UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
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FORM N-CSRS
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CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER 811-03231
SEI LIQUID ASSET 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)
c/o SEI Investments Company
One Freedom Valley Drive
Oaks, PA 19456
(Name and address of agent for service)
COPIES TO:
Richard W. Grant, Esq.
Morgan, Lewis & Bockius LLP
1701 Market Street
Philadelphia, PA 19103
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: 1-800-342-5734
DATE OF FISCAL YEAR END: JUNE 30, 2008
DATE OF REPORTING PERIOD: DECEMBER 31, 2007
ITEM 1. REPORTS TO STOCKHOLDERS.
SEI New ways.
New answers.(R)
SEI Liquid Asset Trust
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Semi-Annual Report as of December 31, 2007
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Prime Obligation Fund
TABLE OF CONTENTS
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Schedule of Investments 1
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Statement of Assets and Liabilities 3
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Statement of Operations 4
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Statements of Changes in Net Assets 5
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Financial Highlights 6
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Notes to Financial Statements 7
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Disclosure of Fund Expenses 11
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The Trust files its complete schedule of portfolio holdings with the Securities
and Exchange Commission for the first and third quarters of each fiscal year on
Form N-Q within sixty days after the end of the period. The Trust's Forms N-Q
are 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 the Fund voted proxies relating to portfolio securities during
the most recent 12-month period ended June 30, is available (i) without charge,
upon request, by calling 1-800-DIAL-SEI; and (ii) on the Commission's website at
http://www.sec.gov.
SCHEDULE OF INVESTMENTS (Unaudited)
Prime Obligation Fund
December 31, 2007
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SECTOR WEIGHTINGS (UNAUDITED)*:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
52.0% Commercial Paper
26.9% Repurchase Agreements
12.9% Corporate Obligations
5.3% U.S. Government Agency Obligation
2.9% Insurance Funding Agreement
*Percentages based on total investments.
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Face Amount Value
Description ($ Thousands) ($ Thousands)
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U.S. GOVERNMENT AGENCY OBLIGATION -- 5.2%
FHLB
3.250%, 01/02/08 $ 55,000 $ 54,995
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Total U.S. Government Agency Obligation
(Cost $54,995) ($ Thousands) 54,995
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COMMERCIAL PAPER (A) (F) -- 52.0%
FINANCIAL SERVICES -- 52.0%
CAFCO LLC
5.136%, 01/04/08 20,000 19,991
CRC Funding LLC
5.107%, 02/04/08 25,000 24,881
Chariot Funding LLC
5.368%, 01/25/08 15,000 14,947
Ciesco LLC
5.400%, 01/28/08 3,550 3,536
5.107%, 02/04/08 20,000 19,905
5.041%, 02/11/08 25,000 24,858
Citigroup
4.951%, 02/14/08 25,000 24,850
Concord Minutemen Capital Corporation
6.292%, 01/18/08 15,000 14,956
5.303%, 01/23/08 10,000 9,968
5.270%, 02/15/08 25,000 24,837
Crown Point Capital Corporation
6.292%, 01/18/08 15,000 14,956
Fairway Finance Corporation
5.049%, 01/24/08 25,000 24,920
Falcon Asset Securitization Corporation
LLC
5.136%, 01/07/08 25,000 24,979
Fcar Owner Trust I
5.034%, 01/03/08 10,000 9,997
Fcar Owner Trust II
5.994%, 03/17/08 15,000 14,813
Gemini Securities Corporation LLC
5.740%, 01/25/08 25,000 24,905
Grampian Funding LLC
4.911%, 01/24/08 40,000 39,875
Issuer Entity LLC (C) (G) (H) (K)
5.096%, 10/30/08 14,499 12,899
Jupiter Securitization Corporation
5.250%, 01/22/08 20,000 19,939
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Face Amount Value
Description ($ Thousands) ($ Thousands)
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Lexington Parker Capital
