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, 2008
DATE OF REPORTING PERIOD: MARCH 31, 2008
ITEM 1. REPORTS TO STOCKHOLDERS.
[LOGO]
SEI New ways.
New answers.(R)
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SEI Institutional Managed Trust
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Semi-Annual Report as of March 31, 2008
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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
Tax-Managed Managed Volatility Fund
Real Estate Fund
Enhanced Income Fund
Core Fixed Income Fund
High Yield Bond Fund
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TABLE OF CONTENTS
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Schedules of Investments 1
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Statements of Assets and Liabilities 178
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Statements of Operations 182
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Statements of Changes in Net Assets 186
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Financial Highlights 191
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Notes to Financial Statements 195
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Disclosure of Fund Expenses 209
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Board of Trustees Considerations in Approving
the Advisory and Sub-Advisory Agreements 211
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The Trust files its complete schedule of portfolio holdings with the Securities
and Exchange Commission ("Commission") for the first and third quarters of each
fiscal year on Form N-Q within sixty days after period end. The Trust's Form N-Q
is available on the Commission's website at http://www.sec.gov, and may be
reviewed and copied at the Commission's Public Reference Room in Washington, DC.
Information on the operation of the Public Reference Room may be obtained by
calling 1-800-SEC-0330.
A description of the policies and procedures that the Trust uses to determine
how to vote proxies relating to portfolio securities, as well as information
relating to how a Fund voted proxies relating to portfolio securities during the
most recent 12-month period ended June 30, is available (i) without charge, upon
request, by calling 1-800-DIAL-SEI; and (ii) on the Commission's website at
http://www.sec.gov.
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Value Fund
March 31, 2008
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SECTOR WEIGHTINGS#:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Financials 22.9%
Short-Term Investments 15.4%
Energy 13.4%
Industrials 9.5%
Consumer Staples 7.2%
Health Care 7.0%
Consumer Discretionary 6.7%
Telecommunication Services 5.6%
Utilities 4.5%
Materials 4.2%
Information Technology 3.4%
U.S. Treasury Obligation 0.2%
# Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 7).
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Market Value
Description Shares ($ Thousands)
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COMMON STOCK+++ -- 98.0%
CONSUMER DISCRETIONARY -- 7.8%
Abercrombie & Fitch, Cl A (B) 42,300 $ 3,094
AnnTaylor Stores* 5,500 133
Apollo Group, Cl A (B)* 40,900 1,767
Autoliv (B) 131,700 6,611
AutoNation* 2,700 40
Barnes & Noble 94,200 2,887
Black & Decker (B) 1,900 126
BorgWarner 91,100 3,920
Brinker International 139,100 2,580
Brunswick (B) 105,100 1,678
Cablevision Systems, Cl A* 95,900 2,055
Carnival 900 36
CBS, Cl B (B) 334,400 7,384
Centex 41,400 1,002
Clear Channel Communications 2,900 85
Comcast, Cl A (B)* 271,700 5,255
Darden Restaurants 96,200 3,131
Dick's Sporting Goods* 86,000 2,303
DIRECTV Group* 127,700 3,166
Discovery Holding, Cl A* 86,000 1,825
Dollar Tree* 110,600 3,051
Eastman Kodak (B) 191,500 3,384
EW Scripps, Cl A 2,700 113
Expedia* 47,700 1,044
Foot Locker 8,800 104
Ford Motor (B)* 379,200 2,169
Fortune Brands 23,300 1,619
Gannett (B) 211,700 6,150
Gap 12,500 246
General Motors (B) 267,500 5,096
Genuine Parts 12,000 483
Goodyear Tire & Rubber* 82,800 2,136
Harley-Davidson (B) 58,000 2,175
Hasbro (B) 360,300 10,052
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Market Value
Description Shares ($ Thousands)
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Home Depot 436,900 $ 12,220
Idearc (B) 244,755 891
Interpublic Group (B)* 103,400 870
Jarden (B)* 15,800 343
J.C. Penney* 31,500 1,188
Johnson Controls 76,500 2,586
Jones Apparel Group 101,400 1,361
KB Home (B) 138,800 3,433
Leggett & Platt (B) 6,700 102
Liberty Global, Cl A (B)* 132,800 4,526
Liberty Media - Entertainment, Cl A* 216,800 4,908
Liberty Media - Interactive, Cl A* 1,600 26
Ltd Brands (B) 47,700 816
Macy's 371,300 8,562
Magna International, Cl A* 51,500 3,716
Mattel 256,000 5,094
McDonald's 348,700 19,447
Mohawk Industries (B)* 10,000 716
New York Times, Cl A (B) 5,700 108
Newell Rubbermaid 25,400 581
News, Cl A 193,000 3,619
Nike, Cl B (B) 47,100 3,203
NVR (B)* 6,300 3,764
Pulte Homes (B) 10,400 151
RadioShack 12,900 210
R.H. Donnelley (B)* 8,800 45
Saks* 1,700 21
Sears Holdings (B)* 6,300 643
Service International 38,300 388
Shaw Communications, Cl B* 242,200 4,403
Sherwin-Williams (B) 58,400 2,981
Snap-On 8,700 442
Stanley Works (B) 41,697 1,986
Time Warner 1,655,900 23,216
Time Warner Cable, Cl A* 5,800 145
Toll Brothers* 21,600 507
VF 55,400 4,294
Virgin Media 15,000 211
Walt Disney (B) 406,700 12,762
Washington Post, Cl B 1,100 728
Wendy's International 28,200 650
Whirlpool (B) 49,500 4,296
Wyndham Worldwide 36,000 744
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227,803
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CONSUMER STAPLES -- 8.4%
Alberto-Culver 2,800 77
Altria Group 207,600 4,609
Anheuser-Busch 10,800 512
Archer-Daniels-Midland 66,100 2,721
Avon Products 7,200 285
BJ's Wholesale Club (B)* 14,200 507
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SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 1
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Value Fund (Continued)
March 31, 2008
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Market Value
Description Shares ($ Thousands)
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Brown-Forman, Cl B 15,400 $ 1,020
Bunge (B) 25,100 2,181
Campbell Soup 7,200 244
Coca-Cola 230,200 14,012
Coca-Cola Enterprises 219,000 5,300
Colgate-Palmolive 56,600 4,410
ConAgra Foods 579,000 13,867
Constellation Brands, Cl A (B)* 81,300 1,437
Corn Products International 126,100 4,683
Costco Wholesale 35,500 2,306
CVS Caremark 62,800 2,544
Del Monte Foods 392,400 3,740
Energizer Holdings (B)* 11,800 1,068
General Mills 115,400 6,910
Hershey 7,700 290
HJ Heinz 34,900 1,639
JM Smucker 35,900 1,817
Kellogg (B) 96,200 5,056
Kimberly-Clark 124,000 8,004
Kraft Foods, Cl A 203,660 6,316
Kroger 648,500 16,472
Loews - Carolina Group 18,200 1,320
Molson Coors Brewing, Cl B 29,700 1,561
Pepsi Bottling Group 199,400 6,762
PepsiAmericas 47,700 1,218
PepsiCo 89,300 6,447
Philip Morris International* 207,600 10,500
Procter & Gamble 723,000 50,661
Reynolds American (B) 167,200 9,870
Safeway (B) 208,227 6,111
Sara Lee 165,600 2,315
Smithfield Foods (B)* 35,400 912
SUPERVALU (B) 217,245 6,513
SYSCO 117,800 3,419
Tyson Foods, Cl A (B) 223,600 3,566
UST (B) 35,400 1,930
Wal-Mart Stores 287,100 15,124
WM Wrigley Jr. 73,700 4,631
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244,887
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ENERGY -- 15.6%
Anadarko Petroleum 83,700 5,276
Apache 106,600 12,879
Baker Hughes 31,700 2,171
Cameron International (B)* 33,800 1,407
Chesapeake Energy 6,600 305
Chevron 1,065,400 90,943
Cimarex Energy (B) 161,800 8,857
ConocoPhillips 862,893 65,761
Devon Energy 46,600 4,862
El Paso 17,700 295
EOG Resources 57,400 6,888
Exxon Mobil 2,074,000 175,419
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Market Value
Description Shares ($ Thousands)
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Forest Oil* 14,000 $ 685
Frontier Oil (B) 120,900 3,296
Helix Energy Solutions Group* 11,100 350
Helmerich & Payne 30,300 1,420
Hess 10,100 891
Marathon Oil 510,900 23,297
Murphy Oil 73,700 6,054
Newfield Exploration* 7,200 380
Noble Energy 28,700 2,089
Occidental Petroleum 198,800 14,546
Overseas Shipholding Group (B) 17,500 1,226
Patterson-UTI Energy (B) 163,200 4,273
Petro-Canada (B)* 68,100 2,956
Pride International* 9,500 332
Rowan (B) 11,900 490
Schlumberger 36,250 3,154
SEACOR Holdings (B)* 500 43
Sunoco (B) 115,700 6,071
Teekay Shipping (B) 5,400 229
Tidewater 8,100 446
Unit* 3,200 181
Valero Energy 169,400 8,319
Williams 4,200 138
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455,929
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FINANCIALS -- 26.3%
ACE 67,500 3,717
Aflac 18,100 1,176
Alleghany (B)* 1,581 540
Allied Capital (B) 37,000 682
Allied World Assurance Holdings 700 28
Allstate 477,700 22,958
AMB Property+ 2,500 136
AMBAC Financial Group (B) 21,700 125
American Capital Strategies (B) 13,200 451
American International Group (B) 797,800 34,505
AmeriCredit (B)* 10,100 102
Ameriprise Financial 110,400 5,724
Annaly Capital Management+ (B) 226,700 3,473
AON 142,800 5,741
Assurant 141,200 8,593
Astoria Financial 23,600 641
AvalonBay Communities+ (B) 1,600 154
Axis Capital Holdings 124,900 4,244
Bancorpsouth 33,300 771
Bank of America (B) 2,357,950 89,390
Bank of Hawaii 5,200 258
Bank of New York Mellon 34,422 1,436
BB&T (B) 417,600 13,388
Camden Property Trust+ 5,100 256
Capital One Financial (B) 6,500 320
Charles Schwab 156,400 2,945
Chubb (B) 329,300 16,294
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2 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
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Market Value
Description Shares ($ Thousands)
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Cincinnati Financial 3,600 $ 137
CIT Group 290,100 3,438
Citigroup 2,458,800 52,667
City National (B) 15,700 777
CME Group 13,100 6,145
Colonial BancGroup (B) 41,000 395
Comerica (B) 336,200 11,794
Commerce Bancshares 2,800 118
Conseco* 36,300 370
Countrywide Financial (B) 165,300 909
Credicorp 6,600 473
Cullen/Frost Bankers 8,800 467
Discover Financial Services 89,350 1,463
Douglas Emmett+ 11,500 254
East West Bancorp (B) 17,700 314
Endurance Specialty Holdings (B) 181,000 6,625
Erie Indemnity, Cl A (B) 2,300 118
Everest Re Group 101,400 9,078
Fannie Mae 282,700 7,441
Fidelity National Financial, Cl A (B) 55,600 1,019
Fifth Third Bancorp (B) 239,700 5,015
First American 4,900 166
First Horizon National (B) 68,600 961
Forestar Real Estate Group* 1,200 30
Franklin Resources 73,800 7,158
Freddie Mac (B) 225,600 5,712
Fulton Financial (B) 49,400 607
Genworth Financial, Cl A 93,500 2,117
Goldman Sachs Group 144,400 23,882
Guaranty Financial Group* 1,700 18
Hanover Insurance Group 33,900 1,395
Hartford Financial Services Group 165,400 12,532
Hospitality Properties Trust+ (B) 90,800 3,089
Host Hotels & Resorts+ 1,460 23
Hudson City Bancorp 40,100 709
IndyMac Bancorp (B) 102,900 510
iStar Financial+ (B) 12,100 170
Janus Capital Group (B) 122,200 2,844
Jefferies Group 20,700 334
Jones Lang LaSalle (B) 47,700 3,689
JPMorgan Chase 1,842,704 79,144
Keycorp 389,100 8,541
Lehman Brothers Holdings (B) 182,800 6,881
Leucadia National (B) 95,600 4,323
Liberty Media - Capital, Ser A* 68,200 1,073
Lincoln National 125,467 6,524
Loews 255,600 10,280
M&T Bank 5,000 402
Markel* 2,300 1,012
Marsh & McLennan (B) 7,300 178
Marshall & Ilsley 16,700 387
MBIA (B) 122,800 1,501
Merrill Lynch (B) 257,900 10,507
MetLife (B) 159,100 9,587
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Market Value
Description Shares ($ Thousands)
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MGIC Investment (B) 91,000 $ 958
Moody's (B) 37,900 1,320
Morgan Stanley (B) 520,900 23,805
NASDAQ Stock Market* 3,300 128
National City (B) 280,500 2,791
Nationwide Financial Services, Cl A 100,900 4,771
New York Community Bancorp (B) 103,000 1,877
Northern Trust 12,100 804
NYSE Euronext (B) 22,100 1,364
Old Republic International (B) 155,400 2,006
PartnerRe 6,200 473
Plum Creek Timber+ (B) 10,300 419
PNC Financial Services Group (B) 91,855 6,023
Popular (B) 111,000 1,294
Principal Financial Group (B) 81,100 4,519
Progressive (B) 21,700 349
Prologis+ 1,500 88
Prudential Financial (B) 137,700 10,775
Raymond James Financial 10,300 237
Rayonier+ 3,000 130
Regions Financial (B) 307,184 6,067
Reinsurance Group of America 3,000 163
RenaissanceRe Holdings (B) 21,300 1,106
Safeco (B) 192,200 8,434
Stancorp Financial Group 4,200 200
Sunstone Hotel Investors+ (B) 95,800 1,534
SunTrust Banks (B) 199,300 10,989
TCF Financial 21,400 383
Torchmark 60,000 3,607
Toronto-Dominion Bank 13,503 828
Travelers 601,200 28,767
UnionBanCal 78,800 3,868
Unitrin (B) 7,600 269
Unum Group (B) 141,700 3,119
US Bancorp (B) 871,600 28,205
Valley National Bancorp (B) 27,019 519
Wachovia (B) 882,392 23,825
Washington Federal 20,100 459
Washington Mutual (B) 468,700 4,828
Wells Fargo (B) 1,238,900 36,052
White Mountains Insurance Group 400 192
Whitney Holding 42,400 1,051
Wilmington Trust (B) 8,400 261
WR Berkley 121,000 3,350
XL Capital, Cl A (B) 64,300 1,900
Zions Bancorporation 3,300 150
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767,608
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HEALTH CARE -- 8.2%
Abbott Laboratories 77,700 4,285
Aetna 10,900 459
Alcon 35,700 5,078
AmerisourceBergen 172,100 7,053
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SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 3
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Value Fund (Continued)
March 31, 2008
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Market Value
Description Shares ($ Thousands)
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Amgen* 189,400 $ 7,913
Applera -- Applied Biosystems Group 14,800 486
Beckman Coulter 2,000 129
Biogen Idec* 5,900 364
Boston Scientific* 64,800 834
Cardinal Health 73,200 3,844
Celgene* 66,500 4,076
Charles River Laboratories International* 12,100 713
Cigna 127,800 5,185
Community Health Systems (B)* 8,600 289
Cooper (B) 9,600 331
Coventry Health Care* 4,500 182
Covidien* 58,550 2,591
Eli Lilly 225,100 11,613
Forest Laboratories* 89,200 3,569
Genentech* 49,300 4,002
Gilead Sciences* 122,200 6,297
Hillenbrand Industries 8,200 392
Hologic* 42,400 2,357
IMS Health 13,200 277
Invitrogen (B)* 21,200 1,812
Johnson & Johnson 565,100 36,658
Kinetic Concepts* 4,700 217
King Pharmaceuticals (B)* 529,100 4,603
LifePoint Hospitals* 9,800 269
McKesson 20,100 1,053
Medco Health Solutions* 78,900 3,455
Merck 361,700 13,727
Omnicare 7,400 134
PerkinElmer 27,400 664
Pfizer 4,175,400 87,391
PharMerica (B)* 4,093 68
Quest Diagnostics 6,700 303
Thermo Fisher Scientific* 49,700 2,825
Universal Health Services, Cl B 12,500 671
Watson Pharmaceuticals (B)* 11,300 331
WellPoint* 140,800 6,214
Wyeth 151,100 6,310
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239,024
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INDUSTRIALS -- 11.0%
3M 63,300 5,010
AGCO (B)* 6,400 383
Alexander & Baldwin 6,200 267
Alliant Techsystems (B)* 2,300 238
Boeing 13,700 1,019
Burlington Northern Santa Fe 2,300 212
Carlisle 27,300 913
Caterpillar 50,500 3,954
Con-way 2,500 124
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Market Value
Description Shares ($ Thousands)
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Cooper Industries, Cl A 46,200 $ 1,855
Crane 31,200 1,259
CSX 99,700 5,590
Cummins 119,400 5,590
Deere 122,000 9,814
Dover 3,000 125
DRS Technologies 2,500 146
Eaton 116,400 9,274
Flowserve 3,200 334
Fluor 22,700 3,204
General Dynamics 21,000 1,751
General Electric 3,818,900 141,337
Harsco 56,700 3,140
Hertz Global Holdings* 10,600 128
Honeywell International 223,400 12,604
Hubbell, Cl B (B) 23,400 1,022
Illinois Tool Works 27,500 1,326
Ingersoll-Rand, Cl A (B) 213,500 9,518
ITT 4,800 249
Kennametal 23,800 700
L-3 Communications Holdings (B) 45,700 4,997
Lennox International 4,800 173
Lincoln Electric Holdings 6,900 445
Lockheed Martin 30,600 3,039
Masco (B) 188,600 3,740
Norfolk Southern 95,700 5,198
Northrop Grumman 275,200 21,413
Northwest Airlines* 7,700 69
Owens Corning (B)* 11,100 201
Pall 900 32
Parker Hannifin (B) 205,350 14,225
Pentair (B) 45,900 1,464
Raytheon 32,000 2,068
Republic Services 12,500 366
RR Donnelley & Sons 10,600 321
Ryder System (B) 87,300 5,317
Shaw Group* 1,300 61
Spirit Aerosystems Holdings, Cl A* 54,600 1,211
SPX 48,800 5,119
Teleflex 6,600 315
Terex* 22,300 1,394
Textron 42,000 2,328
Timken 17,100 508
Tyco International 72,950 3,213
UAL (B) 3,000 65
Union Pacific 23,900 2,997
United Rentals* 16,900 318
United Technologies 202,400 13,929
URS* 32,900 1,076
Waste Management 11,300 379
WW Grainger 51,900 3,965
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321,032
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4 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
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Market Value
Description Shares ($ Thousands)
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INFORMATION TECHNOLOGY -- 4.0%
ADC Telecommunications* 34,100 $ 412
Adobe Systems* 62,800 2,235
Advanced Micro Devices (B)* 22,600 133
Affiliated Computer Services, Cl A* 600 30
Apple* 45,200 6,486
Applied Materials 139,200 2,716
Arrow Electronics* 107,100 3,604
Avnet* 87,900 2,877
Broadcom, Cl A* 106,800 2,058
Cadence Design Systems (B)* 22,300 238
Cisco Systems* 122,600 2,953
Computer Sciences (B)* 104,300 4,254
Compuware (B)* 104,900 770
Convergys* 82,100 1,236
Cree (B)* 22,900 640
eBay* 75,500 2,253
Electronic Data Systems 103,200 1,718
Fidelity National Information Services 5,585 213
Google, Cl A* 13,700 6,035
Hewitt Associates, Cl A* 145,300 5,779
Hewlett-Packard 231,500 10,570
Ingram Micro, Cl A* 77,200 1,222
Intel 125,600 2,660
International Business Machines (B) 117,000 13,471
International Rectifier (B)* 10,200 219
Intersil, Cl A 25,400 652
Juniper Networks (B)* 93,800 2,345
MEMC Electronic Materials* 21,500 1,524
Metavante Technologies* 5,400 108
Micron Technology (B)* 46,700 279
Microsoft 163,200 4,632
Molex (B) 21,400 496
Motorola 293,400 2,729
NCR* 25,600 585
Nvidia* 137,500 2,721
Sanmina-SCI* 634,300 1,028
Seagate Technology (B) 408,100 8,546
Symantec (B)* 247,300 4,110
Teradata* 18,100 399
Tyco Electronics* 84,350 2,895
Vishay Intertechnology (B)* 209,200 1,895
Western Digital (B)* 123,600 3,342
Xerox 259,700 3,888
--------------
116,956
--------------
MATERIALS -- 4.9%
Air Products & Chemicals (B) 67,400 6,201
Alcoa 506,100 18,250
Ashland 18,900 894
Carpenter Technology 56,600 3,168
Celanese, Ser A 10,000 390
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Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Chemtura 12,700 $ 93
Cytec Industries 6,900 372
Dow Chemical 705,000 25,979
Eastman Chemical (B) 88,400 5,521
E.I. Du Pont de Nemours 256,100 11,975
FMC 30,000 1,665
Freeport-McMoRan Copper & Gold, Cl B (B) 12,555 1,208
Huntsman 6,400 151
International Flavors & Fragrances 3,700 163
International Paper (B) 447,400 12,169
Lubrizol 124,000 6,883
MeadWestvaco 28,500 776
Monsanto 45,000 5,017
Mosaic* 15,700 1,611
Nucor 226,500 15,343
Owens-Illinois* 4,700 265
PPG Industries 118,900 7,195
Reliance Steel & Aluminum 7,600 455
Rohm & Haas (B) 80,800 4,370
Sigma-Aldrich (B) 11,600 692
Smurfit-Stone Container (B)* 237,700 1,830
Sonoco Products 100,400 2,874
Steel Dynamics (B) 13,400 443
Temple-Inland 31,200 397
United States Steel (B) 27,900 3,540
Valspar (B) 74,900 1,486
Weyerhaeuser (B) 12,400 806
--------------
142,182
--------------
TELECOMMUNICATION SERVICES -- 6.6%
AT&T 3,138,302 120,197
CenturyTel 122,600 4,075
Citizens Communications 69,300 727
Crown Castle International* 9,200 318
Embarq (B) 12,800 513
Sprint Nextel (B) 1,210,050 8,095
Telephone & Data Systems 27,300 1,072
Verizon Communications 1,511,800 55,105
Windstream 46,426 555
--------------
190,657
--------------
UTILITIES -- 5.2%
Alliant Energy 256,200 8,970
Ameren (B) 76,800 3,382
American Electric Power 336,300 14,000
Atmos Energy 92,100 2,349
CMS Energy (B) 11,300 153
Consolidated Edison (B) 38,900 1,544
Constellation Energy Group 55,400 4,890
Dominion Resources 80,500 3,288
DTE Energy 192,200 7,475
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SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 5
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Value Fund (Concluded)
March 31, 2008
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Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Duke Energy 158,848 $ 2,835
Dynegy, Cl A* 16,000 126
Edison International 88,300 4,329
Energen 24,200 1,508
Energy East 85,300 2,057
Entergy 135,000 14,726
Equitable Resources 700 41
Exelon 82,200 6,680
FirstEnergy 246,000 16,881
FPL Group (B) 50,700 3,181
MDU Resources Group 5,500 135
Mirant* 4,000 146
National Fuel Gas 12,900 609
Northeast Utilities 12,300 302
NRG Energy (B)* 10,100 394
Oneok 93,100 4,155
Pepco Holdings 183,400 4,534
PG&E 202,800 7,467
Pinnacle West Capital (B) 130,800 4,588
PPL 71,400 3,279
Progress Energy (B) 56,100 2,339
Public Service Enterprise Group (B) 258,200 10,377
Puget Energy 14,000 362
Questar 21,400 1,210
Reliant Energy (B)* 193,400 4,574
Sempra Energy 4,500 240
Sierra Pacific Resources 206,700 2,611
Southern 6,300 224
Southern Union 20,200 470
UGI 46,600 1,161
Xcel Energy 197,400 3,938
--------------
151,530
--------------
Total Common Stock
(Cost $2,677,260) ($ Thousands) 2,857,608
--------------
CORPORATE OBLIGATION (C) (E) -- 0.3%
FINANCIALS -- 0.3%
SLM MTN, Ser S
2.827%, 04/14/08 $ 8,825 8,825
--------------
Total Corporate Obligation
(Cost $8,825) ($ Thousands) 8,825
--------------
CASH EQUIVALENTS**++ -- 17.9%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 3.190% 49,690,464 49,690
SEI Liquidity Fund L.P., 3.200% (C) 472,917,831 472,918
--------------
Total Cash Equivalents
(Cost $522,608) ($ Thousands) 522,608
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATION (A) (D) -- 0.3%
U.S. Treasury Bill
2.167%, 05/22/08 $ 8,199 $ 8,185
--------------
Total U.S. Treasury Obligation
(Cost $8,174) ($ Thousands) 8,185
--------------
Total Investments -- 116.5%
(Cost $3,216,867) ($ Thousands) $ 3,397,226
==============
A summary of the open futures contracts held by the Fund at March 31, 2008, 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 135 Jun-2008 $ 1,613
=============
Percentages are based on Net Assets of $2,916,225 ($ Thousands).
* Non-Income Producing Security.
** Rate shown is the 7-day effective yield as of March 31, 2008.
+++ 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 March
31, 2008 (see Note 7). The total value of securities on loan at March 31,
2008 was $470,173 ($ Thousands).
(C) This security was purchased with cash collateral held from securities on
loan (see Note 7). The total value of such securities as of March 31, 2008
was $481,743 ($ Thousands).
(D) The rate reported is the effective yield at time of purchase.
(E) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of March 31, 2008.
