTower* 22,675 87
General Communication, Cl A* 1,800 22
Global Crossing (B)* 12,130 256
Globalstar (B)* 3,700 27
Golden Telecom 275 22
IDT, Cl B 3,115 26
Iowa Telecommunications Services 6,165 122
Leap Wireless International* 4,935 402
Level 3 Communications (B)* 7,333 34
NII Holdings (B)* 800 66
North Pittsburgh Systems (B) 1,200 28
NTELOS Holdings 14,620 431
PAETEC Holdings* 3,300 41
Rural Cellular, Cl A* 3,050 133
SBA Communications, Cl A* 57,985 2,046
Telephone & Data Systems 600 40
Time Warner Telecom, Cl A* 7,240 159
USA Mobility 2,950 50
Verizon Communications 1,983 88
Vonage Holdings* 39,520 41
Windstream 2,200 31
--------------
7,316
--------------
UTILITIES -- 3.6%
AES* 1,823 37
AGL Resources 2,500 99
Allegheny Energy* 1,500 78
Allete (B) 2,400 108
Alliant Energy 478 18
Avista (B) 16,600 338
Black Hills 1,585 65
Centerpoint Energy (B) 44,900 720
CH Energy Group (B) 1,700 81
Cleco 1,500 38
CMS Energy 48,000 807
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Consolidated Edison 4,275 $ 198
Constellation Energy Group 1,100 94
DPL (B) 9,275 244
Dynegy, Cl A* 4,200 39
El Paso Electric* 2,000 46
Empire District Electric (B) 5,806 131
Energen 4,800 274
EnergySouth 800 40
Equitable Resources 11,204 581
Idacorp 1,600 52
Integrys Energy Group 14,172 726
ITC Holdings 1,000 50
Laclede Group 5,150 166
MDU Resources Group (B) 41,175 1,146
MGE Energy (B) 2,200 74
National Fuel Gas 2,400 112
New Jersey Resources 900 45
Nicor (B) 7,200 309
Northeast Utilities (B) 4,000 114
Northwest Natural Gas 1,300 59
NorthWestern 14,450 393
NRG Energy* 1,200 51
OGE Energy 250 8
Oneok 10,725 508
Ormat Technologies (B) 18,125 840
Otter Tail (B) 2,200 79
Pepco Holdings 9,900 268
Pinnacle West Capital (B) 19,300 763
PNM Resources 1,552 36
Portland General Electric 1,270 35
PPL 2,600 120
Progress Energy 4,325 203
Puget Energy 16,000 392
Reliant Energy* 19,738 505
SCANA 8,372 324
Sempra Energy (B) 2,900 169
Southern Union 21,500 669
Southwest Gas (B) 11,550 327
Southwest Water (B) 2,400 30
TECO Energy (B) 33,039 543
UGI 34,975 909
UIL Holdings 833 26
Unisource Energy 443 13
Vectren 11,100 303
Westar Energy 21,600 531
WGL Holdings 1,100 37
Wisconsin Energy 4,100 185
--------------
15,156
--------------
Total Common Stock
(Cost $331,722) ($ Thousands) 401,337
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 109
SCHEDULE OF INVESTMENTS
Tax-Managed Small Cap Fund (Concluded)
September 30, 2007
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Number of
Warrants
----------
WARRANTS -- 0.0%
Washington Mutual (D)* 116,700 $ 29
--------------
Total Warrants
(Cost $27) ($ Thousands) 29
--------------
CASH EQUIVALENTS**++ -- 30.1%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.350% 15,824,836 15,825
SEI Liquidity Fund LP,
5.367% (C) 109,874,839 109,875
--------------
Total Cash Equivalents
(Cost $125,700) ($ Thousands) 125,700
--------------
U.S. TREASURY OBLIGATION (A) (E) -- 0.2%
U.S. Treasury Bills
3.953%, 11/23/07 $ 646 643
--------------
Total U.S. Treasury Obligation
(Cost $642) ($ Thousands) 643
--------------
Total Investments -- 126.6%
(Cost $458,091) ($ Thousands) $ 527,709
==============
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 APPRECIATION
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
Russell 2000 Index E-MINI 102 Dec-2007 $ 232
S&P 400 Index E-MINI 89 Dec-2007 223
-------
$ 455
=======
Percentages are based on Net Assets of $416,945 ($ Thousands).
* Non-Income Producing Security.
** Rate shown is the 7-day effective yield as of September 30, 2007.
+ Real Estate Investment Trust.
++ Investment in Affiliated Security (see Note 3).
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(B) This security or a partial position of this security is on loan at
September 30, 2007. The total market value of securities on loan at
September 30, 2007 was $106,335 ($ Thousands).
(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 $109,875 ($ Thousands).
(D) This warrant does not have a strike price or expiration date.
(E) The rate reported is the effective yield at time of purchase.
ADR -- American Depositary Receipt
Cl -- Class
LLC -- Limited Liability Company
LP -- Limited Partnership
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
110 SEI Institutional Managed Trust / Annual Report / September 30, 2007
Small/Mid Cap Diversified Alpha Fund
September 30, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS# (UNAUDITED):
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
12.8% U.S. Government Agency Mortgage-Backed Obligations
12.7% Financials
12.1% Information Technology
11.8% Industrials
10.0% Asset-Backed Securities
8.3% Consumer Discretionary
7.0% Short-Term Investment
6.8% Health Care
5.2% Materials
4.3% Energy
4.3% Utilities
2.5% Consumer Staples
1.8% Telecommunication Services
0.3% U.S. Treasury Obligations
0.1% Convertible Bond
0.0% Purchased Option
0.0% Warrants
#Percentages based on total investments.
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 79.8%
CONSUMER DISCRETIONARY -- 9.6%
Abercrombie & Fitch, Cl A 985 $ 79
Aeropostale (C)* 3,750 71
Aftermarket Technology* 3,183 101
Ambassadors Group (C) 700 27
American Eagle Outfitters (C) 6,100 160
AnnTaylor Stores* 2,573 81
ArvinMeritor 2,321 39
Big Lots (C)* 5,311 158
Black & Decker 2,300 192
Blockbuster, Cl A* 29,845 160
Blyth 2,288 47
Bob Evans Farms 126 4
BorgWarner (C) 700 64
Brinker International (C) 4,500 123
Brown Shoe (C) 12,966 252
Buckle (C) 1,100 42
Cablevision Systems, Cl A* 5,130 179
Casual Male Retail Group* 19,000 170
CBRL Group 4,595 187
CEC Entertainment* 3,941 106
Charming Shoppes* 24,100 202
Cinemark Holdings* 7,824 145
Citadel Broadcasting (C) 2,700 11
Cooper Tire & Rubber (C) 10,660 260
Corinthian Colleges* 9,489 151
CROCS* 275 18
CSK Auto (C)* 5,700 61
Denny's* 16,799 67
Dollar Tree Stores (C)* 9,752 395
Dover Downs Gaming &
Entertainment (C) 2,700 28
DreamWorks Animation SKG, Cl A* 4,000 134
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Dress Barn (C)* 1,200 $ 20
Drew Industries (C)* 1,900 77
Eastman Kodak 2,155 58
EchoStar Communications, Cl A (C)* 4,700 220
Eddie Bauer Holdings* 19,200 165
Entercom Communications 7,245 140
Family Dollar Stores 2,084 55
Ford Motor 470 4
GameStop, Cl A* 142 8
Getty Images* 1,180 33
Gildan Activewear* 4,000 158
Global Sources (C)* 3,500 78
Goodyear Tire & Rubber* 6,267 191
Group 1 Automotive 4,500 151
Gymboree (C)* 2,300 81
Harley-Davidson (C) 300 14
Harman International Industries 390 34
Hasbro (C) 14,733 411
Hayes Lemmerz International* 21,762 91
Home Solutions of America* 575 2
IAC/InterActive* 3,725 111
Interactive Data (C) 1,200 34
ITT Educational Services* 580 71
Jackson Hewitt Tax Service (C) 6,100 171
Jakks Pacific* 1,823 49
Jarden* 5,705 177
Jo-Ann Stores (C)* 5,917 125
Jos. A. Bank Clothiers (C)* 7,254 242
Lear (C)* 6,300 202
Lin TV, Cl A (C)* 4,100 53
Maidenform Brands (C)* 1,800 29
Meredith (C) 4,912 281
Mohawk Industries* 2,163 176
Movado Group (C) 400 13
NVR (C)* 644 303
O'Charleys (C) 1,183 18
Office Depot (C)* 2,200 45
Oxford Industries (C) 800 29
Penn National Gaming* 4,930 291
Perry Ellis International (C)* 7,470 207
Polaris Industries (C) 5,466 238
priceline.com* 750 67
R.H. Donnelley* 5,293 297
RadioShack 4,743 98
Regal Entertainment Group, Cl A (C) 7,600 167
Regis 6,700 214
Rent-A-Center* 6,565 119
Sally Beauty Holdings* 2,325 20
Sauer-Danfoss 1,580 42
Sealy 1,625 23
Sinclair Broadcast Group, Cl A (C) 13,398 161
Sirius Satellite Radio* 4,570 16
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 111
SCHEDULE OF INVESTMENTS
Small/Mid Cap Diversified Alpha Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Smith & Wesson Holding* 325 $ 6
Sotheby's Holdings (C) 3,000 143
Standard Motor Products (C) 12,594 118
Standard-Pacific 10,580 58
Steinway Musical Instruments (C) 700 21
Stoneridge (C)* 18,711 191
Sturm Ruger (C)* 8,145 146
Sun-Times Media Group, Cl A 1,400 3
Talbots 4,495 81
Tecnisa (Brazil) (D) 32,500 204
Tempur-Pedic International (C) 6,835 244
Timberland, Cl A* 9,850 187
Town Sports International
Holdings (C)* 1,700 26
True Religion Apparel* 10,000 176
TRW Automotive Holdings* 6,070 192
Tupperware Brands (C) 15,030 473
Under Armour, Cl A* 325 19
Virgin Media 110 3
Visteon* 3,225 17
Warnaco Group* 715 28
Weight Watchers International 2,875 165
West Marine (C)* 12,126 140
WMS Industries (C)* 1,050 35
XM Satellite Radio Holdings, Cl A* 3,025 43
--------------
12,513
--------------
CONSUMER STAPLES -- 2.8%
Alliance One International (C)* 33,966 222
Andersons 805 39
Asiatic Development (Malaysia) (D) 98,500 185
Avon Products 2,615 98
Bunge 335 36
Central Garden and Pet, Cl A* 1,295 12
Corn Products International 1,830 84
Cosan SA Industria e Comercio
(Brazil) (D)* 16,500 224
Energizer Holdings* 2,114 234
Imperial Sugar 100 3
Inter Parfums 6,800 161
Lance 5,700 131
Loews - Carolina 3,347 275
Longs Drug Stores (C) 6,450 320
Mannatech (C) 3,500 28
Molson Coors Brewing, Cl B (C) 2,245 224
Nash Finch (C) 6,475 258
NBTY (C)* 4,784 194
PepsiAmericas 5,345 174
Pilgrim's Pride 4,922 171
Revlon, Cl A* 15,625 18
Safeway (C) 3,300 109
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Smithfield Foods* 4,530 $ 143
Universal (C) 5,755 282
USANA Health Sciences (C)* 2,400 105
--------------
3,730
--------------
ENERGY -- 4.9%
Alon USA Energy 3,255 110
Arch Coal 215 7
Arena Resources* 200 13
Arlington Tankers 7,700 190
ATP Oil & Gas* 4,705 221
BA Energy, Deal #3 PIPE
(Canada) (D) (I) (J)* 12,000 85
Basic Energy Services* 8,825 186
Bois d'Arc Energy (C)* 1,500 29
BPZ Energy PIPE (I) (J)* 16,800 131
Cameron International* 675 62
Carrizo Oil & Gas* 5,173 232
Complete Production Services* 6,700 137
Comstock Resources (C)* 5,700 176
Consol Energy 75 4
Continental Resources (C)* 3,600 65
Crosstex Energy 1,865 71
Delek US Holdings (C) 7,800 196
Dresser-Rand Group* 3,840 164
Dril-Quip* 3,951 195
Encore Acquisition* 5,900 187
ENGlobal* 755 9
Exterran Holdings* 1,780 143
Foundation Coal Holdings 5,260 206
Global Industries* 1,532 39
Hercules Offshore* 8,100 211
Holly 1,973 118
Hugoton Royalty Trust 1,825 43
ION Geophysical* 926 13
Massey Energy 1,420 31
Matrix Service (C)* 10,791 226
McMoRan Exploration* 985 13
Meridian Resource* 25,949 64
NATCO Group, Cl A* 105 5
Oceaneering International* 50 4
Oilsands Quest* 35,200 156
Oilsands Quest PIPE (I) (J)* 4,000 18
OPTI (Canada) (D)* 9,800 184
OYO Geospace (C)* 600 56
Parallel Petroleum* 14,146 240
Parker Drilling* 6,612 54
Petroleum Development* 1,025 45
Plains Exploration & Production* 650 29
Rentech* 71,549 155
Rosetta Resources (C)* 9,036 166
- --------------------------------------------------------------------------------
112 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
SEACOR Holdings (C)* 1,650 $ 157
St Mary Land & Exploration (C) 3,700 132
StealthGas 6,500 112
Superior Well Services* 7,500 170
Swift Energy (C)* 4,400 180
Synenco Energy, Cl A (Canada) (D)* 13,840 156
Tesoro 1,245 57
Tetra Technologies* 1,825 39
Tidewater (C) 3,119 196
Transmontaigne Partners LP 275 9
Trico Marine Services* 345 10
Unit* 3,975 192
Uranium One (Canada) (D)* 12,500 165
USEC (C)* 10,071 103
Vaalco Energy* 1,025 5
W&T Offshore 1,075 26
Western Refining 200 8
Williams 1,440 49
--------------
6,455
--------------
FINANCIALS -- 14.1%
A.G. Edwards (C) 3,965 332
ACA Capital Holdings (C)* 2,000 12
Acadia Realty Trust+ 6,400 174
Advance America Cash Advance
Centers 4,797 51
Advanta, Cl B 4,570 125
Affiliated Managers Group (C)* 1,050 134
Alexandria Real Estate Equities+ 1,460 141
AllianceBernstein Holding LP 185 16
American Financial Group (C) 17,617 502
American Financial Realty Trust+ 17,900 144
American Home Mortgage
Investment+ 3,695 1
Ameriprise Financial (C) 700 44
Amerisafe (C)* 6,608 109
Amtrust Financial Services (C) 2,300 35
Annaly Capital Management+ (C) 32,808 523
Anthracite Capital+ 2,742 25
AON 5,135 230
Arbor Realty Trust+ (C) 2,200 42
Arch Capital Group* 3,130 233
Associated Banc 5,200 154
Assurant 5,326 285
Assured Guaranty (C) 7,000 190
Bank of the Ozarks (C) 1,500 46
Bankunited Financial, Cl A (C) 21,047 327
Banner (C) 700 24
BlackRock 620 108
Calamos Asset Management, Cl A 3,575 101
Camden Property Trust+ 1,880 121
Canaccord Capital (Canada) (D) 7,100 136
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Capital Trust, Cl A+ (C) 1,700 $ 60
Cash America International (C) 4,461 168
CB Richard Ellis Group, Cl A (C)* 2,259 63
City Bank (C) 4,752 136
City Holding (C) 1,200 44
CME Group 290 170
CNA Financial (C) 2,500 98
Colonial BancGroup 12,770 276
Community Bancorp (C)* 4,843 122
Companhia Brasileira de
Desenvolvimento Imobiliari
Turistico (Brazil) (D)* 200 104
CompuCredit* 5,740 125
Corus Bankshares (C) 12,217 159
Crystal River Capital+ (C) 3,000 50
Darwin Professional
Underwriters (C)* 1,000 22
DiamondRock Hospitality+ (C) 4,600 80
Dime Community Bancshares 9,970 149
Discover Financial Services* 3,275 68
Dollar Financial* 7,325 209
Downey Financial (C) 4,196 243
Duke Realty+ (C) 2,100 71
Dundee (Canada)+ (D)* 1,000 39
Dundee (Canada)+ (D) 2,600 101
DundeeWealth (Canada) (D) 2,500 45
DundeeWealth (Canada) (D) 4,300 77
East West Bancorp (C) 6,000 216
Eaton Vance (C) 12,781 511
EMC Insurance Group 1,815 47
Entertainment Properties Trust+ (C) 1,400 71
Evercore Partners, Cl A (C) 7,400 195
Ezcorp, Cl A (C)* 8,200 110
Federated Investors, Cl B 6,137 244
FelCor Lodging Trust+ (C) 6,700 134
First Defiance Financial 614 17
First Financial Holdings (C) 400 13
First Horizon National 5,032 134
First Industrial Realty Trust+ (C) 3,755 146
First Marblehead (C) 1,300 49
First Merchants (C) 500 11
FirstFed Financial (C)* 7,618 377
Forest City Enterprises, Cl A 3,660 202
GAMCO Investors, Cl A (C) 600 33
General Shopping Brasil (Brazil) (D)* 24,400 193
Gluskin Sheff + Associates
(Canada) (D) 6,500 199
GMP Capital Trust (Canada) (D) 7,400 162
Gramercy Capital+ (C) 5,800 146
Great Southern Bancorp 1,957 49
Grubb & Ellis* 14,500 135
Grubb & Ellis Realty Advisors* 24,300 149
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 113
SCHEDULE OF INVESTMENTS
Small/Mid Cap Diversified Alpha Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Hanover Insurance Group 5,110 $ 226
Hersha Hospitality Trust+ (C) 17,800 176
Highbury Financial Units* 13,600 75
Highwoods Properties+ (C) 1,600 59
Horizon Financial (C) 600 12
Hospitality Properties Trust+ (C) 4,000 163
Imperial Capital Bancorp (C) 3,124 88
IndyMac Bancorp 5,654 133
IntercontinentalExchange* 530 81
Investment Technology Group (C)* 3,800 163
iStar Financial+ (C) 7,249 246
Jones Lang LaSalle (C) 3,220 331
Kansas City Life Insurance 2,900 128
Lakeland Financial (C) 300 7
Lazard, Cl A 3,050 129
Legg Mason 205 17
Leucadia National 500 24
Maguire Properties+ 1,025 26
Marsh & McLennan 8,465 216
MFA Mortgage Investments+ 27,000 217
MGIC Investment 3,854 125
Move* 17,760 49
NASDAQ Stock Market* 4,300 162
National Financial Partners 2,860 152
National Retail Properties+ (C) 7,678 187
Nationwide Financial Services,
Cl A (C) 6,305 339
Navigators Group (C)* 2,025 110
Nelnet, Cl A 1,175 21
New York Community Bancorp 26,775 510
NexCen Brands* 1,475 10
NorthStar Realty Finance+ (C) 11,980 119
NYSE Euronext 670 53
Ocwen Financial* 5,245 49
Pacific Capital Bancorp (C) 2,350 62
People's United Financial 9,440 163
PFF Bancorp 15,296 235
Philadelphia Consolidated
Holding (C)* 2,943 122
Platinum Underwriters Holdings 4,864 175
PMI Group (C) 7,674 251
Public Storage+ 850 67
RAIT Financial Trust+ 15,480 127
Ram Holdings Ltd* 5,700 53
Realty Income+ 7,170 200
Sierra Bancorp (C) 400 11
South Financial Group 8,480 193
Southwest Bancorp 1,511 28
St. Joe 7,585 255
SVB Financial Group (C)* 4,200 199
SWS Group 4,559 81
T. Rowe Price Group 620 35
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Taylor Capital Group 5,511 $ 154
TD Ameritrade Holding* 6,155 112
Thornburg Mortgage+ 1,240 16
Titanium Asset* 8,400 40
Transatlantic Holdings 345 24
Triad Guaranty (C)* 2,647 50
Trico Bancshares 310 7
UCBH Holdings 5,300 93
United Fire & Casualty 2,750 107
UnumProvident 3,530 86
Vineyard National Bancorp 1,929 32
W Holding 13,263 30
Washington Federal 4,130 108
West Coast Bancorp (C) 1,300 37
Westamerica Bancorporation 90 4
Wilshire Bancorp (C) 1,100 12
World Acceptance (C)* 7,365 244
WR Berkley (C) 800 24
WSFS Financial (C) 500 31
XL Capital, Cl A (C) 200 16
--------------
18,474
--------------
HEALTH CARE -- 7.9%
Abraxis BioScience* 1,060 24
Adams Respiratory Therapeutics* 1,120 43
Affymax (C)* 1,100 30
Air Methods* 1,045 48
Albany Molecular Research* 6,641 100
Align Technology* 1,830 46
Alliance Imaging (C)* 10,350 94
Alpharma, Cl A 520 11
American Dental Partners* 4,882 137
AMERIGROUP* 945 33
Amsurg* 12,408 286
Analogic 335 21
Applera -- Applied Biosystems
Group (C) 1,000 35
Apria Healthcare Group (C)* 11,616 302
Arena Pharmaceuticals* 14,400 158
Ariad Pharmaceuticals* 31,700 147
Array Biopharma (C)* 3,500 39
Bausch & Lomb 1,115 71
Bradley Pharmaceuticals* 2,116 38
Centene (C)* 1,700 37
Cephalon (C)* 2,536 185
Chemed 2,527 157
Computer Programs & Systems 420 11
Conmed (C)* 9,463 265
Cooper 820 43
Corvel* 345 8
Covance* 200 16
- --------------------------------------------------------------------------------
114 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Cubist Pharmaceuticals (C)* 2,000 $ 42
Cutera (C)* 2,100 55
CV Therapeutics* 25,325 227
Cynosure, Cl A (C)* 3,400 125
Dionex* 497 39
DJO* 550 27
Eclipsys* 1,910 45
Edwards Lifesciences (C)* 1,700 84
Emergency Medical Services, Cl A* 1,713 52
Emergent Biosolutions (C)* 2,200 20
Encysive Pharmaceuticals* 60,100 91
Endo Pharmaceuticals Holdings (C)* 5,902 183
eResearch Technology* 5,325 61
Exelixis (C)* 21,900 232
Express Scripts* 1,300 73
Forest Laboratories (C)* 700 26
Genzyme* 2,305 143
Greatbatch (C)* 6,990 186
GTx (C)* 700 11
Hanger Orthopedic Group* 4,219 48
Health Net (C)* 4,361 236
Healthspring* 2,292 45
HLTH* 500 7
Human Genome Sciences* 19,700 203
Humana (C)* 2,900 203
Immunomedics* 14,542 33
IMS Health 4,360 134
Incyte* 32,600 233
Indevus Pharmaceuticals* 3,475 24
InterMune (C)* 2,100 40
Intuitive Surgical* 275 63
Inverness Medical Innovations* 1,550 86
Kindred Healthcare* 585 10
Kinetic Concepts (C)* 3,600 203
King Pharmaceuticals* 1,811 21
LCA-Vision 983 29
Lincare Holdings (C)* 6,100 224
Magellan Health Services* 3,052 124
Manor Care 2,989 192
Matria Healthcare* 811 21
Medcath (C)* 6,472 178
Medicines* 5,500 98
Mentor (C) 800 37
MGI Pharma (C)* 1,800 50
Micrus Endovascular* 7,500 137
Mylan Laboratories (C) 5,100 81
Odyssey HealthCare* 19,925 191
Omnicell* 895 26
Orthofix International* 370 18
OSI Pharmaceuticals (C)* 1,300 44
Owens & Minor 4,530 173
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Par Pharmaceutical* 840 $ 16
PerkinElmer 8,143 238
PharmaNet Development Group (C)* 3,797 110
PharMerica* 211 3
PolyMedica 3,850 202
Pozen (C)* 1,300 14
Profarma Distribuidora de Produtos
Farmaceuticos (Brazil) (D)* 9,100 178
Res-Care* 2,115 48
Resmed* 2,410 103
Respironics* 125 6
Sciele Pharma (C)* 6,418 167
Sirona Dental Systems (C)* 4,480 160
SurModics (C)* 400 20
Techne (C)* 600 38
Universal Health Services, Cl B 5,416 295
Vertex Pharmaceuticals (C)* 600 23
ViaCell* 4,770 22
Viropharma (C)* 3,100 28
Warner Chilcott, Cl A (C)* 4,500 80
Waters (C)* 4,125 276
Watson Pharmaceuticals (C)* 11,944 387
WellCare Health Plans (C)* 2,468 260
West Pharmaceutical Services (C) 6,609 275
--------------
10,268
--------------
INDUSTRIALS -- 13.6%
ABM Industries 2,424 49
ABX Air* 2,690 19
ACCO Brands* 6,255 140
Accuride* 5,214 63
Actuant, Cl A 1,160 75
Acuity Brands (C) 4,049 204
AGCO (C)* 10,813 549
Alaska Air Group* 5,420 125
Albany International, Cl A 4,541 170
Alexander & Baldwin 1,110 56
Alliant Techsystems* 1,383 151
Allied Waste Industries (C)* 15,700 200
Amerco* 187 12
American Commercial Lines* 8,530 203
American Reprographics (C)* 500 9
American Standard (C) 1,800 64
American Woodmark 2,167 54
AMR (C)* 600 13
AO Smith 1,255 55
Apogee Enterprises (C) 5,800 151
ASV* 275 4
Atlas Air Worldwide Holdings (C)* 2,000 103
Badger Meter 75 2
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 115
SCHEDULE OF INVESTMENTS
Small/Mid Cap Diversified Alpha Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
BE Aerospace* 5,979 $ 248
Belden CDT 2,005 94
Blount International* 1,200 14
Bowne 9,502 158
Briggs & Stratton 9,845 248
Bucyrus International, Cl A 425 31
Cenveo (C)* 3,300 71
Ceradyne (C)* 800 61
ChoicePoint* 720 27
Clean Harbors* 70 3
Columbus McKinnon* 2,265 56
COMSYS IT Partners (C)* 7,515 126
Con-way 2,265 104
Consolidated Graphics (C)* 200 13
Continental Airlines, Cl B (C)* 5,879 194
Corrections of America* 8,278 217
CRA International* 3,750 181
Cummins (C) 3,793 485
Curtiss-Wright 4,860 231
Deluxe (C) 5,917 218
Dun & Bradstreet 3,530 348
DynCorp International, Cl A* 2,994 69
Eaton (C) 400 40
EDO 1,680 94
EMCOR Group (C)* 12,048 378
EnPro Industries (C)* 6,926 281
Equifax 3,575 136
ESCO Technologies* 5,825 194
Flint Energy Services (Canada) (D)* 650 18
Flint Energy Services (Canada) (D)* 4,100 110
Fluor 285 41
Force Protection* 15,500 336
Freightcar America 805 31
Gardner Denver (C)* 5,600 218
GenCorp* 5,700 68
General Cable* 1,220 82
General Electric 90 4
Genlyte Group (C)* 900 58
Geo Group* 1,880 56
GeoEye (C)* 1,800 46
Goodman Global (C)* 2,300 55
Goodrich 1,175 80
GrafTech International (C)* 27,684 494
Granite Construction (C) 5,335 283
H&E Equipment Services* 10,880 196
Harsco (C) 600 36
Heidrick & Struggles
International (C)* 500 18
Herman Miller (C) 2,000 54
Hertz Global Holdings (C)* 11,700 266
Honeywell International 930 55
Ionatron* 380 1
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Jacobs Engineering Group* 3,914 $ 296
Joy Global 525 27
Kaman 1,220 42
Kansas City Southern (C)* 3,800 122
Kirby* 945 42
Knoll 3,330 59
Labor Ready (C)* 1,100 20
Ladish* 1,100 61
Layne Christensen (C)* 500 28
Lennox International (C) 1,100 37
Lincoln Electric Holdings (C) 1,550 120
Lydall* 11,324 105
Manitowoc (C) 5,190 230
Moog, Cl A* 3,634 160
Multi-Color 6,492 148
NACCO Industries, Cl A 642 67
NCI Building Systems* 3,800 164
Orion Marine Group (I) (J)* 13,000 185
Oshkosh Truck 1,488 92
Pall 5,549 216
Parker Hannifin (C) 1,200 134
Perini (C)* 9,550 534
Quanta Services* 8,670 229
Republic Airways Holdings (C)* 1,600 34
Republic Services (C) 9,695 317
Rockwell Automation 75 5
RR Donnelley & Sons (C) 4,100 150
RSC Holdings (C)* 14,300 235
Ryder System (C) 1,495 73
Sequa, Cl A* 105 17
Shaw Group* 6,189 360
Skywest 7,379 186
Spirit Aerosystems Holdings, Cl A* 5,689 222
SPX (C) 876 81
Standard Register 2,180 28
Steelcase, Cl A (C) 10,701 192
Sun Hydraulics (C) 600 19
Sunpower, Cl A* 650 54
Superior Essex (C)* 2,325 87
TAL International Group 5,600 140
Teleflex (C) 3,441 268
Terex (C)* 3,127 278
Thomas & Betts (C)* 2,600 153
Timken 3,800 141
Tredegar (C) 8,639 149
UAL (C)* 4,584 213
UAP Holding 4,065 128
United Rentals* 3,700 119
United Stationers* 4,495 250
United Technologies 1,310 106
URS* 5,189 293
Viad (C) 1,100 40
- --------------------------------------------------------------------------------
116 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Wabtec 6,865 $ 257
Walter Industries 7,506 202
Washington Group International* 2,810 247
Waste Connections* 1,860 59
Waste Industries USA (C) 700 20
Watson Wyatt Worldwide, Cl A (C) 2,300 103
WESCO International* 870 37
Williams Scotsman International* 1,670 46
Xerium Technologies (C) 4,000 22
--------------
17,846
--------------
INFORMATION TECHNOLOGY -- 14.0%
ADC Telecommunications* 6,886 135
Advanced Analogic Technologies* 4,255 45
Advanced Energy Industries (C)* 3,700 56
Akamai Technologies* 3,700 106
AMIS Holdings (C)* 5,510 53
Amkor Technology (C)* 13,500 156
Andrew* 21,964 304
Arris Group (C)* 3,928 49
Arrow Electronics* 8,790 374
AsiaInfo Holdings* 22,393 203
Aspen Technology (C)* 2,700 39
Asyst Technologies* 28,600 151
Atmel* 70,664 365
Authorize.Net Holdings* 1,965 35
Avnet (C)* 4,155 166
Avocent* 105 3
AVX (C) 4,400 71
Benchmark Electronics* 655 16
Blackboard* 650 30
Blue Coat Systems* 75 6
BMC Software (C)* 2,400 75
Brightpoint* 1,335 20
Broadcom, Cl A* 65 2
Broadridge Financial Solutions (C) 12,000 227
C-COR* 5,927 68
Cadence Design Systems (C)* 4,200 93
Captaris* 28,833 153
Checkpoint Systems* 4,065 107
Chordiant Software (C)* 5,400 75
Ciber* 1,388 11
Cirrus Logic* 3,790 24
Citrix Systems* 1,670 67
CMGI* 29,202 40
CommScope (C)* 200 10
Computer Sciences* 2,920 163
Comtech Telecommunications* 3,718 199
Convergys (C)* 14,098 245
CPI International (C)* 400 8
Credence Systems* 58,772 182
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Cree* 790 $ 25
CSG Systems International (C)* 13,605 289
CTS (C) 11,822 153
Cymer* 515 20
Cypress Semiconductor* 4,596 134
Diebold 2,400 109
Diodes* 6,603 212
DSP Group* 8,500 135
Dycom Industries (C)* 3,800 116
EFJ* 16,500 96
Electronic Arts* 6,750 378
Electronic Data Systems (C) 22,500 491
Electronics for Imaging* 3,620 97
Emergis (Canada) (D)* 24,100 169
EMS Technologies* 3,685 90
Emulex (C)* 7,715 148
Epicor Software (C)* 6,000 83
EPIQ Systems (C)* 14,758 278
Fidelity National Information
Services (C) 500 22
Flir Systems* 1,230 68
Greenfield Online* 4,285 65
Harris (C) 1,800 104
Harris Stratex Networks, Cl A* 7,000 122
Heartland Payment Systems 2,495 64
Hewitt Associates, Cl A* 5,275 185
Hutchinson Technology* 8,200 202
Imation 7,300 179
Imergent (C) 800 18
Integrated Device Technology (C)* 2,600 40
InterDigital (C)* 6,100 127
Intermec* 965 25
International Rectifier* 460 15
Interwoven* 4,439 63
Intuit* 4,600 139
Itron* 1,140 106
Jack Henry & Associates (C) 1,700 44
JDA Software Group* 7,500 155
Juniper Networks* 7,540 276
Jupitermedias* 20,800 132
Kulicke & Soffa Industries* 645 5
Lam Research (C)* 3,175 169
Lawson Software* 16,721 167
Lexmark International, Cl A* 3,685 153
LoJack (C)* 9,094 172
LSI Logic* 9,650 72
LTX* 32,070 114
Magma Design Automation (C)* 10,169 143
Manhattan Associates (C)* 5,002 137
Mastec* 15,670 220
Mattson Technology* 445 4
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 117
SCHEDULE OF INVESTMENTS
Small/Mid Cap Diversified Alpha Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
McAfee* 2,950 $ 103
MEMC Electronic Materials (C)* 900 53
Mentor Graphics (C)* 1,600 24
Mercadolibre* 2,800 103
Methode Electronics 12,743 192
Mettler Toledo International (C)* 4,173 426
Microsemi* 9,250 258
MicroStrategy, Cl A* 439 35
Microtune* 3,010 18
MIPS Technologies* 21,500 170
Monolithic Power Systems* 3,185 81
MTS Systems 785 33
NCR* 1,300 65
Netlogic Microsystems* 295 11
Network Appliance (C)* 500 13
Novatel (C)* 4,200 165
Novatel Wireless* 800 18
Novellus Systems (C)* 1,957 53
Nuance Communications* 5,300 102
ON Semiconductor (C)* 16,900 212
OSI Systems* 4,250 96
Palm* 13,100 213
Parametric Technology* 10,201 178
Park Electrochemical 5,000 168
Parkervision* 10,300 156
PC Connection (C)* 6,762 85
Perot Systems, Cl A* 6,118 103
Photon Dynamics* 17,025 154
Plexus* 14,513 398
PMC - Sierra* 19,300 162
Powerwave Technologies* 6,125 38
Riverbed Technology* 475 19
Rudolph Technologies* 2,900 40
Salesforce.com* 495 25
SanDisk* 675 37
Seachange International* 15,500 107
Sierra Wireless* 4,000 84
Silicon Laboratories* 1,125 47
Silicon Storage Technology (C)* 24,159 78
Staktek Holdings* 30,603 105
Standard Microsystems* 370 14
Sun Microsystems* 23,725 133
Sybase (C)* 14,414 333
SYNNEX* 735 15
Synopsys (C)* 6,610 179
Technitrol (C) 2,200 59
Tektronix 105 3
Teradyne (C)* 14,475 200
TNS (C) 1,900 31
Total System Services 3,975 110
Trina Solar ADR* 3,600 205
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
TTM Technologies* 16,500 $ 191
United Online (C) 6,500 98
Universal Display* 1,965 35
Varian Semiconductor Equipment
Associates (C)* 2,050 110
Veeco Instruments* 3,090 60
VeriFone Holdings* 575 25
VeriSign* 10,035 339
Vignette* 4,175 84
Vishay Intertechnology (C)* 11,400 149
Western Digital (C)* 8,800 223
Wright Express* 3,800 139
Xerox (C)* 10,400 180
Zoran* 6,495 131
Zygo* 9,000 117
--------------
18,253
--------------
MATERIALS -- 6.0%
Airgas 4,408 228
AK Steel Holding (C)* 9,535 419
Albemarle (C) 5,000 221
AM Castle 4,472 146
Apex Silver Mines* 2,250 44
Ashland 7,400 446
Ball 3,140 169
Buckeye Technologies (C)* 25,001 379
Cabot 3,905 139
Carpenter Technology 2,669 347
Celanese, Ser A (C) 8,547 333
CF Industries Holdings 518 39
Cincinnati Bell* 52,816 261
Cleveland-Cliffs (C) 3,457 304
Commercial Metals 4,760 151
First Quantum Minerals (Canada) (D) 1,800 177
FMC (C) 4,275 222
Frontera Copper (Canada) (D)* 15,500 102
Graphic Packaging* 2,084 9
Greif, Cl A 2,674 162
Headwaters* 595 9
Hercules (C) 5,600 118
Horsehead Holding* 7,100 159
Innospec 3,824 87
Katanga Mining (Canada) (D)* 8,000 139
Lubrizol 3,488 227
Neenah Paper 945 31
NewMarket 345 17
OM Group (C)* 3,800 201
Owens-Illinois* 9,450 392
Pactiv (C)* 6,370 183
Rock-Tenn, Cl A (C) 14,182 410
Rockwood Holdings* 2,465 88
- --------------------------------------------------------------------------------
118 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Schnitzer Steel Industries, Cl A 1,350 $ 99
Schweitzer-Mauduit International (C) 5,719 133
Sherritt International (Canada) (D) 10,100 162
Silgan Holdings 985 53
Sonoco Products 5,705 172
Spartech (C) 10,216 174
Steel Dynamics 3,600 168
Symyx Technologies* 1,095 10
Terra Industries* 2,571 80
Texas Industries 30 2
United States Steel (C) 1,400 148
Wheeling-Pittsburgh* 12,400 239
WR Grace* 370 10
--------------
7,809
--------------
TELECOMMUNICATION SERVICES -- 2.0%
Alaska Communications Systems
Group 10,005 145
Atlantic Tele-Network (C) 1,400 51
Cbeyond* 175 7
Centennial Communications* 11,600 117
CenturyTel (C) 7,994 369
Citizens Communications 3,944 56
Consolidated Communications
Holdings 25 1
Dobson Communications, Cl A* 2,800 36
Embarq (C) 2,700 150
Fairpoint Communications 12,900 243
FiberTower* 13,175 51
Global Crossing* 5,885 124
Golden Telecom 150 12
IDT, Cl B 1,810 15
Iowa Telecommunications Services 2,640 52
Leap Wireless International* 2,875 234
Premiere Global Services (C)* 11,600 147
Rural Cellular, Cl A* 1,775 77
Sierra Wireless* 2,500 53
Syniverse Holdings (C)* 8,800 140
Telephone & Data Systems 3,317 221
Time Warner Telecom, Cl A* 4,215 93
US Cellular (C)* 1,200 118
USA Mobility (C) 6,225 105
Vonage Holdings* 22,985 24
--------------
2,641
--------------
UTILITIES -- 4.9%
AES (C)* 10,360 208
AGL Resources (C) 11,469 454
Alliant Energy 1,463 56
Atmos Energy 7,743 219
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Black Hills (C) 6,102 $ 250
Cia de Saneamento de Minas
Gerais-COPASA (Brazil) (D)* 7,000 114
Cleco 5,220 132
Consolidated Edison 2,485 115
DPL 4,050 106
Edison International (C) 1,900 105
El Paso Electric (C)* 2,700 62
Empire District Electric 2,725 62
Energen (C) 8,081 462
Equitable Resources 2,865 149
Idacorp 3,891 127
Integrys Energy Group 3,657 187
Laclede Group 2,105 68
New Jersey Resources 3,790 188
Nicor (C) 4,700 202
Northwest Natural Gas 3,509 160
NorthWestern 5,725 156
OGE Energy 3,209 106
Oneok 6,230 295
Ormat Technologies 3,425 159
PG&E (C) 1,700 81
PNM Resources 910 21
Portland General Electric (C) 8,877 247
Progress Energy 2,520 118
Puget Energy (C) 8,326 204
Reliant Energy* 6,650 170
SCANA 4,875 189
Sempra Energy (C) 2,400 140
Southwest Gas 5,432 154
TECO Energy 1,125 18
UGI 12,002 312
Unisource Energy 245 7
Vectren 7,204 197
WGL Holdings 2,210 75
Wisconsin Energy 6,140 277
--------------
6,352
--------------
Total Common Stock
(Cost $103,562) ($ Thousands) 104,341
--------------
PREFERRED STOCK -- 0.1%
FINANCIALS -- 0.1%
Thornburg Mortgage 2,903 81
--------------
Total Preferred Stock
(Cost $73) ($ Thousands) 81
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 119
SCHEDULE OF INVESTMENTS
Small/Mid Cap Diversified Alpha Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Contracts/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
PURCHASED OPTION -- 0.0%
June 2008 U.S. Ten Year Treasury Call,
Expires 06/16/08,
Strike Price: $95.00* 7 $ 12
--------------
Total Purchased Option
(Cost $3) ($ Thousands) 12
--------------
Number of
Warrants
---------
WARRANTS -- 0.0%
Rentech, Expires 04/25/12 (I) (J)* 1,000 1
Titanium Asset Management,
Expires 06/21/11* 8,400 9
--------------
Total Warrants
(Cost $--) ($ Thousands) 10
--------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
OBLIGATIONS -- 16.2%
FHLMC
6.000%, 02/01/22 $ 2,641 2,675
FHLMC CMO STRIPS, Ser 232,
Cl IO, IO
5.000%, 08/01/35 4,078 1,074
FNMA
5.500%, 10/01/22 1,000 967
5.000%, 07/01/35 to 05/01/36 2,205 2,107
FNMA (G)
5.580%, 03/12/08 275 270
5.345%, 11/02/07 975 971
FNMA CMO STRIPS, Ser 360,
Cl 2, IO
5.000%, 08/01/35 746 196
FNMA TBA
6.500%, 10/01/37 to 11/15/37 2,000 2,035
6.000%, 10/20/21 to 11/01/37 2,000 2,037
5.500%, 10/15/22 6,300 6,284
5.000%, 10/01/22 1,000 1,006
GNMA ARM
5.000%, 04/20/35 328 327
4.500%, 03/20/37 1,244 1,238
--------------
Total U.S. Government Agency
Mortgage-Backed Obligations
(Cost $21,059) ($ Thousands) 21,187
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 11.5%
MORTGAGE RELATED SECURITIES -- 11.5%
American Home Mortgage Investment
Trust, Ser 2004-3, Cl 2A (E)
3.590%, 03/01/08 $ 230 $ 227
American Home Mortgage Investment
Trust, Ser 2005-1, Cl 4A1 (E)
4.992%, 10/01/07 118 119
American Home Mortgage Investment
Trust, Ser 2005-4, Cl 5A (E)
5.350%, 10/25/07 529 523
Bear Stearns Alternative Trust,
Ser 2004-12, Cl 2A2 (E)
5.011%, 10/01/07 309 307
Bear Stearns Asset-Backed Securities,
Ser 2007-HE4, Cl 1A1 (E)
5.440%, 10/31/07 443 440
Carrington Mortgage Loan Trust,
Ser 2007-FRE1, Cl A1 (E)
5.625%, 10/25/07 327 325
Citigroup Mortgage Loan Trust,
Ser 2007-AR5, Cl 1A2A (E)
5.621%, 10/01/07 432 434
Countrywide Asset-Backed Certificates,
Ser 2007-BC1, Cl M1 (E)
5.381%, 10/31/07 400 354
Countrywide Home Loans,
Ser 2007-HYB1, Cl 1A1 (E)
5.569%, 10/01/07 446 447
Countrywide Home Loans,
Ser 2007-HYB2, Cl 3A1 (E)
5.468%, 10/01/07 95 94
Credit-Based Asset Servicing,
Ser 2007-CB3, Cl A1 (F)
5.766%, 03/25/37 5 5
Credit-Based Asset Servicing,
Ser 2007-CB4, Cl A1A (E)
5.595%, 10/27/07 452 447
Credit-Based Asset Servicing,
Ser 2007-CB4, Cl A2A (F)
5.844%, 04/25/37 452 449
First Franklin Mortgage Loan Asset,
Ser 2006-FF12, Cl A2 (E)
5.545%, 10/25/07 187 185
First Franklin Mortgage Loan,
Ser 2006-FF14, Cl A2 (E)
5.565%, 10/25/07 429 423
GMAC Mortgage Loan Trust,
Ser 2007-HE1, Cl A2 (E)
5.621%, 08/25/37 216 214
- --------------------------------------------------------------------------------
120 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GS Mortgage Securities,
Ser 2007-GG10, Cl A4 (E)
5.993%, 08/10/45 $ 100 $ 102
GSAMP Trust, Ser 2007-HE2,
Cl A2A (E)
5.440%, 10/20/07 344 341
Home Equity Mortgage Trust,
Ser 2007-2, Cl 2A1A (E)
5.650%, 10/31/07 448 442
Impac Secured Assets CMO Owners
Trust, Ser 2007-2, Cl 1A1A (E)
5.615%, 05/25/37 380 378
Impac Secured Assets CMO Owners
Trust, Ser 2007-3, Cl 1A1A (E)
5.241%, 10/31/07 462 460
Indymac Residential Asset-Backed
Trust, Ser 2007-A, Cl 2A1 (E)
5.261%, 10/12/07 326 324
JPMorgan Chase Commercial Mortgage
Securities, Ser 2006-CB17, Cl A4
5.429%, 12/12/43 200 198
Lehman XS Trust, Ser 2007-4N,
Cl 1A1 (E)
5.450%, 03/25/47 362 359
Merrill Lynch Mortgage Investors,
Ser 2005-A4, Cl 1A (E)
5.136%, 10/01/07 221 225
Merrill Lynch Mortgage Investors,
Ser 2007-HE2, Cl A2A (E)
5.625%, 10/30/07 374 371
Merrill Lynch Mortgage Investors,
Ser 2007-MLN1, Cl A2A (E)
5.241%, 10/26/07 501 497
Morgan Stanley Mortgage Loan Trust,
Ser 2007-11AR, Cl 2A5 (E)
6.000%, 10/01/07 97 97
Novastar Home Equity Loan,
Ser 2007-1, Cl A2A1 (E)
5.420%, 10/31/07 351 347
Option One Mortgage Loan Trust,
Ser 2007-5, Cl 2A1 (E)
5.221%, 10/27/07 459 456
Option One Mortgage Loan Trust,
Ser 2007-HL1, Cl 2A1 (E)
5.625%, 10/26/07 455 452
RAAC, Ser 2007-SP1, Cl A1 (E)
5.655%, 10/10/07 328 325
Renaissance Home Equity Loan Trust,
Ser 2007-1, Cl AV1 (E)
5.261%, 10/29/07 345 342
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Residential Asset Securities,
Ser 2007-KS3, Cl A1A (E)
5.241%, 04/25/37 $ 373 $ 371
Residential Funding Mortgage
Securities, Ser 2007-HI1, Cl A1 (E)
5.450%, 03/25/37 346 343
Securitized Asset-Backed
Receivables LLC, Ser 2007-HE1,
Cl M1 (E)
5.381%, 10/30/07 500 415
Structured Adjustable Rate Mortgage
Loan, Ser 2007-3, Cl 2A1 (E)
5.983%, 10/01/07 490 495
Structured Adjustable Rate Mortgage
Loan, Ser 2007-9, Cl 2A1
0.000%, 10/16/37 500 501
Structured Asset Investment Loan,
Ser 2003-BC4, Cl M2 (E)
8.320%, 10/25/07 80 75
Structured Asset Securities
Corporation, Ser 2007-EQ1, Cl A2 (E)
5.221%, 10/31/07 448 444
Washington Mutual Mortgage Pass-
Through Certificates,
Ser 2007-HY2, Cl 1A1 (E)
5.776%, 04/25/37 470 476
Washington Mutual Mortgage Pass-
Through Certificates,
Ser 2007-HY4, Cl 1A1 (E)
5.560%, 10/01/07 367 366
Washington Mutual Mortgage Pass-
Through Certificates,
Ser 2007-HY6, Cl 1A1 (E)
5.707%, 06/25/37 377 375
Wells Fargo Home Equity Trust,
Ser 2007-2, Cl A1
5.595%, 10/20/07 477 473
--------------
Total Asset-Backed Securities
(Cost $15,245) ($ Thousands) 15,043
--------------
CORPORATE OBLIGATIONS -- 0.6%
CONSUMER DISCRETIONARY -- 0.1%
Time Warner
6.875%, 05/01/12 70 73
--------------
ENERGY -- 0.0%
Weatherford International (H)
5.950%, 06/15/12 20 20
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 121
SCHEDULE OF INVESTMENTS
Small/Mid Cap Diversified Alpha Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
FINANCIALS -- 0.4%
CIT Group
5.000%, 02/13/14 $ 85 $ 77
Capmark Financial Group (H)
6.300%, 05/10/17 5 4
5.875%, 05/10/12 10 9
Discover Financial Services (H)
6.450%, 06/12/17 10 10
Genworth Financial
5.650%, 06/15/12 60 61
HSBC Finance
6.375%, 10/15/11 70 72
Lehman Brothers Holdings MTN
5.250%, 02/06/12 65 64
Morgan Stanley MTN, Ser G
5.660%, 10/04/07 100 97
Prudential Financial MTN
5.800%, 06/15/12 20 20
Residential Capital LLC
6.500%, 04/17/13 195 158
iStar Financial, Ser 1
5.875%, 03/15/16 45 40
--------------
612
--------------
INDUSTRIALS -- 0.0%
US Steel
5.650%, 06/01/13 15 15
--------------
TELECOMMUNICATION SERVICES -- 0.0%
Vodafone Group PLC
5.350%, 02/27/12 15 15
--------------
UTILITIES -- 0.1%
Exelon Generation
6.950%, 06/15/11 70 73
--------------
Total Corporate Obligations
(Cost $865) ($ Thousands) 808
--------------
CONVERTIBLE BOND -- 0.1%
Nova BioSource CV to 273.2240
10.000%, 09/30/12 153 153
--------------
Total Convertible Bond
(Cost $153) ($ Thousands) 153
--------------
CASH EQUIVALENT**++ -- 8.1%
SEI Daily Income Trust,
Prime Obligation Fund, Cl A,
5.350% 10,566,416 10,566
--------------
Total Cash Equivalent
(Cost $10,566) ($ Thousands) 10,566
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 0.4%
U.S. Treasury Bills (A) (B)
4.017%, 11/23/07 $ 320 $ 318
3.900%, 12/20/07 20 20
U.S. Treasury Bonds TIPS
2.375%, 04/15/11 182 184
--------------
Total U.S. Treasury Obligations
(Cost $519) ($ Thousands) 522
--------------
Total Investments -- 116.8%
(Cost $152,045) ($ Thousands) $ 152,723
==============
COMMON STOCK SOLD SHORT -- (5.9)%
CONSUMER DISCRETIONARY -- (1.9)%
Ambassadors International (1,300) (32)
Beazer Homes USA (1,300) (11)
Borders Group (7,100) (95)
Cache* (9,007) (161)
California Coastal Communities* (9,496) (117)
Carmax* (4,780) (97)
Century Casinos* (19,993) (122)
Corinthian Colleges* (7,900) (126)
Cosi* (5,241) (18)
Directed Electronics* (17,273) (69)
Fleetwood Enterprises* (5,600) (48)
Furniture Brands International (9,600) (97)
H&R Block (8,700) (184)
Lakes Entertainment* (12,470) (119)
Levitt, Cl A (17,455) (35)
Lifetime Brands (4,467) (91)
Lithia Motors, Cl A (5,600) (96)
M/I Homes (1,300) (18)
MarineMax* (11,532) (168)
Peets Coffee & Tea* (5,752) (161)
Pier 1 Imports (4,800) (23)
Quiksilver* (3,700) (53)
Ruth's Chris Steak House* (3,658) (52)
Scientific Games, Cl A* (1,300) (49)
Standard-Pacific (4,500) (25)
Tivo* (9,976) (62)
Toll Brothers* (6,600) (132)
Urban Outfitters* (1,325) (28)
Visteon* (5,700) (28)
Zale* (8,200) (190)
--------------
(2,507)
--------------
CONSUMER STAPLES -- (0.1)%
Medifast* (11,788) (66)
Rite Aid* (18,073) (83)
--------------
(149)
--------------
- --------------------------------------------------------------------------------
122 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
ENERGY -- (0.3)%
Crosstex Energy (1,700) $ (64)
Harvest Natural Resources* (1,700) (20)
Peabody Energy (2,900) (139)
Petroleum Development* (2,600) (115)
TXCO Resources* (2,300) (21)
Warren Resources* (2,100) (26)
World Fuel Services (700) (29)
--------------
(414)
--------------
FINANCIALS -- (0.6)%
Baldwin & Lyons, Cl B (415) (11)
Cardinal Financial (6,973) (70)
Cousins Properties+ (1,300) (38)
Healthcare Realty Trust+ (1,600) (43)
Maguire Properties+ (3,900) (101)
Meruelo Maddux Properties* (2,800) (17)
Plum Creek Timber+ (4,500) (202)
PMA Capital, Cl A* (10,952) (104)
Post Properties+ (300) (12)
Thomas Weisel Partners Group* (1,600) (23)
Westfield Financial (8,674) (84)
White Mountains Insurance Group (140) (73)
Yardville National Bancorp (1,459) (48)
--------------
(826)
--------------
HEALTH CARE -- (0.6)%
Abiomed* (3,000) (37)
Akorn* (1,600) (12)
BioMimetric Therapeutics* (1,400) (19)
Cadence Pharmaceuticals* (1,800) (25)
DexCom* (1,417) (14)
Five Star Quality Care* (13,954) (115)
I-Flow* (1,400) (26)
Keryx Biopharmaceuticals* (873) (9)
Metabolix* (3,100) (75)
Minrad International* (25,141) (120)
Northstar Neuroscience* (2,700) (30)
NxStage Medical* (1,400) (20)
Omnicare (700) (23)
Spectranetics* (10,923) (147)
Stereotaxis* (2,500) (35)
Volcano* (1,000) (17)
--------------
(724)
--------------
INDUSTRIALS -- (0.8)%
Albany International, Cl A (700) (26)
Casella Waste Systems, Cl A* (1,900) (24)
Donaldson (3,334) (139)
Flanders* (21,323) (97)
Healthcare Services Group (2,600) (53)
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Innovative Solutions & Support* (4,572) $ (87)
Insituform Technologies, Cl A* (4,800) (73)
Insteel Industries (7,323) (112)
Owens Corning* (3,000) (75)
People Support* (12,197) (146)
Tecumseh Products, Cl A* (3,400) (66)
Titan International (4,700) (150)
--------------
(1,048)
--------------
INFORMATION TECHNOLOGY -- (0.6)%
Akamai Technologies* (730) (21)
DTS* (5,321) (162)
Echelon* (1,500) (38)
Hypercom* (11,565) (52)
Iron Mountain* (487) (15)
LivePerson* (19,452) (120)
Online Resources* (8,927) (113)
PDF Solutions* (2,722) (27)
Red Hat* (1,417) (28)
Rogers* (3,800) (156)
SourceForge* (29,298) (71)
--------------
(803)
--------------
MATERIALS -- (0.5)%
Glatfelter (11,037) (164)
Louisiana-Pacific (9,300) (158)
Royal Gold (2,337) (76)
Stillwater Mining* (5,300) (55)
Titanium Metals (3,810) (128)
--------------
(581)
--------------
TELECOMMUNICATION SERVICES -- (0.0)%
Cogent Communications Group* (1,700) (41)
--------------
UTILITIES -- (0.5)%
California Water Service Group (2,630) (101)
EnergySouth (2,693) (136)
Integrys Energy Group (3,100) (159)
ITC Holdings (1,400) (69)
Laclede Group (900) (29)
SJW (2,548) (87)
South Jersey Industries (900) (32)
--------------
(613)
--------------
Total Common Stock Sold Short
(Proceeds $(8,591)) ($ Thousands) (7,706)
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 123
SCHEDULE OF INVESTMENTS
Small/Mid Cap Diversified Alpha Fund (Concluded)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Contracts ($ Thousands)
- --------------------------------------------------------------------------------
WRITTEN OPTION -- 0.0%
June 2008 U.S. Ten Year Treasury Call,
Expires 06/16/08,
Strike Price: $95.50* (7) $ (7)
-------------
Total Written Option
(Proceeds Received $(1)) ($ Thousands) (7)
-------------
Number of
Rights
---------
RIGHTS -- 0.0%
Levitt, Expires 10/1/2007* (87,998) (1)
-------------
Total Rights
(Proceeds $--) ($ Thousands) (1)
-------------
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
APPRECIATION
TYPE OF NUMBER OF EXPIRATION (DEPRECIATION)
CONTRACT CONTRACTS DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
90-Day Euro$ (8) Mar-2008 $ (4)
90-Day Euro$ (6) Mar-2009 (4)
90-Day Euro$ (7) Mar-2010 (1)
90-Day Euro$ (7) Mar-2011 1
90-Day Euro$ (6) Mar-2012 2
90-Day Euro$ 5 Jun-2008 9
90-Day Euro$ 11 Jun-2009 8
90-Day Euro$ (25) Jun-2010 (6)
90-Day Euro$ (6) Jun-2011 1
90-Day Euro$ (1) Jun-2012 --
90-Day Euro$ (4) Sep-2008 (3)
90-Day Euro$ 11 Sep-2009 6
90-Day Euro$ (7) Sep-2010 --
90-Day Euro$ (6) Sep-2011 1
90-Day Euro$ 1 Sep-2012 --
90-Day Euro$ (18) Dec-2007 (5)
90-Day Euro$ (20) Dec-2008 (21)
90-Day Euro$ (7) Dec-2009 (2)
90-Day Euro$ (7) Dec-2010 --
90-Day Euro$ (6) Dec-2011 2
Russell 2000 Index E-MINI 182 Dec-2007 26
S&P 400 Index E-MINI 180 Dec-2007 117
U.S. 2-Year Note 3 Dec-2007 4
U.S. 5-Year Note (16) Dec-2007 (5)
U.S. 10-Year Note 14 Dec-2007 11
------
$ 137
======
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)
- ---------------------------------------------------------------------------------------------------------------------
The Fund receives payment on the monthly reset spread from Bank of
America--CMBS AAA 10 YR Index plus 20 basis points times the
notional amount. The Fund receives payment if the return on the
spread appreciates over the payment period and pays if the return
on the spread depreciates over the payment period. (Counter Party:
Goldman Sachs International) 10/31/07 $ 4,000 $ 14
The Fund receives payment on the monthly reset spread from Bank of
America--CMBS AAA 10 YR Index minus 10 basis points times the
notional amount. The Fund receives payment if the return on the
spread appreciates over the payment period and pays if the return
on the spread depreciates over the payment period. (Counter Party:
Goldman Sachs International) 02/29/08 4,000 14
The Fund delivers payment on the monthly reset spread from Lehman
Brothers--CMBS AAA 8.5 Index plus 35 basis points times the
notional amount. The Fund delivers payment if the return on the
spread appreciates over the payment period and receives payment if
the return on the spread depreciates over the payment period.
(Counter Party: Wachovia) 11/01/07 (3,000) (18)
The Fund receives payment on the monthly reset spread from Lehman
Brothers--CMBS AAA 8.5 Index plus 10 basis points times the
notional amount. The Fund receives payment if the return on the
spread appreciates over the payment period and pays if the return
on the spread depreciates over the payment period. (Counter Party:
Wachovia) 12/31/07 8,000 49
------
$ 59
======
- ---------------------------------------------------------------------------------------------------------------------
CREDIT DEFAULT SWAPS
- ---------------------------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- ---------------------------------------------------------------------------------------------------------------------
Fund receives a monthly payment of 0.013% (0.150% per annum) times
notional amount of ABX.HE.AA 07-1 Index. Upon a defined credit
event the Fund pays the notional amount and takes receipt of the
deliverable obligation. (Counter Party: Bank of America) 08/25/37 $ (250) $ 4
Fund receives a monthly payment of 0.053% (0.640% per annum) times
notional amount of ABX.HE.A 07-1 Index. Upon a defined credit event
the Fund pays the notional amount and takes receipt of the
deliverable obligation. (Counter Party: Bank of America) 08/25/37 (1,000) (406)
Fund receives a monthly payment of 0.053% (0.640% per annum) times
notional amount of ABX.HE.A 07-1 Index. Upon a defined credit event
the Fund pays the notional amount and takes receipt of the
deliverable obligation. (Counter Party: Barclays) 07/25/45 (550) (172)
Fund receives a monthly payment of 0.053% (0.64% per annum) times
notional amount of ABX.HE.A 07-1 Index. Upon a defined credit event
the Fund pays the notional amount and takes receipt of the
deliverable obligation. (Counter Party: JPMorgan Chase) 08/25/37 (500) (217)
Fund receives a monthly payment of 0.037% (0.440% per annum) times
notional amount of ABX.HE.A 06-2 Index. Upon a defined credit event
the Fund pays the notional amount and takes receipt of the
deliverable obligation. (Counter Party: Bank of America) 05/24/46 (1,750) (508)
Fund receives a monthly payment of 0.014% (0.170% per annum) times
notional amount of ABX.HE.AA 06-2 Index. Upon a defined credit
event the Fund pays the notional amount and takes receipt of the
deliverable obligation. (Counter Party: Bank of America) 05/25/46 (250) 18
- --------------------------------------------------------------------------------
124 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- ---------------------------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- ---------------------------------------------------------------------------------------------------------------------
Fund receives a monthly payment of 0.014% (0.170% per annum) times
notional amount of ABX.HE.AA 06-2 Index. Upon a defined credit
event the Fund pays the notional amount and takes receipt of the
deliverable obligation. (Counter Party: Barclays) 05/25/46 $ (250) $ (4)
Fund receives a monthly payment of 0.014% (0.17% per annum) times
notional amount of ABX.HE.AA 06-2 Index. Upon a defined credit
event the Fund pays the notional amount and takes receipt of the
deliverable obligation. (Counter Party: Wachovia) 05/25/46 (1,000) 104
Fund receives a monthly payment of 0.014% (0.17% per annum) times
notional amount of ABX.HE.AA 06-2 Index. Upon a defined credit
event the Fund pays the notional amount and takes receipt of the
deliverable obligation. (Counter Party: Wachovia) 05/25/46 (340) 42
Fund receives a monthly payment of 0.013% (0.150% per annum) times
notional amount of ABX.HE.AA 07-1 Index. Upon a defined credit
event the Fund pays the notional amount and takes receipt of the
deliverable obligation. (Counter Party: JPMorgan Chase) 08/25/37 (1,700) (46)
Fund receives a monthly payment of 0.013% (0.150% per annum) times
notional amount of ABX.HE.AA 07-1 Index. Upon a defined credit
event the Fund pays the notional amount and takes receipt of the
deliverable obligation. (Counter Party: JPMorgan Chase) 08/25/37 (900) (14)
Fund receives a monthly payment of 0.045% (0.540% per annum) times
notional amount of ABX.HE.A 06-1 Index. Upon a defined credit
event the Fund pays the notional amount and takes receipt of the
deliverable obligation. (Counter Party: Wachovia) 07/25/45 (150) (16)
---------
$ (1,215)
=========
Percentages are based on Net Assets of $130,707 ($ Thousands).
* Non-Income Producing Security.
** Rate shown is the 7-day effective yield as of September 30, 2007.
+ Real Estate Investment Trust.
++ Investment in Affiliated Security (see Note 3).
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(B) The rate reported is the effective yield at time of purchase.
(C) All or a portion of this security has been pledged as collateral for
securities sold short. The total market value of collateral for securities
sold short at September 30, 2007 was $32,160 ($ Thousands).
(D) This security is traded on a foreign stock exchange. The total market
value of such securities as of September 30, 2007 was $3,428 ($ Thousands)
and represented 2.62% of Net Assets.
(E) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of September 30, 2007.
(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) Zero Coupon Bond -- The rate shown is the effective yield at time of
purchase.
(H) Security sold within the terms of a private placedment memorandum, exempt
from registration under section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors." These securities have been determined to be liquid
under guidelines established by the Board of Trustees.
(I) Security fair valued using methods determined in good faith by the
Valuation Committee of the Board of Trustees. The total market value of
such securities as of September 30, 2007 was $420 ($ Thousands) and
represented 0.32% of Net Assets.
(J) Security considered illiquid and restricted. The total market value of
such securities at September 30, 2007 was $420 ($ Thousands) and
represented 0.32% of Net Assets.
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
ADR -- American Depositary Receipt
ARM -- Adjustable Rate Mortgage
Cl -- Class
CMBS -- Commercial Mortgage-Backed Securities
CMO -- Collateralized Mortgage Obligation
CV -- Convertible Security
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
IO -- Interest Only
LLC -- Limited Liability Company
LP -- Limited Partnership
Ltd. -- Limited
MTN -- Medium Term Note
PIPE -- Private Investment in Public Entity
PLC -- Public Limited Company
Ser -- Series
STRIPS -- Separately Traded Registered Interest and Principal Securities
TBA -- To Be Announced
TIPS -- Treasury Inflation-Protected Securities
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 125
SCHEDULE OF INVESTMENTS
Mid-Cap Fund
September 30, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS# (UNAUDITED):
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
17.7% Information Technology
17.1% Financials
13.4% Industrials
13.4% Consumer Discretionary
8.0% Health Care
7.1% Utilities
7.1% Energy
6.7% Materials
5.1% Consumer Staples
2.7% Telecommunication Services
1.6% Short-Term Investment
0.1% U.S. Treasury Obligation
#Percentages based on total investments.