5.270%, 02/15/08 $ 11,000 $ 10,928
5.273%, 02/20/08 10,000 9,928
Liberty Lighthouse
6.002%, 01/07/08 4,032 4,028
5.777%, 04/24/08 20,161 19,800
Rams Funding Three LLC
5.496%, 02/11/08 19,900 19,900
Solitaire Funding LLC
5.401%, 01/28/08 25,000 24,900
Surrey Funding Corporation
6.146%, 01/25/08 20,000 19,919
5.207%, 01/31/08 15,000 14,936
Thornburg Mortgage Capital Resource
144A (B)
5.205%, 03/03/08 20,000 19,999
Victory Receivables Corporation
5.162%, 02/08/08 10,000 9,946
Wal-Mart Funding Discount
5.174%, 01/28/08 20,000 19,923
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Total Commercial Paper
(Cost $545,812) ($ Thousands) 544,219
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CORPORATE OBLIGATIONS (E) (F) -- 12.9%
FINANCIAL SERVICES -- 12.9%
Asscher Finance Corporation MTN
(B) (G) (H)
5.500%, 07/16/08 6,590 6,560
Axon Financial Fund LLC MTN
(B) (G) (H) (J)
5.230%, 04/04/08 15,000 13,950
Bear Stearns MTN
4.330%, 01/09/08 20,000 20,000
Cheyne Finance MTN (B) (G) (H) (I)
4.313%, 03/25/08 10,000 8,600
Cullinan Finance Corporation MTN
(B) (G) (H)
4.320%, 03/25/08 15,000 14,967
General Electric Capital Corporation
5.290%, 01/03/08 11,500 11,500
JPMorgan Chase
5.218%, 09/11/08 15,000 15,000
Liquid Funding Ltd. MTN (B) (G) (H)
4.325%, 04/10/08 10,000 10,000
SLM Corporation MTN (B)
4.959%, 04/18/08 15,000 15,000
Stanfield Victoria Funding LLC
MTN (B) (G) (H) (L)
4.320%, 03/20/08 20,000 19,851
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Total Corporate Obligations
(Cost $138,087) ($ Thousands) 135,428
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SEI Liquid Asset Trust / Semi-Annual Report / December 31, 2007 1
Prime Obligation Fund (Concluded)
December 31, 2007
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Face Amount Value
Description ($ Thousands) ($ Thousands)
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INSURANCE FUNDING AGREEMENT (C) (E) -- 2.9%
INSURANCE -- 2.9%
MetLife Funding Agreement
5.313%, 07/11/08 $ 30,000 $ 30,000
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Total Insurance Funding Agreement
(Cost $30,000) ($ Thousands) 30,000
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REPURCHASE AGREEMENTS (D) -- 26.9%
Deutsche Bank Securities
4.250%, dated 12/31/07,
to be repurchased on 01/01/08,
repurchase price $223,588,779
(collateralized by various FHLB/
FHLMC/FNMA obligations, ranging
in par value $11,379,000-
$30,000,000, 0.000%-7.125%,
01/04/08-03/05/19, with a total
market value $228,007,087) 223,536 223,536
Lehman Brothers
4.200%, dated 12/31/07, to be
repurchased on 01/01/08,
repurchase price $58,013,348
(collateralized by a U.S. Government
obligation, par value $59,995,000,
0.000%, 04/30/08, with a total
market value $59,161,071) 58,000 58,000
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Total Repurchase Agreements
(Cost $281,536) ($ Thousands) 281,536
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CAPITAL SUPPORT AGREEMENT (G) -- 0.0%
SEI Capital Support Agreement -- --
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Total Capital Support Agreement --
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Total Investments -- 99.9%
(Cost $1,050,430) ($ Thousands) $1,046,178
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Description
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Percentages are based on Net Assets of $1,046,768 ($ Thousands).
(A) The rate reported is the effective yield at time of purchase.
(B) Securities sold within terms of a private placement memorandum, exempt
from registration under Section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors." These securities have been determined to be liquid
under guidelines established by the Board of Trustees.
(C) Securities considered restricted. The total value of such securities as of
December 31, 2007 was $42,899 ($ Thousands) and represented 4.1000% of Net
Assets.
(D) Tri-Party Repurchase Agreement
(E) Floating Rate Instrument. The rate reflected on the Schedule of
Investments is the rate in effect on December 31, 2007. The demand and
interest net asset feature give this security a shorter effective maturity
date.