Cl -- Class
L.P. -- Limited Partnership
MTN -- Medium Term Note
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
6 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
Large Cap Growth Fund
March 31, 2008
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS#:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Information Technology 25.5%
Short-Term Investments 16.2%
Health Care 15.1%
Consumer Discretionary 9.5%
Consumer Staples 9.1%
Industrials 8.2%
Energy 7.9%
Financials 4.6%
Materials 1.7%
Telecommunication Services 1.4%
Utilities 0.6%
U.S. Treasury Obligation 0.2%
# Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 7).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK+++ -- 96.9%
CONSUMER DISCRETIONARY -- 11.0%
Abercrombie & Fitch, Cl A 3,900 $ 285
Amazon.com (B)* 152,170 10,850
American Eagle Outfitters 14,200 249
AnnTaylor Stores* 76,300 1,845
Apollo Group, Cl A (B)* 119,200 5,149
Autozone* 1,469 167
Best Buy (B) 105,400 4,370
Big Lots (B)* 37,500 836
Black & Decker 4,300 284
BorgWarner 15,600 671
Brinker International (B) 131,000 2,430
Cablevision Systems, Cl A* 51,146 1,096
Cache (B)* 13,900 157
Capella Education* 10,800 590
Career Education* 34,800 443
CBS, Cl B (B) 14,663 324
Central European Media Enterprises,
Cl A* 700 60
Christopher & Banks (B) 30,100 301
Clear Channel Communications 1,700 50
Coach* 111,341 3,357
Comcast, Cl A (B)* 479,744 9,278
CROCS* 67,900 1,186
Darden Restaurants 61,859 2,014
Deckers Outdoor (B)* 11,300 1,218
Dick's Sporting Goods* 11,000 295
DIRECTV Group* 285,700 7,083
Discovery Holding, Cl A* 112,000 2,377
DISH Network, Cl A* 23,200 667
Dolan Media* 4,200 84
Dollar Tree* 71,489 1,972
Fortune Brands (B) 172,800 12,010
GameStop, Cl A (B)* 146,000 7,550
Garmin* 22,300 1,204
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Gentex (B) 30,700 $ 527
Goodyear Tire & Rubber* 34,500 890
Guess? 24,400 987
Gymboree* 40,700 1,623
H&R Block 14,800 307
Hanesbrands* 67,000 1,956
Harley-Davidson (B) 28,031 1,051
Harman International Industries 15,800 688
Home Depot 89,900 2,515
IAC/InterActive (B)* 88,500 1,837
International Game Technology 530,000 21,311
ITT Educational Services* 42,480 1,951
Jarden* 5,900 128
John Wiley & Sons, Cl A 18,200 723
Johnson Controls 144,000 4,867
Kohl's* 4,910 211
Lamar Advertising, Cl A (B) 80,330 2,886
Las Vegas Sands* 3,000 221
Liberty Global, Cl A* 137,182 4,675
Lowe's 762,345 17,488
Ltd Brands 29,400 503
Macy's 34,700 800
McDonald's 245,000 13,664
McGraw-Hill 381,501 14,096
MGM Mirage (B)* 373,700 21,962
Newell Rubbermaid (B) 166,950 3,818
News, Cl A 103,484 1,940
Nike, Cl B 216,200 14,702
O'Reilly Automotive* 4,300 123
Omnicom Group 27,128 1,199
Orient-Express Hotels, Cl A 9,100 393
Penn National Gaming* 47,700 2,086
Polo Ralph Lauren 2,021 118
Pulte Homes 9,700 141
RadioShack 11,600 188
Regal Entertainment Group, Cl A 6,400 123
Rent-A-Center* 12,729 234
Reuters Group ADR* 205,000 14,204
Saks* 12,500 156
Scientific Games, Cl A* 7,300 154
Sherwin-Williams 7,200 367
Staples (B)* 1,050,000 23,215
Starbucks* 14,900 261
Steven Madden* 12,300 211
Target 336,262 17,042
Thor Industries (B) 16,200 482
Tiffany 22,600 946
Tim Hortons 19,403 661
Time Warner 71,700 1,005
Time Warner Cable, Cl A* 7,600 190
TJX 17,600 582
Urban Outfitters* 12,900 404
Viacom, Cl B* 318,341 12,613
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 7
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Growth Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
WABCO Holdings 6,933 $ 316
Walt Disney 167,183 5,246
Warnaco Group* 52,800 2,082
Weight Watchers International (B) 451,500 20,918
Whirlpool 1,700 148
Williams-Sonoma 5,300 128
Wyndham Worldwide 6,100 126
Wynn Resorts* 5,900 594
XM Satellite Radio Holdings, Cl A* 13,600 158
Yum! Brands 170,104 6,330
--------------
331,923
--------------
CONSUMER STAPLES -- 10.6%
Altria Group 113,340 2,516
Anheuser-Busch 147,752 7,011
Avon Products 39,400 1,558
Bare Escentuals* 46,000 1,077
Brown-Forman, Cl B 39,100 2,589
Campbell Soup 30,201 1,025
Church & Dwight 22,300 1,210
Clorox 46,900 2,656
Coca-Cola 616,717 37,540
Colgate-Palmolive 165,267 12,876
Costco Wholesale (B) 202,300 13,143
CVS Caremark 532,231 21,561
Energizer Holdings* 29,400 2,660
Estee Lauder, Cl A 11,200 514
General Mills 21,800 1,305
Hansen Natural* 6,100 215
Herbalife 35,900 1,705
HJ Heinz 61,500 2,889
Kellogg 27,700 1,456
Kimberly-Clark 99,702 6,436
Kraft Foods, Cl A 155,740 4,829
Kroger 236,100 5,997
Loews - Carolina Group 11,500 834
McCormick 1,100 41
NBTY* 1,200 36
Pepsi Bottling Group 64,553 2,189
PepsiCo 790,764 57,093
Philip Morris International* 113,340 5,733
Procter & Gamble 1,030,595 72,214
Reynolds American (B) 31,500 1,859
Sara Lee 72,400 1,012
SYSCO 10,100 293
UST 4,400 240
Wal-Mart Stores 251,401 13,244
Walgreen (B) 652,885 24,868
Whole Foods Market 27,800 917
WM Wrigley Jr. 111,308 6,995
--------------
320,336
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
ENERGY -- 9.2%
Arch Coal 6,200 $ 270
Baker Hughes 20,233 1,386
Cameron International (B)* 260,152 10,833
Chesapeake Energy (B) 508,698 23,476
Chevron 28,422 2,426
Consol Energy 10,000 692
Core Laboratories* 27,800 3,317
Denbury Resources* 49,500 1,413
Devon Energy 128,400 13,396
Diamond Offshore Drilling 8,100 943
Dresser-Rand Group* 49,300 1,516
EOG Resources (B) 100,000 12,000
Exxon Mobil 226,500 19,157
FMC Technologies* 92,200 5,245
Frontier Oil 51,400 1,401
Frontline* 7,600 350
Global Industries* 48,200 776
Grant Prideco* 1,400 69
Halliburton 459,500 18,072
Helix Energy Solutions Group* 3,400 107
Hess (B) 176,470 15,561
Holly 42,800 1,858
Massey Energy 4,600 168
National Oilwell Varco* 60,900 3,555
Noble 36,100 1,793
Occidental Petroleum 135,800 9,936
Oceaneering International* 16,900 1,065
Patterson-UTI Energy (B) 18,600 487
Peabody Energy 2,500 127
Pride International* 16,600 580
Range Resources 1,100 70
Rowan (B) 41,800 1,721
SandRidge Energy (B)* 53,200 2,083
Schlumberger (B) 604,662 52,606
SEACOR Holdings* 1,500 128
Smith International 37,400 2,402
Suncor Energy* 209,970 20,231
Sunoco (B) 76,100 3,993
Superior Energy Services* 10,500 416
Tesoro 68,500 2,055
Tidewater (B) 63,600 3,505
Transocean 34,412 4,653
Unit* 23,200 1,314
Valero Energy 89,100 4,376
Weatherford International (B)* 303,498 21,994
Williams 117,300 3,869
XTO Energy 17,186 1,063
--------------
278,454
--------------
- --------------------------------------------------------------------------------
8 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
FINANCIALS -- 5.0%
ACE 16,500 $ 908
Aflac 23,334 1,516
American Express 71,746 3,137
American International Group 42,603 1,843
Axis Capital Holdings 24,700 839
Bank of Hawaii 5,200 258
Charles Schwab (B) 884,921 16,663
CME Group 95,844 44,960
CNA Financial (B) 4,300 111
Discover Financial Services 399,160 6,534
Eaton Vance 39,100 1,193
Erie Indemnity, Cl A 2,600 133
Forest City Enterprises, Cl A 21,204 780
Franklin Resources 29,312 2,843
General Growth Properties+ (B) 26,400 1,008
Goldman Sachs Group 27,996 4,630
HCC Insurance Holdings 12,500 284
Hudson City Bancorp 293,300 5,186
IntercontinentalExchange* 254,100 33,160
Investment Technology Group* 17,400 803
Janus Capital Group (B) 7,100 165
Jones Lang LaSalle 1,900 147
Lazard LP, Cl A 21,700 829
MF Global (B)* 36,900 366
Moody's (B) 211,150 7,354
Morgan Stanley 43,272 1,977
MSCI, Cl A* 20,700 616
NASDAQ Stock Market* 6,800 263
Northern Trust 13,618 905
NYSE Euronext (B) 14,500 895
PartnerRe 26,000 1,984
Platinum Underwriters Holdings 32,400 1,052
Plum Creek Timber+ 3,000 122
Prudential Financial 5,000 391
SLM 41,018 630
T. Rowe Price Group 9,624 481
TD Ameritrade Holding* 229,400 3,787
Toronto-Dominion Bank 11,763 722
Ventas+ 3,200 144
XL Capital, Cl A 21,200 626
--------------
150,245
--------------
HEALTH CARE -- 17.5%
Abbott Laboratories 548,916 30,273
Aetna 32,200 1,355
Allergan 701,758 39,572
Amgen* 102,253 4,272
Amylin Pharmaceuticals (B)* 255,669 7,468
Analogic* 9,200 612
Applera -- Applied Biosystems
Group (B) 63,800 2,096
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Baxter International 395,622 $ 22,875
Beckman Coulter 5,600 362
Becton Dickinson 57,025 4,896
Biogen Idec* 9,500 586
Bristol-Myers Squibb 333,100 7,095
Cardinal Health 63,688 3,344
Celgene* 43,360 2,658
Charles River Laboratories
International* 12,500 737
Cigna 99,721 4,046
Cooper 7,600 262
Covance* 44,400 3,684
Coventry Health Care* 15,000 605
C.R. Bard 1,600 154
Cubist Pharmaceuticals* 48,300 890
Cutera* 12,000 162
DaVita* 5,400 258
Dentsply International 72,400 2,795
Dionex* 7,500 577
Edwards Lifesciences* 4,500 200
Eli Lilly 146,690 7,568
Endo Pharmaceuticals Holdings* 11,800 283
Express Scripts* 120,180 7,730
Forest Laboratories* 84,400 3,377
Gen-Probe* 25,700 1,239
Genentech* 641,110 52,045
Genzyme* 4,800 358
Gilead Sciences* 539,968 27,825
Health Net* 34,700 1,069
Henry Schein* 24,300 1,395
Hillenbrand Industries 4,400 210
HLTH* 106,300 1,014
Hospira* 8,100 346
Humana* 10,700 480
Idexx Laboratories* 84,100 4,143
ImClone Systems* 6,800 288
IMS Health 7,400 155
Intuitive Surgical (B)* 20,700 6,714
Invacare 5,800 129
Invitrogen* 13,100 1,120
Johnson & Johnson 482,492 31,299
Kinetic Concepts* 31,500 1,456
Laboratory of America Holdings* 5,700 420
Martek Biosciences (B)* 7,500 229
McKesson 18,512 969
Medco Health Solutions* 172,582 7,557
Medtronic 247,800 11,986
Mentor (B) 16,500 424
Merck 1,103,753 41,887
Merit Medical Systems* 7,200 114
Millennium Pharmaceuticals (B)* 139,700 2,160
Omnicare 7,200 131
OSI Pharmaceuticals (B)* 49,500 1,851
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 9
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Growth Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Par Pharmaceutical* 6,300 $ 110
Patterson* 10,000 363
Pediatrix Medical Group* 6,200 418
PerkinElmer 6,700 162
Pfizer 47,100 986
Pharmaceutical Product Development 16,500 691
Quest Diagnostics 68,400 3,096
Schering-Plough 1,699,951 24,496
Sciele Pharma (B)* 5,800 113
St. Jude Medical* 401,240 17,330
STERIS 8,600 231
Stryker 294,400 19,151
Teva Pharmaceutical Industries
ADR (B)* 303,377 14,013
Thermo Fisher Scientific* 315,320 17,923
UnitedHealth Group 1,107,220 38,044
Universal Health Services, Cl B 5,600 301
VCA Antech* 27,320 747
Warner Chilcott, Cl A* 91,600 1,649
Waters* 17,949 1,000
Watson Pharmaceuticals* 2,700 79
WellPoint* 93,733 4,136
Wyeth 122,518 5,116
Zimmer Holdings* 254,300 19,800
--------------
529,760
--------------
INDUSTRIALS -- 9.5%
3M 79,026 6,255
Administaff 23,600 557
Alliant Techsystems* 20,400 2,112
Ametek 20,100 883
BE Aerospace* 1,700 59
Boeing 158,716 11,804
Burlington Northern Santa Fe (B) 25,100 2,315
Carlisle 10,500 351
Caterpillar 60,000 4,697
CH Robinson Worldwide 1,966 107
Con-way 2,800 139
Continental Airlines, Cl B* 5,500 106
Cooper Industries, Cl A 25,800 1,036
Copart* 10,000 388
Corporate Executive Board 10,800 437
Corrections of America* 21,500 592
CSX 59,900 3,359
Cummins 135,200 6,330
Danaher 1,600 122
Deere 5,400 434
Delta Air Lines* 57,300 493
Donaldson 3,900 157
Dover 21,200 886
Dun & Bradstreet 5,500 448
Eaton 13,700 1,091
Emerson Electric 448,408 23,075
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Equifax 3,500 $ 121
Expeditors International
Washington (B) 523,400 23,647
Fastenal (B) 32,600 1,497
First Solar (B)* 15,600 3,606
Flowserve 19,900 2,077
Fluor 129,300 18,252
Foster Wheeler* 22,200 1,257
General Electric 731,544 27,074
Goodrich 52,600 3,025
Harsco 36,600 2,027
Herman Miller 29,100 715
Hertz Global Holdings* 19,000 229
Honeywell International 167,600 9,456
Hubbell, Cl B 19,100 834
IDEX 8,700 267
Illinois Tool Works 33,800 1,630
Ingersoll-Rand, Cl A 105,579 4,707
Jacobs Engineering Group* 32,900 2,421
JB Hunt Transport Services 26,600 836
Kennametal 22,400 659
Kimball International, Cl B 16,400 176
Kirby* 2,700 154
L-3 Communications Holdings (B) 30,100 3,291
Lincoln Electric Holdings 4,900 316
Lockheed Martin 103,915 10,319
Manitowoc 14,000 571
Manpower 12,100 681
McDermott International* 13,600 746
MSC Industrial Direct, Cl A 16,000 676
Norfolk Southern (B) 75,300 4,090
Northrop Grumman 64,448 5,015
Northwest Airlines* 16,100 145
Nuco2* 4,400 122
Oshkosh Truck 28,400 1,030
Paccar 37,750 1,699
Pall 25,500 894
Parker Hannifin (B) 25,250 1,749
PeopleSupport* 27,300 249
Precision Castparts 57,721 5,892
Quanta Services* 29,700 688
Raytheon 48,500 3,134
Republic Services 51,300 1,500
Robert Half International 48,700 1,254
Rockwell Automation 86,400 4,961
Rockwell Collins (B) 21,747 1,243
Roper Industries 14,600 868
Shaw Group* 2,300 108
Southwest Airlines 21,000 260
Steelcase, Cl A 118,300 1,308
Stericycle (B)* 85,390 4,398
Sunpower, Cl A* 1,500 112
Terex* 9,700 606
Textron 44,700 2,477
- --------------------------------------------------------------------------------
10 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Thomas & Betts* 38,400 $ 1,397
Toro 23,800 985
Trane 4,600 211
Trinity Industries (B) 90,400 2,409
TrueBlue (B)* 27,200 366
Tyco International 59,500 2,621
UAL 4,700 101
Union Pacific 16,800 2,106
United Parcel Service, Cl B (B) 388,375 28,359
United Technologies 201,030 13,835
URS* 12,600 412
Waste Management 3,800 127
WESCO International* 36,700 1,339
--------------
287,570
--------------
INFORMATION TECHNOLOGY -- 29.7%
Accenture, Cl A 108,100 3,802
Activision* 258,772 7,067
Adobe Systems* 125,200 4,456
Advanced Micro Devices* 44,800 264
Agilent Technologies* 159,000 4,743
Alliance Data Systems* 15,600 741
Altera 15,800 291
Amdocs* 15,700 445
Amphenol, Cl A 12,400 462
Analog Devices 39,300 1,160
Apple* 470,899 67,574
Applied Materials 24,705 482
Arrow Electronics* 23,500 791
Autodesk* 4,300 135
Automatic Data Processing 120,800 5,121
Avnet* 32,600 1,067
BEA Systems* 55,200 1,057
BMC Software* 76,190 2,478
Broadridge Financial Solutions 13,700 241
Brocade Communications Systems* 87,600 639
Cadence Design Systems (B)* 251,311 2,684
Ciena* 24,400 752
Cisco Systems* 1,705,046 41,075
Citrix Systems* 26,100 766
CMGI* 23,100 306
CommScope* 42,500 1,480
Corning 35,800 861
Cree* 10,500 294
Cypress Semiconductor* 27,000 637
Dell (B)* 581,976 11,593
Diebold 14,400 541
DST Systems* 15,600 1,026
eBay* 1,050,500 31,347
Electronic Arts (B)* 553,580 27,635
EMC* 231,300 3,317
Factset Research Systems 2,600 140
Fidelity National Information Services 7,000 267
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Fiserv* 2,800 $ 135
Global Payments 3,600 149
Google, Cl A (B)* 177,001 77,964
Harris 2,800 136
Hewitt Associates, Cl A* 33,200 1,320
Hewlett-Packard 855,200 39,048
Integrated Device Technology* 47,500 424
Intel 1,470,217 31,139
International Business Machines (B) 300,019 34,544
Intersil, Cl A 39,100 1,004
Intuit (B)* 943,400 25,481
Iron Mountain* 7,300 193
Jabil Circuit 172,800 1,635
Juniper Networks (B)* 417,100 10,427
Kla-Tencor 3,700 137
Lawson Software (B)* 29,100 219
Linear Technology (B) 308,220 9,459
LSI Logic* 36,700 182
Mastercard, Cl A (B) 165,200 36,838
McAfee* 37,500 1,241
MEMC Electronic Materials* 71,559 5,074
Mettler Toledo International* 5,500 534
Microchip Technology 1,500 49
Micron Technology* 22,900 137
Microsoft 2,506,458 71,133
Molex 12,200 283
MPS Group* 10,200 121
Multi-Fineline Electronix (B)* 3,000 56
National Instruments 4,400 115
National Semiconductor 17,100 313
NAVTEQ* 29,100 1,979
NCR* 1,700 39
NetApp (B)* 205,700 4,124
NeuStar, Cl A* 10,400 275
Nvidia (B)* 218,377 4,322
Oracle* 540,865 10,579
QLogic (B)* 120,400 1,848
Qualcomm 2,241,118 91,886
Red Hat* 10,300 189
Research In Motion (B)* 597,570 67,065
Seagate Technology (B) 1,590,200 33,299
Silicon Laboratories* 37,100 1,170
Sun Microsystems (B)* 1,034,600 16,067
Symantec (B)* 298,600 4,963
Synopsys* 25,764 585
Teradata* 836,600 18,455
Texas Instruments 244,715 6,918
Trimble Navigation* 48,700 1,392
Varian Semiconductor Equipment
Associates* 24,300 684
VeriSign* 30,400 1,011
Visa* 408,820 25,494
Vishay Intertechnology* 14,400 130
VMware, Cl A* 2,700 116
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 11
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Growth Fund (Concluded)
March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Western Digital (B)* 68,900 $ 1,863
Western Union 1,093,180 23,252
Xerox 10,700 160
Zebra Technologies, Cl A* 6,800 227
--------------
895,319
--------------
MATERIALS -- 2.0%
Air Products & Chemicals 18,400 1,693
AK Steel Holding (B)* 45,900 2,498
Alcoa 54,600 1,969
Allegheny Technologies 7,500 535
Ball 10,000 459
Celanese, Ser A 17,300 676
Cleveland-Cliffs 4,400 527
Crown Holdings* 3,000 76
Ecolab 3,700 161
E.I. Du Pont de Nemours 13,000 608
Freeport-McMoRan Copper & Gold,
Cl B 6,300 606
International Flavors & Fragrances 8,200 361
Lubrizol 7,800 433
Martin Marietta Materials 15,600 1,656
Monsanto 61,214 6,825
Mosaic* 32,800 3,365
Nalco Holding 52,200 1,104
Newmont Mining 4,300 195
Nucor 6,100 413
Olin (B) 107,100 2,116
Owens-Illinois* 65,200 3,679
Packaging of America 9,900 221
Praxair (B) 313,100 26,373
Reliance Steel & Aluminum 7,400 443
Sigma-Aldrich 5,200 310
Southern Copper 17,500 1,817
Valspar 7,300 145
Vulcan Materials 6,717 446
--------------
59,710
--------------
TELECOMMUNICATION SERVICES -- 1.7%
American Tower, Cl A (B)* 398,300 15,617
Crown Castle International (B)* 876,620 30,235
Leap Wireless International* 18,000 839
MetroPCS Communications* 5,000 85
Telephone & Data Systems 24,300 954
Windstream 217,400 2,598
--------------
50,328
--------------
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
UTILITIES -- 0.7%
AES* 243,100 $ 4,053
Allegheny Energy 18,200 919
Constellation Energy Group 24,100 2,127
Equitable Resources 23,600 1,390
Exelon 34,500 2,804
Mirant* 3,800 138
NRG Energy* 87,600 3,416
PPL 96,500 4,431
Questar 13,200 747
--------------
20,025
--------------
Total Common Stock
(Cost $2,560,615) ($ Thousands) 2,923,670
--------------
CORPORATE OBLIGATION (C) (E) -- 0.3%
FINANCIALS -- 0.3%
SLM MTN, Ser S
2.827%, 04/14/08 $ 8,932 8,932
--------------
Total Corporate Obligation
(Cost $8,933) ($ Thousands) 8,932
--------------
CASH EQUIVALENTS** -- 18.8%
Merrill Lynch EBP Master,
2.090% 16,279,734 16,280
SEI Daily Income Trust, Prime
Obligation Fund,
Cl A, 3.190%++ 72,111,223 72,111
SEI Liquidity Fund L.P.,
3.200%++ (C) 478,681,019 478,681
--------------
Total Cash Equivalents
(Cost $567,072) ($ Thousands) 567,072
--------------
U.S. TREASURY OBLIGATION (A) (D) -- 0.2%
U.S. Treasury Bill
2.167%, 05/22/08 5,785 5,775
--------------
Total U.S. Treasury Obligation
(Cost $5,767) ($ Thousands) 5,775
--------------
Total Investments -- 116.2%
(Cost $3,142,387) ($ Thousands) $ 3,505,449
==============
- --------------------------------------------------------------------------------
12 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
A summary of the open futures contracts held by the Fund at March 31, 2008, 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 184 Jun-2008 $ 2,892
=============
Percentages are based on Net Assets of $3,017,065 ($ Thousands).
* Non-Income Producing Security.
** Rate shown is the 7-day effective yield as of March 31, 2008.
+++ 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 March
31, 2008 (see Note 7). The total value of securities on loan at March 31,
2008 was $480,414 ($ Thousands).
(C) This security was purchased with cash collateral held from securities on
loan (see Note 7). The total value of such securities as of March 31, 2008
was $487,613 ($ Thousands).
(D) The rate reported is the effective yield at time of purchase.
(E) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of March 31, 2008.
ADR -- American Depositary Receipt
Cl -- Class
L.P. -- Limited Partnership
MTN -- Medium Term Note
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 13
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Large Cap Fund
March 31, 2008
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS#:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
SECTOR WEIGHTINGS#:
Short-Term Investments 16.3%
Information Technology 15.8%
Financials 13.8%
Health Care 11.1%
Energy 10.6%
Consumer Discretionary 8.1%
Industrials 7.8%
Consumer Staples 7.6%
Telecommunication Services 3.6%
Materials 3.0%
Utilities 2.2%
U.S. Treasury Obligations 0.1%
Rights 0.0%
# Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 7).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 97.2%
CONSUMER DISCRETIONARY -- 9.4%
Abercrombie & Fitch, Cl A (B) 4,600 $ 336
Amazon.com (B)* 59,520 4,244
American Eagle Outfitters 6,300 110
Apollo Group, Cl A (B)* 38,405 1,659
Autoliv (B) 63,500 3,188
AutoNation (B)* 18,800 281
Autozone* 3,200 364
Barnes & Noble 21,250 651
Bed Bath & Beyond* 5,700 168
Best Buy (B) 46,675 1,935
Big Lots (B)* 3,200 71
Black & Decker 750 50
BorgWarner 13,200 568
Brinker International 3,150 58
Brunswick (B) 27,400 438
Cablevision Systems, Cl A* 9,900 212
Carmax (B)* 4,080 79
Cavco Industries* 130 5
CBRL Group 2,500 89
CBS, Cl B (B) 127,532 2,816
CEC Entertainment* 3,000 87
Centex (B) 31,250 757
Central European Media Enterprises,
Cl A (B)* 1,100 94
Cheesecake Factory (B)* 1,125 25
Clear Channel Communications 9,000 263
Clear Channel Outdoor Holdings,
Cl A* 9,900 188
Coach* 41,200 1,242
Comcast, Cl A (B)* 371,191 7,179
Darden Restaurants 17,600 573
Deckers Outdoor (B)* 7,500 809
DeVry 1,021 43
Dick's Sporting Goods* 29,200 782
Dillard's, Cl A (B) 23,900 411
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
DIRECTV Group* 183,465 $ 4,548
Discovery Holding, Cl A* 4,780 101
DISH Network, Cl A* 5,350 154
Dolan Media* 6,200 125
Dollar Tree* 47,100 1,300
DR Horton (B) 13,850 218
DreamWorks Animation SKG, Cl A* 5,600 144
Eastman Kodak (B) 64,500 1,140
Ethan Allen Interiors (B) 35,000 995
Expedia* 1,535 34
Foot Locker 5,350 63
Ford Motor (B)* 71,400 408
Fortune Brands (B) 106,942 7,433
GameStop, Cl A* 32,522 1,682
Gannett (B) 68,300 1,984
Gap 12,950 255
Garmin (B)* 1,700 92
Gemstar-TV Guide International* 216 1
General Motors (B) 56,450 1,075
Gentex (B) 9,000 154
Genuine Parts 4,950 199
Goodyear Tire & Rubber* 55,150 1,423
H&R Block (B) 6,800 141
Hanesbrands (B)* 10,800 315
Harley-Davidson (B) 25,600 960
Harman International Industries 2,200 96
Hasbro (B) 141,000 3,934
Hearst-Argyle Television 700 14
Home Depot 159,800 4,470
IAC/InterActive* 3,948 82
Idearc (B) 11,225 41
International Game Technology 321,200 12,915
International Speedway, Cl A 9,500 391
Interpublic Group (B)* 3,050 26
ITT Educational Services* 1,200 55
Jack in the Box (B)* 13,000 349
J.C. Penney* 45,700 1,723
Johnson Controls 13,800 466
Jones Apparel Group 93,600 1,256
KB Home (B) 39,900 987
Kohl's (B)* 15,200 652
Lamar Advertising, Cl A (B) 46,339 1,665
Las Vegas Sands (B)* 1,850 136
Leggett & Platt (B) 59,300 904
Lennar, Cl A (B) 6,500 122
Liberty Global, Cl A (B)* 16,670 568
Liberty Global, Ser C* 2,201 72
Liberty Media - Entertainment, Cl A* 9,560 216
Liberty Media - Interactive, Cl A* 7,950 128
Lowe's 460,854 10,572
Ltd Brands 9,450 162
Macy's 147,700 3,406
Magna International, Cl A* 20,000 1,443
Marriott International, Cl A (B) 11,600 399
- --------------------------------------------------------------------------------
14 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Mattel 98,100 $ 1,952
McClatchy, Cl A (B) 15,600 167
McDonald's 316,162 17,632
McGraw-Hill 192,681 7,120
MDC Holdings (B) 1,150 50
MGM Mirage (B)* 194,000 11,401
Mohawk Industries (B)* 1,900 136
New York Times, Cl A (B) 5,200 98
Newell Rubbermaid 94,720 2,166
News, Cl A 33,094 621
Nike, Cl B 126,400 8,595
Nordstrom (B) 9,800 320
NVR (B)* 2,700 1,613
O'Reilly Automotive (B)* 1,800 51
Office Depot* 9,050 100
OfficeMax 4,500 86
Omnicom Group 20,000 884
PetSmart 2,400 49
Pulte Homes (B) 11,300 164
RadioShack 18,300 297
Regal Entertainment Group,
Cl A (B) 9,050 175
Rent-A-Center* 36,500 670
Reuters Group ADR* 120,000 8,315
Ross Stores 5,200 156
Saks (B)* 6,000 75
Sears Holdings (B)* 2,690 275
Shaw Communications, Cl B* 84,600 1,538
Sherwin-Williams (B) 21,600 1,102
Sirius Satellite Radio (B)* 15,600 45
Skechers U.S.A., Cl A* 12,900 261
Snap-On 3,900 198
Stanley Works (B) 12,600 600
Staples (B)* 665,525 14,715
Starbucks* 16,700 292
Starwood Hotels & Resorts Worldwide 3,150 163
Target 196,280 9,948
Tempur-Pedic International (B) 3,550 39
Thor Industries (B) 5,500 164
Tiffany 1,300 54
Time Warner 734,619 10,299
Time Warner Cable, Cl A* 4,000 100
TJX (B) 24,000 794
Toll Brothers* 4,900 115
Under Armour, Cl A (B)* 12,800 469
Urban Outfitters* 3,950 124
Valassis Communications (B)* 55,300 600
VF 9,900 767
Viacom, Cl B* 142,182 5,633
Virgin Media 6,900 97
WABCO Holdings 1,200 55
Walt Disney (B) 208,800 6,552
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Warnaco Group* 1,700 $ 67
Washington Post, Cl B 100 66
Weight Watchers International 242,200 11,221
Wendy's International 18,600 429
Whirlpool (B) 20,000 1,736
Williams-Sonoma (B) 2,000 49
Wyndham Worldwide (B) 7,500 155
Wynn Resorts* 1,600 161
XM Satellite Radio Holdings, Cl A* 8,800 102
Yum! Brands 67,100 2,497
--------------
236,344
--------------
CONSUMER STAPLES -- 8.8%
Altria Group 140,100 3,110
Anheuser-Busch 42,200 2,002
Archer-Daniels-Midland 90,457 3,723
Avon Products 11,200 443
Bare Escentuals* 19,200 450
BJ's Wholesale Club (B)* 9,000 321
Brown-Forman, Cl B 1,200 79
Bunge (B) 14,300 1,242
Campbell Soup 7,500 255
Clorox 27,950 1,583
Coca-Cola 303,300 18,462
Coca-Cola Enterprises 60,850 1,473
Colgate-Palmolive 75,402 5,875
ConAgra Foods 261,500 6,263
Constellation Brands, Cl A* 3,000 53
Costco Wholesale (B) 131,369 8,535
CVS Caremark 283,145 11,470
Dean Foods (B) 18,050 363
Del Monte Foods 161,100 1,535
Energizer Holdings (B)* 6,400 579
General Mills (B) 49,100 2,940
Hershey (B) 3,600 136
HJ Heinz 2,150 101
Hormel Foods 4,000 167
Kellogg 27,900 1,466
Kimberly-Clark 52,200 3,369
Kraft Foods, Cl A 159,515 4,947
Kroger 268,100 6,810
Loews - Carolina Group 5,300 384
McCormick 2,100 78
Molson Coors Brewing, Cl B 24,500 1,288
Nu Skin Enterprises, Cl A 11,600 209
Pepsi Bottling Group 8,100 275
PepsiCo 372,177 26,871
Philip Morris International* 140,100 7,086
Procter & Gamble 832,166 58,310
Reynolds American (B) 67,800 4,002
Safeway (B) 68,234 2,003
Sara Lee 56,500 790
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 15
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Large Cap Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Smithfield Foods* 1,350 $ 35
SUPERVALU (B) 79,850 2,394
SYSCO (B) 71,050 2,062
TreeHouse Foods* 7,282 166
Tyson Foods, Cl A 26,372 421
UST (B) 13,100 714
Wal-Mart Stores 143,400 7,554
Walgreen (B) 366,300 13,952
Whole Foods Market (B) 2,500 82
WM Wrigley Jr. 75,967 4,774
--------------
221,202
--------------
ENERGY -- 12.4%
Anadarko Petroleum 12,900 813
Apache 39,571 4,781
Arch Coal 3,800 165
Baker Hughes 11,441 784
BJ Services 3,100 88
Cabot Oil & Gas 1,000 51
Cameron International (B)* 132,600 5,521
Chesapeake Energy (B) 272,570 12,579
Chevron 458,662 39,151
Cimarex Energy (B) 59,885 3,278
ConocoPhillips 384,475 29,301
Consol Energy (B) 2,800 194
Cross Timbers Royalty Trust* 53 3
Devon Energy 106,890 11,152
Dresser-Rand Group* 4,750 146
El Paso (B) 30,300 504
ENSCO International 6,000 376
EOG Resources (B) 82,900 9,948
Exxon Mobil (B) 921,282 77,922
FMC Technologies* 16,500 939
Forest Oil* 1,150 56
Foundation Coal Holdings 2,050 103
Grant Prideco* 4,550 224
Halliburton 250,716 9,861
Helix Energy Solutions Group* 850 27
Helmerich & Payne 4,300 202
Hess (B) 114,520 10,098
Marathon Oil (B) 223,174 10,177
Mariner Energy* 931 25
Massey Energy 2,200 80
Murphy Oil 27,500 2,259
Nabors Industries* 3,600 122
National Oilwell Varco* 20,860 1,218
Newfield Exploration* 5,100 270
Noble 2,200 109
Noble Energy 15,950 1,161
Occidental Petroleum 217,600 15,922
Overseas Shipholding Group 1,600 112
Patriot Coal* 440 21
Patterson-UTI Energy (B) 35,800 937
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Peabody Energy (B) 4,400 $ 224
Petro-Canada (B)* 27,000 1,172
Pioneer Natural Resources 9,900 486
Plains Exploration & Production* 4,095 218
Pride International* 1,050 37
Rowan 13,000 535
Schlumberger (B) 256,456 22,312
Smith International 7,200 462
Spectra Energy 10,922 249
Suncor Energy (B)* 118,754 11,442
Sunoco (B) 62,900 3,300
Tidewater 7,350 405
Transocean 5,277 713
Unit* 10,450 592
Valero Energy 85,494 4,199
Weatherford International (B)* 155,050 11,236
Williams 15,900 524
XTO Energy 29,720 1,839
--------------
310,625
--------------
FINANCIALS -- 15.8%
ACE 46,100 2,538
Affiliated Managers Group* 1,350 123
Aflac 9,650 627
Alleghany* 102 35
Allied Capital (B) 6,600 122
Allied World Assurance Holdings 600 24
Allstate 204,300 9,819
AMB Property+ 1,700 93
AMBAC Financial Group (B) 14,600 84
American Capital Strategies (B) 6,600 225
American Express 44,200 1,932
American Financial Group 53,600 1,370
American International Group (B) 333,202 14,411
American National Insurance 300 32
AmeriCredit (B)* 8,500 86
Ameriprise Financial 38,100 1,975
Annaly Capital Management+ (B) 72,000 1,103
AON 57,350 2,305
Apartment Investment & Management,
Cl A+ 2,700 97
Arbor Realty Trust+ (B) 16,500 249
Arch Capital Group* 10,100 694
Arthur J. Gallagher 950 22
Aspen Insurance Holdings 14,600 385
Assurant 44,600 2,714
Astoria Financial 4,800 130
AvalonBay Communities+ 1,100 106
Axis Capital Holdings 99,950 3,396
Banco Bilbao Vizcaya Argentaria ADR 2,254 50
Bank of America (B) 946,223 35,871
Bank of Hawaii 50 2
- --------------------------------------------------------------------------------
16 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Bank of New York Mellon 32,784 $ 1,368