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 98.1%
CONSUMER DISCRETIONARY -- 13.4%
Abercrombie & Fitch, Cl A 200 $ 16
American Eagle Outfitters 3,300 87
AnnTaylor Stores* 17,000 538
Asbury Automotive Group 7,800 154
Autoliv 900 54
Autonation* 5,900 105
Big Lots* 29,100 868
Black & Decker 1,800 150
Boyd Gaming 20,200 866
Brinker International 44,100 1,210
Cheesecake Factory* 8,000 188
Coach* 4,900 232
Darden Restaurants 44,500 1,863
Discovery Holding, Cl A* 1,400 40
Dollar Tree Stores* 45,700 1,853
EchoStar Communications, Cl A* 48,200 2,256
Family Dollar Stores 3,900 104
Gannett 4,200 184
Goodyear Tire & Rubber* 500 15
H&R Block 2,800 59
Hanesbrands* 34,800 976
Harley-Davidson 3,500 162
Hasbro 26,500 739
IAC/InterActive* 4,600 136
International Speedway, Cl A 1,100 50
ITT Educational Services* 700 85
J.C. Penney 5,300 336
Jack in the Box* 3,000 194
Lamar Advertising, Cl A 5,700 279
Liberty Media Holding-Capital, Ser A* 1,800 225
Limited Brands 1,000 23
Mattel 78,700 1,846
McGraw-Hill 1,000 51
Meredith 16,900 968
Newell Rubbermaid 2,100 61
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Nordstrom 6,600 $ 309
Nutri/System* 14,200 666
NVR* 2,600 1,223
Penn National Gaming* 1,400 83
PetSmart 5,600 179
RadioShack 37,200 769
Regal Entertainment Group, Cl A 76,500 1,679
Snap-On 4,000 198
Steven Madden 9,200 174
TJX 18,400 535
TRW Automotive Holdings* 7,600 241
VF 3,900 315
Weight Watchers International 500 29
Whirlpool 3,500 312
Wolverine World Wide 2,300 63
Wyndham Worldwide 9,900 324
Wynn Resorts 1,500 236
Yum! Brands 5,200 176
--------------
24,484
--------------
CONSUMER STAPLES -- 5.1%
Campbell Soup 5,600 207
Clorox 4,600 281
Coca-Cola Enterprises 68,700 1,664
Constellation Brands, Cl A* 6,600 160
Corn Products International 18,800 862
Energizer Holdings* 500 55
Herbalife 5,300 241
HJ Heinz 2,500 116
Kroger 5,900 168
Molson Coors Brewing, Cl B 13,700 1,366
NBTY* 36,900 1,498
Nu Skin Enterprises, Cl A 13,000 210
Pepsi Bottling Group 16,000 595
Safeway 43,100 1,427
Sara Lee 1,100 18
Supervalu 7,800 304
Tyson Foods, Cl A 6,700 120
--------------
9,292
--------------
ENERGY -- 7.1%
Cameron International* 4,900 452
Chesapeake Energy 11,800 416
El Paso 83,000 1,409
FMC Technologies* 5,800 334
Frontier Oil 700 29
Global Industries* 18,700 482
Helmerich & Payne 5,400 177
Hess 6,800 452
Holly 6,900 413
Hornbeck Offshore Services* 4,300 158
Murphy Oil 5,800 405
- --------------------------------------------------------------------------------
126 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
National Oilwell Varco* 9,900 $ 1,431
Noble 20,600 1,011
Noble Energy 34,600 2,423
SEACOR Holdings* 15,400 1,465
Spectra Energy 1,300 32
Sunoco 4,900 347
Tidewater 24,300 1,527
Western Refining 300 12
Williams 3,000 102
--------------
13,077
--------------
FINANCIALS -- 17.0%
Affiliated Managers Group* 14,700 1,874
AMBAC Financial Group 4,900 308
American Financial Group 9,200 262
Annaly Capital Management+ 119,700 1,907
Arch Capital Group* 2,700 201
Axis Capital Holdings 7,900 307
Bank of Hawaii 12,500 661
Brandywine Realty Trust+ 10,400 263
Castlepoint Holdings 5,000 58
CB Richard Ellis Group, Cl A* 54,900 1,528
CBRE Realty Finance+* 1,800 11
CIT Group 7,400 298
CNA Financial 41,100 1,616
Colonial BancGroup 12,000 259
Colonial Properties Trust+ 1,000 34
Comerica 28,700 1,472
Community Bancorp* 800 20
Crystal River Capital+ 6,200 104
Duke Realty+ 4,500 152
East West Bancorp 9,600 345
Endurance Specialty Holdings 23,100 960
Everest Re Group 1,300 143
First Marblehead 4,000 152
General Growth Properties+ 7,300 391
Genworth Financial, Cl A 13,300 409
Gramercy Capital+ 1,900 48
Health Care+ 44,400 1,964
Hospitality Properties Trust+ 48,500 1,972
Hudson City Bancorp 19,900 306
Huntington Bancshares 17,500 297
iStar Financial+ 52,600 1,788
Janus Capital Group 11,400 322
Jones Lang LaSalle 17,700 1,819
Keycorp 8,900 288
Lazard, Cl A 2,100 89
Legg Mason 23,000 1,939
Leucadia National 3,200 154
MBIA 5,300 324
MGIC Investment 5,300 171
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
National City 700 $ 18
Nationwide Financial Services, Cl A 33,100 1,782
Newcastle Investment+ 8,500 150
NorthStar Realty Finance+ 24,100 239
Philadelphia Consolidated Holding* 12,700 525
Popular 22,400 275
Radian Group 700 16
Safeco 2,400 147
Synovus Financial 29,100 816
TD Ameritrade Holding* 16,000 292
Thomas Properties Group 3,000 36
Torchmark 11,800 735
Transatlantic Holdings 6,400 450
Wilmington Trust 500 20
WR Berkley 4,500 133
XL Capital, Cl A 5,100 404
--------------
31,254
--------------
HEALTH CARE -- 8.0%
AmerisourceBergen 800 36
Cephalon* 4,900 358
Cerner* 1,800 108
Charles River Laboratories
International* 200 11
Cigna 11,400 607
Covance* 4,000 312
Coventry Health Care* 34,600 2,152
Dentsply International 5,000 208
Express Scripts* 6,600 368
Forest Laboratories* 37,200 1,387
Health Net* 6,400 346
Hillenbrand Industries 500 28
Humana* 34,100 2,383
Idexx Laboratories* 2,200 241
Intuitive Surgical* 2,200 506
Invitrogen* 5,300 433
Kinetic Concepts* 31,500 1,773
King Pharmaceuticals* 36,300 425
Laboratory of America Holdings* 4,000 313
PDL BioPharma* 8,400 182
PerkinElmer 4,300 126
Providence Service* 2,300 68
Quidel* 7,100 139
St. Jude Medical* 5,200 229
Techne* 7,200 454
Waters* 9,500 636
WellCare Health Plans* 7,700 812
--------------
14,641
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 127
SCHEDULE OF INVESTMENTS
Mid-Cap Fund (Concluded)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
INDUSTRIALS -- 13.3%
Acuity Brands 2,200 $ 111
AGCO* 18,600 944
Alliant Techsystems* 2,200 240
Allied Waste Industries* 106,300 1,355
American Standard 34,700 1,236
AMR* 6,100 136
Con-way 29,500 1,357
Continental Airlines, Cl B* 9,600 317
Cooper Industries, Cl A 1,800 92
Cummins 4,000 512
Dover 500 25
Eaton 22,000 2,179
EMCOR Group* 1,600 50
Fluor 1,100 158
Gardner Denver* 46,500 1,813
Harsco 30,100 1,784
Hertz Global Holdings* 46,200 1,050
HNI 1,000 36
Hubbell, Cl B 2,800 160
Ingersoll-Rand, Cl A 5,700 310
ITT 4,000 272
Jacobs Engineering Group* 700 53
L-3 Communications Holdings 16,800 1,716
Labor Ready* 11,500 213
Manitowoc 16,400 726
Manpower 7,600 489
Masco 13,400 310
MSC Industrial Direct, Cl A 3,000 152
Parker Hannifin 19,500 2,181
Pitney Bowes 4,900 223
Precision Castparts 2,000 296
Republic Services 10,400 340
Robert Half International 9,100 272
Rockwell Automation 4,900 341
Rockwell Collins 1,400 102
Roper Industries 1,500 98
RR Donnelley & Sons 600 22
Ryder System 400 20
Stericycle* 7,100 406
Terex* 400 36
Thomas & Betts* 18,300 1,073
Trinity Industries 7,500 282
UAL* 17,800 828
United Industrial 2,100 158
--------------
24,474
--------------
INFORMATION TECHNOLOGY -- 17.7%
Activision* 2,700 58
Affiliated Computer Services, Cl A* 1,700 85
Agilent Technologies* 14,100 520
Altera 11,500 277
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Amphenol, Cl A 18,700 $ 744
Avnet* 23,700 945
BMC Software* 43,900 1,371
Broadridge Financial Solutions 67,000 1,270
CA 200 5
Cadence Design Systems* 16,600 368
Ciena* 1,600 61
Cognizant Technology Solutions,
Cl A* 100 8
CommScope* 1,200 60
Computer Sciences* 21,900 1,224
Compuware* 3,900 31
Convergys* 83,800 1,455
Dolby Laboratories, Cl A* 10,200 355
DST Systems* 1,000 86
Electronic Data Systems 97,800 2,136
Exar* 17,900 234
Fiserv* 3,400 173
Harris 12,500 722
Ingram Micro, Cl A* 4,800 94
Integrated Device Technology* 90,600 1,402
Intersil, Cl A 8,300 277
Intuit* 13,500 409
Juniper Networks* 11,800 432
Kla-Tencor 7,300 407
Lam Research* 35,800 1,907
MEMC Electronic Materials* 29,800 1,754
Mettler Toledo International* 21,800 2,224
National Instruments 2,500 86
National Semiconductor 8,500 231
Network Appliance* 9,300 250
Nvidia* 25,500 924
Seagate Technology 45,600 1,166
Silicon Laboratories* 300 13
SPSS* 3,200 132
Symantec* 15,100 293
Synopsys* 69,600 1,885
Teradyne* 47,300 653
Varian Semiconductor Equipment
Associates* 5,500 294
Vishay Intertechnology* 55,500 723
Western Digital* 72,900 1,846
Xerox* 142,300 2,467
Xilinx 12,700 332
--------------
32,389
--------------
MATERIALS -- 6.7%
AK Steel Holding* 11,800 518
Albemarle 46,700 2,064
Ball 4,500 242
Celanese, Ser A 39,000 1,520
Commercial Metals 1,000 32
- --------------------------------------------------------------------------------
128 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Eastman Chemical 5,300 $ 354
Ecolab 8,600 406
FMC 32,400 1,685
Lubrizol 10,400 677
Mosaic* 5,600 300
Owens-Illinois* 2,200 91
Packaging of America 6,700 195
Pactiv* 62,000 1,777
PPG Industries 3,300 249
Reliance Steel & Aluminum 1,900 107
Smurfit-Stone Container* 10,000 117
Sonoco Products 44,400 1,340
Steel Dynamics 600 28
United States Steel 2,200 233
Valspar 9,800 267
--------------
12,202
--------------
TELECOMMUNICATION SERVICES -- 2.7%
American Tower, Cl A* 800 35
CenturyTel 6,100 282
Embarq 29,100 1,618
Qwest Communications International* 101,500 930
US Cellular* 17,800 1,748
USA Mobility 1,800 30
Windstream 25,400 358
--------------
5,001
--------------
UTILITIES -- 7.1%
AES* 112,000 2,245
Alliant Energy 900 35
American Electric Power 1,200 55
Atmos Energy 5,000 142
Centerpoint Energy 75,300 1,207
Consolidated Edison 9,400 435
Constellation Energy Group 4,000 343
Edison International 46,800 2,595
Energen 33,300 1,902
Mirant* 5,000 203
NiSource 17,100 327
NRG Energy* 6,800 288
Pepco Holdings 12,500 339
PG&E 46,200 2,208
Portland General Electric 800 22
Progress Energy 4,400 206
SCANA 1,900 74
Sempra Energy 5,800 337
--------------
12,963
--------------
Total Common Stock
(Cost $172,556) ($ Thousands) 179,777
--------------
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CASH EQUIVALENT**++ -- 1.6%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.350% 2,935,953 $ 2,936
--------------
Total Cash Equivalent
(Cost $2,936) ($ Thousands) 2,936
--------------
U.S. TREASURY OBLIGATION (A) (B) -- 0.1%
U.S. Treasury Bills
3.880%, 11/23/07 $ 145 144
--------------
Total U.S. Treasury Obligation
(Cost $144) ($ Thousands) 144
--------------
Total Investments -- 99.8%
(Cost $175,636) ($ Thousands) $ 182,857
==============
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
TYPE OF NUMBER OF CONTRACTS EXPIRATION APPRECIATION
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
S&P 400 Index E-MINI 25 Dec-2007 $ 70
====
Percentages are based on Net Assets of $183,287 ($ Thousands).
* Non-Income Producing Security.
** Rate shown is the 7-day effective yield as of September 30, 2007.
+ Real Estate Investment Trust.
++ Investment in Affiliated Security (see Note 3).
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(B) The rate reported is the effective yield at time of purchase.
Cl -- Class
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 129
SCHEDULE OF INVESTMENTS
U.S. Managed Volatility Fund
September 30, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS# (UNAUDITED):
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
19.1% Health Care
12.9% Consumer Staples
11.7% Financials
10.9% Industrials
9.3% Utilities
7.2% Information Technology
7.2% Consumer Discretionary
6.8% Energy
5.7% Telecommunication Services
5.3% Short-Term Investment
3.7% Materials
0.2% U.S. Treasury Obligation
#Percentages based on total investments.
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 94.4%
CONSUMER DISCRETIONARY -- 7.2%
Autoliv 40,600 $ 2,426
Belo, Cl A 16,100 279
Career Education* 44,000 1,232
Choice Hotels International 57,300 2,158
Dillard's, Cl A 55,500 1,212
DIRECTV Group* 103,500 2,513
Genuine Parts 45,700 2,285
Harte-Hanks 28,900 569
International Speedway, Cl A 26,900 1,234
ITT Educational Services* 21,900 2,665
J.C. Penney 16,300 1,033
Jack in the Box* 7,500 486
Lamar Advertising, Cl A 41,491 2,032
Liberty Media Holding-Capital, Ser A* 16,008 1,998
Pacific Sunwear of California* 24,700 366
Panera Bread, Cl A* 8,400 343
Penn National Gaming* 42,300 2,497
Polaris Industries 13,300 580
Shaw Communications, Cl B* 97,600 2,424
TRW Automotive Holdings* 72,800 2,306
VF 21,338 1,723
Washington Post, Cl B 8,179 6,566
Weight Watchers International 41,400 2,383
Yum! Brands 24,600 832
--------------
42,142
--------------
CONSUMER STAPLES -- 12.9%
Altria Group 28,219 1,962
Anheuser-Busch 26,300 1,315
Campbell Soup 17,868 661
Church & Dwight 44,600 2,098
Coca-Cola 79,299 4,557
Costco Wholesale 16,439 1,009
General Mills 164,398 9,537
Hansen Natural* 47,100 2,670
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Herbalife 11,514 $ 523
Hershey 49,100 2,279
HJ Heinz 14,100 651
Hormel Foods 253,819 9,082
JM Smucker 36,500 1,950
Kellogg 167,776 9,395
Kimberly-Clark 31,730 2,229
McCormick 96,334 3,465
Molson Coors Brewing, Cl B 17,000 1,694
Pepsi Bottling Group 100,237 3,726
PepsiAmericas 62,624 2,032
PepsiCo 82,134 6,017
Reynolds American 89,819 5,712
UST 7,100 352
Wal-Mart Stores 36,219 1,581
WM Wrigley Jr. 14,400 925
--------------
75,422
--------------
ENERGY -- 6.8%
Cameco 57,200 2,645
Chevron 87,527 8,191
Enbridge 59,900 2,196
Exxon Mobil 31,600 2,925
Holly 28,300 1,693
Imperial Oil 58,300 2,889
Murphy Oil 79,585 5,562
Nexen 86,400 2,639
Petro-Canada 46,500 2,669
SEACOR Holdings* 38,863 3,696
Spectra Energy 89,366 2,188
TransCanada 46,800 1,713
Unit* 22,408 1,085
--------------
40,091
--------------
FINANCIALS -- 11.7%
Alleghany* 6,013 2,441
American Financial Group 71,104 2,028
American National Insurance 10,534 1,386
Arch Capital Group* 25,419 1,891
Arthur J. Gallagher 58,800 1,703
Bancorpsouth 34,700 843
BOK Financial 58,232 2,994
Brookfield Asset Management, Cl A* 53,400 2,056
Capitol Federal Financial 8,063 276
CNA Financial 24,281 955
Colonial BancGroup 105,200 2,274
Commerce Bancshares 82,161 3,770
Credicorp 26,300 1,781
East West Bancorp 32,400 1,165
Erie Indemnity, Cl A 39,100 2,390
Federated Investors, Cl B 62,800 2,493
First Citizens BancShares, Cl A 13,324 2,324
- --------------------------------------------------------------------------------
130 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Fulton Financial 131,500 $ 1,891
Jones Lang LaSalle 17,300 1,778
Loews 53,924 2,607
Markel* 12,260 5,934
Mercury General 30,817 1,662
PartnerRe 4,857 384
PMI Group 70,000 2,289
Popular 176,600 2,169
Reinsurance Group of America 21 1
RenaissanceRe Holdings 40,700 2,662
Safeco 29,540 1,808
Stancorp Financial Group 36,900 1,827
Student Loan 4,275 771
Torchmark 30,565 1,905
Transatlantic Holdings 49,326 3,469
Valley National Bancorp 91,300 2,025
Wesco Financial 2,476 986
White Mountains Insurance Group 806 419
Whitney Holding 33,900 894
--------------
68,251
--------------
HEALTH CARE -- 19.1%
Abbott Laboratories 3,279 176
Alcon 17,900 2,576
AmerisourceBergen 92,967 4,214
Amylin Pharmaceuticals* 25,700 1,285
Becton Dickinson 71,039 5,829
Brookdale Senior Living 30,242 1,204
C.R. Bard 7,932 699
Cardinal Health 71,639 4,480
Celgene* 18,200 1,298
Charles River Laboratories
International* 35,700 2,004
Covance* 25,047 1,951
Coventry Health Care* 57,440 3,573
Dade Behring Holdings 30,200 2,306
Dentsply International 106,833 4,448
Edwards Lifesciences* 60,931 3,004
Eli Lilly 39,693 2,260
Endo Pharmaceuticals Holdings* 57,800 1,792
Genentech* 22,183 1,731
Genzyme* 25,946 1,608
Henry Schein* 115,918 7,052
Hillenbrand Industries 137,317 7,555
Idexx Laboratories* 49,820 5,460
ImClone Systems* 31,400 1,298
Invitrogen* 46,761 3,822
Johnson & Johnson 68,676 4,512
King Pharmaceuticals* 177,100 2,076
Laboratory of America Holdings* 76,756 6,005
McKesson 48,810 2,869
Medco Health Solutions* 7,067 639
Merck 6,900 357
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Millipore* 6,054 $ 459
Patterson* 81,205 3,135
PharMerica* 6,490 97
Schering-Plough 28,200 892
Sierra Health Services* 39,217 1,655
Techne* 72,045 4,545
Universal Health Services, Cl B 79,478 4,325
VCA Antech* 29,900 1,248
WellPoint* 83,106 6,559
Wyeth 20,300 904
--------------
111,902
--------------
INDUSTRIALS -- 10.9%
Alexander & Baldwin 8,700 436
Alliant Techsystems* 30,706 3,356
Amerco* 6,200 393
Belden CDT 29,900 1,403
C.H. Robinson Worldwide 48,700 2,644
Dun & Bradstreet 19,660 1,939
GATX 27,500 1,176
General Cable* 38,700 2,597
General Dynamics 53,527 4,521
Granite Construction 19,900 1,055
Harsco 34,800 2,063
JetBlue Airways* 88,700 818
L-3 Communications Holdings 6,301 644
Landstar System 40,600 1,704
Lennox International 22,800 771
Lincoln Electric Holdings 30,900 2,398
Lockheed Martin 67,912 7,368
Northrop Grumman 85,868 6,698
Pitney Bowes 148,847 6,761
Raytheon 57,718 3,683
Republic Services 51,670 1,690
Robert Half International 68,600 2,048
Stericycle* 45,416 2,596
Union Pacific 20,400 2,306
United Parcel Service, Cl B 10,864 816
UTI Worldwide 18,900 434
Waste Management 43,954 1,659
--------------
63,977
--------------
INFORMATION TECHNOLOGY -- 7.2%
Acxiom 39,800 788
Adtran 20,900 481
Affiliated Computer Services, Cl A* 30,700 1,542
CommScope* 36,300 1,824
Diebold 64,018 2,908
Factset Research Systems 37,600 2,578
Fair Isaac 28,500 1,029
Flir Systems* 49,800 2,758
Harris 32,000 1,849
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 131
SCHEDULE OF INVESTMENTS
U.S. Managed Volatility Fund (Concluded)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Hewitt Associates, Cl A* 68,100 $ 2,387
Ingram Micro, Cl A* 289,369 5,675
International Business Machines 11,680 1,376
Lexmark International, Cl A* 16,600 689
Mettler Toledo International* 1,247 127
MoneyGram International 33,800 764
Qualcomm 58,900 2,489
Silicon Laboratories* 17,800 743
Sybase* 44,700 1,034
Tech Data* 140,179 5,624
Tektronix 58,200 1,614
WebMD Health, Cl A* 29,217 1,522
Zebra Technologies, Cl A* 63,410 2,314
--------------
42,115
--------------
MATERIALS -- 3.7%
Agrium 30,900 1,680
Aptargroup 47,400 1,795
Bemis 34,100 993
Eagle Materials 19,400 693
Greif, Cl A 34,100 2,069
Martin Marietta Materials 12,000 1,603
Methanex 74,300 1,887
Newmont Mining 99,210 4,438
Nova Chemicals 46,800 1,807
Packaging of America 80,300 2,334
Sigma-Aldrich 3,451 168
Steel Dynamics 51,300 2,396
--------------
21,863
--------------
TELECOMMUNICATION SERVICES -- 5.7%
Alltel 94,969 6,617
AT&T 48,892 2,069
CenturyTel 44,100 2,038
Embarq 96,222 5,350
Sprint Nextel 140,500 2,669
Telephone & Data Systems 98,383 6,567
US Cellular* 56,203 5,519
Verizon Communications 58,300 2,582
--------------
33,411
--------------
UTILITIES -- 9.2%
AGL Resources 57,100 2,262
Alliant Energy 47,200 1,809
Ameren 39,600 2,079
Atmos Energy 60,200 1,705
Consolidated Edison 52,300 2,421
Constellation Energy Group 13,700 1,175
DPL 70,900 1,862
DTE Energy 37,200 1,802
Edison International 47,900 2,656
Energen 42,500 2,428
Energy East 71,200 1,926
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Great Plains Energy 63,800 $ 1,838
Hawaiian Electric Industries 73,770 1,602
MDU Resources Group 70,700 1,968
NiSource 120,600 2,308
NSTAR 53,600 1,866
OGE Energy 139,878 4,630
Pepco Holdings 44,000 1,192
PG&E 56,500 2,701
Puget Energy 89,000 2,178
SCANA 54,500 2,111
TECO Energy 106,700 1,753
Vectren 64,169 1,751
Westar Energy 40,900 1,004
Wisconsin Energy 114,473 5,155
--------------
54,182
--------------
Total Common Stock
(Cost $504,865) ($ Thousands) 553,356
--------------
CASH EQUIVALENT**+ -- 5.3%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.350% 30,820,869 30,821
--------------
Total Cash Equivalent
(Cost $30,821) ($ Thousands) 30,821
--------------
U.S. TREASURY OBLIGATION (A) -- 0.2%
U.S. Treasury Bills
4.012%, 11/23/07 $ 956 951
--------------
Total U.S. Treasury Obligation
(Cost $950) ($ Thousands) 951
--------------
Total Investments -- 99.9%
(Cost $536,636) ($ Thousands) $ 585,128
==============
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
TYPE OF NUMBER OF EXPIRATION APPRECIATION
CONTRACT CONTRACTS DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
S&P 500 Index E-MINI 301 Dec-2007 $ 729
=======
Percentages are based on Net Assets of $585,859 ($ Thousands).
* Non-Income Producing Security.
** Rate shown is the 7-day effective yield as of September 30, 2007.
+ Investment in Affiliated Security (see Note 3).
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts. The rate reported is the effective yield at time of
purchase.
Cl -- Class
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
132 SEI Institutional Managed Trust / Annual Report / September 30, 2007
Global Managed Volatility Fund
September 30, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS# (UNAUDITED):
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
19.3% Consumer Staples
15.7% Health Care
14.2% Financials
11.3% Industrials
10.5% Consumer Discretionary
8.3% Utilities
5.9% Energy
4.8% Information Technology
4.5% Telecommunication Services
3.0% Short-Term Investment
2.0% Materials
0.5% U.S. Treasury Obligation
#Percentages based on total investments.
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 95.6%
AUSTRALIA -- 5.1%
Australia & New Zealand
Banking Group 12,223 $ 321
Centro Properties Group 95,850 625
CFS Retail Property Trust 263,597 558
Coca-Cola Amatil 232,372 1,851
Commonwealth Bank of Australia 12,068 602
DB RREEF Trust 599,921 1,067
Incitec Pivot 6,435 487
ING Industrial Fund 592,028 1,483
Leighton Holdings 18,549 845
Macquarie Communications
Infrastructure Group 35,884 193
Macquarie Office Trust 43,138 60
McPherson's 12,442 39
MFS 49,533 206
Multiplex Group 359,653 1,595
Origin Energy 60,248 549
Programmed Maintenance Services 7,356 35
QBE Insurance Group 3,438 103
Stockland 95,157 758
Telstra 400,299 1,544
Westfield Group 31,783 610
Woolworths 19,506 513
--------------
14,044
--------------
AUSTRIA -- 0.5%
CA Immobilien Anlagen* 3,980 105
Meinl European Land* 83,493 1,188
--------------
1,293
--------------
BELGIUM -- 3.0%
Befimmo 561 58
Belgacom 15,112 699
Cofinimmo 7,365 1,299
Colruyt 2,876 606
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Compangie d'entreprises* 115 $ 235
D'ieteren 186 83
EVS Broadcast Equipment* 516 51
InBev 8,903 805
Intervest Offices 1,579 65
KBC Groep 5,742 788
Mobistar 39,396 3,437
Solvay 946 137
Warehouses De Pauw 873 60
--------------
8,323
--------------
BERMUDA -- 0.9%
Arch Capital Group* 6,896 513
PartnerRe 8,845 699
RenaissanceRe Holdings 11,325 741
TBS International, Cl A* 10,680 440
XL Capital, Cl A 2,331 185
--------------
2,578
--------------
CANADA -- 3.3%
Allen-Vanguard* 14,300 137
Bank of Montreal 6,100 399
Bank of Montreal 1,800 118
Bank of Nova Scotia 12,800 673
Bank of Nova Scotia 1,400 74
Canadian Imperial Bank
of Commerce 8,100 810
Cott* 2,300 18
Dorel Industries, Cl B 700 21
Enbridge 30,600 1,122
First Calgary Petroleums* 49,700 242
George Weston 14,600 1,043
Jean Coutu Group, Cl A 11,000 147
Loblaw 5,400 245
Manitoba Telecom Services 4,400 214
Manitoba Telecom Services 3,300 161
Methanex 10,300 259
Nova Chemicals 11,800 455
Onex 5,600 206
Provident Energy Trust 5,600 71
Quebecor World 57,500 557
RONA* 5,000 110
Rothmans 2,900 67
Royal Bank of Canada 13,000 720
Saputo 3,400 180
TELUS 8,400 473
TransAlta 14,200 447
--------------
8,969
--------------
DENMARK -- 1.9%
A P Moller - Maersk, Cl B 56 767
Carlsberg, Cl B 15,500 2,112
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 133
SCHEDULE OF INVESTMENTS
Global Managed Volatility Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
D/S Norden 7,855 $ 836
Danske Bank 10,000 405
H Lundbeck 8,700 236
Jyske Bank 5,325 413
Sanistal, Cl B 92 15
Sydbank 7,700 334
Topdanmark* 675 111
--------------
5,229
--------------
FINLAND -- 0.9%
Componenta 7,368 107
Fortum 12,983 475
Kesko, Cl B 6,015 399
Kone, Cl B 1,135 83
Orion, Cl B 10,732 272
Outokumpu 12,869 461
Ramirent 3,884 84
Rautaruukki 1,395 84
Sanoma-WSOY 14,943 463
--------------
2,428
--------------
FRANCE -- 2.0%
Camaieu 56 25
Cie Generale d'Optique
Essilor International 42,380 2,652
CNP Assurances 1,911 244
Faiveley 404 27
Fonciere Des Regions 394 58
Recylex* 2,310 86
Sanofi-Aventis 8,956 756
SEB 213 39
Total 19,842 1,609
--------------
5,496
--------------
GERMANY -- 0.9%
Adidas 440 29
Beiersdorf 10,998 821
Celesio 1,637 103
Deutsche Euroshop 1,124 41
E.ON 4,471 824
EnBW Energie Baden-Wuerttemberg 876 71
KWS Saat 317 61
Norddeutsche Affinerie 1,981 87
Rhoen Klinikum 3,373 108
Salzgitter 1,861 365
Vossloh 635 68
--------------
2,578
--------------
GREECE -- 0.1%
Excel Maritime Carriers 3,569 199
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
HONG KONG -- 2.8%
ASM Pacific Technology 11,000 $ 97
CLP Holdings 106,500 738
Esprit Holdings 23,000 366
Guoco Group 16,000 218
Hang Seng Bank 193,000 3,431
Hong Kong & China Gas 326,000 760
HongKong Electric Holdings 143,000 744
Jardine Matheson Holdings 26,400 755
Mandarin Oriental International 25,000 56
Noble Group 146,000 213
Orient Overseas International 6,500 62
Techtronic Industries 56,500 64
Vtech Holdings 12,000 89
Yue Yuen Industrial Holdings 16,000 48
--------------
7,641
--------------
ITALY -- 2.0%
ASM 33,239 205
Banca Popolare dell'Emilia Romagna 24,503 556
CSP International Fashion Group 10,228 34
Enel 215,062 2,428
ENI 19,267 712
Indesit 30,162 519
Telecom Italia 78,650 239
UniCredito Italiano 70,910 605
Unipol 72,490 246
--------------
5,544
--------------
JAPAN -- 19.9%
77 Bank 120,000 806
Ajinomoto 50,000 626
Ajis 1,300 33
Alpine Electronics 11,400 168
Astellas Pharma 16,400 786
Brother Industries 22,000 281
Canon 12,000 654
Canon Marketing Japan 11,200 224
Central Glass 66,000 332
Central Japan Railway 201 2,132
Chiba Bank 7,000 54
CHINTAI 37 17
Chubu Electric Power 34,800 900
Chugai Pharmaceutical 11,100 183
Chugoku Electric Power 3,900 79
Combi 9,500 60
Daiichi Sankyo 26,600 798
Daito Trust Construction 37,900 1,826
East Japan Railway 85 670
Fancl 2,000 26
FUJI SOFT 39,700 811
FUJIFILM Holdings 17,400 803
- --------------------------------------------------------------------------------
134 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Fukuda 6,000 $ 22
Geo 40 83
Glory 14,200 451
Gunma Bank 28,000 186
Haruyama Trading 2,000 17
Hino Motors 193,000 1,473
Honda Motor 6,900 232
IBJ Leasing 1,000 18
Japan Tobacco 137 752
JFE Holdings 11,800 835
Kamei 4,000 23
Kamigumi 34,000 285
Kanamoto 5,000 53
Kansai Electric Power 24,700 564
Kao 7,000 209
Katokichi 228,600 1,045
Kawasaki Kisen Kaisha 57,000 836
KDDI 97 719
Kinden 7,000 64
Kobayashi Pharmaceutical 600 21
Kokuyo 5,600 58
Konica Minolta Holdings 26,500 449
Kose 2,100 56
Kyushu Electric Power 6,300 167
Mabuchi Motor 33,900 2,208
Makita 6,300 276
Meiji Dairies 190,000 1,072
Mitani 3,400 37
Mitsubishi Tanabe Pharma 7,000 88
Mitsui 37,000 898
Mitsui Chemicals 30,000 298
Mitsui OSK Lines 51,000 825
Morinaga Milk Industry 12,000 48
NAC 1,300 13
Net One Systems 176 194
Nichirei 313,000 1,434
Nihon Jumbo 2,100 21
Nintendo 2,500 1,300
Nippon Chemi-Con 7,000 62
Nippon Meat Packers 91,000 1,010
Nippon Oil 148,000 1,373
Nippon Suisan Kaisha 44,500 235
Nippon Telegraph & Telephone 156 728
Nippon Yusen 62,000 605
Nishimatsu Construction 69,000 208
Noevir 2,500 28
Odakyu Electric Railway 249,000 1,604
Okumura 251,000 1,277
Olympus 18,000 739
Ono Pharmaceutical 3,400 182
Osaka Gas 62,000 217
Proto 1,000 22
Ricoh 32,000 676
Round One 143 316
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
San-In Godo Bank 2,000 $ 16
Sapporo Hokuyo Holdings 21 208
Seiko Epson 56,600 1,400
Shikoku Electric Power 6,900 173
Shimachu 11,600 307
Shimano 2,200 77
Shizuoka Bank 19,000 184
Sony 15,700 760
Sumco 10,600 431
Suzuken 60,400 2,032
Suzuki Motor 2,500 74
Takeda Pharmaceutical 10,600 745
TIS 8,300 162
Toda 299,000 1,575
Tohoku Electric Power 16,500 352
Tohto Suisan 9,000 21
Tokyo Electric Power 27,800 701
Tokyo Style 48,000 498
TonenGeneral Sekiyu 68,000 683
Toshiba 25,000 233
Toyo Kohan 3,000 19
Toyo Suisan Kaisha 88,000 1,653
Toyota Motor 3,600 212
Tsumura & Co 2,400 43
Unicharm 7,100 435
Uniden 58,000 384
Wacoal Holdings 74,000 908
West Japan Railway 23 110
Yamaha 55,500 1,243
Yaoko 1,200 31
Zeon 29,000 285
--------------
54,836
--------------
NETHERLANDS -- 2.1%
Gamma Holding 1,278 101
Heineken 11,894 779
Hunter Douglas 2,272 204
Royal Dutch Shell, Cl A 18,605 766
Royal KPN 45,489 787
Royal Numico 25,824 1,998
Smit Internationale 1,333 116
TomTom* 4,546 352
Unilever 23,731 731
Vastned Offices 1,243 39
--------------
5,873
--------------
NEW ZEALAND -- 0.2%
Air New Zealand 12,657 24
Contact Energy 2,803 19
Fletcher Building 54,105 519
Warehouse Group 11,437 47
--------------
609
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 135
SCHEDULE OF INVESTMENTS
Global Managed Volatility Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
PORTUGAL -- 0.3%
Banco BPI 3,192 $ 27
Banco Espirito Santo 33,936 767
Cimpor Cimentos de Portugal 20,338 168
--------------
962
--------------
SINGAPORE -- 1.2%
Cosco Singapore 192,000 770
Hotel Grand Central 84,000 66
Jardine Cycle & Carriage 25,000 311
SembCorp Marine 439,600 1,362
Singapore Telecommunications 266,500 722
--------------
3,231
--------------
SPAIN -- 1.5%
Abertis Infraestructuras 22,246 694
ACS Actividades Construcciones
y Servicios 13,103 721
Gestevision Telecinco 24,522 642
Inditex 7,870 529
Repsol 19,172 683
Union Fenosa 13,014 768
--------------
4,037
--------------
SWEDEN -- 0.4%
Aangpanneforeningen, Cl B 1,200 32
Fabege 7,600 90
Peab 2,200 24
Peab Indsutri* 1,100 12
Swedish Match 52,200 1,081
--------------
1,239
--------------
SWITZERLAND -- 1.8%
Affichage Holding Genf 153 34
Alcon 5,467 787
Basler Kantonalbank 272 26
Bell Holding 13 21
Forbo Holding 58 34
Galenica 305 130
Geberit 2,190 285
MCH Messe Schweiz Holding 53 36
Nestle 1,806 809
Novartis 650 36
Panalpina Welttransport Holding 269 45
PSP Swiss Property 1,705 90
St Galler Kantonalbank 83 36
Swatch Group, Cl B 2,453 802
Swisscom 4,928 1,868
--------------
5,039
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
UNITED KINGDOM -- 4.0%
Antofagasta 6,225 $ 97
Beazley Group 12,715 47
Diageo 122,151 2,673
GlaxoSmithKline 14,772 390
HMV Group 435,441 1,038
Imperial Tobacco Group 16,533 755
Kcom Group 17,273 23
Man Group 26,772 302
Marks & Spencer Group 22,022 276
National Grid 26,182 418
Next 14,955 598
Rank Group 31,170 103
Reckitt Benckiser 28,433 1,664
Scottish & Southern Energy 12,805 394
Stagecoach Group 133,426 618
Tate & Lyle 17,900 147
Tenon Group 12,735 15
Tesco 32,889 294
Trinity Mirror 66,815 561
Vodafone Group 144,275 519
WM Morrison Supermarkets 24,778 142
--------------
11,074
--------------
UNITED STATES -- 40.8%
Abbott Laboratories 32,100 1,721
Aetna 12,700 689
Aflac 13,100 747
Alberto-Culver 30,300 751
Alleghany* 200 81
Alliant Techsystems* 5,200 568
AMERIGROUP* 14,800 510
AmerisourceBergen 9,100 413
Anheuser-Busch 10,700 535
Apache 6,300 567
Apollo Group, Cl A* 42,600 2,562
Arkansas Best 2,300 75
Atlantic Tele-Network 8,800 320
Avon Products 52,900 1,985
Ball 10,300 554
Bank of America 35,900 1,805
Beckman Coulter 6,100 450
Big Lots* 3,300 99
Biogen Idec* 21,200 1,406
Books-A-Million 1,300 17
Brown-Forman, Cl B 2,700 202
Bunge 8,253 887
Career Education* 9,600 269
Carriage Services* 3,600 29
CBS, Cl B 83,500 2,630
Chevron 8,200 767
Church & Dwight 14,000 659
Coca-Cola 6,400 368
- --------------------------------------------------------------------------------
136 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Colgate-Palmolive 11,000 $ 785
Colonial BancGroup 48,300 1,044
Community Health Systems* 45,300 1,424
ConAgra Foods 15,600 408
ConocoPhillips 8,800 772
Consolidated Edison 42,800 1,982
Corn Products International 8,500 390
Corporate Executive Board 5,700 423
Coventry Health Care* 19,900 1,238
CPI 1,700 66
Darden Restaurants 15,300 641
Darling International* 6,200 61
Deluxe 5,400 199
Dentsply International 59,000 2,457
Discover Financial Services 40,700 847
Dow Chemical 5,700 246
Dress Barn* 21,700 369
Dynamex* 1,300 33
EchoStar Communications, Cl A* 16,700 782
Enbridge Energy Partners LP 1,100 54
Energizer Holdings* 700 78
Energy East 94,900 2,567
Entergy 5,700 617
EPIQ Systems* 9,900 186
Exelon 10,400 784
Express Scripts* 1,600 89
Exxon Mobil 8,500 787
Fifth Third Bancorp 10,500 356
First Niagara Financial Group 16,700 236
FirstEnergy 4,800 304
FNB 2,600 78
Forest Laboratories* 17,600 656
FTD Group 14,900 222
Genentech* 19,200 1,498
General Mills 54,000 3,133
General Motors 33,200 1,218
Getty Images* 1,000 28
H&R Block 30,000 635
Hanesbrands* 6,600 185
Harleysville Group 400 13
Harris 12,500 722
Health Management Associates, Cl A 180,100 1,250
Henry Schein* 1,300 79
Hershey 59,000 2,738
Hess 11,700 778
Hewitt Associates, Cl A* 21,800 764
Hilb Rogal & Hobbs 4,600 199
Hillenbrand Industries 3,500 193
HJ Heinz 4,800 222
Holly 9,800 586
Hooker Furniture* 6,000 120
Hormel Foods 1,300 47
Immersion* 6,400 105
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
International Shipholding* 13,200 $ 274
Interstate Hotels & Resorts* 8,100 37
Intervest Bancshares 6,100 151
j2 Global Communications* 8,500 278
Jarden* 5,200 161
Johnson & Johnson 56,700 3,725
Kellogg 25,300 1,417
Kimberly-Clark 10,400 731
Kraft Foods, Cl A 42,000 1,449
L-3 Communications Holdings 700 72
Laboratory Corp of America Holdings* 9,600 751
Lockheed Martin 13,800 1,497
M&F Worldwide* 1,000 50
M&T Bank 4,100 424
Magellan Health Services* 11,600 471
Marathon Oil 12,400 707
Markel* 800 387
McClatchy, Cl A 84,300 1,684
McGraw-Hill 7,000 356
McKesson 500 29
Medco Health Solutions* 500 45
Medtronic 47,500 2,680
Mylan 12,400 198
National Oilwell Varco* 13,800 1,994
NBTY* 3,800 154
NCI, Cl A* 1,600 30
Nike, Cl B 13,500 792
NiSource 45,200 865
Northrop Grumman 21,200 1,654
Occidental Petroleum 7,900 506
PAM Transportation Services* 6,200 112
Patterson* 75,100 2,900
PRG-Schultz International* 3,300 45
Principal Financial Group 15,500 978
Procter & Gamble 11,400 802
Public Service Enterprise Group 4,100 361
Quest Diagnostics 38,300 2,213
Reliv International 18,800 188
Rockwood Holdings* 600 22
Safeco 44,600 2,730
Schering-Plough 23,500 743
Sierra Bancorp 3,000 86
Southern 59,400 2,155
Southwest Airlines 25,700 380
Stericycle* 5,600 320
STERIS 17,800 487
Suburban Propane Partners LP 16,300 724
SunTrust Banks 4,400 333
Symantec* 36,900 715
Team* 5,200 142
TEPPCO Partners LP 6,900 263
Tyson Foods, Cl A 19,400 346
Unit* 3,000 145
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 137
SCHEDULE OF INVESTMENTS
Global Managed Volatility Fund (Concluded)
September 30, 2007
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
United Parcel Service, Cl B 28,700 $ 2,155
UnitedHealth Group 14,800 717
Universal Health Services, Cl B 7,500 408
Vineyard National Bancorp 10,845 181
W-H Energy Services* 3,800 280
Wal-Mart Stores 75,800 3,309
Walgreen 49,100 2,320
Washington Post, Cl B 600 482
WellPoint* 21,400 1,689
Wells Fargo 27,700 987
Westwood Holdings Group 1,000 34
Wisconsin Energy 18,500 833
WR Berkley 7,400 219
Zimmer Holdings* 8,500 688
--------------
112,421
--------------
Total Common Stock
(Cost $249,282) ($ Thousands) 263,643
--------------
CASH EQUIVALENT**++ -- 3.0%
SEI Daily Income Trust, Prime
Obligation Fund, Cl A, 5.350% 8,157,914 8,158
--------------
Total Cash Equivalent
(Cost $8,158) ($ Thousands) 8,158
--------------
U.S. TREASURY OBLIGATION (A) -- 0.5%
U.S. Treasury Bills
4.122%, 11/23/07 $ 1,360 1,353
--------------
Total U.S. Treasury Obligation
(Cost $1,352) ($ Thousands) 1,353
--------------
Total Investments -- 99.1%
(Cost $258,792) ($ Thousands) $ 273,154
==============
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
TYPE OF NUMBER OF EXPIRATION APPRECIATION
CONTRACT CONTRACTS DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
DJ Euro Stoxx 50 Index 26 Dec-2007 $ 11
FTSE 100 Index 7 Dec-2007 2
Hang Seng Index 2 Oct-2007 6
S&P 500 Composite Index 11 Dec-2007 151
SPI 200 Index 5 Dec-2007 16
Topix Index 9 Dec-2007 77
------
$ 263
======
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)
- --------------------------------------------------------------------------------
10/30/07 AUD 17,628 USD 15,276 $ (300)
10/30/07 CAD 7,181 USD 7,174 (57)
10/30/07 EUR 35,136 USD 49,669 (331)
10/30/07 GBP 6,897 USD 13,895 (146)
10/30/07 JPY 6,668,600 USD 58,522 331
10/30/07 USD 171 AUD 196 2
10/30/07 USD 26 CAD 26 --
10/30/07 USD 359 EUR 254 3
10/30/07 USD 17 GBP 9 --
10/30/07 USD 694 JPY 79,086 (4)
---------
$ (502)
=========
Percentages are based on Net Assets of $275,749 ($ Thousands).
* Non-Income Producing Security.
** Rate shown is the 7-day effective yield as of September 30, 2007.
++ Investment in Affiliated Security (see Note 3).
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts. The rate reported is the effective yield at time of
purchase.
AUD -- Australian Dollar
CAD -- Canadian Dollar
Cl -- Class
EUR -- Euro
GBP -- British Pound Sterling
JPY -- Japanese Yen
LP -- Limited Partnership
USD -- United States Dollar
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
138 SEI Institutional Managed Trust / Annual Report / September 30, 2007
Real Estate Fund
September 30, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS# (UNAUDITED):
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
70.4% Financials
25.0% Short-Term Investments
3.7% Consumer Discretionary
0.6% Health Care
0.3% Asset-Backed Security
#Percentages based on total investments. Includes investments held as collateral
for securities on loan (see Note 7).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 96.6%
CONSUMER DISCRETIONARY -- 4.9%
Marriott International, Cl A 79,500 $ 3,456
Starwood Hotels & Resorts Worldwide 139,400 8,468
--------------
11,924
--------------
FINANCIALS -- 90.9%
Acadia Realty Trust+ (A) 49,100 1,332
AMB Property+ 112,400 6,723
Ashford Hospitality Trust+ (A) 193,600 1,946
AvalonBay Communities+ (A) 100,300 11,841
BioMed Realty Trust+ 23,600 569
Boston Properties+ (A) 133,983 13,921
British Land (United Kingdom)+ (F) 85,920 2,052
Camden Property Trust+ (A) 94,300 6,059
Corporate Office Properties Trust+ (A) 111,300 4,633
Cousins Properties+ 21,500 631
Dawnay Day Sirius
(United Kingdom) (F)* 317,393 415
Dawnay Day Treveria
(United Kingdom) (F) 473,984 674
DCT Industrial Trust+ (A) 116,500 1,220
Douglas Emmett+ 161,225 3,987
Equity Residential+ (A) 421,200 17,842
Essex Property Trust+ (A) 29,600 3,480
Extra Space Storage+ (A) 204,400 3,146
Federal Realty Investment Trust+ 44,600 3,951
Forest City Enterprises, Cl A 39,600 2,184
General Growth Properties+ (A) 171,910 9,218
Hammerson (United Kingdom)+ (F) 76,375 1,824
HCP+ (A) 101,800 3,377
Host Hotels & Resorts+ (A) 507,794 11,395
Kimco Realty+ (A) 229,400 10,371
Land Securities Group
(United Kingdom)+ (F) 59,631 2,043
Liberty Property Trust+ 42,800 1,721
Macerich+ (A) 63,400 5,553
Mack-Cali Realty+ 128,200 5,269
Maguire Properties+ (A) 68,700 1,774
Newcastle Investment+ (A) 26,300 463
Prologis+ (A) 147,200 9,767
PS Business Parks+ 36,105 2,053
Public Storage+ (A) 69,354 5,455
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Saul Centers+ (A) 22,300 $ 1,148
Simon Property Group+ (A) 197,750 19,775
SL Green Realty+ (A) 38,500 4,496
Strategic Hotels & Resorts+ 138,600 2,854
Sunstone Hotel Investors+ 44,800 1,149
Taubman Centers+ 72,050 3,945
Thomas Properties Group 71,458 857
Unibail (France)+ (F) 13,971 3,586
Ventas+ (A) 241,900 10,015
Verde Realty PIPE (E) (G)* 21,400 706
Vornado Realty Trust+ (A) 108,900 11,908
Weingarten Realty Investors+ (A) 131,000 5,431
--------------
222,759
--------------
HEALTH CARE -- 0.8%
Brookdale Senior Living (A) 29,400 1,171
Sunrise Senior Living (A)* 25,000 884
--------------
2,055
--------------
Total Common Stock
(Cost $205,049) ($ Thousands) 236,738
--------------
CORPORATE OBLIGATION (B) (C) -- 0.5%
FINANCIALS -- 0.5%
SLM EXL, Ser S
5.763%, 10/15/07 $ 1,223 1,223
--------------
Total Corporate Obligation
(Cost $1,223) ($ Thousands) 1,223
--------------
ASSET-BACKED SECURITY (B) (C) (D) -- 0.4%
MORTGAGE RELATED SECURITY -- 0.4%
Duke Funding, Ser 2004-6B, Cl A1S1
5.430%, 10/09/07 833 833
--------------
Total Asset-Backed Security
(Cost $833) ($ Thousands) 833
--------------
CASH EQUIVALENTS**++ -- 32.5%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.350% 8,913,199 8,913
SEI Liquidity Fund LP,
5.367% (B) 70,768,990 70,769
--------------
Total Cash Equivalents
(Cost $79,682) ($ Thousands) 79,682
--------------
Total Investments -- 130.0%
(Cost $286,787) ($ Thousands) $ 318,476
==============
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 139
SCHEDULE OF INVESTMENTS
Real Estate Fund (Concluded)
September 30, 2007
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $244,991 ($ Thousands).
* Non-Income Producing Security.
** Rate shown is the 7-day effective yield as of September 30, 2007.
+ Real Estate Investment Trust.
++ Investment in Affiliated Security (see Note 3).
(A) 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 $70,960 ($ Thousands).
(B) 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 $72,825 ($ Thousands).
(C) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of September 30, 2007.
(D) Securities sold within terms of a private placement memorandum, exempt
from registration under Section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors." These securities have been determined to be liquid
under guidelines established by the Board of Trustees.
(E) 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 at September 30, 2007 was $706 ($ Thousands) and
represented 0.29% of Net Assets.
(F) This security is traded on a foreign stock exchange. The total market
value of such securities as of September 30, 2007 was $10,594 ($
Thousands) and represented 4.32% of Net Assets.
(G) Securities considered illiquid and restricted. The total market value of
such securities at September 30, 2007 was $706 ($ Thousands) and
represented 0.29% of Net Assets.
Cl -- Class
EXL -- Extendable Maturity
LP -- Limited Partnership
PIPE -- Private Investment in Public Entity
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
140 SEI Institutional Managed Trust / Annual Report / September 30, 2007
Enhanced Income Fund
September 30, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS# (UNAUDITED):
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Asset-Backed Securities 39.7%
Loan Participations 28.2%
Corporate Obligations 12.5%
Short-Term Investments 7.5%
Time Deposits 6.2%
U.S. Government Agency Mortgage-Backed Obligations 5.8%
Certificate of Deposit 0.1%
# Percentages based on total investments.
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 40.8%
AUTOMOTIVE -- 4.7%
AESOP Funding II LLC,
Ser 2003-4A, Cl A2
2.860%, 08/20/09 $ 500 $ 488
AmeriCredit Automobile Receivables
Trust, Ser 2005-1, Cl B
4.480%, 11/06/09 582 581
AmeriCredit Automobile Receivables
Trust, Ser 2006-1, Cl B
5.200%, 03/06/11 830 826
AmeriCredit Automobile Receivables
Trust, Ser 2007-AX, Cl A4 (C)
5.370%, 10/06/13 570 561
AmeriCredit Prime Automobile
Receivables, Ser 2007-1, Cl D
5.520%, 01/08/12 775 759
Americredit Automobile Receivables
Trust, Ser 2007-AX, Cl A2
5.290%, 10/06/07 603 603
Capital Auto Receivables Asset Trust,
Ser 2006-SN1A, Cl A2A
5.400%, 01/20/09 482 482
Capital Auto Receivables Asset Trust,
Ser 2007-1, Cl B
5.150%, 09/17/12 955 935
Capital Auto Receivables Asset Trust,
Ser 2007-3, Cl A3A
5.020%, 09/15/11 885 885
Capital One Prime Auto Receivables
Trust, Ser 2007-C, Cl A3
4.890%, 01/17/12 2,000 2,000
Capital One Prime Auto Receivables,
Ser 2004-3, Cl A3
3.390%, 01/15/09 22 22
Carmax Auto Owner Trust,
Ser 2004-2, Cl D
3.670%, 09/15/11 319 315
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Carmax Auto Owner Trust,
Ser 2007-1, Cl C
5.530%, 07/15/13 $ 190 $ 190
Carmax Auto Owner Trust,
Ser 2007-2, Cl B
5.370%, 03/15/13 2,055 2,026
Ford Credit Auto Owner Trust,
Ser 2006-A, Cl C
5.480%, 09/15/11 1,500 1,501
Ford Credit Auto Owner Trust,
Ser 2006-B, Cl A2A
5.420%, 07/15/09 432 431
Ford Credit Auto Owner Trust,
Ser 2007-A, Cl C
5.800%, 02/15/13 515 490
Harley-Davidson Motorcycle Trust,
Ser 2006-1, Cl B
5.240%, 11/15/13 1,550 1,536
Harley-Davidson Motorcycle Trust,
Ser 2006-2, Cl A2
5.350%, 03/15/13 1,000 1,004
Harley-Davidson Motorcycle Trust,
Ser 2006-3, Cl B
5.430%, 11/15/14 890 882
Harley-Davidson Motorcycle Trust,
Ser 2007-2, Cl B
5.230%, 03/17/14 1,225 1,203
Honda Auto Receivables Owners Trust,
Ser 2004-3, Cl A3
2.910%, 10/20/08 43 43
Honda Auto Receivables Owners Trust,
Ser 2004-3, Cl A4
3.280%, 02/18/10 800 792
Honda Auto Receivables Owners Trust,
Ser 2005-1, Cl A4
3.820%, 05/21/10 1,500 1,483
Hyundai Auto Receivables Trust,
Ser 2006-B, Cl D
5.410%, 05/15/13 680 676
Hyundai Auto Receivables Trust,
Ser 2007-A, Cl A3B
5.536%, 01/17/12 645 674
Merrill Auto Trust Securitization,
Ser 2007-1, Cl C
5.960%, 12/15/13 2,000 2,028
Nissan Auto Receivables Owner Trust,
Ser 2003-C, Cl A5
3.210%, 03/16/09 422 421
Onyx Acceptance Owner Trust,
Ser 2004-C, Cl A4
3.500%, 12/15/11 422 418
USAA Auto Owner Trust,
Ser 2006-4, Cl B
5.260%, 06/17/13 1,250 1,236
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 141
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
USAA Auto Owner Trust,
Ser 2007-1, Cl B
5.850%, 12/16/13 $ 2,455 $ 2,457
USAA Auto Owner Trust,
Ser 2007-2, Cl A3
5.070%, 02/15/12 1,140 1,140
Whole Auto Loan Trust,
Ser 2003-1, Cl A4
2.580%, 03/15/10 291 288
--------------
29,376
--------------
CREDIT CARDS -- 7.3%
Advanta Business Card Master Trust,
Ser 2004-C1, Cl C (C)
6.550%, 10/20/07 485 480
Advanta Business Card Master Trust,
Ser 2005-C1, Cl C1 (C)
6.048%, 10/20/07 800 795
Advanta Business Card Master Trust,
Ser 2006-B2, Cl B2 (C)
5.580%, 10/20/07 1,000 975
Advanta Business Card Master Trust,
Ser 2006-C1, Cl C1
5.980%, 10/20/14 1,500 1,447
Advanta Business Card Master Trust,
Ser 2007-B1, Cl B
5.788%, 12/22/14 2,000 1,943
American Express Credit Account
Master Trust, Ser 2004-C, Cl C (C)
6.722%, 10/15/07 798 796
American Express Credit Account
Master Trust, Ser 2007-2, Cl B
5.791%, 09/15/16 610 584
Bank One Issuance Trust,
Ser 2003-C2, Cl C2 (C)
6.751%, 10/16/07 2,100 2,106
Bank One Issuance Trust,
Ser 2003-C3, Cl C3
4.770%, 02/16/16 830 770
Bank One Issuance Trust,
Ser 2004-B1, Cl B1 (C)
6.070%, 10/01/07 1,250 1,242
Bank of America Credit Card Trust,
Ser 2006-B4, Cl B4 (C)
5.830%, 03/15/12 835 825
Bank of America Credit Card Trust,
Ser 2006-C7, Cl C7 (C)
5.841%, 10/15/07 1,000 970
Bank of America Credit Card Trust,
Ser 2007-C1, Cl C1 (C)
5.901%, 10/26/07 1,700 1,635
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Cabela's Master Credit Card Trust,
Ser 2006-3A, Cl C
5.380%, 10/15/14 $ 520 $ 503
Capital One Master Trust,
Ser 2002-1A, Cl B
6.350%, 11/15/11 525 525
Capital One Multi-Asset Execution Trust,
Ser 2003-B3, Cl B3
4.500%, 06/15/11 1,500 1,491
Capital One Multi-Asset Execution Trust,
Ser 2005-B2, Cl B2 (C)
5.761%, 10/15/07 1,000 999
Capital One Multi-Asset Execution Trust,
Ser 2005-C1, Cl C1
6.011%, 02/15/13 1,800 1,761
Capital One Multi-Asset Execution Trust,
Ser 2007-C2, Cl C2 (C)
5.911%, 10/15/07 1,600 1,530
Citibank Credit Card Issuance Trust,
Ser 2001-C1, Cl C1 (C)
6.440%, 01/15/10 2,000 2,005
Citibank Credit Card Issuance Trust,
Ser 2006-C4, Cl C4
5.540%, 01/09/12 1,800 1,753
Discover Card Master Trust I,
Ser 2005-1, Cl B (C)
5.761%, 10/18/07 1,500 1,498
First National Master Note Trust,
Ser 2007-1, Cl B
5.811%, 04/15/13 1,335 1,313
First USA Credit Card Master Trust,
Ser 1998-2, Cl C
6.800%, 02/18/11 2,125 2,127
GE Capital Credit Card Master Note
Trust, Ser 2007-3, Cl C
5.911%, 06/15/13 3,000 2,920
GE Capital Credit Card Master Note
Trust, Ser 2007-4, Cl B (C)
5.950%, 10/15/07 3,150 3,047
Household Affinity Credit Card Master
Note Trust, Ser 2003-1, Cl B (C)
6.161%, 10/15/07 1,250 1,252
MBNA Credit Card Master Note Trust,
Ser 2006-A1, Cl A1
4.900%, 07/15/11 1,500 1,502
MBNA Credit Card Master Note Trust,
Ser 2006-C2, Cl C2
5.911%, 08/15/13 1,200 1,158
MBNA Master Credit Card Trust,
Ser 1997-B, Cl B
5.664%, 08/15/14 2,100 2,051
MBNA Master Credit Card Trust,
Ser 1999-J, Cl C
7.850%, 02/15/12 1,500 1,565
- --------------------------------------------------------------------------------
142 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Washington Mutual Master Note Trust,
Ser 2006-C2A, Cl C2 (B) (C)
6.111%, 10/15/07 $ 800 $ 797
Washington Mutual Master Note Trust,
Ser 2006-C3A, C3A (C)
5.892%, 10/15/13 1,000 977
--------------
45,342
--------------
MORTGAGE RELATED SECURITIES -- 24.5%
Ace Securities, Ser 2006-HE1, Cl M2 (C)
5.530%, 10/27/07 515 419
Ace Securities, Ser 2006-OP2, Cl A2B
5.240%, 08/25/36 1,000 987
Adjustable Rate Mortgage Trust,
Ser 2005-12, Cl 2A1 (C)
5.690%, 03/25/36 1,107 1,114
American Tower Trust,
Ser 2007-1A, Cl D
5.957%, 04/15/37 1,250 1,185
Ameriquest Mortgage Securities,
Ser 2004-R12, Cl A3 (C)
5.600%, 10/08/07 113 113
Arkle Master Issuer PLC, Ser 2006-1A,
Cl 3M (C)
5.550%, 11/20/07 1,000 980
Asset-Backed Funding Certificates,
Ser 2006-OPT2, Cl A3B (C)
5.430%, 10/25/07 1,100 1,082
Banc of America Funding,
Ser 2005-F, Cl 4A1 (C)
5.350%, 10/01/07 2,519 2,519
Banc of America Mortgage Securities,
Ser 2005-I, Cl 2A1 (C)
4.870%, 10/01/07 754 748
Bank of America Mortgage Securities,
Ser 2004-J, Cl 2A1 (C)
4.770%, 10/01/07 381 381
Bank of America Mortgage Securities,
Ser 2005-C, Cl 2A2 (C)
4.710%, 10/01/07 1,088 1,081
Bayview Commercial Asset Trust,
Ser 2006-4A, Cl A2
5.400%, 12/25/36 602 597
Bear Stearns Adjustable Rate Mortgage
Trust, Ser 2005-12, Cl 11A1 (C)
5.430%, 10/01/07 871 870
Bear Stearns Adjustable Rate Mortgage
Trust, Ser 2005-6, Cl 3A1 (C)
5.286%, 10/01/07 2,031 2,032
Bear Stearns Adjustable Rate Mortgage
Trust, Ser 2005-9, Cl A1
4.630%, 10/25/35 2,827 2,775
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Bear Stearns Adjustable Rate Mortgage
Trust, Ser 2006-1, Cl A1 (C)
4.630%, 10/01/07 $ 2,422 $ 2,378
Bear Stearns Asset-Backed Securities,
Ser 2005-HE11, Cl A1 (C)
5.440%, 10/25/07 87 87
Bear Stearns Commercial Mortgage
Trust, Ser 2001-TOP2, Cl A2
6.480%, 02/15/35 2,100 2,189
CapitalSource Commercial Loan Trust,
Ser 2006-2A, Cl A1A (C)
5.530%, 10/20/07 730 725
CapitalSource Commercial Loan Trust,
Ser 2007-1A, Cl C
6.150%, 03/20/17 633 633
Citigroup Commercial Mortgage Trust,
Ser 2006-FL2, Cl D
5.530%, 08/15/21 400 397
Citigroup Commercial Mortgage Trust,
Ser 2007-FL3A, Cl J
6.703%, 10/30/07 775 724
Citigroup Mortgage Loan Trust,
Ser 2004-HYB3, Cl 1A (C)
5.790%, 10/01/07 303 304
Citigroup Mortgage Loan Trust,
Ser 2006-AR1, Cl 1A1 (C)
4.900%, 10/25/35 800 794
Citigroup Mortgage Loan Trust,
Ser 2006-WFH3, Cl M1 (C)
5.800%, 10/27/07 805 663
Commercial Mortgage Pass-Through
Certificate, Ser 2006-FL12, Cl A2
5.850%, 12/15/20 1,034 1,031
Countrywide Alternative Loan Trust,
Ser 2007-HY5R, Cl 2A1A (C)
5.540%, 10/01/07 3,712 3,705
Countrywide Asset-Backed Certificates,
Ser 2005-13, Cl 3AV3 (C)
5.380%, 10/25/07 1,310 1,277
Countrywide Asset-Backed Certificates,
Ser 2006-18, Cl M1 (C)
5.620%, 03/25/37 1,000 830
Countrywide Asset-Backed Certificates,
Ser 2006-2, Cl 2A2 (C)
5.700%, 10/25/07 2,000 1,976
Countrywide Asset-Backed Certificates,
Ser 2006-22, Cl M1
5.360%, 05/25/37 1,500 1,287
Countrywide Asset-Backed Certificates,
Ser 2006-22, Cl M3
5.440%, 05/25/37 1,000 639
Countrywide Home Loans,
Ser 2005-22, Cl 2A1
5.303%, 11/25/35 822 819
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 143
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Home Loans,
Ser 2005-HY10, Cl 3A1A (C)
5.380%, 10/01/07 $ 550 $ 554
Credit Suisse First Boston Mortgage
Securities, Ser 2000-C1, Cl A2
7.545%, 04/15/62 2,400 2,511
Crown Castle Towers LLC,
Ser 2006-1A, Cl E
6.065%, 11/15/36 1,775 1,788
Crusade Global Trust,
Ser 2004-2, Cl A1
5.490%, 11/19/37 245 245
Crusade Global Trust,
Ser 2006-1, Cl A1
5.418%, 07/20/38 1,501 1,485
Crusade Global Trust, Ser 2007-1,
Cl A1 (C)
5.420%, 04/19/38 1,456 1,434
Diversified REIT Trust,
Ser 1999-1A, Cl A2
6.780%, 03/18/11 963 973
First Franklin Mortgage Loan Asset,
Ser 2007-FF1, Cl M2
5.765%, 01/25/38 1,145 946
First Horizon Alternative Mortgage Trust,
Ser 2005-AA3, Cl 3A1 (C)
5.351%, 10/01/07 1,558 1,568
First Horizon Mortgage Pass-Through
Certificate, Ser 2005-AR4, Cl 2A1 (C)
5.329%, 10/25/35 1,248 1,241
GE Commercial Equipment Financing,
Ser 2004-1, Cl B (C)
5.520%, 10/20/07 591 589
GE Commercial Loan Trust,
Ser 2006-3, Cl C (B) (C)
5.910%, 10/19/07 472 442
GMAC Commercial Mortgage Securities,
Ser 1998-C2, Cl A2
6.420%, 05/15/35 1,066 1,072
GMAC Commercial Mortgage Securities,
Ser 1999-CTL1, Cl A (B)
7.151%, 12/15/16 201 201
GMAC Mortgage Loan Trust,
Ser 2005-AR6, Cl 2A1 (C)
5.200%, 10/01/07 2,806 2,792
GMAC Mortgage Loan Trust,
Ser 2006-HE4, Cl A2 (C)
5.640%, 10/25/07 1,150 1,123
GS Mortgage Securities,
Ser 2003-C1, Cl A2A
3.590%, 01/10/40 1,491 1,481
GS Mortgage Securities,
Ser 2007-EOP, Cl K (C)
6.850%, 10/06/07 380 364
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GSR Mortgage Loan Trust,
Ser 2005-AR2, Cl 1A2 (C)
4.596%, 10/01/07 $ 725 $ 714
GSR Mortgage Loan Trust,
Ser 2006-AR1, Cl 2A2
5.181%, 01/25/36 1,557 1,550
GSR Mortgage Loan Trust,
Ser 2006-AR1, Cl 3A1
5.413%, 01/25/36 738 735
GSR Mortgage Loan Trust,
Ser 2006-AR2, Cl 3A1
5.748%, 04/25/36 1,072 1,081
GSR Mortgage Loan Trust,
Ser 2007-AR1, Cl 2A1
6.013%, 03/25/37 2,333 2,355
Gracechurch Mortgage Financing PLC,
Ser 2007-1A, Cl 2D1
5.750%, 11/20/56 1,195 1,146
Granite Master Issuer PLC,
Ser 2006-3, Cl M1 (C)
5.538%, 10/22/07 570 570
Granite Master Issuer PLC,
Ser 2007-1, Cl 1C1
5.660%, 12/20/54 410 381
Granite Master Issuer PLC,