(F) Securities are held in connection with a letter of credit issued by a
major bank.
(G) This security is covered by a Capital Support Agreement ("Agreement")
between the Fund and SEI Investments Company ("SEI") which provides that
SEI will contribute capital to the Fund, up to a specified maximum amount,
in the event that the Fund realizes a loss on any of these securities and
such realized loss causes the Fund's net asset value as calculated using
market values to drop below $0.9950. As of December 31, 2007, the market
value of the Agreement was $0.
(H) The value shown is the market value as of December 31, 2007. Please refer
to Note 8 for the amortized cost value as of December 31, 2007.
(I) On October 17, 2007, due to deterioration in the market value of the
assets of Cheyne Finance LLC ("Cheyne"), provisions in the organizational
documents of Cheyne were triggered that caused the notes issued by Cheyne
to become immediately due and payable. Since no payments have been
received, the Cheyne notes are in default.
(J) On November 21, 2007, due to deterioration in the market value of the
assets of Axon Financial Funding, LLC ("Axon"), provisions in the
organizational documents of Axon were triggered that caused the notes
issued by Axon to become immediately due and payable. Since no payments
have been received, the Axon notes are in default.
(K) Notes issued by Issuer Entity LLC were received by the Fund in connection
with a restructuring of Ottimo Funding Ltd. ("Ottimo") on November 2,
2007. The Fund previously held notes issued by Ottimo, which had defaulted
prior to the restructuring.
(L) Please refer to Note 9 for more information regarding this security.
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
LLC -- Limited Liability Company
Ltd -- Limited
MTN -- Medium Term Note
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
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2 SEI Liquid Asset Trust / Semi-Annual Report / December 31, 2007
Statement of Assets and Liabilities ($ Thousands)
as of December 31, 2007 (Unaudited)
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PRIME OBLIGATION
FUND
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ASSETS:
Investments at Market Value (Cost $768,894) $ 764,642
Repurchase Agreement (Cost $281,536) 281,536
Cash 1
Accrued Income 1,527
Prepaid expenses 20
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Total Assets 1,047,726
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LIABILITIES:
Payable for Income Distribution 412
Payable due to Administrator 329
Payable due to Investment Adviser 47
Chief Compliance Officer Fees Payable 2
Trustees Fees Payable 1
Accrued expenses 167
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Total Liabilities 958
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Net Assets $ 1,046,768
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NET ASSETS CONSIST OF:
Paid-in Capital $ 1,051,069
Distributions in excess of Net Investment Income (3)
Accumulated net realized loss on investments (46)
Net Unrealized Depreciation on Investments (4,252)
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Net Assets $ 1,046,768
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Net Asset Value, Offering and Redemption Price Per Share -- Class A Shares
($1,046,768,198 / 1,051,068,854) $ 1.00
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The accompanying notes are an integral part of the financial statements.
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SEI Liquid Asset Trust / Semi-Annual Report / December 31, 2007 3
Statement of Operations ($ Thousands)
For the six month period ended December 31, 2007 (Unaudited)
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PRIME OBLIGATION
FUND
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INVESTMENT INCOME:
Interest Income $ 24,799
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EXPENSES:
Administration Fees 1,986
Shareholder Servicing Fees -- Class A 1,182
Investment Advisory Fees 233
Trustees' Fees 9
Chief Compliance Officer Fees 2
Printing Fees 88
Professional Fees 24
Registration Fees 14
Custodian/Wire Agent Fees 11
Insurance Expense 5
Other Expenses 8
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Total Expenses 3,562
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Less, Waiver of:
Administration Fees (298)
Shareholder Servicing Fees -- Class A (1,182)
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Net Expenses 2,082
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NET INVESTMENT INCOME 22,717
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Net Realized Gain on Investments 9
Net Change in Unrealized Depreciation on Investments (4,252)
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Net Realized and Unrealized Loss on Investments (4,243)
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NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $ 18,474
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The accompanying notes are an integral part of the financial statements.