BB&T (B) 139,100 4,460
Bear Stearns (B) 2,100 22
Boston Properties+ 1,600 147
Brandywine Realty Trust+ (B) 49,700 843
Capital Lease Funding+ 4,200 33
Capital One Financial (B) 17,901 881
CapitalSource+ (B) 7,300 71
CB Richard Ellis Group, Cl A* 5,300 115
CBL & Associates Properties+ 16,400 386
Cedar Shopping Centers+ 6,400 75
Central Pacific Financial 2,100 40
Charles Schwab 530,793 9,995
Chubb 194,200 9,609
Cincinnati Financial (B) 40,752 1,550
CIT Group 92,100 1,091
Citigroup 742,673 15,908
CME Group 56,730 26,612
Comerica (B) 102,700 3,603
Countrywide Financial (B) 47,300 260
Developers Diversified Realty+ 2,600 109
Discover Financial Services 289,415 4,738
Duke Realty+ 5,550 127
E*Trade Financial (B)* 28,700 111
Endurance Specialty Holdings (B) 33,800 1,237
Equity Residential+ (B) 8,950 371
Erie Indemnity, Cl A 3,500 179
Everest Re Group 50,800 4,548
Fannie Mae 67,200 1,769
Federal Realty Investment Trust+ 300 23
Fidelity National Financial, Cl A (B) 32,299 592
Fifth Third Bancorp (B) 106,700 2,232
First American 3,000 102
First Horizon National (B) 24,300 340
First Industrial Realty Trust+ (B) 5,000 154
FirstMerit 2,600 54
Forest City Enterprises, Cl A 2,800 103
Forestar Real Estate Group* 366 9
Franklin Resources 35,700 3,463
Freddie Mac (B) 49,800 1,261
General Growth Properties+ 5,300 202
Genworth Financial, Cl A 45,700 1,035
Goldman Sachs Group 59,200 9,791
Guaranty Financial Group* 366 4
Hanover Insurance Group 8,200 337
Hartford Financial Services Group 74,200 5,622
HCC Insurance Holdings 3,000 68
HCP+ (B) 5,300 179
Health Care+ 650 29
Hercules Technology Growth Capital 11,900 129
Highwoods Properties+ 1,500 47
Hospitality Properties Trust+ (B) 53,400 1,817
Host Hotels & Resorts+ (B) 26,632 424
HRPT Properties Trust+ 13,400 90
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Hudson City Bancorp 117,300 $ 2,074
Huntington Bancshares (B) 84,500 908
IndyMac Bancorp (B) 39,300 195
IntercontinentalExchange* 139,000 18,140
Invesco* 5,400 132
Investment Technology Group* 2,400 111
iStar Financial+ 1,900 27
Janus Capital Group (B) 67,400 1,568
Jones Lang LaSalle (B) 14,700 1,137
JPMorgan Chase 782,770 33,620
Keycorp 217,900 4,783
Kimco Realty+ (B) 1,600 63
Legg Mason 2,700 151
Lehman Brothers Holdings (B) 103,738 3,905
Lexington Realty Trust+ 7,100 102
Liberty Media - Capital, Ser A* 2,390 38
Liberty Property Trust+ (B) 1,650 51
Lincoln National 58,036 3,018
Loews 42,300 1,701
M&T Bank 2,950 237
Macerich+ 650 46
Mack-Cali Realty+ 2,400 86
Manulife Financial 9,245 351
Markel* 100 44
Marsh & McLennan (B) 11,253 274
Marshall & Ilsley 8,900 206
MBIA (B) 39,200 479
MCG Capital 31,500 286
Merrill Lynch 135,900 5,537
MetLife (B) 57,400 3,459
MGIC Investment (B) 31,500 332
Montpelier Re Holdings 36,200 581
Moody's (B) 144,730 5,041
Morgan Stanley (B) 238,200 10,886
MSCI, Cl A* 10,400 309
MVC Capital 6,700 102
NASDAQ Stock Market* 1,200 46
National City (B) 105,900 1,054
Nationwide Financial Services, Cl A 37,850 1,790
New York Community Bancorp (B) 2,237 41
Northern Trust 3,400 226
Nymex Holdings 2,300 208
NYSE Euronext 400 25
Old Republic International 76,506 988
Oriental Financial Group 12,700 250
PartnerRe 7,600 580
Penson Worldwide* 5,000 46
People's United Financial 4,725 82
Phoenix (B)* 15,400 188
Piper Jaffray* 366 12
Platinum Underwriters Holdings 24,100 782
Plum Creek Timber+ (B) 4,700 191
PMI Group (B) 16,000 93
PNC Financial Services Group (B) 55,207 3,620
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 17
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Large Cap Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Popular (B) 34,000 $ 396
Principal Financial Group (B) 45,400 2,530
Progressive (B) 15,600 251
Prologis+ 13,854 815
Protective Life 2,000 81
Prudential Financial (B) 72,900 5,704
Public Storage+ 2,050 182
Ramco-Gershenson Properties+ 2,100 44
Raymond James Financial 2,025 47
Rayonier+ 1,600 70
Realty Income+ (B) 1,050 27
Regency Centers+ 850 55
Regions Financial (B) 181,220 3,579
Reinsurance Group of America (B) 55,700 3,032
RenaissanceRe Holdings 2,700 140
Resource Capital+ (B) 2,900 22
Safeco 84,500 3,708
SeaBright Insurance Holdings* 14,800 218
Simon Property Group+ (B) 9,925 922
SL Green Realty+ 1,200 98
SLM 15,800 243
Sovereign Bancorp (B) 17,890 167
St. Joe (B) 1,750 75
State Street 6,755 534
Student Loan 900 89
Sunstone Hotel Investors+ (B) 36,400 583
SunTrust Banks 94,600 5,216
SVB Financial Group (B)* 1,550 68
Synovus Financial 5,000 55
T. Rowe Price Group (B) 33,100 1,655
Taubman Centers+ 2,350 122
TCF Financial 7,600 136
TD Ameritrade Holding* 42,050 694
Thomas Weisel Partners Group* 3,900 26
Torchmark 27,550 1,656
Toronto-Dominion Bank 1,949 120
Transatlantic Holdings 1,100 73
Travelers 280,331 13,414
UDR+ 4,600 113
UnionBanCal 25,050 1,229
United America Indemnity, Cl A* 1,800 35
Unitrin 550 19
Unum Group (B) 47,750 1,051
US Bancorp (B) 390,061 12,622
Validus Holdings* 1,000 23
Ventas+ 3,450 155
Vornado Realty Trust+ 1,500 129
Wachovia (B) 354,094 9,561
Waddell & Reed Financial, Cl A 3,900 125
Washington Federal (B) 4,400 100
Washington Mutual (B) 106,507 1,097
Weingarten Realty Investors+ 700 24
Wells Fargo (B) 367,855 10,705
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Whitney Holding 1,200 $ 30
WR Berkley 50,200 1,390
XL Capital, Cl A 8,200 242
Zions Bancorporation 2,900 132
--------------
394,816
--------------
HEALTH CARE -- 13.0%
Abbott Laboratories 230,600 12,718
Advanced Medical Optics (B)* 1,222 25
Aetna 48,600 2,046
Alcon (B) 11,500 1,636
Allergan 398,108 22,449
AmerisourceBergen 79,302 3,250
Amgen* 129,042 5,391
AMN Healthcare Services* 3,600 56
Amylin Pharmaceuticals (B)* 139,680 4,080
Analogic* 6,500 433
Applera -- Applied Biosystems
Group (B) 30,250 994
Barr Pharmaceuticals* 1,650 80
Baxter International 172,780 9,990
Beckman Coulter 600 39
Becton Dickinson 26,650 2,288
Biogen Idec* 5,220 322
Boston Scientific* 20,717 267
Bristol-Myers Squibb 67,500 1,438
Cardinal Health 44,630 2,344
Celgene* 30,400 1,863
Cephalon* 400 26
Charles River Laboratories
International* 18,300 1,079
Cigna 59,900 2,430
Covance* 350 29
Coventry Health Care* 1,424 57
Covidien* 32,450 1,436
C.R. Bard 3,800 366
DaVita* 2,325 111
Dentsply International 900 35
Dionex* 7,600 585
Eli Lilly 133,588 6,892
Express Scripts* 33,000 2,123
Forest Laboratories* 49,200 1,968
Genentech* 384,090 31,180
Genzyme* 4,350 324
Gilead Sciences* 338,680 17,452
Health Net* 1,600 49
Hillenbrand Industries 900 43
HLTH* 10,300 98
Hologic (B)* 1,560 87
Hospira* 3,920 168
Humana* 8,600 386
Idexx Laboratories* 4,400 217
ImClone Systems* 650 28
- --------------------------------------------------------------------------------
18 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
IMS Health 3,944 $ 83
Intuitive Surgical (B)* 5,850 1,897
Invitrogen* 1,350 115
Johnson & Johnson 434,800 28,205
King Pharmaceuticals* 133,500 1,161
Laboratory of America Holdings (B)* 5,300 390
LifePoint Hospitals* 1,600 44
Lincare Holdings* 1,750 49
McKesson 12,126 635
Medco Health Solutions* 66,992 2,934
Medtronic 53,900 2,607
Merck 595,375 22,594
Merit Medical Systems* 6,300 100
Millennium Pharmaceuticals* 17,650 273
Millipore* 700 47
Mylan Laboratories (B) 9,900 115
OSI Pharmaceuticals* 21,300 796
Patterson (B)* 2,100 76
PerkinElmer 11,950 290
Pfizer 1,545,833 32,354
Pharmaceutical Product Development 4,300 180
PharMerica (B)* 428 7
Quest Diagnostics 2,400 109
Quidel (B)* 6,300 101
Resmed* 1,200 51
Schering-Plough 873,461 12,587
Sciele Pharma (B)* 11,700 228
St. Jude Medical* 233,050 10,065
STERIS 5,400 145
Stryker (B) 149,737 9,740
Tenet Healthcare (B)* 86,900 492
Teva Pharmaceutical Industries
ADR (B)* 171,700 7,931
Thermo Fisher Scientific* 155,816 8,857
UnitedHealth Group 555,492 19,087
Universal Health Services, Cl B 800 43
Valeant Pharmaceuticals
International (B)* 6,000 77
Varian Medical Systems* 2,300 108
Warner Chilcott, Cl A* 11,300 203
Waters* 5,800 323
Watson Pharmaceuticals* 1,550 45
WellPoint* 60,115 2,653
Wyeth 128,372 5,361
Zimmer Holdings* 156,800 12,208
--------------
324,244
--------------
INDUSTRIALS -- 9.1%
3M 45,600 3,609
ACCO Brands* 482 7
AGCO (B)* 2,600 156
Alliant Techsystems (B)* 1,300 135
Allied Waste Industries* 76,354 825
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Avis Budget Group* 3,750 $ 40
Boeing 38,603 2,871
Brink's 650 44
Burlington Northern Santa Fe 12,900 1,190
Caterpillar (B) 47,100 3,687
C.H. Robinson Worldwide 3,200 174
ChoicePoint* 1,300 62
Continental Airlines, Cl B* 2,450 47
Cooper Industries, Cl A 1,300 52
Covanta Holding* 1,150 32
Crane 35,950 1,451
CSX 47,700 2,675
Cummins 59,000 2,762
Danaher 5,400 411
Deere 39,900 3,210
Dover 3,050 127
DRS Technologies 1,050 61
Dun & Bradstreet 800 65
Eaton 49,300 3,928
Emerson Electric 235,700 12,129
Equifax 7,000 241
Expeditors International
Washington (B) 313,400 14,159
Fastenal (B) 3,600 165
FedEx 13,400 1,242
First Solar* 1,400 324
Flowserve 6,000 626
Fluor (B) 64,350 9,084
Foster Wheeler* 2,800 158
GATX 1,600 62
General Dynamics 6,200 517
General Electric 1,829,422 67,707
Goodrich 3,950 227
Harsco 4,600 255
Herman Miller 950 23
Hertz Global Holdings (B)* 9,500 115
Honeywell International 86,700 4,892
Hubbell, Cl B 6,850 299
Hudson Highland Group* 750 6
IKON Office Solutions 5,019 38
Illinois Tool Works 8,900 429
Ingersoll-Rand, Cl A (B) 50,600 2,256
ITT 4,000 207
Jacobs Engineering Group* 3,380 249
JB Hunt Transport Services (B) 1,800 57
Joy Global 1,800 117
Kansas City Southern (B)* 2,600 104
KBR* 3,300 91
Kirby* 2,100 120
L-3 Communications Holdings (B) 14,900 1,629
Lockheed Martin 57,100 5,670
Manitowoc 1,300 53
Manpower 2,200 124
Masco (B) 169,200 3,355
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 19
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Large Cap Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
McDermott International* 4,800 $ 263
Monster Worldwide* 5,000 121
MSC Industrial Direct, Cl A 4,000 169
NCI Building Systems (B)* 6,800 165
Norfolk Southern 122,100 6,632
Northrop Grumman 143,334 11,153
Paccar (B) 15,168 683
Pall 4,750 167
Parker Hannifin (B) 109,050 7,554
Pentair (B) 2,400 77
PHH* 957 17
Pitney Bowes 4,000 140
Precision Castparts 800 82
Quanta Services (B)* 8,100 188
Raytheon 25,800 1,667
Republic Services 9,600 281
Robert Half International 5,800 149
Rockwell Automation 6,000 344
Rockwell Collins (B) 7,900 451
RR Donnelley & Sons 62,100 1,882
Ryder System (B) 19,800 1,206
Shaw Group* 1,550 73
Skywest 4,400 93
Southwest Airlines 18,950 235
Spirit Aerosystems Holdings, Cl A* 18,900 419
SPX 13,850 1,453
Steelcase, Cl A 11,750 130
Stericycle (B)* 22,000 1,133
Terex* 850 53
Textron 20,200 1,119
Timken 27,500 817
Trane 3,600 165
Trinity Industries (B) 3,800 101
Tyco International 75,600 3,330
UAL (B) 5,000 108
Union Pacific 8,500 1,066
United Parcel Service, Cl B (B) 211,561 15,448
United Rentals* 4,550 86
United Technologies 177,662 12,227
Viad 425 15
Waste Management 21,200 711
WESCO International* 17,900 653
WW Grainger 4,800 367
--------------
227,544
--------------
INFORMATION TECHNOLOGY -- 18.4%
3Com* 6,400 15
Accenture, Cl A 13,000 457
Activision* 166,750 4,554
ADC Telecommunications* 3,200 39
Adobe Systems* 45,712 1,627
Advanced Micro Devices (B)* 3,800 22
Advent Software (B)* 1,400 60
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Affiliated Computer Services, Cl A* 2,100 $ 105
Agilent Technologies* 14,100 421
Akamai Technologies (B)* 6,400 180
Altera 6,400 118
Amkor Technology (B)* 16,800 180
Amphenol, Cl A 2,200 82
Analog Devices 11,050 326
Apple* 257,980 37,020
Applied Materials 67,308 1,313
Arrow Electronics* 44,500 1,497
Autodesk* 4,100 129
Automatic Data Processing 25,400 1,077
Avnet (B)* 39,000 1,276
AVX 4,950 63
BEA Systems* 9,850 189
BMC Software* 14,400 468
Broadcom, Cl A* 43,000 829
Broadridge Financial Solutions 3,275 58
Brocade Communications Systems* 7,400 54
CA 23,568 530
Cadence Design Systems* 14,800 158
Ciena (B)* 1,500 46
Cisco Systems* 648,683 15,627
Citrix Systems* 14,250 418
Cognizant Technology Solutions,
Cl A* 8,912 257
Computer Sciences (B)* 33,100 1,350
Compuware (B)* 73,062 536
Corning 25,700 618
CSG Systems International* 8,100 92
Cypress Semiconductor (B)* 6,250 148
Dell (B)* 205,050 4,085
Diebold 3,800 143
Dolby Laboratories, Cl A* 4,600 167
DST Systems (B)* 850 56
Earthlink* 33,800 255
eBay (B)* 550,334 16,422
EchoStar (B)* 1,070 32
Electronic Arts (B)* 318,562 15,903
Electronic Data Systems 52,200 869
EMC* 69,500 997
Emulex (B)* 14,900 242
Fair Isaac 2,025 44
Fidelity National Information Services 5,129 196
Fiserv* 2,125 102
Flextronics International* 7,800 73
Global Payments 4,000 165
Google, Cl A* 91,595 40,345
Harris 6,000 291
Hewitt Associates, Cl A* 41,400 1,646
Hewlett-Packard 385,338 17,595
Ingram Micro, Cl A* 93,200 1,475
Integral Systems 2,600 76
- --------------------------------------------------------------------------------
20 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Integrated Device Technology* 9,200 $ 82
Intel 520,706 11,029
International Business Machines 162,536 18,714
International Rectifier* 950 20
Intersil, Cl A 2,750 71
Intuit (B)* 531,900 14,367
Iron Mountain* 4,725 125
Juniper Networks (B)* 275,250 6,881
Kla-Tencor 700 26
Lam Research* 2,600 99
Lexmark International, Cl A (B)* 41,000 1,260
Linear Technology (B) 155,771 4,781
LSI Logic* 20,306 100
Marvell Technology Group* 9,100 99
Mastercard, Cl A (B) 79,700 17,772
MAXIMUS 900 33
McAfee* 4,400 146
MEMC Electronic Materials* 34,800 2,467
Metavante Technologies* 1,533 31
Mettler Toledo International* 2,300 223
Microchip Technology (B) 3,650 119
Micron Technology (B)* 16,100 96
Microsoft 885,548 25,132
MKS Instruments* 1,750 37
Molex 700 16
Motorola 47,250 439
Multi-Fineline Electronix (B)* 7,200 135
National Semiconductor 24,800 454
NAVTEQ* 2,150 146
NetApp (B)* 10,900 219
Novell* 3,500 22
Nvidia (B)* 90,650 1,794
Oracle* 157,785 3,086
Paychex (B) 4,466 153
Perot Systems, Cl A* 6,700 101
Phoenix Technologies* 7,000 110
PMC - Sierra (B)* 8,950 51
Polycom (B)* 11,200 252
QLogic (B)* 40,800 626
Qualcomm 1,202,512 49,303
Red Hat* 3,800 70
Research In Motion (B)* 344,610 38,676
Salesforce.com* 1,500 87
SanDisk (B)* 7,550 170
Sanmina-SCI* 147,400 239
Seagate Technology (B) 1,037,800 21,732
Semtech* 5,750 82
Silicon Laboratories* 800 25
Sun Microsystems (B)* 724,200 11,247
Sybase (B)* 1,200 32
Symantec (B)* 205,327 3,413
Synopsys* 9,289 211
Tech Data* 15,593 511
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Teradata* 460,000 $ 10,148
Teradyne* 9,400 117
Texas Instruments 86,900 2,457
Total System Services 1,119 26
Tyco Electronics* 27,200 933
Verigy* 863 16
VeriSign (B)* 7,450 248
Visa* 235,200 14,667
Vishay Intertechnology (B)* 81,300 737
Volterra Semiconductor* 3,900 44
Western Digital (B)* 62,500 1,690
Western Union 636,351 13,535
Xerox 277,800 4,159
Xilinx 11,000 261
Yahoo!* 23,000 665
--------------
459,933
--------------
MATERIALS -- 3.6%
Air Products & Chemicals (B) 25,100 2,309
AK Steel Holding (B)* 2,000 109
Alcoa 220,300 7,944
Allegheny Technologies 2,855 204
Ashland 11,700 553
Ball 4,400 202
Carpenter Technology 23,700 1,326
Celanese, Ser A 23,200 906
Cleveland-Cliffs 1,100 132
Crown Holdings* 3,000 75
Dow Chemical 298,400 10,996
Eagle Materials 1,506 54
Eastman Chemical 35,300 2,204
Ecolab (B) 11,200 486
E.I. Du Pont de Nemours 172,300 8,057
Freeport-McMoRan Copper & Gold,
Cl B (B) 8,910 857
Greif, Cl A 20,700 1,406
Hercules 3,250 59
Huntsman 1,600 38
International Flavors & Fragrances 3,100 137
International Paper (B) 156,600 4,259
Lubrizol 43,300 2,404
Martin Marietta Materials (B) 550 58
MeadWestvaco 2,450 67
Methanex 58,300 1,526
Monsanto 27,538 3,070
Mosaic* 20,600 2,114
Newmont Mining 12,000 544
Nucor 92,500 6,266
Olin (B) 18,400 364
OM Group* 26,800 1,462
Owens-Illinois* 2,750 155
Pactiv* 8,000 210
PPG Industries 42,000 2,541
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 21
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Large Cap Fund (Concluded)
March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Praxair (B) 185,800 $ 15,650
Reliance Steel & Aluminum 2,700 162
Rohm & Haas (B) 35,200 1,904
RPM International 3,000 63
Sealed Air (B) 21,000 530
Sigma-Aldrich 2,700 161
Smurfit-Stone Container (B)* 49,800 383
Sonoco Products 29,200 836
Southern Copper (B) 900 93
Spartech 19,200 162
Steel Dynamics (B) 33,800 1,117
Temple-Inland 1,100 14
Terra Industries (B)* 26,700 949
United States Steel (B) 22,400 2,842
Valspar (B) 30,400 603
Weyerhaeuser 4,407 287
--------------
88,850
--------------
TELECOMMUNICATION SERVICES -- 4.1%
American Tower, Cl A (B)* 230,064 9,021
AT&T 1,215,761 46,564
Atlantic Tele-Network 7,000 237
CenturyTel 39,400 1,310
Citizens Communications 13,450 141
Crown Castle International (B)* 529,272 18,254
Embarq 9,576 384
Leap Wireless International (B)* 2,300 107
Qwest Communications
International (B) 72,561 329
SBA Communications, Cl A (B)* 2,550 76
Sprint Nextel (B) 435,302 2,912
Telephone & Data Systems 2,600 102
Telephone & Data Systems, Special
Shares* 2,600 97
US Cellular* 6,500 357
Verizon Communications 636,405 23,197
Windstream 54,723 654
--------------
103,742
--------------
UTILITIES -- 2.6%
AES* 100,650 1,678
Allegheny Energy 11,900 601
Alliant Energy 83,900 2,937
Ameren (B) 60,000 2,642
American Electric Power 167,700 6,981
Aqua America (B) 1,333 25
Centerpoint Energy 38,600 551
CMS Energy 70,900 960
Consolidated Edison 4,700 187
Constellation Energy Group 21,100 1,863
Dominion Resources 46,300 1,891
DTE Energy (B) 98,620 3,835
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Duke Energy 120,344 $ 2,148
Dynegy, Cl A* 6,800 54
Edison International 55,800 2,735
Energy East 1,250 30
Entergy 41,650 4,543
Equitable Resources 900 53
Exelon 28,600 2,324
FirstEnergy 104,700 7,185
FPL Group 6,900 433
Great Plains Energy 3,550 88
Idacorp (B) 1,450 47
Mirant* 2,800 102
Nicor (B) 2,350 79
NiSource 8,950 154
NRG Energy (B)* 45,400 1,770
OGE Energy 6,100 190
Pepco Holdings 111,000 2,744
PG&E 62,150 2,288
Pinnacle West Capital (B) 44,300 1,554
PPL 9,800 450
Progress Energy (B) 21,050 878
Public Service Enterprise Group 99,800 4,011
Questar 8,400 475
Reliant Energy* 18,862 446
Sempra Energy 7,450 397
Sierra Pacific Resources 36,000 455
Southern (B) 13,800 491
TECO Energy (B) 92,100 1,469
Wisconsin Energy (B) 18,200 801
Xcel Energy (B) 118,800 2,370
--------------
64,915
--------------
Total Common Stock
(Cost $2,081,399) ($ Thousands) 2,432,215
--------------
CORPORATE OBLIGATION (C) (E) -- 0.3%
FINANCIALS -- 0.3%
SLM MTN, Ser S
2.827%, 04/14/08 $ 7,660 7,660
--------------
Total Corporate Obligation
(Cost $7,660) ($ Thousands) 7,660
--------------
Number of
Rights
-------------
RIGHTS -- 0.0%
MCGC Capital, Expires 04/18/08* 4,500 5
--------------
Total Rights
(Cost $--) ($ Thousands) 5
--------------
- --------------------------------------------------------------------------------
22 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CASH EQUIVALENTS** -- 19.0%
Merrill Lynch EBP Master,
2.090% 8,940,051 $ 8,940
SEI Daily Income Trust,
Prime Obligation Fund, Cl A,
3.190%++ 56,335,014 56,335
SEI Liquidity Fund L.P.,
3.200%++ (C) 410,500,852 410,501
--------------
Total Cash Equivalents
(Cost $475,776) ($ Thousands) 475,776
--------------
U.S. TREASURY OBLIGATIONS (A) (D) -- 0.2%
U. S. Treasury Bill
2.167%, 05/22/08 $ 4,274 4,267
0.731%, 06/19/08 100 100
--------------
Total U.S. Treasury Obligations
(Cost $4,362) ($ Thousands) 4,367
--------------
Total Investments -- 116.7%
(Cost $2,569,197) ($ Thousands) $ 2,920,023
==============
A summary of the open futures contracts held by the Fund at March 31, 2008, 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 Mid 400 Index E-MINI 79 Jun-2008 $ 142
S&P 500 Composite Index 128 Jun-2008 1,852
-------------
$ 1,994
=============
Percentages are based on Net Assets of $2,502,596 ($ Thousands).
* Non-Income Producing Security.
** Rate shown is the 7-day effective yield as of March 31, 2008.
+ 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 March
31, 2008 (see Note 7). The total value of securities on loan at March 31,
2008 was $409,914 ($ Thousands).
(C) This security was purchased with cash collateral held from securities on
loan (see Note 7). The total value of such securities as of March 31, 2008
was $418,161 ($ Thousands).
(D) The rate reported is the effective yield at time of purchase.
(E) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of March 31, 2008.
ADR -- American Depositary Receipt
Cl -- Class
L.P. -- Limited Partnership
MTN -- Medium Term Note
Ser -- Series
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 23
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund
March 31, 2008
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS#:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Information Technology 14.7%
Financials 11.4%
Industrials 10.6%
Health Care 10.5%
Consumer Discretionary 9.1%
Energy 8.8%
Short-Term Investment 6.6%
Consumer Staples 6.5%
U.S. Government Agency Obligations 5.4%
Mortgage-Backed Securities 4.7%
Asset-Backed Securities 3.1%
Materials 3.1%
Telecommunication Services 2.8%
Utilities 2.3%
U.S. Treasury Obligations 0.4%
Purchased Options 0.0%
# Percentages based on total investments
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 95.6%
CONSUMER DISCRETIONARY -- 11.0%
Abercrombie & Fitch, Cl A (D) 23,500 $ 1,719
Aeropostale* 40,100 1,087
Amazon.com* 28,238 2,013
American Eagle Outfitters (D) 16,100 282
AnnTaylor Stores (D)* 17,300 418
Apollo Group, Cl A* 50,800 2,195
Asbury Automotive Group 20,200 278
Autoliv 17,000 853
Autozone* 1,183 135
Best Buy (D) 147,271 6,106
Big Lots (D)* 188,809 4,210
Black & Decker 1,800 119
BorgWarner 13,500 581
Brinker International (D) 59,500 1,104
Cablevision Systems, Cl A (D)* 82,361 1,765
Cache* 7,600 86
California Pizza Kitchen* 10,100 132
Capella Education* 4,400 240
Career Education* 5,200 66
CBS, Cl B (D) 51,983 1,148
Central European Media Enterprises, Cl A* 1,200 102
Charlotte Russe Holding* 4,700 81
Choice Hotels International 2,031 69
Christopher & Banks 30,300 303
Clear Channel Communications 10,080 295
Coach (D)* 20,695 624
Comcast, Cl A (D)* 60,027 1,161
Cooper Tire & Rubber 11,900 178
CROCS* 15,900 278
Darden Restaurants (D) 33,800 1,100
Deckers Outdoor* 6,900 744
Dick's Sporting Goods* 1,900 51
DIRECTV Group (D)* 300,331 7,445
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Discovery Holding, Cl A* 46,600 $ 989
DISH Network, Cl A* 29,508 848
Dollar Tree* 83,100 2,293
Eastman Kodak (D) 2,600 46
EW Scripps, Cl A 1,700 71
Expedia* 45,481 996
Family Dollar Stores 7,400 144
Ford Motor (D)* 510,413 2,920
Fortune Brands 900 63
GameStop, Cl A* 37,500 1,939
Gannett 7,931 230
Gap 64,716 1,274
Garmin* 6,500 351
General Motors (D) 21,400 408
Gentex (D) 53,600 919
Genuine Parts 6,263 252
Goodyear Tire & Rubber (D)* 7,000 181
Guess? 6,700 271
Gymboree (D)* 34,400 1,372
H&R Block 6,500 135
Hanesbrands (D)* 141,261 4,125
Harley-Davidson 13,433 504
Harman International Industries 14,400 627
Hasbro (D) 105,542 2,945
Home Depot 60,300 1,687
IAC/InterActive* 26,500 550
Idearc 25,433 93
International Game Technology 150,000 6,031
International Speedway, Cl A 4,600 189
Interpublic Group (D)* 311,857 2,623
ITT Educational Services* 20,500 942
J Crew Group* 13,900 614
Jack in the Box (D)* 25,800 693
Jarden* 1,200 26
John Wiley & Sons, Cl A 5,900 234
Johnson Controls (D) 41,409 1,400
Jones Apparel Group 85,900 1,153
Kohl's* 2,256 97
Landry's Restaurants 2,900 47
Las Vegas Sands* 1,600 118
Liberty Global, Cl A (D)* 93,704 3,193
Liberty Media - Entertainment, Cl A* 67,600 1,530
Ltd Brands 27,400 469
Macy's 3,800 88
Marriott International, Cl A 29,088 999
Marvel Entertainment* 46,800 1,254
Mattel 10,900 217
McDonald's (D) 87,042 4,854
MDC Holdings 1,300 57
Meredith 1,400 54
MGM Mirage* 106,600 6,265
Mohawk Industries* 1,800 129
NetFlix* 43,200 1,497
- --------------------------------------------------------------------------------
24 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Newell Rubbermaid 28,505 $ 652
News, Cl A 53,577 1,005
Nike, Cl B 27,624 1,878
NVR* 2,500 1,494
Omnicom Group 6,148 272
Orient-Express Hotels, Cl A 600 26
Penn National Gaming* 12,600 551
Penske Auto Group (D) 78,343 1,525
PetSmart 18,300 374
PF Chang's China Bistro* 4,300 122
Phillips-Van Heusen 500 19
Polo Ralph Lauren 1,300 76
Pulte Homes 5,100 74
RadioShack 4,300 70
Regal Entertainment Group, Cl A 2,900 56
Rent-A-Center* 12,100 222
Reuters Group ADR* 61,000 4,227
R.H. Donnelley (D)* 10,000 51
Saks* 8,700 108
Scientific Games, Cl A* 4,100 87
Service International 64,996 659
Shaw Communications, Cl B (D)* 87,200 1,585
Sherwin-Williams (D) 32,080 1,637
Snap-On 46,476 2,363
Stamps.com* 2,900 30
Stanley Works 9,100 433
Staples* 325,000 7,186
Target 5,945 301
Thor Industries 35,400 1,054
Tiffany 6,100 255
Tim Hortons 5,387 183
Time Warner (D) 560,238 7,854
Time Warner Cable, Cl A* 6,037 151
TJX 6,700 222
Toll Brothers* 7,000 164
TravelCenters of America LLC* 1 --
TRW Automotive Holdings (D)* 97,436 2,277
Urban Outfitters* 15,500 486
Valassis Communications* 15,900 172
VF 11,718 908
Viacom, Cl B (D)* 42,400 1,680
WABCO Holdings 2,200 100
Walt Disney (D) 243,779 7,650
Warnaco Group* 16,900 666
Washington Post, Cl B 200 132
Weight Watchers International 129,300 5,990
Whirlpool (D) 1,500 130
Wyndham Worldwide (D) 104,107 2,153
Wynn Resorts* 8,200 825
Yum! Brands (D) 58,410 2,173
--------------
160,282
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CONSUMER STAPLES -- 7.8%
Alberto-Culver 3,200 $ 88
Altria Group (D) 72,846 1,617
Anheuser-Busch (D) 60,024 2,848
Archer-Daniels-Midland (D) 131,877 5,428
Avon Products 13,300 526
Bare Escentuals* 38,200 895
BJ's Wholesale Club* 1,800 64
Brown-Forman, Cl B 12,100 801
Bunge 9,700 843
Church & Dwight 4,500 244
Clorox 34,200 1,937
Coca-Cola (D) 75,805 4,614
Coca-Cola Enterprises 145,608 3,524
Colgate-Palmolive 18,412 1,434
ConAgra Foods 102,700 2,460
Constellation Brands, Cl A* 105,778 1,869
Corn Products International 7,300 271
Costco Wholesale 9,558 621
CVS Caremark 34,088 1,381
Dean Foods 41,069 825
Del Monte Foods 7,100 68
Energizer Holdings* 10,100 914
Estee Lauder, Cl A 24,300 1,114
General Mills (D) 55,000 3,293
Hansen Natural (D)* 2,300 81
Herbalife 64,900 3,083
HJ Heinz 11,474 539
JM Smucker 8,100 410
Kellogg 18,475 971
Kimberly-Clark (D) 41,635 2,688
Kraft Foods, Cl A 9,039 280
Kroger (D) 287,648 7,306
Loews - Carolina Group 12,750 925
McCormick 2,653 98
Molson Coors Brewing, Cl B 18,727 984
Nu Skin Enterprises, Cl A 1,800 32
Pepsi Bottling Group (D) 32,671 1,108
PepsiAmericas 18,400 470
PepsiCo (D) 104,547 7,548
Philip Morris International* 72,846 3,685
Procter & Gamble (D) 272,627 19,103
Ralcorp Holdings* 900 52
Reynolds American (D) 29,790 1,759
Rite Aid* 499,240 1,468
Safeway (D) 66,406 1,949
Sara Lee 45,900 642
Smithfield Foods* 9,900 255
SUPERVALU (D) 57,953 1,737
SYSCO 206,530 5,994
Tyson Foods, Cl A (D) 146,729 2,340
UST 2,300 125
Wal-Mart Stores (D) 70,850 3,732
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 25
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Walgreen 176,700 $ 6,731
Whole Foods Market 11,300 373
WM Wrigley Jr. 10,200 641
--------------
114,788
--------------
ENERGY -- 10.6%
Anadarko Petroleum 6,400 403
Apache 9,622 1,163
Arch Coal 1,500 65
Baker Hughes 5,830 399
Cameron International (D)* 16,676 694
Chesapeake Energy (D) 83,200 3,840
Chevron (D) 259,165 22,122
Cimarex Energy (D) 57,400 3,142
ConocoPhillips (D) 119,179 9,083
Consol Energy 2,800 194
Denbury Resources* 13,800 394
Devon Energy 10,900 1,137
Diamond Offshore Drilling 1,400 163
Dresser-Rand Group (D)* 11,500 354
EnCana (D) 14,800 1,121
ENSCO International 8,900 557
EOG Resources 30,000 3,600
Exxon Mobil (D) 496,896 42,027
FMC Technologies (D)* 33,300 1,894
Forest Oil* 3,900 191
Frontier Oil 58,700 1,600
Frontline (D)* 1,400 64
Global Industries* 12,300 198
Grant Prideco* 300 15
Halliburton (D) 188,610 7,418
Helix Energy Solutions Group* 1,600 50
Helmerich & Payne 40,500 1,898
Hess 1,345 119
Holly (D) 23,500 1,020
Marathon Oil (D) 143,525 6,545
Massey Energy 1,700 62
Murphy Oil 42,726 3,510
National Oilwell Varco* 22,002 1,285
Newfield Exploration* 1,000 53
Noble (D) 29,500 1,465
Noble Energy 2,000 146
Occidental Petroleum (D) 77,410 5,664
Oceaneering International* 5,300 334
Overseas Shipholding Group 6,600 462
Patterson-UTI Energy (D) 75,000 1,964
Peabody Energy 900 46
Petro-Canada (D)* 40,000 1,736
Plains Exploration & Production* 57,809 3,072
Pride International (D)* 17,316 605
Quicksilver Resources* 2,000 73
Range Resources 900 57
Rowan 26,500 1,091
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
SandRidge Energy* 22,500 $ 881
Schlumberger 45,174 3,930
SEACOR Holdings* 8,400 717
Smith International 10,300 662
Southwestern Energy* 400 14
Sunoco (D) 59,700 3,132
Superior Energy Services* 600 24
Teekay Shipping 1,600 68
Tesoro 22,200 666
Tidewater 27,900 1,538
Transocean 7,019 949
Trico Marine Services* 8,900 347
Valero Energy (D) 55,100 2,706
Weatherford International* 11,357 823
Willbros Group* 12,000 367
Williams 130,846 4,315
XTO Energy 5,091 315
--------------
154,549
--------------
FINANCIALS -- 13.6%
ACE 55,090 3,033
Aflac 12,516 813
Alleghany* 1,943 664
Allied Capital 15,211 280
Allied World Assurance Holdings 5,100 202
Allstate (D) 84,360 4,054
AMB Property+ 1,000 54
American Express 13,315 582
American Financial Group (D) 82,596 2,111
American International Group (D) 116,622 5,044
American National Insurance 1,733 185