Ser 2007-2, Cl 2C1
5.350%, 12/17/54 525 525
Greenwich Capital Commercial Funding,
Ser 2006-FL4A, Cl C
5.990%, 11/05/21 810 794
Harborview Mortgage Loan Trust,
Ser 2005-14, Cl 3A1A (C)
5.304%, 12/19/35 1,790 1,791
Holmes Master Issuer PLC,
Ser 2007-1, Cl 1C1 (C)
5.640%, 10/16/07 475 473
Holmes Master Issuer PLC,
Ser 2007-2A, Cl 1C (C)
5.604%, 10/16/07 900 895
Impac CMB Trust, Ser 2005-1,
Cl 1A1 (C)
5.391%, 10/25/07 490 481
Impac CMB Trust, Ser 2005-4,
Cl 1M1 (C)
5.750%, 10/25/07 796 774
IXIS Real Estate Capital Trust,
Ser 2006-HE3, Cl A2 (C)
5.230%, 10/25/07 1,250 1,229
Interstar Millennium Trust,
Ser 2002-1G, Cl A2 (C)
5.540%, 07/07/34 170 169
JPMorgan Chase Commercial Mortgage
Trust, Ser 2006-FL2A, Cl J
6.400%, 11/15/18 2,176 2,096
- --------------------------------------------------------------------------------
144 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
JPMorgan Mortgage Acquisition,
Ser 2006-CH1, Cl M1
5.350%, 07/25/36 $ 335 $ 295
JPMorgan Mortgage Acquisition,
Ser 2006-CH2, Cl MV1
5.340%, 10/25/36 1,125 975
JPMorgan Mortgage Acquisition,
Ser 2006-WMC3, Cl A4 (C)
5.280%, 10/25/07 1,250 1,209
JPMorgan Mortgage Acquisition,
Ser 2007-CH3, Cl M3
5.500%, 03/01/37 385 316
JPMorgan Mortgage Trust,
Ser 2006-A4, Cl 1A1 (C)
5.820%, 10/01/07 2,598 2,611
JPMorgan Mortgage Trust,
Ser 2006-A6, Cl 4A1
5.251%, 10/25/36 1,191 1,187
JPMorgan Mortgage Trust,
Ser 2007-A3, Cl 1A1 (C)
5.490%, 10/01/07 2,205 2,223
Katonah, Ser 7A, Cl B (B) (C)
5.780%, 11/15/07 700 639
Leek Finance PLC, Ser 18A,
Cl A2B (C)
5.368%, 12/21/07 500 496
MLCC Mortgage Investors,
Ser 2006-1, Cl 2A1 (C)
5.390%, 02/25/36 1,367 1,370
MLCC Mortgage Investors,
Ser 2006-2, Cl 2A (C)
5.500%, 10/01/07 2,661 2,683
Master Adjustable Rate Mortgage,
Ser 2004-12, Cl 5A1 (C)
6.500%, 10/01/07 178 179
Merrill Lynch First Franklin Mortgage
Loan Trust, Ser 2007-3, Cl B1 (C)
7.070%, 06/25/37 180 79
Merrill Lynch First Franklin Mortgage
Loan Trust, Ser 2007-3, Cl M6 (C)
6.320%, 06/25/37 130 80
Merrill Lynch First Franklin Mortgage
Loan Trust, Ser 2007-4, Cl M6 (C)
6.205%, 07/25/37 505 363
Merrill Lynch Mortage Investors,
Ser 2005-A2, Cl A2
4.490%, 10/01/07 1,846 1,823
Merrill Lynch Mortgage Investors,
Ser 2005-A1, Cl 1A (C)
4.750%, 10/01/07 783 787
Merrill Lynch Mortgage Investors,
Ser 2005-A9, Cl 2A1A (C)
5.150%, 12/25/35 1,932 1,923
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Merrill Lynch Mortgage Investors,
Ser 2005-A9, Cl 2A1E (C)
5.148%, 12/25/35 $ 2,392 $ 2,384
Merrill Lynch Mortgage-Backed
Securities Trust, Ser 2007-2, Cl 1A1
5.800%, 10/01/07 2,451 2,465
Morgan Stanley Capital I,
Ser 2007-XLFA, Cl C (C)
5.771%, 10/15/20 1,025 992
Morgan Stanley Dean Witter Capital,
Ser 2000-LIFE, Cl A2
7.570%, 11/15/36 870 908
MortgageIT Trust, Ser 2005-5,
Cl A1 (C)
5.760%, 10/25/07 1,561 1,538
Nationstar Home Equity Loan Trust,
Ser 2006-B, Cl AV2 (C)
5.260%, 09/25/36 1,000 985
New Century Home Equity Loan Trust,
Ser 2005-1, Cl A1MZ (C)
5.610%, 10/25/07 88 87
Option One Mortgage Loan Trust,
Ser 2005-3, Cl M1 (C)
5.975%, 10/25/07 428 400
Option One Mortgage Loan Trust,
Ser 2007-2, Cl M1 (C)
5.490%, 03/25/37 2,635 2,247
Option One Mortgage Loan Trust,
Ser 2007-FXD1, Cl 3A3 (C)
5.611%, 01/25/37 285 282
Option One Mortgage Loan Trust,
Ser 2007-FXD2, Cl 2A1 (E)
5.900%, 03/25/37 1,542 1,534
Option One Mortgage Loan Trust,
Ser 2007-HL1, Cl 2A1 (C)
5.625%, 10/26/07 1,270 1,262
Pendeford Master Issuer PLC,
Ser 2007-1A, Cl 1C (C)
5.800%, 05/12/59 1,235 1,230
Permanent Master Issuer PLC,
Ser 2006-1, Cl 2C (C)
5.820%, 10/16/07 700 698
Permanent Master Issuer PLC,
Ser 2007-1, Cl 1C (C)
5.530%, 07/15/42 670 667
Prima, Ser 2006-1, Cl A1 (C)
5.417%, 10/01/07 2,493 2,464
Prudential Commercial Mortgage Trust,
Ser 2003-PWR1, Cl A1
3.669%, 02/11/36 969 945
Residential Funding Mortgage
Securities I, Ser 2007-SA2, Cl 2A1
5.688%, 04/25/37 2,254 2,269
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 145
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Residential Funding Mortgage Securities,
Ser 2006-SA1, Cl 1A1 (C)
5.674%, 02/25/36 $ 661 $ 664
Residential Funding Mortgage Securities,
Ser 2007-SA2, Cl 2A2 (C)
5.680%, 10/01/07 1,094 1,108
Residential Funding Mortgage Securities,
Ser 2007-SA3, Cl 2A1
5.789%, 07/27/37 2,424 2,412
Sequoia Mortgage Trust,
Ser 2004-10, Cl A2 (C)
5.820%, 10/20/07 353 351
Sequoia Mortgage Trust,
Ser 2004-11, Cl A1 (C)
5.800%, 10/20/07 268 266
Sequoia Mortgage Trust,
Ser 2005-2, Cl A1 (C)
5.800%, 10/20/07 160 157
Sequoia Mortgage Trust,
Ser 2007-1, Cl 2A1 (C)
5.830%, 10/20/07 2,274 2,281
VTB Capital, Ser 2006-1, Cl A1 (B) (C)
5.956%, 11/02/07 310 307
WFS Financial Owner Trust,
Ser 2005-2, Cl A3
4.170%, 12/17/09 342 341
WFS Financial Owner Trust,
Ser 2005-3, Cl B
4.500%, 05/17/13 700 694
Washington Mutual Mortgage
Pass-Through Certificate,
Ser 2003-AR10, Cl A6 (C)
4.060%, 10/01/07 1,500 1,484
Washington Mutual Mortgage
Pass-Through Certificate,
Ser 2004-AR5, Cl A6 (C)
3.840%, 10/01/07 1,200 1,176
Washington Mutual Mortgage
Pass-Through Certificate,
Ser 2005-AR14, Cl 1A4 (C)
5.059%, 12/25/35 2,386 2,372
Washington Mutual Mortgage
Pass-Through Certificate,
Ser 2005-AR3, Cl A2 (C)
4.637%, 10/01/07 1,409 1,394
Washington Mutual Mortgage
Pass-Through Certificate,
Ser 2006-AR2, Cl 1A1 (C)
5.310%, 10/01/07 776 770
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2005-AR4, Cl 2A2 (C)
5.310%, 10/01/07 539 533
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2006-AR10, Cl 2A1 (C)
5.640%, 07/25/36 $ 1,276 $ 1,274
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2006-AR10, Cl 4A1
5.565%, 07/25/36 2,490 2,478
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2006-AR12, Cl 2A1
6.101%, 09/25/36 3,352 3,392
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2006-AR16, Cl A1
5.681%, 10/25/36 1,870 1,877
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2006-AR5, Cl 2A1 (C)
5.530%, 10/01/07 1,813 1,821
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2006-AR6, Cl 3A1 (C)
5.090%, 10/01/07 1,900 1,894
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2006-AR8, Cl 2A1 (C)
5.240%, 10/01/07 1,235 1,233
Wells Fargo Mortgage-Backed Securities,
Ser 2003-J, Cl 2A4 (C)
4.451%, 10/25/33 350 346
Wells Fargo Mortgage-Backed Securities,
Ser 2004-BB, Cl A2 (C)
4.560%, 10/01/07 817 808
Wells Fargo Mortgage-Backed Securities,
Ser 2005-AR1, Cl 2A1
4.489%, 02/25/35 1,065 1,053
Wells Fargo Mortgage-Backed Securities,
Ser 2005-AR2, Cl 2A2 (C)
4.548%, 10/01/07 923 913
--------------
151,903
--------------
OTHER ASSET-BACKED SECURITIES -- 4.3%
ACAS Business Loan Trust,
Ser 2007-1A, Cl C (C)
6.203%, 08/16/19 2,290 2,145
AICCO Premium Finance Master Trust,
Ser 2007-AA, Cl C (C)
6.612%, 10/15/07 1,245 1,207
Babson CLO, Ser 2007-1A, Cl A1 (C)
5.590%, 10/18/07 1,120 1,103
Blackrock Senior Income Series,
Ser 2006-4A, Cl C (C)
6.035%, 04/20/19 1,930 1,648
C-Bass, Ser 16A, Cl A (C)
5.610%, 12/06/07 537 510
CIT Equipment Collateral,
Ser 2006-VT2, Cl C
5.290%, 04/20/14 141 140
- --------------------------------------------------------------------------------
146 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Capital One Multi-Asset Execution Trust,
Ser 2007-C3, Cl C3
5.901%, 10/15/07 $ 3,000 $ 2,917
Capital Trust Re CDO Ltd.,
Ser 2006-4A, Cl A1 (C)
5.810%, 10/20/43 1,152 1,095
Caterpillar Financial Asset Trust,
Ser 2005-A, Cl A3
3.900%, 02/25/09 174 174
Caterpillar Financial Asset Trust,
Ser 2006-A, Cl A3
5.570%, 05/25/10 1,250 1,254
Chase Issuance Trust,
Ser 2007-A15, Cl A
4.960%, 09/17/12 2,000 2,000
Chase Issuance Trust,
Ser 2007-A14, Cl A14
5.379%, 09/15/11 3,100 3,084
Domino's Pizza Master Issuer LLC,
Ser 2007-1, Cl A2
5.261%, 04/25/37 2,200 2,180
GE Business Loan Trust,
Ser 2003-2A, Cl B (C)
6.750%, 11/15/31 126 125
GE Business Loan Trust,
Ser 2004-2A, Cl A (C)
5.970%, 12/15/32 152 150
GE Business Loan Trust,
Ser 2004-2A, Cl B (C)
6.230%, 12/15/32 114 112
GE Business Loan Trust,
Ser 2006-2A, Cl D (C)
6.500%, 11/15/34 298 282
GE Dealer Floorplan Master Note Trust,
Ser 2006-2, Cl C (C)
5.968%, 04/20/13 460 436
John Deere Owner Trust,
Ser 2007-A, Cl A2
5.210%, 10/15/09 375 375
Lambda Finance, Ser 2005-1A,
Cl A3 (C)
5.788%, 11/15/29 1,600 1,582
Marriott Vacation Club Owner Trust,
Ser 2006-2A, Cl A
5.360%, 10/20/28 210 211
Marriott Vacation Club Owner Trust,
Ser 2007-1A, Cl D
6.159%, 05/20/29 986 989
Mayport CLO, Ser 2006-1A, Cl A2L (C)
5.720%, 02/22/20 1,005 930
Mayport CLO, Ser 2006-1A, Cl A3L (C)
6.010%, 02/22/20 270 233
Race Point CLO, Ser 2007-4A, Cl D
7.356%, 02/01/08 500 421
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Superior Wholesale Inventory Financing
Trust, Ser 2007-AE1, Cl B (C)
5.911%, 10/15/07 $ 115 $ 111
Superior Wholesale Inventory Financing
Trust, Ser 2007-AE1, Cl C (C)
6.211%, 01/15/12 215 207
Triton Container Finance LLC,
Ser 2006-1A, Cl N (C)
5.490%, 11/26/21 694 674
Wadsworth CDO, Ser 2006-1A, Cl A2 (C)
5.746%, 11/02/46 940 423
Wadsworth CDO, Ser 2006-1A, Cl B (C)
5.820%, 11/05/46 315 126
--------------
26,844
--------------
Total Asset-Backed Securities
(Cost $258,686) ($ Thousands) 253,465
--------------
LOAN PARTICIPATIONS -- 28.4%
Acument Global Tech
8.860%, 08/11/13 1,987 1,948
Alpha Topco
7.915%, 12/31/13 2,500 2,400
Alpha Topco, 2nd Lien
9.040%, 06/30/14 2,000 1,905
Applied Systems
7.854%, 09/26/13 496 481
Aspect Software, Tranche A-1 Term Loan
8.375%, 07/11/11 1,150 1,092
Barrington
7.748%, 08/05/13 993 975
Berry Plastics Holdings, Term C Loan
7.357%, 04/03/15 1,995 1,944
Big Dumpster Acquisition
7.610%, 02/05/13 979 939
0.000%, 02/05/13 (D) 21 1
Bio Tech Research Lab
7.360%, 03/17/14 996 896
Brickman Group Holdings
7.340%, 01/23/14 998 965
Buffets Holding
8.110%, 11/01/13 2 2
Burlington Coat Factory
7.760%, 05/28/13 2,961 2,835
CCS Medical
8.820%, 09/30/12 1,967 1,933
8.450%, 09/30/12 2,455 2,412
Caritor
7.610%, 05/17/13 1,860 1,712
Caritor (Synthetic)
7.610%, 05/11/13 140 128
Cellnet Group
7.360%, 07/22/11 1,999 1,924
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 147
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Cequel Communications
7.360%, 11/05/13 $ 1,995 $ 1,916
7.351%, 11/05/13 1,995 1,916
Charter Communications
7.360%, 06/05/14 1,000 966
7.360%, 03/06/14 1,500 1,449
7.360%, 06/05/14 2,000 1,932
Chiquita Brands
8.563%, 06/28/12 990 978
Clarke American, Tranche B
7.840%, 03/09/14 2,000 1,855
Cooper-Standard Auto
7.875%, 12/23/11 1,010 986
DTN
8.370%, 08/15/14 993 970
Delphi
8.125%, 12/31/07 2,000 1,988
7.625%, 12/31/07 1,000 994
Delta Air Lines, 2nd Lien
8.610%, 04/30/14 1,000 968
Dynea North, 1st Lien
8.110%, 07/10/14 2,000 1,945
Eddie Bauer
8.570%, 04/01/14 998 973
Emerson Reinsurance, Term A Loan
7.110%, 12/15/11 1,300 1,261
Emerson Reinsurance, Term B Loan
8.360%, 12/15/11 500 485
Emerson Reinsurance, Term C Loan
10.640%, 12/15/11 200 194
Euramax International, 1st Lien
8.375%, 06/29/12 1,489 1,373
FSB Holding
7.875%, 09/29/13 500 490
Ferro
7.219%, 06/06/12 2,345 2,280
1.000%, 06/06/12 (D) 644 18
Foamex LP, 1st Lien
7.699%, 02/12/13 3,000 2,803
Fontainebleau Miami
11.703%, 06/06/12 2,500 2,381
Ford Motor
8.700%, 12/15/13 993 962
GTM Holding
8.110%, 10/13/13 995 965
Generac Acquisition
7.850%, 11/15/13 1,980 1,772
Ginn La Conduit Lender
8.860%, 06/08/11 681 570
5.250%, 06/08/11 315 264
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Ginn La Conduit Lender, 1st Lien,
Tranche A
5.250%, 06/08/11 $ 315 $ 264
Ginn La Conduit Lender, 1st Lien,
Tranche B
8.860%, 06/08/11 681 570
Global Petroleum
9.855%, 07/26/13 1,980 1,901
Graham Packaging Company LP,
Term B Loan
7.625%, 10/07/11 1,995 1,962
Green Valley Ranch Gaming
7.542%, 02/16/14 2,992 2,902
Green Valley Ranch Gaming, 2nd Lien
8.791%, 08/16/14 1,000 948
HCA
7.610%, 11/07/13 1,990 1,947
Healthsouth
7.848%, 03/10/13 620 605
II Exploration (Synthetic)
9.110%, 10/28/13 150 144
II Exploration, LP, Term B Loan
8.913%, 10/28/13 848 814
IPC Systems, Tranche B-1
7.610%, 05/31/14 5 5
Ipayment
7.437%, 05/10/13 1,980 1,861
JHT Holding
10.116%, 12/21/12 1,945 1,828
Kuilima Resort
12.000%, 09/30/10 1,577 1,441
LNR Property
8.110%, 07/12/11 1,000 960
Lake at Las Vegas
15.460%, 06/20/12 1,759 1,513
Lake at Las Vegas (Synthetic)
15.460%, 06/20/12 241 207
Land Investors
8.070%, 05/09/11 1,167 1,038
Latham Manufacturing
8.520%, 06/30/12 995 938
Lifecare Holding
8.360%, 08/11/12 497 458
MGM Holding II
8.610%, 04/08/12 2,985 2,862
MGM Holdings II LOC, Tranche B
8.610%, 04/08/12 292 280
Medical Staffing Network, 1st Lien
10.750%, 07/02/13 1,000 990
Metro PCS Wireless
7.625%, 11/03/13 2,479 2,441
- --------------------------------------------------------------------------------
148 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Metro PCS Wireless, Tranche B
7.625%, 11/04/13 $ 1,000 $ 985
7.625%, 02/20/14 990 975
Michaels Stores
7.638%, 10/31/13 1,496 1,449
Monitor Oil
17.360%, 12/14/14 1,000 985
10.860%, 12/14/13 995 990
Monitor Oil, 2nd Lien (D)
0.000%, 01/25/15 47 --
Movie Gallery, 1st Lien
3.144%, 03/08/12 480 437
0.000%, 03/08/12 (E) 1,440 1,310
Movie Gallery, 1st Lien (Synthetic)
3.139%, 03/08/12 20 18
0.000%, 03/08/12 (E) 60 55
NE Energy
8.090%, 11/01/13 1,730 1,675
7.750%, 11/01/13 211 205
National Cine Media LLC
7.110%, 02/13/15 2,000 1,918
National Money Mart
8.050%, 10/30/12 995 970
Nep II
7.610%, 02/16/14 1,995 1,895
Nielsen Finance LLC (E)
0.000%, 08/09/13 995 965
Northwest Airlines
7.510%, 08/21/08 990 945
Orbitz Worldwide
8.340%, 07/25/14 2,000 1,947
Pinnacle Foods Group
8.110%, 04/19/14 1,000 966
Pivotal Promontory LLC
8.070%, 08/31/10 2,959 2,693
Protection One Alarm Monitoring
7.590%, 03/31/12 967 943
Realogy (Synthetic) (E)
0.000%, 10/10/13 648 609
Realogy, Term B Loan (E)
0.000%, 10/10/13 2,847 2,669
Riverdeep Interactive Learning USA
8.110%, 12/20/13 995 981
Roofing Supply Group
9.360%, 06/30/13 993 893
Sabre
7.608%, 09/30/14 5,831 5,553
Serena Software
7.336%, 03/10/13 1,840 1,766
Sirva Worldwide
11.608%, 12/01/10 1,787 1,193
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Sitel LLC
7.850%, 01/30/14 $ 2,916 $ 2,697
Solo Cup
8.947%, 02/27/11 958 951
8.940%, 02/27/11 953 945
Sorenson Communications
7.860%, 02/16/14 981 966
Spirit Finance
8.360%, 07/15/13 3,500 3,237
Stile Acquisition
7.360%, 04/06/13 995 934
Stratos Global
8.110%, 02/13/12 1,980 1,930
The Newark Group
7.570%, 03/22/13 2,000 1,920
Total Safety, Tranche B, 1st Lien
8.329%, 12/08/12 1,000 970
Totes Isotoner, 1st Lien
7.839%, 01/31/13 1,493 1,433
7.835%, 01/31/13 1,739 1,669
0.000%, 01/31/13 (E) 748 718
Travelport LLC (Synthetic) (E)
0.000%, 08/23/13 95 93
Travelport LLC, Term B Loan (E)
0.000%, 08/23/13 743 723
Tribune, Tranche B
8.360%, 05/09/14 3,000 2,722
Tribune, Tranche X
7.860%, 05/09/09 1,867 1,845
US Airways Group
7.860%, 03/19/14 6,500 6,177
Univision Communications
7.605%, 08/15/14 470 444
1.000%, 08/15/14 (D) 30 2
VML US Finance LLC
7.610%, 05/25/13 1,000 975
VNU
7.360%, 08/01/13 993 961
Venoco
9.360%, 04/28/11 2,000 1,967
Venoco, 2nd Lien
9.360%, 05/07/14 1,000 984
Verint Systems
8.106%, 05/09/14 1,877 1,825
Vertafore, 1st Lien
8.005%, 01/31/12 1,492 1,447
Waiccs Las Vegas 3 LLC, 1st Lien
8.828%, 07/30/08 2,000 1,970
Waiccs Las Vegas 3 LLC, 2nd Lien
14.328%, 07/30/08 2,000 1,970
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 149
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
WideOpenWest Finance, 1st Lien
7.932%, 06/01/14 $ 3,000 $ 2,872
0.000%, 06/30/14 (E) 2,000 1,915
WideOpenWest Finance, 2nd Lien
11.610%, 06/27/15 1,250 1,175
Wm. Bolthouse Farms
7.625%, 12/17/12 2,982 2,856
--------------
Total Loan Participations
(Cost $184,387) ($ Thousands) 176,308
--------------
CORPORATE OBLIGATIONS -- 12.8%
CONSUMER DISCRETIONARY -- 2.0%
CBS
7.700%, 07/30/10 1,000 1,062
COX Communications
4.625%, 01/15/10 1,000 988
4.625%, 06/01/13 1,500 1,415
CVS Caremark (C)
5.660%, 12/04/07 1,410 1,405
Comcast
5.500%, 03/15/11 1,500 1,503
Daimler Finance NA LLC
4.875%, 06/15/10 1,500 1,483
Harrah's Operating
5.500%, 07/01/10 1,000 960
Macy's Retail Holdings
5.350%, 03/15/12 935 917
Time Warner Cable (B)
5.400%, 07/02/12 2,100 2,074
Univision Communications
3.875%, 10/15/08 825 800
--------------
12,607
--------------
CONSUMER STAPLES -- 0.3%
Altria Group
7.000%, 11/04/13 1,000 1,087
Miller Brewing (B)
4.250%, 08/15/08 1,000 990
--------------
2,077
--------------
ENERGY -- 0.1%
Canadian Natural Resources
5.700%, 05/15/17 750 732
--------------
FINANCIALS -- 8.6%
American General Financial MTN, Ser I
4.875%, 07/15/12 1,000 966
Ameriprise Financial
5.350%, 11/15/10 1,000 1,007
BTM Holding (B)
4.760%, 07/21/15 1,000 976
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Banco Santander Chile (B) (C)
5.710%, 12/09/07 $ 1,750 $ 1,752
CIT Group
5.635%, 07/28/11 (C) 1,500 1,386
3.375%, 04/01/09 1,000 955
Capmark Financial Group (B) (C)
6.030%, 05/10/10 2,500 2,331
Citigroup (C)
5.910%, 08/25/36 1,500 1,410
Comerica Bank
5.450%, 05/10/10 2,350 2,350
Countrywide Financial MTN (C)
5.500%, 10/05/07 2,500 2,370
Everest Reinsurance Holdings
8.750%, 03/15/10 1,050 1,135
6.600%, 05/15/37 2,000 1,855
Goldman Sachs Capital III (C)
6.350%, 09/29/49 2,600 2,361
Hartford Financial Services Group
7.900%, 06/15/10 1,000 1,079
ILFC E-Capital Trust I (B) (C)
5.900%, 12/21/07 1,000 993
JPMorgan Chase Capital XXI, Ser U (C)
6.309%, 02/02/37 2,550 2,272
Lehman Brothers Holdings
6.200%, 09/26/14 2,000 2,008
Liberty Property LP+
7.250%, 03/15/11 1,000 1,041
Mellon Funding (C)
5.510%, 05/15/14 2,100 2,083
Merrill Lynch (C)
6.251%, 12/12/07 700 653
Metlife
5.000%, 06/15/15 2,000 1,907
Monumental Global Funding (B) (C)
5.560%, 10/16/07 1,800 1,800
Morgan Stanley MTN, Ser G (C)
5.660%, 10/04/07 1,700 1,648
Progressive
6.700%, 12/15/07 2,330 2,261
Prudential Financial MTN
5.100%, 12/14/11 310 308
RSHB Capital
7.175%, 05/16/13 (B) 115 118
6.299%, 05/15/17 1,065 1,003
Reinsurance Group of America
5.625%, 03/15/17 1,400 1,352
State Street (C)
5.460%, 04/30/12 1,215 1,205
State Street Cap Trust IV (C)
6.355%, 06/15/37 850 769
Textron Financial MTN
5.125%, 02/03/11 1,000 995
- --------------------------------------------------------------------------------
150 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Travelers MTN
5.375%, 06/15/12 $ 2,130 $ 2,151
UBS Luxembourg
6.230%, 02/11/15 500 499
Union Planters
7.750%, 03/01/11 1,000 1,074
Unitrin
6.000%, 05/15/17 1,270 1,235
4.875%, 11/01/10 1,000 990
VTB 24 Capital PLC MTN, Ser E
6.540%, 12/07/09 1,000 981
Western Union
5.400%, 11/17/11 1,175 1,173
Willis North America
5.125%, 07/15/10 1,000 990
--------------
53,442
--------------
HEALTH CARE -- 0.3%
Quest Diagnostic
5.125%, 11/01/10 1,000 999
Wyeth
6.950%, 03/15/11 1,000 1,048
--------------
2,047
--------------
INDUSTRIALS -- 0.4%
Continental Airlines, Ser 061G
5.710%, 06/02/13 1,000 1,000
Continental Airlines, Ser 1998-3
6.320%, 11/01/08 1,270 1,267
--------------
2,267
--------------
INFORMATION TECHNOLOGY -- 0.1%
Freescale Semiconductor
8.875%, 12/15/14 500 482
--------------
REGIONAL AGENCIES -- 0.1%
Republic of Trinidad & Tobago
9.875%, 10/01/09 500 548
--------------
TELECOMMUNICATION SERVICES -- 0.5%
Corning
6.050%, 06/15/15 1,000 1,005
Telecom Italia Capital (C)
5.970%, 10/18/07 1,000 994
Vodafone Group PLC
5.785%, 11/27/07 1,300 1,285
--------------
3,284
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
UTILITIES -- 0.4%
Nisource Finance (C)
6.064%, 11/23/07 $ 1,500 $ 1,488
Southern, Ser A
5.300%, 01/15/12 665 665
--------------
2,153
--------------
Total Corporate Obligations
(Cost $81,249) ($ Thousands) 79,639
--------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
OBLIGATIONS -- 6.1%
FHLB (A)
0.000%, 12/27/07 1,000 988
FHLMC
6.000%, 09/01/26 1,332 1,339
FHLMC CMO, Ser 3153, Cl FX (C)
5.961%, 10/15/07 2,556 2,539
FHLMC, Ser RB (A)
4.898%, 10/09/07 470 469
FHLMC CMO STRIPS, Ser 245, Cl IO, IO
5.000%, 05/15/37 1,698 478
FNMA
6.500%, 09/01/26 746 762
6.000%, 11/01/14 to 01/01/27 14,600 14,756
4.592%, 12/19/07 (A) 1,000 990
0.000%, 11/07/03 (A) 500 498
FNMA CMO STRIPS, Ser 377, Cl 2, IO
5.000%, 10/01/36 1,796 479
FNMA CMO, Ser 2003-8, Cl BN
4.500%, 03/25/16 1,512 1,500
FNMA TBA
6.000%, 10/01/26 7,955 7,998
5.500%, 10/15/22 5,000 4,987
--------------
Total U.S. Government Agency
Mortgage-Backed Obligations
(Cost $37,843) ($ Thousands) 37,783
--------------
TIME DEPOSITS -- 6.4%
Barclays Bank London
4.890%, 11/13/07 8,661 8,661
Lloyds TSB London
5.260%, 10/10/07 5,229 5,229
Royal Bank of Canada
4.800%, 11/13/07 9,099 9,099
Royal Bank of Scotland
5.640%, 10/31/07 3,122 3,122
5.450%, 10/10/07 5,668 5,668
UBS London
5.570%, 10/31/07 7,782 7,782
--------------
Total Time Deposits
(Cost $39,561) ($ Thousands) 39,561
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 151
SCHEDULE OF INVESTMENTS
Enhanced Income Fund (Concluded)
September 30, 2007
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CASH EQUIVALENT*++ -- 5.7%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 5.350% 35,252,174 $ 35,252
--------------
Total Cash Equivalent
(Cost $35,252) ($ Thousands) 35,252
--------------
CERTIFICATE OF DEPOSIT -- 0.1%
Sovereign Bank
4.000%, 02/01/08 $ 400 398
--------------
Total Certificate of Deposit
(Cost $398) ($ Thousands) 398
--------------
REPURCHASE AGREEMENT (F) -- 2.0%
Merrill Lynch 5.100%,
dated 09/28/07, to be repurchased
on 10/01/07, repurchase price
$12,805,440 (collateralized by
various U.S. Government Obligations
ranging in par value $5,440,000-
$9,745,697, 6.000%, 03/01/36-
12/01/36; with total market value
$13,059,236) 12,800 12,800
--------------
Total Repurchase Agreement
(Cost $12,800) ($ Thousands) 12,800
--------------
Total Investments -- 102.3%
(Cost $650,176) ($ Thousands) $ 635,206
==============
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$ 174 Dec-2007 $ 121
90-Day Euro$ (347) Sep-2008 (438)
90-Day Euro$ 175 Dec-2010 182
U.S. 2-Year Note 326 Dec-2007 198
U.S. 5-Year Note (213) Dec-2007 (60)
U.S. 10-Year Note (695) Dec-2007
(112)
--------
$ (109)
========
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)
- --------------------------------------------------------------------------------
10/10/07 AUD 7,409 GBP 3,094 $ (251)
10/10/07-1/11/08 AUD 13,093 JPY 1,236,000 (738)
10/10/07 AUD 6,045 USD 5,120 (227)
10/10/07 CAD 5,000 USD 4,825 (208)
10/10/07 CHF 1,764 EUR 1,079 23
10/10/07-2/12/08 CHF 66,600 GBP 27,650 (1,036)
10/10/07-3/12/08 CHF 20,900 NZD 24,009 40
10/10/07-3/12/08 CHF 55,300 USD 46,208 (1,386)
10/10/07 EUR 4,072 CHF 6,704 (48)
10/10/07 GBP 1,017 AUD 2,487 128
10/10/07-2/12/08 GBP 25,999 CHF 62,300 716
10/10/07-2/13/08 GBP 22,247 JPY 5,184,000 88
10/10/07 GBP 5,011 USD 10,126 (80)
10/10/07-3/12/08 JPY 2,310,000 AUD 23,449 441
10/10/07-3/12/08 JPY 6,893,000 GBP 29,473 (392)
10/10/07-3/12/08 JPY 4,261,000 USD 36,583 (831)
10/10/07-1/11/08 NZD 14,854 CHF 12,600 (327)
10/10/07 USD 1,157 AUD 1,395 77
10/10/07 USD 636 CAD 670 39
10/10/07-3/12/08 USD 46,524 CHF 55,300 1,070
10/10/07 USD 8,286 GBP 4,126 117
10/10/07-2/13/08 USD 29,450 JPY 3,432,000 645
----------
$ (2,140)
==========
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
- -----------------------------------------------------------------------------------------------
NOTIONAL NET UNREALIZED
EXPIRATION AMOUNT APPRECIATION
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- -----------------------------------------------------------------------------------------------
The Fund receives payment on the monthly reset
spread from Lehman Brothers--CMBS AAA 8.5+
Index plus 30 basis points times the notional
amount. The Fund receives payment if the
return on the spread appreciates over the
payment period and pays if the return on the
spread depreciates over the payment period.
(Counterparty: Goldman Sachs International) 11/01/07 $ 33,000 $ 202
=========
- -----------------------------------------------------------------------------------------------
INTEREST RATE SWAP
- -----------------------------------------------------------------------------------------------
NET
NOTIONAL UNREALIZED
EXPIRATION AMOUNT APPRECIATION
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- -----------------------------------------------------------------------------------------------
The Fund receives a fixed rate of 5.055% and
pays a floating rate based on the 3-Month
LIBOR Index. (Counterparty Goldman
Sachs International) 09/14/17 $ 3,150 $ 43
=========
- --------------------------------------------------------------------------------
152 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- -----------------------------------------------------------------------------------------------
CREDIT DEFAULT SWAPS
- -----------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- -----------------------------------------------------------------------------------------------
Fund receives a quarterly payment of 0.0475%
(0.190% per annum) times notional amount of
Republic of Italy, 6.875%, 09/27/23. Upon a
defined credit event the Fund pays the
notional amount and takes receipt of the
deliverable obligation. (Counterparty:
Goldman Sachs International) 12/20/16 ($1,700) $ 5
Fund receives a monthly payment of 0.045%
(0.540% per annum) times notional amount of
ABX.HE.A 06-1 Index. Upon a defined credit
event the Fund pays the notional amount and
takes receipt of the deliverable obligation.
(Counterparty: Goldman Sachs International 07/25/45 (10,500) (1,501)
Fund receives a monthly payment of 0.285%
(0.570% per annum) times notional amount of
CDS GAZZPR. Upon a defined credit event the
Fund pays the notional amount and takes
receipt of the deliverable obligation.
(Counterparty: Goldman Sachs International) 06/20/12 (8,800) (148)
Fund pays a semi-annual payment of 0.430%
(0.860% per annum) times notional amount of
CDS GAZZPR. Upon a defined credit event the
Fund receives the notional amount and
delivers the deliverable obligation.
(Counterparty: Goldman Sachs International) 06/20/17 5,200 149
Fund receives a quarterly payment of 0.1975%
(0.790% per annum) times notional amount of
MBIA, 6.625%, 10/1/28. Upon a defined credit
event the Fund pays the notional amount and
takes receipt of the deliverable obligation.
(Counterparty: Goldman Sachs International) 09/20/12 (3,000) (65)
Fund receives a semi-annual payment of 0.1875%
(0.375% per annum) times notional amount of
Pemex Master Trust, 9.500%, 9/15/27. Upon a
defined credit event the Fund pays the
notional amount and takes receipt of the
deliverable obligation. (Counterparty:
Goldman Sachs International) 06/20/12 (8,400) (35)
Fund pays a monthly payment of 0.285%
(0.570% per annum) times notional amount
of Pemex Master Trust, 9.500%, 9/15/27. Upon
a defined credit event the Fund receives the
notional amount and delivers the deliverable
obligation. (Counterparty: Goldman Sachs
International) 06/20/17 4,800 41
---------
$ (1,554)
=========
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $620,942 ($ Thousands).
* Rate shown is the 7-day effective yield as of September 30, 2007.
+ Real Estate Investments Trust.
++ Investment in Affiliated Security (see Note 3).
(A) Zero Coupon Bond -- The rate reported on the Schedule of Investments is
the effective yield at time of purchase.
(B) Securities sold within terms of a private placement memorandum, exempt
from registration under Section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors." These securities have been determined to be liquid
under guidelines established by the Board of Trustees.
(C) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of September 30, 2007. The date reported on the
Schedule of Investments is the next reset date.
(D) Unfunded bank loan. Interest rate not available.
(E) Unsettled bank loan. Interest rate not available.
(F) Tri-Party Repurchase Agreement.
AUD -- Australian Dollar
CAD -- Canadian Dollar
CDO -- Collateralized Debt Obligation
CHF -- Swiss Franc
CLO -- Collateralized Loan Obligation
Cl -- Class
CMBS -- Commercial Mortgage-Backed Securities
CMO -- Collateralized Mortgage Obligation
EUR -- Euro
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GBP -- British Pound Sterling
IO -- Interest Only
JPY -- Japanese Yen
LIBOR -- London InterBank Offered Rate
LLC -- Limited Liability Company
LP -- Limited Partnership
Ltd. -- Limited
MTN -- Medium Term Note
NZD -- New Zealand Dollar
PLC -- Public Limited Company
REIT -- Real Estate Investment Trust
Ser -- Series
STRIPS -- Separately Traded Registered Interest and Principal Securities
TBA -- To Be Announced
USD -- United States Dollar
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 153
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund
September 30, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS# (UNAUDITED):
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
34.9% U.S. Government Agency Mortgage-Backed Obligations
19.6% Asset-Backed Securities
18.1% Short-Term Investments
11.1% U.S. Treasury Obligations
8.2% Financials
1.7% Energy
1.2% Utilities
1.1% Industrials
1.1% Consumer Discretionary
0.9% Telecommunication Services
0.6% Health Care
0.5% Sovereign
0.4% Consumer Staples
0.2% Materials
0.2% Foreign Bonds
0.1% Information Technology
0.1% Certificates of Deposit
0.0% Purchased Swaptions
#Percentages based on total investments. Includes investments held as collateral
for securities on loan (see Note 7).
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
OBLIGATIONS -- 48.1%
FHLB
5.400%, 01/02/09 (J) $ 3,480 $ 3,480
4.500%, 10/09/09 3,750 3,758
4.050%, 01/21/09 2,000 1,988
3.310%, 01/23/09 2,000 1,970
FHLB CMO, Ser 2014-17, Cl 1
5.340%, 03/20/14 7,375 7,374
FHLB CMO, Ser 2015-VN, Cl A
5.460%, 11/27/15 7,116 7,116
FHLB DN (E) (J)
4.617%, 10/17/07 2,355 2,350
FHLMC
7.500%, 11/01/29 to 09/01/32 2,472 2,580
7.000%, 01/01/08 to 01/01/32 3,998 4,120
6.875%, 09/15/10 5,560 5,926
6.500%, 12/01/13 to 09/01/37 29,737 30,280
6.000%, 02/01/18 to 07/01/37 16,501 16,669
5.625%, 11/23/35 (J) 4,830 4,742
5.500%, 12/01/13 to 09/01/37 72,369 71,310
5.000%, 10/01/18 to 08/01/37 82,100 79,152
4.625%, 05/28/13 (J) 3,750 3,686
4.500%, 05/01/18 to 11/01/35 10,071 9,673
4.000%, 07/01/18 to 10/01/33 26,859 25,212
FHLMC ARM
6.687%, 10/01/07 2,480 2,531
6.619%, 10/01/07 2,115 2,164
6.537%, 10/01/07 5,122 5,225
6.157%, 01/01/37 1,830 1,860
6.009%, 04/01/37 2,856 2,895
5.940%, 04/01/37 2,978 3,015
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
5.918%, 04/01/37 $ 7,442 $ 7,514
5.904%, 04/01/37 4,394 4,434
5.895%, 01/01/37 2,983 2,990
5.876%, 04/01/36 1,794 1,812
5.775%, 07/01/37 3,036 3,079
5.767%, 05/01/37 1,586 1,598
5.703%, 05/01/37 3,024 3,052
5.541%, 06/01/37 2,632 2,652
5.126%, 01/01/36 6,929 6,825
FHLMC CMO STRIPS, Ser 232, Cl IO, IO
5.000%, 08/01/35 12,507 3,293
FHLMC CMO STRIPS, Ser 233, Cl 12, IO
5.000%, 09/15/35 3,432 783
FHLMC CMO STRIPS, Ser 233, Cl 6, IO
4.500%, 08/15/35 517 138
FHLMC CMO, Ser 1, Cl Z
9.300%, 04/15/19 199 211
FHLMC CMO, Ser 1611, Cl Z
6.500%, 11/15/23 14,097 14,419
FHLMC CMO, Ser 1983, Cl Z
6.500%, 12/15/23 2,152 2,212
FHLMC CMO, Ser 2043, Cl CJ
6.500%, 04/15/28 3,693 3,805
FHLMC CMO, Ser 2256, Cl PA
6.000%, 11/15/26 4,953 5,028
FHLMC CMO, Ser 2277, Cl B
7.500%, 01/15/31 739 740
FHLMC CMO, Ser 2389, Cl CD
6.000%, 03/15/16 3,700 3,744
FHLMC CMO, Ser 2399, Cl XG
6.500%, 01/15/32 7,407 7,652
FHLMC CMO, Ser 2542, Cl ES
5.000%, 12/15/17 2,316 2,269
FHLMC CMO, Ser 2544, Cl IW, IO
5.500%, 03/15/26 1,951 47
FHLMC CMO, Ser 2558, Cl BD
5.000%, 01/15/18 1,785 1,737
FHLMC CMO, Ser 2579, Cl PI, IO
5.500%, 03/15/27 68 --
FHLMC CMO, Ser 2583, Cl TD
4.500%, 12/15/13 1,643 1,612
FHLMC CMO, Ser 2590, Cl NU
5.000%, 06/15/17 1,305 1,295
FHLMC CMO, Ser 2603, Cl KT
4.750%, 07/15/14 787 761
FHLMC CMO, Ser 2614, Cl TD
3.500%, 05/15/16 2,426 2,366
FHLMC CMO, Ser 2623, Cl AJ (F)
4.500%, 10/01/07 1,309 1,281
FHLMC CMO, Ser 2631, Cl MT
3.500%, 01/15/22 427 425
FHLMC CMO, Ser 2645, Cl MK
3.500%, 07/15/22 712 709
- --------------------------------------------------------------------------------
154 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FHLMC CMO, Ser 2647, Cl PJ
3.250%, 06/15/26 $ 5,644 $ 5,523
FHLMC CMO, Ser 2672, Cl HA
4.000%, 09/15/16 746 730
FHLMC CMO, Ser 2694, Cl QG
4.500%, 01/15/29 1,761 1,719
FHLMC CMO, Ser 2733, Cl ME
5.000%, 01/15/34 5,995 5,513
FHLMC CMO, Ser 2780, Cl TB
3.000%, 12/15/24 1,721 1,693
FHLMC CMO, Ser 2809, Cl HX, IO
6.000%, 10/15/24 1,373 30
FHLMC CMO, Ser 2841, Cl BD (F)
4.000%, 10/01/07 1,206 1,179
FHLMC CMO, Ser 2890, Cl AP
3.750%, 12/15/11 2,032 2,004
FHLMC CMO, Ser 2899, Cl QY
4.000%, 10/15/25 652 645
FHLMC CMO, Ser 2945, Cl SA (F)
1.939%, 10/15/07 6,005 5,643
FHLMC CMO, Ser 2975, Cl EA (F)
5.000%, 10/01/07 1,053 1,050
FHLMC CMO, Ser 3017, Cl TA
4.500%, 08/15/35 2,084 2,028
FHLMC CMO, Ser 3020, Cl MA
5.500%, 04/15/27 2,396 2,408
FHLMC CMO, Ser 3035, Cl PA
5.500%, 09/15/35 1,174 1,182
FHLMC CMO, Ser 3062, Cl LC
5.500%, 11/15/28 1,258 1,259
FHLMC CMO, Ser 3075, Cl PA
5.500%, 07/15/25 899 903
FHLMC CMO, Ser 3078, Cl PA
5.500%, 07/15/24 1,189 1,194
FHLMC CMO, Ser 3104, Cl QC
5.000%, 09/15/31 1,199 1,171
FHLMC CMO, Ser 3114, Cl KC
5.000%, 02/15/30 1,778 1,733
FHLMC CMO, Ser 3135, Cl JA
6.000%, 09/15/27 3,316 3,347
FHLMC CMO, Ser 3138, Cl PA
5.500%, 02/15/27 2,448 2,462
FHLMC CMO, Ser 3151, Cl PA (F)
6.000%, 10/01/07 2,582 2,615
FHLMC CMO, Ser 3164, Cl NC
6.000%, 12/15/32 1,080 1,100
FHLMC CMO, Ser 3167, Cl QA
6.000%, 10/15/26 8,108 8,220
FHLMC CMO, Ser 3171, Cl NE (F)
6.000%, 10/01/07 1,270 1,287
FHLMC CMO, Ser 3177, Cl PA (F)
6.000%, 10/01/07 344 349
FHLMC CMO, Ser 3178, Cl MA
6.000%, 10/15/26 1,843 1,869
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FHLMC CMO, Ser 3178, Cl PE
5.899%, 02/01/37 $ 17,196 $ 17,385
FHLMC CMO, Ser 3184, Cl LA
6.000%, 03/15/28 736 746
FHLMC CMO, Ser 3192, Cl GA
6.000%, 03/15/27 2,039 2,066
FHLMC CMO, Ser 3205, Cl PC
6.000%, 09/15/32 2,245 2,285
FHLMC CMO, Ser 3216, Cl NA
6.000%, 05/15/28 1,777 1,804
FHLMC CMO, Ser 3268, Cl HC
5.000%, 12/15/32 957 924
FHLMC CMO, Ser 3279, Cl PB
5.500%, 09/15/31 2,714 2,715
FHLMC CMO, Ser 3279, Cl PH
6.000%, 02/15/27 1,955 1,993
FHLMC CMO, Ser 3287, Cl GC
5.500%, 08/15/34 1,551 1,534
FHLMC CMO, Ser 3288, Cl PA
5.500%, 05/15/29 2,747 2,765
FHLMC CMO, Ser 3298, Cl VB
5.000%, 11/15/25 1,046 973
FHLMC CMO, Ser 3300, Cl PB
5.500%, 02/15/31 1,378 1,374
FHLMC CMO, Ser 3305, Cl PD
5.500%, 11/15/35 911 889
FHLMC CMO, Ser 3312, Cl AP
5.500%, 11/15/25 1,139 1,147
FHLMC CMO, Ser 3316, Cl EB
5.500%, 06/15/34 1,702 1,682
FHLMC CMO, Ser 3316, Cl GC
5.500%, 05/15/33 2,486 2,448
FHLMC CMO, Ser 3316, Cl HA
5.000%, 07/15/35 3,399 3,335
FHLMC CMO, Ser 3316, Cl PB
5.500%, 03/15/31 656 655
FHLMC CMO, Ser 3326, Cl PC
5.500%, 08/15/32 618 610
FHLMC CMO, Ser 3331, Cl BP
5.500%, 02/15/31 2,304 2,298
FHLMC CMO, Ser 3347, Cl PA
5.000%, 06/15/28 6,716 6,026
FHLMC CMO, Ser 3347, Cl PB
5.000%, 11/15/30 4,443 4,351
FHLMC CMO, Ser 3347, Cl PC
5.000%, 07/15/33 2,051 1,978
FHLMC CMO, Ser 3347, Cl PD
5.000%, 09/15/35 1,924 1,806
FHLMC CMO, Ser 3348, Cl QA
6.000%, 06/15/28 2,716 2,760
FHLMC CMO, Ser 3349, Cl BP
6.000%, 03/15/32 2,686 2,735
FHLMC CMO, Ser 3351, Cl PK
5.500%, 01/15/32 6,999 7,016
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 155
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FHLMC CMO, Ser 3790. Cl TN
4.000%, 05/15/24 $ 1,398 $ 1,247
FHLMC CMO, Ser 3804, Cl EB
5.500%, 07/15/30 2,695 2,711
FHLMC DN (E)
5.252%, 11/09/07 (B) 170 169
5.178%, 10/29/07 (B) 55 55
4.947%, 10/15/07 (B) 830 829
4.917%, 10/02/07 2,629 2,629
4.746%, 10/26/07 (B) 370 369
FHLMC TBA
6.000%, 10/01/19 to 10/01/21 9,016 9,128
5.500%, 10/15/37 to 11/01/37 55,800 54,617
5.000%, 10/15/33 2,400 2,289
FHLMC, Ser RB (B)
5.135%, 10/09/07 5 5
FICO STRIPS, Ser D-P (E)
5.308%, 09/26/19 4,904 2,661
FNMA
8.000%, 10/01/15 26 28
7.250%, 01/15/10 (J) 5,800 6,154
7.000%, 09/01/26 to 04/01/32 4,247 4,420
6.500%, 05/01/17 to 08/01/37 15,295 15,591
6.250%, 02/01/11 (J) 8,000 8,402
6.000%, 05/01/21 to 08/01/37 95,512 95,784
5.500%, 06/01/14 to 02/01/35 164,670 163,304
5.000%, 01/01/20 to 09/01/36 100,683 97,821
4.717%, 03/12/08 (B) 300 294
4.500%, 09/01/18 to 08/01/35 30,499 29,055
4.495%, 04/01/09 1,411 1,402
4.375%, 09/13/10 (J) 6,150 6,139
4.000%, 07/01/18 to 03/01/36 31,853 29,412
FNMA DN (B) (E)
5.348%, 11/02/07 975 971
5.088%, 03/17/08 6,100 5,975
FNMA ARM
7.034%, 10/01/07 (F) 2,203 2,266
7.022%, 11/01/35 2,275 2,353
7.021%, 10/01/07 (F) 2,190 2,252
7.004%, 10/01/07 (F) 2,254 2,331
7.002%, 10/01/07 (F) 2,271 2,349
6.920%, 10/01/35 10,531 10,828
6.905%, 10/01/35 6,852 7,087
6.901%, 11/01/35 4,634 4,793
6.444%, 07/01/36 1,670 1,726
6.198%, 03/01/37 743 755
5.952%, 01/01/37 1,990 2,026
5.900%, 09/01/37 2,525 2,564
5.858%, 02/01/37 9,112 9,242
5.842%, 06/01/37 1,887 1,913
5.818%, 05/01/37 1,253 1,269
5.746%, 04/01/36 1,210 1,215
5.653%, 10/01/07 15,718 15,776
5.635%, 02/01/36 721 726
5.614%, 05/01/37 1,471 1,471
5.193%, 11/01/36 676 669
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
5.082%, 10/01/36 $ 1,856 $ 1,842
5.016%, 07/01/35 1,414 1,405
4.871%, 09/01/35 798 789
FNMA CMO STRIPS, Ser 359, Cl 6, IO
5.000%, 11/01/35 1,339 344
FNMA CMO STRIPS, Ser 360, Cl 2, IO
5.000%, 08/01/35 32,623 8,590
FNMA CMO STRIPS, Ser 365, Cl 2, IO
5.000%, 02/01/36 1,278 336
FNMA CMO STRIPS, Ser 365, Cl 4, IO
5.000%, 04/01/36 1,373 373
FNMA CMO, Ser 1999-11, Cl Z
5.500%, 03/25/29 7,003 6,930
FNMA CMO, Ser 2001-T11, Cl B (F)
5.503%, 10/01/07 620 631
FNMA CMO, Ser 2001-T2, Cl B
6.022%, 11/25/10 4,500 4,629
FNMA CMO, Ser 2002-94, Cl BJ, IO
5.500%, 04/25/16 534 21
FNMA CMO, Ser 2002-T11, Cl A
4.768%, 04/25/12 197 196
FNMA CMO, Ser 2003-108, Cl BE
4.000%, 11/25/18 706 652
FNMA CMO, Ser 2003-113, Cl PN
3.500%, 02/25/13 910 902
FNMA CMO, Ser 2003-123, Cl AB
4.000%, 10/25/16 2,152 2,106
FNMA CMO, Ser 2003-15, Cl CH (F)
4.000%, 10/01/07 818 802
FNMA CMO, Ser 2003-16, Cl PN (F)
4.500%, 10/01/07 1,137 1,126
FNMA CMO, Ser 2003-24, Cl LC
5.000%, 12/25/15 560 559
FNMA CMO, Ser 2003-30, Cl ET
3.500%, 08/25/16 2,178 2,127
FNMA CMO, Ser 2003-33, Cl CH (F)
4.000%, 10/01/07 1,670 1,630
FNMA CMO, Ser 2003-86, Cl OX
4.500%, 09/25/26 4,719 4,669
FNMA CMO, Ser 2003-92, Cl PC
4.500%, 05/25/15 1,909 1,888
FNMA CMO, Ser 2003-T1, Cl A
3.807%, 11/25/12 610 595
FNMA CMO, Ser 2004-34, Cl PL
3.500%, 05/25/14 924 914
FNMA CMO, Ser 2005-20, Cl QD
5.000%, 03/25/28 2,800 2,789
FNMA CMO, Ser 2005-29, Cl AD
4.500%, 08/25/34 1,861 1,838
FNMA CMO, Ser 2005-38, Cl CD
5.000%, 06/25/19 1,409 1,400
- --------------------------------------------------------------------------------
156 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FNMA CMO, Ser 2005-57, Cl EG (F)
5.431%, 10/25/07 $ 3,538 $ 3,514
FNMA CMO, Ser 2005-58, Cl MA
5.500%, 07/25/35 902 907
FNMA CMO, Ser 2005-92, Cl NM
3.500%, 04/25/13 1,032 1,024
FNMA CMO, Ser 2006-10, Cl FD (F)
5.855%, 10/25/07 5,308 5,300
FNMA CMO, Ser 2006-112, Cl QA (F)
5.500%, 10/01/07 1,827 1,835
FNMA CMO, Ser 2006-18, Cl PA
5.500%, 01/25/26 1,687 1,693
FNMA CMO, Ser 2006-31, Cl PA
5.500%, 11/25/26 1,851 1,859
FNMA CMO, Ser 2006-34, Cl PA
6.000%, 05/25/27 3,619 3,654
FNMA CMO, Ser 2006-41, Cl MA
5.500%, 04/25/24 678 680
FNMA CMO, Ser 2006-53, Cl PA
5.500%, 12/25/26 563 565
FNMA CMO, Ser 2006-55, Cl PA
6.000%, 05/25/26 1,878 1,898
FNMA CMO, Ser 2006-64, Cl PA (F)
5.500%, 10/01/07 1,166 1,172
FNMA CMO, Ser 2006-80, Cl PB (F)
6.000%, 10/01/07 3,705 3,753
FNMA CMO, Ser 2007-27, Cl KA
5.750%, 09/25/33 878 886
FNMA CMO, Ser 2007-30, Cl MA
4.250%, 02/25/37 3,822 3,720
FNMA CMO, Ser 2007-39, Cl NA
4.250%, 01/25/37 3,404 3,314
FNMA CMO, Ser 2007-62, Cl PA
6.000%, 03/25/29 1,209 1,226
FNMA CMO, Ser 2007-76, Cl PA
6.000%, 05/25/28 5,450 5,526
FNMA CMO, Ser 2007-80, Cl TA
6.000%, 09/25/26 2,229 2,258
FNMA CMO, Ser 2007-81, Cl BE
6.000%, 12/25/31 2,150 2,182
FNMA CMO, Ser 2007-81, Cl AE
6.000%, 08/25/28 1,309 1,329
FNMA CMO, Ser 2007-B1, Cl VA
5.500%, 04/25/17 2,241 2,249
FNMA CMO, Ser 2632, Cl NE
4.000%, 06/15/13 4,595 4,480
FNMA CMO, Ser 3173, Cl PH
6.000%, 09/15/27 2,352 2,385
FNMA CMO, Ser 3351, Cl PJ
5.500%, 06/15/22 4,066 4,098
FNMA CMO, Ser 34, Cl QJ
4.500%, 01/25/16 2,718 2,687
FNMA TBA
6.500%, 10/01/37 to 11/15/37 113,910 115,937
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
6.000%, 10/01/37 to 11/01/37 $ 129,900 $ 129,990
5.500%, 02/01/21 to 11/01/37 288,495 282,598
5.000%, 10/01/37 to 11/01/37 229,700 219,046
4.500%, 10/14/34 3,500 3,246
GNMA
8.000%, 11/15/29 to 11/15/30 175 186
7.500%, 03/15/29 to 01/15/32 511 538
7.000%, 08/15/13 to 09/20/37 12,026 12,579
6.500%, 04/15/24 to 09/01/37 61,307 62,586
6.000%, 03/15/14 to 11/15/35 61,450 61,932
5.500%, 10/20/34 3,854 3,791
5.000%, 05/15/33 to 10/15/35 6,385 6,183
4.500%, 01/01/20 2,855 2,755
GNMA ARM
6.500%, 02/20/34 1,670 1,687
6.000%, 06/20/35 976 977
5.500%, 08/20/34 to 01/20/36 1,461 1,469
5.000%, 02/20/36 1,463 1,463
4.750%, 12/20/33 to 05/20/34 20,692 20,650
4.500%, 05/20/36 9,086 9,146
4.000%, 02/20/34 to 03/20/36 2,591 2,589
GNMA CMO, Ser 2001-18, Cl WH (F)
6.825%, 10/20/07 368 402
GNMA CMO, Ser 2002-51, Cl SG (F)
8.682%, 10/20/07 329 363
GNMA CMO, Ser 2003-58, Cl LG, IO
5.500%, 05/17/29 4,036 182
GNMA CMO, Ser 2003-86, Cl LC, IO
5.500%, 10/20/27 1,417 18
GNMA CMO, Ser 2003-86, Cl ZK
5.000%, 10/20/33 9,119 8,060
GNMA CMO, Ser 2004-80, Cl IP, IO
5.500%, 07/20/34 6,118 428
GNMA CMO, Ser 2004-88, Cl MA
3.650%, 01/20/28 1,620 1,598
GNMA CMO, Ser 2006-17, Cl KY
5.000%, 04/20/36 4,417 4,399
GNMA CMO, Ser 2006-3, Cl A
4.212%, 01/16/28 586 576
GNMA CMO, Ser 2006-33, Cl NA
5.000%, 01/20/36 1,863 1,758
GNMA CMO, Ser 2006-37, Cl JG
5.000%, 07/20/36 879 826
GNMA CMO, Ser 2006-8, Cl A
3.942%, 08/16/25 820 805
GNMA CMO, Ser 2007-7, Cl PG
5.000%, 02/16/37 2,411 2,257
GNMA TBA
6.500%, 10/01/34 2,700 2,759
6.000%, 10/01/36 5,900 5,937
--------------
Total U.S. Government Agency Mortgage-Backed Obligations
(Cost $2,218,629) ($ Thousands) 2,221,780
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 157
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES --26.9%
AUTOMOTIVE -- 0.4%
AmeriCredit Prime Automobile
Receivables Trust, Ser 2007-1, Cl A3
5.270%, 11/08/11 $ 1,863 $ 1,868
Capital Auto Receivables Asset Trust,
Ser 2006-1, Cl A3
5.030%, 10/15/09 1,553 1,550
Capital Auto Receivables Asset Trust,
Ser 2006-2, Cl B
5.070%, 12/15/11 2,620 2,569
Capital Auto Receivables Asset Trust,
Ser 2007-1, Cl A3A
5.000%, 04/15/11 1,054 1,052
DaimlerChrysler Auto Trust, Ser 2006-D,
Cl A4
4.940%, 02/08/12 1,190 1,184
Ford Credit Auto Owner Trust,
Ser 2005-A, Cl A3
3.480%, 11/15/08 110 110
Ford Credit Auto Owner Trust,
Ser 2005-B, Cl A3
4.170%, 01/15/09 179 179
Harley-Davidson Motorcycle Trust,
Ser 2007-1, Cl A2
5.290%, 10/15/07 866 866
Hyundai Auto Receivables Trust,
Ser 2007-A, Cl A3A
5.040%, 01/17/12 776 776
Hyundai Auto Receivables Trust,
Ser 2007-A, Cl A4
5.210%, 03/17/14 1,408 1,408
Nissan Auto Receivables Owner Trust,
Ser 2006-B, Cl A3
5.160%, 02/15/10 705 704
Triad Auto Receivables Owner Trust,
Ser 2003-B, Cl A4
3.200%, 12/13/10 256 253
Triad Auto Receivables Owner Trust,
Ser 2006-B, Cl A4 (F)
5.520%, 10/12/07 563 567
Triad Auto Receivables Owner Trust,
Ser 2006-C, Cl A3
5.260%, 11/14/11 1,039 1,040
USAA Auto Owner Trust,
Ser 2004-3, Cl A4
3.530%, 06/15/11 912 903
USAA Auto Owner Trust,
Ser 2005-1, Cl A3
3.900%, 07/15/09 94 93
WFS Financial Owner Trust,
Ser 2003-4, Cl A4
3.150%, 05/20/11 153 153
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
WFS Financial Owner Trust,
Ser 2004-1, Cl A4
2.810%, 08/22/11 $ 289 $ 287
WFS Financial Owner Trust,
Ser 2005-3, Cl A3A
4.250%, 06/17/10 181 181
World Omni Auto Receivables Trust,
2007-B, Cl A3A
5.280%, 01/17/12 652 656
World Omni Auto Receivables Trust,
2007-B, Cl A4
5.390%, 05/15/13 1,406 1,416
--------------
17,815
--------------
CREDIT CARDS -- 0.3%
Bank of America Credit Card Trust,
Ser 2007-A8, Cl A8
5.590%, 11/17/14 502 511
Chase Issuance Trust, Ser 2004-A9,
Cl A9
3.220%, 06/15/10 1,884 1,882
Citibank Credit Card Issuance Trust,
Ser 2007-A8, Cl A8
5.650%, 09/20/19 2,419 2,400
Discover Card Master Trust I,
Ser 2003-1, Cl A3 (F)
5.893%, 10/15/07 505 505
Discover Card Master Trust,
Ser 2007-A1, Cl A1
5.650%, 03/16/20 6,906 6,894
MBNA Credit Card Master Note Trust,
Ser 2003-A7, Cl A7
2.650%, 11/15/10 1,361 1,339
--------------
13,531
--------------
MORTGAGE RELATED SECURITIES -- 23.3%
ABS Home Equity Loan Trust,
Ser 2001-HE3, Cl A1 (F)
6.293%, 10/15/07 533 525
ABFS Mortgage Loan Trust,
Ser 2002-1, Cl A5
6.510%, 12/15/32 44 45
AFC Home Equity Loan Trust,
Ser 1998-1, Cl 1A2 (F)
5.590%, 10/01/07 109 107
AFC Home Equity Loan Trust,
Ser 2000-1, Cl 2A (F)
5.371%, 10/25/07 5,140 4,986
Aames Mortgage Investment Trust,
Ser 2005-4, Cl B2 (F)
7.881%, 10/12/07 780 497
- --------------------------------------------------------------------------------
158 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Ace Securities, Ser 2003-OP1,
Cl M1 (F)
6.020%, 10/26/07 $ 1,000 $ 977
Ace Securities, Ser 2005-HE7,
Cl A1B2 (F)
5.620%, 10/27/07 1,263 1,228
Adjustable Rate Mortgage NIM Trust,
Ser 2005-4, Cl A
5.500%, 12/27/35 207 72
Adjustable Rate Mortgage Trust,
Ser 2005-8, Cl 4A11 (F)
5.436%, 10/01/07 11,493 11,328
Aegis Asset-Backed Securities Trust,
Ser 2003-3, Cl M1 (F)
6.020%, 10/25/07 151 136
American Home Mortgage Investment
Trust, Ser 2004-1, Cl 4A (F)
3.280%, 10/25/07 535 521
American Home Mortgage Investment
Trust, Ser 2004-4, Cl 4A (F)
4.390%, 10/01/07 2,386 2,357
American Home Mortgage Investment
Trust, Ser 2005-1, Cl 6A (F)
5.294%, 10/25/07 6,920 6,853
American Home Mortgage Investment
Trust, Ser 2005-4, Cl 5A (F)
5.350%, 10/25/07 6,125 6,055
American Tower Trust,
Ser 2007-1A, Cl AFX
5.420%, 04/15/37 1,749 1,719
Ameriquest Mortgage Securities,
Ser 2003-2, Cl M1 (F)
6.670%, 10/25/07 1,424 1,315
Argent Securities, Ser 2003-W5,
Cl M1 (F)
6.020%, 10/25/07 600 581
Argent Securities, Ser 2003-W9,
Cl M1 (F)
6.010%, 10/26/07 1,287 1,251
Asset-Backed Funding Certificates,
Ser 2003-WF1, Cl A2 (F)
6.070%, 10/25/07 2,506 2,482
Asset-Backed Funding Certificates,
Ser 2005-AQ1, Cl A2 (G)
4.300%, 06/25/35 1,795 1,765
Asset-Backed Securities Home Equity
Loan Trust, Ser 2003-HE4, Cl M2 (F)
7.753%, 10/15/07 544 508
Asset-Backed Securities Home Equity
Loan Trust, Ser 2003-HE5, Cl M1 (F)
6.361%, 10/15/07 1,733 1,670
BNC Mortgage Loan Trust,
Ser 2007-1, Cl M1 (F)
5.560%, 10/25/07 6,300 5,401
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Banc of America Commercial Mortgage
Securities, Ser 2002-PB2, Cl B
6.309%, 06/11/35 $ 659 $ 688
Banc of America Commercial Mortgage
Securities, Ser 2003-1, Cl A2 (F)
4.648%, 10/01/07 723 703
Banc of America Commercial Mortgage
Securities, Ser 2004-1, Cl A4
4.760%, 11/10/39 794 766
Banc of America Commercial Mortgage
Securities, Ser 2004-2, Cl A5
4.580%, 10/01/07 294 281
Banc of America Commercial Mortgage
Securities, Ser 2005-3, Cl A4
4.668%, 07/10/43 11,300 10,728
Banc of America Commercial Mortgage
Securities, Ser 2005-4, Cl A5A
4.933%, 10/01/07 290 280
Banc of America Commercial Mortgage
Securities, Ser 2005-5, Cl A4
5.115%, 10/10/45 309 302
Banc of America Commercial Mortgage
Securities, Ser 2005-6, Cl A4
5.353%, 10/01/07 2,079 2,055
Banc of America Commercial Mortgage
Securities, Ser 2006-2, Cl A1 (F)
5.611%, 05/10/45 2,513 2,537
Banc of America Commercial Mortgage
Securities, Ser 2006-4, Cl AM
5.675%, 07/10/46 8,370 8,317
Banc of America Commerical Mortgage
Securities, Ser 2007-3, Cl A4
5.838%, 06/10/49 12,260 12,322
Banc of America Funding,
Ser 2003-1, Cl A1
6.000%, 05/20/33 108 106
Banc of America Funding,
Ser 2005-B, Cl 2A1 (F)
5.099%, 10/01/07 5,927 5,909
Banc of America Mortgage Securities,
Ser 2003-1, Cl 2A4
5.000%, 02/25/18 5,483 5,347
Bear Stearns Adjustable Rate Mortgage
Trust, Ser 2004-2, Cl 24A
5.327%, 10/01/07 5,655 5,436
Bear Stearns Asset-Backed Securities,
Ser 2000-2, Cl M2 (G)
8.280%, 08/25/30 8,000 7,667
Bear Stearns Asset-Backed Securities,
Ser 2003-1, Cl A1 (F)
5.820%, 10/25/07 4,926 4,797
Bear Stearns Asset-Backed Securities,
Ser 2006-HE1, Cl 2A1 (F)
5.410%, 10/27/07 2,289 2,280
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 159
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Bear Stearns Asset-Backed Securities,
Ser 2007-AQ2, Cl A1 (F)
5.420%, 10/31/07 $ 7,015 $ 6,971
Bear Stearns Asset-Backed Securities,
Ser 2007-HE2, Cl 1A1 (F)
5.420%, 10/31/07 13,064 12,998
Bear Stearns Commercial Mortgage
Securities, Ser 2004-ESA, Cl C
4.937%, 05/14/16 2,426 2,436
Bear Stearns Commercial Mortgage
Securities, Ser 2004-PWR6, Cl A6
4.825%, 11/11/41 333 321
Bear Stearns Commercial Mortgage
Securities, Ser 2005-T18, Cl A4 (F)
4.933%, 10/01/07 1,318 1,272
Bear Stearns Commercial Mortgage
Securities, Ser 2007-PW15, Cl A3
5.309%, 02/11/44 1,325 1,305
Chase Commercial Mortgage Securities,
Ser 2000-3, Cl A2
7.319%, 10/15/32 2,575 2,709
Chase Funding Mortgage Loan,
Ser 2002-1, Cl 2A2 (F)
5.631%, 10/25/07 1,862 1,841
Chase Funding Mortgage Loan,
Ser 2003-6, Cl 1A3
3.340%, 05/25/26 1,097 1,082
Chase Mortgage Finance,
Ser 2005-A1, Cl 2A3 (F)
5.239%, 10/01/07 12,400 12,351
Citicorp Residential Mortgage Securities,
Ser 2006-1, Cl A2 (G)
5.682%, 07/25/36 1,236 1,227
Citicorp Residential Mortgage Securities,
Ser 2006-2, Cl A2 (G)
5.557%, 10/01/07 1,163 1,153
Citigroup Commercial Mortgage Trust,
Ser 2004-CA, Cl C (F)
5.529%, 10/01/07 774 755
Citigroup Mortgage Loan Trust,
Ser 2005-11, Cl A3
4.900%, 10/01/07 10,720 10,431
Citigroup Mortgage Loan Trust,
Ser 2006-FX1, Cl A1 (F)
5.420%, 10/31/07 1,680 1,677
Citigroup Mortgage Loan Trust,
Ser 2007-AHL1, Cl A2A (F)
5.171%, 10/25/07 1,501 1,489
Commercial Mortgage Asset Trust,
Ser 1999-C2, Cl A2
7.546%, 11/17/32 5,541 5,720
Commercial Mortgage Pass-Through
Certificate, Ser 1999-1, Cl E (F)
7.223%, 10/01/07 2,734 2,764
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Commercial Mortgage Pass-Through
Certificate, Ser 2000-C1, Cl C
7.706%, 08/15/33 $ 391 $ 417
Commercial Mortgage Pass-Through
Certificate, Ser 2004-LB3A, Cl B (F)
5.443%, 10/01/07 1,172 1,138
Commercial Mortgage Pass-Through
Certificate, Ser 2005-C6, Cl A3 (F)
5.144%, 10/10/07 12,000 11,916
Conseco Finance Home Loan Trust,
Ser 2000-E, Cl M1
8.130%, 08/15/31 2,077 1,989
Conseco Finance Securitization,
Ser 2000-4, Cl A6
8.310%, 05/01/32 1,487 1,260
Conseco Finance, Ser 2001-D, Cl A5 (G)
6.190%, 11/15/32 2,346 2,347
Contimortgage Home Equity Loan Trust,
Ser 1997-1, Cl A9
7.050%, 03/15/28 66 66
Contimortgage Home Equity Loan Trust,
Ser 1997-2, Cl A9
7.090%, 04/15/28 90 90
Countrywide Alternative Loan Trust,
Ser 2003-20CB, Cl 1A1
5.500%, 10/25/33 1,782 1,736
Countrywide Alternative Loan Trust,
Ser 2004-J1, Cl 1A1
6.000%, 02/25/34 1,033 1,022
Countrywide Alternative Loan Trust,
Ser 2005-27, Cl 3A2 (F)
6.105%, 10/01/07 779 757
Countrywide Alternative Loan Trust,
Ser 2005-56, Cl 4A1 (F)
5.441%, 10/25/07 9,102 8,810
Countrywide Alternative Loan Trust,
Ser 2005-59, Cl 1A1 (F)
5.868%, 10/20/07 11,119 10,882
Countrywide Alternative Loan Trust,
Ser 2005-59, Cl 2X, IO (E) (H)
1.598%, 10/01/07 22,479 769
Countrywide Alternative Loan Trust,
Ser 2006-OA2, Cl X1P, IO (H)
2.686%, 05/20/46 36,366 1,598
Countrywide Alternative Loan Trust,
Ser 2006-OC6, Cl 2A1 (F)
5.201%, 10/25/07 2,129 2,125
Countrywide Asset-Backed Certificates,
Ser 2003-BC2, Cl 2A1 (F)
5.731%, 10/25/07 38 36
Countrywide Asset-Backed Certificates,
Ser 2004-14, Cl A4 (F)
5.785%, 10/25/07 1,296 1,206
- --------------------------------------------------------------------------------
160 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Asset-Backed Certificates,
Ser 2005-15, Cl 1AF1 (F)
5.460%, 10/25/07 $ 3,974 $ 3,969
Countrywide Asset-Backed Certificates,
Ser 2006-IM1, Cl A1 (F)
5.410%, 10/27/07 217 217
Countrywide Asset-Backed Certificates,
Ser 2006-S1, Cl A2
5.549%, 08/25/21 2,572 2,552
Countrywide Asset-Backed Certificates,
Ser 2007-3, Cl 2A1 (F)
5.231%, 10/25/07 660 655
Countrywide Asset-Backed Certificates,
Ser 2007-S2, Cl A2
5.649%, 05/25/37 3,354 3,323
Countrywide Asset-Backet Certificates,
Ser 2006-10, Cl MV1
5.580%, 10/25/07 10,450 9,392
Countrywide Home Equity Loan Trust,
Ser 2004-K, Cl A2 (F)
6.053%, 10/15/07 1,667 1,650
Countrywide Home Equity Loan Trust,
Ser 2005-F, Cl 2A (F)
5.851%, 10/15/07 6,275 6,208
Countrywide Home Equity Loan Trust,
Ser 2005-H, Cl 2A (F)
5.993%, 10/15/07 5,276 5,203
Countrywide Home Equity Loan Trust,
Ser 2005-M, Cl A2 (F)
5.873%, 10/15/07 4,138 4,138
Countrywide Home Equity Loan Trust,
Ser 2007-GW, Cl A
5.900%, 10/17/07 18,286 18,177
Countrywide Home Loans,
Ser 2005-HY10, Cl 1A1 (F)
5.297%, 10/01/07 2,435 2,478
Countrywide Home Loans,
Ser 2005-HYB9, Cl 1A1 (F)
5.150%, 10/01/07 1,403 1,408
Countrywide Home Loans,
Ser 2005-HYB9, Cl 1A2 (F)
5.150%, 10/01/07 305 301
Countrywide Home Loans,
Ser 2005-R3, Cl AF (F)
5.531%, 10/25/07 6,998 6,836
Countrywide Home Loans,
Ser 2006-HYB1, Cl 1A1 (F)
5.358%, 10/20/07 3,338 3,324
Credit Suisse First Boston Mortgage
Securities, Ser 1998-C2, Cl A2
6.300%, 11/15/30 10,246 10,333
Credit Suisse First Boston Mortgage
Securities, Ser 2001-MH29, Cl A (G)
5.600%, 09/25/31 1,218 1,214
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Credit Suisse First Boston Mortgage
Securities, Ser 2002-CKS4, Cl A2
5.183%, 11/15/36 $ 17,371 $ 17,328
Credit Suisse First Boston Mortgage
Securities, Ser 2003-AR24, Cl 2A4 (F)
4.021%, 10/01/07 10,596 10,471
Credit Suisse First Boston Mortgage
Securities, Ser 2003-C4, Cl A4
5.137%, 08/15/36 1,339 1,326