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4 SEI Liquid Asset Trust / Semi-Annual Report / December 31, 2007
Statement of Changes in Net Assets ($ Thousands)
For the six month period ended December 31, 2007 (Unaudited) and the year ended
June 30, 2007
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PRIME OBLIGATION
FUND
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07/01/07 to 07/01/06 to
12/31/07 6/30/07
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OPERATIONS:
Net Investment Income $ 22,717 $ 41,318
Net Realized Gain (Loss) on Investments 9 (8)
Net Change in Unrealized Depreciation on Investments (4,252) --
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Net Increase in Net Assets Resulting
from Operations 18,474 41,310
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DIVIDENDS FROM:
Net Investment Income:
Class A (22,720) (41,318)
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Total Dividends (22,720) (41,318)
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CAPITAL SHARE TRANSACTIONS (ALL AT $1.00 PER SHARE):
Class A:
Proceeds from Shares Issued 3,399,006 5,702,025
Reinvestment of Dividends 20,100 39,448
Cost of Shares Redeemed (3,173,622) (5,791,532)
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Increase (decrease) in Net Assets Derived
from Capital Share Transactions 245,484 (50,059)
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Net Increase (decrease) in Net Assets 241,238 (50,067)
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NET ASSETS:
BEGINNING OF YEAR $ 805,530 $ 855,597
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END OF YEAR $ 1,046,768 $ 805,530
======================================================================================
Distributions in excess of Net Investment Income $ (3) $ --
======================================================================================
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
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SEI Liquid Asset Trust / Semi-Annual Report / December 31, 2007 5
Financial Highlights
For the six month period ended December 31, 2007 (Unaudited) and the years ended
June 30,
For a share outstanding throughout each year
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Net Realized
and
Net Asset Unrealized Total Dividends
Value, Net Gains from from Net
Beginning Investment on Investment Investment Total
of Period Income Securities Operations Income Dividends
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PRIME OBLIGATION FUND
CLASS A:
2007* $1.00 $0.02 $-- $0.02 $ (0.02) $(0.02)
2007 1.00 0.05 -- 0.05 (0.05) (0.05)
2006 1.00 0.04 -- 0.04 (0.04) (0.04)
2005 1.00 0.02 -- 0.02 (0.02) (0.02)
2004 1.00 0.01 -- 0.01 (0.01) (0.01)
2003 1.00 0.01 -- 0.01 (0.01) (0.01)
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Ratio of
Expenses Ratio of Net
Ratio of to Average Investment
Net Asset Net Assets Expenses Net Assets Income
Value, End Total End of Period to Average (Excluding to Average
of Period Return+ ($ Thousands) Net Assets Waivers) Net Assets
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PRIME OBLIGATION FUND
CLASS A:
2007* $1.00 2.46% $1,051,020 0.44% 0.75% 4.80%
2007 1.00 5.05 805,530 0.44 0.76 4.94
2006 1.00 3.88 855,597 0.44 0.76 3.82
2005 1.00 1.81 698,956 0.44 0.77 1.77
2004 1.00 0.68 887,109 0.44 0.77 0.68
2003 1.00 1.12 1,050,594 0.44 0.76 1.11
* For the six month period ended December 31, 2007. All ratios have been
annualized.
+ Returns shown do not reflect the deduction of taxes that a shareholder
would pay on Fund distributions or the redemption of Fund shares.
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
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6 SEI Liquid Asset Trust / Semi-Annual Report / December 31, 2007
Notes to Financial Statements (Unaudited)
December 31, 2007
1. ORGANIZATION
SEI Liquid Asset Trust (the "Trust") was organized as a Massachusetts business
trust under a Declaration of Trust dated July 20, 1981.
The Trust is registered under the Investment Company Act of 1940, as amended, as
a diversified, open-end management investment company with one fund: the Prime
Obligation Fund (the "Fund"). The Trust is registered to offer Class A shares of
the Fund. A description of the Fund's investment objectives, policies, and
strategies are provided in the prospectus.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the
Trust.
USE OF ESTIMATES -- The preparation of financial statements in conformity with
generally accepted accounting principles in the United States of America
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 -- Investment securities are stated at amortized cost, which
approximates market value. Under this valuation method, purchase discounts and
premiums are accreted and amortized ratably to maturity.