AmeriCredit* 1,115 11
Ameriprise Financial 39,988 2,073
Annaly Capital Management+ 107,800 1,651
AON (D) 16,086 647
Arch Capital Group* 1,800 124
Ashford Hospitality Trust+ 38,800 220
Aspen Insurance Holdings 5,800 153
Assurant (D) 11,874 723
Astoria Financial 7,700 209
AvalonBay Communities+ (D) 15,854 1,530
Axis Capital Holdings 96,347 3,274
Bancorpsouth 8,800 204
Bank of America (D) 163,636 6,203
Bank of Hawaii 3,300 164
Bank of New York Mellon 68,397 2,854
BB&T 17,139 549
BlackRock 14,078 2,874
BOK Financial 9,961 520
Boston Properties+ 51,442 4,736
Brandywine Realty Trust+ (D) 79,800 1,353
Camden Property Trust+ 1,300 65
Capital One Financial (D) 29,106 1,433
- --------------------------------------------------------------------------------
26 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Capitol Federal Financial 2,951 $ 111
CBL & Associates Properties+ 54,600 1,285
Charles Schwab 306,040 5,763
Chubb (D) 80,304 3,973
Cincinnati Financial 7,153 272
CIT Group (D) 51,964 616
Citigroup (D) 271,434 5,814
City National 1,900 94
CME Group 19,374 9,088
Colonial BancGroup 53,800 518
Colonial Properties Trust+ 7,780 187
Comerica (D) 3,845 135
Commerce Bancshares 1,300 55
Conseco* 42,500 433
Credicorp (D) 21,700 1,557
Crystal River Capital+ 4,200 37
Cullen/Frost Bankers 3,600 191
Douglas Emmett+ 5,400 119
East West Bancorp 18,588 330
Eaton Vance (D) 14,400 439
Endurance Specialty Holdings 74,200 2,716
Erie Indemnity, Cl A 1,100 56
Everest Re Group 23,400 2,095
Fairfax Financial Holdings 6,400 1,837
Fannie Mae 20,147 530
Federated Investors, Cl B 23,800 932
First American 2,000 68
First Citizens BancShares, Cl A 2,343 326
Forest City Enterprises, Cl A 4,830 178
Forestar Real Estate Group* 17,134 427
Franklin Resources (D) 40,116 3,891
Freddie Mac 2,200 56
Fulton Financial 20,700 254
General Growth Properties+ (D) 31,500 1,202
GLG Partners* 76,460 908
Goldman Sachs Group (D) 33,524 5,545
Greenhill 12,400 863
Hanover Insurance Group (D) 24,200 996
Hartford Financial Services Group 13,203 1,000
HCC Insurance Holdings 2,300 52
Hospitality Properties Trust+ 9,787 333
Host Hotels & Resorts+ 28,048 447
Hudson City Bancorp 128,600 2,274
Huntington Bancshares 62,800 675
IntercontinentalExchange* 70,600 9,213
Investment Technology Group* 20,700 956
iStar Financial+ (D) 67,400 946
Janus Capital Group (D) 104,872 2,440
Jefferies Group 7,000 113
Jones Lang LaSalle (D) 27,552 2,131
JPMorgan Chase (D) 332,972 14,301
Kilroy Realty+ 2,096 103
Lazard L.P., Cl A 3,900 149
Leucadia National 25,700 1,162
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Liberty Media - Capital, Ser A* 25,490 $ 401
Loews (D) 126,742 5,098
M&T Bank 1,700 137
Markel* 394 173
Marsh & McLennan 4,997 122
Marshall & Ilsley 7,100 165
MBIA (D) 5,500 67
Merrill Lynch (D) 12,509 510
MetLife (D) 42,548 2,564
MF Global* 53,133 527
Montpelier Re Holdings 16,200 260
Moody's (D) 14,500 505
Morgan Stanley (D) 24,062 1,100
MSCI, Cl A* 13,400 399
NASDAQ Stock Market* 13,284 514
Nationwide Financial Services, Cl A 1,000 47
New York Community Bancorp 30,000 547
Northern Trust 31,683 2,106
NorthStar Realty Finance+ (D) 106,100 867
Parkway Properties+ 5,700 211
PartnerRe 54,855 4,185
Penson Worldwide* 5,600 52
Platinum Underwriters Holdings 2,400 78
Plum Creek Timber+ 2,900 118
PNC Financial Services Group (D) 2,646 173
Progressive 3,300 53
Prudential Financial 6,000 469
Raymond James Financial 34,800 800
Rayonier+ (D) 92,406 4,014
Regions Financial 77,184 1,524
RenaissanceRe Holdings 6,500 337
Resource Capital+ 3,100 23
Safeco 41,389 1,816
SLM 15,600 239
St. Joe 2,575 111
Stancorp Financial Group 30,800 1,469
State Street 4,094 323
Sunstone Hotel Investors+ 11,100 178
SunTrust Banks (D) 42,821 2,361
T. Rowe Price Group 5,454 273
TCF Financial 6,700 120
TD Ameritrade Holding* 192,805 3,183
TFS Financial* 17,261 208
Torchmark 2,671 161
Toronto-Dominion Bank 3,728 229
Transatlantic Holdings 12,965 860
Travelers (D) 196,816 9,418
Unitrin 5,535 196
Unum Group 8,800 194
US Bancorp 3,404 110
Valley National Bancorp 3,100 60
Ventas+ 1,800 81
Wachovia (D) 105,181 2,840
Washington Federal 10,700 244
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 27
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Washington Mutual (D) 11,800 $ 122
Wells Fargo (D) 119,812 3,487
White Mountains Insurance Group 787 378
Whitney Holding 9,100 226
Willis Group Holdings 47,400 1,593
Wilmington Trust 1,700 53
WR Berkley 53,800 1,490
XL Capital, Cl A 23,800 703
--------------
199,656
--------------
HEALTH CARE -- 12.6%
Abbott Laboratories (D) 46,875 2,585
Abraxis Bioscience* 228 13
Advanced Medical Optics* 5,357 109
Aetna (D) 72,790 3,064
Allergan 136,294 7,686
AmerisourceBergen (D) 144,255 5,912
Amgen* 161,855 6,762
Amylin Pharmaceuticals* 3,400 99
Analogic* 1,400 93
APP Pharmaceuticals* 2,418 29
Applera -- Applied Biosystems Group 58,967 1,938
Aspect Medical Systems* 2,000 12
Baxter International 75,207 4,348
Beckman Coulter 1,100 71
Becton Dickinson (D) 27,448 2,356
Biogen Idec (D)* 20,500 1,265
Bristol-Myers Squibb 84,103 1,791
Cardinal Health (D) 144,360 7,580
Celgene* 8,506 521
Charles River Laboratories International (D)* 4,900 289
Cigna (D) 108,457 4,400
Cooper 1,300 45
Covance* 15,100 1,253
Coventry Health Care* 4,908 198
Covidien (D)* 2,400 106
C.R. Bard 1,100 106
Cubist Pharmaceuticals* 43,400 799
DaVita* 1,000 48
Dentsply International 21,800 842
Dionex* 5,400 416
Edwards Lifesciences* 17,132 763
Eli Lilly (D) 57,789 2,981
Endo Pharmaceuticals Holdings* 28,800 689
Express Scripts (D)* 66,500 4,277
Forest Laboratories (D)* 53,600 2,145
Gen-Probe* 6,200 299
Genentech (D)* 140,800 11,430
Genzyme* 19,038 1,419
Gilead Sciences (D)* 44,034 2,269
Health Management Associates, Cl A 8,605 46
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Health Net (D)* 107,856 $ 3,322
Henry Schein* 6,700 385
Hillenbrand Industries 7,737 370
HLTH* 29,500 281
Hospira* 1,300 56
Humana (D)* 72,360 3,246
Idexx Laboratories* 37,900 1,867
ImClone Systems* 2,700 115
IMS Health 5,100 107
Intuitive Surgical* 8,300 2,692
Invacare 3,000 67
Invitrogen (D)* 13,100 1,120
Johnson & Johnson (D) 138,575 8,989
Kinetic Concepts* 8,400 388
King Pharmaceuticals* 210,600 1,832
Laboratory of America Holdings* 1,545 114
LifePoint Hospitals* 13,900 382
Lincare Holdings* 31,800 894
Martek Biosciences* 3,900 119
McKesson (D) 102,097 5,347
Medco Health Solutions (D)* 224,956 9,851
Medical Action Industries* 1,800 30
Medtronic (D) 66,392 3,211
Mentor 16,700 430
Merck (D) 112,936 4,286
Merit Medical Systems* 5,300 84
Millennium Pharmaceuticals* 100,500 1,554
Omnicare 3,400 62
OSI Pharmaceuticals* 32,400 1,211
Par Pharmaceutical* 4,200 73
Patterson* 4,200 152
Pediatrix Medical Group* 1,900 128
PerkinElmer 24,877 603
Pfizer (D) 681,981 14,274
Pharmaceutical Product Development 7,300 306
Quest Diagnostics 16,900 765
Quidel* 30,600 491
Schering-Plough 58,796 847
Sciele Pharma* 2,200 43
Sepracor* 19,597 383
St. Jude Medical* 2,500 108
STERIS 2,800 75
Stryker 52,650 3,425
Tenet Healthcare* 334,629 1,894
Thermo Fisher Scientific* 18,612 1,058
UnitedHealth Group (D) 368,635 12,666
Universal Health Services, Cl B 2,500 134
VCA Antech* 7,500 205
Vertex Pharmaceuticals* 6,400 153
Warner Chilcott, Cl A* 49,300 887
Waters (D)* 19,063 1,062
Watson Pharmaceuticals* 3,400 100
WellPoint (D)* 72,411 3,196
- --------------------------------------------------------------------------------
28 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Wyeth 50,356 $ 2,103
Zimmer Holdings* 72,500 5,645
--------------
184,242
--------------
INDUSTRIALS -- 12.7%
3M (D) 28,345 2,244
AGCO* 4,900 293
Alliant Techsystems* 5,200 538
Allied Waste Industries* 171,568 1,855
Ametek 7,300 321
Armstrong World Industries* 4,954 177
BE Aerospace* 2,900 101
Boeing (D) 152,248 11,323
Burlington Northern Santa Fe 10,328 952
Carlisle 10,414 348
Caterpillar (D) 36,800 2,881
C.H. Robinson Worldwide (D) 43,379 2,360
Con-way 1,200 59
Continental Airlines, Cl B* 5,600 108
Cooper Industries, Cl A 7,300 293
Copart* 3,800 147
Corporate Executive Board 3,300 134
Corrections of America* 10,000 275
Crane 47,400 1,913
CSX 78,642 4,409
Cummins (D) 95,200 4,457
Danaher 845 64
Deere 8,500 684
Delta Air Lines* 113,366 975
Dover 13,100 547
DryShips 15,600 935
Dun & Bradstreet (D) 2,674 218
Eaton (D) 32,000 2,549
Emerson Electric 3,418 176
Equifax 1,600 55
Expeditors International Washington 156,500 7,071
Fastenal 27,900 1,281
FedEx (D) 52,184 4,836
First Solar* 6,900 1,595
Flowserve (D) 23,652 2,469
Fluor 25,180 3,554
Foster Wheeler* 9,000 510
GATX 8,798 344
General Cable* 1,900 112
General Dynamics 5,782 482
General Electric (D) 826,437 30,586
Goodrich (D) 43,000 2,473
Harsco (D) 21,901 1,213
Herman Miller 10,000 246
Hertz Global Holdings* 27,432 331
Honeywell International (D) 33,774 1,906
Hubbell, Cl B 29,300 1,280
IDEX 3,800 117
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Illinois Tool Works 5,900 $ 285
Ingersoll-Rand, Cl A 58,500 2,608
ITT 1,418 73
Jacobs Engineering Group* 43,721 3,217
JB Hunt Transport Services 4,500 141
Kansas City Southern* 7,022 282
KBR* 56,593 1,569
Kennametal 9,000 265
Kimball International, Cl B 10,500 113
Kirby* 1,000 57
L-3 Communications Holdings (D) 18,600 2,034
Lennox International 49,700 1,788
Lincoln Electric Holdings 1,100 71
Lockheed Martin (D) 79,495 7,894
Manitowoc 15,300 624
Manpower 48,676 2,739
McDermott International* 5,700 312
MSC Industrial Direct, Cl A (D) 3,900 165
NCI Building Systems* 1,300 31
Norfolk Southern 66,300 3,601
Northrop Grumman (D) 62,583 4,870
Northwest Airlines* 38,663 348
Nuco2* 5,500 153
Oshkosh Truck 6,500 236
Owens Corning* 35,891 651
Paccar 8,888 400
Pall 7,100 249
Parker Hannifin (D) 58,597 4,059
Pentair 8,000 255
Precision Castparts (D) 17,480 1,784
Quanta Services* 52,818 1,224
Raytheon (D) 93,476 6,039
Republic Airways Holdings* 5,000 108
Republic Services 17,300 506
Robert Half International 65,900 1,696
Rockwell Automation (D) 18,300 1,051
Rockwell Collins 1,154 66
Roper Industries 4,138 246
RR Donnelley & Sons (D) 42,439 1,286
Ryder System (D) 21,000 1,279
Shaw Group* 12,500 589
Southwest Airlines 4,800 60
SPX (D) 5,294 555
Steelcase, Cl A 152,067 1,682
Stericycle (D)* 39,570 2,038
Sunpower, Cl A* 1,000 75
Teleflex 1,700 81
Terex* 3,700 231
Textron 12,100 671
Thomas & Betts (D)* 25,700 935
Timken (D) 93,368 2,775
Toro 5,800 240
Trane 1,100 50
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 29
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Trinity Industries 33,400 $ 890
TrueBlue* 26,400 355
Tyco International (D) 46,100 2,031
UAL 800 17
Union Pacific 6,839 857
United Parcel Service, Cl B 150,253 10,971
United Rentals* 2,300 43
United Technologies 14,004 964
URS* 29,094 951
WESCO International* 42,538 1,552
WW Grainger (D) 17,452 1,333
--------------
186,118
--------------
INFORMATION TECHNOLOGY -- 17.6%
Accenture, Cl A 35,367 1,244
Activision* 15,300 418
ADC Telecommunications* 10,200 123
Adobe Systems* 106,700 3,797
Advanced Micro Devices* 21,400 126
Agilent Technologies (D)* 45,400 1,354
Akamai Technologies* 2,864 81
Alliance Data Systems* 5,200 247
Altera 6,700 123
Amdocs* 66,460 1,885
Amphenol, Cl A 3,500 130
Analog Devices 38,600 1,139
Anaren* 4,500 57
Apple* 66,848 9,593
Applied Materials (D) 3,195 62
Arrow Electronics (D)* 103,794 3,493
Atmel* 233,340 812
Autodesk* 2,300 72
Automatic Data Processing 85,401 3,620
Avnet (D)* 63,523 2,079
AVX 45,530 583
BEA Systems* 18,400 352
BMC Software* 90,300 2,937
Broadcom, Cl A* 7,500 145
Broadridge Financial Solutions 28,100 495
Brocade Communications Systems* 77,600 566
Cabot Microelectronics* 3,300 106
Cadence Design Systems (D)* 81,652 872
Check Point Software Technologies (D)* 74,900 1,678
Ciena* 30,700 947
Cisco Systems (D)* 209,830 5,055
Citrix Systems* 5,800 170
CMGI* 21,300 282
CommScope* 12,900 449
Computer Sciences (D)* 84,755 3,457
Compuware (D)* 199,800 1,467
Convergys* 93,113 1,402
Corning 12,500 301
Cree* 7,800 218
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Cypress Semiconductor* 8,500 $ 201
Dell* 20,900 416
Diebold 3,100 116
DST Systems* 4,021 264
Earthlink* 41,100 310
eBay (D)* 330,486 9,862
Electronic Arts* 1,100 55
Electronic Data Systems (D) 168,697 2,809
EMC (D)* 50,900 730
F5 Networks* 600 11
Fairchild Semiconductor International* 64,849 773
Fidelity National Information Services 9,746 372
Fiserv* 1,200 58
Global Payments 42,900 1,774
Google, Cl A (D)* 27,929 12,302
Harris (D) 2,001 97
Hewitt Associates, Cl A* 60,300 2,398
Hewlett-Packard (D) 353,949 16,161
Ingram Micro, Cl A (D)* 84,742 1,341
Integral Systems 2,700 79
Integrated Device Technology* 122,200 1,091
Intel (D) 160,733 3,404
International Business Machines (D) 45,562 5,246
Intersil, Cl A (D) 52,400 1,345
Intuit (D)* 264,300 7,139
Iron Mountain* 3,200 85
Jabil Circuit 154,911 1,465
Juniper Networks* 112,200 2,805
Kla-Tencor (D) 1,900 71
Lam Research (D)* 28,300 1,082
Lexmark International, Cl A* 22,000 676
Linear Technology 41,000 1,258
Mastercard, Cl A 48,900 10,904
McAfee* 15,100 500
MEMC Electronic Materials* 15,174 1,076
Mettler Toledo International (D)* 5,262 511
Microchip Technology 1,500 49
Micron Technology* 9,500 57
Microsoft (D) 801,163 22,737
Molex 2,300 53
MoneyGram International 76,904 143
Motorola 161,185 1,499
Multi-Fineline Electronix* 6,500 122
National Instruments 3,600 94
National Semiconductor 3,100 57
NAVTEQ* 7,100 483
NCR (D)* 32,834 750
NetApp* 66,700 1,337
NeuStar, Cl A* 2,300 61
Nvidia* 68,100 1,348
Oracle (D)* 273,908 5,358
QLogic* 204,700 3,142
Qualcomm (D) 347,100 14,231
- --------------------------------------------------------------------------------
30 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Red Hat* 3,100 $ 57
Research In Motion (D)* 85,000 9,540
SanDisk* 3,500 79
Seagate Technology 533,500 11,172
Semtech* 2,400 34
Silicon Laboratories (D)* 44,200 1,394
Sun Microsystems* 514,932 7,997
SYKES Enterprises* 21,400 376
Symantec (D)* 224,856 3,737
Synopsys* 50,812 1,154
Tech Data (D)* 90,511 2,969
Teradata* 228,200 5,034
Texas Instruments (D) 265,025 7,492
Trimble Navigation* 10,700 306
Unisys* 385,461 1,708
Varian Semiconductor Equipment
Associates* 6,600 186
VeriSign* 8,600 286
Visa* 91,300 5,693
Vishay Intertechnology* 99,480 901
VMware, Cl A* 600 26
Volterra Semiconductor* 8,800 100
WebMD Health, Cl A* 1,307 31
Western Digital* 4,300 116
Xerox (D) 111,840 1,674
Xilinx 66,300 1,575
Yahoo!* 14,331 415
Zebra Technologies, Cl A (D)* 45,800 1,526
--------------
257,823
--------------
MATERIALS -- 3.7%
Air Products & Chemicals 5,800 534
Airgas 16,712 760
AK Steel Holding* 18,893 1,028
Alcoa 118,300 4,266
Allegheny Technologies 2,600 185
Ashland 103,184 4,881
Ball (D) 15,900 730
Cabot 49,701 1,392
Carpenter Technology 27,400 1,534
Celanese, Ser A 43,200 1,687
Cleveland-Cliffs 1,700 204
Commercial Metals 10,980 329
Crown Holdings (D)* 60,710 1,527
Cytec Industries 1,000 54
Dow Chemical (D) 90,200 3,324
Eastman Chemical 13,100 818
Ecolab 1,900 82
E.I. Du Pont de Nemours 34,898 1,632
FMC 8,300 460
Freeport-McMoRan Copper & Gold,
Cl B 8,332 802
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Greif, Cl A 13,900 $ 944
Huntsman 7,600 179
International Flavors & Fragrances 7,500 330
International Paper (D) 83,991 2,284
Lubrizol 21,000 1,166
Martin Marietta Materials 2,900 308
MeadWestvaco 2,100 57
Methanex (D) 41,100 1,076
Monsanto (D) 3,612 403
Mosaic* 8,000 821
Nalco Holding 149,381 3,159
Newmont Mining 7,961 361
Nucor (D) 34,500 2,337
Olin 39,100 773
OM Group* 5,600 305
Owens-Illinois* 16,100 908
Packaging of America 4,400 98
Pactiv (D)* 19,789 519
PPG Industries 16,100 974
Praxair 84,815 7,144
Reliance Steel & Aluminum 1,800 108
RPM International 10,249 215
Sigma-Aldrich 3,100 185
Smurfit-Stone Container (D)* 4,050 31
Southern Copper (D) 6,200 644
Spartech 5,400 46
Steel Dynamics (D) 1,800 59
Temple-Inland 3,000 38
Terra Industries* 15,700 558
United States Steel (D) 8,100 1,028
Valspar 22,200 440
Vulcan Materials 6,389 424
Weyerhaeuser 800 52
--------------
54,203
--------------
TELECOMMUNICATION SERVICES -- 3.3%
American Tower, Cl A* 29,693 1,164
AT&T (D) 627,476 24,032
CenturyTel (D) 38,294 1,273
Citizens Communications 17,011 178
Crown Castle International* 169,600 5,850
Embarq 5,922 238
Qwest Communications International 144,900 656
Rogers Communications, Cl B (D)* 30,200 1,085
Sprint Nextel (D) 234,000 1,565
Telephone & Data Systems 15,600 613
US Cellular* 36,846 2,027
Verizon Communications (D) 230,132 8,388
Windstream (D) 149,252 1,784
--------------
48,853
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 31
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
UTILITIES -- 2.7%
AES* 57,900 $ 965
AGL Resources 14,100 484
Allegheny Energy 1,121 57
Alliant Energy 32,492 1,138
Ameren 5,300 233
American Electric Power 22,800 949
Atmos Energy 20,800 530
Centerpoint Energy 65,900 940
CMS Energy 47,500 643
Consolidated Edison (D) 26,300 1,044
Constellation Energy Group (D) 9,700 856
Dominion Resources 34,894 1,425
DPL 6,000 154
DTE Energy 31,800 1,237
Duke Energy 71,800 1,282
Dynegy, Cl A* 229,829 1,813
Edison International (D) 76,700 3,760
Energen (D) 6,500 405
Energy East 23,100 557
Entergy 8,800 960
Equitable Resources 9,300 548
Exelon 4,274 347
FirstEnergy (D) 21,865 1,500
FPL Group 20,600 1,292
Mirant* 2,000 73
National Fuel Gas 3,000 142
Northeast Utilities 11,300 277
NRG Energy (D)* 25,200 983
Oneok 13,700 611
Pepco Holdings 5,400 134
PG&E (D) 36,337 1,338
PPL 33,462 1,537
Progress Energy (D) 13,800 576
Public Service Enterprise Group (D) 75,402 3,030
Questar 5,200 294
Reliant Energy* 220,568 5,216
Sempra Energy 6,404 341
Sierra Pacific Resources 76,600 968
Southern 1,727 62
Southern Union 15,005 349
UGI 30,000 748
Xcel Energy 471 9
--------------
39,807
--------------
Total Common Stock
(Cost $1,435,617) ($ Thousands) 1,400,321
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 3.7%
MORTGAGE RELATED SECURITIES -- 1.6%
ABSC NIM Trust, Ser 2005-HE6,
Cl A1 (E)
5.050%, 08/27/35 $ 29 $ 5
Ace Securities, Ser 2003-OP1,
Cl M1 (C)
3.299%, 04/26/08 500 374
Ace Securities, Ser 2005-HE7,
Cl A2D (C)
3.465%, 04/25/08 800 648
Aegis Asset-Backed Securities Trust,
Ser 2003-3, Cl M1 (C)
3.299%, 04/25/08 38 30
Ameriquest Mortgage Securities,
Ser 2003-2, Cl M1 (C)
3.949%, 04/25/08 421 368
Argent Securities, Ser 2003-W5,
Cl M1 (C)
3.299%, 04/25/08 250 208
Argent Securities, Ser 2003-W9,
Cl M1 (C)
3.289%, 04/26/08 343 268
Asset-Backed Funding Certificates,
Ser 2005-AQ1, Cl A2 (B)
4.300%, 06/25/35 376 372
Asset-Backed Securities Home Equity
Loan Trust, Ser 2003-HE5,
Cl M1 (C)
3.871%, 04/15/08 547 464
Bear Stearns Asset-Backed
Securities, Ser 2005-HE11,
Cl A1 (E)
5.500%, 11/25/35 116 --
Bear Stearns Asset-Backed
Securities, Ser 2006-HE7,
Cl 2A2 (C)
3.295%, 04/25/08 1,300 1,059
Bear Stearns Asset-Backed
Securities, Ser 2007-HE4,
Cl 1A1 (C)
3.255%, 04/30/08 2,301 2,177
Countrywide Asset-Backed
Certificates, Ser 2006-S1,
Cl A2
5.549%, 08/25/21 1,351 1,318
Home Equity Asset Trust NIM,
Ser 2006-1N, Cl 1A (E)
6.500%, 05/27/36 68 2
- --------------------------------------------------------------------------------
32 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Home Equity Asset Trust,
Ser 2003-4, Cl M2 (C)
4.999%, 04/25/08 $ 310 $ 240
Home Equity Asset Trust,
Ser 2006-5, Cl 2A3 (C)
3.285%, 04/26/08 250 214
Home Equity Mortgage Trust,
Ser 2006-5, Cl A1 (B)
5.500%, 01/25/37 2,215 1,315
Irwin Home Equity, Ser 2007-1,
Cl 2A1 (C) (E)
3.285%, 04/17/08 4,158 3,535
Morgan Stanley Capital I,
Ser 2003-NC10, Cl M1 (C)
3.619%, 04/27/08 583 458
Morgan Stanley Dean Witter Capital I,
Ser 2003-NC1, Cl M2 (C)
6.210%, 04/27/08 103 73
New Century Home Equity Loan
Trust, Ser 2003-B, Cl M1 (C)
3.249%, 04/27/08 566 418
New Century Home Equity Loan
Trust, Ser 2005-A, Cl A2 (B)
4.461%, 04/25/08 365 361
Novastar Home Equity Loan,
Ser 2007-1, Cl A2A1 (C)
2.699%, 04/30/08 3,164 3,004
Option One Mortgage Loan Trust,
Ser 2003-5, Cl M1 (C)
3.249%, 04/23/08 164 132
Option One Mortgage Loan Trust,
Ser 2006-1, Cl M11 (C) (E)
5.099%, 04/27/08 190 8
Option One Mortgage Loan Trust,
Ser 2007-HL1, Cl 2A1 (C)
2.719%, 04/26/08 2,617 2,342
Residential Asset Securities,
Ser 2005-KS12, Cl A3 (C)
3.455%, 04/25/08 800 729
SB Finance NIM Trust,
Ser 2006-KS4N, Cl N1 (E)
7.500%, 06/25/36 72 31
Terwin Mortgage Trust,
Ser 2006-2HGS, Cl A1 (C) (E)
4.500%, 03/25/37 1,628 786
Terwin Mortgage Trust,
Ser 2006-4SL, Cl A1 (C) (E)
4.500%, 05/25/37 1,676 1,613
Terwin Mortgage Trust, Ser 2006-6,
Cl A1 (C)
4.500%, 07/25/37 823 499
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Terwin Mortgage Trust,
Ser 2006-HF1, Cl A1A (C) (E)
4.500%, 02/25/37 $ 22 $ 22
Wells Fargo Home Equity Trust,
Ser 2004-2, Cl M8A (C) (E)
6.135%, 04/28/08 201 70
--------------
23,143
--------------
OTHER ASSET-BACKED SECURITIES -- 2.1%
Aames Mortgage Investment Trust,
Ser 2005-4, Cl B2 (C)
5.349%, 04/12/08 170 18
Carrington Mortgage Loan Trust,
Ser 2007-FRE1, Cl A1 (C)
2.719%, 04/25/08 1,893 1,784
Chase Funding Mortgage Loan,
Ser 2003-6, Cl 1A3
3.340%, 05/25/26 143 142
Countrywide Asset-Backed
Certificates, Ser 2003-5,
Cl MV2 (C)
4.735%, 04/25/08 262 204
Countrywide Asset-Backed
Certificates, Ser 2005-7,
Cl MV8 (C)
4.585%, 04/27/08 250 129
Credit-Based Asset Servicing,
Ser 2005-CB2, Cl M1 (C)
3.575%, 04/25/08 102 83
Credit-Based Asset Servicing,
Ser 2007-CB4, Cl A1A (C)
2.689%, 04/27/08 2,002 1,805
Credit-Based Asset Servicing,
Ser 2007-CB4, Cl A2A (B)
5.844%, 04/01/08 2,174 2,144
FBR Securitization Trust,
Ser 2005-2, Cl M10 (C)
5.385%, 04/28/08 100 7
First Franklin Mortgage Loan Asset,
Ser 2006-FF11, Cl M1 (C)
3.385%, 04/06/08 3,500 1,422
First Franklin Mortgage Loan Asset,
Ser 2006-FF14, Cl A2 (C)
2.659%, 04/25/08 2,358 2,229
GSAMP Trust, Ser 2007-HE2,
Cl A2A (C)
3.255%, 04/20/08 2,278 2,117
Lehman XS Trust, Ser 2005-5N,
Cl M3 (C)
4.135%, 04/25/08 600 255
Lehman XS Trust, Ser 2005-5N,
Cl M4 (C)
4.349%, 04/30/08 725 145
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 33
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Lehman XS Trust, Ser 2005-7N,
Cl M51 (C)
4.385%, 04/30/08 $ 150 $ 45
Lehman XS Trust, Ser 2005-7N,
Cl M7I (C)
4.885%, 04/27/08 325 65
Lehman XS Trust, Ser 2005-9N,
Cl M4 (C)
4.535%, 04/30/08 225 96
Lehman XS Trust, Ser 2005-9N,
Cl M6 (C)
4.885%, 04/30/08 415 104
Lehman XS Trust, Ser 2006-12N,
Cl M4 (C)
3.685%, 04/25/08 270 116
Lehman XS Trust, Ser 2006-12N,
Cl M5 (C)
3.735%, 04/25/08 150 52
Lehman XS Trust, Ser 2006-2N,
Cl M5 (C)
4.285%, 04/27/08 240 90
Long Beach Mortgage Loan Trust,
Ser 2005-WL2, Cl M1 (C)
3.605%, 04/25/08 700 559
Long Beach Mortgage Loan Trust,
Ser 2006-WL1, Cl 1A3 (C)
2.929%, 04/27/08 560 434
Merrill Lynch Mortgage Investors,
Ser 2005-FF6, Cl N1 (E)
4.500%, 05/25/36 43 --
Merrill Lynch Mortgage Investors,
Ser 2007-HE2, Cl A2A (C)
2.719%, 04/30/08 2,522 2,322
Merrill Lynch Mortgage Investors,
Ser 2007-SL1, Cl A1 (C)
2.899%, 04/11/08 2,196 1,834
Morgan Stanley ABS Capital I,
Ser 2005-HE6, Cl A2C (C)
2.919%, 04/25/08 1,600 1,485
Ownit Mortgage Loan Asset-Backed
Securities Trust, Ser 2006-1,
Cl AF1 (B)
5.424%, 12/25/36 873 861
RAAC, Ser 2007-SP1, Cl A1 (C)
2.749%, 04/10/08 2,604 2,524
Residential Asset Mortgage Products,
Ser 2003-RS10, Cl AI5 (C)
4.910%, 01/25/31 52 51
Residential Asset Mortgage Products,
Ser 2006-RZ4, Cl M9 (C)
5.635%, 04/25/08 115 12
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2B (C) (E)
2.749%, 04/25/08 $ 1,000 $ 873
SLM Student Loan Trust, Ser 2006-C,
Cl C (C)
5.381%, 06/15/08 1,000 641
Saco I Trust, Ser 2005-10, Cl 2A1 (C)
3.395%, 04/30/08 2,724 2,425
Securitized Asset Backed
Receivables Trust LLC,
Ser 2005-HE1, Cl A3C (C)
2.929%, 04/25/08 400 371
Structured Asset Investment Loan,
Ser 2003-BC4, Cl M2 (C)
5.599%, 04/25/08 192 145
Structured Asset Investment Loan,
Ser 2005-4, Cl M11 (C)
5.635%, 04/25/08 250 75
Structured Asset Securities,
Ser 2007-BC1, Cl A4 (C)
2.729%, 04/25/08 1,400 1,086
Wachovia Student Loan Trust,
Ser 2006-1, Cl B (C) (E)
3.571%, 06/29/08 3,200 2,625
--------------
31,375
--------------
Total Asset-Backed Securities
(Cost $67,455) ($ Thousands) 54,518
--------------
MORTGAGE-BACKED SECURITIES -- 5.7%
AGENCY MORTGAGE-BACKED OBLIGATIONS -- 0.4%
FHLMC CMO STRIPS, Ser 232,
Cl IO, IO
5.000%, 08/01/35 6,158 1,338
FHLMC CMO STRIPS, Ser 233,
Cl 12, IO
5.000%, 09/15/35 1,022 210
FNMA ARM
5.507%, 05/01/36 894 911
FNMA CMO STRIPS, Ser 359,
Cl 6, IO
5.000%, 11/01/35 377 79
FNMA CMO STRIPS, Ser 360,
Cl 2, IO
5.000%, 08/01/35 16,128 3,504
GNMA ARM
5.625%, 08/20/34 384 386
--------------
6,428
--------------
- --------------------------------------------------------------------------------
34 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 5.3%
American Home Mortgage Assets,
Ser 2006-3, Cl M5 (C)
3.755%, 04/25/08 $ 250 $ 80
American Home Mortgage
Investment Trust, Ser 2005-1,
Cl 6A (C)
5.294%, 04/25/08 3,851 2,988
American Home Mortgage
Investment Trust, Ser 2005-4,
Cl 5A (C)
5.350%, 04/25/08 2,051 1,742
American Home Mortgage
Investment Trust, Ser 2006-1,
Cl 2A3 (C)
5.100%, 04/25/08 1,219 1,024
Banc of America Commercial
Mortgage, Ser 2005-6, Cl AM (C)
5.182%, 09/10/47 1,619 1,545
Banc of America Commercial
Mortgage, Ser 2006-3, Cl A4 (C)
5.889%, 07/10/44 1,854 1,880
Banc of America Commercial
Mortgage, Ser 2007-3, Cl A4 (C)
5.838%, 06/10/49 5,050 4,985
Bank of America Commercial
Mortgage, Ser 2005-5, Cl AM (C)
5.176%, 10/10/45 1,762 1,682
Bank of America Commercial
Mortgage, Ser 2006-2, Cl A4 (C)
5.740%, 04/01/08 1,911 1,931
Countrywide Alternative Loan Trust,
Ser 2004-33, Cl 1A1 (C)
6.742%, 04/01/08 299 275
Countrywide Alternative Loan Trust,
Ser 2005-69, Cl M3 (C)
4.285%, 04/27/08 235 87
Countrywide Alternative Loan Trust,
Ser 2005-IM1, Cl M3 (C)
5.135%, 04/27/08 375 56
Countrywide Alternative Loan Trust,
Ser 2006-OA11, Cl M3 (C)
3.565%, 04/30/08 500 189
Countrywide Alternative Loan Trust,
Ser 2006-OA16, Cl M5 (C)
3.685%, 04/25/08 225 23
Countrywide Home Loans,
Ser 2004-22, Cl A1 (C)
5.094%, 04/01/08 394 372
Countrywide Home Loans,
Ser 2006-OA4, Cl M4 (C)
3.955%, 04/27/08 285 114
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Home Loans,
Ser 2006-OA4, Cl M5 (C)
4.005%, 04/27/08 $ 195 $ 68
Countrywide Home Loans,
Ser 2006-OA5, Cl 1M4 (C)
4.185%, 04/27/08 275 28
Countrywide Home Loans,
Ser 2007-HYB1, Cl 1A1 (C)
5.564%, 04/01/08 1,636 1,544
Credit Suisse Mortgage Capital
Certificates, Ser 2006-C3,
Cl A3 (C)
6.021%, 06/15/38 2,381 2,416
DSLA Mortgage Loan Trust,
Ser 2004-AR4, Cl B1 (C)
3.159%, 04/19/08 268 248
First Horizon Alternative Mortgage
Trust, Ser 2006-AA6, Cl 2A1 (C)
5.634%, 04/01/08 3,155 2,393
First Horizon Mortgage Pass-
Through, Ser 2006-AR3,
Cl 1A1 (C)
5.672%, 04/01/08 672 641
GS Mortgage Securities,
Ser 2006-GG6, Cl AM (C)
5.622%, 04/10/38 3,800 3,527
Greenwich Capital Commercial
Funding, Ser 2006-GG7,
Cl AM (C)
5.911%, 04/01/08 2,100 1,985
Impac CMB Trust, Ser 2004-10,
Cl 4M1 (C)
3.735%, 04/25/08 276 191
Impac Secured Assets CMO Owners
Trust, Ser 2007-1, Cl A1 (C)
3.195%, 04/25/08 5,130 4,411
Impac Secured Assets CMO Owners
Trust, Ser 2007-2, Cl 1A1A (C)
2.709%, 04/29/08 3,112 2,714
Indymac Index Mortgage Loan Trust,
Ser 2006-AR12, Cl M2 (C)
3.685%, 04/25/08 235 199
Indymac Index Mortgage Loan Trust,
Ser 2006-AR2, Cl M6 (C)
4.885%, 04/25/08 240 72
Indymac Index Mortgage Loan Trust,
Ser 2006-AR4, Cl M4 (C)
3.835%, 04/25/08 165 58
JPMorgan Chase Commercial
Mortgage, Ser 2006-LDP9, Cl A3
5.336%, 05/15/47 1,155 1,120
JPMorgan Chase Commercial
Mortgage, Ser 2007-C1, Cl A4
5.716%, 11/15/17 7,000 6,858
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 35
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
JPMorgan Chase Commercial
Mortgage, Ser 2007-CB18, Cl A4
5.440%, 04/01/08 $ 5,050 $ 4,904
Merrill Lynch Mortgage Investors,
Ser 2005-A4, Cl 1A (C)
5.765%, 04/01/08 437 428
Merrill Lynch Mortgage Investors,
Ser 2006-1, Cl 1A (C)
5.300%, 04/01/08 1,588 1,536
Merrill Lynch Mortgage Trust,
Ser 2005-CKI1, Cl A6 (C)
5.417%, 11/12/37 2,316 2,314
Merrill Lynch/Countrywide
Commercial Mortgage,
Ser 2006-4, Cl A3 (C)
5.172%, 12/12/49 5,667 5,454
Morgan Stanley Mortgage Loan Trust,
Ser 2007-14AR, Cl 6A1 (C)
6.487%, 11/25/37 1,816 1,271
Nomura Asset Acceptance,
Ser 2007-1, Cl 1A1A (B)
5.995%, 04/09/08 2,021 1,950
Residential Accredit Loans,
Ser 2006-Q01, Cl 2A3 (C)
2.999%, 04/27/08 315 156
Residential Accredit Loans,
Ser 2006-Q06, Cl M5 (C)
3.635%, 04/29/08 350 49
Residential Accredit Loans,
Ser 2006-QO3, Cl M4 (C)
3.855%, 04/25/08 250 32
Residential Accredit Loans,
Ser 2006-QO3, Cl M5 (C)
3.915%, 04/25/08 250 23
Residential Asset Securitization Trust,
Ser 2004-IP2, Cl 3A1 (C)
5.247%, 04/25/08 1,220 1,232
Structured Adjustable Rate Mortgage
Loan, Ser 2005-16XS, Cl M2 (C)
3.499%, 04/25/08 505 167
Structured Adjustable Rate Mortgage
Loan, Ser 2007-9, Cl 2A1 (C)
5.996%, 04/01/08 1,886 1,741
Structured Asset Mortgage
Investments, Ser 2006-AR1,
Cl B4 (C)
4.085%, 04/27/08 191 50
Structured Asset Mortgage
Investments, Ser 2006-AR1,
Cl B5 (C)
4.185%, 04/27/08 121 22
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Structured Asset Securities,
Ser 2006-NC1, Cl A4 (C)
2.749%, 04/25/08 $ 300 $ 251
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2007-HY2, Cl 1A1 (C)
5.776%, 04/25/37 1,073 768
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2007-HY4, Cl 1A1 (C)
5.551%, 04/01/08 4,363 4,115
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2007-HY6, Cl 1A1 (C)
5.707%, 06/25/37 3,558 3,362
--------------
77,271
--------------
Total Mortgage-Backed Securities