Credit Suisse First Boston Mortgage
Securities, Ser 2004-C5, Cl A4 (F)
4.829%, 10/15/07 1,815 1,745
Credit Suisse First Boston Mortgage
Securities, Ser 2005-C1, Cl AAB (F)
4.815%, 10/01/07 589 580
Credit Suisse First Boston Mortgage
Securities, Ser 2005-C2, Cl A4
4.832%, 04/15/37 588 564
Criimi Mae Commercial Mortgage,
Ser 1998-C1, Cl A2
7.000%, 06/02/33 3,326 3,302
DLJ Commercial Mortgage,
Ser 1999-CG1, Cl A1B
6.460%, 03/10/32 4,727 4,794
DSLA Mortgage Loan Trust,
Ser 2004-AR2, Cl A2B (F)
5.903%, 10/19/07 4,850 4,754
DSLA Mortgage Loan Trust,
Ser 2004-AR3, Cl B2 (F)
6.420%, 10/20/07 722 599
Duke Funding, Ser 2004-6B,
Cl A1S1 (C) (F) (K)
5.430%, 10/09/07 8,578 8,578
EMC Mortgage Loan Trust,
Ser 2002-AA, Cl A1 (F)
5.601%, 10/25/07 2,011 1,983
Equivantage Home Equity Loan Trust,
Ser 1997-2, Cl A3 (G)
7.775%, 10/01/07 199 198
FFCA Secured Lending, Ser 1999-1A,
IO (F)
1.427%, 10/01/07 9,306 387
First Franklin Mortgage Loan Asset-
Backed Securities, Ser 2004-FF10,
Cl A2 (F)
5.905%, 10/26/07 152 151
First Franklin Mortgage Loan Asset-
Backed Securities, Ser 2004-FF11,
Cl 1A2 (F)
5.670%, 10/25/07 233 230
First Franklin Mortgage Loan Asset-
Backed Securities, Ser 2005-FF10,
Cl A4 (F)
5.640%, 10/25/07 8,400 7,899
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 161
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
First Franklin Mortgage Loan Asset-
Backed Securities, Ser 2005-FF9,
Cl A3 (F)
5.600%, 10/25/07 $ 9,500 $ 9,226
First Franklin Mortgage Loan Asset-
Backed Securities, Ser 2005-FFH4,
Cl N1
5.682%, 12/25/35 30 23
First Franklin Mortgage Loan,
Ser 2006-FFA, Cl A3 (F)
5.251%, 10/25/07 7,001 6,170
First Horizon ABS Trust,
Ser 2004-HE2, Cl A (F)
5.351%, 10/25/07 2,362 2,336
First Union National Bank,
Ser 2001-C4, Cl B
6.417%, 12/12/33 809 847
First Union-Lehman Brothers
Commercial Mortgage,
Ser 1998-C2, Cl A2
6.560%, 11/18/35 2,441 2,446
Fleet Home Equity Trust,
Ser 2001-1, Cl A (F)
5.748%, 10/01/07 133 130
Fund America Investors,
Ser 1993-A, Cl A2 (F)
6.509%, 10/01/07 332 331
GE Capital Commercial Mortgage,
Ser 2001-2, Cl A3
6.030%, 08/11/33 729 739
GE Capital Commercial Mortgage,
Ser 2002-1A, Cl A3
6.269%, 12/10/35 5,610 5,846
GE Capital Commercial Mortgage,
Ser 2002-3A, Cl A2
4.996%, 12/10/37 12,500 12,407
GE Capital Commercial Mortgage,
Ser 2004-C3, Cl A4 (F)
5.189%, 10/01/07 2,067 2,034
GE Capital Commercial Mortgage,
Ser 2005-C3, Cl A7A
4.974%, 10/01/07 2,767 2,679
GE Capital Commercial Mortgage,
Ser 2005-C4, Cl A3A (F)
5.512%, 10/01/07 13,025 13,070
GE Capital Commercial Mortgage,
Ser 2006-C1, Cl A3 (F)
5.519%, 10/01/07 2,845 2,835
GE Capital Commercial Mortgage,
Ser 2007-C1, Cl A4 (F)
5.543%, 10/01/07 1,510 1,500
GMAC Commercial Mortgage Securities,
Ser 1998-C1, Cl A2
6.700%, 05/15/30 4,608 4,616
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GMAC Commercial Mortgage Securities,
Ser 1999-C2, Cl A2
6.945%, 09/15/33 $ 234 $ 240
GMAC Commercial Mortgage Securities,
Ser 2004-C1, Cl A1
3.118%, 03/10/38 432 426
GMAC Commercial Mortgage Securities,
Ser 2004-C2, Cl A1
3.896%, 08/10/38 148 146
GMAC Commercial Mortgage Securities,
Ser 2006-C1, Cl A4 (F)
5.238%, 10/01/07 4,800 4,717
GMAC Mortgage Loan Trust,
Ser 2004-HE4, Cl A1VN (F)
5.785%, 10/25/07 436 436
GMAC Mortgage Loan Trust,
Ser 2005-HE3, Cl A1VN (F)
5.765%, 10/25/07 10,419 10,211
GMAC Mortgage Loan Trust,
Ser 2007-HE1, Cl A2
5.621%, 08/25/37 4,497 4,453
GS Mortgage Securities,
Ser 1998-C1, Cl B
6.970%, 10/18/30 1,189 1,204
GS Mortgage Securities,
Ser 1998-GLII, Cl A2
6.562%, 04/13/31 1,617 1,620
GS Mortgage Securities,
Ser 2004-GG2, Cl A6
5.396%, 08/10/38 544 541
GS Mortgage Securities,
Ser 2005-GG4, Cl A4A
4.751%, 07/10/39 6,500 6,203
GS Mortgage Securities,
Ser 2005-GG4, Cl AABA
4.680%, 07/10/39 350 340
GS Mortgage Securities,
Ser 2006-GG6, Cl AM (F)
5.622%, 04/10/38 4,300 4,265
GS Mortgage Securities,
Ser 2007-GG10, Cl A4
5.993%, 08/10/45 11,575 11,772
GSAA Home Equity Trust,
Ser 2006-2, Cl 2A1 (F)
5.605%, 10/27/07 6,596 6,579
GSMPS Mortgage Loan Trust,
Ser 1998-1, Cl A
8.000%, 09/19/27 90 96
GSR Mortgage Loan Trust,
Ser 2003-13, Cl 1A1 (F)
4.498%, 10/01/07 7,351 7,176
General Electric Capital Assurance,
Ser 2003-1, Cl A4
5.254%, 05/12/35 7,530 7,499
- --------------------------------------------------------------------------------
162 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Greenwich Capital Commercial Funding,
Ser 2005-GG3, Cl AAB
4.619%, 08/10/42 $ 6,305 $ 6,139
HSI Asset Securitization Trust,
Ser 2005-I1, Cl 2A3 (F)
5.615%, 10/27/07 8,000 7,515
HSI Asset Securitization Trust,
Ser 2005-NC1, Cl 2A4 (F)
5.640%, 10/25/07 903 886
Harborview Mortgage Loan Trust,
Ser 2005-01, Cl X, IO (E) (H)
1.670%, 10/01/07 17,460 306
Harborview Mortgage Loan Trust,
Ser 2005-10, Cl X, IO (F) (H)
1.401%, 10/01/07 26,954 615
Harborview Mortgage Loan Trust,
Ser 2005-12, Cl X2B, IO (F) (H)
1.210%, 10/01/07 23,476 466
Harborview Mortgage Loan Trust,
Ser 2007-3, Cl 2A1A (F)
5.520%, 10/19/07 16,084 15,752
Heller Financial Commercial Mortgage,
Ser 1999-PH1, Cl C (F)
7.024%, 10/15/07 250 256
Home Equity Asset Trust NIM,
Ser 2005-5N, Cl A
5.500%, 12/27/35 499 25
Home Equity Asset Trust,
Ser 2003-4, Cl M2 (F)
7.720%, 10/25/07 1,275 1,239
Impac Secured Assets CMO Owners
Trust, Ser 2006-3, Cl A4 (F)
5.410%, 10/27/07 6,635 6,586
Impac Secured Assets CMO Owners
Trust, Ser 2007-1, Cl A1 (F)
5.380%, 10/25/07 17,937 17,895
Indymac INDA Mortgage Loan Trust,
Ser 2005-AR2, Cl 1A1 (F)
4.887%, 10/01/07 639 638
Indymac INDA Mortgage Loan Trust,
Ser 2007-AR7, Cl 1A1
6.867%, 11/01/37 2,480 2,479
Indymac Index Mortgage Loan Trust,
Ser 2004-AR12, Cl AX2, IO (E) (H)
1.195%, 10/01/07 12,559 234
Indymac Seconds Asset-Backed Trust,
Ser 2006-A, Cl A (F)
5.261%, 10/25/07 3,562 2,925
JPMorgan Chase Commercial Mortgage,
Ser 2001-CIB2, Cl A3
6.429%, 04/15/35 5,170 5,395
JPMorgan Chase Commercial Mortgage,
Ser 2002-C2, Cl A2
5.050%, 12/12/34 3,215 3,190
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
JPMorgan Chase Commercial Mortgage,
Ser 2002-CIB5, Cl A2
5.161%, 10/12/37 $ 590 $ 588
JPMorgan Chase Commercial Mortgage,
Ser 2003-CB7, Cl A4 (F)
4.879%, 10/12/07 1,093 1,067
JPMorgan Chase Commercial Mortgage,
Ser 2005-CB11, Cl ASB
5.201%, 08/12/37 878 874
JPMorgan Chase Commercial Mortgage,
Ser 2005-CB12, Cl A4
4.895%, 09/12/37 680 655
JPMorgan Chase Commercial Mortgage,
Ser 2005-CB13, Cl AM (F)
5.513%, 10/01/07 582 571
JPMorgan Chase Commercial Mortgage,
Ser 2005-LDP2, Cl A1
4.334%, 07/15/42 106 105
JPMorgan Chase Commercial Mortgage,
Ser 2005-LDP3, Cl ASB
4.893%, 08/15/42 1,171 1,147
JPMorgan Chase Commercial Mortgage,
Ser 2005-LDP4, Cl A4 (F)
4.918%, 10/01/07 3,700 3,567
JPMorgan Chase Commercial Mortgage,
Ser 2006-CB17, Cl ASB
5.415%, 10/01/07 2,253 2,237
JPMorgan Chase Commercial Mortgage,
Ser 2007-CB18, Cl A4
5.440%, 10/01/07 11,000 10,849
JPMorgan Chase Commercial Mortgage,
Ser 2007-LD11, Cl AM
6.007%, 10/01/07 3,836 3,858
JPMorgan Mortgage Trust,
Ser 2005-A3, Cl 11A2 (F)
4.491%, 10/25/07 12,385 11,692
JPMorgan Mortgage Trust,
Ser 2006-A2, Cl 2A2 (F)
5.754%, 10/01/07 12,600 12,604
JPMorgan Mortgage Trust,
Ser 2006-A3, Cl 3A4 (F)
5.742%, 10/01/07 13,560 13,580
LB Commercial Conduit Mortgage Trust,
Ser 1999-C2, Cl B
7.425%, 10/15/32 378 395
LB-UBS Commercial Mortgage Trust,
Ser 2002-C2, Cl A4
5.594%, 06/15/31 7,367 7,492
LB-UBS Commercial Mortgage Trust,
Ser 2003-C5, Cl A2
3.478%, 07/15/27 1,000 987
LB-UBS Commercial Mortgage Trust,
Ser 2003-C8, Cl A4
5.124%, 11/15/32 893 883
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 163
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
LB-UBS Commercial Mortgage Trust,
Ser 2005-C7, Cl AM (F)
5.263%, 10/11/07 $ 662 $ 644
LB-UBS Commercial Mortgage Trust,
Ser 2007-C2, Cl AM
5.493%, 10/11/07 1,753 1,715
Lehman XS Trust, Ser 2005-5N,
Cl M4 (F)
7.070%, 10/31/07 1,800 1,264
Long Beach Mortgage Loan Trust,
Ser 2006-WL1, Cl 1A3 (F)
5.650%, 10/27/07 1,307 1,231
MLCC Mortgage Investors,
Ser 2004-B, Cl A3 (F)
7.034%, 10/01/07 1,347 1,381
Master Asset-Backed Securities Trust,
Ser 2005-AB1, Cl A1B (G)
5.143%, 10/01/07 281 279
Master Asset-Backed Securities,
Ser 2006-AB1, Cl A1 (F)
5.645%, 10/27/07 7,119 7,084
Master Reperforming Loan Trust,
Ser 2005-1, Cl 1A1
6.000%, 08/25/34 4,640 4,631
Master Seasoned Securities Trust,
Ser 2004-2, Cl A2
6.500%, 08/25/32 4,879 4,966
Merrill Lynch First Franklin Mortgage
Loan Trust, Ser 2007-1, Cl M1 (F)
5.700%, 10/27/07 2,084 1,838
Merrill Lynch Mortgage Investors Trust,
Ser 2003-OPT1, Cl A3 (F)
5.680%, 07/25/34 1,227 1,189
Merrill Lynch Mortgage Investors Trust,
Ser 2004-A1, Cl 4A (F)
5.322%, 10/01/07 7,403 7,346
Merrill Lynch Mortgage Investors Trust,
Ser 2005-SL3, Cl A1 (F)
5.550%, 10/10/07 1,268 1,254
Merrill Lynch Mortgage Investors Trust,
Ser 2006-WMC2, Cl A2D (G)
5.895%, 10/25/07 5,200 5,185
Merrill Lynch Mortgage Investors,
Ser 2007-SL1, Cl A1 (F)
5.620%, 10/11/07 7,841 7,707
Merrill Lynch Mortgage Trust,
Ser 2004-BPC1, Cl A5
4.855%, 10/12/41 2,431 2,344
Merrill Lynch Mortgage Trust,
Ser 2004-MKB1, Cl B
5.280%, 02/12/42 465 458
Merrill Lynch Mortgage Trust,
Ser 2005-CIP1, Cl AM (F)
5.107%, 10/01/07 563 542
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Merrill Lynch Mortgage Trust,
Ser 2005-LC1, Cl A4 (F)
5.291%, 10/01/07 $ 2,066 $ 2,043
Merrill Lynch Mortgage Trust,
Ser 2005-MCP1, Cl A4 (F)
4.747%, 06/12/43 3,780 3,603
Merrill Lynch/Countrywide Commercial
Mortgage Trust, Ser 2006-4, Cl ASB
5.133%, 12/12/49 3,136 3,066
Merrill Lynch/Countrywide Commercial
Mortgage Trust, Ser 2007-5, Cl A4
5.378%, 08/12/48 1,270 1,248
Merrill Lynch/Countrywide Commercial
Mortgage Trust, Ser 2007-6, Cl AM
5.526%, 10/01/07 2,411 2,362
Morgan Stanley Capital I,
Ser 2003-IQ5, Cl A4 (F)
5.010%, 10/01/07 2,161 2,134
Morgan Stanley Capital I,
Ser 2003-NC8, Cl M1 (F)
6.205%, 10/27/07 2,200 2,119
Morgan Stanley Capital I,
Ser 2004-HQ3, Cl D
4.900%, 01/13/41 124 120
Morgan Stanley Capital I,
Ser 2004-T13, Cl B
4.760%, 09/13/45 578 556
Morgan Stanley Capital I,
Ser 2005-HQ5, Cl AAB
5.037%, 01/14/42 1,700 1,683
Morgan Stanley Capital I,
Ser 2005-HQ6, Cl A4A
4.989%, 08/13/42 5,600 5,426
Morgan Stanley Capital I,
Ser 2005-HQ7, Cl AAB (F)
5.351%, 10/01/07 2,806 2,796
Morgan Stanley Capital I,
Ser 2006-WMC1, Cl A2A (F)
5.390%, 10/25/07 202 201
Morgan Stanley Capital I,
Ser 2007-HE2, Cl A2A (F)
5.360%, 10/25/07 711 706
Morgan Stanley Capital I,
Ser 2007-IQ14, Cl A4
5.692%, 04/15/49 13,680 13,704
Morgan Stanley Dean Witter Capital,
Ser 2000-LIFE, Cl A2
7.570%, 11/15/36 3,044 3,178
Morgan Stanley Dean Witter Capital,
Ser 2002-IQ2, Cl A3
5.520%, 12/15/35 906 910
Morgan Stanley Dean Witter Capital,
Ser 2003-NC4, Cl M2 (F)
8.320%, 10/25/07 247 241
- --------------------------------------------------------------------------------
164 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Morgan Stanley Home Equity Loans,
Ser 2007-1, Cl A1 (F)
5.370%, 10/25/07 $ 672 $ 668
Morgan Stanley Mortgage Loan Trust,
Ser 2007-6XS, Cl 2A1S (F)
5.430%, 10/25/07 637 636
Mortgage Capital Funding,
Ser 1998-MC2, Cl A2
6.423%, 06/18/30 2,793 2,793
New Century Home Equity Loan Trust,
Ser 2003-B, Cl M1 (F)
5.970%, 10/27/07 1,917 1,780
New Century Home Equity Loan Trust,
Ser 2004-A, Cl AII3 (F)
4.450%, 10/01/07 667 664
New Century Home Equity Loan Trust,
Ser 2005-A, Cl A2 (G)
4.461%, 10/25/07 3,117 3,092
Novastar Home Equity Loan,
Ser 2007-1, Cl A2A1 (F)
5.420%, 10/31/07 13,417 13,266
Option One Mortgage Loan Trust,
Ser 2001-4, Cl A (F)
5.731%, 10/25/07 532 524
Option One Mortgage Loan Trust,
Ser 2003-5, Cl M1 (F)
5.970%, 10/23/07 1,019 975
Option One Mortgage Loan Trust,
Ser 2006-1, Cl M10 (F)
7.820%, 10/27/07 130 75
Option One Mortgage Loan Trust,
Ser 2006-1, Cl M11 (F)
7.820%, 10/27/07 280 120
Option One Mortgage Securities,
Ser 2005-3A, Cl N1
5.438%, 08/26/35 263 231
Orchid Structured Finance CDO,
Ser 2003-1A, Cl A1MM (F)
5.510%, 11/18/07 4,916 4,916
Ownit Mortgage Loan Asset-Backed
Securities Trust, Ser 2006-1,
Cl AF1 (G)
5.424%, 12/25/36 7,065 6,989
Ownit Mortgage Loan NIM Trust,
Ser 2005-5A, Cl N1
5.500%, 10/25/36 32 30
Residential Accredit Loans,
Ser 2006-Q01, Cl 2A3 (F)
5.720%, 10/27/07 770 756
Residential Asset Mortgage Products,
Ser 2003-RS11, Cl MII1 (F)
6.050%, 10/25/07 188 178
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Residential Asset Mortgage Products,
Ser 2003-RS2, Cl AII (F)
5.471%, 10/25/07 $ 90 $ 89
Residential Asset Mortgage Products,
Ser 2003-RS7, Cl AI6 (F)
5.340%, 10/01/07 675 659
Residential Asset Mortgage Products,
Ser 2004-SL1, Cl A8
6.500%, 11/25/31 3,023 3,061
Residential Asset Mortgage Products,
Ser 2007-RS1, Cl A1 (F)
5.400%, 10/09/07 5,738 5,696
Residential Asset Securities,
Ser 2006-EMX2, Cl A1 (F)
5.585%, 10/27/07 2,092 2,085
Residential Asset Securitization Trust,
Ser 2004-IP2, Cl 2A1 (F)
5.252%, 10/01/07 3,625 3,616
Residential Funding Mortgage Securities,
Ser 2000-HI1, Cl AI7 (G)
8.290%, 02/25/25 2,942 2,932
Residential Funding Mortgage Securities,
Ser 2005-HS1, Cl AI1 (F)
5.251%, 10/25/07 3,941 3,917
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2A (C) (F)
5.420%, 10/25/07 7,058 7,013
SB Finance NIM Trust,
Ser 2005-HE3, Cl N1 (C)
4.750%, 09/25/35 563 169
SLM Student Loan Trust,
Ser 2006-C, Cl C (F)
5.750%, 12/28/07 4,000 3,724
Sail NIM Notes, Ser 2005-11A, Cl A
7.500%, 01/27/36 313 38
Salomon Brothers Mortgage Securities
VII, Ser 2001-C2, Cl A3
6.499%, 10/13/11 5,750 6,015
Sharps SP I LLC NIM Trust,
Ser 2005-HE5N, Cl A1 (C)
5.800%, 08/25/35 309 124
Sharps SP I LLC NIM Trust,
Ser 2005-WF1N, Cl NA (C)
6.150%, 05/25/35 6 4
Soundview Home Equity Loan Trust,
Ser 2005-OPT4, Cl M8 (F)
8.010%, 10/25/07 500 252
Start, Ser 2003-1, Cl X (E)
4.130%, 10/21/07 4,946 4,946
Start, Ser 2003-2, Cl X (E)
4.600%, 10/21/07 4,951 4,948
Structured Adjustable Rate Mortgage
Loan, Ser 2005-19XS, Cl 1A1 (F)
5.451%, 10/26/07 2,522 2,458
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 165
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Structured Adjustable Rate Mortgage
Loan, Ser 2007-7, Cl 2AS2
5.750%, 10/01/07 $ 13,441 $ 13,372
Structured Asset Investment Loan,
Ser 2003-BC4, Cl M2 (F)
8.320%, 10/25/07 241 224
Structured Asset Securities,
Ser 2004-19XS, Cl A2 (G)
4.370%, 10/01/07 693 690
Structured Asset Securities,
Ser 2005-17, Cl 5A1 (F)
5.500%, 10/01/07 3,737 3,639
Structured Asset Securities,
Ser 2006-GEL4, Cl A1 (F)
5.440%, 10/27/07 4,940 4,899
Terwin Mortgage Trust,
Ser 2005-9HGS, Cl A1 (F)
4.000%, 10/01/07 1,903 1,881
Terwin Mortgage Trust,
Ser 2006-2HGS, Cl A1 (F)
4.500%, 03/25/37 6,747 6,425
Terwin Mortgage Trust,
Ser 2006-4SL, Cl A1 (F)
4.500%, 05/25/37 6,303 5,983
Terwin Mortgage Trust,
Ser 2006-6, Cl A1
4.500%, 07/25/37 5,002 4,665
Terwin Mortgage Trust,
Ser 2006-8, Cl 1A2
5.000%, 10/01/07 4,500 4,328
Terwin Mortgage Trust,
Ser 2006-HF1, Cl A1A
4.500%, 02/25/37 1,609 1,599
Thornburg Mortgage Securities Trust,
Ser 2005-3, Cl 2A1 (F) (J)
5.371%, 10/25/07 12,988 12,957
Thornburg Mortgage Securities Trust,
Ser 2006-1, Cl A3 (F)
5.301%, 10/01/07 22,036 21,926
Thornburg Mortgage Securities Trust,
Ser 2006-3, Cl A2 (F)
5.236%, 10/25/07 13,881 13,796
Thornburg Mortgage Securities Trust,
Ser 2006-3, Cl A3 (F)
5.241%, 10/25/07 14,277 14,187
Thornburg Mortgage Securities Trust,
Ser 2007-4, Cl 2A1
6.240%, 08/30/37 7,434 7,435
6.228%, 10/01/07 6,792 6,724
US Bank National Mortgage Association,
Ser 2001-1, Cl A
5.920%, 05/25/12 4,735 4,835
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Wachovia Bank Commercial Mortgage
Trust, Ser 2002-C1A, Cl A4
6.287%, 04/15/34 $ 1,543 $ 1,610
Wachovia Bank Commercial Mortgage
Trust, Ser 2002-C2, Cl A4
4.980%, 11/15/34 1,816 1,794
Wachovia Bank Commercial Mortgage
Trust, Ser 2003-C6, Cl A3
4.957%, 08/15/35 737 735
Wachovia Bank Commercial Mortgage
Trust, Ser 2003-C7, Cl A2 (F)
5.077%, 10/01/07 1,690 1,665
Wachovia Bank Commercial Mortgage
Trust, Ser 2003-C8, Cl A3
4.445%, 11/15/35 839 827
Wachovia Bank Commercial Mortgage
Trust, Ser 2003-C9, Cl A4
5.012%, 12/15/35 566 555
Wachovia Bank Commercial Mortgage
Trust, Ser 2003-C9, Cl B (F)
5.109%, 10/01/07 334 329
Wachovia Bank Commercial Mortgage
Trust, Ser 2004-C10, Cl A4
4.748%, 02/15/41 5,127 4,932
Wachovia Bank Commercial Mortgage
Trust, Ser 2004-C11, Cl B (F)
5.306%, 10/01/07 1,641 1,586
Wachovia Bank Commercial Mortgage
Trust, Ser 2004-C12, Cl A4
5.409%, 10/01/07 1,509 1,499
Wachovia Bank Commercial Mortgage
Trust, Ser 2004-C15, Cl B (F)
4.892%, 10/01/07 806 756
Wachovia Bank Commercial Mortgage
Trust, Ser 2005-C19, Cl A6
4.699%, 05/15/44 685 650
Wachovia Bank Commercial Mortgage
Trust, Ser 2005-C20, Cl A7 (F)
5.118%, 10/01/07 1,476 1,443
Wachovia Bank Commercial Mortgage
Trust, Ser 2005-C21, Cl A4 (F)
5.385%, 10/01/07 1,447 1,428
Wachovia Bank Commercial Mortgage
Trust, Ser 2006-C25, Cl AM (F)
5.928%, 10/01/07 450 452
Wachovia Bank Commercial Mortgage
Trust, Ser 2006-C26, Cl APB
5.997%, 06/15/45 2,047 2,094
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2003-MS1, Cl 1A
5.000%, 02/25/18 2,062 2,007
- --------------------------------------------------------------------------------
166 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2003-MS2, Cl 3A1
5.000%, 03/25/18 $ 6,462 $ 6,303
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2005-AR13, Cl A1A1 (F)
5.421%, 10/25/07 5,482 5,360
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2005-AR15, Cl A1A2 (F)
5.411%, 10/25/07 8,151 7,963
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2005-AR16, Cl 1A4A (F)
5.109%, 10/25/07 12,955 12,792
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2005-AR19, Cl A1A2 (F)
5.421%, 10/25/07 7,996 7,843
Wells Fargo Home Equity Trust,
Ser 2004-2, Cl M8B (F)
5.000%, 10/01/07 590 444
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2004-H, Cl A1 (F)
4.525%, 10/01/07 7,923 7,749
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2004-I, Cl B1 (F)
5.839%, 10/01/07 460 462
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2005-17, Cl 1A1 (F)
5.500%, 10/01/07 10,829 10,524
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2006-2, Cl 3A1
5.750%, 03/25/36 2,024 1,974
Zuni Mortgage Loan Trust,
Ser 2006-OA1, Cl A1 (F)
5.261%, 10/25/07 8,138 8,076
--------------
1,076,694
--------------
OTHER ASSET-BACKED SECURITIES -- 2.9%
Bear Stearns Structured Products,
Ser 2007-R10, Cl A1
5.853%, 10/26/07 17,802 17,718
Bear Stearns Structured Products,
Ser 2007-R11, Cl A1A
5.729%, 10/25/07 18,600 18,314
CNH Equipment Trust, Ser 2004-A,
Cl A4A (F)
5.863%, 10/15/07 1,493 1,492
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
California Infrastructure PG&E,
Ser 1997-1, Cl A8
6.480%, 12/26/09 $ 85 $ 85
California Infrastructure SCE,
Ser 1997-1, Cl A7
6.420%, 12/26/09 386 386
Capital One Multi-Asset Execution Trust,
Ser 2007-A7, Cl A7
5.750%, 07/15/20 2,623 2,613
Connecticut RRB Special Purpose Trust,
Ser 2001-1, Cl A5
6.210%, 12/30/11 721 746
Domino's Pizza Master Issuer LLC,
Ser 2007-1, Cl A2
5.261%, 04/25/37 1,743 1,727
Embarcadero Aircraft Securitization,
Ser 2000-A, Cl A1 (F)
6.090%, 10/15/07 4,297 3,653
GSAMP Trust, Ser 2003-SEA, Cl A1 (F)
5.531%, 10/25/07 4,095 3,997
Great America Leasing Receivables,
Ser 2006-1, Cl A3
5.340%, 01/15/10 1,203 1,203
Green Tree Financial,
Ser 1993-4, Cl A5
7.050%, 01/15/19 452 463
Green Tree Financial,
Ser 1996-5, Cl A6
7.750%, 07/15/27 1,311 1,378
Lehman XS Trust,
Ser 2005-5N, Cl 1A1 (F)
5.431%, 10/01/07 6,659 6,527
Lehman XS Trust,
Ser 2007-9, Cl 1A1
5.251%, 10/25/07 14,940 14,897
Long Beach Asset Holdings,
Ser 2005-WL1, Cl N1
5.193%, 06/25/45 164 122
MSCC Heloc Trust,
Ser 2005-1, Cl A (F)
5.321%, 10/25/07 663 650
Master Specialized Loan Trust,
Ser 2007-2, Cl A (F)
5.855%, 10/28/07 12,789 12,533
Mid-State Trust, Ser 11, Cl A1
4.864%, 07/15/38 5,221 4,881
Oncor Electric Delivery Transition Bond,
Ser 2003-1, Cl A2
4.030%, 02/15/12 3,795 3,761
SLC Student Loan Trust, Ser 2006-2,
Cl B (F)
5.580%, 12/19/07 5,250 4,951
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 167
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
SLM Student Loan Trust, Ser 2006-9,
Cl B (F)
5.590%, 10/12/07 $ 4,000 $ 3,836
Saco I Trust, Ser 2005-9, Cl A1 (F)
5.570%, 10/27/07 962 882
Saco I Trust, Ser 2005-WM3, Cl A1 (F)
5.580%, 10/27/07 1,575 1,565
Saco I Trust, Ser 2006-6, Cl A (F)
5.261%, 10/25/07 4,545 4,042
Securitized Asset-Backed Receivables
LLC, Ser 2005-FR4, Cl A3 (F)
5.331%, 10/25/07 236 235
Small Business Administration,
Ser 2003-P10A, Cl 1
4.524%, 02/10/13 3,367 3,290
Structured Asset Securities,
Ser 2007-BC2, Cl A2 (F)
5.410%, 10/25/07 15,414 15,288
TMS SBA Loan Trust, Ser 1999-1,
Cl A (F)
6.050%, 10/15/07 290 278
--------------
131,513
--------------
Total Asset-Backed Securities
(Cost $1,266,739) ($ Thousands) 1,239,553
--------------
CORPORATE OBLIGATIONS -- 21.4%
CONSUMER DISCRETIONARY -- 1.5%
American Achievement
8.250%, 04/01/12 900 895
Boyd Gaming
7.125%, 02/01/16 350 339
6.750%, 04/15/14 570 559
CCH I LLC
11.000%, 10/01/15 740 749
COX Communications
7.875%, 08/15/09 750 784
4.625%, 06/01/13 805 759
CSC Holdings
7.625%, 07/15/18 80 76
Caesars Entertainment
8.125%, 05/15/11 540 551
Cengage Learning Acquisitions (C)
10.500%, 01/15/15 480 474
Clear Channel Communications
6.250%, 03/15/11 2,230 2,044
4.250%, 05/15/09 990 944
Comcast
9.000%, 09/01/08 1,150 1,187
6.500%, 01/15/15 to 01/15/17 1,475 1,523
6.300%, 11/15/17 565 574
5.850%, 11/15/15 465 461
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
5.650%, 06/15/35 $ 1,035 $ 924
5.450%, 11/15/10 525 529
5.300%, 01/15/14 2,340 2,272
Comcast Cable Communications
8.375%, 03/15/13 3,320 3,721
6.750%, 01/30/11 2,310 2,396
Daimler Finance LLC
8.500%, 01/18/31 525 651
7.300%, 01/15/12 1,400 1,493
6.500%, 11/15/13 4,475 4,640
Daimler Finance LLC MTN
5.750%, 09/08/11 905 913
5.710%, 12/08/07 (F) 2,975 2,955
DirecTV Holdings
8.375%, 03/15/13 350 364
Eastman Kodak
7.250%, 11/15/13 2,740 2,719
Echostar DBS
7.125%, 02/01/16 1,970 2,024
Ford Motor
9.215%, 09/15/21 1,000 865
7.450%, 07/16/31 (J) 2,940 2,308
General Motors (J)
8.250%, 07/15/23 3,100 2,712
Hasbro
6.300%, 09/15/17 585 582
Hertz
8.875%, 01/01/14 725 747
Home Depot
5.875%, 12/16/36 735 628
Idearc
8.000%, 11/15/16 1,280 1,277
Inn of the Mountain Gods
12.000%, 11/15/10 1,010 1,066
Lamar Media, Ser B
6.625%, 08/15/15 720 695
MGM Mirage
8.500%, 09/15/10 160 167
7.625%, 01/15/17 1,440 1,426
Mandalay Resort Group (J)
9.500%, 08/01/08 440 450
News America
6.200%, 12/15/34 1,140 1,073
River Rock Entertainment
9.750%, 11/01/11 930 960
Rogers Cable
5.500%, 03/15/14 470 453
Rogers Communications
7.875%, 05/01/12 550 593
6.750%, 03/15/15 1,015 1,043
Service International
7.625%, 10/01/18 340 353
6.750%, 04/01/16 20 19
- --------------------------------------------------------------------------------
168 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Station Casinos (J)
7.750%, 08/15/16 $ 1,495 $ 1,480
Sun Media
7.625%, 02/15/13 470 462
Target
5.375%, 05/01/17 1,110 1,065
Time Warner
7.700%, 05/01/32 3,645 4,002
6.875%, 05/01/12 2,455 2,576
Time Warner Entertainment
8.375%, 07/15/33 1,685 1,976
Tyco Electronics
6.550%, 10/01/17 370 375
Univision Communications PIK (C) (J)
9.750%, 03/15/15 420 410
Viacom
6.875%, 04/30/36 500 498
5.750%, 04/30/11 495 500
Visteon (J)
8.250%, 08/01/10 920 810
--------------
69,091
--------------
CONSUMER STAPLES -- 0.5%
Altria Group
7.750%, 01/15/27 1,720 2,113
7.000%, 11/04/13 235 255
Anheuser-Busch
5.050%, 10/15/16 940 899
CVS Caremark
9.350%, 01/10/23 (C) 8,600 10,524
5.750%, 06/01/17 515 503
Delhaize Group (C)
6.500%, 06/15/17 2,265 2,284
Estee Lauder
5.550%, 05/15/17 1,180 1,160
General Mills
6.000%, 02/15/12 750 767
5.650%, 09/10/12 945 953
Kellogg, Ser B
6.600%, 04/01/11 890 929
Kroger
6.400%, 08/15/17 240 245
Philip Morris Capital
7.500%, 07/16/09 1,750 1,814
Reynolds American
6.750%, 06/15/17 1,260 1,289
Safeway
6.350%, 08/15/17 240 244
Schering-Plough
6.000%, 09/15/17 365 367
--------------
24,346
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ENERGY -- 2.4%
Anadarko Finance, Ser B
7.500%, 05/01/31 $ 3,610 $ 3,932
6.750%, 05/01/11 20 21
Anadarko Petroleum
6.450%, 09/15/36 (J) 5,850 5,759
5.760%, 12/15/07 (F) 4,000 3,977
Canadian Natural Resources
6.250%, 03/15/38 995 960
5.850%, 02/01/35 800 743
5.700%, 05/15/17 980 957
Chesapeake Energy
6.375%, 06/15/15 500 491
Compagnie Generale de Geophysique
7.750%, 05/15/17 110 113
7.500%, 05/15/15 1,205 1,241
Conoco
6.950%, 04/15/29 1,460 1,606
Conoco Funding
7.250%, 10/15/31 530 598
6.350%, 10/15/11 920 959
ConocoPhillips
5.900%, 10/15/32 1,090 1,070
ConocoPhillips Canada
5.625%, 10/15/16 1,280 1,275
Devon Financing
6.875%, 09/30/11 1,295 1,369
Dynegy Holdings (C)
7.750%, 06/01/19 1,485 1,420
El Paso (J)
7.000%, 06/15/17 3,920 3,980
6.950%, 06/01/28 6,750 6,270
El Paso MTN
7.800%, 08/01/31 967 982
7.750%, 01/15/32 1,830 1,858
El Paso Natural Gas (C)
5.950%, 04/15/17 540 527
El Paso Performance-Linked Trust (C)
7.750%, 07/15/11 5,470 5,619
GAZ Capital (C)
6.510%, 03/07/22 3,460 3,425
6.212%, 11/22/16 4,740 4,710
Hess
7.875%, 10/01/29 620 713
7.300%, 08/15/31 4,830 5,295
Husky Energy
6.800%, 09/15/37 1,125 1,154
Husky Oil
7.550%, 11/15/16 845 936
Kansas Gas & Electric
5.647%, 03/29/21 1,460 1,394
Kerr-McGee
7.875%, 09/15/31 820 948
6.950%, 07/01/24 450 466
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 169
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Kinder Morgan Energy Partners
7.125%, 03/15/12 $ 90 $ 95
6.750%, 03/15/11 580 604
6.300%, 02/01/09 570 578
6.000%, 02/01/17 795 786
5.850%, 09/15/12 1,015 1,024
5.000%, 12/15/13 2,735 2,610
Marathon Oil
6.000%, 10/01/17 565 568
OPTI Canada (C)
8.250%, 12/15/14 700 705
7.875%, 12/15/14 880 880
Peabody Energy, Ser B
6.875%, 03/15/13 300 303
Pemex Project Funding Master Trust
6.625%, 06/15/35 1,840 1,896
Petrobras International Finance
6.125%, 10/06/16 5,965 6,011
Pogo Producing (J)
6.875%, 10/01/17 1,000 1,005
Ras Laffan LNG III (C)
6.332%, 09/30/27 1,305 1,263
SemGroup LP (C)
8.750%, 11/15/15 200 196
Shell International Finance
5.200%, 03/22/17 1,265 1,245
Sonat
7.625%, 07/15/11 2,850 2,950
Southern Natural Gas
8.000%, 03/01/32 170 192
5.900%, 04/01/17 (C) 595 579
Suburban Propane Partners
6.875%, 12/15/13 735 717
Tennessee Gas Pipeline
7.625%, 04/01/37 830 901
Tesoro (C)
6.500%, 06/01/17 385 382
Tosco
8.125%, 02/15/30 400 486
Vastar Resources
6.500%, 04/01/09 3,490 3,581
Weatherford International (C)
6.800%, 06/15/37 370 380
6.350%, 06/15/17 1,900 1,933
5.950%, 06/15/12 1,425 1,453
Western Oil Sands
8.375%, 05/01/12 1,195 1,319
Williams (J)
8.750%, 03/15/32 5,860 6,746
7.750%, 06/15/31 1,880 1,976
Williams, Ser A
7.500%, 01/15/31 90 93
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
XTO Energy
7.500%, 04/15/12 $ 850 $ 918
6.750%, 08/01/37 1,070 1,116
--------------
110,259
--------------
FINANCIALS -- 10.5%
ABX Financing (C)
6.350%, 10/15/36 4,250 4,118
ASIF Global Financing XIX (C)
4.900%, 01/17/13 390 377
Ace INA Holdings
6.700%, 05/15/36 605 623
5.700%, 02/15/17 720 711
Aiful (C)
5.000%, 08/10/10 1,420 1,373
Allied Capital
6.625%, 07/15/11 3,420 3,496
Allied World Assurance (J)
7.500%, 08/01/16 2,500 2,621
American Express (F) (J)
6.800%, 09/01/16 1,130 1,158
American Honda Finance (C)
5.100%, 03/27/12 1,685 1,701
American International Group
6.250%, 03/15/37 (J) 2,560 2,410
4.700%, 10/01/10 1,460 1,448
American International Group MTN
5.450%, 05/18/17 1,755 1,708
4.950%, 03/20/12 880 864
BAC Capital Trust XI
6.625%, 05/23/36 795 809
BRE Properties
7.450%, 01/15/11 2,430 2,569
Bank One
7.875%, 08/01/10 3,525 3,771
Bank of America
7.400%, 01/15/11 1,325 1,410
5.420%, 03/15/17 4,900 4,764
5.375%, 06/15/14 3,375 3,338
5.300%, 03/15/17 1,000 970
Banponce Trust I, Ser A
8.327%, 02/01/27 2,590 2,698
Bear Stearns
5.350%, 02/01/12 3,280 3,215
4.500%, 10/28/10 1,470 1,425
Bunge Finance
4.375%, 12/15/08 425 420
Bunge Finance LP
5.900%, 04/01/17 600 574
CIT Group
5.000%, 02/01/15 1,440 1,308
4.250%, 02/01/10 1,595 1,515
- --------------------------------------------------------------------------------
170 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Capital One Bank
4.875%, 05/15/08 $ 1,480 $ 1,476
Capital One Capital III
7.686%, 08/15/36 1,361 1,337
Capital One Financial
6.750%, 09/15/17 1,130 1,159
6.150%, 09/01/16 380 371
Capmark Financial Group (C)
6.300%, 05/10/17 130 113
5.875%, 05/10/12 260 237
China Development Bank
5.000%, 10/15/15 500 483
Cigna
6.150%, 11/15/36 770 728
Citigroup
6.000%, 08/15/17 1,105 1,131
5.875%, 02/22/33 2,680 2,559
5.500%, 08/27/12 (J) 2,240 2,265
5.100%, 09/29/11 650 648
5.000%, 09/15/14 3,175 3,060
3.625%, 02/09/09 3,155 3,099
Countrywide Financial MTN
5.800%, 06/07/12 975 914
5.430%, 12/26/07 1,000 940
Countrywide Home Loan MTN, Ser K
4.250%, 12/19/07 4,100 4,053
Credit Suisse First Boston
London (C) (F) (L)
0.000%, 12/24/07 3,498 3,367
0.000%, 12/24/07 8,663 8,338
Credit Suisse First Boston USA
4.875%, 08/15/10 2,210 2,207
Credit Suisse USA
5.500%, 08/16/11 2,195 2,217
DI Finance, Ser B
9.500%, 02/15/13 90 93
Depfa ACS Bank (C)
5.125%, 03/16/37 3,000 2,804
Deutsche Bank Capital
Funding Trust (C) (F)
5.628%, 01/19/49 2,760 2,564
Developers Divers Realty +
5.375%, 10/15/12 585 570
Discover Financial Services (C)
6.450%, 06/12/17 250 243
Dryden Investor Trust (C)
7.157%, 07/23/08 1,751 1,765
ENEL Finance Internation
6.800%, 09/15/37 940 957
ERP Operating LP
5.500%, 10/01/12 280 275
East Lane Re Ltd. (C) (F)
11.355%, 10/30/07 650 650
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Equity One +
3.875%, 04/15/09 $ 7,480 $ 7,318
FMC Finance III (C)
6.875%, 07/15/17 1,600 1,592
Farmers Exchange Capital (C)
7.200%, 07/15/48 1,465 1,429
7.050%, 07/15/28 1,434 1,428
Farmers Insurance Exchange (C)
8.625%, 05/01/24 3,017 3,458
First Data*
0.000%, 10/15/14 4,850 4,656
First Industrial LP MTN
7.500%, 12/01/17 1,800 1,936
Ford Motor Credit LLC
10.610%, 12/15/07 (F) (J) 3,863 3,942
8.000%, 12/15/16 4,680 4,378
7.875%, 06/15/10 7,405 7,239
7.375%, 10/28/09 3,470 3,403
7.250%, 10/25/11 336 315
6.625%, 06/16/08 1,500 1,489
Forest City Enterprises
7.625%, 06/01/15 500 471
6.500%, 02/01/17 270 241
Freddie Mac (J)
4.625%, 10/25/12 6,400 6,393
GE Global Insurance Holding
7.500%, 06/15/10 105 112
GMAC LLC
7.821%, 10/25/07 (F) 5,668 5,225
7.750%, 01/19/10 10,170 10,087
7.250%, 03/02/11 3,520 3,412
6.875%, 09/15/11 6,120 5,824
5.850%, 01/14/09 1,680 1,644
5.625%, 05/15/09 14,680 14,292
5.125%, 05/09/08 (J) 1,480 1,468
GMAC LLC MTN
4.375%, 12/10/07 690 687
General Electric Capital MTN
5.625%, 09/15/17 2,580 2,578
General Electric Capital MTN, Ser A
6.750%, 03/15/32 1,665 1,833
6.000%, 06/15/12 4,790 4,939
5.450%, 01/15/13 20 20
3.750%, 12/15/09 2,021 1,968
General Electric Capital MTN, Ser G
6.150%, 08/07/37 845 867
Genworth Financial
5.650%, 06/15/12 1,280 1,291
4.950%, 10/01/15 1,595 1,501
Glen Meadow PassThrough
6.505%, 02/12/67 2,200 2,164
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 171
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Glitnir Banki
7.451%, 03/14/08 $ 400 $ 394
6.693%, 06/15/16 (C) (F) 3,960 4,047
6.375%, 09/25/12 2,330 2,335
6.330%, 07/28/11 (C) 1,980 2,014
Goldman Sachs Capital I
6.345%, 02/15/34 1,200 1,118
Goldman Sachs Capital II
5.793%, 12/29/49 1,210 1,145
Goldman Sachs Group
6.875%, 01/15/11 4,640 4,856
6.450%, 05/01/36 560 546
5.350%, 01/15/16 925 893
5.250%, 10/15/13 3,565 3,483
5.125%, 01/15/15 1,185 1,138
HBOS Capital Funding
6.071%, 12/31/07 830 799
HSBC Finance
8.000%, 07/15/10 3,475 3,729
7.000%, 05/15/12 1,505 1,582
6.375%, 11/27/12 585 605
4.625%, 09/15/10 650 639
4.125%, 12/15/08 1,000 989
4.125%, 11/16/09 2,155 2,100
HBSC Holdings PLC (J)
6.500%, 09/15/37 855 861
Health Care Properties +
6.000%, 01/30/17 4,000 3,820
5.650%, 12/15/13 1,710 1,652
Highwoods Realty LP +
7.500%, 04/15/18 3,642 3,873
7.125%, 02/01/08 3,000 3,009
Host Marriott LP, Ser Q +
6.750%, 06/01/16 455 450
ICICI Bank Ltd.
6.375%, 01/12/08 (F) 678 636
6.375%, 04/30/22 (C) 2,320 2,169
ILFC E-Capital Trust II (C) (F) (J)
6.250%, 12/21/65 900 868
International Lease Finance MTN
5.750%, 06/15/11 2,925 2,952
5.650%, 06/01/14 845 836
5.580%, 11/24/07 (F) 925 917
4.750%, 01/13/12 1,176 1,140
JPMorgan Chase
6.000%, 10/01/17 2,570 2,596
5.750%, 01/02/13 6,435 6,526
JPMorgan Chase Capital XXV, Ser Y
6.800%, 10/01/37 1,410 1,417
JPMorgan Chase Capital XV
5.875%, 03/15/35 1,645 1,478
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Kaupthing Bank (C)
7.125%, 05/19/16 $ 1,350 $ 1,362
6.050%, 10/12/07 (F) 6,070 6,021
5.750%, 10/04/11 960 948
Korea Development Bank
4.625%, 09/16/10 1,000 990
4.250%, 11/13/07 755 754
Landsbanki Islands (C)
6.100%, 08/25/11 5,570 5,643
Lazard Group
7.125%, 05/15/15 2,925 2,954
6.850%, 06/15/17 1,580 1,555
Lehman Brothers Holdings
6.875%, 07/17/37 870 863
6.200%, 09/26/14 1,160 1,165
5.750%, 01/03/17 1,085 1,043
4.500%, 07/26/10 1,405 1,367
Lehman Brothers Holdings Capital Trust
VII MTN
5.857%, 11/29/49 3,020 2,877
Lehman Brothers Holdings MTN
11.000%, 11/07/16 (F) 4,283 4,281
8.920%, 02/16/08 (F) 2,370 2,247
7.000%, 09/27/27 422 434
5.750%, 05/17/13 820 814
5.500%, 04/04/16 520 490
5.250%, 02/06/12 1,220 1,195
0.000%, 12/20/07 (F) 4,235 4,645
Lehman Brothers Holdings MTN, Ser H
(F) (M)
0.000%, 11/30/07 3,570 3,626
Liberty Mutual Group (C)
7.500%, 08/15/36 (J) 1,374 1,408
6.500%, 03/15/35 1,525 1,391
Lincoln National
5.650%, 08/27/12 480 482
MUFG Capital Finance 1 Ltd. (F)
6.346%, 07/25/49 1,670 1,587
Marathon Oil
6.600%, 10/01/37 847 875
Merna Reinsurance, Ser B
7.110%, 10/03/07 3,750 3,745
Merrill Lynch
7.430%, 09/01/22 4 4
6.400%, 08/28/17 845 873
6.110%, 01/29/37 1,405 1,322
6.050%, 05/16/16 920 919
Merrill Lynch MTN (F)
8.950%, 11/18/07 1,790 1,665
8.680%, 11/02/07 3,160 3,093
Metlife
6.400%, 12/15/36 2,040 1,940
- --------------------------------------------------------------------------------
172 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Morgan Stanley
5.750%, 08/31/12 $ 180 $ 180
5.375%, 10/15/15 675 648
5.300%, 03/01/13 1,327 1,306
4.750%, 04/01/14 1,220 1,146
Morgan Stanley MTN (F)
5.810%, 10/18/07 1,200 1,148
Morgan Stanley MTN, Ser E
5.450%, 01/09/17 2,675 2,579
NB Capital Trust IV
8.250%, 04/15/27 4,500 4,683
National Capital Trust II (C) (F)
5.486%, 12/17/07 2,231 2,064
National City Bank MTN
5.800%, 06/07/17 1,290 1,281
Nationwide Building Society (J)
5.500%, 07/18/12 1,651 1,692
Nationwide Mutual Insurance (C)
6.600%, 04/15/34 690 676
North Front Pass-Through Trust (C) (F)
5.810%, 12/15/07 1,975 1,922
PNC Funding
5.250%, 11/15/15 1,520 1,455
Power Receivables Financial
6.290%, 01/01/12 3,494 3,597
6.290%, 01/01/12 (C) 287 295
Prime Property Funding + (C)
5.600%, 06/15/11 1,780 1,788
5.500%, 01/15/14 1,850 1,842
Prologis +
5.500%, 04/01/12 1,095 1,083
5.250%, 11/15/10 455 453
Prudential Financial MTN
5.700%, 12/14/36 1,240 1,143
RSHB Capital (C)
6.299%, 05/15/17 4,140 3,897
Rabobank Capital Fund Trust II (C) (F)
5.260%, 12/29/49 200 189
Rabobank Capital Fund Trust III (C) (F)
5.254%, 12/31/07 420 387
Realogy (J)
12.375%, 04/15/15 2,950 2,227
Residential Capital LLC
7.595%, 11/22/07 1,710 1,454
7.460%, 10/17/07 1,810 1,539
6.875%, 06/30/15 225 182
6.500%, 06/01/12 to 04/17/13 2,320 1,874
6.125%, 11/21/08 1,405 1,257
6.000%, 02/22/11 1,990 1,622
Resona Preferred Global
Securities (C) (F) (J)
7.191%, 07/30/49 580 582
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Royal Bank of Scotland Group PLC
5.000%, 10/01/14 $ 1,240 $ 1,198
0.000%, 10/04/07 2,215 2,215
0.000%, 10/04/07 3,250 3,316
SLM EXL, Ser S (F) (K)
5.763%, 10/15/07 12,582 12,582
SLM MTN
5.625%, 08/01/33 695 535
5.050%, 11/14/14 690 585
SLM MTN, Ser A
5.375%, 05/15/14 4,905 4,281
5.000%, 10/01/13 5,445 4,755
5.000%, 04/15/15 120 101
SLM MTN, Ser CPI (F)
3.820%, 10/01/07 5,580 5,133
Shinsei Finance Cayman Ltd. (C) (F) (J)
6.418%, 01/29/49 5,180 4,803
Simon Property Group LP +
5.750%, 05/01/12 1,860 1,858
5.750%, 12/01/15 910 889
5.600%, 09/01/11 690 691
Standard Chartered
6.400%, 09/26/17 715 719
Stingray Pass-Through Trust (C)
5.902%, 01/12/15 2,723 2,016
Sumitomo Mitsui Banking (C) (F)
5.625%, 10/15/15 2,620 2,438
Suntrust Banks
6.000%, 09/11/17 845 854
TNK-BP Finance
7.500%, 07/18/16 100 100
7.500%, 07/18/16 (C) 3,320 3,297
6.625%, 03/20/17 (C) 720 671
Toyota Motor Credit
5.500%, 12/15/08 120 121
Travelers
5.236%, 12/17/07 1,340 1,296
Travelers MTN
5.375%, 06/15/12 370 374
Turanalem Finance
8.250%, 01/22/37 3,614 3,153
8.250%, 01/22/37 (C) 4,190 3,541
UDR+
5.500%, 04/01/14 2,000 1,950
UDR MTN+
5.000%, 01/15/12 2,000 1,969
Ventas Realty LP+
9.000%, 05/01/12 180 196
6.500%, 06/01/16 495 488
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 173
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Wachovia
5.750%, 06/15/17 $ 1,125 $ 1,129
5.500%, 08/01/35 1,405 1,279
5.300%, 10/15/11 3,285 3,300
5.250%, 08/01/14 4,390 4,302
4.875%, 02/15/14 2,120 2,042
Wachovia Capital Trust III (F)
5.800%, 03/15/11 2,230 2,215
Washington Mutual
4.625%, 04/01/14 3,180 2,896
4.000%, 01/15/09 746 733
Washington Mutual Preferred
Funding (C) (F)
6.534%, 03/29/49 1,600 1,464
Wells Fargo
5.375%, 02/07/35 2,085 1,875
Wells Fargo Capital X
5.950%, 12/15/36 760 697
Westfield Capital (C)
4.375%, 11/15/10 303 292
Westfield Group (C)
5.400%, 10/01/12 1,355 1,339
Woodbourne Pass-Through Trust (C) (F)
6.920%, 10/08/07 2,500 2,512
ZFS Finance USA Trust I
6.150%, 12/15/10 750 742
ZFS Finance USA Trust II (C) (F)
6.450%, 12/15/65 772 746
Zions Bancorp
5.500%, 11/16/15 950 912
iStar Financial, Ser 1 +
5.875%, 03/15/16 795 712
--------------
485,310
--------------
HEALTH CARE -- 0.8%
Abbott Laboratories
5.875%, 05/15/16 1,515 1,529
Aetna
6.000%, 06/15/16 1,570 1,573
Astrazenca PLC
5.400%, 09/15/12 2,580 2,600
Bristol-Myers Squibb
5.875%, 11/15/36 340 324
Community Health Systems (C) (J)
8.875%, 07/15/15 1,070 1,099
Coventry Health Care
5.950%, 03/15/17 1,655 1,601
Davita
6.625%, 03/15/13 1,065 1,057
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
HCA
9.250%, 11/15/16 (C) $ 1,639 $ 1,741
9.125%, 11/15/14 (C) 230 243
7.500%, 11/06/33 (J) 3,380 2,721
6.500%, 02/15/16 (J) 749 637
6.250%, 02/15/13 119 105
5.750%, 03/15/14 3,090 2,592
HCA PIK (C)
9.625%, 11/15/16 50 53
Johnson & Johnson
5.550%, 08/15/17 1,350 1,371
Schering-Plough
6.550%, 09/15/37 1,255 1,285
Tenet Healthcare (J)
9.875%, 07/01/14 4,115 3,765
7.375%, 02/01/13 336 285
Teva Pharmaceutical Finance LLC
6.150%, 02/01/36 1,225 1,164
5.550%, 02/01/16 475 462
UnitedHealth Group (C)
6.000%, 06/15/17 860 859
WellPoint
6.800%, 08/01/12 (J) 1,000 1,065
5.875%, 06/15/17 1,125 1,117
5.250%, 01/15/16 465 445
Wyeth
6.950%, 03/15/11 4,140 4,339
5.950%, 04/01/37 2,680 2,586
--------------
36,618
--------------
INDUSTRIALS -- 1.6%
Air 2 US (C)
8.027%, 10/01/19 824 837
America West Airlines, Ser 1999-1
7.930%, 01/02/19 7,980 8,419
American Airlines, Ser 1999-1
7.024%, 10/15/09 3,630 3,686
Burlington Northern Santa Fe
6.750%, 07/15/11 1,610 1,697
Cedar Brakes I LLC (C)
8.500%, 02/15/14 1,457 1,570
Cedar Brakes II LLC (C)
9.875%, 09/01/13 2,646 2,948
Complete Production Services
8.000%, 12/15/16 1,005 994
Continental Airlines, Ser 1997, Cl1A
7.461%, 04/01/15 1,924 1,903
Continental Airlines, Ser 1997, Cl4A
6.900%, 01/02/18 1,770 1,810
Continental Airlines, Ser 1999-2
7.256%, 03/15/20 958 990
Continental Airlines, Ser A
5.983%, 04/19/22 1,700 1,647
- --------------------------------------------------------------------------------
174 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
DRS Technologies
6.625%, 02/01/16 $ 505 $ 499
Delta Air Lines, Ser 2001-1
7.111%, 09/18/11 6,250 6,336
FedEx, Ser A3
8.400%, 03/23/10 556 584
General Electric
5.000%, 02/01/13 1,140 1,130
Hutchison Whampoa International (C)
7.450%, 11/24/33 1,240 1,394
L-3 Communications, Ser B
6.375%, 10/15/15 520 511
Service International
7.500%, 04/01/27 670 626
Systems 2001 Asset Trust (C)
6.664%, 09/15/13 1,435 1,513
Teekay
8.875%, 07/15/11 1,785 1,874
Tyco International Group
7.000%, 06/15/28 230 250
6.875%, 01/15/29 7,380 7,408
6.750%, 02/15/11 3,470 3,658
6.375%, 10/15/11 8,830 9,036
6.125%, 11/01/08 230 233
6.125%, 01/15/09 80 81
6.000%, 11/15/13 915 924
United Air Lines, Ser A-3 (H) (I)
8.390%, 01/21/11 579 --
United Technologies
6.500%, 06/01/09 2,365 2,415
Waste Management
7.125%, 12/15/17 5,305 5,597
7.100%, 08/01/26 1,710 1,788
--------------
72,358
--------------
INFORMATION TECHNOLOGY -- 0.2%
Corning
7.250%, 08/15/36 495 519
Electronic Data Systems
7.125%, 10/15/09 3,680 3,747
Freescale Semiconductor
8.875%, 12/15/14 280 270
NXP Funding LLC
9.500%, 10/15/15 365 340
7.875%, 10/15/14 110 106
Sungard Data Systems (J)
10.250%, 08/15/15 725 758
Xerox
6.750%, 02/01/17 240 246
5.500%, 05/15/12 1,125 1,114
--------------
7,100
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MATERIALS -- 0.3%
CodelCo (C)
4.750%, 10/15/14 $ 960 $ 917
Freeport-McMoRan Copper & Gold
8.375%, 04/01/17 1,450 1,584
Georgia Gulf (J)
9.500%, 10/15/14 220 201
Graham Packaging
9.875%, 10/15/14 (J) 275 272
8.500%, 10/15/12 590 586
Lafarge
6.150%, 07/15/11 770 785
Lyondell Chemical
8.250%, 09/15/16 125 141
8.000%, 09/15/14 220 242
Potash of Saskatchewan
4.875%, 03/01/13 1,220 1,183
Steel Dynamics (C)
6.750%, 04/01/15 810 782
US Steel
6.050%, 06/01/17 245 234
Vale Overseas Ltd.
8.250%, 01/17/34 150 178
6.875%, 11/21/36 (J) 5,750 5,924
6.250%, 01/23/17 1,188 1,201
Westlake Chemicals (J)
6.625%, 01/15/16 610 580
Weyerhaeuser
6.750%, 03/15/12 370 384
--------------
15,194
--------------
SOVEREIGN -- 0.7%
Emirate of Abu Dhabi
5.500%, 08/02/12 3,300 3,358
Federal Republic of Brazil (J)
11.000%, 08/17/40 2,105 2,815
Quebec Province
5.125%, 11/14/16 2,560 2,561
Republic of Colombia
7.375%, 09/18/37 1,442 1,586
Republic of Italy
5.375%, 06/15/33 2,320 2,259
Republic of Panama
9.375%, 04/01/29 46 62
6.700%, 01/26/36 1,194 1,227
Russian Federation (G)
7.500%, 03/31/30 1,685 1,900
United Mexican States (J)
5.625%, 01/15/17 7,963 7,939
United Mexican States MTN, Ser A
7.500%, 04/08/33 176 209
6.750%, 09/27/34 (J) 6,237 6,783
5.875%, 01/15/14 790 813
--------------
31,512
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 175
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES -- 1.2%
AT&T
6.500%, 09/01/37 $ 1,380 $ 1,423
6.450%, 06/15/34 625 634
6.150%, 09/15/34 (J) 2,410 2,382
5.100%, 09/15/14 5,750 5,564
4.125%, 09/15/09 795 782
AT&T Mobility LLC
6.500%, 12/15/11 1,455 1,519
America Movil
6.375%, 03/01/35 1,192 1,170
BellSouth
6.000%, 11/15/34 850 818
4.750%, 11/15/12 170 165
British Telecom PLC
8.375%, 12/15/10 1,250 1,376
Cincinnati Bell
7.000%, 02/15/15 500 483
Citizens Communications
7.875%, 01/15/27 555 541
7.125%, 03/15/19 370 365
Deutsche Telekom International Finance
8.000%, 06/15/10 925 991
5.750%, 03/23/16 1,920 1,897
Embarq
7.995%, 06/01/36 615 655
France Telecom
8.500%, 03/01/31 530 681
7.750%, 03/01/11 1,125 1,209
Intelsat
9.000%, 06/15/16 75 77
Intelsat Bermuda Ltd.
9.250%, 06/15/16 325 337
Koninklijke
8.000%, 10/01/10 650 699
Level 3 Financing
9.250%, 11/01/14 690 680
New Cingular Wireless Services
8.125%, 05/01/12 1,595 1,769
New Jersey Bell Telephone
7.850%, 11/15/29 1,135 1,286
Qwest
7.500%, 10/01/14 2,130 2,215
5.625%, 11/15/08 430 430
Qwest Communications International (F)
9.058%, 11/11/07 1,090 1,101
Rogers Communications
6.375%, 03/01/14 1,915 1,935
Sprint Capital
8.750%, 03/15/32 1,100 1,261
8.375%, 03/15/12 3,430 3,777
6.900%, 05/01/19 100 100
6.125%, 11/15/08 1,485 1,496
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Sprint Nextel
6.000%, 12/01/16 $ 600 $ 576
Telecom Italia Capital
6.200%, 07/18/11 (J) 1,730 1,773
5.250%, 11/15/13 to 10/01/15 880 852
4.950%, 09/30/14 1,250 1,182
Telefonica Emisiones
6.221%, 07/03/17 445 450
5.984%, 06/20/11 2,545 2,589
Telefonica Europe
7.750%, 09/15/10 1,925 2,056
Verizon Communications
5.500%, 04/01/17 475 465
Verizon New Jersey, Ser A
5.875%, 01/17/12 2,175 2,213
Verizon New York, Ser A
6.875%, 04/01/12 660 695
Vodafone Group PLC
5.625%, 02/27/17 1,780 1,730
5.350%, 02/27/12 400 399
Windstream
8.625%, 08/01/16 960 1,028
--------------
55,826
--------------
UTILITIES -- 1.7%
Allegheny Energy Supply (C)
8.250%, 04/15/12 890 954
Arizona Public Services
8.000%, 12/30/15 3,188 3,565
CMS Energy
6.550%, 07/17/17 750 727
Cogentrix Energy (C)
8.750%, 10/15/08 5,908 6,116
Commonwealth Edison
6.150%, 09/15/17 1,315 1,323
DPL
6.875%, 09/01/11 2,405 2,518
Detroit Edison, Ser A
6.625%, 06/01/36 990 1,034
Dominion Resources
5.700%, 09/17/12 3,270 3,281
4.750%, 12/15/10 1,895 1,868
4.125%, 02/15/08 810 806
Duke Energy Carolinas
6.250%, 01/15/12 1,875 1,941
5.625%, 11/30/12 4,000 4,055
Edison Mission Energy (C)
7.625%, 05/15/27 420 405
7.200%, 05/15/19 1,160 1,143
7.000%, 05/15/17 880 867
Exelon
5.625%, 06/15/35 2,720 2,436
- --------------------------------------------------------------------------------
176 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Exelon Generation LLC (C)
6.950%, 06/15/11 $ 1,825 $ 1,911
FPL Energy American Wind (C)
6.639%, 06/20/23 5,744 5,950
FirstEnergy, Ser B
6.450%, 11/15/11 1,905 1,969
FirstEnergy, Ser C
7.375%, 11/15/31 5,515 6,035
Florida Power
6.350%, 09/15/37 565 576
Intergas Finance (C) (J)
6.375%, 05/14/17 3,485 3,365
Midamerican Energy Holdings
6.500%, 09/15/37 395 399
6.125%, 04/01/36 905 879
NRG Energy
7.250%, 02/01/14 1,610 1,614
Nevada Power, Ser A
8.250%, 06/01/11 2,050 2,228
Nevada Power, Ser M
5.950%, 03/15/16 630 616
Pacific Gas & Electric
6.050%, 03/01/34 (J) 2,110 2,072
5.800%, 03/01/37 800 756
Pacificorp
6.250%, 10/15/37 960 959
Power Contract Financing (C)
6.256%, 02/01/10 2,375 2,410
Public Service Colorado
7.875%, 10/01/12 1,355 1,499
Southern California Edison
6.000%, 01/15/34 1,505 1,482
Swepco Capital Trust I (F)
5.250%, 10/01/43 4,255 4,254
TXU Energy
7.000%, 03/15/13 780 857
TXU, Ser P
5.550%, 11/15/14 540 435
TXU, Ser Q
6.500%, 11/15/24 1,320 1,058
TXU, Ser R (J)
6.550%, 11/15/34 4,955 3,886
--------------
78,249
--------------
Total Corporate Obligations
(Cost $984,114) ($ Thousands) 985,863
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS --15.2%
U.S. Treasury Bonds
10.375%, 11/15/12 (J) $ 7,950 $ 8,011
8.875%, 02/15/19 (J) 4,397 5,983
8.125%, 08/15/19 (J) 7,039 9,169
7.500%, 11/15/16 (J) 3,162 3,841
6.625%, 02/15/27 (J) 2,742 3,332
6.250%, 08/15/23 to 05/15/30 (J) 23,602 27,258
6.125%, 11/15/27 (J) 25,376 29,363
5.375%, 02/15/31 (J) 6,923 7,411
5.250%, 02/15/29 2,670 2,799
5.000%, 05/15/37 (J) 4,086 4,191
4.500%, 03/31/12 to 02/15/36 (J) 95,445 95,906
3.875%, 04/15/29 (D) 4,600 5,841
3.625%, 04/15/28 (D) (J) 12,969 15,798
2.375%, 01/15/25 to 01/15/27 (D) (J) 28,617 28,875
2.000%, 01/15/26 (D) 672 641
U.S. Treasury Bonds TIPS (D)
3.375%, 01/15/12 364 382
2.500%, 07/15/16 (J) 17,679 18,008
2.375%, 04/15/11 (J) 27,890 28,071
2.000%, 07/15/14 (J) 15,294 15,088
1.875%, 07/15/15 (J) 17,692 17,223
0.875%, 04/15/10 88 85
U.S. Treasury Notes
5.125%, 05/15/16 (J) 34,934 36,400
5.000%, 07/31/08 600 604
4.875%, 10/31/08 to 02/15/12 (J) 85,486 87,958
4.875%, 06/30/12 1,022 1,051
4.750%, 01/31/12 to 02/15/37 (J) 61,397 62,364
4.625%, 11/15/09 to 07/31/12 (J) 7,000 7,096
4.625%, 12/31/11 10 10
4.500%, 11/15/10 to 09/30/11 (J) 28,435 28,823
4.500%, 05/15/17 1,806 1,796
4.250%, 11/15/14 (J) 19,057 18,874
4.250%, 08/15/15 1,313 1,294
4.125%, 08/31/12 (J) 17,313 17,248
4.000%, 04/15/10 (J) 14,750 14,751
3.875%, 09/15/10 (J) 14,910 14,852
3.750%, 05/15/08 (J) 1,070 1,067
3.625%, 07/15/09 (J) 19,470 19,359
3.625%, 05/15/13 554 537
3.500%, 02/15/10 (J) 3,310 3,272
3.500%, 11/15/09 24,934 24,692
U.S. Treasury STRIPS (A) (J)
5.573%, 11/15/21 43,310 21,444
3.938%, 08/15/19 19,165 10,762
--------------
Total U.S. Treasury Obligations
(Cost $686,778) ($ Thousands) 701,530
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 177
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2007
- -------------------------------------------------------------------------------
Face Amount ($ Thousands)/ Market Value
Description Notional Amount ($ Thousands)/Shares ($ Thousands)
- -------------------------------------------------------------------------------
FOREIGN BONDS -- 0.2%
Canadian Government
4.000%, 12/01/31 $ 797 $ 1,092
Deutsche Bundesrepublik
3.750%, 01/04/15 6,320 8,703
ICICI Bank Ltd.
6.375%, 04/30/22 960 900
--------------
Total Foreign Bonds
(Cost $9,885) ($ Thousands) 10,695
--------------
PURCHASED SWAPTIONS -- 0.1%
U.S. Swaption Call, Barclays 77,393 719
U.S. Swaption Call, Barclays 10,037 465
U.S. Swaption Call, Merrill Lynch 66,431 680
U.S. Swaption Call, Merrill Lynch 8,765 460
U.S. Swaption Put, Barclays 63,417 516
U.S. Swaption Put, Barclays 8,138 338
--------------
Total Purchased Swaptions
(Cost $2,255) ($ Thousands) 3,178
--------------
CASH EQUIVALENTS** -- 18.1%
Evergreen Select Money Market 303,032 303
Fund, Institutional Class, 5.290%
SEI Daily Income Trust, Prime 107,330,050 107,330
Obligation Fund, Cl A, 5.350%++
SEI Liquidity Fund LP, 5.367%++ (K) 728,237,206 728,237
--------------
Total Cash Equivalents
(Cost $835,870) ($ Thousands) 835,870
--------------
COMMERCIAL PAPER (A) -- 0.7%
FINANCIALS -- 0.7%
BNP Paribas
5.555%, 10/11/07 4,150 4,143
Societe Generale
5.565%, 10/09/07 18,065 18,043
UBS Finance
5.475%, 10/11/07 10,445 10,429
--------------
Total Commercial Paper
(Cost $32,615) ($ Thousands) 32,615
--------------
CERTIFICATES OF DEPOSIT (F) (K) -- 0.1%
JPMorgan Chase
8.750%, 11/28/07 2,152 2,089
7.590%, 12/28/07 1,960 1,832
--------------
Total Certificates of Deposit
(Cost $4,014) ($ Thousands) 3,921
--------------
- -------------------------------------------------------------------------------
Face Amount ($ Thousands)/ Market Value
Description Notional Amount ($ Thousands)/Contracts ($ Thousands)
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENTS (N) -- 6.7%
Deutsche Bank Repo,
4.80%, dated 09/28/07, to be
repurchased on 10/01/07, repurchase
price $286,629,606 (collateralizd
by a U.S. Government Obligation,
par value $294,340,000, 4.40%,
11/21/07; with total market value
$292,245,300) $ 286,515 $ 286,515
Lehman Brothers Repo,
4.75%, dated 09/28/07, to be
repurchased on 10/01/07, repurchase
price $22,994,098 (collateralizd
by a U.S. Government Obligation,
par value $22,465,000, 6.625%,
09/15/09; with total market value
$23,444,699) 22,985 22,985
--------------
Total Repurchase Agreements
(Cost $309,500) ($ Thousands) 309,500
--------------
Total Investments -- 137.5%
(Cost $6,350,399) ($ Thousands) $ 6,344,505
==============
WRITTEN SWAPTIONS -- (0.1)%
U.S. Swaption Call, Barclays (38,000) (1,090)
U.S. Swaption Call, Merrill Lynch (33,000) (1,021)
U.S. Swaption Put, Barclays (31,000) (794)
--------------
Total Written Swaptions
(Premiums Received $(2,255)) ($ Thousands) (2,905)
--------------
WRITTEN OPTIONS -- (0.0)%
December 2007 U.S. Ten Year
Treasury Call, Expires 11/20/07,
Strike $110.00 (345) (226)
December 2007 U.S. Ten Year
Treasury Put, Expires 11/20/07,
Strike $105.00 (29) (2)
March 2008 90 Day Euro Call,
Expires 03/17/08, Strike $95.50 (309) (195)
March 2008 90 Day Euro Call,
Expires 03/17/08, Strike $95.75 (188) (78)
March 2008 90 Day Euro Call,
Expires 03/17/08, Strike $95.37 (162) (127)
March 2008 90 Day Euro Put,
Expires 03/17/08, Strike $95.37 (186) (98)
March 2008 Edu8 Put,
Expires 03/20/08,
Strike Price $95.50 (337) (230)
March 2008 Tyh8 Put, U.S. Ten
Year Treasury Note Futures,
Expires 02/22/08,
Strike Price $107.00 (240) (206)
- --------------------------------------------------------------------------------
178 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Market Value
Description Contracts ($ Thousands)
- --------------------------------------------------------------------------------
November 2007 Tyz8 Call, U.S. Ten
Year Treasury Note Futures,
Expires 11/20/07, Strike $112.00 (290) $ (59)
--------------
Total Written Options
(Premiums Received $(1,344)) ($ Thousands) (1,221)
--------------
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$ 2,251 Mar-2008 $ 2,048
90-Day Euro$ 50 Mar-2009 112
90-Day Euro$ 45 Mar-2010 71
90-Day Euro$ (5) Mar-2011 (5)
90-Day Euro$ 764 Jun-2008 1,280
90-Day Euro$ 345 Jun-2009 333
90-Day Euro$ (270) Jun-2010 (78)
90-Day Euro$ (5) Jun-2011 (4)
90-Day Euro$ (16) Sep-2008 (28)
90-Day Euro$ 345 Sep-2009 271
90-Day Euro$ 3 Sep-2010 2
90-Day Euro$ 78 Dec-2007 30
90-Day Euro$ (354) Dec-2008 (460)
90-Day Euro$ 50 Dec-2009 85
90-Day Euro$ 11 Dec-2010 4
3-Month GBP 194 Mar-2008 159
10-Year Swap 42 Dec-2007 15
Eurx Euro-Bond 406 Dec-2007 (271)
U.S. 5-Year Note 1,689 Dec-2007 1,381
U.S. 2-Year Note 476 Dec-2007 421
U.S. 10-Year Note (2,363) Dec-2007 (231)
U.S. Long Treasury Bond 774 Dec-2007 (567)
---------
$ 4,568
=========
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)
- --------------------------------------------------------------------------------
11/7/07 EUR 20,545 USD 28,809 $ (433)
11/7/07 USD 16,633 JPY 1,981,542 679
---------
$ 246
=========
A summary of oustanding 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)
- --------------------------------------------------------------------------------------------------
The Fund receives payment on the monthly reset
spread from Bank of America--CMBS AAA
10 YR Index plus 30 basis points times the
notional amount. The Fund receives payment
if the return on the spread appreciates over the
payment period and pays if the return on the
spread depreciates over the payment period.