REPURCHASE AGREEMENTS -- The Fund invests in tri-party repurchase agreements.
Securities held as collateral for tri-party repurchase agreements are maintained
in a segregated account by the broker's custodian bank. Provisions of the
agreements and the Trust's policies ensure that the market value of the
collateral, including accrued interest thereon, is sufficient to cover interest
and principal in the event of default by the counterparty. If the counterparty
defaults and the value of the collateral declines or if the counterparty enters
an insolvency proceeding, realization of the collateral by the Fund may be
delayed or limited.
EXPENSES -- Expenses that are directly related to the Fund are charged directly
to the Fund.
SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are
accounted for on the trade date. Costs used in determining realized gains and
losses on the sale of investment securities are on the basis of specific
identification. Interest income is recognized using the accrual basis of
accounting.
All amortization is calculated using the straight line method over the holding
period of the security. Amortization of premiums and accretion of discounts are
included in interest income.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment
income are declared on a daily basis and are payable on the first business day
of the following month. Any net realized capital gains of the Fund are
distributed to the shareholders of the Fund annually.
3. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
ADMINISTRATION AND TRANSFER AGENCY AGREEMENT -- SEI Investments Global Funds
Services (the "Administrator") provides administrative services to the Trust for
an annual fee, which is calculated daily and paid monthly, of .42% of the
average daily net assets of the Fund.
The Administrator has contractually agreed to waive fees and to reimburse
expenses, through June 30, 2008, in order to keep total operating expenses, net
of SEI Investments Management Corporation ("SIMC") and SEI Investments
Distribution Co.'s (the "Distributor") fee waivers, from exceeding .44% of the
average daily net assets of the Fund. The Distributor is a wholly-owned and
operated subsidiary of SEI Investments Company and a registered broker-dealer.
DISTRIBUTION AGREEMENT -- The Distributor acts as the distributor of the shares
of the Trust under a Distribution Agreement. The Trust has adopted a shareholder
servicing plan for its Class A shares (the "Class A Plan") pursuant to which a
shareholder servicing fee of up to .25% of the average daily net assets
attributable to Class A shares will be paid to the Distributor. Under the Class
A Plan the Distributor may perform, or may compensate other service providers
for performing, certain shareholder and administrative services. The Distributor
has waived, on a voluntary basis, all of its shareholder servicing fee.
Under the Class A Plan, the Distributor may retain as a profit any difference
between the fee it receives and the amount it pays to third parties.
Certain officers and/or trustees of the Trust are also officers and/or directors
of the Administrator or SIMC. Compensation of officers and affiliated trustees
of the Trust is paid by the Administrator and/or SIMC.
The services provided by the Chief Compliance Officer ("CCO") and his staff,
whom are employees of the Administrator, are paid for by the Trust as incurred.
The services include regulatory oversight of the Trust's Advisors and service
providers as required by SEC regulations. The CCO's services have been approved
by and are reviewed by the Board.
U.S. Bank, N.A. which is a Trust shareholder, acts as custodian and wire agent
for the Trust.
CAPITAL SUPPORT AGREEMENT -- The Fund has entered into a Capital Support
Agreement with SEI. Please see Note 8 for more information.
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SEI Liquid Asset Trust / Semi-Annual Report / December 31, 2007 7
Notes to Financial Statements (Unaudited) (Continued)
December 31, 2007
4. INVESTMENT ADVISORY AGREEMENT
SIMC serves as the Fund's investment adviser and "manager of managers" under an
investment advisory agreement. For its services, SIMC receives an annual fee
equal to .075% of the Trust's average daily net assets up to $500 million and
..02% of such net assets in excess of $500 million.
Columbia Management Advisors, LLC ("Columbia"), serves as the Fund's investment
sub-adviser under an investment sub-advisory agreement. Columbia is paid by
SIMC. SIMC compensates Columbia out of the fee it receives from the Fund.