(Cost $93,668) ($ Thousands) 83,699
--------------
U.S. GOVERNMENT AGENCY
MORTGAGE-BACKED OBLIGATIONS -- 5.4%
FHLMC TBA
6.000%, 04/01/16 2,000 2,057
FNMA TBA
6.500%, 04/30/37 6,000 6,214
6.000%, 04/30/20 37,000 38,075
5.500%, 04/30/22-05/01/32 32,000 32,733
--------------
Total U.S. Government Agency
Mortgage-Backed Obligations
(Cost $78,390) ($ Thousands) 79,079
--------------
U.S. GOVERNMENT AGENCY OBLIGATIONS (F) -- 1.0%
FHLMC
2.215%, 06/27/08 1,700 1,691
2.094%, 07/11/08 300 298
FNMA (F)
4.392%, 04/16/08 1,025 1,024
4.281%, 05/09/08 1,021 1,019
2.950%, 05/07/08 8,379 8,364
2.409%, 06/27/08 1,100 1,095
2.360%, 06/23/08 1,500 1,493
2.100%, 09/24/08 150 149
--------------
Total U.S. Government Agency Obligations
(Cost $15,107) ($ Thousands) 15,133
--------------
- --------------------------------------------------------------------------------
36 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares/Contracts ($ Thousands)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS -- 0.1%
FINANCIALS -- 0.1%
Discover Financial Services (E)
6.450%, 06/12/17 $ 115 $ 99
Shinsei Finance Cayman (C) (E)
6.418%, 01/29/49 400 265
Washington Mutual Preferred
Funding (C) (E)
6.534%, 03/29/49 400 211
--------------
Total Corporate Obligations
(Cost $914) ($ Thousands) 575
--------------
CASH EQUIVALENT**++ -- 7.9%
SEI Daily Income Trust,
Prime Obligation Fund, Cl A,
3.190% 116,068,075 116,068
--------------
Total Cash Equivalent
(Cost $116,068) ($ Thousands) 116,068
--------------
U.S. TREASURY OBLIGATIONS -- 0.5%
U.S. Treasury Bills (A) (F)
3.055%, 06/05/08 820 818
2.167%, 05/22/08 3,609 3,603
U.S. Treasury Bond TIPS
2.375%, 04/15/11 2,822 3,031
--------------
Total U.S. Treasury Obligations
(Cost $7,228) ($ Thousands) 7,452
--------------
PURCHASED OPTIONS -- 0.0%
June 2008 U.S. Ten Year Treasury Call,
Expires 06/16/08
Strike Price: $95.00* 43 294
--------------
Total Purchased Options
(Cost $18) ($ Thousands) 294
--------------
Total Investments -- 119.9%
(Cost $1,814,465) ($ Thousands) $ 1,757,139
==============
COMMON STOCK SOLD SHORT -- (14.8)%
CONSUMER DISCRETIONARY -- (3.3)%
Advance Auto Parts (8,095) (276)
Amazon.com* (12,000) (856)
Apollo Group, Cl A* (24,545) (1,060)
Career Education* (14,218) (181)
Centex (85,353) (2,066)
Central European Media
Entertainment, Cl A* (39,310) (3,350)
Circuit City Stores (216,916) (863)
Clear Channel Outdoor Holdings,
Cl A* (5,400) (103)
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Coldwater Creek* (56,558) $ (286)
CTC Media* (36,877) (1,023)
Dick's Sporting Goods* (38,500) (1,031)
Dish Network, Cl A* (28,400) (816)
DR Horton (129,819) (2,045)
Dreamworks Animation SKG, Cl A* (87,142) (2,246)
E.W. Scripps, Cl A (2,410) (101)
Eastman Kodak (16,000) (283)
Fortune Brands (6,025) (419)
Gentex (115,742) (1,985)
Getty Images* (23,226) (743)
Harte-Hanks (18,708) (256)
Hearst-Argyle Television (6,163) (127)
International Game Technology (1,900) (76)
International Speedway, Cl A (17,256) (711)
Interpublic Group (197,700) (1,663)
J.C. Penney (10,266) (387)
Lamar Advertising, Cl A* (35,000) (1,257)
Las Vegas Sands* (38,100) (2,806)
Lennar, Cl A (133,245) (2,506)
Liberty Media Interactive, Cl A* (8,600) (139)
Marriott International, Class A (2,900) (100)
MDC Holdings (34,643) (1,517)
MGM Mirage (51,100) (3,003)
News, Cl A (26,500) (497)
O'Reilly Automotive* (43,100) (1,229)
Orient Express Hotels, Cl A (18,200) (785)
Petsmart (11,601) (237)
Priceline.com* (8,100) (979)
Pulte Homes (182,445) (2,655)
Quiksilver* (97,200) (954)
R.H. Donnelley (22,133) (112)
Ryland Group (50,202) (1,651)
Saks (62,700) (782)
Sally Beauty Holdings (94,000) (649)
Scientific Games, Cl A* (66,700) (1,408)
Tiffany (31,615) (1,323)
Weight Watchers International (5,774) (267)
--------------
(47,809)
--------------
CONSUMER STAPLES -- (0.1)%
Church & Dwight (5,355) (290)
Hansen Natural* (9,902) (350)
Herbalife (5,584) (265)
Hershey Foods (8,862) (334)
JM Smucker (4,174) (211)
WM Wrigley Jr. (1,727) (109)
--------------
(1,559)
--------------
ENERGY -- (1.8)%
Arch Coal (15,100) (657)
Baker Hughes (2,900) (199)
BJ Services (33,900) (966)
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 37
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Cabot Oil And Gas, Cl A (34,000) $ (1,729)
Cameco (57,300) (1,887)
Continental Resources* (28,500) (909)
Diamond Offshore Drilling (7,600) (885)
Enbridge (46,200) (1,902)
Forest Oil* (14,500) (710)
Foundation Coal Holdings (2,500) (126)
Newfield Exploration* (9,122) (482)
Peabody Energy (63,300) (3,228)
Quicksilver Resources* (34,400) (1,257)
Range Resources (54,300) (3,445)
Teekay Shipping (46,176) (1,961)
Tetra Technologies* (52,600) (833)
TransCanada (55,100) (2,123)
Transocean (3,900) (527)
Unit* (36,858) (2,088)
--------------
(25,914)
--------------
FINANCIALS -- (2.1)%
Allied World Assurance Holdings (746) (30)
AMB Property+ (3,400) (185)
Arthur J. Gallagher (6,400) (151)
Assured Guaranty (54,700) (1,299)
AvalonBay Communities+ (11,400) (1,100)
Bancorpsouth (2,600) (60)
Brandywine Realty Trust (47,062) (798)
Camden Property Trust+ (9,800) (492)
Capital Source (76,074) (736)
Capitol Federal Financial (44,500) (1,668)
Commerce Bancshares (2,000) (84)
Conseco* (101,200) (1,032)
Equity Residential+ (7,000) (290)
Fannie Mae (75,336) (1,983)
Federal Realty Investment Trust (4,900) (382)
Fidelity National Financial, Cl A (174,370) (3,196)
First American (62,942) (2,136)
Forestar Real Estate Group (7,266) (181)
Freddie Mac (92,334) (2,338)
Leucadia National (65,424) (2,958)
Markel* (900) (396)
Marsh & McLennan (5,900) (144)
Merrill Lynch (17,654) (719)
Morgan Stanley (12,105) (553)
MSCI* (2,973) (89)
Plum Creek Timber+ (10,500) (427)
PMI Group (95,607) (557)
Progressive (20,000) (321)
Rayonier+ (3,100) (135)
SL Green Realty+ (7,400) (603)
SLM (107,700) (1,653)
T. Rowe Price Group (12,400) (620)
Unitrin (7,300) (258)
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Valley National Bancorp (57,925) $ (1,113)
Ventas (26,500) (1,190)
Washington Mutual (25,148) (259)
White Mountains Insurance Group (900) (432)
--------------
(30,568)
--------------
HEALTH CARE -- (2.2)%
Advanced Medical Optics (10,800) (219)
Allergan (17,300) (976)
Biomarin Pharmaceutical* (46,400) (1,641)
Brookdale Senior Living (18,973) (454)
Cephalon* (7,422) (478)
Community Health Care Systems* (37,400) (1,256)
Cooper (89,339) (3,076)
DaVita* (22,400) (1,070)
Henry Schein* (19,900) (1,142)
ImClone Systems* (28,500) (1,209)
LifePoint Hospitals* (76,719) (2,107)
McKesson (17,900) (937)
Millipore (8,100) (546)
Mylan (345,935) (4,013)
Omnicare (56,706) (1,030)
Patterson* (8,000) (290)
PDL BioPharma* (31,983) (339)
Pharmaceutical Product Development (3,900) (163)
Resmed* (73,400) (3,096)
Schering Plough (31,200) (450)
Tenet Healthcare* (373,500) (2,114)
Varian Medical Systems* (13,900) (651)
VCA Antech* (41,100) (1,124)
Vertex Pharmaceuticals* (103,400) (2,470)
Waters* (351) (20)
WellCare Health Plans* (50,716) (1,975)
--------------
(32,846)
--------------
INDUSTRIALS -- (1.6)%
Aircastle (71,272) (802)
AMR* (116,900) (1,054)
BE Aerospace* (5,300) (185)
Continental Airlines, Cl B* (71,200) (1,369)
Copa Holdings, Cl A (76,905) (2,931)
Copart* (11,794) (457)
Corporate Executive Board (18,003) (729)
Corrections Corporation of America* (10,700) (294)
Covanta Holding* (55,600) (1,529)
Delta Airlines* (107,100) (921)
DRS Technologies (3,520) (205)
Dun & Bradstreet (2,518) (205)
Expeditors International Washington (13,900) (628)
General Cable (15,100) (892)
Goodrich (396) (23)
Graco (888) (32)
IHS, Cl A* (22,800) (1,466)
- --------------------------------------------------------------------------------
38 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Joy Global (26,600) $ (1,733)
KB Home (42,190) (1,043)
Kennametal (10,000) (294)
MSC Industrial Direct, Cl A (18,036) (762)
Oshkosh Truck (8,060) (293)
Pall (14,900) (523)
Pitney Bowes (45,685) (1,600)
Quanta Services* (61,100) (1,416)
Republic Services (4,439) (130)
Stericycle* (1,420) (73)
Sunpower, Cl A* (16,400) (1,222)
Textron (2,900) (161)
Toro (2,827) (117)
URS* (11,000) (360)
UTI Worldwide (41,000) (823)
--------------
(24,272)
--------------
INFORMATION TECHNOLOGY -- (2.4)%
Acxiom (7,763) (92)
Advanced Micro Devices* (1,331) (8)
Altera (20,903) (385)
Amphenol, Cl A (34,900) (1,300)
Applied Materials (50,600) (987)
Autodesk (37,200) (1,171)
AVX (6,400) (82)
Ciena* (29,200) (900)
Cypress Semiconductor* (137,900) (3,256)
Diebold (24,045) (903)
Dst Systems* (11,600) (763)
Electronic Arts* (39,500) (1,972)
Equinix* (21,600) (1,436)
F5 Networks* (25,191) (458)
Factset Research Systems (1,640) (88)
Fair Isaac (46,851) (1,008)
Fidelity National Information Services (31,035) (1,184)
Integrated Device Technology* (143) (1)
International Rectifier* (2,300) (49)
Iron Mountain* (33,800) (894)
Kla-Tencor (24,900) (924)
Linear Technology (82,049) (2,518)
Marvel Technology* (20,595) (224)
Microchip Technology (40,547) (1,327)
Micron Technology (158,900) (949)
Motorola (23,600) (219)
Novell* (31,700) (199)
Novellus Systems (44,800) (943)
Paychex (53,679) (1,839)
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Rambus* (70,500) $ (1,643)
Red Hat* (35,010) (644)
Riverbed Technology* (39,135) (582)
Salesforce.com* (34,800) (2,014)
SanDisk* (10,234) (231)
Tellabs* (26,400) (144)
Trimble Navigation* (44,400) (1,269)
VeriFone Holdings* (28,508) (453)
VeriSign* (5,200) (173)
Zebra Technology, Cl A* (53,211) (1,773)
--------------
(35,005)
--------------
MATERIALS -- (0.8)%
Allegheny Technologies (7,800) (557)
Bemis (84,212) (2,142)
Cleveland-Cliffs (553) (66)
Eagle Materials (40,616) (1,444)
Ivanhoe Mines* (155,100) (1,601)
Louisiana-Pacific (231,000) (2,121)
Potash of Saskatchewan (8,800) (1,366)
Sealed Air (3,000) (76)
Silver Standard Resources* (31,800) (964)
Titanium Metals (19,000) (286)
Weyerhaeuser (14,700) (956)
--------------
(11,579)
--------------
TELECOMMUNICATION SERVICES -- (0.3)%
Citizens Communications (45,098) (473)
MetroPCS Communications* (42,400) (721)
NeuStar, Cl A* (4,700) (124)
NII Holdings, Cl B* (35,900) (1,141)
Sprint Nextel (18,656) (125)
Windstream (176,141) (2,105)
--------------
(4,689)
--------------
UTILITIES -- (0.2)%
Allegheny Energy (4,000) (202)
Entergy (1,503) (164)
Equitable Resources (19,300) (1,137)
Mirant* (9,700) (353)
PPL (9,653) (443)
Wisconsin Energy (16,100) (707)
--------------
(3,006)
--------------
Total Common Stock Sold Short
(Proceeds $(241,393)) ($ Thousands) (217,247)
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 39
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Continued)
March 31, 2008
A summary of the open futures contracts held by the Fund at March 31, 2008, 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$ 55 Mar-2009 $ 21
90-Day Euro$ (20) Mar-2010 (92)
90-Day Euro$ (18) Mar-2011 (53)
90-Day Euro$ (9) Mar-2012 (15)
90-Day Euro$ 75 Jun-2008 497
90-Day Euro$ 116 Jun-2009 402
90-Day Euro$ (119) Jun-2010 (516)
90-Day Euro$ (5) Jun-2011 (8)
90-Day Euro$ (4) Jun-2012 (4)
90-Day Euro$ 55 Sep-2008 185
90-Day Euro$ 110 Sep-2009 305
90-Day Euro$ (3) Sep-2011 (4)
90-Day Euro$ (4) Sep-2012 (4)
90-Day Euro$ (6) Dec-2008 (14)
90-Day Euro$ 4 Dec-2009 (2)
90-Day Euro$ (9) Dec-2011 (16)
10-Year Swap (179) Jun-2008 (713)
S&P 500 Composite Index 66 Jun-2008 4,893
U.S. 2-Year Note 241 Jun-2008 315
U.S. 5-Year Note 155 Jun-2008 306
U.S. 10-Year Note (197) Jun-2008 (754)
U.S. Long Treasury Bond (24) Jun-2008 (89)
-------------
$ 4,640
=============
A summary of outstanding swap agreements held by the Fund at March 31, 2008, is
as follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
TOTAL RETURN SWAPS
- --------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Fund receives payment on
monthly reset spread from
Bank of America--CMBS AAA 10
YR Index minus 145 basis
points times the notional
amount. Fund receives
payment if the return on the
spread appreciates over the
payment period and pays if
the return on the spread
depreciates over the payment
period. (Counterparty:
JPMorgan Chase) 04/01/08 $ 5,000 $ 114
Fund receives payment on
monthly reset spread from
Bank of America--CMBS AAA 10
YR Index minus 65 basis
points times the notional
amount. Fund receives
payment if the return on the
spread appreciates over the
payment period and pays if
the return on the spread
depreciates over the payment
period. (Counterparty:
Wachovia) 08/01/08 15,000 341
Fund receives payment on
monthly reset spread from
Bank of America--CMBS AAA 10
YR Index minus 35 basis
points times the notional
amount. Fund receives
payment if the return on the
spread appreciates over the
payment period and pays if
the return on the spread
depreciates over the payment
period. (Counterparty: Bank
of America) 08/01/08 20,000 456
Fund receives payment on
monthly reset spread from
Bank of America--CMBS AAA 10
YR Index plus zero basis
points times the notional
amount. Fund receives
payment if the return on the
spread appreciates over the
payment period and pays if
the return on the spread
depreciates over the payment
period. (Counterparty: Bank
of America) 10/01/08 5,000 --
Fund receives payment on
monthly reset spread from
Bank of America--CMBS AAA 10
YR Index plus 50 basis
points times the notional
amount. Fund receives
payment if the return on the
spread appreciates over the
payment period and pays if
the return on the spread
depreciates over the payment
period. (Counterparty: Bank
of America) 06/01/08 4,000 91
Fund receives payment on
monthly reset spread from
Bank of America--CMBS IG 10
YR Index plus 35 basis
points times the notional
amount. Fund receives
payment if the return on the
spread appreciates over the
payment period and pays if
the return on the spread
depreciates over the payment
period. (Counterparty: Bank
of America) 05/01/08 12,000 167
- --------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Fund receives payment on
monthly reset spread from
Bank of America--CMBS AAA 10
YR Index plus 40 basis
points times the notional
amount. Fund receives
payment if the return on the
spread appreciates over the
payment period and pays if
the return on the spread
depreciates over the payment
period. (Counterparty: Bank
of America) 04/30/08 $ 18,000 $ 410
Fund pays 3-Month LIBOR less 11
basis points and receives
spread on the S&P 500 Total
Return Index times the
notional amount. Fund
receives payment if the
return on the spread
appreciates over the payment
period and pays if the
return on the spread
depreciates over the payment
period. (Counterparty:
Merrill Lynch) 12/25/08 24,465,980 (138)
-------------
$ 1,441
=============
- --------------------------------------------------------------------------------
CREDIT DEFAULT SWAPS
- --------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Fund pays monthly payment of
0.052% (0.624% per annum)
times the notional amount of
the CMBX NA-A 3 Index. Upon
a defined credit event, Fund
receives the notional amount
and delivers the defined
deliverable obligation.
(Counterparty: Goldman Sachs) 12/25/49 $ 1,000 $ 164
Fund pays quarterly payment of
0.2375% (0.95% per annum)
times notional amount of
Lowe's Inc., 8.25%,
06/01/2010. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
Bank of America) 03/20/13 1,000 3
Fund pays quarterly payment of
0.1475% (0.59% per annum)
times notional amount of
Safeway Inc., 5.80%,
08/15/2012. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
Bank of America) 03/20/13 1,250 2
Fund pays quarterly payment of
0.068% (0.272% per annum)
times notional amount of
Southwest Airlines Co.,
6.50%, 03/01/2012. Upon a
defined credit event, Fund
will receive the notional
amount and deliver the
defined obligation.
(Counterparty: Merrill Lynch) 12/20/11 750 59
Fund pays quarterly payment of
0.113% (0.452% per annum)
times notional amount of
Lubrizol Corp., 7.25%,
06/15/2035. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
Merrill Lynch) 12/20/11 750 11
Fund pays quarterly payment of
0.173% (0.692% per annum)
times notional amount of
Donnelley (R.R.) & Sons,
4.95%, 04/01/2014. Upon a
defined credit event, Fund
will receive the notional
amount and deliver the
defined obligation.
(Counterparty: Merrill Lynch) 12/20/11 750 27
Fund pays quarterly payment of
0.05% (0.20% per annum)
times notional amount of PPG
Industries Inc., 7.05%,
08/15/2009. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
JPMorgan Chase) 12/20/11 750 15
Fund pays quarterly payment of
0.113% (0.452% per annum)
times notional amount of
Lubrizol Corp., 7.25%,
06/15/2025. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
Merrill Lynch) 12/20/11 750 11
Fund pays quarterly payment of
0.11% (0.44% per annum)
times notional amount of
Autozone Inc., 5.875%,
10/15/2012. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
Bank of America) 12/20/11 750 14
Fund pays quarterly payment of
0.119% (0.476% per annum)
times notional amount of
MeadWestavaco Corp., 6.85%,
04/01/2012. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
Bank of America) 12/20/11 750 28
Fund pays quarterly payment of
0.115% (0.46% per annum)
times notional amount of
Autozone Inc., 5.875%,
10/15/2012. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
JPMorgan Chase) 12/20/11 750 13
- --------------------------------------------------------------------------------
40 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Fund pays quarterly payment of
0.295% (1.18% per annum)
times notional amount of Gap
Inc., 8.80%, 12/15/2008.
Upon a defined credit event,
Fund will receive the
notional amount and deliver
the defined obligation.
(Counterparty: JPMorgan
Chase) 12/20/11 $ 750 $ 18
Fund pays quarterly payment of
0.138% (0.552% per annum)
times notional amount of
Black & Decker Corp.,
7.125%, 06/01/2011. Upon a
defined credit event, Fund
will receive the notional
amount and deliver the
defined obligation.
(Counterparty: Bank of
America) 12/20/11 750 20
Fund pays quarterly payment of
0.048% (0.192% per annum)
times notional amount of TJX
Companies Inc., 7.45%,
12/15/2009. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
Bank of America) 12/20/11 750 10
Fund pays quarterly payment of
0.055% (0.22% per annum)
times notional amount of
Nucor Corp., 4.875%,
10/01/2012. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
Bank of America) 12/20/11 750 15
Fund pays quarterly payment of
0.033% (0.132% per annum)
times notional amount of
Lowes Companies Inc., 8.25%,
06/01/2010. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
Merrill Lynch) 12/20/11 750 18
Fund pays quarterly payment of
0.295% (1.18% per annum)
times notional amount of Gap
Inc., 8.80%, 12/15/2008.
Upon a defined credit event,
Fund will receive the
notional amount and deliver
the defined obligation.
(Counterparty: Bank of
America) 12/20/11 750 16
Fund pays quarterly payment of
0.193% (0.772% per annum)
times notional amount of
Jones Apparel Group, 5.125%,
11/15/2014. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
JPMorgan Chase) 12/20/11 750 62
Fund pays quarterly payment of
0.035% (0.14% per annum)
times notional amount of
Pitney Bowes Inc., 4.625%,
10/01/2012. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
Bank of America) 12/20/11 1,500 24
Fund pays quarterly payment of
0.111% (0.444% per annum)
times notional amount of
Darden Restaurants Inc,
7.125%, 02/01/2016. Upon a
defined credit event, Fund
will receive the notional
amount and deliver the
defined obligation.
(Counterparty: Bank of
America) 12/20/11 750 29
Fund pays quarterly payment of
0.119% (0.476% per annum)
times notional amount of The
Limited Inc., 6.125%,
12/01/2012. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
Bank of America) 12/20/11 750 72
Fund pays quarterly payment of
0.138% (0.552% per annum)
times notional amount of
Black & Decker Corp.,
7.125%, 06/01/2011. Upon a
defined credit event, Fund
will receive the notional
amount and deliver the
defined obligation.
(Counterparty: JPMorgan
Chase) 12/20/11 750 34
Fund pays quarterly payment of
0.225% (0.90% per annum)
times notional amount of MDC
Holdings Inc., 5.50%,
05/15/2013. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
Merrill Lynch) 12/20/11 750 21
Fund pays quarterly payment of
0.098% (0.392% per annum)
times notional amount of
Hasbro Inc., 2.75%,
12/01/2021. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
JPMorgan Chase) 12/2011 750 21
Fund pays quarterly payment of
0.085% (0.340% per annum)
times notional amount of
Whirlpool Corp., 7.75%,
07/15/2016. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
JPMorgan Chase) 12/20/11 750 28
Fund pays quarterly payment of
0.113% (0.452% per annum)
times notional amount of
Weyerhaeuser Co., 6.75%,
03/15/2012. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
Bank of America) 12/20/11 350 14
- --------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Fund pays quarterly payment of
0.055% (0.22% per annum)
times notional amount of
Nucor Corp., 4.875%,
10/01/2012. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
JPMorgan Chase) 12/20/11 $ 750 $ 7
Fund pays quarterly payment of
0.068% (0.272% per annum)
times notional amount of
Southwest Airlines Co.,
6.50%, 03/01/2012. Upon a
defined credit event, Fund
will receive the notional
amount and deliver the
defined obligation.
(Counterparty: JPMorgan
Chase) 12/20/11 750 59
Fund pays quarterly payment of
0.098% (0.392% per annum)
times notional amount of
Radian Group Inc., 7.75%,
06/01/2011. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
JPMorgan Chase) 12/20/13 750 215
Fund pays quarterly payment of
0.093% (0.372% per annum)
times notional amount of
Johnson Controls Inc.,
7.125%, 07/15/2017. Upon a
defined credit event, Fund
will receive the notional
amount and deliver the
defined obligation.
(Counterparty: Bank of
America) 12/20/13 750 23
Fund pays quarterly payment of
0.088% (0.352% per annum)
times notional amount of
MGIC Investment Corp.,
6.00%, 03/15/2007. Upon a
defined credit event, Fund
will receive the notional
amount and deliver the
defined obligation.
(Counterparty: Bank of
America) 12/20/13 750 154
Fund pays quarterly payment of
0.088% (0.352% per annum)
times notional amount of PMI
Group Inc., 6.00%,
09/15/2016. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
JPMorgan Chase) 12/20/13 750 166
Fund pays quarterly payment of
0.098% (0.392% per annum)
times notional amount of
Johnson Controls Inc.,
7.125%, 07/15/2017. Upon a
defined credit event, Fund
will receive the notional
amount and deliver the
defined obligation.
(Counterparty: Bank of
America) 12/20/13 750 10
Fund pays quarterly payment of
0.088% (0.352% per annum)
times notional amount of
Alcan Inc., 4.875%,
09/15/2012. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
Bank of America) 12/20/13 750 11
Fund pays quarterly payment of
0.098% (0.392% per annum)
times notional amount of
Radian Group Inc., 7.75%,
06/01/2011. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
Bank of America) 12/2013 750 237
Fund pays quarterly payment of
0.088% (0.352% per annum)
times notional amount of PMI
Group Inc., 6.00%,
09/15/2016. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
Bank of America) 12/20/13 750 165
Fund pays quarterly payment of
0.088% (0.352% per annum)
times notional amount of
MGIC Investment Corp.,
6.00%, 03/15/2007. Upon a
defined credit event, Fund
will receive he notional
amount and deliver the
defined obligation.
(Counterparty: JPMorgan
Chase) 12/20/13 750 143
Fund pays quarterly payment of
0.07% (0.28% per annum)
times notional amount of
Nordstrom Inc., 6.95%,
03/15/2028. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
JPMorgan Chase) 12/20/13 750 19
Fund pays quarterly payment of
0.063% (0.252% per annum)
times notional amount of Dow
Chemical Inc., 6.00%,
10/01/2012. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
Merrill Lynch) 12/20/13 750 24
Fund pays quarterly payment of
0.183% (0.732% per annum)
times notional amount of
Masco Corp., 5.875%,
07/15/2012. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
Bank of America) 12/20/13 750 52
Fund pays quarterly payment of
0.065% (0.26% per annum)
times notional amount of Dow
Chemical Inc., 6.00%,
10/01/2012. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
JPMorgan Chase) 12/20/13 750 13
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 41
SCHEDULE OF INVESTMENTS (Unaudited)
Large Cap Diversified Alpha Fund (Concluded)
March 31, 2008
- --------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Fund pays quarterly payment
of 0.07% (0.28% per annum)
times notional amount of
Nordstrom Inc., 6.95%,
03/15/2028. Upon a defined
credit event, Fund will
receive the notional
amount and deliver the
defined obligation.
(Counterparty: Merrill Lynch) 12/20/13 $ 750 $ 19
Fund pays quarterly payment
of 0.054% (0.216% per annum)
times notional amount of
Carnival Corp., 6.65%,
1/15/2028. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
JPMorgan Chase) 06/20/12 650 25
Fund pays quarterly payment
of 0.05% (0.20% per annum)
times notional amount of
Campbell Soup Co., 4.875,
10/01/2013. Upon a defined
credit event, Fund will
receive the notional
amount and deliver the
defined obligation.
(Counterparty: Bank of
America) 06/20/14 1,150 14
Fund pays quarterly payment
of 0.08% (0.32% per annum)
times notional amount of
Washington Mutual Co.,
5.25%, 09/15/2017. Upon a
defined credit event, Fund
will receive the notional
amount and deliver the
defined obligation.
(Counterparty: JPMorgan
Chase) 03/20/12 700 113
Fund pays quarterly payment
of 0.113% (0.452% per
annum) times notional
amount of Weyerhaeuser
Co., 6.75%, 03/15/2012.
Upon a defined credit
event, Fund will receive
the notional amount and
deliver the defined
obligation. (Counterparty:
Merrill Lynch) 03/20/12 750 34
Fund pays quarterly payment
of 0.08% (0.32% per annum)
times notional amount of
Alcan Inc., 4.875%,
9/15/2012. Upon a defined
credit event, Fund will
receive the notional
amount and deliver the
defined obligation.
(Counterparty: Bank of
America) 03/20/14 650 11
Fund pays quarterly payment
of 0.165 (0.66% per annum)
times notional amount of
BorgWarner Inc., 6.5%
02/15/2009. Upon a defined
credit event, Fund will
receive the notional
amount and deliver the
defined obligation.
(Counterparty: Goldman
Sachs) 03/20/13 1,250 13
Fund pays quarterly payment
of 0.20% (0.80% per annum)
times notional amount of
BorgWarner Inc., 6.50%,
03/20/2013. Upon a defined
credit event, Fund will
receive the notional
amount and deliver the
defined obligation.
(Counterparty: Goldman Sachs) 03/20/13 1,000 4
Fund pays quarterly payment
of 0.275% (1.10% per
annum) times notional
amount of Century
Telephone, 6.00%,
04/01/2017. Upon a defined
credit event, Fund
receives the notional
amount and delivers
receipt of the defined
deliverable obligation.
(Counterparty: Goldman Sachs) 03/20/13 1,250 24
Fund pays quarterly payment
of 0.16 (0.64% per annum)
times notional amount of
Safeway Inc., 5.80%
08/15/2012. Upon a defined
credit event, Fund will
receive the notional
amount and deliver the
defined obligation.
(Counterparty: JPMorgan Chase) 03/20/13 1,250 (1)
Fund pays quarterly payment
of 0.16% (0.64% per annum)
times notional amount of
Kroger Co., 5.5%,
02/01/2013. Upon a defined
credit event, Fund will
receive the notional
amount and deliver the
defined obligation.
(Counterparty: Merrill Lynch) 03/20/13 1,500 (1)
Fund pays quarterly payment
of 0.15% (0.60% per annum)
times notional amount of
the CDX.NA.IG9 Index. Upon
a defined credit event,
Fund receives the notional
amount and delivers the
defined deliverable
obligation. (Counterparty:
Goldman Sachs) 12/20/12 5,000 (15)
Fund pays quarterly payment
of 0.113% (0.452% per
annum) times notional
amount of the ITRAXX
Europe Senior Financials 5
YR Series 8. Upon a
defined credit event, Fund
receives the notional
amount and delivers the
defined deliverable
obligation. (Counterparty:
Bank of America) 12/20/12 1,750 57
- --------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Fund pays quarterly payment
of 0.113% (0.452% per
annum) times notional
amount of the
CDX.TES-F5-8T0 Index. Upon
a defined credit event,
Fund receives the notional
amount and delivers the
defined deliverable
obligation. (Counterparty:
Bank of America) 12/20/12 $ 2,750 $ 87
Fund receives monthly
payment of 0.008% (0.096%
per annum) times the
notional amount of the
CMBX NA-AAA 1 Index. Upon
a defined credit event,
Fund pays the notional
amount and takes receipt
of the defined deliverable
obligation. (Counterparty:
Barclays) 10/12/52 (10,000) 479
Fund pays monthly payment of
0.02083% (0.25% per annum)
times notional amount of
the CMBX-NA-A 2 Upon a
defined credit event, Fund
receives the notional
amount and delivers the
defined deliverable
obligation. (Counterparty:
JPMorgan Chase) 03/15/49 1,000 6
-------------
$ 2,916
=============
Percentages are based on Net Assets of $1,465,687 ($ Thousands).
* Non-Income Producing Security.
** Rate shown is the 7-day effective yield as of March 31, 2008.
+ 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) Step Bonds -- The rate reflected on the Schedule of Investments is the
effective yield on March 31, 2008. The coupon on a step bond changes on a
specified date.
(C) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of March 31, 2008.
(D) All or a portion of this security has been pledged as collateral for
securities sold short. The total value of collateral for securities sold
short at March 31, 2008 was $814,911 ($ 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.