(Counterparty: Bank of America) 01/31/08 $ 10,000 $ 35
The Fund receives payment on the monthly reset
spread from Bank of America--CMBS AAA 10
YR Index plus 5 basis points times the notional
amount. The Fund receives payment if the
return on the spread appreciates over the pay-
ment period and pays if the return on the spread
depreciates over the payment period.
(Counterparty: Bank of America) 01/31/08 10,000 35
- --------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------------------------
The Fund receives payment on the monthly reset
spread from Bank of America--CMBS AAA
10 YR Index plus 20 basis points times the
notional amount. The Fund receives payment
if the return on the spread appreciates over the
payment period and pays if the return on the
spread depreciates over the payment period.
(Counterparty: Bank of America) 10/02/07 $ 10,000 $ 34
The Fund receives payment on the monthly reset
spread from Bank of America--CMBS A Index
plus 20 basis points times the notional amount.
The Fund receives payment if the return on
the spread appreciates over the payment
period and pays if the return on the spread
depreciates over the payment period.
(Counterparty: Bank of America) 01/31/08 21,000 (157)
The Fund delivers payment on the monthly reset
spread from Lehman Brothers--CMBS AAA 10
YR 8.5 Index plus 7.5 basis points times the
notional amount. The Fund receives payment if
the return on the spread appreciates over the
payment period and pays if the return on the
spread depreciates over the payment period.
(Counterparty: Wachovia) 12/01/07 30,000 184
The Fund delivers payment on the monthly reset
spread from Lehman Brothers--CMBS AAA 8.5
Index plus 12 basis points times the notional
amount. The Fund receives payment if the
return on the spread appreciates over the
payment period and pays if the return on the
spread depreciates over the payment period.
(Counterparty: Merrill Lynch) 10/02/07 30,000 122
The Fund delivers payment on the monthly reset
spread from Lehman Brothers--CMBS AAA
8.5 Index plus 17.5 basis points times the
notional amount. The Fund receives payment if
the return on the spread appreciates over the
payment period and pays if the return on the
spread depreciates over the payment period.
(Counterparty: Wachovia) 11/01/07 30,000 185
---------------
$ 438
===============
- --------------------------------------------------------------------------------------------------
CREDIT DEFAULT SWAPS
- --------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------------------------
Fund receives a monthly payment of 0.053%
(0.64% per annum) times notional amount of
ABX.HE.A 07-1 Index. Upon a defined credit
event the Fund pays the notional amount and
takes receipt of the deliverable obligation.
(Counterparty: Merrill Lynch) 08/25/37 $ (1,500) $ (660)
Fund receives a monthly payment of 0.324%
(3.890% per annum) times notional amount of
ABX.HE.BBB 07-1 Index. Upon a defined credit
event the Fund pays the notional amount and
takes receipt of the deliverable obligation.
(Counterparty: Citigroup) 08/25/37 (3,721) (1,115)
Fund delivers a monthly payment of 0.110%
(1.3340% per annum) times notional amount of
ABX.HE.BBB 06-2 Index. Upon a defined credit
event the Fund pays the notional amount and
takes receipt of the deliverable obligation.
(Counterparty: Lehman Brothers) 05/25/46 2,444 1,067
Fund delivers a monthly payment of 0.110%
(1.3340% per annum) times notional amount of
ABX.HE.BBB 06-2 Index. Upon a defined credit
event the Fund pays the notional amount and
takes receipt of the deliverable obligation.
(Counterparty: Lehman Brothers) 05/25/46 3,135 1,293
Fund receives a monthly payment of 0.324%
(3.890% per annum) times notional amount of
ABX.HE.BBB 07-1 Index. Upon a defined credit
event the Fund pays the notional amount and
takes receipt of the deliverable obligation.
(Counterparty: Citigroup) 08/25/37 (2) --
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 179
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Conrtinued)
September 30, 2007
- --------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------------------------
Fund receives a monthly payment of 0.420%
(4.167% per annum) times notional amount of
ABX.HE.BBB 07-2 Index. Upon a defined credit
event the Fund pays the notional amount and
takes receipt of the deliverable obligation.
(Counterparty: Lehman Brothers) 08/25/37 $ (4,167) $ (1,249)
Fund receives a monthly payment of 0.417%
(5.00% per annum) times notional amount of
ABX.HE.BBB 07-2 Index. Upon a defined credit
event the Fund pays the notional amount and
takes receipt of the deliverable obligation.
(Counterparty: Citigroup) 01/25/38 (1,750) (73)
Fund receives a monthly payment of 0.0125%
(0.150% per annum) times notional amount of
ABX.HE.AA 07-2 Index. Upon a defined credit
event the Fund pays the notional amount and
takes receipt of the deliverable obligation.
(Counterparty: Citigroup) 01/25/38 (3,560) (6)
Fund receives a monthly payment of 0.16%
(1.92% per annum) times notional amount of
ABX.HE.AA 07-1 Index. Upon a defined credit
event the Fund pays the notional amount and
takes receipt of the deliverable obligation.
(Counterparty: Citigroup) 08/25/37 (1,435) (51)
Fund receives a monthly payment of 0.417%
(5.000% per annum) times notional amount of
ABX.HE.BBB 07-2 Index. Upon a defined credit
event the Fund pays the notional amount and
takes receipt of the deliverable obligation.
(Counterparty: Lehman Brothers) 01/25/38 (7,000) (336)
Fund receives a monthly payment of 0.16%
(1.920% per annum) times notional amount of
ABX.HE.AA 07-2 Index. Upon a defined credit
event the Fund pays the notional amount and
takes receipt of the deliverable obligation.
(Counterparty: Citigroup) 01/25/38 (140) (7)
Fund receives a monthly payment of 0.063%
(0.76% per annum) times notional amount of
ABX.HE.AA 07-1 Index. Upon a defined credit
event the Fund pays the notional amount and
takes receipt of the deliverable obligation.
(Counterparty: Citigroup) 01/25/38 (140) (4)
Fund receives a monthly payment of 0.063%
(0.760% per annum) times notional amount of
ABX.HE.AAA 07-2 Index. Upon a defined credit
event the Fund pays the notional amount and
takes receipt of the deliverable obligation.
(Counterparty: Lehman Brothers) 01/25/38 (850) (8)
Fund receives a monthly payment of 0.063%
(0.76% per annum) times notional amount of
ABX.HE.AAA 07-2 Index. Upon a defined credit
event the Fund pays the notional amount and
takes receipt of the deliverable obligation.
(Counterparty: Citigroup) 01/25/38 (3,455) 118
Fund receives a monthly payment of 0.037%
(0.440% per annum) times notional amount of
ABX.HE.A 06-2 Index. Upon a defined credit
event the Fund pays the notional amount and
takes receipt of the deliverable obligation.
(Counterparty: Citigroup) 01/25/38 (1,010) (11)
Fund receives a monthly payment of 0.053%
(0.64% per annum) times notional amount of
ABX.HE.A 07-1 Index. Upon a defined credit
event the Fund pays the notional amount and
takes receipt of the deliverable obligation.
(Counterparty: JPMorgan Chase) 08/25/37 (3,000) (1,296)
Fund receives a monthly payment of 0.053%
(0.64% per annum) times notional amount of
ABX.HE.A 07-1 Index. Upon a defined credit
event the Fund pays the notional amount and
takes receipt of the deliverable obligation.
(Counterparty: Merrill Lynch) 08/25/37 (800) (333)
Fund receives a monthly payment of 0.037%
(0.440% per annum) times notional amount of
ABX.HE.A 06-2 Index. Upon a defined credit
event the Fund pays the notional amount and
takes receipt of the deliverable obligation.
(Counterparty: Merrill Lynch) 05/25/46 (7,800) (2,060)
- --------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------------------------
Fund receives a monthly payment of 0.0142%
(0.170% per annum) times notional amount of
ABX.HE.AA 06-2 Index. Upon a defined credit
event the Fund pays the notional amount and
takes receipt of the deliverable obligation.
(Counterparty: Wachovia) 05/25/46 $ (2,570) $ 321
Fund receives a monthly payment of 0.0142%
(0.170% per annum) times notional amount of
ABX.HE.AA 06-2 Index. Upon a defined credit
event the Fund pays the notional amount and
takes receipt of the deliverable obligation.
(Counterparty: Merrill Lynch) 05/25/46 (3,200) 292
Fund receives a monthly payment of 0.0142%
(0.170% per annum) times notional amount of
ABX.HE.AA 06-2 Index. Upon a defined credit
event the Fund pays the notional amount and
takes receipt of the deliverable obligation.
(Counterparty: Merrill Lynch) 05/25/46 (3,200) 284
Fund receives a monthly payment of 0.0142%
(0.170% per annum) times notional amount of
ABX.HE.AA 06-2 Index. Upon a defined credit
event the Fund pays the notional amount and
takes receipt of the deliverable obligation.
(Counterparty: Bank of America) 05/25/46 (7,500) 534
Fund receives a monthly payment of 0.0125%
(0.150% per annum) times notional amount of
ABX.HE.AA 07-1 Index. Upon a defined credit
event the Fund pays the notional amount and
takes receipt of the deliverable obligation.
(Counterparty: Bank of America) 08/25/37 (3,500) 57
Fund receives a monthly payment of 0.053%
(0.640% per annum) times notional amount of
ABX.HE.A 07-1 Index. Upon a defined credit
event the Fund pays the notional amount and
takes receipt of the deliverable obligation.
(Counterparty: Merrill Lynch) 08/25/37 (13,500) (5,472)
Fund receives a monthly payment of 0.053%
(0.640% per annum) times notional amount of
ABX.HE.A 07-1 Index. Upon a defined credit
event the Fund pays the notional amount and
takes receipt of the deliverable obligation.
(Counterparty: Barclays) 07/25/45 (4,150) (1,292)
Fund receives a monthly payment of 0.053%
(0.640% per annum) times notional amount of
ABX.HE.A 07-1 Index. Upon a defined credit
event the Fund pays the notional amount and
takes receipt of the deliverable obligation.
(Counterparty: Merrill Lynch) 08/25/37 (4,000) (1,243)
Fund receives a monthly payment of 0.0125%
(0.150% per annum) times notional amount of
ABX.HE.AA 07-1 Index. Upon a defined credit
event the Fund pays the notional amount and
takes receipt of the deliverable obligation.
(Counterparty: JPMorgan Chase) 08/25/37 (25,700) (678)
Fund receives a monthly payment of 0.0125%
(0.150% per annum) times notional amount of
ABX.HE.AA 07-1 Index. Upon a defined credit
event the Fund pays the notional amount and
takes receipt of the deliverable obligation.
(Counterparty: JPMorgan Chase) 08/25/37 (13,100) (182)
Fund receives a monthly payment of 0.0142%
(0.170% per annum) times notional amount of
ABX.HE.AA 06-2 Index. Upon a defined credit
event the Fund pays the notional amount and
takes receipt of the deliverable obligation.
(Counterparty: Wachovia) 05/25/46 (1,300) 136
Fund receives a monthly payment of 0.045%
(0.540% per annum) times notional amount of
ABX.HE.A 06-1 Index. Upon a defined credit
event the Fund pays the notional amount and
takes receipt of the deliverable obligation.
(Counterparty: Deutsche Bank) 07/25/45 (2,100) (216)
Fund pays a quarterly payment of 0.1113%
(0.445% per annum) times notional amount of
Darden Restauants, Inc., 7.125%, 02/01/16.
Upon a defined credit event the Fund receives
the notional amount and delivers of the defined
obligation. (Counterparty: Bank of America) 12/20/11 2,250 (9)
- --------------------------------------------------------------------------------
180 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------------------------
Fund pays a quarterly payment of 0.115% (0.460%
per annum) times notional amount of Autozone,
Inc., 5.875%, 10/15/12. Upon a defined credit
event the Fund receives the notional amount
and delivers of the defined obligation.
(Counterparty: JPMorgan Chase) 12/20/11 $ 2,125 $ (17)
Fund pays a quarterly payment of 0.1063%
(0.425% per annum) times notional amount of
Eastman Chemical, inc., 7.600%, 02/01/27.
Upon a defined credit event the Fund receives
the notional amount and delivers of the defined
obligation. (Counterparty: Bank of America) 12/20/11 2,250 (14)
Fund pays a quarterly payment of 0.055% (0.220%
per annum) times notional amount of Nucor
Corp., 4.875%, 12/01/12. Upon a defined credit
event the Fund receives the notional amount
and delivers of the defined obligation.
(Counterparty: JPMorgan Chase) 12/20/11 2,125 (5)
Fund pays a quarterly payment of 0.2950%
(1.180% per annum) times notional amount of
Gap, Inc., 8.800%, 12/15/08. Upon a defined
credit event the Fund receives the notional
amount and delivers of the defined obligation.
(Counterparty: Bank of America) 12/20/11 2,125 (36)
Fund pays a quarterly payment of 0.1188%
(0.475% per annum) times notional amount of
Meadwestavaco Corp., 6.850%, 04/01/12.
Upon a defined credit event the Fund receives
the notional amount and delivers of the defined
obligation. (Counterparty: Bank of America) 12/20/11 2,250 4
Fund pays a quarterly payment of 0.055% (0.220%
per annum) times notional amount of Nucor
Corp., 4.875%, 12/01/12. Upon a defined credit
event the Fund receives the notional amount
and delivers of the defined obligation.
(Counterparty: Bank of America) 12/20/11 2,125 (5)
Fund pays a quarterly payment of 0.0475% (0.190%
per annum) times notional amount of TJX
Companies, 7.450%, 12/15/09. Upon a defined
credit event the Fund receives the notional
amount and delivers of the defined obligation.
(Counterparty: Bank of America) 12/20/11 2,250 --
Fund pays a quarterly payment of 0.1125%
(0.450% per annum) times notional amount of
Weyerhaeuser Company, 6.750%, 03/15/12.
Upon a defined credit event the Fund receives
the notional amount and delivers of the defined
obligation. (Counterparty: Bank of America) 12/20/11 2,125 6
Fund pays a quarterly payment of 0.085% (0.340%
per annum) times notional amount of Agrium,
Inc., 8.250%, 02/15/11. Upon a defined credit
event the Fund receives the notional amount
and delivers of the defined obligation.
(Counterparty: JPMorgan Chase) 12/20/11 2,250 (14)
Fund pays a quarterly payment of 0.1375%
(0.550% per annum) times notional amount of
Black & Decker Corp., 7.125%, 06/01/11. Upon
a defined credit event the Fund receives the
notional amount and delivers of the defined
obligation. (Counterparty: JPMorgan Chase) 12/20/11 2,125 (19)
Fund pays a quarterly payment of 0.295% (1.180%
per annum) times notional amount of Gap, Inc.,
8.800%, 12/15/08. Upon a defined credit event
the Fund receives the notional amount and
delivers of the defined obligation.
(Counterparty: JPMorgan Chase) 12/20/11 2,250 (34)
Fund pays a quarterly payment of 0.0975%
(0.390% per annum) times notional amount of
Hasbro, inc., 2.750%, 12/01/21. Upon a defined
credit event the Fund receives the notional
amount and delivers of the defined obligation.
(Counterparty: JPMorgan Chase) 12/20/11 2,250 16
Fund pays a quarterly payment of 0.1375%
(0.550% per annum) times notional amount of
Black & Decker Corp., 7.125%, 06/01/11. Upon
a defined credit event the Fund receives the
notional amount and delivers of the defined
obligation. (Counterparty: Bank of America) 12/20/11 2,125 (19)
- --------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------------------------
Fund pays a quarterly payment of 0.1188%
(0.475% per annum) times notional amount of
The Limited, Inc., 6.125%, 12/01/12. Upon a
defined credit event the Fund receives the
notional amount and delivers of the defined
obligation. (Counterparty: Bank of America) 12/20/11 $ 2,250 $ 18
Fund pays a quarterly payment of 0.1925%
(0.770% per annum) times notional amount of
Jones Apparel Group, 5.125%, 11/15/14. Upon a
defined credit event the Fund receives the
notional amount and delivers of the defined
obligation. (Counterparty: JPMorgan Chase) 12/20/11 2,250 46
Fund pays a quarterly payment of 0675% (0.270%
per annum) times notional amount of Southwest
Airlines Co., 6.500%, 03/01/12. Upon a defined
credit event the Fund receives the notional
amount and delivers of the defined obligation.
(Counterparty: JPMorgan Chase) 12/20/11 2,250 3
Fund pays a quarterly payment of 0.1125% (0.450%
per annum) times notional amount of Lubrizol
Corp., 7.250%, 06/15/35. Upon a defined credit
event the Fund receives the notional amount
and delivers of the defined obligation.
(Counterparty: JPMorgan Chase) 12/20/11 2,125 (13)
Fund pays a quarterly payment of 0.050% (0.200%
per annum) times notional amount of PPG
Industries, Inc., 7.050%, 08/15/09. Upon a
defined credit event the Fund receives the
notional amount and delivers of the defined
obligation. (Counterparty: JPMorgan Chase) 12/20/11 2,250 (1)
Fund pays a quarterly payment of 0.0845% (0.338%
per annum) times notional amount of Whirlpool
Corp., 7.750%, 07/15/16. Upon a defined credit
event the Fund receives the notional amount
and delivers of the defined obligation.
(Counterparty: JPMorgan Chase) 12/20/11 2,250 (3)
Fund pays a quarterly payment of 0.0325%
(0.130% per annum) times notional amount of
Lowe's Companies, Inc., 8.250%, 06/01/10.
Upon a defined credit event the Fund receives
the notional amount and delivers of the defined
obligation. (Counterparty: Merrill Lynch) 12/20/11 2,250 7
Fund pays a quarterly payment of 0.0675% (0.270%
per annum) times notional amount of Southwest
Airlines Co., 6.500%, 03/01/12. Upon a defined
credit event the Fund receives the notional
amount and delivers of the defined obligation.
(Counterparty: Merrill Lynch) 12/20/11 2,125 3
Fund pays a quarterly payment of 0.1125% (0.450%
per annum) times notional amount of Lubrizol
Corp., 7.250%, 06/15/35. Upon a defined credit
event the Fund receives the notional amount
and delivers of the defined obligation.
(Counterparty: Merrill Lynch) 12/20/11 2,125 (13)
Fund pays a quarterly payment of 0.225% (0.900%
per annum) times notional amount of MDC
Holdings, Inc., 5.500%, 05/15/13. Upon a
defined credit event the Fund receives the
notional amount and delivers of the defined
obligation. (Counterparty: Merrill Lynch) 12/20/11 2,250 22
Fund pays a quarterly payment of 0.1725%
(0.690% per annum) times notional amount of
Donnelley (R.R.) & Sons, 4.950%, 04/01/14.
Upon a defined credit event the Fund receives
the notional amount and delivers of the defined
obligation. (Counterparty: Merrill Lynch) 12/20/11 2,250 (30)
Fund pays a quarterly payment of 0.035% (0.140%
per annum) times notional amount of Pitney
Bowes, Inc., 4.625%, 10/01/12. Upon a defined
credit event the Fund receives the notional
amount and delivers of the defined obligation.
(Counterparty: Bank of America) 12/20/11 4,500 (3)
Fund pays a quarterly payment of 0.110% (0.440%
per annum) times notional amount of Autozone,
Inc., 5.875%, 10/15/12. Upon a defined credit
event the Fund receives the notional amount
and delivers of the defined obligation.
(Counterparty: Bank of America) 12/20/11 2,125 (15)
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 181
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------------------------
Fund pays a quarterly payment of 0.1825% (0.730%
per annum) times notional amount of Masco
Corp., 5.875%, 07/15/12. Upon a defined credit
event the Fund receives the notional amount
and delivers of the defined obligation.
(Counterparty: Bank of America) 12/20/13 $ 2,250 $ 14
Fund pays a quarterly payment of 0.0625%
(0.260% per annum) times notional amount of
Dow Chemical, Inc., 6.000%, 10/01/12. Upon a
defined credit event the Fund receives the
notional amount and delivers of the defined
obligation. (Counterparty: JPMorgan Chase) 12/20/13 2,125 8
Fund pays a quarterly payment of 0.0875%
(0.350% per annum) times notional amount of
MGIC Investment Corp., 6.000%, 03/15/07.
Upon a defined credit event the Fund receives
the notional amount and delivers of the defined
obligation. (Counterparty: Bank of America) 12/20/13 2,125 121
Fund pays a quarterly payment of 0.0875% (0.350%
per annum) times notional amount of PMI
Group, Inc., 6.000%, 09/15/16. Upon a defined
credit event the Fund receives the notional
amount and delivers of the defined obligation.
(Counterparty: Bank of America) 12/20/13 2,125 94
Fund pays a quarterly payment of 0.0975% (0.390%
per annum) times notional amount of Radian
Group, Inc., 7.750%, 06/01/11. Upon a defined
credit event the Fund receives the notional
amount and delivers of the defined obligation.
(Counterparty: Bank of America) 12/20/13 2,125 303
Fund pays a quarterly payment of 0.070% (0.280%
per annum) times notional amount of Nordstrom,
Inc., 6.950%, 03/15/28. Upon a defined credit
event the Fund receives the notional amount
and delivers of the defined obligation.
(Counterparty: JPMorgan Chase) 12/20/13 2,125 --
Fund pays a quarterly payment of 0.0875%
(0.350% per annum) times notional amount of
MGIC Investment Corp., 6.000%, 03/15/07.
Upon a defined credit event the Fund receives
the notional amount and delivers of the defined
obligation. (Counterparty: JPMorgan Chase) 12/20/13 2,125 94
Fund pays a quarterly payment of 0.0875% (0.350%
per annum) times notional amount of PMI
Group, Inc., 6.000%, 09/15/16. Upon a defined
credit event the Fund receives the notional
amount and delivers of the defined obligation.
(Counterparty: JPMorgan Chase) 12/20/13 2,125 121
Fund pays a quarterly payment of 0.0975% (0.390%
per annum) times notional amount of Radian
Group, Inc., 7.750%, 06/01/11. Upon a defined
credit event the Fund receives the notional
amount and delivers of the defined obligation.
(Counterparty: JPMorgan Chase) 12/20/13 2,250 (4)
Fund pays a quarterly payment of 0.070% (0.280%
per annum) times notional amount of Nordstrom,
Inc., 6.950%, 03/15/28. Upon a defined credit
event the Fund receives the notional amount
and delivers of the defined obligation.
(Counterparty: Merrill Lynch) 12/20/13 2,125 --
Fund pays a quarterly payment of 0.0975%
(0.390% per annum) times notional amount of
Johnson Controls, inc., 7.125%, 07/15/17. Upon
a defined credit event the Fund receives the
notional amount and delivers of the defined
obligation. (Counterparty: Bank of America) 12/20/13 2,125 (14)
Fund pays a quarterly payment of 0.0875% (0.350%
per annum) times notional amount of Alcan,
Inc., 4.875%, 09/15/12. Upon a defined credit
event the Fund receives the notional amount
and delivers of the defined obligation.
(Counterparty: Bank of America) 12/20/13 2,125 (10)
Fund pays a quarterly payment of 0.0925% (0.370%
per annum) times notional amount of Johnson
Controls, Inc., 7.125%, 07/15/17. Upon a
defined credit event the Fund receives the
notional amount and delivers of the defined
obligation. (Counterparty: Bank of America) 12/20/13 2,125 (12)
- --------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------------------------
Fund pays a quarterly payment of 0.0625%
(0.250% per annum) times notional amount of
Dow Chemical, Inc., 6.000%, 10/01/12. Upon a
defined credit event the Fund receives the
notional amount and delivers of the defined
obligation. (Counterparty: Merrill Lynch) 12/20/13 $ 2,125 $ 9
Fund pays a quarterly payment of 0.0538% (0.215%
per annum) times notional amount of Carnival
Corp., 6.650%, 01/15/28. Upon a defined credit
event the Fund receives the notional amount
and delivers of the defined obligation.
(Counterparty: JPMorgan Chase) 06/20/12 1,600 9
Fund pays a quarterly payment of 0.500% (0.200%
per annum) times notional amount of Campbell
Soup Co., 4.875%, 10/01/13. Upon a defined
credit event the Fund receives the notional
amount and delivers of the defined obligation.
(Counterparty: Bank of America) 06/20/14 2,775 5
Fund receives a quarterly payment of 0.110%
(0.440% per annum) times notional amount of
Dow Chemical, Inc., 6.000%, 10/01/12. Upon a
defined credit event the Fund delivers the
notional amount and takes receipt of the defined
obligation. (Counterparty: Merrill Lynch) 12/20/11 (4,250) 38
Fund pays a quarterly payment of 0.1125%
(0.450% per annum) times notional amount of
Weyerhaeuser Company, 6.750%, 03/15/12.
Upon a defined credit event the Fund receives
the notional amount and delivers of the defined
obligation. (Counterparty: Merrill Lynch) 03/20/12 2,125 9
Fund pays a quarterly payment of 0.080% (0.320%
per annum) times notional amount of Alcan,
Inc., 4.875%, 09/15/12. Upon a defined credit
event the Fund receives the notional amount
and delivers of the defined obligation.
(Counterparty: Bank of America) 03/20/14 1,800 (4)
Fund pays a quarterly payment of 0.450% (5.400%
per annum) times notional amount of AMBAC
Monoline Supplement. Upon a defined credit
event the Fund receives the notional amount and
delivers of the defined obligation.
(Counterparty: JPMorgan Chase) 09/20/12 2,700 89
Fund pays a quarterly payment of 0.450% (5.400%
per annum) times notional amount of AMBAC
Monoline Supplement. Upon a defined credit
event the Fund receives the notional amount and
delivers of the defined obligation.
(Counterparty: Merrill Lynch) 09/20/12 1,500 56
Fund pays a quarterly payment of 0.450% (5.400%
per annum) times notional amount of AMBAC
Monoline Supplement. Upon a defined credit
event the Fund receives the notional amount and
delivers of the defined obligation.
(Counterparty: JPMorgan Chase) 12/20/12 425 18
Fund pays a quarterly payment of 0.450% (5.400%
per annum) times notional amount of AMBAC
Monoline Supplement. Upon a defined credit
event the Fund receives the notional amount and
delivers of the defined obligation.
(Counterparty: JPMorgan Chase) 12/20/12 6,250 284
Fund pays a quarterly payment of 0.288% (1.15%
per annum) times notional amount of AMBAC
Monoline Supplement. Upon a defined credit
event the Fund receives the notional amount and
delivers of the defined obligation.
(Counterparty: JPMorgan Chase) 12/20/12 1,450 65
Fund pays a quarterly payment of 0.375% (1.50%
per annum) times notional amount of AMBAC
Monoline Supplement. Upon a defined credit
event the Fund receives the notional amount and
delivers of the defined obligation.
(Counterparty: Barclays) 12/20/12 3,000 222
Fund pays a quarterly payment of 0.613% (2.42%
per annum) times notional amount of AMBAC
Monoline Supplement. Upon a defined credit
event the Fund receives the notional amount and
delivers of the defined obligation.
(Counterparty: Merrill Lynch) 09/20/12 1,450 37
- --------------------------------------------------------------------------------
182 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------------------------
Fund pays a quarterly payment of 0.638% (2.552%
per annum) times notional amount of AMBAC
Monoline Supplement. Upon a defined credit
event the Fund receives the notional amount and
delivers of the defined obligation.
(Counterparty: Merrill Lynch) 09/20/12 $ 1,450 $ 36
Fund pays a quarterly payment of 0.313% (1.252%
per annum) times notional amount of AMBAC
Assurance, 9.375%, 08/01/11. Upon a defined
credit event the Fund receives the notional
amount and delivers of the defined obligation.
(Counterparty: JPMorgan Chase) 12/20/12 3,125 190
Fund pays a quarterly payment of 0.225% (0.900%
per annum) times notional amount of MBI
Monoline Supplement. Upon a defined credit
event the Fund receives the notional amount and
delivers of the defined obligation.
(Counterparty: JPMorgan Chase) 12/20/12 2,750 131
Fund receives a quarterly payment of 0.100%
(0.400% per annum) times notional amount
of CDX.NA.IG Index. Upon a defined credit
event the Fund pays the notional amount and
takes receipt of the deliverable obligation.
(Counterparty: Bank of America) 12/20/11 (40,100) (156)
Fund receives a quarterly payment of 0.100%
(0.400% per annum) times notional amount
of CDX.NA.IG Index. Upon a defined credit
event the Fund pays the notional amount and
takes receipt of the deliverable obligation.
(Counterparty: Bank of America) 12/20/11 (2,400) (22)
Fund receives a quarterly payment of 0.100%
(0.400% per annum) times notional amount of
CDX.NA.IG Index. Upon a defined credit event
the Fund pays the notional amount and takes
receipt of the deliverable obligation.
(Counterparty: Bank of America) 12/20/11 (1,600) (14)
Fund receives a quarterly payment of 0.100%
(0.400% per annum) times notional amount of
CDX.NA.IG Index. Upon a defined credit event
the Fund pays the notional amount and takes
receipt of the deliverable obligation.
(Counterparty: Bank of America) 12/20/11 (2,125) (23)
Fund receives a quarterly payment of 0.100%
(0.400% per annum) times notional amount of
CDX.NA.IG Index. Upon a defined credit event
the Fund pays the notional amount and takes
receipt of the deliverable obligation.
(Counterparty: Merrill Lynch) 12/20/11 (1,800) (6)
Fund receives a quarterly payment of 0.100%
(0.400% per annum) times notional amount of
CDX.NA.IG Index. Upon a defined credit event
the Fund pays the notional amount and takes
receipt of the deliverable obligation.
(Counterparty: Merrill Lynch) 12/20/11 (10,875) (40)
Fund receives a quarterly payment of 0.100%
(0.400% per annum) times notional amount of
CDX.NA.IG Index. Upon a defined credit event
the Fund pays the notional amount and takes
receipt of the deliverable obligation.
(Counterparty: Merrill Lynch) 12/20/11 (40,100) (156)
Fund pays a quarterly payment of 0.050%
(0.200% per annum) times notional amount
of PPG Industries, Inc., 7.050%, 08/15/09.
Upon a defined credit event the Fund
receives the notional amount and delivers
the defined obligation.
(Counterparty: JP Morgan Chase) 12/20/11 2,250 (1)
---------------
$ (10,824)
===============
- --------------------------------------------------------------------------------------------------
INTEREST RATE SWAPS
- --------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------------------------
Receives fixed rate of 4.58% and pay
floating rate, rate based on 3 Month LIBOR.
(Counterparty: Citigroup) 11/15/09 $ 4,270 $ 12
- --------------------------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------------------------
Pays fixed rate of 4.524% and receives floating
rate, rate based on 5Y5Y Swaption Straddle.
(Counterparty: Lehman Brothers) 05/24/17 $ 5,110 $ 179
Pays fixed rate of 4.650% and receives floating
rate, rate based on 5Y5Y Swaption Straddle.
(Counterparty: Lehman Brothers) 05/18/17 9,000 226
Receives fixed rate of 5.043% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Merrill Lynch) 11/30/09 3,090 32
Receives fixed rate of 5.135% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Lehman Brothers) 11/30/09 3,090 38
Receives fixed rate of 7.160% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Lehman Brothers) 05/25/22 4,500 --
Receives fixed rate of 7.880% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Lehman Brothers) 06/04/22 3,130 (21)
Receives fixed rate of 7.910% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Lehman Brothers) 06/12/22 3,000 (6)
Receives fixed rate of 8.250% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Citigroup) 08/21/22 2,780 63
Receives fixed rate of 4.8125% and pay floating
rate, rate based on 3 Month LIBOR.
(Counterparty: Merrill Lynch) 11/15/09 4,300 8
--------------
$ 531
==============
Percentages are based on Net Assets of $4,613,519 ($ Thousands).
* Term Loan.
** Rate shown is the 7-day effective yield as of September 30, 2007.
+ Real Estate Investment Trust.
++ Investment in Affiliated Security (see Note 3).
(A) The rate reported is the effective yield at time of purchase.
(B) Security, or portion thereof, has been pledged as collateral on open
futures contracts.
(C) Securities sold within terms of a private placement memorandum, exempt
from registration under Section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors." These securities have been determined to be liquid
under guidelines established by the Board of Trustees.
(D) Treasury Inflation Index Notes.
(E) Zero Coupon Bond -- The rate reported on the Schedule of Investments is
the effective yield at time of purchase.
(F) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of September 30, 2007. The date reported on the
Schedule of Investments is the next reset date.
(G) Step Bonds -- The rate reflected on the Schedule of Investments is the
effective yield on September 30, 2007. The coupon on a step bond changes
on a specified date.
(H) Securities considered illiquid. The total market value of such securities
as of September 30, 2007 was $3,988 ($ Thousands) and represented 0.09% of
Net Assets.
(I) Security in default on interest payments.
(J) This security or a partial position of this security is on loan at
September 30, 2007 (see Note 7). The total market value of securities on
loan at September 30, 2007 was $721,687 ($ Thousands).
(K) This security was purchased with cash collateral held from securities on
loan (see Note 7). The total market value of such securities as of
September 30, 2007 was $749,397 ($ Thousands).
(L) The note accrues 9.65% annual coupon for any day that the 3-year swap rate
exceeds the 1-year swap rate by 22 or more basis points.
(M) The note accrues 12.50% annual coupon for any day that the 5-year swap
rate exceeds the 2-year swap rate by 30 or more basis points.
(N) Tri-Party Repurchase Agreement.
ABS -- Asset-Backed Security
ARM -- Adjustable Rate Mortgage
CDO -- Collateralized Debt Obligation
Cl -- Class
CMBS -- Commercial Mortgage-Backed Securities
CMO -- Collateralized Mortgage Obligation
DN -- Discount Note
EUR -- Euro
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 183
SCHEDULE OF INVESTMENTS
Core Fixed Income Fund (Concluded)
September 30, 2007
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
EXL -- Extendable Maturity
FFCA -- Federal Farm Credit Association
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FICO -- Fair Isaac Corporation
FNMA -- Federal National Mortgage Association
GMAC -- General Motors Acceptance Corporation
GNMA -- Government National Mortgage Association
IO -- Interest Only
JPY -- Japanese Yen
LLC -- Limited Liability Company
LP -- Limited Partnership
Ltd. -- Limited
MTN -- Medium Term Note
NIM -- Net Interest Margin
PIK -- Payment-in-Kind
PLC -- Public Limited Company
Ser -- Series
STRIPS -- Separately Traded Registered Interest and Principal Securities
TBA -- To Be Announced
TIPS -- Treasury Inflated Protection Securities
USD -- United States Dollar
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
184 SEI Institutional Managed Trust / Annual Report / September 30, 2007
High Yield Bond Fund
September 30, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS# (UNAUDITED):
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
18.8% Consumer Discretionary
18.0% Short-Term Investments
8.3% Telecommunication Services
7.7% Loan Participants
7.6% Materials
7.5% Industrials
7.0% Financials
6.4% Energy
4.8% Collateralized Loan Obligations
3.9% Health Care
3.1% Information Technology
2.7% Consumer Staples
2.2% Utilities
1.2% Collateralized Debt Obligations
0.3% Preferred Stock
0.3% Common Stock
0.1% Convertible Bonds
0.1% Asset-Backed Security
0.0% Warrants
# Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 7).
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS -- 77.3%
CONSUMER DISCRETIONARY -- 21.6%
Adelphia Communications
(escrow security)
10.250%, 06/15/11 $ 150 $ 26
7.750%, 01/15/09 225 36
Adelphia Communications, Ser B PIK
(escrow security) (F)
9.500%, 02/15/04 25 4
American Casino & Entertainment
7.850%, 02/01/12 50 51
American Greetings
7.375%, 06/01/16 525 509
Amscan Holdings
8.750%, 05/01/14 835 772
Aramark Services (G)
8.856%, 11/22/07 (D) 350 354
8.500%, 02/01/15 2,600 2,652
Arvinmeritor (G)
8.750%, 03/01/12 1,790 1,826
Asbury Automotive Group (A)
7.625%, 03/15/17 150 138
Autonation (D)
7.360%, 10/15/07 930 888
Avis Budget Car Rental
8.058%, 11/15/07 (D) 965 941
7.750%, 05/15/16 250 245
Beazer Homes USA (G)
8.625%, 05/15/11 270 213
6.875%, 07/15/15 2,155 1,595
Blockbuster (G)
9.000%, 09/01/12 175 158
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Bonten Media Acquisition PIK (A)
9.000%, 06/01/15 $ 275 $ 246
Boyd Gaming
7.750%, 12/15/12 (G) 100 103
7.125%, 02/01/16 2,475 2,395
6.750%, 04/15/14 1,075 1,054
Broder Brothers, Ser B
11.250%, 10/15/10 1,260 1,096
Brookstone (G)
12.000%, 10/15/12 730 723
Brown Shoe
8.750%, 05/01/12 1,100 1,133
Burlington Coat (G)
11.125%, 04/15/14 2,525 2,361
CBD Media Holdings
9.250%, 07/15/12 500 540
8.625%, 06/01/11 275 288
CCH I Holdings LLC
11.750%, 05/15/14 (B) (G) 150 139
11.125%, 01/15/14 525 478
9.920%, 04/01/14 (G) 1,600 1,376
CCH I LLC
11.000%, 10/01/15 6,341 6,425
CCH II LLC
10.250%, 09/15/10 1,385 1,416
CCH II LLC, Ser B
10.250%, 09/15/10 100 104
CCO Holdings LLC
8.750%, 11/15/13 2,620 2,633
CSC Holdings
7.875%, 12/15/07 200 200
7.625%, 07/15/18 600 573
7.250%, 07/15/08 250 251
CSC Holdings, Ser B
8.125%, 08/15/09 275 280
Cablevision Systems, Ser B
9.820%, 10/03/07 (D) 1,760 1,813
8.000%, 04/15/12 100 97
Caesars Entertainment
8.875%, 09/15/08 440 449
8.125%, 05/15/11 225 230
7.875%, 03/15/10 650 663
Canwest Media
8.000%, 09/15/12 825 809
Carrols
9.000%, 01/15/13 1,470 1,396
Charter Communications
Holdings LLC (A)
8.000%, 04/30/12 175 174
Choctaw Resort Development Entity (A)
7.250%, 11/15/19 1,066 1,049
Cinemark (B)
10.838%, 03/15/14 450 425
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 185
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Claire's Stores (A)
10.500%, 06/01/17 (G) $ 4,825 $ 3,715
9.250%, 06/01/15 375 324
Claire's Stores PIK (A) (G)
9.625%, 06/01/15 2,625 2,159
Clear Channel Communications
4.625%, 01/15/08 2,200 2,184
Cooper Standard Auto
8.375%, 12/15/14 1,475 1,283
Couche-Tard US
7.500%, 12/15/13 1,508 1,534
Dana (C) (G)
7.000%, 03/15/28 to 03/01/29 950 770
6.500%, 03/15/08 100 82
6.500%, 03/01/09 350 289
Delphi (C)
7.125%, 05/01/29 800 736
6.550%, 06/15/06 325 297
6.500%, 05/01/09 (G) 2,325 2,116
Dex Media
9.173%, 11/15/13 (B) 3,680 3,459
8.000%, 11/15/13 125 126
Dex Media East LLC
12.125%, 11/15/12 1,620 1,729
9.875%, 11/15/09 629 646
Dex Media West, Ser B
9.875%, 08/15/13 1,950 2,074
8.500%, 08/15/10 100 103
DirecTV Holdings
8.375%, 03/15/13 1,815 1,885
6.375%, 06/15/15 5,075 4,815
Easton-Bell Sports
8.375%, 10/01/12 1,485 1,396
Echostar DBS
7.125%, 02/01/16 3,314 3,405
7.000%, 10/01/13 1,435 1,467
6.625%, 10/01/14 250 251
5.750%, 10/01/08 1,400 1,400
El Dorado Casino Shreveport PIK (G)
10.000%, 08/01/12 1,193 1,204
Eye Care Centers of America
10.750%, 02/15/15 700 746
Federal-Mogul (C)
7.750%, 07/01/06 50 41
7.500%, 07/01/04 100 82
7.500%, 01/15/09 (G) 225 185
7.375%, 01/15/06 100 82
Federal-Mogul MTN A (C)
8.370%, 11/15/01 325 267
Festival Fun Park LLC
10.875%, 04/15/14 1,906 1,920
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Fontainebleau Las Vegas (A)
10.250%, 06/15/15 $ 4,950 $ 4,641
Ford Motor
9.215%, 09/15/21 350 303
8.900%, 01/15/32 900 743
8.875%, 01/15/22 50 43
7.450%, 07/16/31 975 765
6.500%, 08/01/18 (G) 2,105 1,695
General Motors
8.375%, 07/15/33 (G) 7,216 6,323
8.250%, 07/15/23 (G) 4,373 3,826
7.700%, 04/15/16 562 504
7.125%, 07/15/13 (G) 1,975 1,812
General Nutrition Center (A)
10.121%, 03/15/14 575 552
Goodyear Tire & Rubber
11.250%, 03/01/11 745 798
8.625%, 12/01/11 (A) 403 421
7.857%, 08/15/11 850 863
Great Canadian Gaming (A)
7.250%, 02/15/15 300 300
Group 1 Automotive
8.250%, 08/15/13 525 525
Hanesbrands, Ser B (D)
8.784%, 12/15/07 2,720 2,706
Harrah's Operating
8.000%, 02/01/11 675 672
5.500%, 07/01/10 100 96
Herbst Gaming
8.125%, 06/01/12 825 739
7.000%, 11/15/14 1,425 1,168
Hertz
10.500%, 01/01/16 600 648
8.875%, 01/01/14 2,375 2,446
Idearc
8.000%, 11/15/16 2,255 2,249
Inn of the Mountain Gods
12.000%, 11/15/10 275 290
Isle of Capri Casinos
7.000%, 03/01/14 2,500 2,237
Jarden (G)
7.500%, 05/01/17 3,075 2,975
Jo-Ann Stores
7.500%, 03/01/12 375 338
LBI Media (B)
8.509%, 10/15/13 675 618
LIN Television
6.500%, 05/15/13 1,625 1,580
LIN Televison, Ser B
6.500%, 05/15/13 1,325 1,289
Lamar Media
7.250%, 01/01/13 400 402
6.625%, 08/15/15 2,200 2,123
- --------------------------------------------------------------------------------
186 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Lamar Media, Ser B
6.625%, 08/15/15 $ 550 $ 531
Leslie's Poolmart
7.750%, 02/01/13 550 523
MGM Mirage
8.375%, 02/01/11 1,500 1,564
7.500%, 06/01/16 2,960 2,941
6.875%, 04/01/16 3,010 2,912
6.750%, 04/01/13 1,600 1,564
5.875%, 02/27/14 1,400 1,290
Majestic Holdings LLC (A) (B)
2.537%, 10/15/11 50 36
Majestic Star Casino LLC
9.500%, 10/15/10 1,250 1,200
Majestic Star II LLC (G)
9.750%, 01/15/11 1,250 1,050
Mandalay Resort Group
9.375%, 02/15/10 575 602
MediMedia USA (A)
11.375%, 11/15/14 775 798
MediaNews Group
6.875%, 10/01/13 75 57
6.375%, 04/01/14 150 111
Mediacom Broadband LLC
8.500%, 10/15/15 2,425 2,431
Mediacom LLC
9.500%, 01/15/13 3,276 3,317
Michael's Stores
11.375%, 11/01/16 (A) 895 915
11.375%, 11/01/16 (G) 500 511
10.000%, 11/01/14 (A) 528 541
Mohegan Tribal Gaming
7.125%, 08/15/14 75 75
6.875%, 02/15/15 1,325 1,303
6.125%, 02/15/13 250 238
NPC International
9.500%, 05/01/14 175 159
Neff (G)
10.000%, 06/01/15 1,550 1,101
Neiman Marcus Group (G)
10.375%, 10/15/15 789 860
Neiman Marcus Group PIK
9.000%, 10/15/15 1,050 1,118
New World Gaming
0.000%, 06/18/14 1,225 1,170
Nexstar Holdings LLC (B)
8.053%, 04/01/13 800 788
Outback Steakhouse (A) (G)
10.000%, 06/15/15 2,250 1,991
Penhall International (A)
12.000%, 08/01/14 2,140 2,161
Penn National Gaming
6.875%, 12/01/11 950 962
6.750%, 03/01/15 1,120 1,142
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Penske Auto Group (G)
7.750%, 12/15/16 $ 1,800 $ 1,723
Perry Ellis International, Ser B
8.875%, 09/15/13 1,326 1,303
Petro Stopping Centers
9.000%, 02/15/12 250 262
Phillips Van-Heusen
8.125%, 05/01/13 375 385
7.250%, 02/15/11 75 76
Quebecor Media
7.750%, 03/15/16 4,700 4,482
RH Donnelley
10.875%, 12/15/12 800 852
6.875%, 01/15/13 675 638
RH Donnelley, Ser A-1
6.875%, 01/15/13 3,600 1,913
RH Donnelley, Ser A-2
6.875%, 01/15/13 2,165 2,046
RH Donnelley, Ser A-3
8.875%, 01/15/16 400 408
RJ Tower (C) (G)
12.000%, 06/01/13 175 4
Reader's Digest Association (A)
9.000%, 02/15/17 75 68
Rent-A-Center, Ser B
7.500%, 05/01/10 2,025 1,924
Rental Service (G)
9.500%, 12/01/14 3,245 3,099
SGS International
12.000%, 12/15/13 1,875 1,931
Sally Holdings LLC (G)
10.500%, 11/15/16 935 935
9.250%, 11/15/14 1,910 1,929
Sbarro (G)
10.375%, 02/01/15 125 114
Sealy Mattress
8.250%, 06/15/14 3,306 3,331
Seneca Gaming
7.250%, 05/01/12 600 605
Service
7.375%, 10/01/14 (G) 2,077 2,134
7.000%, 06/15/17 1,375 1,351
6.750%, 04/01/15 1,440 1,429
Service International
7.625%, 10/01/18 793 823
6.750%, 04/01/16 1,075 1,041
Simmons
12.039%, 12/15/14 (B) 4,230 3,373
7.875%, 01/15/14 (G) 1,200 1,152
Sinclair Broadcast Group (A) (B)
4.875%, 07/15/18 450 425
Six Flags (G)
9.625%, 06/01/14 150 124
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 187
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Sonic Automotive, Ser B (G)
8.625%, 08/15/13 $ 2,145 $ 2,118
Spectrum Brands PIK (G)
11.250%, 10/02/13 300 267
Stanadyne Holdings (B)
9.066%, 02/15/15 1,575 1,268
Stanadyne, Ser 1
10.000%, 08/15/14 450 452
Station Casinos
6.875%, 03/01/16 3,775 3,284
6.625%, 03/15/18 3,025 2,533
Steinway Musical Instruments (A)
7.000%, 03/01/14 4,855 4,612
Stewart Enterprises
6.250%, 02/15/13 805 783
Sun Media
7.625%, 02/15/13 2,085 2,049
TRW Automotive (A)
7.250%, 03/15/17 4,155 4,051
7.000%, 03/15/14 (G) 2,310 2,241
Tenneco (G)
8.625%, 11/15/14 4,001 4,031
Town Sports International (B)
4.655%, 02/01/14 1,817 1,694
Travelport LLC
11.875%, 09/01/16 (G) 2,385 2,498
10.246%, 09/01/14 2,371 2,371
United Components
9.375%, 06/15/13 680 690
United Rentals North America
7.000%, 02/15/14 700 714
6.500%, 02/15/12 2,400 2,430
Universal City Florida (D)
10.106%, 11/01/07 3,247 3,279
Univision Communications PIK (A) (G)
9.750%, 03/15/15 3,375 3,291
Vail Resorts
6.750%, 02/15/14 2,705 2,637
Vicorp Restaurants
10.500%, 04/15/11 51 33
Videotron
6.875%, 01/15/14 4,070 3,999
6.375%, 12/15/15 25 24
Visant Holding
11.058%, 12/01/13 (B) 5,015 4,664
8.750%, 12/01/13 740 757
Visteon
8.250%, 08/01/10 250 220
7.000%, 03/10/14 (G) 750 583
WMG Acquisition
7.375%, 04/15/14 1,760 1,531
WMG Holdings (B)
6.530%, 12/15/14 1,835 1,284
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Wynn Las Vegas LLC
6.625%, 12/01/14 $ 2,316 $ 2,270
--------------
269,289
--------------
CONSUMER STAPLES -- 3.1%
B&G Foods
8.000%, 10/01/11 525 520
Constellation Brands
7.250%, 09/01/16 4,660 4,660
7.250%, 05/15/17 (A) 3,100 3,100
Dean Foods
7.000%, 06/01/16 75 71
Del Laboratories
10.356%, 10/28/07 (D) 610 621
8.000%, 02/01/12 (G) 2,795 2,571
Del Monte
6.750%, 02/15/15 1,235 1,186
Dole Foods
7.250%, 06/15/10 1,275 1,205
Elizabeth Arden
7.750%, 01/15/14 1,500 1,477
Fleming (C)
10.125%, 04/01/08 1,053 53
9.250%, 06/15/10 188 9
Merisant
9.500%, 07/15/13 2,075 1,577
Merisant Worldwide (B)
8.136%, 05/15/14 1,075 422
Michael Foods
8.000%, 11/15/13 2,765 2,765
NBTY
7.125%, 10/01/15 3,026 3,026
Natural Beef Pack
10.500%, 08/01/11 1,652 1,677
Pantry
7.750%, 02/15/14 1,050 1,013
Playtex Products
9.375%, 06/01/11 (G) 2,480 2,564
8.000%, 03/01/11 970 1,021
Rite Aid
9.500%, 06/15/17 (A) 3,430 3,207
9.375%, 12/15/15 (A) 925 860
9.250%, 06/01/13 1,025 974
8.625%, 03/01/15 875 792
7.700%, 02/15/27 (G) 150 115
7.500%, 01/15/15 25 24
6.875%, 08/15/13 to 12/15/28 (G) 475 353
Spectrum Brands (G)
7.375%, 02/01/15 2,508 1,931
- --------------------------------------------------------------------------------
188 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
SuperValu
7.500%, 11/15/14 $ 875 $ 890
--------------
38,684
--------------
ENERGY -- 7.3%
Allis-Chalmers Energy
9.000%, 01/15/14 4,442 4,475
8.500%, 03/01/17 350 339
Atlas Pipeline Partners
8.125%, 12/15/15 375 369
Aventine Renewable Energy
10.000%, 04/01/17 800 724
Baytex Energy
9.625%, 07/15/10 350 361
Brigham Exploration
9.625%, 05/01/14 850 801
Chaparral Energy
8.875%, 02/01/17 (A) 1,125 1,055
8.500%, 12/01/15 1,812 1,699
Chesapeake Energy
7.750%, 01/15/15 (G) 2,459 2,530
7.500%, 09/15/13 to 06/15/14 1,906 1,956
7.000%, 08/15/14 324 326
6.875%, 01/15/16 817 817
6.500%, 08/15/17 2,480 2,412
Cimarex Energy
7.125%, 05/01/17 2,250 2,233
Colorado Interstate Gas
6.800%, 11/15/15 125 129
5.950%, 03/15/15 275 270
Compagnie Generale de Geophysique
7.750%, 05/15/17 525 541
7.500%, 05/15/15 1,300 1,339
Compton Pet Finance
7.625%, 12/01/13 375 362
Comstock Resources
6.875%, 03/01/12 75 72
Denbury Resources
7.500%, 04/01/13 to 12/15/15 5,225 5,348
Dynegy Holdings
8.375%, 05/01/16 975 980
7.750%, 06/01/19 (A) 4,820 4,609
7.500%, 06/01/15 (A) 1,235 1,192
El Paso (G)
7.420%, 02/15/37 1,025 993
7.000%, 06/15/17 1,550 1,574
El Paso MTN
8.050%, 10/15/30 375 385
7.800%, 08/01/31 1,050 1,066
7.750%, 01/15/32 (G) 1,050 1,066
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
El Paso Performance-Linked Trust (A)
7.750%, 07/15/11 $ 725 $ 745
Encore Acquisition
7.250%, 12/01/17 800 758
6.000%, 07/15/15 625 564
Energy Partners (A)
10.485%, 10/15/07 (D) 400 392
9.750%, 04/15/14 950 912
Energy XXI Gulf Coast (A)
10.000%, 06/15/13 840 794
Forest Oil
8.000%, 06/15/08 to 12/15/11 1,670 1,729
7.250%, 06/15/19 (A) (G) 500 500
Frigstad Discoverer
11.500%, 02/21/12 800 752
Frontier Oil
6.625%, 10/01/11 675 663
Grant Prideco, Ser B
6.125%, 08/15/15 300 291
Hilcorp Energy (A)
9.000%, 06/01/16 1,050 1,071
7.750%, 11/01/15 2,300 2,248
Holly Energy Partners LP
6.250%, 03/01/15 1,225 1,139
Inergy LP
6.875%, 12/15/14 325 314
MarkWest Energy, Ser B
8.500%, 07/15/16 200 197
6.875%, 11/01/14 1,600 1,480
Newfield Exploration
6.625%, 04/15/16 1,610 1,574
North Pipeline
5.950%, 04/15/17 300 290
Northwest Pipeline
7.000%, 06/15/16 225 234
OPTI Canada (A)
8.250%, 12/15/14 1,935 1,950
7.875%, 12/15/14 555 555
PHI
7.125%, 04/15/13 125 120
Pacific Energy Partner
7.125%, 06/15/14 225 231
6.250%, 09/15/15 100 96
Parker Drilling
9.625%, 10/01/13 236 253
Peabody Energy
7.375%, 11/01/16 1,025 1,081
Peabody Energy, Ser B (G)
6.875%, 03/15/13 2,000 2,020
PetroProd
10.850%, 05/24/13 800 764
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 189
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Petrohawk Energy
9.125%, 07/15/13 $ 2,015 $ 2,126
Plains Exploration
7.750%, 06/15/15 650 637
7.000%, 03/15/17 825 771
Pogo Producing
7.875%, 05/01/13 750 776
6.875%, 10/01/17 300 302
6.625%, 03/15/15 275 276
Pride International
7.375%, 07/15/14 859 880
Quicksilver Resources
7.125%, 04/01/16 1,025 1,010
Range Resources
6.375%, 03/15/15 350 341
Regency Energy Partners (A)
8.375%, 12/15/13 1,202 1,259
SESI LLC
6.875%, 06/01/14 1,000 970
Sabine Pass LNG LP
7.500%, 11/30/16 1,500 1,477
7.250%, 11/30/13 1,400 1,379
Southern Natural Gas
7.350%, 02/15/31 375 393
Swift Energy
7.625%, 07/15/11 2,250 2,256
Tesoro
6.625%, 11/01/15 1,530 1,530
6.500%, 06/01/17 (A) 1,000 992
Transcontinental Gas Pipe
6.400%, 04/15/16 175 176
United Refining (A)
10.500%, 08/15/12 675 695
Veneco
8.750%, 12/15/11 2,560 2,554
VeraSun Energy (A)
9.375%, 06/01/17 1,025 881
Whiting Petroleum
7.000%, 02/01/14 980 941
Williams
8.125%, 03/15/12 660 711
7.750%, 06/15/31 500 526
7.625%, 07/15/19 300 321
Williams Partners LP
7.250%, 02/01/17 2,590 2,642
Williams, Ser A
7.500%, 01/15/31 250 259
--------------
90,821
--------------
FINANCIALS -- 8.0%
AAC Group Holding (B) (G)
2.733%, 10/01/12 1,080 961
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
AAC Group Holding PIK (G)
14.750%, 10/01/12 $ 676 $ 663
ACE Cash Express (A)
10.250%, 10/01/14 775 777
ALH Finance LLC
8.500%, 01/15/13 2,910 2,794
Alamosa Delaware
8.500%, 01/31/12 1,005 1,049
Algoma Acquisition (A)
9.875%, 06/15/15 950 845
American Real Estate (A)
7.125%, 02/15/13 4,525 4,310
Armstrong World (C) (G)
7.450%, 05/15/29 525 3
Ashtead Capital (A) (G)
9.000%, 08/15/16 1,985 1,958
Cardtronics
9.250%, 08/15/13 150 144
9.250%, 08/15/13 (A) 350 335
Cebridge
11.371%, 05/05/14 515 501
Deluxe
7.375%, 06/01/15 200 198
Dow Jones CDX HY, Ser 6-T1
8.625%, 06/29/11 40 41
FMC Finance III (A)
6.875%, 07/15/17 1,795 1,786
FTI Consulting
7.750%, 10/01/16 1,275 1,320
7.625%, 06/15/13 425 436
Felcor Lodging LP +
8.500%, 06/01/11 300 317
7.260%, 10/31/07 (D) 225 223
Ford Motor Credit LLC
9.810%, 10/17/07 (D) 3,185 3,296
9.750%, 09/15/10 1,604 1,636
8.110%, 10/13/07 (D) 300 283
8.000%, 12/15/16 3,750 3,508
7.800%, 06/01/12 2,585 2,459
7.375%, 10/28/09 to 02/01/11 1,500 1,456
7.250%, 10/25/11 1,090 1,021
7.000%, 10/01/13 6,063 5,479
6.930%, 10/18/07 (D) 765 720
GMAC LLC
8.000%, 11/01/31 1,782 1,748
7.821%, 10/25/07 (D) 500 461
7.750%, 01/19/10 150 149
7.250%, 03/02/11 150 145
7.000%, 02/01/12 100 95
6.875%, 09/15/11 to 08/28/12 7,670 7,234
6.750%, 12/01/14 7,366 6,676
6.625%, 05/15/12 1,260 1,176
6.000%, 12/15/11 225 208
- --------------------------------------------------------------------------------
190 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
HUB International Holdings (A)
9.000%, 12/15/14 $ 1,700 $ 1,632
Hawker Beechcraft Acquisition (A)
9.750%, 04/01/17 250 247
8.500%, 04/01/15 375 383
Hawker Beechcraft Acquisition PIK (A)
8.875%, 04/01/15 75 76
Hellas II (A) (D)
11.110%, 12/21/07 2,250 2,317
Hexion US Fin/Nova Scotia
9.750%, 11/15/14 2,250 2,475
10.058%, 11/15/07 (D) 750 772
Host Hotels & Resorts LP
6.875%, 11/01/14 1,615 1,611
Host Marriott LP +
7.125%, 11/01/13 1,025 1,033
Host Marriott LP, Ser M +
7.000%, 08/15/12 400 403
Host Marriott LP, Ser O +
6.375%, 03/15/15 475 464
Host Marriott LP, Ser Q +
6.750%, 06/01/16 1,515 1,500
Ipayment
9.750%, 05/15/14 750 716
KAR Holdings (A)
10.000%, 05/01/15 1,650 1,547
9.356%, 05/01/14 (D) (G) 800 766
8.750%, 05/01/14 1,425 1,364
LVB Acquisition Merger - Biomet PIK
10.375%, 10/15/17 1,965 1,899
Marlin Water Trust II (A) (C)
6.310%, 07/15/03 4,200 378
NSG Holdings LLC (A)
7.750%, 12/15/25 475 470
Nielsen Finance LLC
10.000%, 08/01/14 2,050 2,168
Omega Healthcare Investors +
7.000%, 01/15/16 1,300 1,289
PNA Intermediate Holding (A) (D)
12.558%, 11/15/07 500 490
PXRE Capital Trust I
8.850%, 02/01/27 900 911
Petroplus Finance
7.000%, 05/01/17 (A) 3,235 3,073
6.750%, 05/01/14 (A) 1,400 1,344
6.750%, 05/01/14 1,400 1,346
Pinnacle Foods Finance LLC (A)
10.625%, 04/01/17 (G) 1,975 1,852
9.250%, 04/01/15 225 214
Realogy (A)
12.375%, 04/15/15 450 340
10.500%, 04/15/14 (G) 850 725
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Residential Capital LLC
6.224%, 06/09/08 (D) $ 400 $ 368
6.125%, 11/21/08 225 201
Rouse LP + (A)
6.750%, 05/01/13 700 687
SLM EXL, Ser S (D) (H)
5.763%, 10/15/07 3,040 3,040
Senior Housing Properties Trust +
7.875%, 04/15/15 671 701
Snoqualmie Enterprises Authority (A)
9.125%, 02/01/15 1,025 1,010
9.063%, 02/01/08 (D) 300 292
Trustreet Properties +
7.500%, 04/01/15 475 509
Ventas Realty LP +
7.125%, 06/01/15 75 77
6.750%, 04/01/17 850 848
6.625%, 10/15/14 375 374
Yankee Acquisition, Ser B
8.500%, 02/15/15 1,075 1,043
Yankee Acquisition, Ser B (G)
9.750%, 02/15/17 525 496
--------------
99,862
--------------
HEALTH CARE -- 4.5%
Advanced Mecial Optics
7.500%, 05/01/17 2,700 2,484
Bio-Rad Laboratories
7.500%, 08/15/13 175 178
6.125%, 12/15/14 850 808
CRC Health
10.750%, 02/01/16 1,725 1,811
Community Health Systems (A) (G)
8.875%, 07/15/15 2,560 2,630
Cooper
7.125%, 02/15/15 2,925 2,896
Fresenius Medical Capital Trust II
7.875%, 02/01/08 1,830 1,835
Fresenius Medical Capital Trust IV
7.875%, 06/15/11 1,050 1,089
HCA
9.250%, 11/15/16 (A) 9,850 10,466
9.125%, 11/15/14 (A) 855 902
8.750%, 09/01/10 510 516
6.750%, 07/15/13 615 554
6.500%, 02/15/16 (G) 325 276
HCA PIK (A)
9.625%, 11/15/16 5,480 5,850
MedCath Holdings (G)
9.875%, 07/15/12 431 457
Mylan Laboratories
6.375%, 08/15/15 660 709
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 191
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
NMH Holdings PIK (A)
12.485%, 12/15/07 $ 625 $ 609
Norcross Safety Products, Ser B
9.875%, 08/15/11 1,315 1,354
Reable Therapeutics
11.750%, 11/15/14 1,150 1,092
Res-care
7.750%, 10/15/13 675 668
Select Medical (G)
11.080%, 03/29/08 (D) 650 588
7.625%, 02/01/15 2,085 1,866
Spheris
11.000%, 12/15/12 1,400 1,400
Sun Healthcare Group (A)
9.125%, 04/15/15 375 383
Surgical Care Affiliates PIK (A)
8.875%, 07/15/15 850 808
Tenet Healthcare
9.875%, 07/01/14 (G) 1,325 1,212
9.250%, 02/01/15 3,760 3,318
US Oncology
10.750%, 08/15/14 4,349 4,490
9.000%, 08/15/12 675 680
United Surgical Partners (G)
8.875%, 05/01/17 1,480 1,495
United Surgical Partners PIK
9.250%, 05/01/17 2,010 2,010
Universal Hospital Services (A) (D)
8.759%, 12/01/07 175 174
Universal Hospital Services PIK (A)
8.500%, 06/01/15 250 248
--------------
55,856
--------------
INDUSTRIALS -- 8.6%
ACCO Brands
7.625%, 08/15/15 3,605 3,443
ACIH (A) (B) (G)
5.291%, 12/15/12 975 751
AGY Holding (A)
11.000%, 11/15/14 675 673
Actuant (A)
6.875%, 06/15/17 1,580 1,556
Ahern Rentals
9.250%, 08/15/13 1,500 1,444
Ainsworth Lumber
7.250%, 10/01/12 250 171
6.750%, 03/15/14 450 288
6.750%, 03/15/14 (G) 450 290
Aleris International
10.000%, 12/15/16 1,900 1,681
Alliant Techsystems
6.750%, 04/01/16 650 643
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Allied Waste North America
7.250%, 03/15/15 $ 205 $ 209
6.125%, 02/15/14 (G) 2,030 1,972
Allied Waste North America, Ser B
7.375%, 04/15/14 (G) 340 342
7.125%, 05/15/16 545 557
Altos Hornos de Mexico, Ser A (C)
11.375%, 04/30/02 500 343
Altos Hornos de Mexico, Ser B (C)
11.875%, 04/30/04 900 616
American Airlines, Ser 01-1
7.379%, 05/23/16 117 109
American Axle & Manufacturing
7.875%, 03/01/17 575 555
American Railcar Industries
7.500%, 03/01/14 300 299
Ames True Temper
10.000%, 07/15/12 (G) 1,425 1,097
9.360%, 10/15/07 (D) 1,345 1,325
Associated Materials (B) (G)
15.609%, 03/01/14 525 331
Baker & Taylor (A)
11.500%, 07/01/13 950 932
Baldor Electric
8.625%, 02/15/17 1,110 1,160
Basell (A) (G)
8.375%, 08/15/15 1,150 1,049
Belden (A)
7.000%, 03/15/17 200 198
Buffalo Thunder Development
Authority (A)
9.375%, 12/15/14 2,225 2,091
Buhrmann US
8.250%, 07/01/14 1,750 1,654
7.875%, 03/01/15 625 584
Chart Industries
9.125%, 10/15/15 325 336
Cornell
10.750%, 07/01/12 500 533
Corrections Corp of America
7.500%, 05/01/11 1,000 1,007
6.750%, 01/31/14 450 449
6.250%, 03/15/13 2,852 2,809
D.R. Horton
5.625%, 09/15/14 1,090 927
DRS Technologies
7.625%, 02/01/18 575 587
6.875%, 11/01/13 300 300
6.625%, 02/01/16 1,000 987
Dayton Superior (G)
13.000%, 06/15/09 1,532 1,494
Delta Air Lines, Ser 2002-1 (G)
8.300%, 12/15/29 925 53
- --------------------------------------------------------------------------------
192 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Delta Air Lines, Ser 2002-1, Cl C
7.779%, 01/02/12 $ 881 $ 872
ESCO (A)
9.235%, 12/15/07 (D) 150 145
8.625%, 12/15/13 740 729
Education Management LLC (G)
10.250%, 06/01/16 2,350 2,432
General Cable
7.125%, 04/01/17 360 353
Goodman Global Holdings
7.875%, 12/15/12 4,325 4,249
Goodman Global Holdings, Ser B (D)
8.360%, 12/15/07 1,090 1,079
Graftech Finance
10.250%, 02/15/12 659 687
Gulfmark Offshore
7.750%, 07/15/14 875 879
Indalex Holding, Ser B
11.500%, 02/01/14 784 737
Intergen (A)
9.000%, 06/30/17 1,200 1,260
Interline Brands
8.125%, 06/15/14 1,090 1,076
Iron Mountain
8.750%, 07/15/18 70 73
8.625%, 04/01/13 747 756
7.750%, 01/15/15 1,635 1,631
6.625%, 01/01/16 (G) 4,950 4,628
J.B. Poindexter (G)
8.750%, 03/15/14 425 383
K Hovnanian Enterprises
8.625%, 01/15/17 (G) 1,970 1,625
7.500%, 05/15/16 500 398
6.250%, 01/15/16 (G) 1,050 808
L-3 Communications
6.125%, 07/15/13 130 128
5.875%, 01/15/15 4,661 4,475
L-3 Communications, Ser B
6.375%, 10/15/15 2,829 2,779
Language Line
11.125%, 06/15/12 50 54
MAAX (G)
9.750%, 06/15/12 375 188
Meritage Homes
7.000%, 05/01/14 600 480
Millar Western Forest
7.750%, 11/15/13 980 774
Mobile Mini
6.875%, 05/01/15 750 729
Mobile Services Group (A)
9.750%, 08/01/14 450 450
Mueller Water Products (A)
7.375%, 06/01/17 1,000 930
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
NCL
10.625%, 01/15/08 $ 500 $ 504
NTK Holdings (G)
3.666%, 03/01/14 200 123
Nebraska Book
8.625%, 03/15/12 250 249
Noble Group (A)
6.625%, 03/17/15 575 535
Nortek
8.500%, 09/01/14 825 716
Northwest Airlines (C)
10.000%, 02/01/09 75 7
8.875%, 06/01/06 (G) 1,575 154
7.875%, 03/15/08 (G) 175 18
7.625%, 11/15/23 1,200 114
Polypore
8.750%, 05/15/12 175 169
Propex Fabrics
10.000%, 12/01/12 225 171
Psychiatric Solutions I
7.750%, 07/15/15 2,125 2,152
Quality Distributors
9.000%, 11/15/10 825 786
Quebecor World Capital (A)
8.750%, 03/15/16 3,325 3,017
RBS Global & Rexnord
11.750%, 08/01/16 (G) 1,000 1,065
9.500%, 08/01/14 575 595
8.875%, 09/01/16 1,925 1,935
RH Donnellley
8.875%, 10/15/17 1,820 1,843
Rainbow National Services LLC (A)
10.375%, 09/01/14 340 373
8.750%, 09/01/12 1,485 1,541
Saint Acquisition (A) (G)
12.500%, 05/15/17 2,200 1,474
Seitel
9.750%, 02/15/14 1,500 1,417
Stallion Oilfield Services (A)
9.750%, 02/01/15 2,700 2,616
Stone Container (G)
8.000%, 03/15/17 1,675 1,646
Sunstate Equipment (A)
10.500%, 04/01/13 690 666
Superior Essex Com & Essex Group
9.000%, 04/15/12 654 646
Technical Olympic USA (G)
10.375%, 07/01/12 345 94
Terex
7.375%, 01/15/14 2,178 2,211
Titan International
8.000%, 01/15/12 2,460 2,454
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 193
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Transdigm
7.750%, 07/15/14 $ 1,775 $ 1,793
Tube City IMS
9.750%, 02/01/15 800 782
UCI Holdco PIK (A)
0.488%, 12/15/07 720 684
United Air Lines (C)
9.125%, 01/15/12 1,075 8
United Air Lines, Ser 2001-1
6.201%, 09/01/08 627 626
United Air Lines, Ser 95A1
9.020%, 04/19/12 423 237
United Air Lines, Ser 95A2
9.560%, 10/19/18 664 372
United Air Lines, Ser A (C)
10.670%, 05/01/04 525 4
Vanguard Health Holdings I (B)
9.132%, 10/01/15 250 187
Vanguard Health Holdings II
9.000%, 10/01/14 950 921
Visant
7.625%, 10/01/12 510 519
Wimar Opco LLC (A)
9.625%, 12/15/14 1,050 814
--------------
107,870
--------------
INFORMATION TECHNOLOGY -- 3.6%
Activant Solution
9.500%, 05/01/16 1,500 1,320
Advanced Micro Devices (G)
7.750%, 11/01/12 1,032 949
Amkor Technologies (G)
9.250%, 06/01/16 1,250 1,262
Compucom Systems
12.500%, 10/01/15 900 857
Flextronics International (G)
6.250%, 11/15/14 2,250 2,104
Freescale Semiconductor
10.125%, 12/15/16 (G) 5,810 5,403
9.235%, 12/15/07 275 259
8.875%, 12/15/14 (G) 920 888
Freescale Semiconductor PIK
9.125%, 12/15/14 4,475 4,139
Magnachip Semiconductor (G)
6.875%, 12/15/11 450 367
NXP Funding LLC
8.110%, 10/15/13 1,000 932
7.875%, 10/15/14 4,325 4,163
9.500%, 10/15/15 (G) 4,845 4,518
Open Solutions (A)
9.750%, 02/01/15 3,520 3,388
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Sanmina-SCI (A) (D) (G)
8.110%, 12/15/07 $ 2,000 $ 1,937
Sensata Technologies (G)
8.000%, 05/01/14 2,440 2,379
Smart Modular (D)
10.860%, 10/01/07 670 704
Sungard Data Systems (G)
10.250%, 08/15/15 8,265 8,637
Viasystems
10.500%, 01/15/11 400 400
--------------
44,606
--------------
MATERIALS -- 8.6%
AK Steel
7.750%, 06/15/12 1,950 1,974
Abitibi-Consolidated
8.550%, 08/01/10 1,400 1,155
6.950%, 04/01/08 125 119
Appleton Papers
8.125%, 06/15/11 425 420
Appleton Papers, Ser B
9.750%, 06/15/14 1,150 1,147
Arch Western Finance
6.750%, 07/01/13 7,750 7,595
Ball
6.625%, 03/15/18 1,250 1,228
Boise Cascade LLC (D)
8.235%, 10/15/07 1,250 1,250
Bowater
9.500%, 10/15/12 500 416
8.694%, 12/15/07 (D) 2,575 2,176
Bowater Canada Finance
7.950%, 11/15/11 600 494
Bway
10.000%, 10/15/10 674 687
Cascades
7.250%, 02/15/13 655 642
Catalyst Paper
7.375%, 03/01/14 455 339
Catalyst Paper, Ser D
8.625%, 06/15/11 1,708 1,332
Claymont Steel
8.875%, 02/15/15 150 143
Crown Americas
7.750%, 11/15/15 1,544 1,594
Crown Cork & Seal
8.000%, 04/15/23 1,325 1,298
Domtar (G)
9.500%, 08/01/16 275 289
7.125%, 08/15/15 1,725 1,656
- --------------------------------------------------------------------------------
194 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Equistar Chemical
10.625%, 05/01/11 $ 1,013 $ 1,059
10.125%, 09/01/08 1,051 1,085
FMG Finance (A)
10.625%, 09/01/16 3,105 3,656
10.000%, 09/01/13 400 438
Freeport-McMoRan Copper & Gold
8.564%, 04/01/15 (D) 1,350 1,402
8.375%, 04/01/17 4,125 4,507
Georgia Gulf (G)
7.125%, 12/15/13 300 264
Georgia-Pacific
8.125%, 05/15/11 1,140 1,157
8.000%, 01/15/24 (G) 1,250 1,219
7.700%, 06/15/15 (G) 2,020 2,010
7.125%, 01/15/17 (A) (G) 2,265 2,191
7.000%, 01/15/15 (A) 2,275 2,218
Graham Packaging (G)
9.875%, 10/15/14 4,205 4,163
Huntsman International LLC
7.875%, 11/15/14 1,355 1,443
Huntsman LLC
11.500%, 07/15/12 905 984
INEOS Group Holdings PLC (A) (G)
8.500%, 02/15/16 3,145 3,011
Innophos
8.875%, 08/15/14 550 545
Innophos Holdings (A)
9.500%, 04/15/12 725 729
Intertape Polymer
8.500%, 08/01/14 475 442
Jefferson Smurfit
8.250%, 10/01/12 1,600 1,604
Lyondell Chemical
10.500%, 06/01/13 1,255 1,349
8.000%, 09/15/14 433 476
6.875%, 06/15/17 (G) 4,625 5,018
Macdermid (A) (G)
9.500%, 04/15/17 950 917
Methanex
6.000%, 08/15/15 175 165
Millennium America
7.625%, 11/15/26 175 151
Momentive Performance (A) (G)
11.500%, 12/01/16 3,250 3,217
Mosaic (A)
7.625%, 12/01/16 2,475 2,639
7.375%, 12/01/14 650 683
Mosaic Global Holdings
7.300%, 01/15/28 350 333
Nalco (G)
8.875%, 11/15/13 1,905 2,000
7.750%, 11/15/11 2,100 2,142
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Neenah
9.500%, 01/01/17 $ 475 $ 435
Newark Group
9.750%, 03/15/14 775 744
Noranda Aluminum Acquisition PIK (A)
9.360%, 11/18/07 1,200 1,128
Noranda Aluminum Holdings PIK (A)
11.146%, 11/15/07 1,050 977
Novelis
7.250%, 02/15/15 1,000 965
Owens-Brockway Glass Container
8.250%, 05/15/13 2,195 2,272
6.750%, 12/01/14 1,600 1,578
P.H. Glatfelter
7.125%, 05/01/16 1,705 1,696
PNA Group
10.750%, 09/01/16 1,325 1,351
Packaging Dynamics (A)
10.000%, 05/01/16 2,170 2,181
Polyone (G)
8.875%, 05/01/12 2,935 3,023
Reichhold Industries (A)
9.000%, 08/15/14 1,519 1,534
Rock-Tenn
5.625%, 03/15/13 2,200 2,062
Rockwood Specialties Group (G)
7.500%, 11/15/14 1,270 1,267
Solo Cup
8.500%, 02/15/14 1,100 974
Solutia (C)
11.250%, 07/15/09 1,100 1,117