5. FEDERAL INCOME TAXES
It is the Fund's intention to continue to qualify as a regulated investment
company under Subchapter M of the Internal Revenue Code and distribute all of
its taxable income. Accordingly, no provision for Federal income taxes is
required. The timing and characterization of certain income and capital gains
distributions are determined annually in accordance with Federal tax regulations
which may differ from accounting principles generally accepted in the United
States of America. As a result, net investment income (loss) and net realized
gain (loss) on investment transactions for the reporting period may differ from
distributions during such period. These book/tax differences may be temporary or
permanent in nature. To the extent these differences are permanent, they are
charged or credited to paid-in-capital, undistributed net investment income or
accumulated net realized gain, as appropriate, in the period that the
differences arise.
The tax character of dividends paid to Class A shareholders during the years
ended June 30, 2007 and June 30, 2006 were as follows ($ Thousands):
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Ordinary Income
- --------------------------------------------------------------------------------
2007 $41,318
2006 $27,787
As of June 30, 2007, the components of accumulated losses on a tax basis were as
follows ($ Thousands):
Capital Loss Carryforwards:
Expiring in 2011 $ (39)
Expiring in 2013 (3)
Expiring in 2014 (1)
Expiring in 2015 (4)
Undistributed Ordinary Income 3,312
Post-October Losses (8)
Other Temporary Differences (3,312)
--------
Total Accumulated Losses $ (55)
========
The Federal tax cost and aggregate gross unrealized appreciation and
depreciation on investments held by the Fund at December 31, 2007, were as
follows:
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Net Unrealized
Federal Appreciated Depreciated Appreciation/
Tax Cost Securities Securities (Depreciation)
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Prime Obligation
Fund $1,050,430 $ -- $(4,252) $(4,252)
Post-October losses represent losses realized on investment transactions from
November 1, 2006 through June 30, 2007, that, in accordance with Federal income
tax regulations, the Fund defers and treats as having arisen in the following
fiscal year. For Federal income tax purposes, capital loss carryforwards
represent realized losses of the Fund that may be carried forward for a maximum
period of eight years and applied against future capital gains.
The cost basis of securities for Federal income tax purposes is equal to the
cost basis used for financial reporting purposes.
6. NEW ACCOUNTING PRONOUNCEMENTS
In June 2006, the Financial Accounting Standards Board (FASB) issued FASB
Interpretation 48 (FIN 48), "Accounting for Uncertainty in Income Taxes." This
standard defines the threshold for recognizing the benefits of tax-return
positions in the financial statements as "more-likely-than-not" to be sustained
by the taxing authority and requires measurement of a tax position meeting the
more-likely-than-not criterion, based on the largest benefit that is more than
50 percent likely to be realized. FIN 48 is effective as of the beginning of the
first fiscal year beginning after December 15, 2006. At adoption, companies must
adjust their financial statements to reflect only those tax positions that are
more-likely-than-not to be sustained as of the adoption date. Based on its
analysis, management has determined that the adoption of FIN 48 did not have a
material impact to the Fund's financial statements' upon adoption. However,
management's conclusions regarding FIN 48 may be subject to review and
adjustment at a later date based on factors including, but not limited to,
further implementation guidance expected from the FASB, and on-going analyses of
and changes to tax laws, regulations and interpretations thereof.
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
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8 SEI Liquid Asset Trust / Semi-Annual Report / December 31, 2007
the definition of fair value, the methods used to measure fair value, and the
expanded disclosures about fair value measurements. As of December 31, 2007, the
Fund does 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.
7. RESTRUCTURING FUND
At a meeting held on June 29, 2007, the Board approved the liquidation of the
Trust in connection with a limited restructuring of some SEI Funds, in which
case it was planned that nearly all of the Prime Obligation Fund's shareholders
would become shareholders of a Prime Obligation Fund that is being established
within another trust in the SEI Funds Complex. However, in light of recent
volatility in the money markets, the liquidation has been postponed. The adviser
and the Board will continue to monitor the situation to determine when and if
the restructuring and the related liquidation of the Trust should proceed.
Unless and until such liquidation occurs, the Fund will continue to operate
normally.
Accounting rules require that financial statements for entities in liquidation,
or for which liquidation appears imminent, be prepared on a liquidation basis of
accounting. As the U.S. generally accepted accounting principles for investment
companies are materially consistent with the liquidation basis of accounting,
the financial statements for the Fund have been prepared in conformity with both
accounting methods.