ABS -- Asset-Backed Security
ADR -- American Depositary Receipt
ARM -- Adjustable Rate Mortgage
Cl -- Class
CMBS -- Collateralized Mortgage-Backed Security
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
L.P. -- Limited Partnership
NIM -- Net Interest Margin
Ser -- Series
STRIPS -- Separately Traded Registered Interest and Principal Securities
TBA -- To Be Announced
TIPS -- Treasury Inflated Protection Securities
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
42 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
S&P 500 Index Fund
March 31, 2008
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS#:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Short-Term Investments 14.7%
Financials 14.5%
Information Technology 13.4%
Energy 11.2%
Industrials 10.4%
Health Care 10.0%
Consumer Staples 9.4%
Consumer Discretionary 7.4%
Utilities 3.0%
Materials 3.0%
Telecommunication Services 2.9%
U.S. Treasury Obligation 0.1%
# Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 7).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 98.0%
CONSUMER DISCRETIONARY -- 8.5%
Abercrombie & Fitch, Cl A (B) 11,000 $ 805
Amazon.com (B)* 36,800 2,624
Apollo Group, Cl A (B)* 16,103 696
AutoNation (B)* 18,826 282
Autozone* 5,094 580
Bed Bath & Beyond (B)* 32,933 971
Best Buy (B) 41,741 1,731
Big Lots (B)* 13,713 306
Black & Decker (B) 8,209 543
Brunswick (B) 11,315 181
Carnival 52,084 2,108
CBS, Cl B (B) 81,501 1,800
Centex 14,944 362
Clear Channel Communications 59,563 1,740
Coach* 44,710 1,348
Comcast, Cl A (B)* 364,244 7,044
Darden Restaurants 18,113 590
Dillard's, Cl A (B) 7,605 131
DIRECTV Group* 85,300 2,115
DR Horton (B) 34,149 538
Eastman Kodak (B) 35,910 634
E.W. Scripps, Cl A 10,400 437
Expedia* 25,500 558
Family Dollar Stores (B) 18,922 369
Ford Motor (B)* 249,609 1,428
Fortune Brands 19,019 1,322
GameStop, Cl A (B)* 19,600 1,013
Gannett (B) 29,347 852
Gap 54,531 1,073
General Motors (B) 70,748 1,348
Genuine Parts 21,336 858
Goodyear Tire & Rubber* 30,293 782
H&R Block (B) 40,304 837
Harley-Davidson 28,408 1,065
Harman International Industries 7,100 309
Hasbro (B) 17,791 496
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Home Depot 205,964 $ 5,761
IAC/InterActive* 22,800 473
International Game Technology 37,356 1,502
Interpublic Group (B)* 58,601 493
JC Penney* 26,280 991
Johnson Controls 70,957 2,398
Jones Apparel Group 9,790 131
KB Home (B) 9,655 239
Kohl's (B)* 37,247 1,597
Leggett & Platt (B) 22,154 338
Lennar, Cl A (B) 17,207 324
Liz Claiborne 12,923 235
Lowe's 178,836 4,102
Ltd Brands (B) 38,927 666
Macy's 50,764 1,171
Marriott International, Cl A (B) 37,140 1,276
Mattel 44,318 882
McDonald's 140,260 7,822
McGraw-Hill 38,921 1,438
Meredith 4,863 186
New York Times, Cl A (B) 17,992 340
Newell Rubbermaid 34,747 795
News, Cl A 277,833 5,209
Nike, Cl B 45,894 3,121
Nordstrom (B) 21,002 685
Office Depot* 34,620 383
OfficeMax 9,393 180
Omnicom Group (B) 38,804 1,714
Polo Ralph Lauren 7,700 449
Pulte Homes (B) 26,555 386
RadioShack 17,025 277
Sears Holdings (B)* 9,165 936
Sherwin-Williams (B) 12,016 613
Snap-On 7,353 374
Stanley Works (B) 10,379 494
Staples* 83,914 1,855
Starbucks (B)* 86,658 1,516
Starwood Hotels & Resorts Worldwide 22,335 1,156
Target 98,919 5,013
Tiffany (B) 14,673 614
Time Warner 432,314 6,061
TJX (B) 52,167 1,725
VF 11,214 869
Viacom, Cl B* 78,601 3,114
Walt Disney (B) 229,427 7,199
Washington Post, Cl B 730 483
Wendy's International 10,808 249
Whirlpool (B) 9,805 851
Wyndham Worldwide 22,602 467
Yum! Brands 56,970 2,120
--------------
121,149
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 43
SCHEDULE OF INVESTMENTS (Unaudited)
S&P 500 Index Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CONSUMER STAPLES -- 10.8%
Altria Group 256,856 $ 5,702
Anheuser-Busch 88,274 4,189
Archer-Daniels-Midland 77,066 3,172
Avon Products 51,051 2,018
Brown-Forman, Cl B 9,976 661
Campbell Soup 27,275 926
Clorox 16,242 920
Coca-Cola 241,496 14,700
Coca-Cola Enterprises 34,817 842
Colgate-Palmolive 62,393 4,861
ConAgra Foods 57,852 1,385
Constellation Brands, Cl A (B)* 24,100 426
Costco Wholesale (B) 52,018 3,380
CVS Caremark 174,395 7,065
Dean Foods 16,100 323
Estee Lauder, Cl A 14,500 665
General Mills 40,291 2,413
Hershey (B) 21,612 814
HJ Heinz 37,549 1,764
Kellogg (B) 31,267 1,643
Kimberly-Clark 50,699 3,273
Kraft Foods, Cl A 186,388 5,780
Kroger 81,059 2,059
McCormick 16,261 601
Molson Coors Brewing, Cl B 17,046 896
Pepsi Bottling Group 16,436 557
PepsiCo 194,367 14,033
Philip Morris International* 256,856 12,992
Procter & Gamble 373,276 26,155
Reynolds American (B) 21,440 1,266
Safeway 55,046 1,616
Sara Lee 87,887 1,229
SUPERVALU (B) 25,997 779
SYSCO 72,420 2,102
Tyson Foods, Cl A (B) 31,590 504
UST (B) 18,540 1,011
Wal-Mart Stores 285,411 15,035
Walgreen (B) 121,444 4,626
Whole Foods Market (B) 17,600 580
WM Wrigley Jr. 25,760 1,619
--------------
154,582
--------------
ENERGY -- 12.9%
Anadarko Petroleum 55,880 3,522
Apache 39,800 4,809
Baker Hughes 38,034 2,605
BJ Services (B) 36,656 1,045
Cameron International (B)* 26,400 1,099
Chesapeake Energy (B) 54,100 2,497
Chevron 252,997 21,596
ConocoPhillips 190,225 14,497
Consol Energy (B) 21,700 1,501
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Devon Energy 54,013 $ 5,635
El Paso (B) 87,294 1,453
ENSCO International (B) 16,900 1,058
EOG Resources (B) 29,344 3,521
Exxon Mobil 649,336 54,921
Halliburton 105,779 4,160
Hess 33,275 2,934
Marathon Oil 85,456 3,897
Murphy Oil 22,863 1,878
Nabors Industries (B)* 34,778 1,175
National Oilwell Varco* 42,668 2,491
Noble 32,542 1,616
Noble Energy 21,400 1,558
Occidental Petroleum 100,604 7,361
Peabody Energy (B) 31,700 1,617
Range Resources 17,700 1,123
Rowan (B) 13,797 568
Schlumberger 144,362 12,560
Smith International 24,900 1,599
Spectra Energy 75,161 1,710
Sunoco (B) 13,857 727
Tesoro 17,100 513
Transocean (B) 38,302 5,178
Valero Energy 66,108 3,247
Weatherford International* 40,254 2,917
Williams 70,865 2,337
XTO Energy 62,218 3,849
--------------
184,774
--------------
FINANCIALS -- 16.5%
ACE 39,385 2,169
Aflac 58,508 3,800
Allstate 68,459 3,290
AMBAC Financial Group (B) 12,814 74
American Capital Strategies (B) 22,500 769
American Express 139,815 6,113
American International Group (B) 306,271 13,246
Ameriprise Financial 27,384 1,420
AON 36,429 1,464
Apartment Investment & Management, Cl A+ 10,450 374
Assurant 11,600 706
AvalonBay Communities+ (B) 9,900 956
Bank of America 538,770 20,425
Bank of New York Mellon 137,186 5,725
BB&T (B) 67,597 2,167
Bear Stearns (B) 13,498 142
Boston Properties+ 14,900 1,372
Capital One Financial (B) 44,762 2,203
CB Richard Ellis Group, Cl A (B)* 23,400 506
Charles Schwab 112,027 2,109
Chubb 45,756 2,264
- --------------------------------------------------------------------------------
44 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Cincinnati Financial (B) 19,379 $ 737
CIT Group 24,208 287
Citigroup 634,246 13,586
CME Group 6,447 3,024
Comerica 18,283 641
Countrywide Financial (B) 73,771 406
Developers Diversified Realty+ (B) 15,900 666
Discover Financial Services 57,530 942
E*Trade Financial (B)* 53,439 206
Equity Residential+ (B) 32,940 1,367
Fannie Mae 119,881 3,155
Federated Investors, Cl B 11,145 436
Fifth Third Bancorp 63,211 1,322
First Horizon National (B) 15,715 220
Franklin Resources 19,215 1,864
Freddie Mac (B) 78,759 1,994
General Growth Properties+ (B) 30,700 1,172
Genworth Financial, Cl A 54,900 1,243
Goldman Sachs Group (B) 47,862 7,916
Hartford Financial Services Group 37,586 2,848
HCP+ 27,600 933
Host Hotels & Resorts+ 65,100 1,036
Hudson City Bancorp 60,900 1,077
Huntington Bancshares (B) 45,575 490
IntercontinentalExchange* 8,600 1,122
Janus Capital Group (B) 18,777 437
JPMorgan Chase 413,772 17,772
Keycorp 48,583 1,066
Kimco Realty+ (B) 29,900 1,171
Legg Mason 16,400 918
Lehman Brothers Holdings (B) 64,906 2,443
Leucadia National (B) 21,200 959
Lincoln National 31,898 1,659
Loews 52,473 2,110
M&T Bank 9,561 769
Marsh & McLennan (B) 61,650 1,501
Marshall & Ilsley (B) 29,770 691
MBIA (B) 16,227 198
Merrill Lynch 118,347 4,821
MetLife (B) 86,405 5,207
MGIC Investment (B) 10,395 109
Moody's (B) 25,108 875
Morgan Stanley 134,561 6,149
National City (B) 78,248 779
Northern Trust 22,705 1,509
NYSE Euronext (B) 31,600 1,950
Plum Creek Timber+ (B) 20,935 852
PNC Financial Services Group (B) 41,783 2,740
Principal Financial Group (B) 31,148 1,736
Progressive (B) 82,568 1,327
Prologis+ (B) 32,060 1,887
Prudential Financial (B) 53,766 4,207
Public Storage+ 15,328 1,358
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Regions Financial 85,763 $ 1,694
Safeco 11,238 493
Simon Property Group+ 27,509 2,556
SLM (B) 54,943 843
Sovereign Bancorp (B) 45,144 421
State Street 47,391 3,744
SunTrust Banks (B) 41,796 2,305
T. Rowe Price Group (B) 31,508 1,575
Torchmark 10,705 644
Travelers 74,732 3,576
Unum Group (B) 42,052 926
US Bancorp (B) 210,606 6,815
Vornado Realty Trust+ (B) 15,814 1,363
Wachovia (B) 240,660 6,498
Washington Mutual (B) 103,619 1,067
Wells Fargo (B) 401,606 11,687
XL Capital, Cl A (B) 22,605 668
Zions Bancorporation (B) 13,760 627
--------------
234,686
--------------
HEALTH CARE -- 11.5%
Abbott Laboratories 186,468 10,284
Aetna 60,002 2,526
Allergan 36,666 2,068
AmerisourceBergen 19,496 799
Amgen* 132,793 5,548
Applera -- Applied Biosystems Group 19,357 636
Barr Pharmaceuticals* 13,300 643
Baxter International 77,638 4,489
Becton Dickinson 29,162 2,504
Biogen Idec* 34,900 2,153
Boston Scientific* 166,612 2,144
Bristol-Myers Squibb 242,001 5,155
Cardinal Health 43,155 2,266
Celgene* 53,000 3,248
Cigna 33,171 1,346
Coventry Health Care* 19,413 783
Covidien* 59,482 2,632
C.R. Bard 12,388 1,194
Eli Lilly 118,830 6,130
Express Scripts* 30,152 1,939
Forest Laboratories* 36,963 1,479
Genzyme* 31,732 2,365
Gilead Sciences* 112,076 5,775
Hospira* 19,504 834
Humana* 20,797 933
IMS Health 24,395 513
Johnson & Johnson 343,556 22,287
King Pharmaceuticals* 30,386 264
Laboratory of America Holdings (B)* 14,263 1,051
McKesson 34,469 1,805
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 45
SCHEDULE OF INVESTMENTS (Unaudited)
S&P 500 Index Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Medco Health Solutions* 64,116 $ 2,808
Medtronic 137,217 6,637
Merck 262,717 9,970
Millipore (B)* 6,793 458
Mylan Laboratories (B) 34,511 400
Patterson (B)* 17,400 632
PerkinElmer 15,240 370
Pfizer 819,704 17,156
Quest Diagnostics (B) 19,824 897
Schering-Plough 194,872 2,808
St. Jude Medical* 40,594 1,753
Stryker 28,942 1,883
Tenet Healthcare (B)* 58,976 334
Thermo Fisher Scientific* 50,443 2,867
UnitedHealth Group 152,447 5,238
Varian Medical Systems* 16,100 754
Waters* 12,697 707
Watson Pharmaceuticals* 12,771 375
WellPoint* 65,461 2,889
Wyeth 162,566 6,789
Zimmer Holdings* 28,955 2,254
--------------
163,772
--------------
INDUSTRIALS -- 12.0%
3M 86,582 6,853
Allied Waste Industries* 31,842 344
Avery Dennison 13,615 671
Boeing 92,532 6,882
Burlington Northern Santa Fe (B) 36,624 3,377
Caterpillar (B) 76,597 5,997
C.H. Robinson Worldwide (B) 20,100 1,093
Cintas* 17,007 485
Cooper Industries, Cl A 22,786 915
CSX 50,050 2,806
Cummins 24,040 1,126
Danaher (B) 30,248 2,300
Deere 52,602 4,231
Dover 23,437 979
Eaton 18,269 1,456
Emerson Electric 96,406 4,961
Equifax 17,225 594
Expeditors International Washington (B) 26,500 1,197
FedEx 37,905 3,513
Fluor (B) 11,022 1,556
General Dynamics 48,326 4,029
General Electric 1,211,907 44,853
Goodrich 15,720 904
Honeywell International 91,355 5,154
Illinois Tool Works 49,424 2,384
Ingersoll-Rand, Cl A 32,106 1,431
ITT 22,700 1,176
Jacobs Engineering Group* 14,900 1,097
L-3 Communications Holdings (B) 14,923 1,632
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Lockheed Martin 41,394 $ 4,110
Manitowoc 15,700 641
Masco (B) 45,668 906
Monster Worldwide* 16,034 388
Norfolk Southern 46,126 2,506
Northrop Grumman 40,519 3,153
Paccar (B) 44,091 1,984
Pall 15,395 540
Parker Hannifin 19,871 1,376
Pitney Bowes 24,875 871
Precision Castparts 16,400 1,674
Raytheon 52,668 3,403
Robert Half International 21,027 541
Rockwell Automation 17,626 1,012
Rockwell Collins (B) 19,178 1,096
RR Donnelley & Sons 27,311 828
Ryder System (B) 7,554 460
Southwest Airlines 92,249 1,144
Terex* 12,800 800
Textron 29,798 1,651
Trane 21,833 1,002
Tyco International 58,982 2,598
Union Pacific 31,547 3,955
United Parcel Service, Cl B (B) 125,190 9,141
United Technologies 118,783 8,175
Waste Management 60,428 2,028
WW Grainger 8,265 631
--------------
170,610
--------------
INFORMATION TECHNOLOGY -- 15.4%
Adobe Systems* 68,536 2,439
Advanced Micro Devices (B)* 73,263 432
Affiliated Computer Services, Cl A* 12,349 619
Agilent Technologies* 43,406 1,295
Akamai Technologies (B)* 20,400 574
Altera 35,851 661
Analog Devices 35,399 1,045
Apple* 107,092 15,368
Applied Materials 164,750 3,214
Autodesk* 29,017 913
Automatic Data Processing 62,850 2,664
BMC Software* 22,849 743
Broadcom, Cl A* 59,236 1,141
CA 45,827 1,031
Ciena (B)* 10,642 328
Cisco Systems* 726,163 17,493
Citrix Systems* 21,942 644
Cognizant Technology Solutions, Cl A* 35,600 1,026
Computer Sciences* 19,233 784
Compuware (B)* 33,875 249
Convergys* 17,076 257
Corning 192,678 4,632
Dell* 274,074 5,460
eBay* 136,532 4,074
- --------------------------------------------------------------------------------
46 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Electronic Arts* 37,478 $ 1,871
Electronic Data Systems 63,102 1,051
EMC* 251,940 3,613
Fidelity National Information Services 20,365 777
Fiserv* 19,280 927
Google, Cl A* 28,116 12,384
Hewlett-Packard 300,352 13,714
Intel 701,594 14,860
International Business Machines (B) 167,890 19,331
Intuit* 39,086 1,056
Jabil Circuit 23,079 218
JDS Uniphase (B)* 26,456 354
Juniper Networks (B)* 62,000 1,550
Kla-Tencor 23,171 860
Lexmark International, Cl A (B)* 12,039 370
Linear Technology (B) 27,494 844
LSI Logic (B)* 88,746 439
MEMC Electronic Materials* 27,200 1,928
Microchip Technology (B) 22,000 720
Micron Technology (B)* 94,369 563
Microsoft 972,662 27,604
Molex 17,760 411
Motorola 274,306 2,551
National Semiconductor 29,837 547
NetApp (B)* 43,776 878
Novell* 42,389 267
Novellus Systems (B)* 13,927 293
Nvidia (B)* 65,948 1,305
Oracle* 480,156 9,392
Paychex (B) 39,456 1,352
QLogic* 15,948 245
Qualcomm 195,132 8,000
SanDisk (B)* 28,400 641
Sun Microsystems* 98,102 1,524
Symantec (B)* 102,747 1,708
Tellabs* 54,699 298
Teradata* 22,368 493
Teradyne* 23,707 294
Texas Instruments 161,534 4,567
Total System Services (B) 25,280 598
Tyco Electronics* 59,082 2,028
Unisys* 43,195 191
VeriSign (B)* 27,200 904
Western Union 89,212 1,898
Xerox 109,536 1,640
Xilinx 35,709 848
Yahoo! (B)* 163,638 4,734
--------------
219,727
--------------
MATERIALS -- 3.5%
Air Products & Chemicals (B) 25,726 2,367
Alcoa 99,235 3,578
Allegheny Technologies 12,759 911
Ashland 6,993 331
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Ball 12,891 $ 592
Bemis 13,090 333
Dow Chemical 115,675 4,263
Eastman Chemical 10,508 656
Ecolab (B) 22,230 966
E.I. Du Pont de Nemours 110,035 5,145
Freeport-McMoRan Copper & Gold, Cl B (B) 45,868 4,413
Hercules 14,607 267
International Flavors & Fragrances 9,494 418
International Paper 53,370 1,452
MeadWestvaco 22,815 621
Monsanto 66,648 7,431
Newmont Mining 54,008 2,447
Nucor 34,182 2,316
Pactiv* 16,587 435
PPG Industries 20,545 1,243
Praxair (B) 37,799 3,184
Rohm & Haas (B) 15,222 823
Sealed Air (B) 20,128 508
Sigma-Aldrich (B) 16,536 986
Titanium Metals (B) 10,900 164
United States Steel (B) 14,126 1,792
Vulcan Materials (B) 12,549 833
Weyerhaeuser (B) 24,788 1,612
--------------
50,087
--------------
TELECOMMUNICATION SERVICES -- 3.4%
American Tower, Cl A* 48,100 1,886
AT&T 733,158 28,080
CenturyTel 13,960 464
Citizens Communications 42,331 444
Embarq 18,786 753
Qwest Communications International (B) 184,226 835
Sprint Nextel (B) 341,622 2,285
Verizon Communications 349,022 12,722
Windstream 59,646 713
--------------
48,182
--------------
UTILITIES -- 3.5%
AES* 83,090 1,385
Allegheny Energy 20,568 1,039
Ameren 25,844 1,138
American Electric Power 47,715 1,986
Centerpoint Energy 40,068 572
CMS Energy (B) 27,892 378
Consolidated Edison (B) 32,133 1,276
Constellation Energy Group 21,499 1,898
Dominion Resources 70,040 2,860
DTE Energy (B) 21,045 818
Duke Energy 150,922 2,694
Dynegy, Cl A* 63,889 504
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 47
SCHEDULE OF INVESTMENTS (Unaudited)
S&P 500 Index Fund (Concluded)
March 31, 2008
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Edison International 38,853 $ 1,905
Entergy 23,264 2,538
Exelon 79,554 6,465
FirstEnergy 36,487 2,504
FPL Group (B) 48,820 3,063
Integrys Energy Group 9,434 440
Nicor (B) 5,525 185
NiSource 34,279 591
Pepco Holdings 24,200 598
PG&E 42,029 1,548
Pinnacle West Capital (B) 12,549 440
PPL 44,371 2,038
Progress Energy (B) 30,683 1,279
Public Service Enterprise Group 60,930 2,449
Questar 21,400 1,210
Sempra Energy 31,065 1,655
Southern (B) 91,135 3,245
TECO Energy (B) 26,212 418
Xcel Energy 49,219 982
--------------
50,101
--------------
Total Common Stock
(Cost $704,710) ($ Thousands) 1,397,670
--------------
CORPORATE OBLIGATION (C) (E) -- 0.3%
FINANCIALS -- 0.3%
SLM MTN, Ser S
2.827%, 04/14/08 $ 4,093 4,093
--------------
Total Corporate Obligation
(Cost $4,093) ($ Thousands) 4,093
--------------
CASH EQUIVALENTS**++ -- 17.0%
SEI Daily Income Trust, Prime
Obligation Fund, Cl A, 3.190% 23,142,198 23,142
SEI Liquidity Fund L.P.,
3.200% (C) 219,343,149 219,343
--------------
Total Cash Equivalents
(Cost $242,485) ($ Thousands) 242,485
--------------
U.S. TREASURY OBLIGATION (A) (D) -- 0.1%
U.S. Treasury Bill
1.572%, 06/12/08 1,585 1,582
--------------
Total U.S. Treasury Obligation
(Cost $1,580) ($ Thousands) 1,582
--------------
Total Investments -- 115.4%
(Cost $952,868) ($ Thousands) $ 1,645,830
==============
A summary of the open futures contracts held by the Fund at March 31, 2008, 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 Index E-MINI 427 Jun-2008 $ 195
=============
Percentages are based on Net Assets of $1,425,780 ($ Thousands).
* Non-Income Producing Security.
** Rate shown is the 7-day effective yield as of March 31, 2008.
+ 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 March
31, 2008 (see Note 7). The total value of securities on loan at March 31,
2008 was $218,822 ($ Thousands).
(C) This security was purchased with cash collateral held from securities on
loan (see Note 7). The total value of such securities as of March 31, 2008
was $223,436 ($ Thousands).
(D) The rate reported is the effective yield at time of purchase.
(E) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of March 31, 2008.
Cl -- Class
L.P. -- Limited Partnership
MTN -- Medium Term Note
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
48 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
Small Cap Value Fund
March 31, 2008
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS#:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Short-Term Investments 27.9%
Financials 19.1%
Information Technology 11.7%
Industrials 10.4%
Consumer Discretionary 9.3%
Health Care 5.4%
Energy 5.1%
Materials 4.1%
Consumer Staples 3.3%
Utilities 3.2%
Telecommunication Services 0.3%
U.S. Treasury Obligation 0.1%
Exchange Traded Fund 0.1%
Warrants 0.0%
Rights 0.0%
# Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 7).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK+++ -- 96.5%
CONSUMER DISCRETIONARY -- 12.5%
Advance Auto Parts 41,200 $ 1,403
Aftermarket Technology (B)* 72,347 1,406
AH Belo, Cl A (B)* 26,589 304
American Axle & Manufacturing
Holdings 93,175 1,910
American Greetings, Cl A (B) 44,900 833
AnnTaylor Stores* 64,100 1,550
Arctic Cat (B) 43,600 318
ArvinMeritor (B) 88,400 1,106
Asbury Automotive Group 12,600 173
Bebe Stores (B) 133,231 1,432
Belo, Cl A 132,949 1,405
Blyth* 25,900 511
Brown Shoe 20,100 303
California Pizza Kitchen* 29,700 389
Callaway Golf 44,700 656
Carmike Cinemas 1,600 16
Carrols Restaurant Group* 74,300 664
Carter's* 39,000 630
Casual Male Retail Group* 223,900 940
Cato, Cl A 59,500 889
CBRL Group 22,200 794
CEC Entertainment (B)* 20,600 595
Champion Enterprises (B)* 77,800 780
Cheesecake Factory* 18,900 412
Chico's FAS* 77,700 552
Childrens Place Retail Stores (B)* 57,200 1,405
CKE Restaurants 25,900 291
Collective Brands* 53,900 653
Cooper Tire & Rubber (B) 147,161 2,203
Corinthian Colleges (B)* 182,500 1,319
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CSK Auto (B)* 34,249 $ 319
CSS Industries 600 21
Dana (B) 392,100 4
Domino's Pizza 28,000 378
Dress Barn* 38,200 494
DSW, Cl A* 96,803 1,254
Ethan Allen Interiors (B) 181,484 5,160
FTD Group 56,500 758
Gaylord Entertainment (B)* 17,600 533
Group 1 Automotive (B) 11,000 258
Handleman (B)* 49,600 12
Helen Of Troy* 13,100 220
hhgregg* 37,300 420
Hooker Furniture 12,500 279
HOT Topic* 31,700 137
Jack in the Box* 85,100 2,287
Jackson Hewitt Tax Service 95,600 1,097
Jakks Pacific (B)* 79,900 2,203
Jarden* 39,386 856
Journal Communications, Cl A 107,100 790
Journal Register 50,135 28
Lakeland Industries* 130,000 1,520
Leapfrog Enterprises (B)* 179,326 1,264
Lear (B)* 51,100 1,324
Lee Enterprises 78,800 789
Libbey 142,300 2,396
Lifetime Brands 90,466 809
LKQ (B)* 183,700 4,128
M/I Homes (B) 2,200 37
MarineMax (B)* 107,400 1,338
Marriott International, Cl A (B) 85,200 2,927
Marvel Entertainment (B)* 60,900 1,632
MDC Partners, Cl A (Canada)* 503,300 3,659
Men's Wearhouse (B) 28,892 672
Modine Manufacturing (B) 111,000 1,608
Morgans Hotel Group (B)* 102,378 1,517
Movado Group 9,900 193
Nautilus (B) 37,400 123
Nexstar Broadcasting Group,
Cl A (B)* 16,900 100
O'Charleys 36,300 418
Orbitz Worldwide (B)* 86,400 595
Orient-Express Hotels, Cl A 63,500 2,741
Pacific Sunwear Of California (B)* 104,729 1,321
Penske Auto Group 9,800 191
Perry Ellis International* 47,850 1,045
PF Chang's China Bistro* 6,400 182
Pier 1 Imports (B)* 168,900 1,061
Pinnacle Entertainment (B)* 167,200 2,140
Polaris Industries (B) 21,800 894
Princeton Review* 38,560 303
Quiksilver (B)* 234,300 2,299
RC2 (B)* 45,277 949
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 49
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Value Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Regis (B) 47,842 $ 1,315
Rent-A-Center* 186,000 3,413
Ruby Tuesday (B) 52,100 391
Ruth's Chris Steak House (B)* 90,300 624
Ryland Group (B) 12,800 421
Sally Beauty Holdings (B)* 100,362 693
Scholastic (B)* 112,300 3,399
Scientific Games, Cl A* 92,100 1,944
Shoe Carnival* 69,750 944
Sinclair Broadcast Group, Cl A (B) 130,800 1,165
Skechers U.S.A., Cl A* 23,900 483
Smith & Wesson Holding* 122,200 613
Sonic Automotive, Cl A (B) 101,300 2,082
Speedway Motorsports 10,900 273
Stoneridge* 22,200 299
Talbots (B) 188,800 2,035
Tempur-Pedic International (B) 107,165 1,179
Tenneco* 5,200 145
Thor Industries (B) 49,900 1,486
Trans World Entertainment* 56,100 211
Tupperware Brands* 38,100 1,474
Vail Resorts (B)* 73,264 3,538
Valassis Communications* 87,200 946
Warnaco Group* 30,100 1,187
Warner Music Group (B) 209,900 1,045
WMS Industries (B)* 39,500 1,421
World Wrestling Entertainment,
Cl A (B) 42,300 787
Zale (B)* 90,800 1,794
--------------
118,832
--------------
CONSUMER STAPLES -- 4.4%
Alliance One International* 367,120 2,217
BJ's Wholesale Club* 90,900 3,244
Casey's General Stores (B) 38,703 875
Central Garden and Pet (B)* 102,602 473
Central Garden and Pet, Cl A (B)* 81,385 361
Chiquita Brands International* 19,500 451
Corn Products International 43,019 1,598
Dean Foods 94,171 1,892
Del Monte Foods 197,454 1,882
Elizabeth Arden* 83,336 1,662
Hain Celestial Group (B)* 104,600 3,086
JM Smucker 14,239 721
Lancaster Colony 17,200 687
Longs Drug Stores (B) 47,500 2,017
Molson Coors Brewing, Cl B 69,300 3,643
Nash Finch (B) 20,000 680
Pantry (B)* 129,534 2,731
Performance Food Group (B)* 33,099 1,082
Ralcorp Holdings (B)* 32,126 1,868
Ruddick 138,700 5,112
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Sanderson Farms (B) 77,700 $ 2,953
Universal (B) 25,300 1,658
Weis Markets 23,600 813
--------------
41,706
--------------
ENERGY -- 6.9%
Alon USA Energy (B) 17,200 262
American Oil & Gas* 78,900 258
Atlas America (B) 30,902 1,868
Berry Petroleum, Cl A 46,603 2,167
Bois d'Arc Energy (B)* 33,200 713
Cal Dive International* 189,387 1,966
Cimarex Energy (B) 44,700 2,447
Complete Production Services (B)* 101,600 2,331
Comstock Resources* 78,900 3,180
Delek US Holdings (B) 62,200 788
Delta Petroleum (B)* 59,800 1,348
Double Hull Tankers 62,900 667
Dresser-Rand Group* 63,700 1,959
Energy Partners (B)* 70,801 671
Exterran Holdings* 2,900 187
General Maritime (B) 27,000 637
GeoMet* 59,200 394
Global Industries* 90,300 1,453
Goodrich Petroleum (B)* 51,701 1,555
Grey Wolf (B)* 660,100 4,475
Gulfmark Offshore (B)* 8,800 482
Helix Energy Solutions Group* 4,840 152
Holly 30,500 1,324
ION Geophysical (B)* 169,600 2,340
Lufkin Industries 18,000 1,149
Mariner Energy (B)* 103,620 2,799
Newpark Resources* 286,400 1,461
North American Energy Partners* 93,900 1,440
Oil States International* 53,700 2,406
Overseas Shipholding Group 8,100 567
Parker Drilling (B)* 250,900 1,621
Rosetta Resources (B)* 96,500 1,898
RPC (B) 229,500 3,486
SEACOR Holdings (B)* 13,100 1,118
St. Mary Land & Exploration 43,500 1,675
Stone Energy* 24,600 1,287
Swift Energy* 126,467 5,690
Tesoro 17,000 510
Tetra Technologies* 109,200 1,730
Union Drilling* 27,100 474
Uranium Resources* 24,230 145
W-H Energy Services* 40,529 2,790
--------------
65,870
--------------
- --------------------------------------------------------------------------------
50 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
FINANCIALS -- 25.1%
1st Source 7,700 $ 162
Acadia Realty Trust+ 28,400 686
Advance America Cash Advance
Centers 46,700 353
Advanta, Cl B (B) 31,500 221
AMB Property+ (B) 56,700 3,086
Amcore Financial (B) 71,830 1,462
American Equity Investment Life
Holding (B) 82,481 765
American Physicians Capital 16,400 760
Ameris Bancorp 600 10
Amtrust Financial Services 27,400 444
Anchor Bancorp Wisconsin (B) 5,400 102
Anthracite Capital+ (B) 63,800 421
Anworth Mortgage Asset+ 91,600 562
Apollo Investment 34,400 545
Arbor Realty Trust+ (B) 85,795 1,294
Ares Capital 44,100 554
Ashford Hospitality Trust+ (B) 104,200 592
Aspen Insurance Holdings 84,000 2,216
Assured Guaranty (B) 84,100 1,997
Asta Funding 17,800 248
BancFirst (B) 10,200 467
Bancorp Rhode Island 2,358 85
Bancorpsouth (B) 61,270 1,419
Bank Mutual (B) 125,251 1,345
Bank of the Ozarks (B) 6,700 160
Berkshire Hills Bancorp 48,400 1,219
BioMed Realty Trust+ (B) 51,300 1,226
Boston Private Financial Holdings (B) 25,200 267
Boston Properties+ (B) 41,000 3,775
British Land (United Kingdom)+ 77,570 1,415
Brookfield Asset Management, Cl A* 46,600 1,250
Brookfield Properties 23,900 462
Camden Property Trust+ (B) 41,971 2,107
Capital Lease Funding+ 215,500 1,674
Capital Trust, Cl A+ 2,000 54
Capstead Mortgage+ (B) 70,600 805
Cardinal Financial 120,525 1,069
Cash America International 32,600 1,187
CBL & Associates Properties+ 16,700 393
Chemical Financial (B) 63,700 1,519
Citizens Republic Bancorp 61,236 761
City Bank (B) 12,850 286
City Holding 37,300 1,488
CNA Surety* 44,500 684
Commerce Group 2,700 97
Community Bank System (B) 22,500 553
CompuCredit* 14,800 131
Cousins Properties+ (B) 94,600 2,338
Crystal River Capital+ (B) 39,200 350
Danvers Bancorp* 86,600 870
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Darwin Professional Underwriters* 35,100 $ 789
Dawnay Day Sirius (United
Kingdom)* 405,932 431
Dawnay Day Treveria (United
Kingdom)* 471,407 493
Dearborn Bancorp* 41,900 318
Delphi Financial Group, Cl A 28,300 827
DiamondRock Hospitality+ 42,900 544
Douglas Emmett+ (B) 142,300 3,139
Duke Realty+ 111,100 2,534
Eastern Insurance Holdings 40,700 589
Education Realty Trust+ 114,883 1,444
Employers Holdings 128,407 2,381
Encore Bancshares* 23,490 411
Endurance Specialty Holdings (B) 32,336 1,183
Entertainment Properties Trust+ (B) 18,600 918
Equity One+ (B) 77,492 1,857
Equity Residential+ (B) 180,900 7,506
ESSA Bancorp* 34,800 409
Evercore Partners, Cl A 29,900 531
FBL Financial Group, Cl A 16,300 464
Financial Federal (B) 28,800 628
First American (B) 81,300 2,759
First Community Bancorp 24,000 644
First Financial (B) 4,500 139
First Financial Bancorp (B) 182,473 2,454
First Financial Bankshares 8,700 357
First Industrial Realty Trust+ (B) 39,400 1,217
First Merchants (B) 35,400 1,010
First Mercury Financial* 50,900 886
First Midwest Bancorp (B) 73,037 2,028
First Niagara Financial Group 210,400 2,859
FirstFed Financial (B)* 6,300 171
FirstMerit (B) 128,682 2,659
Flagstar Bancorp (B) 52,400 378
Flushing Financial 55,800 981
Forest City Enterprises, Cl A 64,100 2,359
Fpic Insurance Group* 16,800 792
GAMCO Investors, Cl A 11,800 594
General Growth Properties+ (B) 194,370 7,419
Gramercy Capital+ (B) 130,426 2,730
Great Southern Bancorp 5,200 81
Greenhill (B) 10,800 751
Hallmark Financial Services* 22,100 247
Hammerson (United Kingdom)+ 83,171 1,841
Hancock Holding (B) 35,064 1,473
Hanmi Financial 71,800 531
Harleysville Group 800 29
Heritage Commerce (B) 6,200 114
Hersha Hospitality Trust+ 156,700 1,415
Hilb Rogal & Hobbs (B) 136,600 4,299
Home Federal Bancorp 45,560 546
Horace Mann Educators 66,979 1,171
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 51
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Value Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Host Hotels & Resorts+ (B) 472,955 $ 7,529
HRPT Properties Trust+ (B) 113,900 767
IMPAC Mortgage Holdings+ (B) 67,100 85
Imperial Capital Bancorp 14,300 309
Independent Bank 14,600 431
Infinity Property & Casualty (B) 46,389 1,930
Investors Bancorp* 28,700 441
IPC Holdings (B) 87,900 2,461
Irwin Financial (B) 29,800 158
Jefferies Group 48,200 778
KBW (B)* 66,500 1,466
Kimco Realty+ (B) 207,200 8,116
Knight Capital Group, Cl A* 14,900 242
LandAmerica Financial Group (B) 9,000 355
LaSalle Hotel Properties+ 25,900 744
Lexington Realty Trust+ (B) 45,500 656
Liberty Property Trust+ (B) 51,200 1,593
Marlin Business Services* 63,000 475
Max Capital Group (B) 18,400 482
Meadowbrook Insurance Group* 186,300 1,455
MFA Mortgage Investments+ (B) 259,746 1,636
Mid-America Apartment
Communities+ 27,748 1,383
Montpelier Re Holdings (B) 65,500 1,051
National Financial Partners 23,200 521
National Retail Properties+ (B) 67,700 1,493
Navigators Group* 18,952 1,031
NBT Bancorp (B) 41,600 924
Nelnet, Cl A 14,500 170
New York Community Bancorp 19,100 348
NewAlliance Bancshares 153,416 1,881
Newcastle Investment+ (B) 21,100 174
Odyssey Re Holdings (B) 29,400 1,080
Old National Bancorp (B) 64,200 1,156
Old Second Bancorp (B) 11,300 300
Oriental Financial Group (B) 70,900 1,397
Pacific Capital Bancorp 1 --
Parkway Properties+ 16,100 595
PennantPark Investment 92,902 791
Pennsylvania Real Estate Investment
Trust+ (B) 30,700 749
Pico Holdings (B)* 46,800 1,415
Piper Jaffray (B)* 82,664 2,807
Platinum Underwriters Holdings 94,156 3,056
PMA Capital, Cl A* 700 6
Preferred Bank (B) 8,300 139
Presidential Life 31,600 551
ProAssurance* 39,508 2,127
Prosperity Bancshares (B) 38,600 1,106
Provident Bankshares (B) 44,200 475
Provident New York Bancorp (B) 33,400 451
PS Business Parks+ 30,699 1,593
Rainier Pacific Financial Group 21,859 304
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
RAIT Financial Trust+ (B) 29,400 $ 204
Redwood Trust+ (B) 15,243 554
RenaissanceRe Holdings 28,800 1,495
Renasant 33,100 745
Resource Capital+ (B) 27,600 209
RLI 10,900 540
Safety Insurance Group 18,200 621
Sandy Spring Bancorp (B) 16,400 451
Saul Centers+ (B) 17,600 884
SCBT Financial 5,100 172
SeaBright Insurance Holdings* 29,500 435
Selective Insurance Group (B) 64,900 1,550
Senior Housing Properties Trust+ (B) 40,900 969
Signature Bank (B)* 60,737 1,549