7.375%, 10/15/27 (G) 625 558
Stelco (D)
10.824%, 03/31/16 200 221
Terra Capital, Ser B (G)
7.000%, 02/01/17 2,755 2,686
US Steel
6.650%, 06/01/37 150 138
Verso Paper Holdings LLC, Ser B (G)
11.375%, 08/01/16 400 421
Vitro
9.125%, 02/01/17 1,665 1,636
--------------
108,135
--------------
TELECOMMUNICATION SERVICES -- 9.5%
American Cellular, Ser B
10.000%, 08/01/11 628 656
American Tower
7.500%, 05/01/12 125 128
7.125%, 10/15/12 1,500 1,534
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 195
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Centennial Communications
11.110%, 10/01/07 (D) $ 100 $ 103
10.750%, 12/15/08 42 42
10.125%, 06/15/13 2,320 2,459
8.125%, 02/01/14 (G) 1,400 1,425
Cincinnati Bell
7.250%, 07/15/13 2,275 2,292
7.000%, 02/15/15 125 121
Citizens Communications
9.250%, 05/15/11 1,775 1,926
6.625%, 03/15/15 1,480 1,450
Consolidated Communication Holdings
9.750%, 04/01/12 3,234 3,266
Cricket Communications I
9.375%, 11/01/14 4,800 4,872
9.375%, 11/01/14 (A) 3,800 3,857
Digicel Limited (A)
9.250%, 09/01/12 2,275 2,338
Digicel Group (A) (G)
8.875%, 01/15/15 1,920 1,805
Digicel Group PIK (A) (G)
0.049%, 01/15/15 2,475 2,302
Dobson Cellular Systems
9.875%, 11/01/12 735 794
8.375%, 11/01/11 (G) 250 265
Dobson Communications
9.610%, 10/15/07 (D) 840 855
8.875%, 10/01/13 (G) 2,555 2,721
Embarq
7.082%, 06/01/16 1,175 1,218
GCI
7.250%, 02/15/14 1,525 1,411
Hawaiian Telecom Communications, Ser B (G)
12.500%, 05/01/15 325 351
9.750%, 05/01/13 700 716
IPCS (A) (D)
7.481%, 11/01/07 945 917
IPCS PIK (A)
8.606%, 05/01/14 1,700 1,666
Insight Communications (B)
12.250%, 02/15/11 1,500 1,549
Insight Midwest
9.750%, 10/01/09 1,250 1,252
Intelsat
9.000%, 06/15/16 475 489
6.500%, 11/01/13 2,125 1,615
Intelsat Bermuda
11.250%, 06/15/16 (G) 2,315 2,480
9.250%, 06/15/16 578 600
8.886%, 02/12/08 (D) 950 960
Intelsat Intermediate (B)
9.461%, 02/01/15 2,955 2,430
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Intelsat Sub Holding
8.625%, 01/15/15 (G) $ 700 $ 714
8.250%, 01/15/13 620 629
Level 3 Financing
9.250%, 11/01/14 4,460 4,393
9.150%, 02/15/08 (D) 125 119
8.750%, 02/15/17 (G) 875 844
MetroPCS Wireless (A)
9.250%, 11/01/14 8,365 8,532
Nordic Telephone Holdings (A) (G)
8.875%, 05/01/16 2,495 2,632
Nortel Networks (A) (D)
9.610%, 10/15/07 400 400
Orascom Telecom Finance (A)
7.875%, 02/08/14 2,275 2,153
PAETEC Holding (A)
9.500%, 07/15/15 3,160 3,160
Primus Telecommunications (G)
8.000%, 01/15/14 1,650 1,126
Qwest
8.875%, 03/15/12 1,575 1,719
8.610%, 12/15/07 (D) 896 956
7.875%, 09/01/11 300 315
7.625%, 06/15/15 832 872
7.500%, 10/01/14 1,355 1,409
7.250%, 09/15/25 to 10/15/35 1,775 1,720
Qwest Capital Funding (G)
7.900%, 08/15/10 150 153
Qwest Communications International
9.058%, 11/11/07 (D) (G) 3,779 3,817
7.500%, 02/15/14 (G) 550 557
7.250%, 02/15/11 125 126
Qwest Communications International, Ser B
7.500%, 02/15/14 4,020 4,070
Rural Cellular
8.360%, 12/04/07 (A) (D) 845 866
8.250%, 03/15/12 2,315 2,402
Securus Technologies (G)
11.000%, 09/01/11 100 86
Syniverse Technologies, Ser B
7.750%, 08/15/13 150 143
Telcordia Technologies (A)
10.000%, 03/15/13 450 371
Telenet Group Holdings (A) (B)
9.020%, 06/15/14 1,071 1,060
Triton (G)
8.500%, 06/01/13 1,550 1,622
US Unwired, Ser B
10.000%, 06/15/12 450 483
Virgin Media Finance PLC
8.750%, 04/15/14 1,700 1,743
- --------------------------------------------------------------------------------
196 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
West
11.000%, 10/15/16 (G) $ 100 $ 105
9.500%, 10/15/14 4,065 4,197
Wind Acquisition Finance (A)
10.750%, 12/01/15 2,820 3,123
Windstream
8.625%, 08/01/16 (G) 6,390 6,845
8.125%, 08/01/13 770 810
7.000%, 03/15/19 1,575 1,536
--------------
118,673
--------------
UTILITIES -- 2.5%
AES
9.375%, 09/15/10 650 686
9.000%, 05/15/15 (A) 675 709
8.875%, 02/15/11 2,325 2,427
8.750%, 05/15/13 250 261
7.750%, 03/01/14 1,450 1,472
Aquila
14.875%, 07/01/12 1,100 1,386
Calpine Generating (C)
14.320%, 10/01/07 348 127
Edison Mission Energy (A)
7.625%, 05/15/27 925 893
7.200%, 05/15/19 950 936
7.000%, 05/15/17 (G) 4,330 4,265
Mirant (C)
0.000%, 07/15/04 (G) 450 22
0.000%, 07/15/07 1,150 75
0.000%, 07/15/09 50 2
Mirant Americas Generation LLC
8.500%, 10/01/21 3,372 3,212
8.300%, 05/01/11 1,630 1,646
Mirant North America LLC
7.375%, 12/31/13 2,735 2,776
NRG Energy
7.375%, 02/01/16 to 01/15/17 6,185 6,191
7.250%, 02/01/14 385 386
Reliant Energy (G)
7.625%, 06/15/14 1,600 1,612
Sierra Pacific Resources
7.803%, 06/15/12 450 469
TXU, Ser P
5.550%, 11/15/14 600 484
TXU, Ser R (G)
6.550%, 11/15/34 150 118
Tenaska Alabama (A) (G)
7.000%, 06/30/21 837 841
--------------
30,996
--------------
Total Corporate Obligations
(Cost $980,844) ($ Thousands) 964,792
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
LOAN PARTICIPATIONS -- 9.1%
FINANCIALS -- 9.1%
Advansta, 2nd Lien
10.320%, 11/30/14 $ 1,250 $ 1,200
Aeroflex
8.875%, 07/29/14 650 614
Affinion Holding
11.660%, 03/01/12 900 869
Affinion Holding PIK
11.660%, 01/24/12 2,000 1,930
Allison Transmission Term B Loan (J)
0.000%, 08/07/14 2,200 2,117
Ameritrade Holding
7.070%, 12/31/12 1,200 1,179
7.070%, 12/31/12 900 884
7.070%, 12/31/12 750 737
Aramark (D)
7.360%, 01/26/14 853 836
Aramark LOC (Synthetic)
7.360%, 01/26/14 60 59
Asurion
8.320%, 07/02/14 1,000 972
Asurion, 2nd Lien
12.036%, 07/02/15 500 490
0.000%, 07/07/15 (J) 722 708
0.000%, 07/07/15 (J) 528 517
BOC Edwards
11.110%, 05/31/14 175 149
7.360%, 05/31/14 150 138
Boston Generating
7.600%, 12/19/13 2,000 1,959
0.000%, 06/19/14 492 491
Boston Generating, 1st Lien
12.350%, 12/21/16 160 167
Boston Generating, 2nd Lien
9.600%, 06/21/14 700 698
9.570%, 06/18/14 1,000 998
Bresnan Communications, 1st Lien
7.360%, 03/31/13 1,500 1,457
CCFC
11.320%, 08/26/09 2,058 2,114
Cebridge
11.371%, 05/05/14 1,110 1,081
Cebridge PIK
11.380%, 05/05/14 750 731
Central Parking
7.570%, 05/22/14 1,216 1,167
Central Parking LOC (Synthetic)
7.625%, 05/22/14 284 273
Century Cable
10.250%, 06/30/09 3 3
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 197
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Charter, 3rd Lien
7.860%, 09/06/14 $ 1,200 $ 1,149
7.850%, 03/01/14 500 479
Claire's Stores
8.110%, 05/29/13 to 05/07/14 825 769
Community Health Systems
7.756%, 07/02/14 1,876 1,840
0.000%, 07/13/14 (I) 124 --
Cooper Standard
7.875%, 12/23/11 2,216 2,164
Dae Aviation Holdings Term B Loan (J)
0.000%, 07/31/14 573 572
0.000%, 07/31/14 757 756
0.000%, 07/31/14 669 662
Delta, 2nd Lien
8.605%, 04/30/14 225 218
Dresser Rand, 1st Lien
7.860%, 05/04/14 825 804
Dresser Rand, 2nd Lien
11.110%, 05/04/15 1,500 1,470
Entegra PIK
11.340%, 04/04/15 225 215
Entegra PIK, 3rd Lien
11.340%, 04/19/15 1,083 1,036
11.340%, 04/19/15 450 431
First Data (J)
0.000%, 09/24/14 850 816
0.000%, 09/24/14 2,300 2,230
0.000%, 09/24/14 2,300 2,208
0.000%, 09/24/14 680 653
0.000%, 09/24/14 2,045 1,963
0.000%, 09/24/14 300 288
Georgia Pacific
7.340%, 02/14/13 375 368
Georgia Pacific, Ser B
7.485%, 02/14/13 991 972
Green Valley Ranch Gaming, 2nd Lien
8.791%, 08/06/14 2,000 1,895
HCA, Ser B
7.614%, 11/15/14 1,993 1,927
Hertz
7.282%, 12/31/12 212 208
Hertz LOC (Synthetic)
7.110%, 02/08/12 152 151
7.110%, 02/08/12 38 38
0.000%, 02/08/12 (J) 61 60
Hertz Term B Loan (J)
0.000%, 12/31/12 186 183
0.000%, 12/31/12 20 19
0.000%, 12/31/12 133 131
Hertz, 2nd Lein
7.110%, 12/31/12 848 833
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
IM US Holdings LLC, 2nd Lien
0.000%, 06/26/15 $ 1,000 $ 995
Iasis Healthcare
10.610%, 06/15/14 2,053 1,930
Idearc, Ser B
7.350%, 11/15/14 3,483 3,418
Infor Global Solutions Term B Loan (J)
0.000%, 09/02/12 1,000 965
Infor Global Solutions Term Loan
11.610%, 03/02/14 750 716
Insight Midwest Holdings LLC
7.360%, 04/06/14 1,375 1,345
Intelsat Bermuda
7.855%, 02/02/14 1,875 1,848
JG Wentworth, 1st Lein
7.600%, 04/04/14 1,025 971
KAR Holding
7.570%, 04/20/14 1,225 1,183
McKechnie Aerospace
10.340%, 05/11/15 450 417
7.340%, 05/11/14 225 215
0.000%, 05/11/15 250 231
McKechnie Aerospace, 1st Lien
7.360%, 05/11/14 325 310
Metroflag, 2nd Lien
14.803%, 07/06/08 300 300
Murray
13.900%, 01/31/11 2,027 2,098
NASDAQ Stock Market Term Loan
7.315%, 11/20/13 600 594
NRG Holdings Term Loan
0.000%, 05/04/14 (I) 1,000 --
0.000%, 06/08/14 (J) 750 733
Nalco, Ser B
7.163%, 11/04/10 927 919
Nielsen Finance
8.190%, 08/09/13 744 721
Northwest Airlines
7.150%, 08/21/08 1,485 1,418
Oshkosh Truck
7.110%, 12/06/13 1,000 985
PAETEC Holdings
8.065%, 02/28/13 644 636
Penhall
12.824%, 03/28/12 625 625
Pinnacle Foods
8.099%, 04/02/14 1,025 990
Proquest
8.328%, 02/09/14 800 784
Proquest, 2nd Lien
11.090%, 02/09/16 1,200 1,179
- --------------------------------------------------------------------------------
198 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
RE/MAX International
7.070%, 12/15/07 $ 1,734 $ 1,696
Reader's Digest Association
7.339%, 03/02/14 1,197 1,129
Remax International Term Loan (I)
0.000%, 12/15/07 267 6
Resolute Aneth LLC, 2nd Lien
9.860%, 06/27/13 1,500 1,440
Rexnord
12.360%, 02/20/13 2,076 2,032
Reynolds & Reynolds Term Loan (J)
0.000%, 04/01/14 800 796
Reynolds & Reynolds, 3rd Lien
12.860%, 04/01/14 to 04/24/14 1,800 1,791
Sandridge
8.625%, 04/01/15 1,050 1,034
Seminole Tribe of Florida
6.875%, 03/05/14 81 80
Seminole Tribe of Florida, Term 2 Loan
6.875%, 03/05/14 547 541
Seminole Tribe of Florida, Term 3 Loan
6.875%, 03/05/14 541 536
Seminole Tribe of Florida,
Term B Loan (I)
0.000%, 03/05/14 81 1
Simmons Holdco
10.650%, 02/15/12 1,500 1,380
10.648%, 02/15/12 1,145 1,053
Sorenson Communications, 2nd Lien
12.360%, 02/16/14 1,250 1,250
Surgical Care Affiliates
7.570%, 12/29/14 1,500 1,410
TL Acquisitions
0.709%, 06/29/14 850 825
TPF Generation Holdings LLC
9.620%, 12/15/14 1,750 1,654
Town Sports International
7.500%, 08/27/13 250 237
Tropicana Entertainment
7.850%, 12/31/11 1,465 1,414
UPC Financing Partnership
7.080%, 04/01/13 1,000 953
7.080%, 12/31/13 1,000 953
Univision Communications
7.605%, 09/15/14 1,879 1,776
7.570%, 03/15/14 940 888
0.406%, 09/29/14 425 404
0.000%, 03/15/14 (I) 60 3
0.000%, 09/15/14 (I) 121 7
VWR International, 2nd Lien
7.860%, 06/29/14 2,000 1,852
Venoco
10.000%, 03/30/11 150 148
9.875%, 05/07/14 375 369
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Verint Systems
8.090%, 05/09/14 $ 2,000 $ 1,945
WideOpenWest Finance LLC
7.830%, 06/18/14 1,000 958
WideOpenWest Finance LLC, 2nd Lien
11.610%, 06/18/15 1,000 940
Wind Acquisition Holdings
12.610%, 12/21/11 749 756
12.609%, 12/12/11 2,540 2,566
--------------
Total Loan Participations
(Cost $116,014) ($ Thousands) 113,395
--------------
COLLATERALIZED LOAN OBLIGATIONS -- 5.5%
FINANCIALS -- 5.5%
Ares IIIR, Ser 2007-1A, Cl SUB
13.800%, 04/16/21 3,800 3,040
Ares VR, Ser 2006-1A, Cl SUB (A)
10.490%, 02/24/18 7,000 4,900
Babson, Ser 2007-2A, Cl INC
5.374%, 04/15/21 2,500 2,125
CIFC Funding 2007-IV
0.000%, 1,000 1,000
CIFC Funding, Ser 2006-I (A) (D)
13.290%, 10/20/20 2,300 2,070
CIFC Funding, Ser 2006-II (A) (D)
13.770%, 03/01/21 3,000 2,700
CIFC Funding, Ser 2007-2A,
Cl SUB (A)
0.000%, 04/15/21 2,700 2,376
Capitalsource Advisors,
Ser 2006-1A, Cl SUB (A)
0.000%, 08/27/20 3,200 2,784
Copper River, Ser 2006-1A, Cl INC
0.000%, 01/20/21 3,000 2,679
De Meer Middle Market,
Ser 2006-1A, Cl INC
0.000%, 10/20/18 2,171 1,830
Denali Capital VII, Ser 2007-1A, Cl INC
10.780%, 01/22/22 2,200 2,090
Gale Force, Ser 2007-4A, Cl E
11.924%, 11/20/07 1,100 984
Gale Force, Ser 2007-4A, Cl INC
0.000%, 08/20/21 1,500 1,305
Gleneagles, Ser AI (D)
12.940%, 11/01/17 6,500 5,911
Golden Tree Loan Opportunities III,
Ser 2007-3A, Cl SUB
0.000%, 05/01/22 3,400 2,635
ING Investment Management I (A) (D)
0.000%, 12/01/17 12,500 9,250
ING Investment Management II (A) (D)
11.120%, 08/01/20 5,600 4,760
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 199
SCHEDULE OF INVESTMENTS
High Yield Bond Fund (Continued)
September 30, 2007
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ING Investment Management VI
0.000%, $ 2,400 $ 2,327
Lightpoint, Ser 2006-4A, Cl IN (A)
0.000%, 04/15/18 2,500 1,442
Marathon, Ser 2005-2A, Cl INC (A)
11.520%, 12/20/19 3,000 2,520
Marlborough Street, Ser 2007-1A, Cl INC
0.000%, 04/18/19 2,400 1,896
Stanfield Bristol, Ser 2005-1A,
Cl SUB (A)
0.000%, 10/15/19 6,300 4,095
Stanfield Veyron, Ser 2006-1A, Cl SUB
9.060%, 07/15/18 2,300 1,702
Tralee, Ser 2007-1A, Cl SUB
0.000%, 04/16/22 2,700 2,241
--------------
Total Collateralized Loan Obligations
(Cost $77,247) ($ Thousands) 68,662
--------------
COLLATERALIZED DEBT OBLIGATIONS -- 1.4%
FINANCIALS -- 1.4%
Carlyle High Yield Partners,
Ser 2006-8A, Cl N
0.000%, 05/21/21 3,700 2,553
Connecticut Valley Structured Credit,
Ser 2006-3A, Cl NOTE (A)
10.930%, 03/23/23 2,200 1,617
Peritus I (E)
9.000%, 05/24/15 3,750 1,312
Peritus I, Ser 2005-1A, Cl C (A) (E)
9.000%, 05/24/15 13,848 11,356
--------------
Total Collateralized Debt Obligations
(Cost $19,144) ($ Thousands) 16,838
--------------
ASSET-BACKED SECURITY (A)(D)(H) -- 0.2%
MORTGAGE RELATED SECURITY -- 0.2%
Duke Funding, Ser 2004-6B,
Cl A1S1
5.430%, 10/09/07 2,072 2,072
--------------
Total Asset-Backed Security
(Cost $2,072) ($ Thousands) 2,072
--------------
CONVERTIBLE BONDS -- 0.1%
Adelphia Recovery Trust, Ser ACC-1
(escrow security)
0.000%, 02/15/04 395 --
American Tower
7.000%, 10/15/17 250 251
Flextronics CV to 64.4122 (G)
1.000%, 08/01/10 1,265 1,205
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
Huntsman CV to 1.7674
5.000%, 02/16/08 $ 1 $ 30
Mirant CV to 14.7167 (C) (G)
2.500%, 06/15/21 2,200 110
--------------
Total Convertible Bonds
(Cost $1,610) ($ Thousands) 1,596
--------------
COMMON STOCK -- 0.3%
Armstrong World Industries* 6,214 252
Core-Mark Holding* 13,788 486
Delta Air Lines* 21,231 381
Huntsman 8,061 214
Northwest Airlines* 75,549 1,345
Owens Corning (G)* 28,933 725
Portland General Electric 520 14
Shreveport Gaming Holdings (G)* 13,948 279
Time Warner Cable, Cl A* 7,862 258
UAL (G)* 3,269 152
Winn-Dixie Stores (G)* 8,445 158
--------------
Total Common Stock
(Cost $3,913) ($ Thousands) 4,264
--------------
PREFERRED STOCK -- 0.3%
ION Media PIK, 14.250%* 1 4
Rockwall Investors, 12.030%* 4,000,000 3,200
Rural Cellular PIK, 12.250%* 374 467
--------------
Total Preferred Stock
(Cost $3,974) ($ Thousands) 3,671
--------------
Number of
Warrants
------------
WARRANTS -- 0.0%
Grande Communications,
Expires 04/01/11* 850 8
--------------
Total Warrants
(Cost $8) ($ Thousands) 8
--------------
CASH EQUIVALENTS**++ -- 20.6%
SEI Daily Income Trust, Prime
Obligation Fund,
Cl A, 5.350% 81,374,879 81,375
SEI Liquidity Fund LP,
5.367% (H) 175,957,828 175,958
--------------
Total Cash Equivalents
(Cost $257,333) ($ Thousands) 257,333
--------------
Total Investments -- 114.8%
(Cost $1,462,159) ($ Thousands) $ 1,432,631
==============
- --------------------------------------------------------------------------------
200 SEI Institutional Managed Trust / Annual Report /September 30, 2007
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $1,247,613 ($ Thousands).
* Non-Income Producing Security.
** Rate shown is the 7-day effective yield as of September 30, 2007.
+ Real Estate Investment Trust.
++ Investment in Affiliated Security (see Note 3).
(A) Securities sold within terms of a private placement memorandum, exempt
from registration under Section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors." These securities have been determined to be liquid
under guidelines established by the Board of Trustees.
(B) Step Bonds -- The rate reflected on the Schedule of Investments is the
effective yield on September 30, 2007. The coupon on a step bond changes
on a specified date.
(C) Security in default on interest payments.
(D) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of September 30, 2007. The date reported on the
Schedule of Investments is the next reset date.
(E) Securities considered illiquid. The total market value of such securities
as of September 30, 2007 was $12,668 ($ Thousands) and represented 1.02%
of Net Assets.
(F) This security is being held in lieu of possible future payments for a
default resolution.
(G) This security or a partial position of this security is on loan at
September 30, 2007 (see Note 7). The total market value of securities on
loan at September 30, 2007 was $171,365 ($ Thousands).
(H) This security was purchased with cash collateral held from securities on
loan (see Note 7). The total market value of such securities as of
September 30, 2007 was $181,070 ($ Thousands).
(I) Unfunded bank loan. Interest rate is not available.
(J) Unsettled bank loan. Interest rate is not available.
Cl -- Class
CV -- Convertible Security
EXL -- Extendable Maturity
LLC -- Limited Liability Company
LOC -- Letter of Credit
LP -- LImited Partnership
MTN -- Medium Term Note
PCS -- Personal Communications Service
PIK -- Payment-in-Kind
PLC -- Public Limited Company
Ser -- Series
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 201
Statements of Assets and Liabilities ($ Thousands)
September 30, 2007
- ------------------------------------------------------------------------------------------------------------------------------------
LARGE CAP LARGE CAP TAX-MANAGED
VALUE FUND GROWTH FUND LARGE CAP FUND
- ------------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments at value+ $ 3,612,653 * $ 3,560,163 * $ 2,820,972 *
Affiliated investment, at value++ 436,097 510,847 452,073
Cash 69 4 25
Foreign currency, at value+++ -- -- --
Restricted cash held for securities sold short -- -- --
Receivable for investment securities sold 15,889 11,823 18,473
Receivable for fund shares sold 4,178 3,449 897
Dividends and interest receivable 5,269 2,108 2,944
Receivable for variation margin 2 -- --
Unrealized gain on foreign spot currency contracts -- -- --
Prepaid expenses 17 13 10
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 4,074,174 4,088,407 3,295,394
- ------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return on securities loaned 402,753 411,641 374,082
Payable for securities sold short++++ -- -- --
Payable for investment securities purchased 16,894 14,796 19,364
Payable for fund shares redeemed 6,485 10,701 1,909
Payable for variation margin 113 389 317
Administration fees payable 1,032 1,021 812
Investment advisory fees payable 839 1,004 723
Shareholder servicing fees payable A 619 462 426
Shareholder servicing fees payable I 6 5 --
Shareholder servicing fees payable Y -- -- 1
Chief Compliance Officer fees payable 6 4 4
Administration servicing fees payable Class I 5 4 --
Trustees fees payable 1 1 1
Payable to custodian -- -- --
Swap contracts, at value+++++ -- -- --
Options written, at value# -- -- --
Unrealized loss on foreign spot currency contracts -- -- --
Accrued expense payable 229 220 178
- ------------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 428,982 440,248 397,817
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 3,645,192 $ 3,648,159 $ 2,897,577
====================================================================================================================================
+ Cost of investments 2,804,656 2,743,607 2,083,636
++ Cost of affiliated investments 436,097 510,847 452,073
+++ Cost of foreign currency -- -- --
++++ Proceeds from securities sold short -- -- --
+++++ Premiums received/paid -- -- --
# Premiums received -- -- --
* Includes market value of securities on loan 390,549 400,738 363,051
NET ASSETS:
Paid-in-Capital (unlimited authorization -- no par
value) $ 2,553,963 $ 3,975,561 $ 2,461,379
Undistributed (distributions in excess of)/
(Accumulated net investment income loss) net
investment income 14,943 2,335 6,748
Accumulated net realized gain (loss) on
investments, securities sold short, option
contracts, futures, swaps and foreign currency 267,447 (1,147,266) (310,500)
Net unrealized appreciation on investments,
securities sold short and option contracts 807,997 816,556 737,336
Net unrealized appreciation on futures contracts 842 973 2,614
Net unrealized depreciation on swap contracts -- -- --
Net unrealized appreciation (depreciation ) on
forward foreign currency contracts, foreign
currencies and translation of other assets and
liabilities denominated in foreign currencies -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 3,645,192 $ 3,648,159 $ 2,897,577
====================================================================================================================================
Net Asset Value, Offering and Redemption Price Per Share
-- Class A $ 23.97 $ 23.74 $ 14.70
($3,616,120,211/ ($3,622,963,189/ ($2,892,866,303/
150,875,810 shares) 152,621,014 shares) 196,797,414 shares)
====================================================================================================================================
Net Asset Value, Offering and Redemption Price Per Share
-- Class E N/A N/A N/A
====================================================================================================================================
Net Asset Value, Offering and Redemption Price Per Share
-- Class I $ 23.95 $ 23.48 N/A
($29,071,971/ ($25,195,525/
1,213,992 shares) 1,072,978 shares)
====================================================================================================================================
Net Asset Value, Offering and Redemption Price Per Share
-- Class Y N/A N/A $ 14.87
($4,710,788/
316,784 shares)
====================================================================================================================================
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
202 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- ------------------------------------------------------------------------------------------------------------------------------------
LARGE CAP DIVERSIFIED S&P 500 SMALL CAP
ALPHA FUND INDEX FUND VALUE FUND
- ------------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments at value+ $ 1,789,571 $ 1,689,504 * $ 1,117,161 *
Affiliated investment, at value++ 187,540 204,624 363,629
Cash 810 48 27
Foreign currency, at value+++ -- -- --
Restricted cash held for securities sold short 589 -- --
Receivable for investment securities sold 11,893 1,145 14,059
Receivable for fund shares sold 2,035 398 613
Dividends and interest receivable 2,432 2,068 1,595
Receivable for variation margin 79 -- --
Unrealized gain on foreign spot currency contracts -- -- --
Prepaid expenses 5 16 5
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 1,994,954 1,897,803 1,497,089
- ------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return on securities loaned -- 157,320 344,652
Payable for securities sold short++++ 238,130 -- --
Payable for investment securities purchased 92,777 850 14,028
Payable for fund shares redeemed 730 2,645 1,022
Payable for variation margin 1,536 235 160
Administration fees payable 461 264 323
Investment advisory fees payable 640 42 600
Shareholder servicing fees payable A 117 84 104
Shareholder servicing fees payable I 1 2 3
Shareholder servicing fees payable Y -- -- --
Chief Compliance Officer fees payable 2 5 2
Administration servicing fees payable Class I 1 3 3
Trustees fees payable -- -- --
Payable to custodian -- -- --
Swap contracts, at value+++++ 5,581 -- --
Options written, at value# 42 -- --
Unrealized loss on foreign spot currency contracts -- -- --
Accrued expense payable 95 187 76
- ------------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 340,113 161,637 360,973
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 1,654,841 $ 1,736,166 $ 1,136,116
====================================================================================================================================
+ Cost of investments 1,641,926 744,412 993,600
++ Cost of affiliated investments 187,540 204,624 363,629
+++ Cost of foreign currency -- -- --
++++ Proceeds from securities sold short 233,795 -- --
+++++ Premiums received/paid (3,135) -- --
# Premiums received (7) -- --
* Includes market value of securities on loan -- 152,953 330,189
NET ASSETS:
Paid-in-Capital (unlimited authorization -- no par
value) $ 1,461,156 $ 712,828 $ 892,411
Undistributed (distributions in excess of)/
(Accumulated net investment income loss) net
investment income 4,550 7,544 (898)
Accumulated net realized gain (loss) on
investments, securities sold short, option
contracts, futures, swaps and foreign currency 37,805 69,034 120,336
Net unrealized appreciation on investments,
securities sold short and option contracts 143,275 945,092 123,561
Net unrealized appreciation on futures contracts 10,502 1,668 706
Net unrealized depreciation on swap contracts (2,446) -- --
Net unrealized appreciation (depreciation) on
forward foreign currency contracts, foreign
currencies and translation of other assets and
liabilities denominated in foreign currencies (1) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 1,654,841 $ 1,736,166 $ 1,136,116
====================================================================================================================================
Net Asset Value, Offering and Redemption Price Per Share
-- Class A $ 11.78 $ 44.71 $ 21.26
($1,654,323,745/ ($650,792,208/ ($1,122,026,942/
140,424,761 shares) 14,556,470 shares) 52,767,611 shares)
====================================================================================================================================
Net Asset Value, Offering and Redemption Price Per Share
-- Class E N/A $ 44.85 N/A
($1,072,140,875/
23,905,034 shares)
====================================================================================================================================
Net Asset Value, Offering and Redemption Price Per Share
-- Class I $ 11.78 $ 44.74 $ 21.17
($517,084/ ($13,232,852/ ($14,089,535/
43,905 shares) 295,754 shares) 665,618 shares)
====================================================================================================================================
Net Asset Value, Offering and Redemption Price Per Share
-- Class Y N/A N/A N/A
====================================================================================================================================
- ---------------------------------------------------------------------------------------------------------
SMALL CAP TAX-MANAGED
GROWTH FUND SMALL CAP FUND
- ---------------------------------------------------------------------------------------------------------
ASSETS:
Investments at value+ 1,150,781 * $ 402,009*
Affiliated investment, at value++ 399,232 125,700
Cash -- 349
Foreign currency, at value+++ 4 --
Restricted cash held for securities sold short -- --
Receivable for investment securities sold 19,066 2,342
Receivable for fund shares sold 650 218
Dividends and interest receivable 1,602 354
Receivable for variation margin -- --
Unrealized gain on foreign spot currency contracts 2 --
Prepaid expenses 4 1
- ---------------------------------------------------------------------------------------------------------
Total Assets 1,571,341 530,973
- ---------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return on securities loaned 382,910 109,875
Payable for securities sold short++++ -- --
Payable for investment securities purchased 22,362 3,450
Payable for fund shares redeemed 931 216
Payable for variation margin 75 87
Administration fees payable 327 117
Investment advisory fees payable 601 170
Shareholder servicing fees payable A 98 82
Shareholder servicing fees payable I 2 --
Shareholder servicing fees payable Y -- --
Chief Compliance Officer fees payable 2 1
Administration servicing fees payable Class I 2 --
Trustees fees payable -- --
Payable to custodian 617 --
Swap contracts, at value+++++ -- --
Options written, at value# -- --
Unrealized loss on foreign spot currency contracts 14 --
Accrued expense payable 77 30
- ---------------------------------------------------------------------------------------------------------
Total Liabilities 408,018 114,028
- ---------------------------------------------------------------------------------------------------------
Net Assets $ 1,163,323 $ 416,945
=========================================================================================================
+ Cost of investments 1,027,287 332,391
++ Cost of affiliated investments 399,232 125,700
+++ Cost of foreign currency 4 --
++++ Proceeds from securities sold short -- --
+++++ Premiums received/paid -- --
# Premiums received -- --
* Includes market value of securities on loan 367,102 106,335
NET ASSETS:
Paid-in-Capital (unlimited authorization -- no par
value) $ 983,397 $ 327,762
Undistributed (distributions in excess of)/
(Accumulated net investment income loss) net
investment income (1,655) 85
Accumulated net realized gain (loss) on
investments, securities sold short, option
contracts, futures, swaps and foreign currency 57,707 19,025
Net unrealized appreciation on investments,
securities sold short and option contracts 123,494 69,618
Net unrealized appreciation on futures contracts 324 455
Net unrealized depreciation on swap contracts -- --
Net unrealized appreciation (depreciation ) on
forward foreign currency contracts, foreign
currencies and translation of other assets and
liabilities denominated in foreign currencies 56 --
- ---------------------------------------------------------------------------------------------------------
Net Assets $ 1,163,323 $ 416,945
=========================================================================================================
Net Asset Value, Offering and Redemption Price Per Share
-- Class A $ 21.91 $ 14.14
($1,153,999,911/ ($416,945,235/
52,659,311 shares) 29,485,536 shares)
=========================================================================================================
Net Asset Value, Offering and Redemption Price Per Share
-- Class E N/A N/A
=========================================================================================================
Net Asset Value, Offering and Redemption Price Per Share
-- Class I $ 21.57 N/A
($9,322,933/
432,197 shares)
=========================================================================================================
Net Asset Value, Offering and Redemption Price Per Share
-- Class Y N/A N/A
=========================================================================================================
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 203
Statements of Assets and Liabilities ($ Thousands)
September 30, 2007
- ------------------------------------------------------------------------------------------------------------------------------------
SMALL/MID CAP MID-CAP U.S. MANAGED
DIVERSIFIED ALPHA FUND FUND VOLATILITY FUND
- ------------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments at value+ $ 142,157 $ 179,921 $ 554,307
Repurchase agreement+ -- -- --
Affiliated investment, at value++ 10,566 2,936 30,821
Cash -- 26 100
Foreign currency, at value+++ -- -- --
Cash collateral on futures -- -- --
Restricted Cash held for Securities Sold Short 390 -- --
Receivable for investment securities sold 12,886 3,140
Receivable for fund shares sold 215 516 931
Dividends and interest receivable 253 180 660
Receivable for variation margin 7 -- --
Unrealized appreciation on futures -- -- --
Unrealized gain on forward foreign currency contracts -- -- --
Prepaid Expenses 11 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 166,485 186,719 586,819
- ------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return on securities loaned -- -- --
Payable for securities sold short++++ 7,706 -- --
Payable for investment securities purchased 25,493 3,189 --
Payable for fund shares redeemed 35 75 374
Payable for variation margin 168 9 98
Administration fees payable 36 52 164
Investment advisory fees payable 61 59 184
Shareholder servicing fees payable A 15 33 110
Shareholder servicing fees payable I -- -- --
Chief Compliance Officer fees payable -- -- 1
Administration servicing fees payable Class I -- -- --
Payable to custodian 17 -- --
Income distribution payable -- -- --
Swap contracts, at value+++++ 2,229 -- --
Options written, at value# 7 -- --
Swaptions written, at value@ -- -- --
Unrealized loss on forward foreign currency contracts -- -- --
Unrealized loss on futures -- -- --
Unrealized loss on foreign spot currency contracts 1 -- --
Accrued expense payable 10 15 29
- ------------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 35,778 3,432 960
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 130,707 $ 183,287 $ 585,859
- ------------------------------------------------------------------------------------------------------------------------------------
+ Cost of investments and repurchase agreements 141,479 172,700 505,815
++ Cost of affiliated investments 10,566 2,936 30,821
+++ Cost of foreign currency -- -- --
++++ Proceeds from securities sold short (8,591) -- --
+++++ Premiums received/paid (1,073) -- --
# Premiums received (1) -- --
@ Premiums received -- -- --
* Includes market value of securities on loan -- -- --
NET ASSETS:
Paid-in-Capital (unlimited authorization -- no par value) $ 131,417 $ 159,306 $ 519,887
Undistributed (distributions in excess of) net investment income 29 38 944
Accumulated net realized gain (loss) on investments, securities
sold short, option contracts, futures, swaps, swaptions
and foreign currency (1,277) 16,652 15,807
Net unrealized appreciation (depreciation) on investments,
securities sold short and option contracts 1,557 7,221 48,492
Net unrealized appreciation (depreciation) on futures contracts 137 70 729
Net unrealized depreciation on swap contracts (1,156) -- --
Net unrealized depreciation on swaptions -- -- --
Net unrealized appreciation (depreciation) on forward foreign
currency contracts, foreign currencies and translation
of other assets and liabilities denominated in foreign currencies -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 130,707 $ 183,287 $ 585,859
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price Per Share -- Class A $ 10.10 $ 22.22 $ 13.45
($130,706,938 / ($183,286,934 / ($585,858,420 /
12,938,712 shares) 8,250,400 shares) 43,565,914 shares)
====================================================================================================================================
Net Asset Value, Offering and Redemption Price Per Share -- Class I N/A N/A $ 13.43
($997 /
74 shares)
====================================================================================================================================
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
204 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- ------------------------------------------------------------------------------------------------------------------------------------
GLOBAL MANAGED REAL ESTATE ENHANCED
VOLATILITY FUND FUND INCOME FUND
- ------------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments at value+ $ 264,996 $238,794* $ 587,154
Repurchase agreement+ -- -- 12,800
Affiliated investment, at value++ 8,158 79,682 35,252
Cash 1,257 2 462
Foreign currency, at value+++ 880 -- --
Cash collateral on futures -- -- 410
Restricted Cash held for Securities Sold Short -- -- --
Receivable for investment securities sold -- 570 4,195
Receivable for fund shares sold 879 420 2,188
Dividends and interest receivable 763 991 3,681
Receivable for variation margin 7 -- 181,872
Unrealized appreciation on futures -- -- --
Unrealized gain on forward foreign currency contracts 336 -- 3,384
Prepaid Expenses -- 1 1
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 277,276 320,460 831,399
- ------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return on securities loaned -- 72,825 --
Payable for securities sold short++++ -- -- --
Payable for investment securities purchased -- 2,178 19,427
Payable for fund shares redeemed 401 235 2,149
Payable for variation margin 24 -- 150,485
Administration fees payable -- 68 176
Investment advisory fees payable 97 120 96
Shareholder servicing fees payable A 55 25 --
Shareholder servicing fees payable I -- -- --
Chief Compliance Officer fees payable -- 1 --
Administration servicing fees payable Class I 78 -- --
Payable to custodian -- -- --
Income distribution payable -- -- --
Swap contracts, at value+++++ -- -- 1,260
Options written, at value# -- -- --
Swaptions written, at value@ -- -- --
Unrealized loss on forward foreign currency contracts 838 -- 5,524
Unrealized loss on futures -- -- 31,305
Unrealized loss on foreign spot currency contracts -- -- --
Accrued expense payable 34 17 35
- ------------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 1,527 75,469 210,457
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 275,749 $244,991 $ 620,942
- ------------------------------------------------------------------------------------------------------------------------------------
+ Cost of investments and repurchase agreements 250,634 207,105 614,924
++ Cost of affiliated investments 8,158 79,682 35,252
+++ Cost of foreign currency 867 -- --
++++ Proceeds from securities sold short -- -- --
+++++ Premiums received/paid -- -- 49
# Premiums received -- -- --
@ Premiums received -- -- --
* Includes market value of securities on loan -- 70,960 --
NET ASSETS:
Paid-in-Capital (unlimited authorization -- no par value) $ 263,243 $202,962 $ 632,964
Undistributed (distributions in excess of) net investment income (3,844) 2,518 9,839
Accumulated net realized gain (loss) on investments, securities
sold short, option contracts, futures, swaps, swaptions
and foreign currency 2,203 7,821 (3,337)
Net unrealized appreciation (depreciation) on investments,
securities sold short and option contracts 14,362 31,689 (14,970)
Net unrealized appreciation (depreciation) on futures contracts 263 -- (109)
Net unrealized depreciation on swap contracts -- -- (1,309)
Net unrealized depreciation on swaptions -- -- --
Net unrealized appreciation (depreciation) on forward foreign
currency contracts, foreign currencies and translation of
other assets and liabilities denominated in foreign currencies (478) 1 (2,136)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 275,749 $244,991 $ 620,942
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price Per Share -- Class A $ 11.22 $ 18.20 $ 9.92
($275,747,795 / ($244,990,998 / ($620,930,801 /
24,572,413 shares) 13,458,639 shares) 62,593,544 shares)
====================================================================================================================================
Net Asset Value, Offering and Redemption Price Per Share -- Class I $ 11.20 N/A $ 9.91
($978 / ($11,639 /
87 shares) 1,174 shares)
====================================================================================================================================
- -----------------------------------------------------------------------------------------------------------------------------
CORE FIXED HIGH YIELD
INCOME FUND BOND FUND
- -----------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments at value+ $ 5,199,438* $ 1,175,298*
Repurchase agreement+ 309,500 --
Affiliated investment, at value++ 835,567 257,333
Cash 5,234 --
Foreign currency, at value+++ -- --
Cash collateral on futures -- --
Restricted Cash held for Securities Sold Short -- --
Receivable for investment securities sold 733,134 10,833
Receivable for fund shares sold 5,347 1,301
Dividends and interest receivable 32,333 25,672
Receivable for variation margin 497 --
Unrealized appreciation on futures 4,680 --
Unrealized gain on forward foreign currency contracts 679 --
Prepaid Expenses 16 4
- -----------------------------------------------------------------------------------------------------------------------------
Total Assets 7,126,425 1,470,441
- -----------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return on securities loaned 749,396 181,070
Payable for securities sold short++++ -- --
Payable for investment securities purchased 1,712,804 35,040
Payable for fund shares redeemed 4,210 2,512
Payable for variation margin 857 --
Administration fees payable 1,052 351
Investment advisory fees payable 975 426
Shareholder servicing fees payable A 293 48
Shareholder servicing fees payable I 2 --
Chief Compliance Officer fees payable -- 2
Administration servicing fees payable Class I 2 --
Payable to custodian -- 2,662
Income distribution payable 973 610
Swap contracts, at value+++++ 32,678 --
Options written, at value# 1,221 --
Swaptions written, at value@ 2,905 --
Unrealized loss on forward foreign currency contracts 433 --
Unrealized loss on futures 4,683 --
Unrealized loss on foreign spot currency contracts -- --
Accrued expense payable 422 107
- -----------------------------------------------------------------------------------------------------------------------------
Total Liabilities 2,512,906 222,828
- -----------------------------------------------------------------------------------------------------------------------------
Net Assets $ 4,613,519 $ 1,247,613
- -----------------------------------------------------------------------------------------------------------------------------
+ Cost of investments and repurchase agreements 5,514,832 1,204,826
++ Cost of affiliated investments 835,567 257,333
+++ Cost of foreign currency -- --
++++ Proceeds from securities sold short -- --
+++++ Premiums received/paid (22,823) --
# Premiums received (1,344) --
@ Premiums received (2,255) --
* Includes market value of securities on loan 721,687 171,365
NET ASSETS:
Paid-in-Capital (unlimited authorization -- no par value) $ 4,701,410 $ 1,440,134
Undistributed (distributions in excess of) net investment income (6,273) 624
Accumulated net realized gain (loss) on investments, securities
sold short, option contracts, futures, swaps, swaptions
and foreign currency (69,903) (163,617)
Net unrealized appreciation (depreciation) on investments,
securities sold short and option contracts (5,771) (29,528)
Net unrealized appreciation (depreciation) on futures contracts 4,568 --
Net unrealized depreciation on swap contracts (9,855) --
Net unrealized depreciation on swaptions (650) --
Net unrealized appreciation (depreciation) on forward foreign
currency contracts, foreign currencies and translation of
other assets and liabilities denominated in foreign currencies (7) --
- -----------------------------------------------------------------------------------------------------------------------------
Net Assets $ 4,613,519 $ 1,247,613
- -----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price Per Share -- Class A $ 10.19 $ 8.26
($4,600,629,562 / ($1,247,613,016 /
451,281,757 shares) 151,096,845 shares)
=============================================================================================================================
Net Asset Value, Offering and Redemption Price Per Share -- Class I $ 10.19 N/A
($12,889,733 /
1,264,507 shares)
=============================================================================================================================
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 205
Statements of Operations ($ Thousands)
For the year or period ended September 30, 2007
- ---------------------------------------------------------------------------------------------------------------------
LARGE CAP LARGE CAP TAX-MANAGED
VALUE FUND GROWTH FUND LARGE CAP FUND
- ---------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends $ 94,054 $ 35,809 $ 46,113
Dividends from Affiliated Security* 2,987 2,512 3,492
Interest Income 113 584 372
Income from Securities Lending 621 382 349
Less: Foreign Taxes Withheld (92) (9) (48)
- ---------------------------------------------------------------------------------------------------------------------
Total Investment Income 97,683 39,278 50,278
- ---------------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 13,168 14,007 10,715
Administration Fees 13,168 12,257 9,366
Shareholder Servicing Fees (A) 9,325 8,686 6,685
Shareholder Servicing Fees (E) -- -- --
Shareholder Servicing Fees (I) 81 69 --
Shareholder Servicing Fees (Y) -- -- 7
Administration Servicing Fees (I) 81 69 --
Trustee Fees 51 48 36
Printing Fees 269 191 151
Custodian/Wire Agent Fees 251 166 138
Professional Fees 191 128 100
Registration Fees 22 52 35
Chief Compliance Officer Fees 21 18 14
Licensing Fees -- -- --
Dividend Expense -- -- --
Interest Expense on Securities Sold Short -- -- --
Other Expenses 81 70 53
- ---------------------------------------------------------------------------------------------------------------------
Total Expenses 36,709 35,761 27,300
- ---------------------------------------------------------------------------------------------------------------------
Less: Waiver of:
Investment Advisory Fees (2,501) (1,961) (2,391)
Administration Fees -- -- --
Shareholder Servicing Fees (A) (1,707) (3,416) (1,808)
Shareholder Servicing Fees (E) -- -- --
Shareholder Servicing Fees (I) (14) (28) --
Shareholder Servicing Fees (Y) -- -- (3)
Fees Paid Indirectly (48) (169) (76)
- ---------------------------------------------------------------------------------------------------------------------
Net Expenses 32,439 30,187 23,022
- ---------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS) 65,244 9,091 27,256
=====================================================================================================================
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
NET REALIZED GAIN (LOSS) ON:
Investments 382,385 230,873 133,398
Securities Sold Short -- -- --
Futures Contracts 5,223 4,448 2,243
Written Options -- -- --
Swap Contracts -- -- --
Foreign Currency Transactions -- -- --
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments 41,317 372,361 248,562
Securities Sold Short -- -- --
Futures Contracts (335) 198 2,069
Written Options -- -- --
Swap Contracts -- -- --
Foreign Currency and Translation of Other Assets and
Liabilities Denominated in Foreign Currency -- -- --
- ---------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 493,834 $ 616,971 $ 413,528
=====================================================================================================================
Amounts designated as "--" are $0 or have been rounded to $0.
* See Note 3 in Notes to Financial Statements.
(1) For the six months ended September 30, 2007. Effective September 14, 2007,
the Fund's fiscal year end changed from March 31 to September 30.
(2) On September 14, 2007, the SEI Institutional Managed Trust acquired the
assets of the SEI S&P 500 Index Fund in a tax-free reorganization. See
Shareholder Voting Results on page 243.
(3) Includes realized gain of $4,368 ($ Thousands) due to in-kind redemptions
(see Note 9).
- --------------------------------------------------------------------------------
206 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- ---------------------------------------------------------------------------------------------------------------
S&P 500 INDEX FUND
-------------------------
SIX MONTHS YEAR
LARGE CAP DIVERSIFIED ENDED ENDED
ALPHA FUND 09/30/07(1)(2) 03/31/07
- ---------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends $ 17,321 $ 16,025 $ 37,175
Dividends from Affiliated Security* 4,135 980 2,084
Interest Income 12,211 -- 142
Income from Securities Lending -- 67 259
Less: Foreign Taxes Withheld (31) -- --
- ---------------------------------------------------------------------------------------------------------------
Total Investment Income 33,636 17,072 39,660
- ---------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 5,597 263 597
Administration Fees 4,787 1,926 4,379
Shareholder Servicing Fees (A) 3,418 483 909
Shareholder Servicing Fees (E) -- 1,365 3,427
Shareholder Servicing Fees (I) 1 18 34
Shareholder Servicing Fees (Y) -- -- --
Administration Servicing Fees (I) 1 18 34
Trustee Fees 18 9 26
Printing Fees 78 41 86
Custodian/Wire Agent Fees 73 27 90
Professional Fees 55 92 204
Registration Fees 17 29 50
Chief Compliance Officer Fees 8 5 --
Licensing Fees -- 30 62
Dividend Expense 2,620 -- --
Interest Expense on Securities Sold Short 1,099 -- --
Other Expenses 31 26 75
- ---------------------------------------------------------------------------------------------------------------
Total Expenses 17,803 4,332 9,973
- ---------------------------------------------------------------------------------------------------------------
Less: Waiver of:
Investment Advisory Fees (99) -- --
Administration Fees -- (261) (592)
Shareholder Servicing Fees (A) (988) -- --
Shareholder Servicing Fees (E) -- (1,365) (3,427)
Shareholder Servicing Fees (I) -- (7) (14)
Shareholder Servicing Fees (Y) -- -- --
Fees Paid Indirectly -- -- --
- ---------------------------------------------------------------------------------------------------------------
Net Expenses 16,716 2,699 5,940
- ---------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS) 16,920 14,373 33,720
===============================================================================================================
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
NET REALIZED GAIN (LOSS) ON:
Investments 29,512 70,823 24,408(3)
Securities Sold Short 16,188 -- --
Futures Contracts 18,903 1,259 2,431
Written Options 71 -- --
Swap Contracts (4,854) -- --
Foreign Currency Transactions (1) -- --
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments 113,025 57,654 144,650
Securities Sold Short (7,910) -- --
Futures Contracts 5,763 1,310 105
Written Options (49) -- --
Swap Contracts (2,507) -- --
Foreign Currency and Translation of Other Assets and
Liabilities Denominated in Foreign Currency 1 -- --
- ---------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 185,062 $ 145,419 $ 205,314
===============================================================================================================
- ----------------------------------------------------------------------------------------------------------
SMALL CAP SMALL CAP TAX-MANAGED
VALUE FUND GROWTH FUND SMALL CAP FUND
- ----------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends $ 12,512 $ 5,028 $ 4,010
Dividends from Affiliated Security* 2,198 1,363 947
Interest Income 187 202 32
Income from Securities Lending 745 1,765 402
Less: Foreign Taxes Withheld (25) (543) (12)
- ----------------------------------------------------------------------------------------------------------
Total Investment Income 15,617 7,815 5,379
- ----------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 7,815 7,515 2,462
Administration Fees 4,208 4,047 1,325
Shareholder Servicing Fees (A) 2,967 2,861 947
Shareholder Servicing Fees (E) -- -- --
Shareholder Servicing Fees (I) 39 30 --
Shareholder Servicing Fees (Y) -- -- --
Administration Servicing Fees (I) 39 30 --
Trustee Fees 16 16 5
Printing Fees 66 65 22
Custodian/Wire Agent Fees 63 76 20
Professional Fees 42 46 15
Registration Fees 16 16 5
Chief Compliance Officer Fees 7 6 2
Licensing Fees -- -- --
Dividend Expense -- -- --
Interest Expense on Securities Sold Short -- -- --
Other Expenses 28 27 16
- ----------------------------------------------------------------------------------------------------------
Total Expenses 15,306 14,735 4,819
- ----------------------------------------------------------------------------------------------------------
Less: Waiver of:
Investment Advisory Fees (24) (111) (504)
Administration Fees -- -- --
Shareholder Servicing Fees (A) (1,682) (1,535) (3)
Shareholder Servicing Fees (E) -- -- --
Shareholder Servicing Fees (I) (22) (16) --
Shareholder Servicing Fees (Y) -- -- --
Fees Paid Indirectly (193) (206) (108)
- ----------------------------------------------------------------------------------------------------------
Net Expenses 13,385 12,867 4,204
- ----------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS) 2,232 (5,052) 1,175
==========================================================================================================
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
NET REALIZED GAIN (LOSS) ON:
Investments 157,544(4) 114,578(5) 24,544
Securities Sold Short -- -- --
Futures Contracts 3,797 2,769 948
Written Options -- -- --
Swap Contracts -- -- --
Foreign Currency Transactions (4) (293) --
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments (39,693) 79,792 24,966
Securities Sold Short -- -- --
Futures Contracts (36) (209) 156
Written Options -- -- --
Swap Contracts -- -- --
Foreign Currency and Translation of Other Assets and
Liabilities Denominated in Foreign Currency -- 56 --
- ----------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 123,840 $ 191,641 $ 51,789
==========================================================================================================
(4) Includes realized gains of $2,168 ($ Thousands) due to in-kind redemptions
(see Note 9).
(5) Includes realized loss of $4,305 ($ Thousands) due to in-kind redemptions
(see Note 9).
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 207
Statements of Operations ($ Thousands)
For the year or period ended September 30, 2007
- ----------------------------------------------------------------------------------------------------------------------
SMALL/MID CAP MID-CAP U.S. MANAGED
DIVERSIFIED ALPHA FUND(1) FUND VOLATILITY FUND
- ----------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends $ 737 $ 1,871 $ 8,438
Dividends from Affiliated Security* 471 240 1,403
Interest Income 860 10 74
Income from Securities Lending -- 9 --
Less: Foreign Taxes Withheld (3) -- (48)
- ----------------------------------------------------------------------------------------------------------------------
Total Investment Income 2,065 2,130 9,867
- ----------------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 596 673 2,867
Administration Fees 278 589 1,544
Shareholder Servicing Fees (A) 199 421 1,103
Shareholder Servicing Fees (I) -- -- --
Administration Servicing Fees (I) -- -- --
Trustee Fees 1 2 6
Dividend Expense 61 -- --
Interest Expense on Securities Sold Short 35 -- --
Registration Fees 24 4 6
Custodian/Wire Agent Fees 12 10 21
Printing Fees 5 11 25
Professional Fees 3 7 18
Chief Compliance Officer Fees -- 1 2
Overdraft fees -- -- --
Other Expenses 5 3 7
- ----------------------------------------------------------------------------------------------------------------------
Total Expenses 1,219 1,721 5,599
- ----------------------------------------------------------------------------------------------------------------------
Less: Waiver of:
Investment Advisory Fees (136) (2) (920)
Shareholder Servicing Fees (A) (34) (19) (76)
Shareholder Servicing Fees (I) -- -- --
Fees Paid Indirectly (1) -- --
- ----------------------------------------------------------------------------------------------------------------------
Net Expenses 1,048 1,700 4,603
- ----------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 1,017 430 5,264
- ----------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
NET REALIZED GAIN (LOSS) ON:
Investments (1,747) 22,529 19,753
Futures Contracts 517 (333) 486
Written Options -- -- --
Swap Contracts (332) -- --
Foreign Currency Transactions (4) -- --
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments 678 (655) 32,169
Securities Sold Short 885 -- --
Futures Contracts 137 74 492
Written Options (6) -- --
Swaptions -- -- --
Swap Contracts (1,156) -- --
Foreign Currency and Translation of Other Assets and
Liabilities Denominated in Foreign Currency -- -- --
- ----------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ (11) $ 22,045 $ 58,164
======================================================================================================================
Amounts designated as "--" are $0 or have been rounded to $0.
* See Note 3 in Notes to Financial Statements.
(1) The Small/Mid Cap Diversified Alpha Fund commenced operations on December
20, 2006.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
208 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- ------------------------------------------------------------------------------------------------------------------------------------
GLOBAL MANAGED REAL ESTATE ENHANCED CORE FIXED HIGH YIELD
VOLATILITY FUND FUND INCOME FUND INCOME FUND BOND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends $ 5,064 $ 5,702 $ 84 $ -- $ 10,615
Dividends from Affiliated Security* 482 539 1,843 2,310 2,327
Interest Income 41 -- 28,242 238,856 89,326
Income from Securities Lending -- 28 -- 1,115 471
Less: Foreign Taxes Withheld (351) (15) (2) (92) --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Investment Income 5,236 6,254 30,167 242,189 102,739
- ------------------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 1,272 1,527 1,923 12,056 5,726
Administration Fees 685 822 1,683 12,275 4,111
Shareholder Servicing Fees (A) 489 587 1,202 10,926 2,936
Shareholder Servicing Fees (I) -- -- -- 34 --
Administration Servicing Fees (I) -- -- -- 34 --
Trustee Fees 3 3 6 59 16
Dividend Expense -- -- -- -- --
Interest Expense on Securities Sold Short -- -- -- -- --
Registration Fees 3 4 5 60 20
Custodian/Wire Agent Fees 79 14 26 255 58
Printing Fees 12 14 28 237 70
Professional Fees 8 10 19 168 49
Chief Compliance Officer Fees 1 1 3 -- 7
Overdraft fees 9 -- -- -- --
Other Expenses 20 4 60 596 156
- ------------------------------------------------------------------------------------------------------------------------------------
Total Expenses 2,581 2,986 4,955 36,700 13,149
- ------------------------------------------------------------------------------------------------------------------------------------
Less: Waiver of:
Investment Advisory Fees (401) (78) (868) (518) (915)
Shareholder Servicing Fees (A) (1) (278) (1,202) (8,053) (2,133)
Shareholder Servicing Fees (I) -- -- -- (25) --
Fees Paid Indirectly -- (22) -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Expenses 2,179 2,608 2,885 28,104 10,101
- ------------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 3,057 3,646 27,282 214,085 92,638
- ------------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
NET REALIZED GAIN (LOSS) ON:
Investments 5,787 12,360 (1,527) 4,958 6,265
Futures Contracts (872) -- (1,556) 247 --
Written Options -- -- -- 1,957 --
Swap Contracts -- -- (659) (9,572) 985
Foreign Currency Transactions (7,134) (4) 2,747 -- --
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments 12,258 (5,812) (15,312) (31,390) (25,104)
Securities Sold Short -- -- -- -- --
Futures Contracts 194 -- 106 3,482 --
Written Options -- -- -- 737 --
Swaptions -- -- -- (650) --
Swap Contracts -- -- (1,309) (9,751) (967)
Foreign Currency and Translation of Other Assets and
Liabilities Denominated in Foreign Currency (743) 1 (2,542) 417 --
- ------------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 12,547 $ 10,191 $ 7,230 $ 174,520 $ 73,817
====================================================================================================================================
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 209
Statements of Changes in Net Assets ($ Thousands)
For the years or period ended September 30,
- ------------------------------------------------------------------------------------------------------------------------------------
LARGE CAP LARGE CAP TAX-MANAGED
VALUE FUND GROWTH FUND LARGE CAP FUND
- ------------------------------------------------------------------------------------------------------------------------------------
2007 2006 2007 2006 2007 2006
- ------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income (Loss) $ 65,244 $ 64,301 $ 9,091 $ 6,461 $ 27,256 $ 20,700
Net Realized Gain (Loss) from Investments,
Securities Sold Short, Futures Contracts,
Written Options and Swap Contracts 387,608 342,943 235,321 129,685 135,641 60,244
Net Realized Loss on Foreign Currency
Transactions -- -- -- -- -- --
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Securities
Sold Short, Futures Contracts, Written
Options and Swap Contracts 40,982 78,903 372,559 28,030 250,631 105,956
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currency and
Translation of Other Assets and Liabilities
Denominated in Foreign Currency -- -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 493,834 486,147 616,971 164,176 413,528 186,900
- ------------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (65,236) (64,544) (7,660) (6,263) (25,173) (19,618)
Class E -- -- -- -- -- --
Class I (491) (381) (5) -- -- --
Class Y -- -- -- -- (48) (46)
Net Realized Gains:
Class A (341,377) (246,892) -- -- -- --
Class E -- -- -- -- -- --
Class I (2,981) (1,453) -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (410,085) (313,270) (7,665) (6,263) (25,221) (19,664)
- ------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS(1):
Class A:
Proceeds from Shares Issued 539,733 590,885 541,381 645,544 517,527 412,756
Reinvestment of Dividends & Distributions 380,665 295,797 7,269 5,960 23,768 18,614
Cost of Shares Redeemed (1,149,311) (1,526,556) (917,952) (1,425,125) (409,521) (397,596)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions (228,913) (639,874) (369,302) (773,621) 131,774 33,774
- ------------------------------------------------------------------------------------------------------------------------------------
Class E:
Proceeds from Shares Issued -- -- -- -- -- --
Reinvestment of Dividends & Distributions -- -- -- -- -- --
Cost of Shares Redeemed -- -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class E Transactions -- -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Class I:
Proceeds from Shares Issued 11,017 10,321 7,267 7,533 -- --
Reinvestment of Dividends & Distributions 3,446 1,775 5 -- -- --
Cost of Shares Redeemed (17,516) (7,142) (14,646) (10,332) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class I Transactions (3,053) 4,954 (7,374) (2,799) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Class Y:
Proceeds from Shares Issued -- -- -- -- 97 161
Reinvestment of Dividends & Distributions -- -- -- -- 47 46
Cost of Shares Redeemed -- -- -- -- (713) (1,104)
- ------------------------------------------------------------------------------------------------------------------------------------
Decrease in Net Assets Derived
from Class Y Transactions -- -- -- -- (569) (897)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions (231,966) (634,920) (376,676) (776,420) 131,205 32,877
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (148,217) (462,043) 232,630 (618,507) 519,512 200,113
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR/PERIOD 3,793,409 4,255,452 3,415,529 4,034,036 2,378,065 2,177,952
- ------------------------------------------------------------------------------------------------------------------------------------
END OF YEAR/PERIOD $ 3,645,192 $ 3,793,409 $3,648,159 $ 3,415,529 $ 2,897,577 $2,378,065
- ------------------------------------------------------------------------------------------------------------------------------------
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF)
NET INVESTMENT INCOME/(ACCUMULATED
NET INVESTMENT LOSS) INCLUDED IN
NET ASSETS AT PERIOD END $ 14,943 $ 15,171 $ 2,335 $ 840 $ 6,748 $ 5,081
====================================================================================================================================
(1) See Note 4 in Notes to Financial Statements for additional information.
(2) The Large Cap Diversified Alpha Fund commenced operations on December 14,
2005.
(3) For the six months ended September 30, 2007. Effective September 14, 2007,
the Fund's fiscal year end changed from March 31 to September 30.