8. CAPITAL SUPPORT AGREEMENT
On December 3, 2007, the Fund entered into a Capital Support Agreement with SEI
Investments Company ("SEI"), which is the parent company of SIMC. The Capital
Support Agreement requires SEI to commit capital to the Fund, subject to the
aggregate limit of $1.5 million, if the Fund realizes payments or sales proceeds
from specified securities ("Eligible Notes") held by the Fund which are less
than the amortized cost of such securities and such loss causes the Fund's
mark-to-market net asset value to drop below $0.9950. The Eligible Notes held in
the Fund on December 31, 2007 are footnoted on the Schedule of Investments. On
February 15, 2008, the Agreement was amended to increase the maximum
contribution amount to $3 million. Upon the sale or other disposition of an
Eligible Note, the amount of required capital commitment would be the least of
the following amounts: (i) the amount, if any, by which the amortized cost of
the Eligible Note exceeds the amount realized from the sale or other disposition
of the security; (ii) the amount, if any, necessary to restore the net asset
value per share of the Fund to $0.9950, or (iii) the remaining amount of the
aggregate limit of the Capital Support Agreement, taking into account all prior
contributions. SEI's obligations under the Agreement are supported by a Letter
of Credit issued by a bank having a First Tier credit rating. The Fund will draw
on the Letter of Credit in the event that SEI fails to make a cash contribution
when due under the Agreement.
The Fund will sell the Eligible Notes (i) promptly following any change in the
Letter of Credit provider's short term credit ratings such that the Letter of
Credit provider's obligations no longer qualify as First Tier Securities as
defined in paragraph (a)(12) of Rule 2a-7, or (ii) on the business day
immediately prior to the termination date of the Agreement; provided that the
Fund is not required to complete any such sale if the amount the Fund expects to
receive would not result in the payment of a Capital Contribution, or, with
respect to an event described in (i) above, if the Affiliate substitutes an
obligation or credit support that satisfies the requirement of a First Tier
Security within fifteen (15) calendar days from the occurrence of such event
and, during such 15 day period, the Letter of Credit provider's obligations
continue to qualify as Second Tier Securities under paragraph (a)(22) of Rule
2a-7. The termination date of the Agreement is December 1, 2008, although that
date may be extended upon agreement of SEI and the Fund, subject to the prior
approval of the staff of the U.S. Securities and Exchange Commission.
The following table shows the Eligible Notes and their amortized cost and fair
market value as of December 31, 2007.
Amortized Market Unrealized
Description Shares Cost Value Depreciation
(000) (000) (000)
- --------------------------------------------------------------------------------
Asscher Finance
Corporation MTN
5.500%, 07/16/08 $ 6,590 $ 6,590 $ 6,560 $ (30)
Axon Financial Fund
LLC MTN
5.230%, 04/04/08 15,000 15,000 13,950 (1,050)
Cheyne Finance
Corporation
4.313%, 03/25/08 10,000 9,999 8,600 (1,399)
Cullinan Finance MTN
4.320, 03/25/08 15,000 14,999 14,967 (32)
Liquid Funding Ltd. MTN
4.325%, 04/10/08 10,000 10,000 10,000 --
Issuer Entity LLC
5.096%, 10/30/08 14,499 14,493 12,900 (1,593)
Stanfield Victoria
Funding LLC
4.320%, 03/20/08 20,000 19,999 19,851 (148)
------- --------- ------- -----------
Totals 91,089 91,080 86,828 (4,252)
======= ========= ======= ===========
- --------------------------------------------------------------------------------
SEI Liquid Asset Trust / Semi-Annual Report / December 31, 2007 9
Notes to Financial Statements (Unaudited) (Concluded)
December 31, 2007
9. SUBSEQUENT EVENT
On January 18, 2008, due to deterioration in the market value of the assets of
Stanfield Victoria Finance, LLC ("Victoria"), provisions in the organizational
documents of Victoria were triggered that caused the notes issued by Victoria to
become immediately due and payable. Since no payments have been received, the
Victoria notes have gone into default. Since that time, this security's
valuation has been determined in accordance with fair value for purposes of
calculating the Fund's "mark-to-market" net asset value. As of the time of
this filing, there is a material difference between the fair value of this
security and its amortized cost.