Simmons First National, Cl A 3,900 116
Simon Property Group+ (B) 82,800 7,693
South Financial Group (B) 76,046 1,130
Southside Bancshares (B) 5,000 120
State Auto Financial 29,100 848
Sterling Bancshares 150,502 1,496
Stewart Information Services (B) 132,600 3,711
Sun Bancorp* 6,800 90
Sun Communities+ 70,000 1,435
Sunstone Hotel Investors+ (B) 86,800 1,390
Superior Bancorp (B)* 113,120 562
Susquehanna Bancshares (B) 49,800 1,014
SVB Financial Group (B)* 32,100 1,401
TCF Financial 73,496 1,317
Texas Capital Bancshares* 25,100 424
Thomas Properties Group 60,200 529
Tompkins Financial (B) 4,700 231
TradeStation Group (B)* 21,300 181
UMB Financial (B) 18,106 746
Unibail (France)+ 9,582 2,475
United America Indemnity, Cl A (B)* 16,700 322
United Bankshares (B) 62,872 1,676
United Financial Bancorp 74,056 821
Validus Holdings* 47,200 1,106
Verde Realty PIPE (G) (H)* 21,100 696
ViewPoint Financial Group 23,700 391
Vornado Realty Trust+ (B) 80,500 6,940
WesBanco (B) 23,900 591
West Coast Bancorp 18,900 276
Westfield Financial 104,900 1,025
Wilshire Bancorp 45,600 348
Winthrop Realty Trust+ (B) 71,500 295
Wintrust Financial 32,165 1,124
WR Berkley 44,237 1,225
WSFS Financial 27,817 1,371
Zenith National Insurance 82,900 2,973
--------------
237,916
--------------
- --------------------------------------------------------------------------------
52 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
HEALTH CARE -- 7.3%
Accelrys* 225,000 $ 1,217
Advanced Medical Optics (B)* 136,200 2,765
Albany Molecular Research* 20,200 245
Amedisys (B)* 47,100 1,853
America Service Group* 51,700 313
American Dental Partners* 39,500 382
AMN Healthcare Services* 173,300 2,672
Amsurg (B)* 63,460 1,503
Analogic* 1,800 120
Applera -- Celera Group* 115,800 1,702
Apria Healthcare Group (B)* 113,700 2,246
Bio-Rad Laboratories, Cl A* 1,600 142
Brookdale Senior Living (B) 66,800 1,596
Cambrex 221,820 1,537
Centene* 30,900 431
Chemed (B) 28,400 1,198
Community Health Systems (B)* 91,700 3,078
Computer Programs & Systems 44,800 936
Conmed* 170,312 4,367
Cooper (B) 207,828 7,155
Cross Country Healthcare* 194,600 2,407
Discovery Laboratories (B)* 112,200 264
Emergent Biosolutions (B)* 18,800 168
Hanger Orthopedic Group* 53,600 578
Healthspring* 159,000 2,239
HealthTronics* 68,707 223
ICU Medical* 41,400 1,191
IMS Health 50,600 1,063
InterMune (B)* 6,700 98
Kensey Nash* 25,600 741
Kindred Healthcare* 141,875 3,103
LCA-Vision (B) 34,600 432
LifePoint Hospitals* 51,200 1,406
Magellan Health Services (B)* 100,144 3,975
Masimo* 16,600 432
Medcath* 5,600 102
Medical Action Industries* 10,200 168
Medical Staffing Network Holdings* 151,800 710
Merit Medical Systems* 6,100 97
Molina Healthcare (B)* 2,400 59
Myriad Genetics (B)* 62,300 2,510
National Dentex* 35,900 463
Neurocrine Biosciences (B)* 125,100 675
NovaMed* 49,060 186
Omnicare 58,900 1,070
Orthofix International* 18,100 720
Owens & Minor (B) 18,700 736
Par Pharmaceutical* 26,300 457
Patterson* 24,173 877
Perrigo (B) 13,700 517
Pharmacopeia* 135,050 497
PharMerica (B)* 79,700 1,321
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Providence Service* 19,800 $ 594
PSS World Medical (B)* 49,764 829
Res-Care* 42,721 733
Sciele Pharma (B)* 23,500 458
Sunrise Senior Living (B)* 33,200 740
Symmetry Medical* 17,100 284
Universal American (B)* 32,600 346
Varian* 3,600 208
Viropharma (B)* 27,100 242
--------------
69,377
--------------
INDUSTRIALS -- 14.0%
ABM Industries 76,800 1,723
Actuant, Cl A 72,400 2,187
Acuity Brands (B) 55,700 2,392
Alaska Air Group* 23,700 465
Albany International, Cl A (B) 47,300 1,709
Altra Holdings* 24,000 323
American Woodmark (B) 16,100 331
Ampco-Pittsburgh 13,400 576
AO Smith 28,900 950
Applied Industrial Technologies 18,425 551
Arkansas Best (B) 93,500 2,979
Astec Industries* 27,300 1,058
Avis Budget Group (B)* 144,625 1,536
Barnes Group 3,400 78
BE Aerospace* 27,429 959
Beacon Roofing Supply* 40,100 401
Belden (B) 30,043 1,061
Brady, Cl A (B) 51,240 1,713
Brink's 79,900 5,368
Chart Industries* 46,600 1,577
CIRCOR International 23,567 1,090
Clean Harbors (B)* 14,012 911
Columbus McKinnon* 23,200 719
Comfort Systems USA 59,200 770
Con-way 73,800 3,652
Courier 50,184 1,252
Crane 69,400 2,800
Cubic 19,900 566
Danaos 48,100 1,183
Deluxe (B) 115,400 2,217
Diamond Management & Technology
Consultants 163,600 1,055
EMCOR Group (B)* 120,700 2,681
EnPro Industries (B)* 39,800 1,241
ESCO Technologies (B)* 46,500 1,847
Federal Signal 84,721 1,183
G&K Services, Cl A 28,328 1,009
GATX (B) 21,600 844
Genco Shipping & Trading (B) 9,400 530
Geo Group (B)* 82,900 2,358
GrafTech International (B)* 47,100 763
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 53
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Value Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Griffon* 9,900 $ 85
H&E Equipment Services* 52,400 659
Heartland Express (B) 76,700 1,094
Heidrick & Struggles International* 40,600 1,321
Hubbell, Cl B 48,400 2,115
Hudson Highland Group* 134,800 1,142
ICF International* 39,000 782
IDEX 39,062 1,199
IKON Office Solutions (B) 94,300 717
Interface, Cl A 43,357 609
Kadant* 39,216 1,152
Kansas City Southern (B)* 66,062 2,650
Kaydon 44,227 1,942
KBR* 66,600 1,847
Kelly Services, Cl A 19,700 405
Kforce* 197,000 1,741
Kirby* 42,400 2,417
Knight Transportation (B) 73,700 1,213
Korn/Ferry International (B)* 116,500 1,969
LECG* 197,300 1,847
Mesa Air Group* 56,600 133
Milacron (B)* 32,043 81
Mueller Industries 33,200 958
Mueller Water Products, Cl B 24,290 191
Navistar International* 16,700 1,004
NCI Building Systems (B)* 2,400 58
Orbital Sciences (B)* 110,300 2,658
Oshkosh Truck 24,505 889
Pacer International 33,800 555
Pall 93,500 3,279
PeopleSupport* 60,900 555
Perini* 52,605 1,906
Regal-Beloit 15,600 571
Republic Airways Holdings* 61,200 1,326
Robbins & Myers 2,700 88
RSC Holdings (B)* 61,700 673
Rush Enterprises, Cl A* 26,300 417
Ryder System (B) 62,200 3,789
Saia* 8,900 141
Schawk 2,100 34
School Specialty (B)* 53,866 1,699
Skywest 66,600 1,407
Spherion* 146,000 894
Steelcase, Cl A 62,200 688
Superior Essex* 23,200 652
TBS International, Cl A* 1,800 54
Tecumseh Products, Cl A (B)* 123,500 3,789
Teledyne Technologies* 96,900 4,554
Teleflex 21,627 1,032
Tetra Tech (B)* 53,628 1,046
Textainer Group Holdings 18,600 280
Tredegar 32,200 586
Trimas* 27,700 146
Triumph Group (B) 21,755 1,238
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
United Rentals* 18,000 $ 339
United Stationers (B)* 23,800 1,135
Viad 25,788 929
Waste Connections (B)* 62,600 1,924
Watsco (B) 1,000 41
Watson Wyatt Worldwide, Cl A 86,600 4,915
Watts Water Technologies, Cl A (B) 34,141 957
WESCO International* 35,762 1,305
YRC Worldwide (B)* 24,900 327
--------------
132,757
--------------
INFORMATION TECHNOLOGY -- 15.9%
Actel* 86,000 1,317
Actuate* 74,300 305
Alliance Semiconductor 233,100 259
Amkor Technology (B)* 60,300 645
Anaren* 26,500 335
Applied Micro Circuits* 97,525 700
ARM Holdings ADR (United
Kingdom) (B)* 343,700 1,811
Arris Group (B)* 285,250 1,660
ATMI* 54,900 1,528
Avanex (B)* 335,900 238
Avocent (B)* 78,530 1,327
Axesstel* 411,000 144
BearingPoint (B)* 308,400 518
Benchmark Electronics (B)* 168,700 3,028
Black Box 54,348 1,677
Broadridge Financial Solutions 107,300 1,888
Brocade Communications Systems* 529,100 3,862
Cabot Microelectronics* 2,300 74
CACI International, Cl A* 133,438 6,078
Checkpoint Systems* 4,400 118
Ciber* 212,800 1,043
CMGI* 25,900 343
Cognex (B) 76,300 1,666
Coherent (B)* 79,992 2,231
Comverse Technology* 178,500 2,749
CPI International* 74,648 740
CSG Systems International (B)* 145,800 1,658
CTS (B) 147,500 1,578
Cymer (B)* 70,500 1,836
Diebold 28,684 1,077
Digi International* 42,630 492
DSP Group* 55,800 711
Dycom Industries* 4,900 59
Earthlink (B)* 515,100 3,889
Emulex (B)* 138,087 2,243
Entegris (B)* 304,760 2,191
Epicor Software (B)* 101,600 1,138
Foundry Networks* 230,365 2,668
Global Cash Access Holdings (B)* 47,400 278
Ikanos Communications* 162,300 742
- --------------------------------------------------------------------------------
54 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Imation (B) 53,800 $ 1,223
Intevac* 98,200 1,272
JDA Software Group* 48,900 892
JDS Uniphase (B)* 126,000 1,687
Kemet (B)* 87,300 353
Keynote Systems (B)* 123,800 1,460
Lawson Software (B)* 571,100 4,300
LeCroy (B)* 38,900 337
Littelfuse (B)* 72,358 2,530
LTX (B)* 286,000 898
Manhattan Associates* 109,600 2,513
MasTec (B)* 35,300 290
MAXIMUS 7,000 257
Mentor Graphics (B)* 61,800 546
Mercury Computer Systems* 95,100 534
Merrimac Industries* 29,200 196
Methode Electronics 112,800 1,319
Micrel (B) 97,100 900
Microsemi (B)* 31,231 712
MicroStrategy, Cl A* 9,100 673
MKS Instruments* 49,200 1,053
MPS Group* 215,300 2,545
Multi-Fineline Electronix (B)* 27,200 511
O2Micro International ADR* 89,500 692
Omnivision Technologies* 11,300 190
ON Semiconductor (B)* 71,530 406
Orbotech* 227,300 4,169
Orckit Communications* 100,100 738
Parametric Technology* 217,711 3,479
Perot Systems, Cl A* 182,491 2,745
Photronics* 41,400 395
Plantronics 19,400 375
Powerwave Technologies (B)* 227,635 580
QLogic* 22,400 344
Quantum* 343,200 734
Rackable Systems* 160,900 1,467
Radisys (B)* 75,400 761
RADWARE* 155,800 1,592
RF Micro Devices (B)* 151,600 403
Richardson Electronics 60,287 255
Rudolph Technologies* 152,700 1,492
SAIC* 53,500 995
Seachange International* 207,800 1,461
SI International* 92,200 1,769
Silicon Image* 198,200 993
SkillSoft ADR* 205,458 2,151
Skyworks Solutions (B)* 667,500 4,859
SRA International, Cl A* 77,400 1,882
Standard Microsystems* 39,800 1,161
Sybase (B)* 116,541 3,065
Synopsys* 38,802 881
Tech Data* 22,700 745
Technitrol* 112,800 2,609
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Tekelec (B)* 227,800 $ 2,836
TIBCO Software (B)* 432,100 3,085
TNS 12,600 260
Trident Microsystems* 164,800 849
Tyler Technologies* 15,500 217
Ultra Clean Holdings (B)* 114,500 1,122
Ultratech (B)* 280,000 2,691
United Online 118,800 1,255
Utstarcom (B)* 264,300 751
Verint Systems* 131,700 2,124
Vignette* 30,800 407
Wavecom ADR (B)* 52,200 609
WidePoint* 354,300 461
Xyratex* 195,757 3,512
Zoran (B)* 219,200 2,994
--------------
150,406
--------------
MATERIALS -- 5.6%
Aptargroup (B) 18,637 726
Arch Chemicals 36,751 1,369
Bemis (B) 54,927 1,397
Buckeye Technologies* 106,100 1,184
Cabot 34,508 966
CF Industries Holdings 8,100 839
Chemtura 221,600 1,627
Constar International (B)* 92,600 243
Crown Holdings* 88,600 2,229
Cytec Industries 62,500 3,366
Ferro 48,124 715
FMC 19,933 1,106
H.B. Fuller (B) 40,400 825
Hercules 137,900 2,522
Innophos Holdings (B) 8,900 143
Innospec (United Kingdom) 6,700 142
Myers Industries 19,300 253
Neenah Paper 75,173 1,938
NewMarket 21,200 1,600
Olin (B) 87,740 1,734
Olympic Steel 17,200 776
OM Group* 35,000 1,909
Omnova Solutions* 88,000 351
Pactiv* 85,951 2,253
Quaker Chemical 23,200 726
Quanex (B) 111,075 5,747
Rock-Tenn, Cl A 54,200 1,624
Schnitzer Steel Industries, Cl A 700 50
Schulman, Cl A 25,500 523
Schweitzer-Mauduit International 31,300 724
Sensient Technologies (B) 152,600 4,500
Silgan Holdings 96,556 4,792
Steel Dynamics (B) 24,000 793
Texas Industries (B) 49,800 2,993
--------------
52,685
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 55
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Value Fund (Concluded)
March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES -- 0.4%
Atlantic Tele-Network 23,000 $ 778
IDT* 3,900 13
Premiere Global Services* 130,200 1,867
Syniverse Holdings* 67,600 1,127
USA Mobility 20,600 147
--------------
3,932
--------------
UTILITIES -- 4.4%
AGL Resources 60,482 2,076
Allete (B) 76,100 2,939
Atmos Energy 56,589 1,443
Avista 37,700 737
Black Hills 48,300 1,728
Centerpoint Energy 148,600 2,121
Cleco 65,900 1,462
CMS Energy (B) 129,800 1,757
El Paso Electric* 207,300 4,430
Empire District Electric (B) 34,725 703
Great Plains Energy 17,000 419
ITC Holdings (B) 35,400 1,843
Laclede Group 53,100 1,892
Oneok 8,300 370
Ormat Technologies (B) 41,300 1,776
PNM Resources 32,600 407
Portland General Electric 165,569 3,734
Southern Union 88,600 2,062
Southwest Gas (B) 78,198 2,186
Synthesis Energy Systems* 1,262 11
UGI 42,100 1,049
UIL Holdings (B) 85,100 2,564
Vectren 14,300 384
Westar Energy (B) 83,621 1,904
WGL Holdings 23,320 748
Wisconsin Energy 11,696 515
--------------
41,260
--------------
Total Common Stock
(Cost $923,109) ($ Thousands) 914,741
--------------
EXCHANGE TRADED FUND (B) -- 0.2%
iShares Russell 2000 Index Fund 20,178 1,382
--------------
Total Exchange Traded Fund
(Cost $1,382) ($ Thousands) 1,382
--------------
- --------------------------------------------------------------------------------
Face Amount
($ Thousands)/ Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Number of
Warrants
-------------
WARRANTS -- 0.0%
Washington Mutual (D)* 310,642 $ 109
--------------
Total Warrants
(Cost $43) ($ Thousands) 109
--------------
Number of
Rights
-------------
RIGHTS -- 0.0%
Ares Capital, Expires 04/21/08 14,700 8
--------------
Total Rights
(Cost $--) ($ Thousands) 8
--------------
CORPORATE OBLIGATION (C) (F) -- 0.6%
FINANCIALS -- 0.6%
SLM MTN, Ser S
2.827%, 04/14/08 $ 6,059 6,059
--------------
Total Corporate Obligation
(Cost $6,059) ($ Thousands) 6,059
--------------
CASH EQUIVALENTS** -- 37.6%
Merrill Lynch EBP Master, 2.090% 1,652,631 1,653
SEI Daily Income Trust,
Prime Obligation Fund, Cl A,
3.190%++ 30,531,908 30,532
SEI Liquidity Fund L.P.,
3.200%++ (C) 324,716,821 324,717
--------------
Total Cash Equivalents
(Cost $356,902) ($ Thousands) 356,902
--------------
U.S. TREASURY OBLIGATION (A) (E) -- 0.2%
U.S. Treasury Bill
2.167%, 05/22/08 1,735 1,732
--------------
Total U.S. Treasury Obligation
(Cost $1,730) ($ Thousands) 1,732
--------------
Total Investments -- 135.1%
(Cost $1,289,225) ($ Thousands) $ 1,280,933
==============
- --------------------------------------------------------------------------------
56 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
A summary of the open futures contracts held by the Fund at March 31, 2008, 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 273 Jun-2008 $ 588
=============
Percentages are based on Net Assets of $948,163 ($ Thousands).
* Non-Income Producing Security.
** Rate shown is the 7-day effective yield as of March 31, 2008.
+++ 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 March
31, 2008 (see Note 7). The total value of securities on loan at March 31,
2008 was $321,275 ($ Thousands).
(C) This security was purchased with cash collateral held from securities on
loan (see Note 7). The total value of such securities as of March 31, 2008
was $330,776 ($ Thousands).
(D) This warrant represents a potential distribution settlement in a legal
claim and does not have a strike price or expiration date.
(E) The rate reported is the effective yield at time of purchase.
(F) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of March 31, 2008.
(G) Security fair valued using methods determined in good faith by the
Valuation Committee of the Board of Trustees. The total value of such
securities as of March 31, 2008 was $696 ($ Thousands) and represented
0.07% of Net Assets.
(H) Securities considered illiquid and restricted. The total value of such
securities as of March 31, 2008 was $696 ($ Thousands) and represented
0.07% of Net Assets.
ADR -- American Depositary Receipt
Cl -- Class
MTN -- Medium Term Note
L.P. -- Limited Partnership
PIPE -- Public Investment in Public Entity
Ser -- Series
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 57
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Growth Fund
March 31, 2008
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS#:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Short-Term Investments 28.8%
Information Technology 17.0%
Health Care 12.9%
Industrials 10.6%
Consumer Discretionary 9.3%
Financials 8.0%
Energy 6.1%
Materials 3.1%
Telecommunication Services 1.7%
Consumer Staples 1.5%
Utilities 0.7%
Convertible Bond 0.2%
U.S. Treasury Obligation 0.1%
Exchange Traded Fund 0.0%
Warrants 0.0%
# Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 7).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 97.1%
CONSUMER DISCRETIONARY -- 12.8%
1-800-FLOWERS.COM, Cl A* 53,950 $ 459
Advance Auto Parts 7,209 245
Aeropostale (B)* 31,400 851
Airmedia Group ADR (B)* 19,300 307
Amerigon* 130,355 1,929
AnnTaylor Stores* 672 16
Bally Technologies* 50,673 1,740
Belo, Cl A 11,087 117
BJ's Restaurants (B)* 71,733 1,034
Black & Decker 3,604 238
Blue Nile (B)* 12,900 699
Blyth* 12,299 243
Buckle (B) 8,700 389
Callaway Golf 18,634 274
Capella Education* 41,026 2,240
Carrols Restaurant Group (B)* 4,500 40
Casual Male Retail Group (B)* 357,700 1,502
Cato, Cl A 82,600 1,234
CEC Entertainment* 19,900 575
Century Casinos* 81,564 264
Charming Shoppes (B)* 304,400 1,470
Chipotle Mexican Grill, Cl A (B)* 14,200 1,611
Christopher & Banks 28,860 288
CKE Restaurants 22,500 252
Coldwater Creek (B)* 69,442 351
CROCS (B)* 225,200 3,934
Crown Media Holdings, Cl A (B)* 29,600 153
Ctrip.com International ADR (B)* 19,995 1,060
DeVry 21,312 892
Dick's Sporting Goods* 19,364 519
Dolan Media* 24,895 501
Dover Downs Gaming &
Entertainment (B) 41,050 349
DreamWorks Animation SKG, Cl A* 9,465 244
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
DSW, Cl A (B)* 89,000 $ 1,153
Dufry South America BDR (Brazil)* 43,800 803
Eddie Bauer Holdings (B)* 290,051 1,128
Einstein Noah Restaurant Group* 32,100 275
Entravision Communications, Cl A* 41,837 279
Focus Media Holding ADR (B)* 59,941 2,107
Fossil (B)* 10,200 312
Furniture Brands International 25,292 296
Gaiam, Cl A (B)* 94,400 1,635
Genius Products* 349,055 244
Gildan Activewear* 28,800 1,076
Global Sources (B)* 47,910 711
Group 1 Automotive (B) 53,100 1,247
GSI Commerce (B)* 157,532 2,072
Gymboree* 72,520 2,892
Harris Interactive* 72,228 197
hhgregg* 35,200 396
Hibbett Sports (B)* 24,084 372
Ihop 84 4
Interactive Data 10,141 289
J Crew Group (B)* 47,200 2,085
Jack in the Box (B)* 34,800 935
Jarden* 66,040 1,436
JOS A Bank Clothiers (B)* 23,200 476
K12* 13,767 270
Lear (B)* 34,900 904
Life Time Fitness (B)* 11,828 369
Lin TV, Cl A* 21,549 207
LKQ (B)* 61,900 1,391
Lululemon Athletica (B)* 38,000 1,080
Lumber Liquidators (B)* 12,500 132
Maidenform Brands* 1,932 31
Martha Stewart Living Omnimedia,
Cl A (B)* 137,100 1,019
Marvel Entertainment* 30,510 817
Matthews International, Cl A* 8,623 416
McCormick & Schmick's Seafood
Restaurants* 84,149 980
Meredith 5,465 209
Monarch Casino & Resort* 3,200 57
Morningstar (B)* 19,681 1,207
National CineMedia 31,270 703
NetFlix (B)* 95,711 3,316
Nexstar Broadcasting Group, Cl A* 33,203 196
NutriSystem* 12,322 186
NVR* 419 250
Orbitz Worldwide (B)* 66,600 459
Overstock.com* 23,217 277
Pacific Sunwear Of California* 76,000 958
Peet's Coffee & Tea (B)* 39,776 935
Phillips-Van Heusen 24,200 918
Polaris Industries (B) 2,000 82
Pre-Paid Legal Services* 4,704 199
priceline.com (B)* 26,855 3,246
- --------------------------------------------------------------------------------
58 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Quiksilver (B)* 522,200 $ 5,123
RadioShack 4,737 77
Raser Technologies (B)* 38,900 334
RCN 2,366 26
Red Robin Gourmet Burgers (B)* 28,600 1,075
Regis (B) 76,200 2,095
Rent-A-Center* 13,439 247
Retail Ventures (B)* 185,300 899
RRSat Global Communications
Network* 75,900 1,152
Ryland Group 8,913 293
Sally Beauty Holdings* 34,603 239
Scholastic* 8,612 261
Shutterfly (B)* 128,200 1,906
Sinclair Broadcast Group, Cl A (B) 41,300 368
Skechers U.S.A., Cl A* 13,845 280
Snap-On 22,095 1,124
Sonic (B)* 34,800 767
Sotheby's (B) 29,970 866
Stamps.com* 62,202 638
Standard-Pacific 41,909 204
Strayer Education (B) 4,900 747
Tecnisa (Brazil)* 326,700 1,495
Tempur-Pedic International 9,281 102
Tenneco* 20,200 564
Texas Roadhouse, Cl A (B)* 67,700 663
Thor Industries 35,377 1,053
Thunderbird Resorts PIPE
(D) (G) (I)* 153,500 1,381
Thunderbird Resorts PIPE
(D) (G) (H) (I)* 3,200 29
True Religion Apparel* 71,800 1,332
Tupperware Brands* 81,690 3,160
Tween Brands* 11,908 295
Under Armour, Cl A (B)* 21,200 776
Universal Electronics* 34,155 827
Volcom* 25,830 522
Warnaco Group* 24,200 954
WMS Industries (B)* 68,401 2,460
Zumiez* 65,275 1,024
--------------
104,612
--------------
CONSUMER STAPLES -- 2.1%
American Dairy (B)* 14,000 129
American Oriental Bioengineering* 76,110 617
Asiatic Development (Malaysia)* 771,000 2,025
Bare Escentuals (B)* 17,900 419
Boston Beer, Cl A (B)* 25,920 1,232
Chattem (B)* 22,480 1,491
Church & Dwight 479 26
Constellation Brands, Cl A* 7,727 137
Cosan SA Industria e Comercio
(Brazil)* 168,200 2,482
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Darling International* 94,127 $ 1,219
Great Atlantic & Pacific Tea* 9,708 255
Green Mountain Coffee Roasters* 3,600 114
Herbalife 31,452 1,494
Lance 119,100 2,334
Longs Drug Stores 19,700 836
Nash Finch 10,556 359
National Beverage 7,726 59
NBTY* 2,520 75
Nu Skin Enterprises, Cl A 56,060 1,010
Pilgrim's Pride 10,466 212
Ralcorp Holdings (B)* 13,100 762
--------------
17,287
--------------
ENERGY -- 8.3%
Arena Resources* 116,755 4,520
Alon USA Energy 25 --
Alpha Natural Resources* 55,370 2,405
Approach Resources* 68,903 1,080
Arlington Tankers (B) 97,000 2,037
ATP Oil & Gas (B)* 20,200 661
Atwood Oceanics* 13,800 1,266
Basic Energy Services (B)* 90,700 2,003
Berry Petroleum, Cl A 2,800 130
Bois d'Arc Energy (B)* 41,136 884
BPZ Energy PIPE (D) (G) (I)* 114,500 2,488
Cal Dive International* 124,900 1,296
CARBO Ceramics (B) 25,800 1,035
Carrizo Oil & Gas* 17,210 1,020
Cimarex Energy (B) 21,690 1,187
Complete Production Services (B)* 109,000 2,500
Comstock Resources* 50,756 2,045
Core Laboratories* 8,510 1,015
Dawson Geophysical* 8,300 560
Delek US Holdings 16,300 207
Dril-Quip* 33,906 1,576
Encore Acquisition* 29,100 1,172
Energy Partners* 168,500 1,596
Foundation Coal Holdings 1,010 51
Geokinetics* 6,458 117
Gulf Island Fabrication 5,500 158
Gulfport Energy* 46,300 491
Helmerich & Payne 14,580 683
Hercules Offshore (B)* 84,463 2,122
Infinity Bio-Energy* 741,494 2,966
International Coal Group* 45,123 287
ION Geophysical (B)* 204,936 2,828
James River Coal* 168 3
Kodiak Oil & Gas* 428,900 716
Mariner Energy* 18,490 499
Massey Energy 6,494 237
Meridian Resource* 80,938 120
NATCO Group, Cl A* 43,949 2,055
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 59
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Growth Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Oilsands Quest (Canada) (B)* 341,000 $ 1,344
OPTI Canada (Canada)* 113,000 1,905
PetroHawk Energy* 82,461 1,663
Petroquest Energy* 45,600 791
Rentech (B)* 762,800 679
Rosetta Resources* 22,090 435
Rowan 8,485 349
StealthGas 120,000 1,866
Superior Energy Services* 34,203 1,355
Superior Well Services (B)* 73,900 1,616
Swift Energy* 29,000 1,305
Synenco Energy, Cl A (Canada)
(D) (G) (I)* 19,500 138
Synenco Energy, Cl A (Canada)* 306,360 2,165
Tesco* 41,800 1,001
Uranium One (Canada)* 137,549 453
USEC* 1,010 4
Vaalco Energy* 34,099 169
Venoco* 39,100 454
W&T Offshore 10,575 361
W-H Energy Services* 21,900 1,508
Whiting Petroleum* 4,536 293
Willbros Group (B)* 51,289 1,569
World Fuel Services 28,750 807
--------------
68,246
--------------
FINANCIALS -- 10.3%
Affiliated Managers Group (B)* 33,618 3,050
Alexander's+* 342 121
Amerisafe* 38,500 487
Amtrust Financial Services 27,805 451
Anworth Mortgage Asset+ 67,300 413
Brasil Brokers Participacoes (Brazil)* 2,700 1,892
Canaccord Capital (Canada) 106,100 1,013
CapitalSource+ 117,750 1,139
Capstead Mortgage+ (B) 142,609 1,626
Cash America International 35,839 1,305
Castlepoint Holdings* 91,300 888
Cathay General Bancorp 84 2
Citizens Republic Bancorp 2,414 30
Cohen & Steers (B) 29,700 787
Columbia Bancorp 30,300 518
Companhia Brasileira de
Desenvolvimento Imobiliario
Turistico (Brazil) (H)* 3,500 1,491
Companhia Brasileira de
Desenvolvimento Imobiliario
Turistico (Brazil)* 700 298
Darwin Professional Underwriters* 8,800 198
Delphi Financial Group, Cl A 29,025 848
Digital Realty Trust+ 5,857 208
Dollar Financial (B)* 113,129 2,602
Dundee (Canada)+* 44,600 1,412
East West Bancorp 95,156 1,689
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
eHealth (B)* 9,312 $ 206
Equity Lifestyle Properties+ 370 18
Evercore Partners, Cl A 180,100 3,197
Ezcorp, Cl A* 38,200 470
FCStone Group (B)* 64,080 1,775
Federal Realty Investment Trust+ 3,528 275
FelCor Lodging Trust+ 77,100 928
First Industrial Realty Trust+ (B) 12,200 377
FirstFed Financial (B)* 37,400 1,015
Frontier Financial 14 --
GAMCO Investors, Cl A 2,500 126
General Shopping Brasil (Brazil)* 277,400 2,125
GFI Group* 11,200 642
Glacier Bancorp (B) 45,018 863
Gluskin Sheff + Associates
(Canada) (H)* 85,600 1,669
GMP Capital Trust (Canada) 69,400 1,134
Greenhill (B) 31,929 2,221
Grubb & Ellis (B)* 308,080 2,116
Grubb & Ellis Realty Advisors* 395,700 2,402
Hercules Technology Growth Capital 101,428 1,101
Hersha Hospitality Trust+ 173,200 1,564
HFF, Cl A* 42,600 213
Highbury Financial (B)* 36,700 106
Highbury Financial Units* 115,400 381
Huntington Bancshares 4,200 45
Imperial Capital Bancorp 269 6
Interactive Brokers Group (B)* 43,395 1,114
Investors Real Estate Trust+ (B) 197,500 1,932
Janus Capital Group (B) 30,800 717
Jefferies Group (B) 92,900 1,498
Jones Lang LaSalle 10,665 825
Kansas City Life Insurance 24,401 1,173
Knight Capital Group, Cl A* 24,181 393
MarketAxess Holdings* 68,495 681
Meadowbrook Insurance Group* 32,300 252
Meruelo Maddux Properties* 322,400 819
MFA Mortgage Investments+ (B) 262,400 1,653
MSCI, Cl A* 56,550 1,682
NASDAQ Stock Market* 7,932 307
Nationwide Health Properties+ (B) 29,000 979
Navigators Group* 19,200 1,044
Nelnet, Cl A 53,460 628
Ocwen Financial* 342 2
Omega Healthcare Investors+ 64,799 1,125
optionsXpress Holdings (B) 86,894 1,800
Platinum Underwriters Holdings 53,260 1,729
PMI Group 2,142 12
PS Business Parks+ 5,000 259
Ram Holdings (B)* 99,300 225
Raymond James Financial 10,060 231
Riskmetrics Group* 96,665 1,870
Sierra Bancorp (B) 3,400 73
Signature Bank (B)* 20,500 523
- --------------------------------------------------------------------------------
60 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Sterling Financial, Washington Shares 59,800 $ 933
Stifel Financial (B)* 19,368 870
SVB Financial Group (B)* 29,900 1,305
Tejon Ranch* 134 5
Titanium Asset* 140,900 793
TradeStation Group* 14,582 124
UCBH Holdings (B) 137,600 1,068
United Fire & Casualty 25,300 946
Uranium Participation (Canada)* 62,000 577
Value Creation (Canada)* 121,940 1,189
Victory Acquisition* 50,032 470
Waddell & Reed Financial, Cl A 53,187 1,709
Washington Real Estate Investment
Trust+ (B) 9,500 317
Westamerica Bancorporation 15,300 805
World Acceptance (B)* 63,479 2,022
-------------
84,122
-------------
HEALTH CARE -- 17.8%
3SBio ADR* 84,800 741
Abaxis* 57,245 1,326
Abiomed (B)* 32,000 420
Abraxis Bioscience (B)* 5,550 328
Acadia Pharmaceuticals (B)* 109,300 990
Achillion Pharmaceuticals* 77,560 344
Acorda Therapeutics* 23,665 425
Affymax (B)* 9,100 128
Affymetrix (B)* 198,062 3,448
Air Methods* 422 20
Albany Molecular Research* 16,301 198
Alexion Pharmaceuticals (B)* 22,514 1,335
Align Technology (B)* 69,000 767
Alkermes (B)* 105,062 1,248
Alnylam Pharmaceuticals (B)* 20,239 494
AMAG Pharmaceuticals* 5,063 205
Amedisys (B)* 37,985 1,494
American Medical Systems
Holdings (B)* 27,455 390
AMN Healthcare Services* 61,903 955
Amsurg (B)* 70,900 1,679
Animal Health International* 65,351 715
APP Pharmaceuticals (B)* 98,200 1,186
Applera -- Celera Group* 48,400 711
Apria Healthcare Group (B)* 44,500 879
Arena Pharmaceuticals (B)* 250,400 1,713
Ariad Pharmaceuticals (B)* 449,387 1,514
Array Biopharma (B)* 91,755 643
Arthrocare (B)* 57,397 1,914
Bio-Reference Labs* 11,347 300
BioMarin Pharmaceuticals (B)* 114,268 4,042
Bruker BioSciences* 7,900 122
Capital Senior Living* 9,909 80
Caraco Pharmaceutical Laboratories* 504 9
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Cell Genesys (B)* 246,100 $ 578
Centene* 49,750 694
Cephalon (B)* 74,500 4,798
Chemed 12,182 514
Conceptus (B)* 20,800 386
Conmed* 14,965 384
Corvel* 8,650 265
Cougar Biotechnology PIPE
(D) (G) (I)* 21,000 441
CryoLife* 45,942 432
Cubist Pharmaceuticals (B)* 245,747 4,527
CV Therapeutics (B)* 492,800 3,514
Cynosure, Cl A (B)* 32,800 699
Cypress Bioscience (B)* 34,600 248
Dionex* 28,535 2,197
Discovery Laboratories (B)* 216,123 508
Durect* 56,043 294
Eclipsys* 18,772 368
Emergency Medical Services,
Cl A (B)* 46,900 1,158
Encysive Pharmaceuticals (B)* 408,000 959
Enzon Pharmaceuticals (B)* 32,567 300
eResearchTechnology* 30,422 378
Exelixis (B)* 384,621 2,673
GTx (B)* 11,800 190
Haemonetics* 7,417 442
Hanger Orthopedic Group* 593 6
HealthExtras* 42,164 1,047
HealthTronics* 11,665 38
Healthways* 41,866 1,480
HMS Holdings* 13,030 372
Hologic (B)* 96,590 5,370
Human Genome Sciences (B)* 413,400 2,435
I-Flow* 89,412 1,254
Illumina (B)* 22,661 1,720
Immucor (B)* 30,900 659
Incyte (B)* 266,000 2,796
Integra LifeSciences Holdings (B)* 7,988 347
InterMune (B)* 22,500 328
Inverness Medical Innovations* 6,924 208
Isis Pharmaceuticals (B)* 47,800 674
Kendle International (B)* 38,244 1,718
Kensey Nash* 3,780 109
Kindred Healthcare* 9,900 217
KV Pharmaceutical, Cl A (B)* 33,480 836
LHC Group* 32,860 552
Lifecell* 11,755 494
LifePoint Hospitals* 420 12
Lincare Holdings* 7,739 218
Luminex* 12,805 252
MannKind* 56,320 336
Martek Biosciences (B)* 21,300 651
Medarex (B)* 578,900 5,123
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 61
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Growth Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Medical Action Industries* 12,751 $ 209
Medicines* 106,730 2,156
Medicis Pharmaceutical, Cl A (B) 45,718 900
Medtox Scientific* 493 6
Meridian Bioscience 81,720 2,732
Metabolix (B)* 88,800 972
Micrus Endovascular (B)* 83,500 1,032
Momenta Pharmaceuticals (B)* 16,800 184
MWI Veterinary Supply* 31,317 1,104
Myriad Genetics (B)* 74,657 3,008
Natus Medical* 12,682 230
Nektar Therapeutics* 45,817 318
NuVasive* 13,330 460
Obagi Medical Products* 21,000 182
Odyssey HealthCare* 229,300 2,064
Omnicell* 37,015 744
Omrix Biopharmaceuticals* 51,783 725
Onyx Pharmaceuticals (B)* 40,598 1,179
OraSure Technologies (B)* 98,800 722
OSI Pharmaceuticals (B)* 45,462 1,700
Owens & Minor (B) 15,600 614
Parexel International* 77,153 2,014
Patterson* 8,583 312
Pediatrix Medical Group* 22,000 1,483
Penwest Pharmaceuticals (B)* 213,100 554
Perrigo (B) 73,533 2,774
PharmaNet Development Group* 8,243 208
Pozen (B)* 42,756 443
Profarma Distribuidora de Produtos
Farmaceuticos (Brazil)* 117,500 1,969
Psychiatric Solutions (B)* 90,461 3,068
Qiagen* 51,512 1,071
Quidel (B)* 43,600 700
Regeneron Pharmaceuticals (B)* 96,373 1,849
Rigel Pharmaceuticals (B)* 121,900 2,275
Salix Pharmaceuticals* 12,104 76
Savient Pharmaceuticals (B)* 70,170 1,403
Sciele Pharma (B)* 28,700 560
Seattle Genetics (B)* 58,288 530
Sirona Dental Systems (B)* 40,236 1,085
Somanetics* 9,724 151
SonoSite* 8,471 241
Sun Healthcare Group* 87,600 1,151
SurModics* 4,851 203
Tercica (B)* 85,300 489
Theravance* 32,375 341
Third Wave Technologies* 88,858 819
Thoratec* 3,775 54
TomoTherapy* 62,425 896
TranS1* 46,700 544
Trizetto Group* 19,580 327
United Therapeutics (B)* 35,027 3,037
Universal American (B)* 15,741 167
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Varian* 19,700 $ 1,141
Viropharma (B)* 70,552 631
Vital Signs 14,342 726
Vivus (B)* 171,438 1,034
Waters* 4,524 252
Wright Medical Group (B)* 85,658 2,068
XenoPort (B)* 13,818 559
--------------
145,408
--------------
INDUSTRIALS -- 14.7%
AAON 1,670 33
Actuant, Cl A 48,421 1,463
Acuity Brands 16,000 687
Advisory Board* 26,610 1,462
Aecom Technology* 45,000 1,170
Aegean Marine Petroleum Network* 32,045 1,096
AGCO* 5,546 332
Allegiant Travel* 10,559 279