(4) On September 14, 2007, the SEI Institutional Managed Trust acquired the
assets of the SEI S&P 500 Index Fund in a tax-free reorganization. See
Shareholder Voting Results on page 243.
(5) For the year ended March 31.
(6) Includes realized gain of $4,368 ($ Thousands) due to in-kind redemptions
(see Note 9).
(7) Includes realized gain of $2,168 ($ Thousands) due to in-kind redemptions
(see Note 9).
- --------------------------------------------------------------------------------
210 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------------------------------------------------------
LARGE CAP DIVERSIFIED S&P 500
ALPHA FUND(2) INDEX FUND(4)
- --------------------------------------------------------------------------------------------------------------------------------
2007 2006 2007(3) 2007(5) 2006(5)
- --------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income (Loss) $ 16,920 $ 8,870 $ 14,373 $ 33,720 $ 32,179
Net Realized Gain (Loss) from Investments,
Securities Sold Short, Futures Contracts,
Written Options and Swap Contracts 59,820 (7,358) 72,082 26,839(6) 67,000
Net Realized Loss on Foreign Currency
Transactions (1) (1) -- -- --
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Securities
Sold Short, Futures Contracts,
Written Options and Swap Contracts 108,322 43,009 58,964 144,755 118,676
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currency and
Translation of Other Assets and Liabilities
Denominated in Foreign Currency 1 (2) -- -- --
- --------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 185,062 44,518 145,419 205,314 217,855
- --------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (15,519) (5,836) (2,463) (10,300) (9,054)
Class E -- -- (4,424) (23,648) (23,083)
Class I (2) -- (50) (200) (150)
Class Y -- -- -- -- --
Net Realized Gains:
Class A (7,983) -- -- (8,617) (21,431)
Class E -- -- -- (17,342) (48,130)
Class I -- -- -- (200) (430)
- --------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (23,504) (5,836) (6,937) (60,307) (102,278)
- --------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS(1):
Class A:
Proceeds from Shares Issued 731,868 1,157,412 54,359 99,732 100,477
Reinvestment of Dividends & Distributions 23,418 5,833 2,336 18,041 29,133
Cost of Shares Redeemed (344,582) (119,826) (76,635) (155,992) (207,986)
- --------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 410,704 1,043,419 (19,940) (38,219) (78,376)
- --------------------------------------------------------------------------------------------------------------------------------
Class E:
Proceeds from Shares Issued -- -- 61,905 109,388 599,259(10)
Reinvestment of Dividends & Distributions -- -- 3,942 36,859 63,362
Cost of Shares Redeemed -- -- (209,444) (802,024)(9) (362,975)
- --------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class E Transactions -- -- (143,597) (655,777) 299,646
- --------------------------------------------------------------------------------------------------------------------------------
Class I:
Proceeds from Shares Issued 758 21 2,533 4,846 4,627
Reinvestment of Dividends & Distributions 3 -- 50 400 580
Cost of Shares Redeemed (304) -- (4,795) (5,071) (4,268)
- --------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class I Transactions 457 21 (2,212) 175 939
- --------------------------------------------------------------------------------------------------------------------------------
Class Y:
Proceeds from Shares Issued -- -- -- -- --
Reinvestment of Dividends & Distributions -- -- -- -- --
Cost of Shares Redeemed -- -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------------
Decrease in Net Assets Derived
from Class Y Transactions -- -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions 411,161 1,043,440 (165,749) (693,821) 222,209
- --------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 572,719 1,082,122 (27,267) (548,814) 337,786
- --------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR/PERIOD 1,082,122 -- 1,763,433 2,312,247 1,974,461
- --------------------------------------------------------------------------------------------------------------------------------
END OF YEAR/PERIOD $ 1,654,841 $ 1,082,122 $ 1,736,166 $ 1,763,433 $ 2,312,247
- --------------------------------------------------------------------------------------------------------------------------------
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF)
NET INVESTMENT INCOME/(ACCUMULATED
NET INVESTMENT LOSS) INCLUDED IN
NET ASSETS AT PERIOD END $ 4,550 $ 3,146 $ 7,544 $ -- $ 487
================================================================================================================================
- ---------------------------------------------------------------------------------------------------------------
SMALL CAP SMALL CAP
VALUE FUND GROWTH FUND
- ---------------------------------------------------------------------------------------------------------------
2007 2006 2007 2006
- ---------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income (Loss) $ 2,232 $ 3,389 $ (5,052) $ (4,517)
Net Realized Gain (Loss) from Investments,
Securities Sold Short, Futures Contracts,
Written Options and Swap Contracts 161,341(7) 125,159 117,347(8) 58,444
Net Realized Loss on Foreign Currency
Transactions (4) (16) (293) (12)
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Securities
Sold Short, Futures Contracts,
Written Options and Swap Contracts (39,729) (19,635) 79,583 (15,531)
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currency and
Translation of Other Assets and Liabilities
Denominated in Foreign Currency -- -- 56 --
- ---------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 123,840 108,897 191,641 38,384
- ---------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (7,396) (3,393) -- --
Class E -- -- -- --
Class I (67) (17) -- --
Class Y -- -- -- --
Net Realized Gains:
Class A (112,541) (110,921) -- --
Class E -- -- -- --
Class I (1,420) (1,326) -- --
- ---------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (121,424) (115,657) -- --
- ---------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS(1):
Class A:
Proceeds from Shares Issued 252,503 294,921 268,659 383,822
Reinvestment of Dividends & Distributions 114,441 109,275 -- --
Cost of Shares Redeemed (407,378)(9) (303,550) (415,459)(9) (368,970)
- ---------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions (40,434) 100,646 (146,800) 14,852
- ---------------------------------------------------------------------------------------------------------------
Class E:
Proceeds from Shares Issued -- -- -- --
Reinvestment of Dividends & Distributions -- -- -- --
Cost of Shares Redeemed -- -- -- --
- ---------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class E Transactions -- -- -- --
- ---------------------------------------------------------------------------------------------------------------
Class I:
Proceeds from Shares Issued 6,715 5,461 3,906 4,279
Reinvestment of Dividends & Distributions 1,479 1,325 -- --
Cost of Shares Redeemed (8,531) (5,103) (8,663) (3,766)
- ---------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class I Transactions (337) 1,683 (4,757) 513
- ---------------------------------------------------------------------------------------------------------------
Class Y:
Proceeds from Shares Issued -- -- -- --
Reinvestment of Dividends & Distributions -- -- -- --
Cost of Shares Redeemed -- -- -- --
- ---------------------------------------------------------------------------------------------------------------
Decrease in Net Assets Derived
from Class Y Transactions -- -- -- --
- ---------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions (40,771) 102,329 (151,557) 15,365
- ---------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (38,355) 95,569 40,084 53,749
- ---------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR/PERIOD 1,174,471 1,078,902 1,123,239 1,069,490
- ---------------------------------------------------------------------------------------------------------------
END OF YEAR/PERIOD $ 1,136,116 $ 1,174,471 $ 1,163,323 $ 1,123,239
- ---------------------------------------------------------------------------------------------------------------
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF)
NET INVESTMENT INCOME/(ACCUMULATED
NET INVESTMENT LOSS) INCLUDED IN
NET ASSETS AT PERIOD END $ (898) $ 1,155 $ (1,655) $ (11)
===============================================================================================================
(8) Includes realized loss of $4,305 ($ Thousands) due to in-kind redemptions
(see Note 9).
(9) Includes redemption as a result of an in-kind transfer of securities (see
Note 9).
(10) Includes subscriptions as a result of an in-kind transfer of securities
(see Note 9).
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 211
Statements of Changes in Net Assets ($ Thousands)
For the years or period ended September 30,
- ------------------------------------------------------------------------------------------------------------------------------
TAX-MANAGED SMALL/MID CAP
SMALL CAP FUND DIVERSIFIED ALPHA FUND(2) MID-CAP FUND
- ------------------------------------------------------------------------------------------------------------------------------
2007 2006 2007 2007 2006
- ------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 1,175 $ 267 $ 1,017 $ 430 $ 638
Net Realized Gain (Loss) from Investments,
Futures Contracts and Swap Contracts 25,492 22,010 (1,562) 22,196 9,194
Net Realized Gain (Loss) on Foreign Currency
Transactions -- -- (4) -- --
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Securities
Sold Short, Futures Contracts, Written
Options and Swap Contracts 25,122 (7,197) 538 (581) (2,133)
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currency and
Translation of Other Assets and Liabilities
Denominated in Foreign Currency -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
from Operations 51,789 15,080 (11) 22,045 7,699
- ------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (1,517) -- (699) (641) (598)
Class I -- -- -- -- --
Net Realized Gains:
Class A (23,058) (15,044) -- (6,793) (6,634)
Class I -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (24,575) (15,044) (699) (7,434) (7,232)
- ------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS(1):
Class A:
Proceeds from Shares Issued 110,154 79,945 139,849 161,788 79,066
Reinvestment of Dividends & Distributions 22,918 14,133 698 6,259 6,635
Cost of Shares Redeemed (57,674) (49,300) (9,130) (89,579) (67,122)
- ------------------------------------------------------------------------------------------------------------------------------
Increase in Net Assets Derived
from Class A Transactions 75,398 44,778 131,417 78,468 18,579
- ------------------------------------------------------------------------------------------------------------------------------
Class I:
Proceeds from Shares Issued -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
Increase in Net Assets Derived
from Class I Transactions -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
Increase in Net Assets Derived
from Capital Share Transactions 75,398 44,778 131,417 78,468 18,579
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets 102,612 44,814 130,707 93,079 19,046
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR/PERIOD 314,333 269,519 -- 90,208 71,162
- ------------------------------------------------------------------------------------------------------------------------------
END OF YEAR/PERIOD $ 416,945 $ 314,333 $ 130,707 $ 183,287 $ 90,208
- ------------------------------------------------------------------------------------------------------------------------------
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF)
NET INVESTMENT INCOME INCLUDED IN
NET ASSETS AT PERIOD END $ 85 $ 298 $ 29 $ 38 $ 128
==============================================================================================================================
(1) See Note 4 in Notes to Financial Statements for additional information.
(2) The Small/Mid Cap Diversified Alpha Fund commenced operations on December
20, 2006.
(3) The Global Managed Volatility and Enhanced Income Funds commenced
operations on July 27, 2006.
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
212 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- -------------------------------------------------------------------------------------------------
U.S. MANAGED GLOBAL MANAGED
VOLATILITY FUND VOLATILITY FUND(3)
- -------------------------------------------------------------------------------------------------
2007 2006 2007 2006
- -------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 5,264 $ 2,026 $ 3,057 $ 182
Net Realized Gain (Loss) from Investments,
Futures Contracts and Swap Contracts 20,239 8,540 4,915 164
Net Realized Gain (Loss) on Foreign Currency
Transactions -- -- (7,134) 380
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Securities
Sold Short, Futures Contracts, Written
Options and Swap Contracts 32,661 8,060 12,452 2,173
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currency and
Translation of Other Assets and Liabilities
Denominated in Foreign Currency -- -- (743) 265
- -------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
from Operations 58,164 18,626 12,547 3,164
- -------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (4,993) (1,689) (1,567) --
Class I -- -- -- --
Net Realized Gains:
Class A (8,410) (2,511) (675) --
Class I -- -- -- --
- -------------------------------------------------------------------------------------------------
Total Dividends and Distributions (13,403) (4,200) (2,242) --
- -------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS(1):
Class A:
Proceeds from Shares Issued 364,416 203,861 225,851 97,370
Reinvestment of Dividends & Distributions 13,136 4,138 2,217 --
Cost of Shares Redeemed (139,978) (78,949) (57,576) (5,583)
- -------------------------------------------------------------------------------------------------
Increase in Net Assets Derived
from Class A Transactions 237,574 129,050 170,492 91,787
- -------------------------------------------------------------------------------------------------
Class I:
Proceeds from Shares Issued 1 -- 1 --
- -------------------------------------------------------------------------------------------------
Increase in Net Assets Derived
from Class I Transactions 1 -- 1 --
- -------------------------------------------------------------------------------------------------
Increase in Net Assets Derived
from Capital Share Transactions 237,575 129,050 170,493 91,787
- -------------------------------------------------------------------------------------------------
Net Increase in Net Assets 282,336 143,476 180,798 94,951
- -------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR/PERIOD 303,523 160,047 94,951 --
- -------------------------------------------------------------------------------------------------
END OF YEAR/PERIOD $ 585,859 $ 303,523 $ 275,749 $ 94,951
- -------------------------------------------------------------------------------------------------
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF)
NET INVESTMENT INCOME INCLUDED IN
NET ASSETS AT PERIOD END $ 944 $ 662 $ (3,844) $ 578
=================================================================================================
- ---------------------------------------------------------------------------------------------------
REAL ESTATE ENHANCED
FUND INCOME FUND (3)
- ---------------------------------------------------------------------------------------------------
2007 2006 2007 2006
- ---------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 3,646 $ 1,842 $ 27,282 $ 2,057
Net Realized Gain (Loss) from Investments,
Futures Contracts and Swap Contracts 12,360 10,236 (3,742) (270)
Net Realized Gain (Loss) on Foreign Currency
Transactions (4) (11) 2,747 --
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Securities
Sold Short, Futures Contracts, Written
Options and Swap Contracts (5,812) 23,191 (16,515) 127
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currency and
Translation of Other Assets and Liabilities
Denominated in Foreign Currency 1 -- (2,542) 406
- ---------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
from Operations 10,191 35,258 7,230 2,320
- ---------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (4,265) (2,763) (21,572) --
Class I -- -- -- --
Net Realized Gains:
Class A (10,114) (3,510) -- --
Class I -- -- -- --
- ---------------------------------------------------------------------------------------------------
Total Dividends and Distributions (14,379) (6,273) (21,572) --
- ---------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS(1):
Class A:
Proceeds from Shares Issued 202,514 133,772 610,800 249,264
Reinvestment of Dividends & Distributions 13,799 6,040 21,073 --
Cost of Shares Redeemed (159,808) (72,528) (232,582) (15,603)
- ---------------------------------------------------------------------------------------------------
Increase in Net Assets Derived
from Class A Transactions 56,505 67,284 399,291 233,661
- ---------------------------------------------------------------------------------------------------
Class I:
Proceeds from Shares Issued -- -- 12 --
- ---------------------------------------------------------------------------------------------------
Increase in Net Assets Derived
from Class I Transactions -- -- 12 --
- ---------------------------------------------------------------------------------------------------
Increase in Net Assets Derived
from Capital Share Transactions 56,505 67,284 399,303 233,661
- ---------------------------------------------------------------------------------------------------
Net Increase in Net Assets 52,317 96,269 384,961 235,981
- ---------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR/PERIOD 192,674 96,405 235,981 --
- ---------------------------------------------------------------------------------------------------
END OF YEAR/PERIOD $ 244,991 $ 192,674 $ 620,942 $ 235,981
- ---------------------------------------------------------------------------------------------------
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF)
NET INVESTMENT INCOME INCLUDED IN
NET ASSETS AT PERIOD END $ 2,518 $ 571 $ 9,839 $ 2,050
===================================================================================================
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 213
Statements of Changes in Net Assets ($ Thousands)
For the years ended September 30,
- ------------------------------------------------------------------------------------------------------------
CORE FIXED HIGH YIELD
INCOME FUND BOND FUND
- ------------------------------------------------------------------------------------------------------------
2007 2006 2007 2006
- ------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 214,085 $ 192,220 $ 92,638 $ 88,943
Net Realized Gain (Loss) on Investments,
Futures Contracts, Written Options
and Swap Contracts (2,410) (64,436) 7,250 (35,255)
Payment by Affiliate* -- -- -- 3
Net Realized Loss on Foreign Currency
Transactions -- (1,028) -- --
Net Change in Unrealized Appreciation
(Depreciation) on Investments,
Futures Contracts, Written Options,
Swap Contracts, and Swaptions (37,572) 24,370 (26,071) 14,191
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currency and
Translation of Other Assets and Liabilities
Denominated in Foreign Currency 417 (434) -- --
- ------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 174,520 150,692 73,817 67,882
- ------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (214,787) (193,342) (93,629) (89,029)
Class I (635) (551) -- --
Net Realized Gains:
Class A -- (13,424) -- --
Class I -- (40) -- --
- ------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (215,422) (207,357) (93,629) (89,029)
- ------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (1):
Class A:
Proceeds from Shares Issued 1,187,007 1,114,502 504,196 483,558
Reinvestment of Dividends & Distributions 203,045 194,414 86,274 81,500
Cost of Shares Redeemed (1,041,969) (1,053,127) (391,756) (1,075,121)
- ------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 348,083 255,789 198,714 (510,063)
- ------------------------------------------------------------------------------------------------------------
Class I:
Proceeds from Shares Issued 6,866 6,246 -- --
Reinvestment of Dividends & Distributions 636 589 -- --
Cost of Shares Redeemed (8,508) (5,605) -- --
- ------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class I Transactions (1,006) 1,230 -- --
- ------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions 347,077 257,019 198,714 (510,063)
- ------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 306,175 200,354 178,902 (531,210)
- ------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR 4,307,344 4,106,990 1,068,711 1,599,921
- ------------------------------------------------------------------------------------------------------------
END OF YEAR $ 4,613,519 $ 4,307,344 $ 1,247,613 $ 1,068,711
- ------------------------------------------------------------------------------------------------------------
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF)
NET INVESTMENT INCOME INCLUDED IN
NET ASSETS AT PERIOD END $ (6,273) $ (448) $ 624 $ 215
============================================================================================================
* See Note 3 in Notes to Financial Statements.
(1) See Note 4 in the Notes to Financial Statements for additional
information.
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
214 SEI Institutional Managed Trust / Annual Report / September 30, 2007
Financial Highlights
For the years or periods ended September 30,
For a Share Outstanding Throughout the Periods
- -------------------------------------------------------------------------------------------------------------------
Net
Realized
and Distributions Total
Net Asset Net Unrealized Dividends from Dividends,
Value, Investment Gains from Net Realized Distributions
Beginning Income on Total from Investment Capital Return and Return
of Period (Loss) Securities Operations Income Gains of Capital of Capital
- -------------------------------------------------------------------------------------------------------------------
LARGE CAP VALUE FUND
Class A
2007 $23.54 $ 0.41(1) $2.69(1) $3.10 $(0.41) $(2.26) $ -- $(2.67)
2006 22.45 0.37(1) 2.41(1) 2.78 (0.37) (1.32) -- (1.69)
2005 19.80 0.35(1) 2.76(1) 3.11 (0.34) (0.12) -- (0.46)
2004 16.81 0.30(1) 2.99(1) 3.29 (0.30) -- -- (0.30)
2003 13.94 0.25(1) 2.86(1) 3.11 (0.24) -- -- (0.24)
Class I
2007 $23.52 $ 0.35(1) $2.69(1) $3.04 $(0.35) $(2.26) $ -- $(2.61)
2006 22.43 0.31(1) 2.42(1) 2.73 (0.32) (1.32) -- (1.64)
2005 19.78 0.29(1) 2.77(1) 3.06 (0.29) (0.12) -- (0.41)
2004 16.80 0.25(1) 2.98(1) 3.23 (0.25) -- -- (0.25)
2003 13.94 0.21(1) 2.86(1) 3.07 (0.21) -- -- (0.21)
LARGE CAP GROWTH FUND
Class A
2007 $19.95 $ 0.06(1) $3.78(1) $3.84 $(0.05) $ -- $ -- $(0.05)
2006 19.23 0.04(1) 0.71(1) 0.75 (0.03) -- -- (0.03)
2005 17.13 0.09(1) 2.09(1) 2.18 (0.08) -- -- (0.08)
2004 15.77 (0.01)(1) 1.37(1) 1.36 -- -- -- --
2003 12.97 --(1) 2.81(1) 2.81 -- -- (0.01) (0.01)
Class I
2007 $19.75 $ --*(1) $3.73(1) $3.73 $ --* $ -- $ -- $ --
2006 19.04 (0.01)(1) 0.72(1) 0.71 -- -- -- --
2005 17.00 0.04(1) 2.07(1) 2.11 (0.07) -- -- (0.07)
2004 15.68 (0.05)(1) 1.37(1) 1.32 -- -- -- --
2003 12.92 (0.03)(1) 2.79(1) 2.76 --* -- -- --*
TAX-MANAGED LARGE CAP FUND
Class A
2007 $12.68 $ 0.14(1) $2.01(1) $2.15 $(0.13) $ -- $ -- $(0.13)
2006 11.78 0.11(1) 0.90(1) 1.01 (0.11) -- -- (0.11)
2005 10.41 0.12(1) 1.37(1) 1.49 (0.12) -- -- (0.12)
2004 9.20 0.08(1) 1.21(1) 1.29 (0.08) -- -- (0.08)
2003 7.50 0.08(1) 1.70(1) 1.78 (0.08) -- -- (0.08)
Class Y
2007 $12.79 $ 0.18(1) $2.04(1) $2.22 $(0.14) $ -- $ -- $(0.14)
2006 11.86 0.15(1) 0.89(1) 1.04 (0.11) -- -- (0.11)
2005 10.45 0.16(1) 1.38(1) 1.54 (0.13) -- -- (0.13)
2004 9.21 0.12(1) 1.20(1) 1.32 (0.08) -- -- (0.08)
2003 7.50 0.10(1) 1.71(1) 1.81 (0.10) -- -- (0.10)
LARGE CAP DIVERSIFIED ALPHA FUND
Class A
2007 $10.38 $ 0.14(1) $1.47(1) $1.61 $(0.13) $(0.08) $ -- $(0.21)
2006(2) 10.00 0.10(1) 0.34(1) 0.44 (0.06) -- -- (0.06)
Class I
2007 $10.38 $ 0.11(1) $1.48(1) $1.59 $(0.11) $(0.08) $ -- $(0.19)
2006(3) 10.28 0.01(1) 0.09(1) 0.10 -- -- -- --
Ratio of
Ratio of Expenses
Expenses to Average Ratio of Net
to Average Net Assets Investment
Ratio of Net Assets (Excluding Income
Net Asset Net Assets Expenses (Excluding Fees Paid (Loss) Portfolio
Value, End Total End of Period to Average Fees Paid Indirectly to Average Turnover
of Period Return+ ($Thousands) Net Assets Indirectly) and Waivers) Net Assets Rate+
- -------------------------------------------------------------------------------------------------------------------
LARGE CAP VALUE FUND
Class A
2007 $23.97 13.91% $3,616,120 0.86% 0.86% 0.97% 1.74% 36%
2006 23.54 13.42 3,762,101 0.86 0.87 0.97 1.67 58
2005 22.45 15.87 4,230,717 0.86 0.86 0.97 1.63 44
2004 19.80 19.66 4,153,475 0.85 0.85 0.97 1.59 46
2003 16.81 22.55 3,527,686 0.85 0.85 0.97 1.61 106
Class I
2007 $23.95 13.64% $ 29,072 1.11% 1.11% 1.22% 1.49% 36%
2006 23.52 13.16 31,308 1.11 1.12 1.22 1.40 58
2005 22.43 15.61 24,735 1.11 1.11 1.22 1.37 44
2004 19.78 19.33 20,180 1.10 1.10 1.22 1.33 46
2003 16.80 22.17 9,086 1.10 1.10 1.22 1.36 106
LARGE CAP GROWTH FUND
Class A
2007 $23.74 19.26% $3,622,963 0.86% 0.86% 1.02% 0.26% 55%
2006 19.95 3.92 3,387,749 0.86 0.87 1.02 0.18 89
2005 19.23 12.75 4,004,347 0.86 0.86 1.02 0.47 52
2004 17.13 8.62 3,846,240 0.85 0.85 1.02 (0.03) 36
2003 15.77 21.66 3,564,487 0.85 0.85 1.02 0.02 72
Class I
2007 $23.48 18.91% $ 25,196 1.11% 1.11% 1.27% 0.01% 55%
2006 19.75 3.73 27,780 1.11 1.12 1.27 (0.07) 89
2005 19.04 12.42 29,689 1.11 1.11 1.27 0.22 52
2004 17.00 8.42 28,431 1.10 1.10 1.27 (0.28) 36
2003 15.68 21.37 12,323 1.10 1.10 1.27 (0.24) 72
TAX-MANAGED LARGE CAP FUND
Class A
2007 $14.70 17.05% $2,892,866 0.86% 0.86% 1.02% 1.02% 44%
2006 12.68 8.58 2,373,507 0.86 0.87 1.02 0.91 65
2005 11.78 14.40 2,172,885 0.86 0.86 1.02 1.08 31
2004 10.41 14.05 1,977,883 0.85 0.85 1.02 0.83 29
2003 9.20 23.84 1,757,292 0.85 0.85 1.02 0.85 99
Class Y
2007 $14.87 17.43% $ 4,711 0.56% 0.56% 0.72% 1.32% 44%
2006 12.79 8.83 4,558 0.56 0.57 0.72 1.21 65
2005 11.86 14.78 5,067 0.56 0.56 0.72 1.39 31
2004 10.45 14.41 4,909 0.55 0.55 0.72 1.13 29
2003 9.21 24.26 3,834 0.55 0.55 0.72 1.17 99
LARGE CAP DIVERSIFIED ALPHA FUND
Class A
2007 $11.78 15.64% $1,654,324 1.21%(11) 1.21%(11) 1.29% 1.25% 84%
2006(2) 10.38 4.44 1,082,101 1.09@ 1.09@ 1.16 1.18 72
Class I
2007 $11.78 15.42% $ 517 1.46%(11) 1.46%(11) 1.54% 0.99% 84%
2006(3) 10.38 0.97 21 1.08@ 1.08@ 1.15 1.12 72
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 215
Financial Highlights
For the years or periods ended September 30,
For a Share Outstanding Throughout the Periods
- --------------------------------------------------------------------------------
Net
Realized
and Distributions
Net Asset Net Unrealized Dividends from Total
Value, Investment Gains from Net Realized Dividends
Beginning Income (Losses) on Total from Investment Capital and
of Period (Loss) Securities Operations Income Gains Distributions
- ----------------------------------------------------------------------------------------------------------
S&P 500 INDEX FUND
Class A
2007(4) $41.45 $ 0.34(1) $ 3.09(1) $3.43 $(0.17) $ -- $(0.17)
2007(5) 38.38 0.63(1) 3.70(1) 4.33 (0.68) (0.58) (1.26)
2006(5) 36.21 0.56(1) 3.47(1) 4.03 (0.54) (1.32) (1.86)
2005(5) 34.66 0.59(1) 1.57(1) 2.16 (0.58) (0.03) (0.61)
2004(5) 26.18 0.42(1) 8.58(1) 9.00 (0.52) -- (0.52)
2003(5) 35.39 0.38 (9.21) (8.83) (0.38) -- (0.38)
Class E
2007(4) $41.57 $ 0.30(1) $ 3.17(1) $3.47 $(0.19) $ -- $(0.19)
2007(5) 38.48 0.69(1) 3.72(1) 4.41 (0.74) (0.58) (1.32)
2006(5) 36.31 0.62(1) 3.48(1) 4.10 (0.61) (1.32) (1.93)
2005(5) 34.76 0.66(1) 1.55(1) 2.21 (0.63) (0.03) (0.66)
2004(5) 26.26 0.47(1) 8.61(1) 9.08 (0.58) -- (0.58)
2003(5) 35.49 0.44 (9.25) (8.81) (0.42) -- (0.42)
Class I
2007(4) $41.51 $ 0.28(1) $ 3.09(1) $3.37 $(0.14) $ -- $(0.14)
2007(5) 38.43 0.53(1) 3.71(1) 4.24 (0.58) (0.58) (1.16)
2006(5) 36.26 0.47(1) 3.46(1) 3.93 (0.44) (1.32) (1.76)
2005(5) 34.72 0.51(1) 1.56(1) 2.07 (0.50) (0.03) (0.53)
2004(5) 26.22 0.34(1) 8.60(1) 8.94 (0.44) -- (0.44)
2003(5)(6) 30.63 0.33 (4.46) (4.13) (0.28) -- (0.28)
SMALL CAP VALUE FUND
Class A
2007 $21.28 $ 0.04(1) $ 2.23(1) $2.27 $(0.14) $(2.15) $(2.29)
2006 21.58 0.05(1) 1.97(1) 2.02 (0.06) (2.26) (2.32)
2005 20.74 0.06(1) 4.02(1) 4.08 (0.05) (3.19) (3.24)
2004 17.45 0.03(1) 4.32(1) 4.35 (0.06) (1.00) (1.06)
2003 13.99 0.08(1) 3.91(1) 3.99 (0.09) (0.44) (0.53)
Class I
2007 $21.21 $(0.01)(1) $ 2.21(1) $2.20 $(0.09) $(2.15) $(2.24)
2006 21.52 --(1) 1.98(1) 1.98 (0.03) (2.26) (2.29)
2005 20.71 (0.01)(1) 4.03(1) 4.02 (0.02) (3.19) (3.21)
2004 17.44 (0.02)(1) 4.31(1) 4.29 (0.02) (1.00) (1.02)
2003 13.99 0.04(1) 3.90(1) 3.94 (0.05) (0.44) (0.49)
SMALL CAP GROWTH FUND
Class A
2007 $18.56 $(0.09)(1) $ 3.44(1) $3.35 $ -- $ -- $ --
2006 17.86 (0.07)(1) 0.77(1) 0.70 -- -- --
2005 15.14 (0.10)(1) 2.82(1) 2.72 -- -- --
2004 14.11 (0.10)(1) 1.13(1) 1.03 -- -- --
2003 9.62 (0.08)(1) 4.57(1) 4.49 -- -- --
Class I
2007 $18.32 $(0.14)(1) $ 3.39(1) $3.25 $ -- $ -- $ --
2006 17.67 (0.12)(1) 0.77(1) 0.65 -- -- --
2005 15.02 (0.14)(1) 2.79(1) 2.65 -- -- --
2004 14.03 (0.14)(1) 1.13(1) 0.99 -- -- --
2003 9.59 (0.11)(1) 4.55(1) 4.44 -- -- --
Ratio of
Ratio of Expenses
Expenses to Average Ratio of Net
to Average Net Assets Investment
Ratio of Net Assets (Excluding Income
Net Asset Net Assets Expenses (Excluding Fees Paid (Loss) Portfolio
Value, End Total End of Period to Average Fees Paid Indirectly to Average Turnover
of Period Return+ ($Thousands) Net Assets Indirectly) and Waivers) Net Assets Rate+
- ----------------------------------------------------------------------------------------------------------------------
S&P 500 INDEX FUND
Class A
2007(4) $44.71 8.28% $ 650,792 0.40% 0.40% 0.43% 1.55% 2%
2007(5) 41.45 11.38 621,898 0.40 0.40 0.43 1.59 6
2006(5) 38.38 11.32 614,246 0.40 0.40 0.43 1.49 18
2005(5) 36.21 6.25 655,378 0.40 0.40 0.43 1.67 11
2004(5) 34.66 34.62 686,129 0.40 0.40 0.43 1.33 7
2003(5) 26.18 (25.06) 524,554 0.40 0.40 0.43 1.33 7
Class E
2007(4) $44.85 8.34% $1,072,141 0.25% 0.25% 0.53% 1.70% 2%
2007(5) 41.57 11.57 1,127,189 0.25 0.25 0.53 1.74 6
2006(5) 38.48 11.49 1,684,857 0.25 0.25 0.53 1.65 18
2005(5) 36.31 6.39 1,307,631 0.25 0.25 0.53 1.86 11
2004(5) 34.76 34.83 904,534 0.25 0.25 0.53 1.47 7
2003(5) 26.26 (24.92) 790,231 0.25 0.25 0.53 1.48 7
Class I
2007(4) $44.74 8.12% $ 13,233 0.65% 0.65% 0.78% 1.29% 2%
2007(5) 41.51 11.12 14,346 0.65 0.65 0.78 1.34 6
2006(5) 38.43 11.02 13,144 0.65 0.65 0.78 1.25 18
2005(5) 36.26 5.97 11,452 0.65 0.65 0.78 1.44 11
2004(5) 34.72 34.28 6,370 0.65 0.65 0.78 1.06 7
2003(5)(6) 26.22 (13.53) 1,707 0.65 0.65 0.78 1.17 7
SMALL CAP VALUE FUND
Class A
2007 $21.26 10.70% $1,122,027 1.11% 1.13% 1.27% 0.19% 86%
2006 21.28 10.34 1,160,178 1.11 1.13 1.27 0.31 72
2005 21.58 21.21 1,066,189 1.11 1.11 1.27 0.27 71
2004 20.74 25.67 942,037 1.10 1.10 1.27 0.17 89
2003 17.45 29.28 795,501 1.10 1.10 1.27 0.52 99
Class I
2007 $21.17 10.41% $ 14,089 1.36% 1.38% 1.52% (0.04)% 86%
2006 21.21 10.11 14,293 1.36 1.38 1.52 0.06 72
2005 21.52 20.88 12,713 1.36 1.36 1.52 (0.03) 71
2004 20.71 25.29 7,400 1.35 1.35 1.52 (0.09) 89
2003 17.44 28.91 2,572 1.35 1.35 1.52 0.23 99
SMALL CAP GROWTH FUND
Class A
2007 $21.91 18.05% $1,154,000 1.11% 1.13% 1.27% (0.43)% 135%
2006 18.56 3.92 1,111,329 1.11 1.13 1.27 (0.40) 99
2005 17.86 17.97 1,058,413 1.11 1.11 1.27 (0.60) 116
2004 15.14 7.30 970,759 1.10 1.10 1.27 (0.63) 124
2003 14.11 46.67 875,906 1.10 1.10 1.27 (0.66) 166
Class I
2007 $21.57 17.74% $ 9,323 1.36% 1.38% 1.52% (0.67)% 135%
2006 18.32 3.68 11,910 1.36 1.38 1.52 (0.65) 99
2005 17.67 17.64 11,077 1.36 1.36 1.52 (0.85) 116
2004 15.02 7.06 8,530 1.35 1.35 1.52 (0.90) 124
2003 14.03 46.30 5,339 1.35 1.35 1.52 (0.91) 166
- --------------------------------------------------------------------------------
216 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- ------------------------------------------------------------------------------------------------------------------------------------
Net
Realized
and Distributions
Net Asset Net Unrealized Dividends from Total
Value, Investment Gains from Net Realized Dividends Net Asset
Beginning Income (Losses) on Total from Investment Capital and Value, End
of Period (Loss) Securities Operations Income Gains Distributions of Period
- ------------------------------------------------------------------------------------------------------------------------------------
TAX-MANAGED SMALL CAP FUND
Class A
2007 $ 13.10 $ 0.04(1) $ 2.00(1) $ 2.04 $ (0.06) $ (0.94) $ (1.00) $ 14.14
2006 13.13 0.01(1) 0.68(1) 0.69 -- (0.72) (0.72) 13.10
2005 11.63 (0.02)(1) 2.36(1) 2.34 -- (0.84) (0.84) 13.13
2004 10.00 (0.04)(1) 1.67(1) 1.63 -- -- -- 11.63
2003 7.54 (0.02)(1) 2.48(1) 2.46 -- -- -- 10.00
SMALL/MID CAP DIVERSIFIED ALPHA FUND
Class A
2007(10) $10.00 $0.10(1) $0.07(1)++ $0.17 $(0.07) $ -- $(0.07) $10.10
MID-CAP FUND
Class A
2007 $20.40 $0.06(1) $3.40(1) $3.46 $(0.10) $(1.54) $(1.64) $22.22
2006 20.29 0.14(1) 1.49(1) 1.63 (0.12) (1.40) (1.52) 20.40
2005 17.84 0.06(1) 4.61(1) 4.67 (0.06) (2.16) (2.22) 20.29
2004 14.96 0.09(1) 3.19(1) 3.28 (0.11) (0.29) (0.40) 17.84
2003 11.74 0.11(1) 3.25(1) 3.36 (0.08) (0.06) (0.14) 14.96
U.S. MANAGED VOLATILITY FUND
Class A
2007 $12.02 $0.15(1) $ 1.74(1) $ 1.89 $(0.14) $(0.32) $(0.46) $13.45
2006 11.41 0.10(1) 0.75(1) 0.85 (0.09) (0.15) (0.24) 12.02
2005(7) 10.00 0.10(1) 1.39(1) 1.49 (0.08) --* (0.08) 11.41
Class I
2007(13) $13.54 $0.01 $(0.05) $(0.04) $(0.07) $ -- $(0.07) $13.43
GLOBAL MANAGED VOLATILITY FUND
Class A
2007 $10.37 $0.17(1) $ 0.85(1) $ 1.02 $(0.11) $(0.06) $(0.17) $11.22
2006(8) 10.00 0.02(1) 0.35(1) 0.37 -- -- -- 10.37
Class I
2007(13) $11.45 $0.01(1) $(0.26) $(0.25) $ -- $ -- $ -- $11.20
REAL ESTATE FUND
Class A
2007 $18.43 $0.30(1) $ 0.76(1) $ 1.06 $(0.36) $(0.93) $(1.29) $18.20
2006 14.86 0.23(1) 4.15(1) 4.38 (0.36) (0.45) (0.81) 18.43
2005 11.89 0.27(1) 3.22(1) 3.49 (0.26) (0.26) (0.52) 14.86
2004(9) 10.00 0.21(1) 1.85(1) 2.06 (0.17) -- (0.17) 11.89
ENHANCED INCOME FUND
Class A
2007 $10.11 $0.57(1) $(0.27)(1) $ 0.30 $(0.49) $ -- $(0.49) $ 9.92
2006(8) 10.00 0.10(1) 0.01(1) 0.11 -- -- -- 10.11
Class I
2007(13) $10.25 $0.15 $(0.35) $(0.20) $(0.14) $ -- $(0.14) $ 9.91
- -----------------------------------------------------------------------------------------------------------------------
Ratio of
Ratio of Expenses
Expenses to Average Ratio of Net
to Average Net Assets Investment
Ratio of Net Assets (Excluding Income
Net Assets Expenses (Excluding Fees Paid (Loss) Portfolio
Total End of Period to Average Fees Paid Indirectly to Average Turnover
Return+ ($Thousands) Net Assets Indirectly) and Waivers) Net Assets Rate+
- -----------------------------------------------------------------------------------------------------------------------
TAX-MANAGED SMALL CAP FUND
Class A
2007 16.00% $416,945 1.11% 1.14% 1.27% 0.31% 72%
2006 5.50 314,333 1.11 1.14 1.27 0.09 73
2005 20.80 269,519 1.11 1.11 1.27 (0.17) 99
2004 16.30 214,859 1.10 1.10 1.27 (0.31) 86
2003 32.63 181,773 1.10 1.10 1.27 (0.21) 142
SMALL/MID CAP DIVERSIFIED ALPHA FUND
Class A
2007(10) 1.71% $130,707 1.29%(12) 1.29%(12) 1.50% 1.25% 112%
MID-CAP FUND
Class A
2007 17.51% $183,287 1.01% 1.01% 1.02% 0.26% 176%
2006 8.50 90,208 1.01 1.01 1.03 0.67 135
2005 28.15 71,162 1.01 1.01 1.03 0.30 137
2004 22.23 53,642 1.00 1.00 1.02 0.53 121
2003 28.92 41,502 1.00 1.00 1.03 0.86 109
U.S. MANAGED VOLATILITY FUND
Class A
2007 16.09% $585,858 1.04% 1.04% 1.27% 1.19% 112%
2006 7.64 303,523 1.11 1.11 1.27 0.91 133
2005(7) 14.94 160,047 1.11 1.11 1.27 1.03 102
Class I
2007(13) (0.32)% $ 1 1.36% 1.36% 1.86% 0.19% 112%
GLOBAL MANAGED VOLATILITY FUND
Class A
2007 9.88% $275,748 1.11% 1.11% 1.32% 1.56% 119%
2006(8) 3.70 94,951 1.10 1.10 1.30 1.22 13
Class I
2007(13) (2.18)% $ 1 1.36% 1.36% 2.26% 0.23% 119%
REAL ESTATE FUND
Class A
2007 5.49% $244,991 1.11% 1.12% 1.27% 1.55% 84%
2006 30.44 192,674 1.11 1.12 1.27 1.39 65
2005 29.97 96,405 1.11 1.11 1.27 1.95 58
2004(9) 20.82 35,008 1.10 1.10 1.30 2.20 98
ENHANCED INCOME FUND
Class A
2007 2.96% $620,931 0.60% 0.60% 1.03% 5.67% 43%
2006(8) 1.10 235,981 0.60 0.60 1.10 5.54 70
Class I
2007(13) (2.01)% $ 11 1.09% 1.09% 1.56% 5.78% 43%
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 217
Financial Highlights
For the years or periods ended September 30,
For a Share Outstanding Throughout the Periods
- ----------------------------------------------------------------------------------------------------------------------------------
Net
Realized
and Distributions
Net Asset Unrealized Dividends from Total
Value, Net Gains from Net Realized Dividends
Beginning Investment (Losses) on Total from Investment Capital and
of Period Income Securities Operations Income Gains Distributions
- ----------------------------------------------------------------------------------------------------------------------------------
CORE FIXED INCOME FUND
Class A
2007 $10.29 $0.50(1) $(0.10)(1) $0.40 $(0.50) $ -- $(0.50)
2006 10.44 0.47(1) (0.11)(1) 0.36 (0.48) (0.03) (0.51)
2005 10.65 0.40(1) (0.11)(1) 0.29 (0.41) (0.09) (0.50)
2004 10.71 0.37(1) 0.08 (1) 0.45 (0.38) (0.13) (0.51)
2003 10.67 0.40(1) 0.28 (1) 0.68 (0.42) (0.22) (0.64)
Class I
2007 $10.29 $0.41(1) $(0.03)(1) $0.38 $(0.48) $ -- $(0.48)
2006 10.43 0.45(1) (0.11)(1) 0.34 (0.45) (0.03) (0.48)
2005 10.65 0.38(1) (0.12)(1) 0.26 (0.39) (0.09) (0.48)
2004 10.71 0.34(1) 0.09(1) 0.43 (0.36) (0.13) (0.49)
2003 10.67 0.37(1) 0.28(1) 0.65 (0.39) (0.22) (0.61)
HIGH YIELD BOND FUND
Class A
2007 $ 8.38 $0.67(1) $(0.11)(1) $0.56 $(0.68) $ -- $(0.68)
2006 8.50 0.65(1) (0.12)(1) 0.53 (0.65) -- (0.65)
2005 8.58 0.64(1) (0.08)(1) 0.56 (0.64) -- (0.64)
2004 8.37 0.67(1) 0.21(1) 0.88 (0.67) -- (0.67)
2003 7.60 0.68(1) 0.77(1) 1.45 (0.68) -- (0.68)
- --------------------------------------------------------------------------------------------
Ratio of
Expenses
to Average
Ratio of Net Assets
Net Asset Net Assets Expenses (Excluding
Value, End Total End of Period to Average Fees Paid
of Period Return+ ($Thousands) Net Assets Indirectly)
- --------------------------------------------------------------------------------------------
CORE FIXED INCOME FUND
Class A
2007 $10.19 4.00% $4,600,629 0.64% 0.64%
2006 10.29 3.60 4,293,309 0.63 0.63
2005 10.44 2.83 4,094,011 0.61 0.61
2004 10.65 4.38 4,067,065 0.61** 0.61**
2003 10.71 6.63 3,823,429 0.60 0.60
Class I
2007 $10.19 3.74% $ 12,890 0.89% 0.89%
2006 10.29 3.44 14,035 0.88 0.88
2005 10.43 2.48 12,979 0.86 0.86
2004 10.65 4.12 10,420 0.86** 0.86**
2003 10.71 6.37 5,931 0.85 0.85
HIGH YIELD BOND FUND
Class A
2007 $ 8.26 6.72% $1,247,613 0.86% 0.86%
2006 8.38 6.51 1,068,711 0.86 0.86
2005 8.50 6.71 1,599,921 0.86 0.86
2004 8.58 10.84 1,197,554 0.85 0.85
2003 8.37 19.88 976,659 0.85 0.85
- -----------------------------------------------------------------
Ratio of
Expenses
to Average
Net Assets Ratio of Net
(Excluding Investment
Fees Paid Income Portfolio
Indirectly to Average Turnover
and Waivers) Net Assets Rate+
- -----------------------------------------------------------------
CORE FIXED INCOME FUND
Class A
2007 0.84% 4.89% 413%
2006 0.84 4.62 478
2005 0.84 3.83 557
2004 0.84 3.52 430
2003 0.84 3.77 470
Class I
2007 1.09% 3.96% 413%
2006 1.09 4.37 478
2005 1.09 3.60 557
2004 1.09 3.25 430
2003 1.09 3.46 470
HIGH YIELD BOND FUND
Class A
2007 1.12% 7.89% 91%
2006 1.12 7.69 126
2005 1.12 7.46 132
2004 1.11 7.84 179
2003 1.12 8.50 129
+ Returns and turnover rates are for the period indicated and have not been
annualized.
++ The amount shown for a share outstanding throughout the period does not
accord with the aggregate net gains on investments for the period because
of the sales and repurchases of fund shares in relation to fluctuating
market value of the investments of the Fund.
+++ The expense ratios include dividend expense and interest expense on
securities sold short. Had these expenses been excluded the ratios would
have been 0.95% and 0.75% for Class A and Class I Shares, respectively.
* Amount represents less than $0.01.
** The expense ratio includes the litigation fees paid (see Note 10). Had
these fees been excluded the ratio would have been 0.60% and 0.85% for
Class A and Class I, respectively.
(1) Per share net investment income and net realized and unrealized
gains/(losses) calculated using average shares.
(2) Commenced operations on December 14, 2005. All ratios for the period have
been annualized.
(3) Commenced operations on September 14, 2006. All ratios for the period have
been annualized.
(4) For the six months ended September 30, 2007. The Fund's fiscal year end
changed from March 31 to September 30. All ratios for the period have been
annualized.
(5) For the year or period ended March 31.
(6) Commenced operations on June 28, 2002. All ratios for the period have been
annualized.
(7) Commenced operations on October 28, 2004. All ratios for the period have
been annualized.
(8) Commenced operations on July 27, 2006. All ratios for the period have been
annualized.
(9) Commenced operations on November 13, 2003. All ratios for the period have
been annualized.
(10) Commenced operations on December 20, 2006. All ratios have been
annualized.
(11) The expense ratios include dividend expense and interest expense on
securities sold short. Had these expenses been excluded the ratios would
have been 0.94% and 1.20% for Class A and Class I Shares, respectively.
(12) The expense ratios include dividend expense and interest expense on
securities sold short. Had these expenses been excluded the ratios would
have been 1.17%.
(13) Commenced operations on June 29, 2007.
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
218 SEI Institutional Managed Trust / Annual Report / September 30, 2007
Notes to Financial Statements
September 30, 2007
1. ORGANIZATION
SEI Institutional Managed Trust (the "Trust") is organized as a Massachusetts
Business Trust under a Declaration of Trust dated October 20, 1986.
The Trust is registered under the Investment Company Act of 1940, as amended, as
an open-end investment company with 19 Funds: Large Cap Value, Large Cap Growth,
Tax-Managed Large Cap, Large Cap Diversified Alpha, S&P 500 Index, Small Cap
Value, Small Cap Growth, Tax-Managed Small Cap, Small/Mid Cap Diversified Alpha,
Mid-Cap, U.S. Managed Volatility, Global Managed Volatility, Real Estate,
Enhanced Income, Core Fixed Income, High Yield Bond, Real Return Plus, Prime
Obligation and Tax-Managed Managed Volatility Funds (each a "Fund," collectively
the "Funds"). The Trust is registered to offer Class A shares of the Funds,
Class E Share of the S&P 500 Fund, Class I shares of the Large Cap Value, Large
Cap Growth, Large Cap Diversified Alpha, S&P 500 Index, Small Cap Value, Small
Cap Growth, Small/Mid Cap Diversified Alpha, Mid-Cap, U.S. Managed Volatility,
Global Managed Volatility, Real Estate, Enhanced Income, Core Fixed Income, High
Yield Bond and Real Return Plus Funds, and Class Y shares of Tax-Managed Large
Cap Fund. The assets of each Fund are segregated, and a shareholder's interest
is limited to the Fund in which shares are held. The Funds' prospectuses provide
a description of each Fund's investment objective, policies, and strategies.
As of September 30, 2007, the Real Return Plus, Prime Obligation and Tax-Managed
Managed Volatility Funds have not yet commenced operations.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies followed by
the Funds.
USE OF ESTIMATES -- The preparation of financial statements, in conformity with
generally accepted accounting principles requires management to make estimates
and assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates.
SECURITY VALUATION -- Securities listed on a securities exchange, market or
automated quotation system for which quotations are readily available (except
for securities traded on NASDAQ) are valued at the last quoted sale price on the
primary exchange or market (foreign or domestic) on which they are traded, or,
if there is no such reported sale, at the most recent quoted bid price. For
securities traded on NASDAQ, the NASDAQ Official Closing Price will be used. If
available, debt securities are priced based upon valuations provided by
independent, third-party pricing agents. Such values generally reflect the last
reported sales price if the security is actively traded. The third-party pricing
agents may also value debt securities at an evaluated bid price by employing
methodologies that utilize actual market transactions, broker-supplied
valuations, or other methodologies designed to identify the market value for
such securities. Debt obligations with remaining maturities of sixty days or
less may be valued at their amortized cost, which approximates market value.
Prices for most securities held in the Funds are provided daily by recognized
independent pricing agents. If a security price cannot be obtained from an
independent, third-party pricing agent, the Funds seek to obtain a bid price
from at least one independent broker.
Securities for which market prices are not "readily available" are valued in
accordance with Fair Value Procedures established by the Funds' Board of
Trustees. The Funds' Fair Value Procedures are implemented through a Fair Value
Committee (the "Committee") designated by the Funds' Board of Trustees. Some of
the more common reasons that may necessitate that a security be valued using
Fair Value Procedures include: the security's trading has been halted or
suspended; the security has been de-listed from a national exchange; the
security's primary trading market is temporarily closed at a time when, under
normal conditions, it would be open; or the security's primary pricing source is
not able or willing to provide a price. When a security is valued in accordance
with the Fair Value Procedures, the Committee will determine the value after
taking into consideration relevant information reasonably available to the
Committee.
For securities that principally trade on a foreign market or exchange, a
significant gap in time can exist between the time of a particular security's
last trade and the time at which a Fund calculates its net asset value. The
closing prices of such securities may no longer reflect their market value at
the time the Fund calculates net asset value if an event that could materially
affect the value of those securities (a "Significant Event") has occurred
between the time of the security's last close and the time that the Fund
calculates net asset value. A Significant Event may relate to a single issuer or
to an entire market sector. If the adviser or sub-adviser of a Fund becomes
aware of a Significant Event that has occurred with respect to a security or
group of securities after the closing of the exchange or market on which the
security or securities principally trade, but before the time at which the Fund
calculates net asset value, it may request that a Fair Value Committee Meeting
be called. In addition, the Funds' administrator monitors price movements among
certain selected indices, securities and/or baskets of securities that may be an
indicator that the closing prices received earlier from foreign exchanges or
markets may not reflect market value at the time the Fund calculates net asset
value. If price movements in a monitored index or security exceed levels
established by the administrator, the administrator notifies the adviser or
sub-adviser for any Fund holding the relevant securities that such limits have
been exceeded. In such event, the adviser or sub-adviser makes the determination
whether a Fair Value Committee Meeting should be called based on the information
provided.
Options and warrants for which the primary market is a national securities
exchange are valued at the last sale price on the exchange on which they are
traded, or, in the absence of any sale, at the closing
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 219
Notes to Financial Statements (Continued)
September 30, 2007
bid price. Options and warrants not traded on a national securities exchange are
valued at the last quoted bid price.
SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are
recorded on the trade date. Costs used in determining net realized capital gains
and losses on the sale of securities are on the basis of specific
identification. Dividend income is recognized on the ex-dividend date, and
interest income is recognized using the accrual basis of accounting. Income from
payment-in-kind securities is recorded daily based on the effective interest
method of accrual.
Distributions received on securities that represent a return of capital or
capital gain are recorded as a reduction of cost of investments and/or as a
realized gain. The trust estimates the components of distributions received that
may be considered nontaxable distributions or capital gain distributions.
Amortization and accretion is calculated using the scientific interest method,
which approximates the effective interest method over the holding period of the
security. Amortization of premiums and discounts is included in interest income.
REPURCHASE AGREEMENTS -- Securities pledged as collateral for repurchase
agreements are held by each Fund's custodian bank until the repurchase date of
the repurchase agreement. The Funds also invest in tri-party repurchase
agreements. Securities held as collateral for tri-party repurchase agreements
are maintained by the broker's custodian bank in a segregated account until the
repurchase date of the repurchase agreement. Provisions of the repurchase
agreements and the Trust's policies require that the market value of the
collateral, including accrued interest thereon, is sufficient in the event of
default by the counterparty. If the counterparty defaults and the value of the
collateral declines, or if the counterparty enters into an insolvency
proceeding, realization of the collateral by the Funds may be delayed or
limited.
REVERSE REPURCHASE AGREEMENTS -- The Core Fixed Income Fund may issue reverse
repurchase agreements. A reverse repurchase agreement involves the sale of
portfolio assets together with an agreement to repurchase the same assets later
at a fixed price. Additional assets are maintained in an account with the
broker. The segregated assets may consist of cash, U.S. Government securities,
or other liquid securities at least equal in value to the obligations under the
reverse repurchase agreements. In the event the buyer of securities under a
reverse repurchase agreement files for bankruptcy or becomes insolvent, the
Fund's use of the proceeds under the agreement may be restricted pending a
determination by the other party, or its trustee or receiver, whether to enforce
the obligation to repurchase the securities. There were no reverse repurchase
agreements outstanding as of September 30, 2007.
COMPENSATING BALANCES -- Funds with cash overdrafts in excess of $100,000 are
required to leave 112% in compensating balance with US Bank, the custodian of
the Trust, on the following day. Funds with positive cash balances in excess of
$100,000 are allowed to overdraw 90% of the balance with US Bank on the
following day.
EXPENSES -- Expenses that are directly related to one of the Funds are charged
directly to that Fund. Other operating expenses of the Funds are prorated to the
Funds on the basis of relative daily net assets.
CLASSES -- Class-specific expenses are borne by that class of shares. Income,
realized and unrealized gains/losses and non class-specific expenses are
allocated to the respective class on the basis of relative daily net assets.
FOREIGN CURRENCY TRANSLATION -- The books and records of the Funds are
maintained in U.S. dollars on the following basis:
(I) market value of investment securities, assets and liabilities at the current
rate of exchange; and
(II) purchases and sales of investment securities, income and expenses at the
relevant rates of exchange prevailing on the respective dates of such
transactions.
The Funds do not isolate that portion of gains and losses on investments in
equity securities that is due to changes in the foreign exchange rates from that
which is due to changes in market prices of equity securities.
The Funds report certain foreign-currency-related transactions as components of
realized gains for financial reporting purposes, whereas such components are
treated as ordinary income for Federal income tax purposes.
FORWARD FOREIGN CURRENCY CONTRACTS -- The Small Cap Growth, Global Managed
Volatility, Enhanced Income and Core Fixed Income Funds may enter into forward
foreign currency contracts as hedges against either specific transactions, fund
positions or anticipated fund positions. The Core Fixed Income Fund may also
engage in currency transactions to enhance the Fund's returns. All commitments
are "marked-to-market" daily at the applicable foreign exchange rate, and any
resulting unrealized gains or losses are recorded currently. The Small Cap
Growth and Core Fixed Income Funds realize gains and losses at the time forward
contracts are extinguished. Unrealized gains or losses on outstanding positions
in forward foreign currency contracts held at the close of the period are
recognized as ordinary income or loss for Federal income tax purposes. The Funds
could be exposed to risk if the counterparties to the contracts are unable to
meet the terms of the contract and from unanticipated movements in the value of
a foreign currency relative to the U.S. dollar. Finally, the risk exists that
losses could exceed amounts disclosed on the Statement of Assets and
Liabilities. At the year ended September 30, 2007, the Small Cap Growth Fund did
not have any forward currency contracts outstanding.
FUTURES CONTRACTS -- All Funds, with the exception of the Real Estate and High
Yield Bond Funds, utilized futures contracts during the year or period ended
September 30, 2007. The Funds' investments in futures contracts are designed to
enable the Funds to more closely approximate the performance of their benchmark
indices. The Core
- --------------------------------------------------------------------------------
220 SEI Institutional Managed Trust / Annual Report / September 30, 2007
Fixed Income Fund may use futures contracts for tactical hedging purposes as
well as to enhance the Fund's returns. Initial margin deposits of cash or
securities are made upon entering into futures contracts. The contracts are
marked to market daily and the resulting changes in value are accounted for as
unrealized gains and losses. Variation margin payments are paid or received,
depending upon whether unrealized gains or losses are incurred. When the
contract is closed, the Fund records a realized gain or loss equal to the
difference between the proceeds from (or cost of) the closing transaction and
the amount invested in the contract.
Risks of entering into futures contracts include the possibility that there will
be an imperfect price correlation between the futures and the underlying
securities. Second, it is possible that a lack of liquidity for futures
contracts could exist in the secondary market, resulting in an inability to
close a position prior to its maturity date. Third, the futures contract
involves the risk that the fund could lose more than the original margin deposit
required to initiate a futures transaction.
Finally, the risk exists that losses could exceed amounts disclosed on the
Statement of Assets and Liabilities.
OPTIONS/SWAPTIONS WRITING/PURCHASING -- Each Fund may invest in financial
options/swaptions contracts for the purpose of hedging its existing fund
securities, or securities that the Fund intends to purchase, against
fluctuations in fair value caused by changes in prevailing market interest
rates. The Core Fixed Income Fund may also invest in financial option/swaption
contracts to enhance the Fund's returns. When the Fund writes or purchases an
option/swaption, an amount equal to the premium received or paid by the Fund is
recorded as a liability or an asset and is subsequently adjusted to the current
market value of the option/swaption written or purchased. Premiums received or
paid from writing or purchasing options/swaptions 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/swaption is exercised, the
premium paid or received is added to the cost of the purchase or proceeds from
the sale in determining whether the Fund has realized a gain or a loss on
investment transactions. The Large Cap Diversified Alpha, Small/Mid Cap
Diversified Alpha and Core Fixed Income Funds had option/swaption contracts as
of September 30, 2007 as disclosed in the Fund's Schedule of Investments.
The risk in writing a call option/swaption 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/swaption is that the Funds may incur a loss if the
market price of the security decreases and the option/swaption is exercised. The
risk in purchasing an option/swaption is that the Funds pay a premium whether or
not the option/swaption 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/swaption contracts also involve
the risk that they may not work as intended due to unanticipated developments in
market conditions or other causes.
Finally, the risk exists that losses on written options could exceed amounts
disclosed on the Statement of Assets and Liabilities.
Written option transactions entered into during the year or period ended
September 30, 2007 are summarized as follows:
- --------------------------------------------------------------------------------
Large Cap Diversified Alpha Fund
- --------------------------------------------------------------------------------
Number of Premium
Contracts ($ Thousands)
- --------------------------------------------------------------------------------
Balance at the beginning of period 131 $ 71
Written 43 7
Expired (131) (71)
Closing Buys -- --
- --------------------------------------------------------------------------------
Balance at the end of period 43 $ 7
================================================================================
- --------------------------------------------------------------------------------
Small/Mid Cap Diversified Alpha Fund
- --------------------------------------------------------------------------------
Number of Premium
Contracts ($ Thousands)
- --------------------------------------------------------------------------------
Balance at the beginning of period -- $ --
Written 7 1
Expired -- --
Closing Buys -- --
- --------------------------------------------------------------------------------
Balance at the end of period 7 $ 1
================================================================================
- --------------------------------------------------------------------------------
Core Fixed Income Fund
- --------------------------------------------------------------------------------
Number of Premium
Contracts ($ Thousands)
- --------------------------------------------------------------------------------
Balance at the beginning of period 1,511 $ 865
Written 6,439 3,065
Expired (3,428) (1,646)
Closing Buys (2,436) (940)
- --------------------------------------------------------------------------------
Balance at the end of period 2,086 $ 1,344
================================================================================
Written swaptions transactions entered into during the year ended September 30,
2007 are summarized as follows:
- --------------------------------------------------------------------------------
Core Fixed Income Fund
- --------------------------------------------------------------------------------
Notional
Amount Premium
($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Balance at the beginning of period $ -- $ --
Written 128,270 2,290
Expired (26,270) (35)
Closing buys -- --
- --------------------------------------------------------------------------------
Balance at the end of period $ 102,000 $ 2,255
================================================================================
At September 30, 2007, the Large Cap Diversified Alpha, Small/Mid Cap
Diversified Alpha and Core Fixed Income Funds had cash and/or securities at
least equal to the value of written options/swaptions.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 221
Notes to Financial Statements (Continued)
September 30, 2007
SWAP AGREEMENTS -- A swap agreement is a two-party contract under which an
agreement is made to exchange returns from predetermined investments or
instruments, including a particular interest rate, foreign currency, or "basket"
of securities representing a particular index. Interest rate swaps involve the
exchange by a Fund with another party of their respective commitments to pay or
receive interest (e.g., an exchange of floating rate payments for fixed rate
payments) with respect to a notional amount of principal. Credit-default swaps
involve periodic payments by the Fund or counterparty based on a specified rate
multiplied by a notional amount assigned to an underlying debt instrument or
group of debt instruments in exchange for the assumption of credit risk on the
same instruments. In the event of a credit event, usually in the form of a
credit rating downgrade, the party receiving periodic payments (i.e. floating
rate payer) must pay the other party (i.e. fixed rate payer) an amount equal to
the outstanding principal of the downgraded debt instrument, and also take
possession of the instrument. Total return swaps allow an investor to benefit
from the cash flow without ever actually owning the underlying security. The
receiver must pay any decline in value to the payer at the end of the total
return swap. However, the investor does not need to make a payment if there is
no decline in price. Payments can be made on various indices, bonds (i.e.
mortgage backed securities, bank debt and corporate), loans or commodities. The
value of a total return swap is equal to the change in value of the underlying
asset versus the accrued income payment based on LIBOR or some other form of
indices on the notional amount. Interest rate swaps involve the exchange by a
Fund with another party of their respective commitments to pay or receive
interest (e.g., an exchange of floating rate payments for fixed rate payments)
with respect to a notional amount of principal to manage the Fund's exposure to
interest rates. Payments received or made are recorded as realized gains or
loss. The Fund could be exposed to credit or market risk due to unfavorable
changes in the fluctuation of interest rates or if the counterparty defaults on
its obligation to perform. Risk of loss may exceed amounts recognized on the
statement of assets and liabilities. Interest rate swap contracts outstanding at
period end, if any, are listed after the Fund's portfolio. In connection with
swap agreements securities may be set aside as collateral by the Fund's
custodian. A Fund may enter into swap agreements in order to, among other
things, change the maturity or duration of the investment portfolio, to protect
the Fund's value from changes in interest rates, or to expose a Fund to a
different security or market.
Swaps are marked-to-market daily based upon quotations from market makers and
the resulting changes in market values, if any, are recorded as an unrealized
gain or loss in the Statement of Operations. Net payments of interest are
recorded as realized gains or losses.
Entering into swap agreements involves, to varying degrees, elements of credit
and market risk in excess of the amounts recognized on the Statement of Assets
and Liabilities. Such risks involve the possibility that there will be no liquid
market for these agreements, that the counterparty to the agreement may default
on its obligation to perform and that there may be unfavorable changes in the
fluctuation of interest rates. Risks also arise from potential losses from
adverse market movements.
DELAYED DELIVERY TRANSACTIONS -- The Core Fixed Income Fund may purchase or sell
securities on a when-issued or delayed delivery basis. These transactions
involve a commitment by the Fund to purchase or sell securities for a
predetermined price or yield, with payment and delivery taking place beyond the
customary settlement period. When delayed delivery purchases are outstanding,
the Fund will set aside liquid assets in an amount sufficient to meet the
purchase price. When purchasing a security on a delayed delivery basis, the Fund
assumes the rights and risks of ownership of the security, including the risk of
price and yield fluctuations, and takes such fluctuations into account when
determining its net asset value. The Fund may dispose of or renegotiate a
delayed delivery transaction after it is entered into, and may sell when-issued
securities before they are delivered, which may result in a capital gain or
loss. When the Fund has sold a security on a delayed delivery basis, the Fund
does not participate in future gains and losses with respect to the security.
COLLATERALIZED DEBT OBLIGATIONS -- The Funds may invest in collateralized debt
obligations ("CDOs"), which include collateralized loan obligations ("CLOs") and
other similarly structured securities. CLOs are a type of asset-backed
securities. A CLO is a trust typically collateralized by a pool of loans, which
may include, among others, domestic and foreign senior secured loans, senior
unsecured loans, and subordinate corporate loans, including loans that may be
rated below investment grade or equivalent unrated loans. CDOs may charge
management fees and administrative expenses.
For CDOs, the cashflows from the trust are split into two or more portions,
called tranches, varying in risk and yield. The riskiest portion is the "equity"
tranche which bears the bulk of defaults from the bonds or loans in the trust
and serves to protect the other, more senior tranches from default in all but
the most severe circumstances. Since it is partially protected from defaults, a
senior tranche from a CDO trust typically has a higher rating and lower yield
than their underlying securities, and can be rated investment grade. Despite the
protection from the equity tranche, CDO tranches can experience substantial
losses due to actual defaults, increased sensitivity to defaults due to
collateral default and disappearance of protecting tranches, market anticipation
of defaults, as well as aversion to CDO securities as a class.
The risks of an investment in a CDO depend largely on the type of the collateral
securities and the class of the CDO in which a Fund invests. Normally, CLOs and
other CDOs are privately offered and sold, and thus, are not registered under
the securities laws. As a result, investments in CDOs may be characterized by
the Funds as illiquid securities; however, an active dealer market may exist for
CDOs, allowing a CDO to qualify for Rule 144A transactions. In addition to the
normal risks associated with fixed income securities (e.g., interest rate risk
and default risk), CDOs carry additional risks including, but are not
- --------------------------------------------------------------------------------
222 SEI Institutional Managed Trust / Annual Report / September 30, 2007
limited to: (i) the possibility that distributions from collateral securities
will not be adequate to make interest or other payments; (ii) the quality of the
collateral may decline in value or default; (iii) the Funds may invest in CDOs
that are subordinate to other classes; and (iv) the complex structure of the
security may not be fully understood at the time of investment and may produce
disputes with the issuer or unexpected investment results.
ILLIQUID SECURITIES -- A security is considered illiquid if it cannot be sold or
disposed of in the ordinary course of business within seven days or less for its
approximate carrying value on the books of the Funds. Valuations of illiquid
securities may differ significantly from the values that would have been used
had an active market value for these securities existed.
RESTRICTED SECURITIES -- At September 30, 2007, the following Funds owned
private placement investments that were purchased through private offerings or
acquired through initial public offerings and cannot be sold without prior
registration under the Securities Act of 1933 or pursuant to an exemption
therefrom. In addition, the Funds have generally agreed to further restrictions
on the disposition of certain holdings as set forth in various agreements
entered into in connection with the purchase of these investments. These
investments are valued at fair value as determined in accordance with the
procedures approved by the Board of Trustees. The acquisition dates of these
investments, the enforceable right to acquire these securities, along with their
cost and values at September 30, 2007, were as follows:
RIGHT TO
NUMBER ACQUISITION ACQUIRE COST MARKET VALUE % OF NET
OF SHARES DATE DATE ($THOUSANDS) ($THOUSANDS) ASSETS
- -------------------------------------------------------------------------------------------------------------------
SMALL CAP VALUE FUND
Verde Realty PIPE 21,100 02/16/07 02/16/07 $ 696 $ 696 0.06%
========= ========= ====
SMALL CAP GROWTH FUND
BA Energy PIPE 145,000 08/10/06 08/10/06 $ 1,223 $ 1,022 0.09%
BA Energy, Deal #3 PIPE 37,000 04/30/07 04/30/07 268 261 0.02
BPZ Energy PIPE 286,500 05/07/07 05/07/07 1,513 2,235 0.19
Force Protection 201,900 12/19/06 12/19/06 2,372 3,936 0.33
NNN Realty Advisors 241,000 11/09/06 11/09/06 2,410 2,036 0.18
Oilsands Quest PIPE 13,700 05/02/07 05/02/07 38 61 0.01
Orion Marine Group 169,200 05/03/07 05/03/07 2,291 2,411 0.21
Parkervision Warrants, Deal #2 17,500 06/20/06 06/20/06 36 108 0.01
Rentech Warrants 19,400 04/20/07 04/20/07 -- 11 0.00
Synenco Energy 19,500 08/19/05 08/19/05 227 220 0.02
--------- --------- ----
$ 10,378 $ 12,301 1.06%
========= ========= ====
SMALL/MID CAP DIVERSIFIED ALPHA FUND
BA Energy, Deal #3 PIPE 12,000 04/30/07 04/30/07 $ 96 $ 85 0.07%
BPZ Energy PIPE 16,800 05/07/07 05/07/07 89 131 0.10
Oilsands Quest PIPE 4,000 05/02/07 05/02/07 11 18 0.01
Orion Marine Group 13,000 05/03/07 05/03/07 180 185 0.14
Rentech Warrants 1,000 05/03/07 05/03/07 -- 1 0.00
--------- --------- ----
$ 376 $ 420 0.32%
========= ========= ====
REAL ESTATE FUND
Verde Realty PIPE 21,400 02/16/07 02/16/07 $ 706 $ 706 0.29%
========= ========= ====
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 223
Notes to Financial Statements (Continued)
September 30, 2007
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment
income are declared and paid to shareholders quarterly for the Large Cap Value,
Large Cap Growth, Tax-Managed Large Cap, Large Cap Diversified Alpha, S&P 500
Index, Small Cap Value, Small Cap Growth, Tax-Managed Small Cap, Small/Mid Cap
Diversified Alpha, Mid-Cap, U.S. Managed Volatility, Enhanced Income and Real
Estate Funds; are declared and paid annually for the Global Managed Volatility
Fund; and declared daily and paid monthly for the Core Fixed Income and High
Yield Bond Funds. Any net realized capital gains on sales of securities are
distributed to shareholders at least annually. Dividends and distributions are
recorded on the ex-dividend date.