- --------------------------------------------------------------------------------
10 SEI Liquid Asset Trust / Semi-Annual Report / December 31, 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 a mutual fund's gross income
and directly reduce your final investment return. These expenses are expressed
as a percentage of a mutual fund's average net assets; this percentage is known
as a 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 below 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
the Fund, to estimate the expenses you paid over that period. Simply divide your
ending 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 the Fund had an annual 5% return
before expenses during the year, but that the expense ratio (Column 3) for the
period is unchanged. This example is useful in making comparisons because the
Securities and Exchange Commission requires all mutual funds to make this 5%
calculation. You can assess your Fund's comparative cost by comparing the
hypothetical result for your Fund in the "Expenses 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 may not apply to your specific
investment.
- --------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
7/1/07 12/31/07 RATIOS PERIOD*
- ------------------------------------------------------------------------------------
PRIME OBLIGATION FUND -- CLASS A
- ------------------------------------------------------------------------------------
ACTUAL FUND RETURN $1,000.00 $1,024.60 0.44% $2.24
HYPOTHETICAL 5% RETURN 1,000.00 1,022.92 0.44 2.24
* Expenses are equal to the Fund's annualized expense ratio multiplied by
the average account value over the period, multiplied by 184/366 (to
reflect the one-half year period shown).
- --------------------------------------------------------------------------------
SEI Liquid Asset Trust / Semi-Annual Report / December 31, 2007 11
Notes
SEI LIQUID ASSET TRUST SEMI-ANNUAL REPORT DECEMBER 31, 2007
As of February 28, 2008
Robert A. Nesher, CHAIRMAN
TRUSTEES
William M. Doran
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
Aaron Buser
VICE PRESIDENT, ASSISTANT SECRETARY
John J. McCue
VICE PRESIDENT
Andrew S. Decker
ANTI-MONEY LAUNDERING COMPLIANCE OFFICER
INVESTMENT ADVISER
SEI Investments Management Corporation
ADMINISTRATOR
SEI Investments Global Funds Services
DISTRIBUTOR
SEI Investments Distribution Co.
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
KPMG LLP
This report and the financial statements contained herein are submitted for the
general information of the shareholders of the Trust and must be preceded or
accompanied by a current prospectus. Shares of the Funds are not deposits or
obligations of, or guaranteed or endorsed by, any bank. The shares are not
federally insured by the Federal Deposit Insurance Corporation (FDIC), the
Federal Reserve Board, or any other government agency. Investment in the shares
involves risk, including the possible loss of principal.
FOR MORE INFORMATION CALL
1 800 DIAL SEI
(1 800 342 5734)
SEI New ways.
New answers.(R)
SEI Investments Distribution Co.
Oaks, PA 19456 1.800.DIAL.SEI (1.800.342.5734)
SEI-F-103 (12/07)
ITEM 2. CODE OF ETHICS.
Not applicable for semi-annual report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable for semi-annual report.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable for semi-annual report.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to open-end management investment companies.
ITEM 6. SCHEDULE OF INVESTMENTS
Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable to open-end management investment companies.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not applicable to open-end management investment companies.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT COMPANY AND
AFFILIATED PURCHASERS.
Not applicable to open-end management investment companies.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Not applicable for semi-annual report.
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 registrant's internal control over financial reporting.
ITEMS 12. EXHIBITS.
(a)(1) Not applicable for semi-annual report.
(a)(2) A separate certification for the principal executive officer and the
principal financial officer of the registrant as required by Rule 30a-2(a) under
the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed
herewith.
(b) Officer certifications as required by Rule 30a-2(b) under the Investment
Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing
as an Exhibit.
- --------------------------------------------------------------------------------
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) SEI Liquid Asset Trust
By (Signature and Title)* /s/ Robert A. Nesher
--------------------
Robert A. Nesher
President & CEO
Date: March 10, 2008
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: March 10, 2008
By (Signature and Title)* /s/ Stephen F. Panner
---------------------
Stephen F. Panner
Controller & CFO
Date: March 10, 2008
* Print the name and title of each signing officer under his or her signature.