The Large Cap Value, Large Cap Diversified Alpha, Small Cap Value, Tax-Managed
Small Cap, Mid-Cap and U.S. Managed Volatility Funds utilized earnings and
profits distributed to shareholders on redemption of shares as a part of the
dividends paid deduction for income tax purposes.
INVESTMENTS IN REITS -- With respect to the Real Estate Fund, dividend income is
recorded based on the income included in distributions received from the REIT
investments using published REIT reclassifications including some management
estimates when actual amounts are not available. Distributions received in
excess of this estimated amount are recorded as a reduction of the cost of
investments or reclassified to capital gains. The actual amounts of income,
return of capital, and capital gains are only determined by each REIT after its
fiscal year-end, and may differ from the estimated amounts.
3. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
ADMINISTRATION AND TRANSFER AGENCY AGREEMENT -- The Trust and SEI Investments
Global Funds Services (the "Administrator") are parties to an amended and
restated Administration and Transfer Agency Agreement dated December 10, 2003
under which the Administrator provides administrative and transfer agency
services to the Funds for an annual fee of 0.35% of the average daily net assets
of the Large Cap Value, Large Cap Growth, Tax-Managed Large Cap Class A, Large
Cap Diversified Alpha, Small Cap Value, Small Cap Growth, Tax-Managed Small Cap,
Small/Mid Cap Diversified Alpha, Mid-Cap, U.S. Managed Volatility, Global
Managed Volatility, Real Estate, Enhanced Income and High Yield Bond Funds;
0.15% of average daily net assets of the Tax-Managed Large Cap Class Y, 0.22% of
the average daily net assets of the S&P 500 Index Fund; and 0.28% of the average
daily net assets of the Core Fixed Income Fund. The Administrator has agreed to
waive all or a portion of its fee in order to limit the operating expenses of a
Fund. Any such waiver is voluntary and may be terminated at any time at the
Administrator's sole discretion.
INVESTMENT ADVISORY AGREEMENT -- SEI Investments Management Corporation ("SIMC")
serves as investment adviser (the "Adviser") to each Fund. In connection with
serving as Adviser, SIMC is entitled to a fee, which is calculated daily and
paid monthly, based on the average daily net assets of each Fund. SIMC has
voluntarily agreed to waive a portion of its fee so that the total annual
expenses of each Fund, exclusive of short sale expenses, will not exceed certain
voluntary expense limitations adopted by SIMC. These waivers may be terminated
at any time. Accordingly, the advisory fee and voluntary expense limitations for
each Fund are as follows:
- --------------------------------------------------------------------------------
Voluntary
Advisory Expense
Fees Limitations
- --------------------------------------------------------------------------------
Large Cap Value Fund, Class A 0.3500% 0.8600%
Large Cap Value Fund, Class I 0.3500 1.1100
Large Cap Growth Fund, Class A 0.4000 0.8600
Large Cap Growth Fund, Class I 0.4000 1.1100
Tax-Managed Large Cap Fund, Class A 0.4000 0.8600
Tax-Managed Large Cap Fund, Class Y 0.4000 0.5600
Large Cap Diversified Alpha Fund, Class A 0.4000 0.9500
Large Cap Diversified Alpha Fund, Class I 0.4000 1.2000
S&P 500 Index Fund, Class A 0.0300 0.4300
S&P 500 Index Fund, Class E 0.0300 0.2500
S&P 500 Index Fund, Class I 0.0300 0.6500
Small Cap Value Fund, Class A 0.6500 1.1100
Small Cap Value Fund, Class I 0.6500 1.3600
Small Cap Growth Fund, Class A 0.6500 1.1100
Small Cap Growth Fund, Class I 0.6500 1.3600
Tax-Managed Small Cap Fund, Class A 0.6500 1.1100
Small/Mid Cap Diversified Alpha Fund, Class A 0.7500 1.2000
Mid-Cap Fund, Class A 0.4000 1.0100
U.S. Managed Volatility Fund, Class A 0.6500 1.1100
U.S. Managed Volatility Fund, Class I 0.6500 1.3600
Global Managed Volatility Fund, Class A 0.6500 1.0000*
Global Managed Volatility Fund, Class I 0.6500 1.2500*
Real Estate Fund, Class A 0.6500 1.1100
Enhanced Income Fund, Class A 0.4000 0.6000
Enhanced Income Fund, Class I 0.4000 0.8500
Core Fixed Income Fund, Class A 0.2750 0.6400
Core Fixed Income Fund, Class I 0.2750 0.8900
High Yield Bond Fund, Class A 0.4875 0.8600
* Prior to April 1, 2007, the Global Managed Volatility Fund Class A and Class I
had voluntary expense limitations of 1.1100% and 1.3600%, respectively.
- --------------------------------------------------------------------------------
224 SEI Institutional Managed Trust / Annual Report / September 30, 2007
As of September 30, 2007, SIMC has entered into investment sub-advisory
agreements with the following parties:
- --------------------------------------------------------------------------------
Investment Sub-Adviser
- --------------------------------------------------------------------------------
LARGE CAP VALUE FUND
AllianceBernstein LP
Aronson + Johnson + Ortiz, LP
Enhanced Investment Technologies, LLC
LSV Asset Management
LARGE CAP GROWTH FUND
Delaware Management Company
Enhanced Investment Technologies, LLC
Goldman Sachs Asset Management, L.P.
Montag & Caldwell, Inc.
Quantitative Management Associates LLC
TAX-MANAGED LARGE CAP FUND
AllianceBernstein LP
Aronson + Johnson + Ortiz, LP
Delaware Management Company
Goldman Sachs Asset Management, L.P.
LSV Asset Management
Montag & Caldwell, Inc.
Parametric Portfolio Associates
Quantitative Management Associates LLC
LARGE CAP DIVERSIFIED ALPHA FUND
Analytic Investors, Inc.
Aronson + Johnson + Ortiz, LP
Delaware Management Company
Enhanced Investment Technologies, LLC
Quantitative Management Associates LLC
Smith Breeden Associates, Inc.
S&P 500 INDEX FUND
SSgA Funds Management, Inc.
SMALL CAP VALUE FUND
Artisan Partners Limited Partnership
BlackRock Capital Management, Inc.
David J. Greene and Company, LLC
LSV Asset Management
Lee Munder Investments, Ltd.
Martingale Asset Management, L.P.
PanAgora Asset Management, Inc.*
Robeco Investment Management, Inc.
Weiss, Peck & Greer, LLC
Wellington Management Company, LLP
SMALL CAP GROWTH FUND
Delaware Management Company
Janus Capital Management, Inc.
Lee Munder Investments, Ltd.
Martingale Asset Management, L.P.
Mazama Capital Management, Inc.
McKinley Capital Management Inc.
PanAgora Asset Management, Inc.
Wellington Management Company, LLP
- --------------------------------------------------------------------------------
Investment Sub-Adviser
- --------------------------------------------------------------------------------
TAX-MANAGED SMALL CAP FUND
BlackRock Capital Management, Inc.
David J. Greene and Company, LLC
Delaware Management Company
Los Angeles Capital Management and Equity Research, Inc.
LSV Asset Management
Mazama Capital Management, Inc.
McKinley Capital Management Inc.
Parametric Portfolio Associates
SMALL/MID CAP DIVERSIFIED ALPHA FUND
Integrity Asset Management LLC
Los Angeles Capital Management and Equity Research, Inc.
Martingale Asset Management, L.P.
PanAgora Asset Management, Inc.
Smith Breeden Associates, Inc.
Wellington Management Company, LLP
MID-CAP FUND
Martingale Asset Management, L.P.
Quantitative Management Associates LLC
U.S. MANAGED VOLATILITY FUND
Aronson + Johnson + Ortiz, LP
Analytic Investors, Inc.
GLOBAL MANAGED VOLATILITY FUND
Acadian Asset Management, Inc.
Analytic Investors, Inc.
REAL ESTATE FUND
Security Capital Research and Management, Inc.
Wellington Management Company, LLP
ENHANCED INCOME FUND
Highland Capital Management, L.P.
Record Currency Management Limited
Wellington Management Company, LLP
CORE FIXED INCOME FUND
Metropolitan West Asset
Management LLC
Smith Breeden Associates, Inc.
Wells Capital Management, Inc.
Western Asset Management Company
Western Asset Management Company Limited
HIGH YIELD BOND FUND
Ares Management LLC
J.P. Morgan Investment Management, Inc.
Nomura Corporate Research and Asset Management, Inc.
* As of September 30, 2007, this sub-adviser was not yet funded.
Under the investment sub-advisory agreements, each party receives an annual fee
paid by SIMC.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 225
Notes to Financial Statements (Continued)
September 30, 2007
PAYMENT BY AFFILIATE -- During the fiscal year ended September 30, 2006, the
Core Fixed Income Fund was reimbursed by a sub-adviser, which was included in
net investment income in the Statement of Changes, for sub-advisory fees
received of $239,132. After terminating its sub-advisory agreement with the
Fund, the sub-adviser agreed to reimburse the Fund for sub-advisory fees
received since their hiring in September 2005. During the fiscal year ended
September 30, 2006, the High Yield Bond Fund was reimbursed by the sub-adviser,
deemed as a "Payment by Affiliate" in the Statement of Changes, for losses
incurred of $2,947 due to the sale of shares in a specific company in excess of
the amount permitted under applicable Securities and Exchange Commission rules.
The reimbursement has no impact on the Fund's total return.
DISTRIBUTION AGREEMENT -- SEI Investments Distribution Co. (the "Distributor"),
a wholly owned subsidiary of SEI Investments Company ("SEI"), serves as each
Fund's Distributor pursuant to a distribution agreement with the Trust. The
Trust has adopted a shareholder servicing plan for Class A, Class E, Class I and
Class Y shares (the "Shareholder Servicing Plans") under which a shareholder
servicing fee of up to 0.25% of average daily net assets attributable to Class A
shares of the Large Cap Value, Large Cap Growth, Tax-Managed Large Cap, Large
Cap Diversified Alpha, Small Cap Value, Small Cap Growth, Tax-Managed Small Cap,
Small/Mid Cap Diversified Alpha, Mid-Cap, U.S. Managed Volatility, Global
Managed Volatility, Real Estate, Enhanced Income, Core Fixed Income and High
Yield Bond Funds, Class E and Class I shares, and a shareholder servicing fee of
up to 0.15% of average daily net assets attributable to Class A shares of the
S&P 500 Index Fund and Class Y shares, will be paid to the Distributor. In
addition to the Shareholder Servicing Plans, the Class I shares have adopted
administrative service plans that provide for administrative service fees
payable to the Distributor of up to 0.25% of the average daily net assets
attributed to that class.
OTHER -- The Distribution Agreement between the Distributor and the Trust
provides that the Distributor may receive compensation on fund transactions
effected for the Trust in accordance with the rules of the Securities and
Exchange Commission ("SEC"). Accordingly, it is expected that fund transactions
may result in brokerage commissions being paid to the Distributor. SEC rules
require that such commissions not exceed usual and customary commissions.
- --------------------------------------------------------------------------------
226 SEI Institutional Managed Trust / Annual Report / September 30, 2007
4. CAPITAL SHARE TRANSACTIONS
Capital Share Transactions for the Funds were as follows (Thousands):
For the years or period ended September 30,
- ------------------------------------------------------------------------------------------------------------------------------------
LARGE CAP
LARGE CAP LARGE CAP TAX-MANAGED DIVERSIFIED
VALUE FUND GROWTH FUND LARGE CAP FUND ALPHA FUND(1)
- ------------------------------------------------------------------------------------------------------------------------------------
2007 2006 2007 2006 2007 2006 2007 2006
- ------------------------------------------------------------------------------------------------------------------------------------
Class A:
Shares Issued 22,820 26,779 24,904 32,792 37,459 33,862 65,075 115,472
Shares Issued in Lieu of
Dividends & Distributions 16,663 14,126 339 300 1,745 1,534 2,114 576
Shares Redeemed (48,402) (69,601) (42,404) (71,571) (29,612) (32,596) (30,979) (11,833)
- ------------------------------------------------------------------------------------------------------------------------------------
Total Class A Transactions (8,919) (28,696) (17,161) (38,479) 9,592 2,800 36,210 104,215
- ------------------------------------------------------------------------------------------------------------------------------------
Class I:
Shares Issued 467 465 339 383 -- -- 68 2
Shares Issued in Lieu of
Dividends & Distributions 151 85 -- -- -- -- -- --
Shares Redeemed (735) (322) (673) (535) -- -- (27) --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Class I Transactions (117) 228 (334) (152) -- -- 41 2
- ------------------------------------------------------------------------------------------------------------------------------------
Class Y:
Shares Issued -- -- -- -- 7 14 -- --
Shares Issued in Lieu of
Dividends & Distributions -- -- -- -- 3 4 -- --
Shares Redeemed -- -- -- -- (49) (89) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Class Y Transactions -- -- -- -- (39) (71) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Capital
Share Transactions (9,036) (28,468) (17,495) (38,631) 9,553 2,729 36,251 104,217
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
S&P 500 SMALL CAP SMALL CAP TAX-MANAGED
INDEX FUND(4) VALUE FUND GROWTH FUND SMALL CAP FUND
- ------------------------------------------------------------------------------------------------------------------------------------
2007(2) 2007(3) 2006(3) 2007 2006 2007 2006 2007 2006
- ------------------------------------------------------------------------------------------------------------------------------------
Class A:
Shares Issued 1,250 2,517 2,705 11,573 14,206 12,999 20,574 7,958 6,096
Shares Issued in Lieu of
Dividends & Distributions 53 445 780 5,373 5,563 -- -- 1,709 1,122
Shares Redeemed (1,749) (3,966) (5,579) (18,686)(5) (14,670) (20,205)(5) (19,958) (4,181) (3,751)
- ------------------------------------------------------------------------------------------------------------------------------------
Total Class A Transactions (446) (1,004) (2,094) (1,740) 5,099 (7,206) 616 5,486 3,467
- ------------------------------------------------------------------------------------------------------------------------------------
Class E:
Shares Issued 1,414 2,742 15,809(6) -- -- -- -- -- --
Shares Issued in Lieu of
Dividends & Distributions 89 908 1,689 -- -- -- -- -- --
Shares Redeemed (4,713) (20,320)(5) (9,723) -- -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Class E Transactions (3,210) (16,670) 7,775 -- -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Class I:
Shares Issued 58 123 124 310 263 190 228 -- --
Shares Issued in Lieu of
Dividends & Distributions 1 10 15 70 68 -- -- -- --
Shares Redeemed (109) (129) (113) (388) (248) (408) (205) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Class I Transactions (50) 4 26 (8) 83 (218) 23 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Capital Share Transactions (3,706) (17,670) 5,707 (1,748) 5,182 (7,424) 639 5,486 3,467
- ------------------------------------------------------------------------------------------------------------------------------------
(1) The Large Cap Diversified Alpha Fund commenced operations on December 14,
2005.
(2) For the six months ended September 30, 2007. Effective September 17, 2007
the Fund's fiscal year end changed from March 31 to September 30.
(3) For the year ended March 31.
(4) On September 14, 2007, the SEI Institutional Managed Trust acquired the
net assets of the SEI S&P 500 Index Fund in a tax-free reorganization. See
Shareholder Voting Results on page 243.
(5) Includes redemption as a result of in-kind transfer of securities (see
Note 9).
(6) Includes subscriptions as a result of in-kind transfer of securities (see
Note 9).
Amounts designated as "--" are $0 or have been rounded to $0.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 227
Notes to Financial Statements (Continued)
September 30, 2007
- ------------------------------------------------------------------------------------------------------------------------------------
SMALL/MID
DIVERSIFIED MID-CAP U.S. MANAGED GLOBAL MANAGED
ALPHA FUND(1) FUND VOLATILITY FUND* VOLATILITY FUND*(2)
- ------------------------------------------------------------------------------------------------------------------------------------
2007 2006 2007 2006 2007 2006 2007 2006
- ------------------------------------------------------------------------------------------------------------------------------------
Class A:
Shares Issued 13,754 8,193 7,597 3,896 28,238 17,714 20,365 9,704
Shares Issued in Lieu of
Dividends & Distributions 66 29 300 342 1,043 366 204 --
Shares Redeemed (881) (352) (4,069) (3,323) (10,963) (6,865) (5,154) (547)
- ------------------------------------------------------------------------------------------------------------------------------------
Total Class A Transactions 12,939 7,870 3,828 915 18,318 11,215 15,415 (9,157)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Capital Share
Transactions 12,939 7,870 3,828 915 18,318 11,215 15,415 (9,157)
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE ENHANCED CORE FIXED HIGH YIELD
FUND INCOME FUND(2) INCOME FUND BOND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
2007 2006 2007 2006 2007 2006 2007 2006
- ------------------------------------------------------------------------------------------------------------------------------------
Class A:
Shares Issued 10,713 7,942 60,371 24,889 115,881 109,028 59,539 57,619
Shares Issued in Lieu of
Dividends & Distributions 720 375 2,090 -- 19,804 19,036 10,186 9,708
Shares Redeemed (8,428) (4,351) (23,206) (1,550) (101,625) (103,170) (46,105) (128,063)
- ------------------------------------------------------------------------------------------------------------------------------------
Total Class A Transactions 3,005 3,966 39,255 23,339 34,060 24,894 23,620 (60,736)
- ------------------------------------------------------------------------------------------------------------------------------------
Class I:
Shares Issued -- -- 1 -- 669 611 -- --
Shares Issued in Lieu of
Dividends & Distributions -- -- -- -- 62 58 -- --
Shares Redeemed -- -- -- -- (830) (549) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Class I Transactions -- -- 1 -- (99) 120 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Capital Share
Transactions 3,005 3,966 39,256 23,339 33,961 25,014 23,620 (60,736)
- ------------------------------------------------------------------------------------------------------------------------------------
* Class I Shares rounded to less than one thousand and are not shown.
(1) The Small/Mid Cap Diversified Alpha Fund commenced operations on December
20, 2006.
(2) The Global Managed Volatility and Enhanced Income Funds commenced
operations on July 27, 2006.
Amounts designated as "--" are $0 or have been rounded to $0.
5. INVESTMENT TRANSACTIONS
The cost of security purchases and proceeds from the sale of securities, other
than temporary cash investments and futures, during the year or period ended
September 30, 2007, were as follows:
- --------------------------------------------------------------------------------
U.S. Gov't Other Total
($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
LARGE CAP VALUE FUND
Purchases ..................... $ -- $ 1,323,185 $ 1,323,185
Sales ......................... -- 1,879,824 1,879,824
LARGE CAP GROWTH FUND
Purchases ..................... -- 1,901,340 1,901,340
Sales ......................... -- 2,318,338 2,318,338
TAX-MANAGED
LARGE CAP FUND
Purchases ..................... -- 1,231,858 1,231,858
Sales ......................... -- 1,149,565 1,149,565
LARGE CAP DIVERSIFIED
ALPHA FUND
Purchases ..................... 522,494 979,984 1,502,478
Sales ......................... 504,014 761,703 1,265,717
S&P 500 INDEX FUND
Purchases ..................... -- 42,092 42,092
Sales ......................... -- 215,618 215,618
- --------------------------------------------------------------------------------
U.S. Gov't Other Total
($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
SMALL CAP VALUE FUND*
Purchases ..................... $ -- $ 998,375 $ 998,375
Sales ......................... -- 1,131,503 1,131,503
SMALL CAP GROWTH FUND*
Purchases ..................... -- 1,516,468 1,516,468
Sales ......................... -- 1,656,337 1,656,337
TAX-MANAGED
SMALL CAP FUND
Purchases ..................... -- 314,384 314,384
Sales ......................... -- 259,049 259,049
SMALL/MID CAP
DIVERSIFIED
ALPHA FUND
Purchases ..................... 116,721 119,639 236,360
Sales ......................... 98,228 22,332 120,560
MID-CAP FUND
Purchases ..................... -- 353,832 353,832
Sales ......................... -- 283,313 283,313
U.S. MANAGED
VOLATILITY FUND
Purchases ..................... -- 692,088 692,088
Sales ......................... -- 462,047 462,047
- --------------------------------------------------------------------------------
228 SEI Institutional Managed Trust / Annual Report / September 30, 2007
- --------------------------------------------------------------------------------
U.S. Gov't Other Total
($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GLOBAL MANAGED
VOLATILITY FUND
Purchases ..................... $ -- $ 376,219 $ 376,219
Sales ......................... -- 219,408 219,408
REAL ESTATE FUND
Purchases ..................... -- 251,945 251,945
Sales ......................... -- 189,146 189,146
ENHANCED INCOME FUND
Purchases ..................... 75,496 171,441 246,937
Sales ......................... 33,573 56,404 89,977
CORE FIXED INCOME FUND
Purchases ..................... 17,021,288 1,359,067 18,380,355
Sales ......................... 16,668,646 1,349,122 18,017,768
HIGH YIELD BOND FUND
Purchases ..................... 903 1,032,462 1,033,365
Sales ......................... 2,294 878,012 880,306
*Includes in-kind transactions (see Note 9).
6. FEDERAL TAX INFORMATION
It is each Fund's intention to continue to qualify as a regulated investment
company under Subchapter M of The Internal Revenue Code and distribute all of
its taxable income (including net capital gains). Accordingly, no provision for
Federal income taxes is required.
Dividends from net investment income and distributions from net realized capital
gains are determined in accordance with U.S. Federal income tax regulations,
which may differ from those amounts determined under accounting principles
generally accepted in the United States. These book/tax differences are either
temporary or permanent in nature. To the extent these differences are permanent,
they are charged or credited to paid-in capital, undistributed net investment
income or accumulated net realized gain, as appropriate, in the period that the
differences arise. Accordingly, the following permanent differences, primarily
attributable to different treatment for gains and losses on paydowns of
mortgage- and asset-backed securities for tax purposes, return of capital, swap
income reclassification, nontaxable redemption in-kind gain/loss, distribution
reclassification, REIT income reclassification and utilization of earnings and
profits on shareholder redemptions and net operating losses have been
reclassified to/from the following accounts as of September 30, 2007:
- --------------------------------------------------------------------------------
Undistributed Accumulated
Paid-in Net Investment Realized
Capital Income/(Loss) Gain/(Loss)
($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Large Cap Value Fund $33,472 $ 255 $(33,727)
Large Cap Growth Fund -- 69 (69)
Tax-Managed Large Cap Fund 437 (368) (69)
Large Cap Diversified
Alpha Fund 5,940 5 (5,945)
S&P 500 Index Fund 4,951 108 (5,059)
Small Cap Value Fund 19,230 3,178 (22,408)
Small Cap Growth Fund 5,424 3,408 (8,832)
Tax-Managed Small Cap Fund 1,247 129 (1,376)
Small/Mid Cap
Diversified Alpha Fund -- (289) 289
Mid-Cap Fund 4,185 121 (4,306)
U.S. Managed Volatility Fund 2,535 11 (2,546)
Global Managed Volatility Fund 963 (5,912) 4,949
Real Estate Fund* (160) 2,566 (2,406)
Enhanced Income Fund -- 2,079 (2,079)
Core Fixed Income Fund -- (4,488) 4,488
High Yield Bond Fund -- 1,400 (1,400)
* Information reflects Fund activity based on Fund's December 31, 2006 tax
reporting year.
The tax character of dividends and distributions paid during the years or period
ended September 30, 2007 and September 30, 2006 (unless otherwise indicated) was
as follows:
- -------------------------------------------------------------------------------------------------------------------------
Ordinary Income Long-term Capital Gain Return of Capital Total
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------------------------------------------------
Large Cap Value Fund 2007 $ 89,084 $ 321,001 $ -- $ 410,085
2006 109,345 203,925 -- 313,270
Large Cap Growth Fund 2007 7,665 -- -- 7,665
2006 6,263 -- -- 6,263
Tax-Managed Large Cap Fund 2007 25,221 -- -- 25,221
2006 19,664 -- -- 19,664
Large Cap Diversified Alpha Fund 2007 15,521 7,983 -- 23,504
2006 5,836 -- -- 5,836
S&P 500 Index Fund 2007(1) 6,937 -- -- 6,937
2007(2) 33,765 26,542 -- 60,307
2006(2) 33,739 68,539 -- 102,278
Small Cap Value Fund 2007 28,891 92,533 -- 121,424
2006 38,571 77,086 -- 115,657
Tax-Managed Small Cap Fund 2007 4,745 19,830 -- 24,575
2006 4,108 10,936 -- 15,044
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 229
Notes to Financial Statements (Continued)
September 30, 2007
- -----------------------------------------------------------------------------------------------------------------------------------
Ordinary Income Long-term Capital Gain Return of Capital Total
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------------------------------------------------------------------------
Small/Mid Cap Diversified Alpha Fund 2007 $ 699 $ -- $ -- $ 699
Mid-Cap Fund 2007 1,396 6,038 -- 7,434
2006 4,046 3,186 -- 7,232
U.S. Managed Volatility Fund 2007 9,194 4,209 -- 13,403
2006 4,098 102 -- 4,200
Global Managed Volatility Fund 2007 2,197 45 -- 2,242
Real Estate Fund 2007 6,013 8,207 159 14,379
2006 4,354 1,919 -- 6,273
Enhanced Income Fund 2007 21,572 -- -- 21,572
Core Fixed Income Fund 2007 215,422 -- -- 215,422
2006 194,350 13,007 -- 207,357
High Yield Bond Fund 2007 93,629 -- -- 93,629
2006 89,029 -- -- 89,029
(1) For the six months ended September 30, 2007. The Fund's fiscal year end
changed from March 31 to September 30.
(2) For the year ended March 31.
As of September 30, 2007, the components of Distributable Earnings/(Accumulated
Losses) were as follows:
- -------------------------------------------------------------------------------------------------------------
Post
Undistributed Undistributed Capital Post October
Ordinary Long-Term Loss October Losses
Income Capital Gain Carryforwards Losses Currency
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------------------------------------
Large Cap Value Fund $ 42,493 $ 267,676 $ -- $ -- $ --
Large Cap Growth Fund 2,336 -- (1,081,365) -- --
Tax-Managed Large Cap Fund 6,746 -- (289,958) -- --
Large Cap Diversified
Alpha Fund 36,616 30,983 -- -- (1)
S&P 500 Index Fund 8,449 76,392 -- -- --
Small Cap Value Fund 30,689 100,430 -- -- (4)
Small Cap Growth Fund 12,705 59,544 -- -- --
Tax-Managed Small Cap Fund 3,026 18,159 -- -- --
Small/Mid Cap Diversified
Alpha Fund 77 -- (649) -- (4)
Mid-Cap Fund 6,433 10,548 -- -- --
U.S. Managed Volatility Fund 11,839 7,176 -- -- --
Global Managed Volatility Fund 7,304 4 -- -- (7,329)
Real Estate Fund* 2,519 7,949 -- -- --
Enhanced Income Fund 7,703 -- (526) (2,919) --
Core Fixed Income Fund 14,440 -- (59,119) -- (901)
High Yield Bond Fund 17,367 -- (155,388) (2,555) --
- -----------------------------------------------------------------------------------------
Total
Distributable
Unrealized Other Earnings/
Appreciation Temporary (Accumulated
(Depreciation) Differences Losses)
($ Thousands) ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------------------------------
Large Cap Value Fund $ 781,060 $ -- $ 1,091,229
Large Cap Growth Fund 751,627 -- (327,402)
Tax-Managed Large Cap Fund 719,410 -- 436,198
Large Cap Diversified
Alpha Fund 126,083 4 193,685
S&P 500 Index Fund 938,497 -- 1,023,338
Small Cap Value Fund 112,590 -- 243,705
Small Cap Growth Fund 107,954 (277) 179,926
Tax-Managed Small Cap Fund 67,998 -- 89,183
Small/Mid Cap Diversified
Alpha Fund (134) -- (710)
Mid-Cap Fund 7,000 -- 23,981
U.S. Managed Volatility Fund 46,957 -- 65,972
Global Managed Volatility Fund 12,025 502 12,506
Real Estate Fund* 31,561 -- 42,029
Enhanced Income Fund (18,416) 2,136 (12,022)
Core Fixed Income Fund (22,502) (19,809) (87,891)
High Yield Bond Fund (35,203) (16,742) (192,521)
* Information reflects Fund activity based on Fund's December 31, 2006 tax
reporting year.
Post October losses represent losses realized on investment transactions from
November 1, 2006 through September 30, 2007 that, in accordance with Federal
income tax regulations, the Funds may defer and treat as having arisen in the
following fiscal year. For Federal income tax purposes, capital loss
carryforwards may be carried forward and applied against future capital gains as
follows:
- -----------------------------------------------------------------------------------------------------------------------------
Total Capital
Expires Expires Expires Expires Expires Loss
2015 2014 2012 2011 2010 Carryforwards
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------------------------------------------------------------------
Large Cap Growth Fund $ -- $ -- $ 7,113 $ 625,971 $ 448,281 $ 1,081,365
Small/Mid Cap Diversified
Alpha Fund 649 -- -- -- -- 649
Tax-Managed Large Cap Fund -- -- 16,066 203,461 70,431 289,958
Enhanced Income Fund 526 -- -- -- -- 526
Core Fixed Income Fund 40,684 18,435 -- -- -- 59,119
High Yield Bond Fund 21,474 8,149 -- 57,113 68,652 155,388
- --------------------------------------------------------------------------------
230 SEI Institutional Managed Trust / Annual Report / September 30, 2007
During the year ended September 30, 2007, the Large Cap Growth, Tax-Managed
Large Cap and Small Cap Growth Funds utilized $202,062,461, $136,812,157 and
$36,498,015, respectively, of capital loss carryforward to offset capital gains.
For Federal income tax purposes, the cost of securities owned at September 30,
2007, and the net realized gains or losses on securities sold for the period,
were different from amounts reported for financial reporting purposes, primarily
due to wash sales which cannot be used for Federal income tax purposes in the
current year and have been deferred for use in future years. The Federal tax
cost and aggregate gross unrealized appreciation and depreciation on investments
held by the Funds at September 30, 2007, were as follows:
- ----------------------------------------------------------------------------------------------------
Net Unrealized
Federal Appreciated Depreciated Appreciation/
Tax Cost Securities Securities (Depreciation)
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- ----------------------------------------------------------------------------------------------------
Large Cap Value
Fund $ 3,267,690 $ 847,995 $ (66,935) $ 781,060
Large Cap Growth
Fund 3,319,383 788,286 (36,659) 751,627
Tax-Managed
Large Cap Fund 2,553,635 745,232 (25,822) 719,410
Large Cap Diversified
Alpha Fund 1,844,190 187,491 (54,570) 132,921
S&P 500 Index
Fund 955,631 963,525 (25,028) 938,497
Small Cap Value
Fund 1,368,200 180,002 (67,412) 112,590
Small Cap Growth
Fund 1,442,115 164,689 (56,791) 107,898
Tax-Managed
Small Cap Fund 459,711 83,958 (15,960) 67,998
Small/Mid Cap
Diversified Alpha
Fund 152,559 8,904 (8,740) 164
Mid-Cap Fund 175,857 15,331 (8,331) 7,000
U.S. Managed
Volatility Fund 538,171 59,111 (12,154) 46,957
Global Managed
Volatility Fund 260,762 20,837 (8,445) 12,392
Real Estate 286,915 34,581 (3,020) 31,561
Enhanced Income
Fund 650,176 1,456 (16,426) (14,970)
Core Fixed Income
Fund 6,356,382 46,451 (58,328) (11,877)
High Yield Bond
Fund 1,467,834 8,057 (43,260) (35,203)
7. SECURITIES LENDING
Each Fund may lend portfolio securities to brokers, dealers and other financial
organizations that meet capital and other credit requirements or other criteria
established by the Trust's Board of Trustees. These loans may not exceed
33 1 /3% of the total asset value of the Fund (including the loan collateral).
No Fund will lend portfolio securities to its Adviser, sub-adviser or their
affiliates unless it has applied for and received specific authority to do so
from the SEC. Loans of portfolio securities will be fully collateralized by
cash. Collateral will be maintained in an amount equal to at least 100% of the
current market value of the loaned securities by marking to market daily,
although the borrower will be required to deliver collateral of 102% and 105% of
the market value of borrowed securities for domestic and foreign securities,
respectively. However, due to market fluctuations during the day, the value of
securities loaned on a particular day may, during the course of the day, exceed
the value of collateral. On each business day, the amount of collateral is
adjusted based on the prior day's market fluc-tuations and the current day's
lending activity. Income from lending activity is determined by the amount of
interest earned on collateral, less any amounts payable to the borrowers of the
securities and the lending agent. Lending securities involves certain risks,
including the risk that the Fund may be delayed or prevented from recovering the
collateral if the borrower fails to return the securities.
Cash collateral received in connection with securities lending is invested in
short-term investments by the lending agent. These investments may include
repurchase agreements, which are collateralized by United States Treasury and
Government Agency securities, and high-quality, short-term instruments, such as
floating rate corporate obligations, commercial paper, and private placements
with an average weighted maturity not to exceed 60 days and a maturity not to
exceed 397 days.
8. CONCENTRATIONS/RISKS
In the normal course of business, the Funds enter into contracts that provide
general indemnifications by the Funds to the counterparty to the contract. The
Funds' maximum exposure under these arrangements is dependent on future claims
that may be made against the Funds and, therefore, cannot be estimated; however,
based on experience, the risk of loss from such claims is considered remote.
The market values of the Core Fixed Income and High Yield Bond Funds'
investments will change in response to interest rate changes and other factors.
During periods of falling interest rates, the values of fixed income securities
generally rise. Conversely, during periods of rising interest rates, the values
of such securities generally decline. Changes by recognized rating agencies in
the ratings of any fixed income security and in the ability of an issuer to make
payments of interest and principal may also affect the value of these
investments.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 231
Notes to Financial Statements (Concluded)
September 30, 2007
9. IN-KIND TRANSFER OF SECURITIES
During the year ended September 30, 2007, the Small Cap Value and Small Cap
Growth Funds redeemed shares of beneficial interest in exchange for securities.
The securities were transferred at their current value on the date of
transaction.
- ------------------------------------------------------------------------------
Transaction Shares Gain
Date Redeemed Value (Loss)
- ------------------------------------------------------------------------------
Small Cap
Value Fund 10/31/06 2,111,117 $ 47,246,783 $ 2,167,503
Small Cap
Growth Fund 10/31/06 3,291,723 64,649,433 (4,305,289)
During the year ended March 31, 2007, the S&P 500 Index Fund redeemed shares of
beneficial interest in exchange for securities. The securities were transferred
at their current value on the date of transaction.
- ------------------------------------------------------------------------------
Transaction Date Shares Redeemed Value Gain
- ------------------------------------------------------------------------------
10/31/06 1,159,503 $ 47,458,439 $ 4,367,598
During the year ended March 31, 2006, the S&P 500 Index Fund issued shares of
beneficial interest in exchange for securities. The securities were transferred
at their current value on the date of transaction.
- ------------------------------------------------------------------------------
Transaction Shares
Date Issued Value
- ------------------------------------------------------------------------------
09/30/05 5,036,833 $ 191,047,087
03/31/06 845,413 32,531,494
10. NEW ACCOUNTING PRONOUNCEMENTS
On July 13, 2006, the Financial Accounting Standards Board ("FASB") released
FASB Interpretation No. 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, the Funds, with the exception
of the S&P 500 Index and Small/Mid Cap Diversified Alpha Funds, will incorporate
FIN 48 in their semi-annual report of March 31, 2008. As of September 30, 2007,
management does not anticipate a material impact to the financial statements.
The S&P 500 Index and Small/Mid Cap Diversified Alpha Funds adopted FIN 48 and
management has determined that the adoption of FIN 48 did not have a material
impact to the Fund's 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
existing laws.
In September 2006, the FASB issued Statement on Financial Accounting Standards
("SFAS") No. 157, "Fair Value Measurements". This standard establishes a single
authoritative definition of fair value, sets out a framework for measuring fair
value and requires additional disclosures about fair value measurements. SFAS
No. 157 applies to fair value measurements already required or permitted by
existing standards. SFAS No. 157 is effective for financial statements issued
for fiscal years beginning after November 15, 2007 and interim periods within
those fiscal years. The changes to current generally accepted accounting
principles from the application of this Statement relate to the definition of
fair value, the methods used to measure fair value, and the expanded disclosures
about fair value measurements. As of September 30, 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.
11. OTHER MATTERS
Due to 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.
- --------------------------------------------------------------------------------
232 SEI Institutional Managed Trust / Annual Report / September 30, 2007
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of
SEI Institutional Managed Trust
We have audited the accompanying statements of assets and liabilities, including
the schedules of investments of SEI Institutional Managed Trust, comprising the
Large Cap Value Fund, Large Cap Growth Fund, Tax-Managed Large Cap Fund, Large
Cap Diversified Alpha Fund, S&P 500 Index Fund, Small Cap Value Fund, Small Cap
Growth Fund, Tax-Managed Small Cap Fund, Small/Mid Cap Diversified Alpha Fund,
Mid-Cap Fund, U.S. Managed Volatility Fund, Global Managed Volatility Fund, Real
Estate Fund, Enhanced Income Fund, Core Fixed Income Fund and High Yield Bond
Fund (collectively, the "Funds"), as of September 30, 2007, and the related
statements of operations for the year or period then ended, the changes in net
assets and the financial highlights for each of the years or periods in the
two-year period then ended, and the statements of operations, the changes in net
assets and financial highlights for the year ended March 31, 2006 for the S&P
500 Index Fund. These financial statements and financial highlights are the
responsibility of the Funds' management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits. The financial highlights of the Tax-Managed Large Cap Fund, Large Cap
Value Fund, Large Cap Growth Fund, Tax-Managed Small Cap Fund, Small Cap Value
Fund, Small Cap Growth Fund, Mid-Cap Fund, U.S. Managed Volatility Fund, Real
Estate Fund, Core Fixed Income Fund and High Yield Bond Fund for the years or
periods ended September 30, 2005 and prior, were audited by other auditors. The
financial highlights of the S&P 500 Index Fund for the periods presented through
March 31, 2005 were audited by other auditors. Those auditors expressed an
unqualified opinion on those financial highlights in their reports dated
November 28, 2005 and May 31, 2005, respectively.
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 Managed Trust as of September 30,
2007, the results of their operations, the changes in their net assets, and the
financial highlights for each of the periods indicated in the first paragraph
above, in conformity with U.S. generally accepted accounting principles.
/s/ KPMG LLP
Philadelphia, Pennsylvania
November 27, 2007
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 233
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' Inner
One Freedom of the services on behalf of SEI Circle Fund, The Advisors'
Valley Drive, Board of for which Mr. Nesher is Inner Circle Fund II, Bishop
Oaks, PA 19456 Trustees* compensated. Street Funds, Director of SEI
61 yrs. old Global Master Fund, plc, SEI
Global Assets Fund, plc, SEI
Global Investments Fund, plc,
SEI Investments Global,
Limited, SEI Investments --
Global Fund Services, Limited,
SEI Investments (Europe),
Limited, SEI Investments --
Unit Trust Management (UK),
Limited, SEI Global Nominee
Ltd., SEI Opportunity Master
Fund, L.P., SEI Opportunity
Fund, L.P., 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 77 Trustee of The Advisors' Inner
1701 Market Street since 2003. Partner, Circle Fund, The Advisors'
Philadelphia, PA Morgan, Lewis & Bockius Inner Circle Fund II, Bishop
19103 LLP (law firm) from 1976 Street Funds, Director of SEI
67 yrs. old to 2003, counsel to the since 1974. Director of the
Trust, SEI, SIMC, the Distributor since 2003.
Administrator and the Director of SEI Investments --
Distributor. Secretary of Global Fund Services, Limited,
SEI since 1978. 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 Trust.
Valley Drive,
Oaks, PA 19456
74 yrs. old
- ------------------------------------------------------------------------------------------------------------------------------------
James M. Storey Trustee since 1995 Attorney, sole 77 Trustee of The Advisors' Inner
One Freedom practitioner since 1994. Circle Fund, The Advisors'
Valley Drive, Partner, Dechert Price & Inner Circle Fund II, Bishop
Oaks, PA 19456 Rhoads, September 1987- Street Funds, Massachusetts
76 yrs. old December 1993. 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.
1EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE
ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR UNTIL HE OR SHE SOONER
DIES, RESIGNS OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S DECLARATION OF
TRUST.
2THE FUND COMPLEX INCLUDES THE FOLLOWING: 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.
- --------------------------------------------------------------------------------
234 SEI Institutional Managed 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
- ------------------------------------------------------------------------------------------------------------------------------------
TRUSTEES (CONTINUED)
- --------------------
George J. Sullivan, Jr. Trustee since 1996 Self-Employed Consultant, 77 Trustee of The Advisors' Inner
One Freedom Newfound Consultants Inc. Circle Fund, The Advisors'
Valley Drive since April 1997. Inner Circle Fund II, Bishop
Oaks, PA 19456 Street Funds, State Street
65 yrs. old 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 77 Director, Sonoco, Inc.;
One Freedom Office of Health Care Director, Exelon Corporation;
Valley Drive Reform, Commonwealth of Trustee, Pennsylvania Real
Oaks, PA 19456 Pennsylvania since 2003. Estate Investment Trust and SEI
61 yrs. old Founder and Principal, Alpha Strategy Portfolios, LP
Grecoventures Ltd. from
1999 to 2002.
- ------------------------------------------------------------------------------------------------------------------------------------
Nina Lesavoy Trustee since 2003 Managing Partner, Cue 77 Director of SEI Opportunity
One Freedom Capital since March 2002, Master Fund, L.P., SEI
Valley Drive, Managing Partner and Head Opportunity Fund, L.P., SEI
Oaks, PA 19456 of Sales, Investorforce, Structured Credit Fund L.P. and
50 yrs. old March 2000-December 2001; SEI Alpha Strategy Portfolios,
Global Partner working for LP
the CEO, Invesco Capital,
January 1998-January 2000.
Head of Sales and Client
Services, Chancellor
Capital and later LGT
Asset Management,
1986-2000.
- ------------------------------------------------------------------------------------------------------------------------------------
James M. Williams Trustee since 2004 Vice President and Chief 77 Trustee/Director of Ariel
One Freedom Investment Officer, J. Mutual Funds, SEI Opportunity
Valley Drive, Paul Getty Trust, Master Fund, L.P., SEI
Oaks, PA 19456 Non-Profit Foundation for Opportunity Fund, L.P., SEI
60 yrs. old Visual Arts, since Structured Credit Fund L.P. and
December 2002. President, SEI Alpha Strategy Portfolios,
Harbor Capital Advisors LP
and Harbor Mutual Funds,
2000-2002. Manager,
Pension Asset Management,
Ford Motor Company,
1997-1999.
- ------------------------------------------------------------------------------------------------------------------------------------
Mitchell A. Johnson Trustee since 2007 Private Investor since 77 Trustee of The Advisors' Inner
One Freedom 1994. Director, Federal Circle Fund, The Advisors'
Valley Drive, Agricultural Mortgage Inner Circle Fund II, Bishop
Oaks, PA 19456 Corporation (Farmer Mac). Street Funds and SEI Alpha
65 yrs. old 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
Valley Drive, for which Mr. Nesher is
Oaks, PA 19456 compensated.
61 yrs. old
- ------------------------------------------------------------------------------------------------------------------------------------
Stephen F. Panner Controller and since 2005 Fund Accounting Director N/A N/A
One Freedom Chief of the Administrator since
Valley Drive, Financial 2005. Fund Administration
Oaks, PA 19456 Officer Manager, Old Mutual Fund
37 yrs. old Services, 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 Fund
Advisors Fund, 2004-2005.
- ------------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 235
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)
- --------------------
Russell Emery Chief since 2006 Chief Compliance Officer N/A N/A
One Freedom Compliance of SEI Opportunity Master
Valley Drive Officer Fund, L.P., SEI
Oaks, PA 19456 Opportunity Fund, L.P.,
44 yrs. old SEI Structured Credit
Fund, L.P., The Advisors'
Inner Circle Fund, The
Advisors' Inner Circle
Fund II, and Bishop Street
Funds 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
39 yrs. old and 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 N/A N/A
One Freedom President Assistant Secretary of
Valley Drive and SIMC and the Administrator
Oaks, PA 19456 Assistant since 2005. Compliance
33 yrs. old Secretary Officer of SEI, September
2001-2004.
- ------------------------------------------------------------------------------------------------------------------------------------
James Ndiaye Vice since 2005 Vice President and N/A N/A
One Freedom President Assistant Secretary of
Valley Drive and SIMC since 2005. Vice
Oaks, PA 19456 Assistant President, Deutsche Asset
39 yrs. old Secretary Management (2003-2004).
Associate, Morgan, Lewis &
Bockius LLP (2000-2003).
- ------------------------------------------------------------------------------------------------------------------------------------
Michael T. Pang Vice since 2005 Vice President and N/A N/A
One Freedom President Assistant Secretary of
Valley Drive and SIMC since 2005. Counsel,
Oaks, PA 19456 Assistant Caledonian Bank & Trust's
35 yrs. old Secretary Mutual Funds Group (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
Valley Drive since 1995. Managing
Oaks, PA 19456 Director of Money Market
44 yrs. old Investments for SIMC since
2003.
- ------------------------------------------------------------------------------------------------------------------------------------
Nicole Welch Anti-Money since 2005 Assistant Vice President N/A N/A
One Freedom Laundering and Anti-Money Laundering
Valley Drive Compliance Compliance Coordinator of
Oaks, PA 19456 Officer SEI 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).
- ------------------------------------------------------------------------------------------------------------------------------------
1EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE
ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR UNTIL HE OR SHE SOONER
DIES, RESIGNS OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S DECLARATION OF
TRUST.
2THE FUND COMPLEX INCLUDES THE FOLLOWING: 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.
- --------------------------------------------------------------------------------
236 SEI Institutional Managed Trust / Annual Report / September 30, 2007
Disclosure of Fund Expenses (Unaudited)
All mutual funds have operating expenses. As a shareholder of a mutual fund,
your investment is affected by these ongoing costs, which include (among others)
costs for portfolio management, administrative services, and shareholder reports
like this one. It is important for you to understand the impact of these costs
on your investment returns.
Operating expenses such as these are deducted from the mutual fund's gross
income and directly reduce your final investment return. These expenses are
expressed as a percentage of the mutual fund's average net assets; this
percentage is known as the mutual fund's expense ratio.
The following examples use the expense ratio and are intended to help you
understand the ongoing costs (in dollars) of investing in your Fund and to
compare these costs with those of other mutual funds. The examples are based on
an investment of $1,000 made at the beginning of the period shown and held for
the entire period.
The table on the next page illustrates your Fund's costs in two ways:
o ACTUAL FUND RETURN. This section helps you to estimate the actual expenses
after fee waivers that your Fund incurred over the period. The "Expenses Paid
During Period" column shows the actual dollar expense cost incurred by a $1,000
investment in the Fund, and the "Ending Account Value" number is derived from
deducting that expense cost from the Fund's gross investment return.
You can use this information, together with the actual amount you invested in
your Fund, to estimate the expenses you paid over that period. Simply divide
your actual starting account value by $1,000 to arrive at a ratio (for example,
an $8,600 account value divided by $1,000 = 8.6), then multiply that ratio by
the number shown for your Fund under "Expenses Paid During Period."
o HYPOTHETICAL 5% RETURN. This section helps you compare your Fund's costs with
those of other mutual funds. It assumes that your Fund had an annual 5% return
before expenses during the year, but that the expense ratio (Column 3) is
unchanged. This example is useful in making comparisons because the Securities
and Exchange Commission requires all mutual funds to make this 5% calculation.
You can assess your Fund's comparative cost by comparing the hypothetical result
for your Fund in the "Expense Paid During Period" column with those that appear
in the same charts in the shareholder reports for other mutual funds.
NOTE: Because the return is set at 5% for comparison purposes -- NOT your Fund's
actual return -- the account values shown do not apply to your specific
investment.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 237
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
4/1/07 9/30/07 RATIOS PERIOD*
- ----------------------------------------------------------------------------
LARGE CAP VALUE FUND
- ----------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 1,042.20 0.86% $ 4.40
Class I Shares 1,000.00 1,041.10 1.11 5.68
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,020.76 0.86% $ 4.36
Class I Shares 1,000.00 1,019.50 1.11 5.62
- ----------------------------------------------------------------------------
LARGE CAP GROWTH FUND
- ----------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 1,118.90 0.86% $ 4.57
Class I Shares 1,000.00 1,117.60 1.11 5.89
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,020.76 0.86% $ 4.36
Class I Shares 1,000.00 1,019.50 1.11 5.62
- ----------------------------------------------------------------------------
TAX-MANAGED LARGE CAP FUND
- ----------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 1,086.20 0.86% $ 4.50
Class Y Shares 1,000.00 1,087.60 0.56 2.93
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,020.76 0.86% $ 4.36
Class Y Shares 1,000.00 1,022.26 0.56 2.84
- ----------------------------------------------------------------------------
LARGE CAP DIVERSIFIED ALPHA FUND
- ----------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 1,062.20 1.02% $ 5.27
Class I Shares 1,000.00 1,061.50 1.27 6.56
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,019.95 1.02% $ 5.16
Class I Shares 1,000.00 1,018.70 1.27 6.43
- ----------------------------------------------------------------------------
S&P 500 INDEX FUND
- ----------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 1,082.80 0.40% $ 2.09
Class E Shares 1,000.00 1,083.40 0.25 1.31
Class I Shares 1,000.00 1,081.20 0.65 3.39
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,023.06 0.40% $ 2.03
Class E Shares 1,000.00 1,023.82 0.25 1.27
Class I Shares 1,000.00 1,021.81 0.65 3.29
- ----------------------------------------------------------------------------
SMALL CAP VALUE FUND
- ----------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 978.10 1.11% $ 5.50
Class I Shares 1,000.00 976.90 1.36 6.74
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,019.50 1.11% $ 5.62
Class I Shares 1,000.00 1,018.25 1.36 6.88
- ----------------------------------------------------------------------------
SMALL CAP GROWTH FUND
- ----------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 1,062.60 1.11% $ 5.74
Class I Shares 1,000.00 1,061.50 1.36 7.03
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,019.50 1.11% $ 5.62
Class I Shares 1,000.00 1,018.25 1.36 6.88
- ----------------------------------------------------------------------------
TAX-MANAGED SMALL CAP FUND
- ----------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 1,039.30 1.11% $ 5.67
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,019.50 1.11% $ 5.62
- ----------------------------------------------------------------------------
SMALL/MID CAP DIVERSIFIED ALPHA FUND
- ----------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 987.70 1.25% $ 6.23
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,018.80 1.25% $ 6.33
- ----------------------------------------------------------------------------
MID-CAP FUND
- ----------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 1,018.20 1.01% $ 5.11
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,020.00 1.01% $ 5.11
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
4/1/07 9/30/07 RATIOS PERIOD*
- ----------------------------------------------------------------------------
U.S. MANAGED VOLATILITY FUND
- ----------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 1,056.00 1.00% $ 5.15
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,020.05 1.00% $ 5.06
- ----------------------------------------------------------------------------
GLOBAL MANAGED VOLATILITY FUND
- ----------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 1,009.00 1.12% $ 5.64
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,019.45 1.12% $ 5.67
- ----------------------------------------------------------------------------
REAL ESTATE FUND
- ----------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 928.90 1.11% $ 5.37
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,019.50 1.11% $ 5.62
- ----------------------------------------------------------------------------
ENHANCED INCOME FUND
- ----------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 997.40 0.60% $ 3.00
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,022.06 0.60% $ 3.04
- ----------------------------------------------------------------------------
CORE FIXED INCOME FUND
- ----------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 1,010.60 0.64% $ 3.23
Class I Shares 1,000.00 1,010.30 0.89 4.49
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,021.86 0.64% $ 3.24
Class I Shares 1,000.00 1,020.61 0.89 4.51
- ----------------------------------------------------------------------------
HIGH YIELD BOND FUND
- ----------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 998.00 0.86% $ 4.31
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,020.76 0.86% $ 4.36
*Expenses are equal to the Fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by 183/365 (to reflect
one-half year period shown).
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
6/29/07(1) 9/30/07 RATIOS PERIOD
- ----------------------------------------------------------------------------
U.S. MANAGED VOLATILITY FUND
- ----------------------------------------------------------------------------
ACTUAL FUND RETURN
Class I Shares $ 1,000.00 $ 996.80 1.36% $ 3.46*
HYPOTHETICAL 5% RETURN
Class I Shares $ 1,000.00 $ 1,018.25 1.36% $ 6.88**
- ----------------------------------------------------------------------------
ENHANCED INCOME FUND
- ----------------------------------------------------------------------------
ACTUAL FUND RETURN
Class I Shares $ 1,000.00 $ 979.90 0.85% $ 2.14*
HYPOTHETICAL 5% RETURN
Class I Shares $ 1,000.00 $ 1,020.81 0.85% $ 4.31**
(1) Date of inception
*Expenses are equal to the Fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by 93/365 (to reflect the
period since inception).
**Expenses are equal to the Fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by 183/365 (to reflect
one-half year period shown).
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
6/30/07(1) 9/30/07 RATIOS PERIOD
- ----------------------------------------------------------------------------
GLOBAL MANAGED VOLATILITY FUND
- ----------------------------------------------------------------------------
ACTUAL FUND RETURN
Class I Shares $ 1,000.00 $ 978.20 1.36% $ 3.39*
HYPOTHETICAL 5% RETURN
Class I Shares $ 1,000.00 $ 1,018.25 1.36% $ 6.88**
(1) Date of inception
* Expenses are equal to the Fund's annualized expense ratio multiplied by
the average account value over the period, multiplied by 92/365 (to
reflect the period since inception).
** Expenses are equal to the Fund's annualized expense ratio multiplied by
the average account value over the period, multiplied by 183/365 (to
reflect one-half year period shown).
- --------------------------------------------------------------------------------
238 SEI Institutional Managed Trust / Annual Report / September 30, 2007
Board of Trustees Considerations in Approving the Advisory and Sub-Advisory
Agreements (Unaudited)
The SEI Institutional Managed Trust (the "Trust") and SEI Investments Management
Corporation ("SIMC") have entered into an investment advisory agreement (the
"Advisory Agreement"). Pursuant to the Advisory Agreement, SIMC oversees the
investment advisory services provided to the series of the Trust (the "Funds")
and may manage the cash portion of the Funds' assets. Pursuant to separate
sub-advisory agreements (the "Sub-Advisory Agreements" and, together with the
Advisory Agreement, the "Investment Advisory Agreements") with SIMC, and under
the supervision of SIMC and the Trust's Board of Trustees (the "Board"), the
Sub-Advisers are responsible for the day-to-day investment management of all or
a discrete portion of the assets of the Funds. The Sub-Advisers also are
responsible for managing their employees who provide services to these Funds.
The Sub-Advisers are selected based primarily upon the research and
recommendations of SIMC, which evaluates quantitatively and qualitatively the
Sub-Advisers' skills and investment results in managing assets for specific
asset classes, investment styles and strategies.
The Investment Company Act of 1940, as amended (the "1940 Act") requires that
the initial approval of, as well as the continuation of, the Funds' Investment
Advisory Agreements must be specifically approved: (i) by the vote of the Board
of Trustees or by a vote of the shareholders of the Funds; and (ii) by the vote
of a majority of the Trustees who are not parties to the Investment Advisory
Agreements or "interested persons" of any party (the "Independent Trustees"),
cast in person at a meeting called for the purpose of voting on such approval.
In connection with their consideration of such approvals, the Funds' Trustees
must request and evaluate, and SIMC and the Sub-Advisers are required to
furnish, such information as may be reasonably necessary to evaluate the terms
of the Investment Advisory Agreements. In addition, the Securities and Exchange
Commission ("SEC") takes the position that, as part of their fiduciary duties
with respect to a mutual fund's fees, mutual fund boards are required to
evaluate the material factors applicable to a decision to approve an Investment
Advisory Agreement.
Consistent with these responsibilities, the Trust's Board of Trustees calls and
holds meetings each year that are dedicated to considering whether to renew the
Investment Advisory Agreements between the Trust and SIMC and SIMC and the
Sub-Advisers with respect to the Funds of the Trust. In preparation for these
meetings, the Board requests and reviews a wide variety of materials provided by
SIMC and the Sub-Advisers, including information about SIMC's and the
Sub-Advisers' affiliates, personnel and operations. The Board also receives
extensive data provided by third parties. This information is in addition to the
detailed information about the Funds that the Board reviews during the course of
each year, including information that relates to Fund operations and Fund
performance. The Trustees also receive a memorandum from Fund counsel and
independent counsel to the Independent Trustees regarding the responsibilities
of Trustees in connection with their consideration of whether to approve the
Trust's Investment Advisory Agreements. Finally, the Independent Trustees
receive advice from independent counsel to the Independent Trustees, meet in
executive session outside the presence of Fund management and participate in
question and answer sessions with representatives of SIMC and the Sub-Advisers.
Specifically, the Board requested and received written materials from SIMC and
the Sub-Advisers regarding: (a) the quality of SIMC's and the Sub-Advisers'
investment management and other services; (b) SIMC's and the Sub-Advisers'
investment management personnel; (c) SIMC's and the Sub-Advisers' operations and
financial condition; (d) SIMC's and the Sub-Advisers' brokerage practices
(including any soft dollar arrangements) and investment strategies; (e) the
level of the advisory fees that SIMC and the Sub-Advisers charge the Funds
compared with the fees each charge to comparable mutual funds; (f) the Funds'
overall fees and operating expenses compared with similar mutual funds; (g) the
level of SIMC's and the Sub-Advisers' profitability from their Fund-related
operations; (h) SIMC's and the Sub-Advisers' compliance systems; (i) SIMC's and
the Sub-Advisers' policies on and compliance procedures for personal securities
transactions; (j) SIMC's and the Sub-Advisers' reputation, expertise and
resources in domestic and/or international financial markets; and (k) the Funds'
performance compared with similar mutual funds.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 239
Board of Trustees Considerations in Approving the Advisory and Sub-Advisory
Agreements (Unaudited) (Concluded)
At the December 7-8, 2006, March 14, 2007, June 28-29, 2007 and September 19-20,
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.
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 comprehensive 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.
- --------------------------------------------------------------------------------
240 SEI Institutional Managed Trust / Annual Report / September 30, 2007
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.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 241
Notice to Shareholders (Unaudited)
For shareholders who 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 adviser as to the pertinence of
this notice.
For the fiscal year ended September 30, 2007, the Funds are designating long
term and qualifying dividend income with regard to distributions paid during the
year as follows:
- -----------------------------------------------------------------------------------------------------------------
(C)
(B) DIVIDENDS
(A) ORDINARY QUALIFYING
LONG-TERM INCOME TOTAL FOR CORPORATE
CAPITAL GAIN DISTRIBUTIONS RETURN OF DISTRIBUTIONS DIVIDENDS REC.
FUND DISTRIBUTION (TAX BASIS) CAPITAL (TAX BASIS) DEDUCTION (1)
- -----------------------------------------------------------------------------------------------------------------
Large Cap Value Fund 78% 22% 0% 100% 89%
Large Cap Growth Fund 0% 100% 0% 100% 100%
Tax-Managed Large Cap Fund 0% 100% 0% 100% 100%
Large Cap Diversified Alpha Fund 30% 70% 0% 100% 51%
S&P 500 Index Fund 34% 66% 0% 100% 92%
Small Cap Value Fund 76% 24% 0% 100% 28%
Small Cap Growth Fund 82% 18% 0% 100% 22%
Tax-Managed Small Cap Fund 81% 19% 0% 100% 62%
Small/Mid Cap Diversified Alpha Fund 0% 100% 0% 100% 69%
Mid-Cap Fund 73% 27% 0% 100% 20%
U.S. Managed Volatility Fund(7) 31% 69% 0% 100% 45%
Global Managed Volatility Fund 1% 99% 0% 100% 14%
Real Estate Fund(6) 56% 43% 1% 100% 0%
Enhanced Income Fund 0% 100% 0% 100% 0%
Core Fixed Income Fund 0% 100% 0% 100% 0%
High Yield Bond Fund 0% 100% 0% 100% 0%
- ----------------------------------------------------------------------------------------------------------------
(D)
QUALIFYING
DIVIDEND INCOME (E) QUALIFIED QUALIFIED
(15% TAX RATE U.S. GOVERNMENT INTEREST SHORT-TERM
FUND FOR QDI) (2) INTEREST (3) INCOME (4) CAPITAL GAINS (5)
- ----------------------------------------------------------------------------------------------------------------
Large Cap Value Fund 89% 1% 1% 100%
Large Cap Growth Fund 100% 1% 3% 0%
Tax-Managed Large Cap Fund 100% 1% 1% 0%
Large Cap Diversified Alpha Fund 37% 1% 34% 100%
S&P 500 Index Fund 92% 1% 1% 100%
Small Cap Value Fund 28% 0% 34% 100%
Small Cap Growth Fund 17% 1% 1% 0%
Tax-Managed Small Cap Fund 55% 1% 1% 100%
Small/Mid Cap Diversified Alpha Fund 57% 1% 75% 0%
Mid-Cap Fund 20% 1% 2% 100%
U.S. Managed Volatility Fund 44% 1% 21% 100%
Global Managed Volatility Fund(7) 17% 1% 3% 100%
Real Estate Fund(6) 0% 0% 0% 0%
Enhanced Income Fund 0% 1% 89% 0%
Core Fixed Income Fund 0% 14% 86% 100%
High Yield Bond Fund 0% 0% 82% 100%
(1) Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction and is reflected as a percentage of ordinary
Income distributions (the total of short term capital gain and net
investment income distributions).
(2) The percentage in this column represents the amount of "Qualifying
Dividend Income" as created by the Jobs and Growth Tax Relief
Reconciliation Act of 2003 and is reflected as a percentage of ordinary
income distributions (the total of short term capital gain and net
investment income distributions). It is the intention of each of the
aforementioned funds to designate the maximum amount permitted by law.
(3) "U.S. Government Interest" represents the amount of interest that was
derived from direct U.S. Government obligations and distributed during the
fiscal year. This amount is reflected as a percentage of total ordinary
income distributions (the total of short term capital gain and net
investment income distributions). Generally, interest from direct U.S.
Government obligations is exempt from state income tax. However, for
shareholders who are residents of California, Connecticut and New York,
the statutory threshold requirements were not satisfied to permit
exemption of these amounts from state income.
(4) The percentage in this column represents the amount of "Qualifying
Interest Income" as created by the American Jobs Creation Act of 2004 and
is reflected as a percentage of net investment income distributions that
is exempt from U.S. withholding tax when paid to foreign investors.
(5) The percentage in this column represents the amount of "Qualifying
Short-Term Capital Gain" as created by the American Jobs Creation Act of
2004 and is reflected as a percentage of short-term capital gain
distributions that is exempt from U.S. withholding tax when paid to
foreign investors.
(6) Information reflects Fund activity based on Fund's December 31, 2006 tax
reporting year.
(7) The Fund intends to pass through foreign tax credit to shareholders. For
fiscal year ended September 30, 2007, the total amount of foreign source
income is $2,783,811. The total amount of foreign tax paid is $350,621.
Your allocable share of the foreign tax credit will be reported on Form
1099-DIV.
Items (A) and (B) are based on the percentages of each Fund's total
distribution.
Items (C) and (D) are based on the percentage of ordinary income distributions
of each Fund.
Item (E) is based on the percentage of gross income of each Fund.
Please consult your tax adviser for proper treatment of this information. This
notification should be kept with your permanent tax records.
- --------------------------------------------------------------------------------
242 SEI Institutional Managed Trust / Annual Report / September 30, 2007
Shareholder Voting Results (Unaudited)
At a special meeting held on August 31, 2007, the shareholders of the SEI Index
Funds voted to approve an Agreement and Plan of Reorganization for transfer of
all assets of the SEI Index Funds S&P 500 Index Fund (the "Current Fund") to S&P
500 Index Fund (the "New Fund"), a series of the SEI Institutional Managed Trust
("SIMT"), in exchange for the New Fund's Class A, Class E and Class I shares,
respectively, having an aggregate net asset value equal to the value of the
Current Fund's net assets and the assumption by the New Fund of all of the
liabilities of the Current Fund.
% OF
NUMBER OF OUTSTANDING % OF SHARES
SHARES SHARES PRESENT
-------------- ----------- -----------
Affirmative 21,929,954.657 52.006% 96.587%
Against 328,453.712 0.779% 1.446%
Abstain 446,540.424 1.059% 1.967%
-------------- ----------- -----------
TOTAL 22,704,948.793 53.844% 100.000%
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Annual Report / September 30, 2007 243
Notes
Notes
Notes
Notes
Notes
SEI INSTITUTIONAL MANAGED 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
KPMG LLP
This report and the financial statements contained herein are submitted for the
general information of the shareholders of the Trust and must be preceded or
accompanied by a current prospectus. Shares of the Funds are not deposits or
obligations of, or guaranteed or endorsed by, any bank. The shares are not
federally insured by the Federal Deposit Insurance Corporation (FDIC), the
Federal Reserve Board, or any other government agency. Investment in the shares
involves risk, including the possible loss of principal.
FOR MORE INFORMATION CALL
1 800 DIAL SEI
(1 800 342 5734)
[LOGO]
SEI New ways.
New answers.(R)
SEI Investments Distribution Co.
Oaks, PA 19456 1.800.DIAL.SEI (1.800.342.5734)
SEI-F-087 (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 one audit committee financial expert serving on the audit committee.
(a) (2) The audit committee financial expert is George J. Sullivan, Jr. Mr.
Sullivan is an independent trustee as defined in Form N-CSR Item 3 (a) (2)
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Fees billed by KPMG LLP (KPMG) related to the Trust
KPMG billed the Trust aggregate fees for services rendered to the Trust for
fiscal year 2007 and for fiscal year 2006 as follows:
- ------------------ ----------------------------------------------------- -----------------------------------------------------
2007 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 did not require were did not require
pre-approved pre-approval pre-approved pre-approval
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
(a) Audit $390,500 N/A N/A $259,600 N/A $0
Fees (1)
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
(b) Audit- $ 0 $ 0 N/A $0 $0 $0
Related
Fees
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
(c) Tax N/A N/A N/A $0 $0 $0
Fees
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
(d) All $15,215 $254,300 $0 $0 $216,500 $60,630
Other
Fees
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
Notes:
(1) Audit fees include amounts related to the audit of the registrant's
annual financial statements and services normally provided by the
accountant in connection with statutory and regulatory filings.
(e)(1) All requests or applications for services to be provided by the
independent auditor shall be submitted to the Chief Financial Officer
("CFO") of the Funds and must include a detailed description of the
services proposed to be rendered. The Fund's CFO will determine whether
such services (1) require specific pre-approval, (2) are included
within the list of services that have received the general pre-approval
of the Audit Committee or (3) have been previously pre-approved in
connection with the independent auditor's annual engagement letter for
the applicable year or otherwise.
Requests or applications to provide services that require specific pre-approval
by the Audit Committee will be submitted to the Audit Committee by the CFO. The
Audit Committee will be informed by the CFO on a quarterly basis of all services
rendered by the independent auditor. The Audit Committee has delegated specific
pre-approval authority to either the Audit Committee Chair or financial expert,
provided that the estimated fee for any such proposed pre-approved service does
not exceed $100,000 and any pre-approval decisions are reported to the Audit
Committee at its next regularly scheduled meeting.
All services to be provided by the independent auditor shall be provided
pursuant to a signed written engagement letter with the Funds, the investment
advisor or applicable control affiliate (except that matters as to which an
engagement letter would be impractical because of timing issues or because the
matter is small may not be the subject of an engagement letter) that sets forth
both the services to be provided by the independent auditor and the total fees
to be paid to the independent auditor for those services.
In addition, the Audit Committee has determined to take additional measures on
an annual basis to meet its responsibility to oversee the work of the
independent auditor and to assure the auditor's independence from the Funds,
such as reviewing a formal written statement from the independent auditor
delineating all relationships between the independent auditor and the Funds, and
discussing with the independent auditor its methods and procedures for ensuring
independence.
(e)(2) Percentage of fees billed applicable to non-audit services pursuant to
waiver of pre-approval requirement were as follows:
------------------------- ------------- ------------
2007 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
year 2007 and fiscal year 2006 were $269,515 and $277,130, 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.
ITEMS 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to open-end investment management companies.
ITEM 6. SCHEDULE OF INVESTMENTS
Included in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable to open-end investment management companies.
ITEM 8. MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not applicable.
ITEM 9. PURCHASERS OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT COMPANY AND
AFFILIATED PURCHASERS.
Not applicable to open-end management investment companies.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
The Trust has a standing Nominating Committee (the "Committee") currently
consisting of the Independent Trustees. The Committee is responsible for
evaluating and recommending nominees for election to the Trust's Board of
Trustees (the "Board"). Pursuant to the Committee's Charter, adopted on June 18,
2004, the Committee will review all shareholder recommendations for nominations
to fill vacancies on the Board if such recommendations are submitted in writing
and addressed to the Committee at the Trust's office.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The certifying officers, whose certifications are included herewith, have
evaluated the registrant's disclosure controls and procedures within 90 days of
the filing date of this report. Based on their evaluation, the certifying
officers have concluded that the registrant's disclosure controls and procedures
are adequately designed, and are operating effectively to ensure, that
information required to be disclosed by the registrant in the reports it files
or submits under the Securities Exchange Act of 1934 is recorded, processed,
summarized and reported within the time periods specified in the Securities and
Exchange Commission's rules and forms.
(b) There were no significant changes in the registrant's internal control over
financial reporting that occurred during the registrant's last fiscal half-year
that have materially affected, or are reasonably likely to materially affect,
the registrants internal control over financial reporting.
ITEMS 12. EXHIBITS.
(a)(1) Code of Ethics attached hereto.
(a)(2) A separate certification for the principal executive officer and the
principal financial officer of the registrant as required by Rule 30a-2(a) under
the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed
herewith.
(b) Officer certifications as required by Rule 30a-2(b) under the Investment
Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing
as an Exhibit.
- --------------------------------------------------------------------------------
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) SEI Institutional Managed Trust
By (Signature and Title)* /s/ Robert A. Nesher
--------------------------
Robert A. Nesher
President & CEO
Date: November 26, 2007
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ Robert A. Nesher
--------------------------
Robert A. Nesher
President & CEO
Date: November 26, 2007
By (Signature and Title)* /s/ Stephen F. Panner
--------------------------
Stephen F. Panner
Controller & CFO
Date: November 26, 2007
* Print the name and title of each signing officer under his or her signature.