Allen-Vanguard (Canada)* 293,000 977
American Commercial Lines (B)* 13,800 218
American Railcar Industries (B) 1,700 35
American Science & Engineering 4,962 271
American Woodmark 254 5
AMR* 20,474 185
AO Smith 20,600 677
Apogee Enterprises 159,714 2,460
Applied Industrial Technologies 13,006 389
Badger Meter (B) 7,900 341
Barnes Group (B) 106,840 2,452
BE Aerospace* 102,210 3,572
Beacon Roofing Supply* 4,981 50
Belden 21,279 752
Brady, Cl A 7,559 253
Bucyrus International, Cl A 16,185 1,645
Canadian Solar (B)* 19,900 416
CDI 14,200 356
Ceradyne (B)* 25,500 815
Chart Industries* 59,216 2,004
Chicago Bridge & Iron 51,082 2,004
CIRCOR International 19,124 884
Clarcor 19,655 699
Clean Harbors (B)* 19,500 1,267
Columbus McKinnon* 28,600 886
Comfort Systems USA 58,900 766
COMSYS IT Partners* 3,500 30
Corrections of America* 98,207 2,703
CoStar Group (B)* 66,509 2,860
CRA International (B)* 60,040 1,930
Crane 18,288 738
Cubic 24,600 699
Diamond Management & Technology
Consultants 39,533 255
DRS Technologies 4,818 281
- --------------------------------------------------------------------------------
62 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Dynamex* 18,418 $ 466
Dynamic Materials (B) 56,700 2,449
Energy Conversion Devices (B)* 15,400 460
Esterline Technologies* 19,355 975
Evergreen Solar (B)* 98,100 909
Expeditors International
Washington (B) 45,200 2,042
Flow International (B)* 159,200 1,479
Force Protection (B)* 39,600 80
Force Protection (D) (G) (I)* 173,900 350
Forward Air 38,720 1,372
FTI Consulting* 300 21
Fuel Tech (B)* 43,100 884
Gardner Denver* 28,550 1,059
Genco Shipping & Trading (B) 15,700 886
General Cable (B)* 51,322 3,032
Geo Group (B)* 57,422 1,633
Gorman-Rupp 2,939 97
Graham 5,116 182
Greenbrier (B) 13,200 350
H&E Equipment Services* 109,300 1,374
Healthcare Services Group (B) 82,337 1,699
Heartland Express (B) 28,196 402
Heico, Cl A 31,619 1,240
Heidrick & Struggles International* 9,161 298
Herman Miller 28,460 699
Hexcel* 68,800 1,315
Horizon Lines, Cl A 103,430 1,925
HUB Group, Cl A* 47,530 1,563
Hubbell, Cl B 6,306 276
Hurco* 6,300 295
Huron Consulting Group (B)* 2,700 112
IHS, Cl A* 14,698 945
II-VI (B)* 1,484 56
Innerworkings (B)* 126,015 1,768
Interface, Cl A 31,221 439
JA Solar Holdings ADR* 124,392 2,314
Kansas City Southern (B)* 28,820 1,156
Kaydon 19,100 839
Kforce* 31,400 278
Knoll (B) 98,800 1,140
Korn/Ferry International* 20,388 345
Landstar System (B) 19,545 1,019
Layne Christensen* 15,200 532
LB Foster, Cl A* 8,528 367
Lincoln Electric Holdings 16,100 1,038
Lydall* 10,535 121
Manpower 4,613 260
Michael Baker* 18,602 418
Middleby (B)* 34,025 2,123
Multi-Color 1 --
NCI Building Systems (B)* 46,900 1,135
Nuco2* 32,338 898
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Old Dominion Freight Line* 85,666 $ 2,727
Orbital Sciences* 13,012 314
Orion Energy Systems (B)* 138,300 1,319
Orion Marine Group* 169,200 2,022
Oshkosh Truck 5,925 215
Pacer International 3,311 54
Peerless Manufacturing* 4,624 150
Pentair 7,980 255
Perini* 56,585 2,050
Pinnacle Airlines (B)* 66,600 581
Quanta Services (B)* 64,130 1,486
RBC Bearings* 46,875 1,740
Republic Airways Holdings* 60,140 1,303
Resources Connection 83,005 1,483
Robbins & Myers 7,637 249
Rollins 10,800 191
RSC Holdings (B)* 244,100 2,661
Rush Enterprises, Cl A* 15,928 252
Rush Enterprises, Cl B* 13,022 191
Shaw Group* 4,568 215
Spherion* 5,100 31
Standard Parking* 39,775 834
Sun Hydraulics 5,600 164
TAL International Group (B) 79,800 1,881
Tecumseh Products, Cl A* 10,163 312
Tecumseh Products, Cl B* 170 5
Teledyne Technologies* 17,300 813
Tetra Tech (B)* 54,900 1,071
Textainer Group Holdings (B) 148,500 2,239
TransDigm Group* 24,305 901
Twin Disc 16,458 260
United Stationers (B)* 18,600 887
Wabtec 9,000 339
Waste Connections (B)* 40,250 1,237
Watson Wyatt Worldwide, Cl A 29,810 1,692
WESCO International* 6,502 237
Xerium Technologies 47,957 62
--------------
119,935
--------------
INFORMATION TECHNOLOGY -- 23.5%
Acme Packet* 139,800 1,117
Actuate* 116,400 477
Advanced Analogic Technologies* 131,500 739
Advent Software (B)* 23,752 1,012
Alvarion* 139,500 1,011
Amkor Technology (B)* 68,400 732
Anaren* 17,100 216
Ansoft* 18,600 568
Ansys* 40,915 1,412
Ariba (B)* 140,792 1,360
Arris Group* 131,625 766
Art Technology Group (B)* 645,197 2,503
Asyst Technologies* 418,900 1,466
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 63
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Growth Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Atheros Communications (B)* 119,890 $ 2,499
Atmel* 201,335 701
ATMI* 48,080 1,338
Avocent* 12,598 213
Bankrate (B)* 28,475 1,421
Benchmark Electronics* 1,700 31
Blackbaud 13,185 320
Blackboard (B)* 25,440 848
Blue Coat Systems* 86,625 1,909
BluePhoenix Solutions* 55,780 466
BMC Software* 86 3
Bottomline Technologies* 7,894 99
Brooks Automation* 91,300 887
CACI International, Cl A* 7,087 323
Cadence Design Systems* 23,516 251
Cavium Networks (B)* 76,700 1,258
China Digital TV Holding ADR (B)* 76,400 1,424
Chordiant Software* 80,300 484
CommScope* 38,895 1,355
Commvault Systems (B)* 56,000 694
ComScore (B)* 20,000 401
Comtech Group (B)* 86,600 934
Comtech Telecommunications* 6,442 251
Comverge (B)* 14,071 145
Concur Technologies (B)* 87,300 2,711
Conexant Systems* 184,577 107
Cray* 52,402 312
Credence Systems* 112,626 191
CSG Systems International (B)* 98,900 1,124
Cybersource* 93,265 1,363
Cymer* 50,660 1,319
Cypress Semiconductor* 52,005 1,228
Daktronics (B) 32,366 580
Data Domain* 75,000 1,785
DealerTrack Holdings* 37,705 762
Digi International* 9,155 106
Digimarc* 27,884 279
Digital River* 12,550 389
Diodes (B)* 48,757 1,071
DSP Group (B)* 191,500 2,440
DTS (B)* 81,848 1,964
Dycom Industries* 40,400 485
Echelon (B)* 26,650 360
EFJ* 117,900 141
Elixir Gaming Technologies* 211,460 410
EMS Technologies* 15,600 423
Emulex* 94,049 1,527
Epicor Software* 7,268 81
Equinix (B)* 31,659 2,105
Euronet Worldwide (B)* 55,740 1,074
F5 Networks* 17,300 314
Factset Research Systems (B) 19,755 1,064
FalconStor Software (B)* 99,175 755
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
FARO Technologies* 4,000 $ 125
FEI* 26,000 568
Flir Systems (B)* 22,100 665
Greenfield Online* 6,500 77
Harmonic (B)* 84,800 644
Harris Stratex Networks, Cl A (B)* 190,600 1,912
Hewitt Associates, Cl A* 6,919 275
Hittite Microwave (B)* 41,045 1,536
Hughes Communications* 3,700 188
Hutchinson Technology (B)* 72,900 1,160
Hypercom* 29,684 129
Imation 98,700 2,244
Informatica (B)* 141,340 2,411
Information Services Group* 108,680 561
infoUSA* 33,091 202
Integrated Device Technology* 31,412 281
Interactive Intelligence* 16,188 191
InterDigital* 12,683 251
InterVoice* 588 5
Interwoven* 9,000 96
IPG Photonics (B)* 107,990 1,694
IXYS* 17,969 123
Jack Henry & Associates (B) 70,000 1,727
JDA Software Group* 152,200 2,778
Jupitermedia* 191,500 400
Knot (B)* 12,575 148
LDK Solar ADR (B)* 14,400 389
Lionbridge Technologies* 85,135 285
Liquidity Services (B)* 57,108 457
LoJack* 33,800 427
Mantech International, Cl A* 25,600 1,161
Marchex, Cl B (B)* 144,400 1,441
MAXIMUS (B) 15,300 562
Measurement Specialties* 2,358 41
MEMSIC* 161,900 973
Micros Systems* 65,265 2,197
Microsemi (B)* 242,924 5,539
MicroStrategy, Cl A* 4,534 335
MIPS Technologies (B)* 343,200 1,359
Monolithic Power Systems* 66,136 1,166
Move* 143,800 443
MTS Systems 8,735 282
Multi-Fineline Electronix (B)* 33,056 620
National Semiconductor 14,464 265
Net 1 UEPS Technologies (B)* 94,139 2,123
Netgear* 2,600 52
Netlogic Microsystems (B)* 28,084 678
Network Equipment Technologies (B)* 61,200 402
NeuStar, Cl A* 42,930 1,137
Novatel Wireless (B)* 247,601 2,397
Nuance Communications (B)* 71,425 1,244
Omniture (B)* 164,475 3,817
- --------------------------------------------------------------------------------
64 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
ON Semiconductor (B)* 282,076 $ 1,602
Open Text* 33,585 1,052
OSI Systems* 45,900 1,057
Palm (B)* 277,000 1,385
Park Electrochemical 74,600 1,928
Parkervision (B)* 169,700 1,313
Perfect World ADR (B)* 83,480 1,896
Perficient* 7,600 60
Phoenix Technologies* 3,274 51
Plantronics 11,623 224
PLX Technology (B)* 128,427 857
PMC - Sierra (B)* 241,200 1,375
Polycom (B)* 296,400 6,681
Power Integrations* 58,295 1,706
Presstek (B)* 73,522 322
QAD 7,286 61
QLogic (B)* 80,239 1,232
Quality Systems (B) 24,994 747
Radiant Systems* 53,599 749
Red Hat (B)* 298,800 5,495
Renaissance Learning 4,781 67
RF Micro Devices (B)* 707,700 1,882
Rimage* 11,858 260
Riverbed Technology (B)* 241,500 3,589
Rudolph Technologies* 242,000 2,364
SAVVIS* 62,130 1,011
Scansource* 9,291 336
Seachange International* 228,000 1,603
Secure Computing (B)* 86,994 561
Shanda Interactive Entertainment
ADR* 31,860 927
ShoreTel (B)* 65,500 335
Sigma Designs (B)* 32,259 731
Sina (B)* 51,253 1,807
Skyworks Solutions (B)* 308,400 2,245
Smart Modular Technologies* 5,900 37
Sohu.com (B)* 19,500 880
Solera Holdings* 48,780 1,188
SPSS (B)* 30,755 1,193
Standard Microsystems* 8,735 255
STEC* 32,004 198
Stratasys (B)* 55,488 988
Switch & Data Facilities* 24,438 250
Sybase (B)* 65,697 1,728
Symmetricom* 27,887 97
Synaptics* 12,132 290
Synchronoss Technologies (B)* 80,555 1,614
Synopsys* 11,017 250
Taleo, Cl A* 71,620 1,389
Technitrol* 12,174 282
TechTarget* 36,105 512
Tekelec* 5,458 68
Terremark Worldwide* 155,105 850
Tessera Technologies (B)* 32,010 666
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
THQ (B)* 64,841 $ 1,414
TNS 149 3
Travelzoo* 4,464 49
Trimble Navigation* 27,470 785
Trina Solar ADR (B)* 28,800 885
Triquint Semiconductor* 414,554 2,098
TTM Technologies* 224,217 2,538
Tyler Technologies* 26,688 373
Ultimate Software Group* 73,845 2,220
Ultra Clean Holdings* 58,800 576
Unica* 8,672 59
Universal Display (B)* 85,300 1,221
Valueclick (B)* 83,243 1,436
Vasco Data Security International (B)* 40,920 560
Verigy* 14,400 271
Viasat* 2,400 52
Vignette* 64,638 854
Virtusa* 34,638 338
VistaPrint (B)* 73,123 2,556
Wind River Systems* 356,100 2,756
Wright Express* 4,177 128
Zoran* 21,754 297
Zygo* 129,801 1,615
--------------
191,617
--------------
MATERIALS -- 4.3%
ADA-ES* 20,700 173
AEP Industries* 9,165 278
AK Steel Holding* 6,764 368
AM Castle 10,834 292
Brush Engineered Materials* 10,641 273
Carpenter Technology 28,100 1,573
CF Industries Holdings 1,800 186
Crown Holdings* 10,783 271
Esmark (B)* 111,200 1,257
Frontera Copper (Canada)* 210,100 1,065
Glatfelter 85 1
Greif, Cl A (B) 44,175 3,001
Grupo Simec SAB de CV ADR* 175,000 1,948
Haynes International (B)* 18,700 1,026
Hecla Mining (B)* 131,334 1,466
Hercules 203,937 3,730
Horsehead Holding (B)* 173,084 2,004
Katanga Mining (Canada)* 131,200 1,995
Koppers Holdings 43,522 1,928
LSB Industries* 1,029 15
NewMarket 4,758 359
Olin (B) 60,155 1,189
Olympic Steel 5,134 231
Reliance Steel & Aluminum 5,407 324
Rock-Tenn, Cl A 1,020 31
Schnitzer Steel Industries, Cl A (B) 17,064 1,212
Sherritt International (Canada) 116,100 1,643
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 65
SCHEDULE OF INVESTMENTS (Unaudited)
Small Cap Growth Fund (Concluded)
March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Silgan Holdings 23,285 $ 1,156
Steel Dynamics (B) 53,800 1,778
Stillwater Mining (B)* 8,300 128
Terra Industries (B)* 45,800 1,627
Universal Stainless & Alloy* 43,752 1,300
Western Goldfields* 430,000 1,376
--------------
35,204
--------------
TELECOMMUNICATION SERVICES -- 2.3%
Alaska Communications
Systems Group 17,620 216
Cbeyond (B)* 92,617 1,740
Centennial Communications (B)* 333,200 1,969
Clearwire, Cl A (B)* 178,700 2,647
Cogent Communications Group (B)* 88,536 1,621
Fairpoint Communications (B) 242,000 2,183
iPCS 13,390 313
NTELOS Holdings 48,940 1,184
Premiere Global Services* 91,200 1,308
SBA Communications, Cl A (B)* 142,139 4,240
Shenandoah Telecom* 2,939 44
Syniverse Holdings* 59,210 986
Time Warner Telecom, Cl A* 42,835 663
--------------
19,114
--------------
UTILITIES -- 1.0%
AGL Resources 46 2
Atmos Energy 33 1
Cascal* 139,200 1,670
Cia de Saneamento de Minas
Gerais-COPASA (Brazil)* 91,000 1,379
Cleco 168 4
ITC Holdings (B) 34,058 1,773
Ormat Technologies (B) 25,100 1,080
PNOC Energy Development
(Philippines)* 12,377,500 1,748
Southern Union 9,553 222
--------------
7,879
--------------
Total Common Stock
(Cost $861,502) ($ Thousands) 793,424
--------------
EXCHANGE TRADED FUND -- 0.1%
Midcap SPDR Trust, Ser 1 4,417 623
--------------
Total Exchange Traded Fund
(Cost $608) ($ Thousands) 623
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
Number of
Warrants
---------
WARRANTS* -- 0.0%
Grubb & Ellis Realty,
Expires 02/27/10 791,400 $ --
Oilsands Quest, Expires 12/05/09 17,500 16
Rentech, Expires 04/25/12 (D) (G) (I) 19,400 4
Titanium Asset Management,
Expires 06/21/11 147,800 199
Victory Acquisition, Expires 04/24/11 156,541 88
--------------
Total Warrants
(Cost $266) ($ Thousands) 307
--------------
CORPORATE OBLIGATION (C) (F) -- 0.7%
FINANCIALS -- 0.7%
SLM MTN, Ser S
2.827%, 04/14/08 $ 5,654 5,654
--------------
Total Corporate Obligation
(Cost $5,654) ($ Thousands) 5,654
--------------
CONVERTIBLE BOND -- 0.2%
Nova BioSource
10.000%, 09/30/12 1,926 1,741
--------------
Total Convertible Bond
(Cost $1,926) ($ Thousands) 1,741
--------------
U.S. TREASURY OBLIGATION (A) (E) -- 0.2%
U.S. Treasury Bill
2.167%, 05/22/08 1,405 1,403
--------------
Total U.S. Treasury Obligation
(Cost $1,401) ($ Thousands) 1,403
--------------
CASH EQUIVALENTS** -- 39.8%
Merrill Lynch EBP Master, 2.090% 10,002,183 10,002
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 3.190%++ 12,300,266 12,300
SEI Liquidity Fund L.P.++,
3.200% (C) 303,014,586 303,015
--------------
Total Cash Equivalents
(Cost $325,317) ($ Thousands) 325,317
--------------
Total Investments -- 138.1%
(Cost $1,196,674) ($ Thousands) $ 1,128,469
==============
- --------------------------------------------------------------------------------
66 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
A summary of the open futures contracts held by the Fund at March 31, 2008, 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 66 Jun-2008 $ 176
=============
Percentages are based on Net Assets of $816,868 ($ Thousands).
* Non-Income Producing Security.
** Rate shown is the 7-day effective yield as of March 31, 2008.
+ 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 March
31, 2008 (see Note 7). The total value of securities on loan at March 31,
2008 was $294,976 ($ Thousands).
(C) This security was purchased with cash collateral held from securities on
loan (see Note 7). The total value of such securities as of March 31, 2008
was $308,669 ($ Thousands).
(D) This security considered restricted. The total value of such securities as
of March 31, 2008 was $4,832 ($ Thousands) and represented 0.59% of Net
Assets.
(E) The rate reported is the effective yield at time of purchase.
(F) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of March 31, 2008.
(G) Securities considered illiquid. The total value of such securities as of
March 31, 2008 was $4,832 ($ Thousands) and represented 0.59% of Net
Assets.
(H) Securities sold within terms of a private placement memorandum, exempt
from registration under Section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors." These securities have been determined to be liquid
under guidelines established by the Board of Trustees.
(I) Security fair valued using methods determined in good faith by the
Valuation Committee of the Board of Trustees. The total value of such
securities as of March 31, 2008 was $4,832 ($ Thousands) and represented
0.59% of Net Assets.
ADR -- American Depositary Receipt
BDR -- British Depositary Receipt
Cl -- Class
L.P. -- Limited Partnership
MTN -- Medium Term Note
PIPE -- Public Investment in Public Entity
Ser -- Series
SPDR -- Standard and Poor's Depository Receipt
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 67
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Small Cap Fund
March 31, 2008
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS#:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Short-Term Investments 27.1%
Information Technology 13.9%
Industrials 12.5%
Financials 11.3%
Consumer Discretionary 9.8%
Health Care 9.2%
Energy 5.0%
Materials 4.4%
Utilities 3.2%
Consumer Staples 2.5%
Telecommunication Services 0.9%
U.S. Treasury Obligation 0.2%
Rights 0.0%
Warrants 0.0%
# Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 7).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 97.8%
CONSUMER DISCRETIONARY -- 13.1%
99 Cents Only Stores (B)* 4,000 $ 40
Aaron Rents 2,300 50
Abercrombie & Fitch, Cl A 2,594 190
Advance Auto Parts 9,900 337
Aeropostale* 1,500 41
AH Belo, Cl A* 3,140 36
American Eagle Outfitters 4,150 73
American Greetings, Cl A (B) 19,200 356
Ameristar Casinos 1,700 31
AnnTaylor Stores* 3,000 73
Arbitron (B) 2,400 104
ArvinMeritor (B) 21,100 264
Autoliv (B) 17,900 899
AutoNation* 10,115 151
Bally Technologies* 3,600 124
Barnes & Noble 3,200 98
Beazer Homes USA (B) 6,200 59
Belo, Cl A (B) 13,900 147
Big Lots* 10,800 241
Black & Decker (B) 11,000 727
Blyth* 2,700 53
Bob Evans Farms 3,200 88
Bon-Ton Stores (B) 15,100 83
Borders Group (B) 16,200 95
BorgWarner (B) 7,800 336
Bright Horizons Family Solutions* 900 39
Brinker International 16,000 297
Brunswick 18,500 295
Cabela's (B)* 5,600 79
Callaway Golf 2,200 32
Carmax (B)* 4,400 85
Carter's* 12,800 207
Cato, Cl A (B) 28,250 422
CBRL Group (B) 7,600 272
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Central European Media Enterprises, Cl A* 1,300 $ 111
Champion Enterprises (B)* 4,000 40
Charming Shoppes (B)* 5,500 27
Cherokee (B) 900 30
Chico's FAS* 37,200 264
Childrens Place Retail Stores (B)* 10,500 258
Chipotle Mexican Grill, Cl A (B)* 7,400 839
Cinemark Holdings (B) 3,600 46
Circuit City Stores (B) 11,100 44
Coach* 3,400 103
Coinstar* 2,000 56
Columbia Sportswear 100 4
Conn's (B)* 12,400 202
Corinthian Colleges (B)* 41,390 299
CROCS (B)* 73,750 1,288
Dana (B) 89,500 1
Deckers Outdoor* 300 32
Denny's* 9,200 27
Dick's Sporting Goods (B)* 1,600 43
Dillard's, Cl A (B) 3,400 59
Discovery Holding, Cl A* 1,700 36
Dolan Media* 1,200 24
Dollar Tree* 4,700 130
Domino's Pizza 5,000 67
Dover Motorsports (B) 22,500 138
DreamWorks Animation SKG, Cl A* 8,125 209
Eastman Kodak 4,325 76
Ethan Allen Interiors (B) 1,400 40
Expedia* 1,600 35
Family Dollar Stores 13,700 267
Fossil* 1,300 40
GameStop, Cl A (B)* 12,151 628
Gander Mountain (B)* 18,200 111
Gaylord Entertainment* 1,700 51
Gemstar-TV Guide International* 8,500 40
Gentex 5,300 91
Getty Images* 5,947 190
Goodyear Tire & Rubber* 22,932 592
Guess? (B) 34,515 1,397
Gymboree (B)* 21,500 857
Handleman (B)* 13,300 3
Harman International Industries 802 35
Harte-Hanks 4,500 62
Hasbro 19,700 550
Hearst-Argyle Television 6,900 142
Heelys* 5,700 24
Hooker Furniture (B) 17,800 398
IAC/InterActive* 9,300 193
Iconix Brand Group (B)* 1,600 28
Ihop (B) 1,900 91
Interactive Data 900 26
iRobot* 1,900 32
- --------------------------------------------------------------------------------
68 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
ITT Educational Services (B)* 2,359 $ 108
J Crew Group* 25,800 1,140
Jakks Pacific (B)* 16,800 463
Jarden* 28,464 619
Jones Apparel Group 21,722 292
Journal Communications, Cl A (B) 39,400 291
KB Home 3,400 84
Lamar Advertising, Cl A (B) 1,400 50
Lear* 15,700 407
Lee Enterprises (B) 7,600 76
Live Nation* 7,000 85
LKQ (B)* 77,450 1,740
Lululemon Athletica (B)* 27,400 779
Martha Stewart Living Omnimedia, Cl A (B)* 44,200 328
Matthews International, Cl A* 3,400 164
McClatchy, Cl A (B) 12,200 131
MDC Holdings 1,100 48
Men's Wearhouse 1,400 33
Mestek* 2,100 25
Modine Manufacturing (B) 17,900 259
Morgans Hotel Group (B)* 26,900 399
Morningstar* 3,800 233
National CineMedia (B) 4,000 90
NetFlix (B)* 17,445 604
NexCen Brands* 2,975 10
NVR* 700 418
O'Reilly Automotive* 1,600 46
OfficeMax 11,300 216
Orient-Express Hotels, Cl A (B) 11,900 514
Pacific Sunwear Of California (B)* 48,900 617
Panera Bread, Cl A (B)* 800 34
Papa John's International* 1,400 34
Penn National Gaming* 8,300 363
Penske Auto Group 600 12
Phillips-Van Heusen 21,700 823
Pier 1 Imports (B)* 37,100 233
Pinnacle Entertainment* 45,661 584
Polaris Industries (B) 7,800 320
Polo Ralph Lauren 4,400 256
Pool (B) 7,600 144
Pre-Paid Legal Services (B)* 800 34
priceline.com (B)* 12,765 1,543
Quiksilver (B)* 236,300 2,318
RadioShack (B) 19,000 309
Raser Technologies (B)* 6,400 55
RC2* 725 15
Regal Entertainment Group, Cl A (B) 1,300 25
Regis 4,100 113
Rent-A-Center* 5,986 110
RH Donnelley (B)* 8,000 40
Ross Stores 900 27
Ruby Tuesday 34,800 261
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Ryland Group 8,600 $ 283
Saks (B)* 31,593 394
Salem Communications, Cl A 6,229 25
Sally Beauty Holdings* 4,725 33
Sauer-Danfoss 4,011 89
Scholastic (B)* 17,700 536
Scientific Games, Cl A (B)* 39,654 837
Sealy (B) 14,900 113
Service International 3,400 34
Sinclair Broadcast Group, Cl A 5,700 51
Skechers U.S.A., Cl A* 2,500 51
Snap-On (B) 6,715 341
Sonic (B)* 25,100 553
Sonic Automotive, Cl A 12,800 263
Sotheby's (B) 11,150 322
Stamps.com* 1,600 16
Strayer Education 1,800 274
Syntax-Brillian* 22,700 22
Talbots (B) 44,188 476
Tempur-Pedic International (B) 2,300 25
Thor Industries (B) 600 18
Tiffany 9,300 389
TravelCenters of America LLC* 780 5
Triarc, Cl B 15,200 105
Tupperware Brands (B)* 13,405 518
Ulta Salon Cosmetics & Fragrance* 2,500 35
Under Armour, Cl A (B)* 6,655 244
Universal Electronics (B)* 11,230 272
Urban Outfitters (B)* 59,200 1,856
Vail Resorts (B)* 1,400 68
Visteon* 6,575 25
Warnaco Group* 1,510 60
Warner Music Group (B) 46,200 230
Wendy's International 3,700 85
Whirlpool 8,500 738
Williams-Sonoma (B) 16,300 395
Winnebago Industries (B) 1,600 27
WMS Industries* 12,250 441
Wynn Resorts (B)* 7,400 745
XM Satellite Radio Holdings, Cl A* 3,900 45
Zale (B)* 2,900 57
Zumiez* 1,800 28
-------------
45,846
-------------
CONSUMER STAPLES -- 3.4%
American Italian Pasta, Cl A (B) 6,300 34
American Oriental Bioengineering* 15,500 126
Andersons 729 32
Avon Products 5,352 212
Bare Escentuals (B)* 8,300 194
BJ's Wholesale Club (B)* 24,300 867
Boston Beer, Cl A (B)* 800 38
Bunge 798 69
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 69
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Small Cap Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Casey's General Stores 900 $ 20
Central Garden and Pet, Cl A* 24,041 107
Chattem (B)* 13,120 870
Church & Dwight 4,600 249
Corn Products International 3,764 140
Diamond Foods 1,900 34
Elizabeth Arden* 13,462 269
Energizer Holdings* 1,000 90
Flowers Foods 1,650 41
Fresh Del Monte Produce 6,634 241
Hain Celestial Group (B)* 22,800 673
Hansen Natural* 2,225 79
Lancaster Colony 1,400 56
Lance 1,400 27
Longs Drug Stores (B) 8,600 365
McCormick 23,800 880
Molson Coors Brewing, Cl B 33,986 1,787
Nash Finch 11,300 384
NBTY* 1,200 36
Nu Skin Enterprises, Cl A 16,710 301
Pepsi Bottling Group 14,200 482
PepsiAmericas 9,200 235
Performance Food Group* 1,000 33
Pilgrim's Pride 8,000 162
Prestige Brands Holdings* 5,100 42
Pricesmart 1,600 44
Ralcorp Holdings* 1,100 64
Ruddick 19,067 703
Seaboard 89 139
SUPERVALU 20,900 627
Tootsie Roll Industries (B) 3,000 76
TreeHouse Foods* 3,700 85
Tyson Foods, Cl A 2,400 38
Universal (B) 6,930 454
Village Super Market, Cl A (B) 3,400 175
WD-40 900 30
Whole Foods Market (B) 8,400 277
-------------
11,887
-------------
ENERGY -- 6.7%
Arena Resources* 750 29
Alon USA Energy 1,985 30
Alpha Natural Resources* 7,730 336
Arch Coal 2,046 89
ATP Oil & Gas (B)* 5,275 173
Atwood Oceanics (B)* 4,000 367
Basic Energy Services (B)* 3,100 68
Berry Petroleum, Cl A 3,400 158
Bill Barrett (B)* 1,000 47
BPZ Resources* 3,350 73
Bristow Group (B)* 1,800 97
Cameron International (B)* 27,250 1,135
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CARBO Ceramics 800 $ 32
Cheniere Energy (B)* 1,100 22
Cimarex Energy 7,885 432
Compagnie Generale de Geophysique-Veritas ADR* 16,400 812
Consol Energy 1,600 111
Continental Resources 8,300 265
Core Laboratories (B)* 2,515 300
Crosstex Energy 1,785 61
Delek US Holdings (B) 1,800 23
Denbury Resources* 8,900 254
Dresser-Rand Group* 18,840 579
Dril-Quip* 8,690 404
Encore Acquisition* 1,400 56
ENSCO International 1,800 113
EOG Resources 800 96
Exterran Holdings (B)* 6,254 404
FMC Technologies (B)* 26,875 1,529
Forest Oil* 2,359 116
Foundation Coal Holdings 10,125 510
General Maritime (B) 1,400 33
Global Industries* 24,400 393
GMX Resources* 975 34
Golar (B) 2,900 53
Goodrich Petroleum (B)* 3,000 90
Grant Prideco* 5,000 246
Grey Wolf* 12,000 81
Gulf Island Fabrication (B) 1,200 34
Gulfmark Offshore* 1,000 55
Harvest Natural Resources (B)* 2,600 31
Helix Energy Solutions Group* 31,300 986
Helmerich & Payne 4,500 211
Hercules Offshore* 9,400 236
Hess 3,600 317
Hugoton Royalty Trust* 3,650 101
ION Geophysical* 43,200 596
Kinder Morgan Management LLC* 2,060 105
Lufkin Industries 1,100 70
Mariner Energy* 3,274 88
Massey Energy 2,969 108
McMoRan Exploration (B)* 3,710 64
NATCO Group, Cl A (B)* 6,835 320
National Oilwell Varco (B)* 4,200 245
Newfield Exploration* 2,600 137
Occidental Petroleum 2,856 209
Oceaneering International* 10,250 646
Oil States International* 1,300 58
Overseas Shipholding Group 3,500 245
Patriot Coal* 240 11
Patterson-UTI Energy (B) 40,400 1,058
Peabody Energy 2,400 122
PetroHawk Energy (B)* 30,400 613
Petroleum Development* 2,850 197
- --------------------------------------------------------------------------------
70 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Plains Exploration & Production* 3,525 $ 187
Pride International* 10,700 374
Quicksilver Resources* 1,300 47
Range Resources 3,700 235
Rosetta Resources* 4,100 81
Rowan 13,700 564
RPC 3,375 51
Southwestern Energy* 2,000 67
Stone Energy* 2,400 126
Sunoco 11,600 609
Superior Energy Services* 13,200 523
Swift Energy* 18,400 828
Tesoro 35,179 1,055
Tetra Technologies* 29,150 462
Tidewater 1,720 95
Transmontaigne Partners L.P. 600 17
Ultra Petroleum* 900 70
Unit* 8,175 463
US BioEnergy* 29,000 171
VeraSun Energy (B)* 8,100 60
W&T Offshore 2,150 73
W-H Energy Services* 900 62
Whiting Petroleum* 1,000 65
Willbros Group (B)* 16,700 511
Williams 2,885 95
-------------
23,405
-------------
FINANCIALS -- 15.2%
Abington Bancorp 3,900 40
Acadia Realty Trust+ 2,000 48
Advance America Cash Advance Centers 41,100 310
Affiliated Managers Group* 26,470 2,402
Agree Realty+ 1,700 47
Alesco Financial 9,875 28
Alexander's+* 100 35
Alexandria Real Estate Equities+ 4,300 399
Alfa 1,200 26
AllianceBernstein Holding L.P. 457 29
AMB Property+ (B) 3,900 212
American Financial Group (B) 33,300 851
American Financial Realty Trust+ 20,200 160
American National Insurance 500 53
AmeriCredit (B)* 34,700 349
Annaly Capital Management+ 43,705 670
AON 10,600 426
Apartment Investment & Management, Cl A++ 313 11
Apollo Investment (B) 5,600 89
Ares Capital 8,500 107
Ashford Hospitality Trust+ (B) 41,700 237
Aspen Insurance Holdings 21,400 565
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Assured Guaranty 1,400 $ 33
Asta Funding 900 13
Astoria Financial (B) 15,700 426
AvalonBay Communities+ 2,900 280
Axis Capital Holdings 900 31
BancFirst 700 32
Banco Latinoamericano de Exportaciones* 31,500 485
Bancorpsouth 3,200 74
Bank Mutual 1,700 18
Bank of Hawaii 6,300 312
Bear Stearns 1,000 11
Beneficial Mutual Bancorp* 9,000 89
BioMed Realty Trust+ 800 19
BlackRock 1,396 285
BlackRock Kelso Capital (B) 3,200 38
Blackstone Group L.P. (B)* 54,700 869
Brandywine Realty Trust+ 7,000 119
BRE Properties, Cl A+ 400 18
Capital Lease Funding+ (B) 2,500 19
Capitol Federal Financial (B) 300 11
Cash America International 1,000 36
Cathay General Bancorp (B) 1,400 29
CBL & Associates Properties+ 5,000 118
Chimera Investment* 2,500 31
CIT Group 16,700 198
Citizens Republic Bancorp (B) 11,800 147
City Bank 1,632 36
City National 500 25
Clayton Holdings* 19,400 90
Clifton Savings Bancorp 9,700 98
CME Group 704 330
Cohen & Steers (B) 3,100 82
Colonial BancGroup (B) 45,500 438
Colonial Properties Trust+ 6,300 152
Comerica 28,700 1,007
Commerce Bancshares (B) 2,082 88
Community Bank System (B) 33,200 815
Corporate Office Properties Trust+ 700 24
Cousins Properties+ (B) 2,600 64
Cullen/Frost Bankers (B) 14,100 748
DCT Industrial Trust+* 7,800 78
Deerfield Capital 1,612 2
Delphi Financial Group, Cl A 600 18
DiamondRock Hospitality+ 1,600 20
Digital Realty Trust+ (B) 2,700 96
Discover Financial Services 6,700 110
East West Bancorp (B) 20,000 355
Eaton Vance 18,679 570
EMC Insurance Group 3,420 92
Employers Holdings 6,900 128
Endurance Specialty Holdings 4,798 176
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 71
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Small Cap Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Enstar Group (B)* 600 $ 67
Entertainment Properties Trust+ 800 39
Equity Lifestyle Properties+ 2,800 138
Essex Property Trust+ 2,600 296
Everest Re Group 9,500 851
Extra Space Storage+ (B) 10,200 165
FCStone Group* 2,000 55
Federal Agricultural Mortgage, Cl C 300 8
Federal Realty Investment Trust+ 300 23
Federated Investors, Cl B 2,300 90
FelCor Lodging Trust+ 6,100 73
Financial Federal 15,500 338
Financial Institutions 2,200 42
First American (B) 25,300 859
First Bancorp Puerto Rico 4,200 43
First Busey (B) 2,300 49
First Commonwealth Financial (B) 13,200 153
First Financial Bankshares 1,500 61
First Industrial Realty Trust+ (B) 1,000 31
First Marblehead 2,825 21
First Mercury Financial* 12,282 214
First Midwest Bancorp (B) 11,500 319
First Niagara Financial Group 61,300 833
FirstMerit 3,300 68
Flagstone Reinsurance Holdings 8,500 103
FNB (Pennsylvania) (B) 11,000 172
Forestar Real Estate Group* 3,300 82
Frontier Financial (B) 6,200 110
General Growth Properties+ 7,400 282
Getty Realty+ (B) 4,400 70
GFI Group* 2,200 126
Glimcher Realty Trust+ 9,400 112
Greenhill (B) 8,100 563
Hancock Holding 900 38
Hanover Insurance Group (B) 18,400 757
Harleysville Group 3,500 126
HCC Insurance Holdings 10,000 227
HCP+ 1,100 37
Healthcare Realty Trust+ (B) 3,100 81
Hersha Hospitality Trust+ 57,600 520
Highwoods Properties+ 600 19
Hilb Rogal & Hobbs 2,300 72
Hilltop Holdings+* 6,400 67
Home Bancshares (B) 10,700 223
Horace Mann Educators 3,500 61
Hospitality Properties Trust+ (B) 23,100 786
Host Hotels & Resorts+ (B) 22,200 353
HRPT Properties Trust+ (B) 68,500 461
Hudson City Bancorp 5,600 99
Huntington Bancshares (B) 34,000 366
IndyMac Bancorp (B) 10,000 50
Inland Real Estate+ 10,700 163
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Interactive Brokers Group* 11,745 $ 302
IntercontinentalExchange* 3,735 487
Investment Technology Group* 1,300 60
Investors Real Estate Trust+ (B) 3,100 30
IPC Holdings (B) 11,400 319
Janus Capital Group 1,800 42
Jefferies Group (B) 40,583 655
Jones Lang LaSalle 2,900 224
KBW (B)* 13,400 295
Kilroy Realty+ 2,875 141
KKR Financial Holdings L.P. 17,300 219
Knight Capital Group, Cl A* 2,300 37
LandAmerica Financial Group (B) 6,200 245
LaSalle Hotel Properties+ 700 20
Lazard LP, Cl A 8,775 335
Legg Mason 508 28
Leucadia National 2,075 94
Lexington Realty Trust+ (B) 2,000 29
Macerich+ 1,800 126
Markel* 500 220
Marsh & McLennan 17,368 423
Max Capital Group 23,300 610
MCG Capital 29,500 268
Meruelo Maddux Properties* 123,000 312
MF Global* 1,700 17
MFA Mortgage Investments+ 4,000 25
MGIC Investment (B) 6,340 67
Midland 1,000 65
Mid-America Apartment Communities+ (B) 1,300 65
Montpelier Re Holdings 2,400 39
MVC Capital (B) 31,900 486
NASDAQ Stock Market* 14,330 554
National Financial Partners 5,857 132
National Health Investors+ 11,100 347
National Penn Bancshares (B) 5,400 98
National Retail Properties+ (B) 15,600 344
Nationwide Financial Services, Cl A 19,500 922
Nationwide Health Properties+ (B) 400 14
Navigators Group (B)* 10,718 583
NBT Bancorp 3,100 69
New York Community Bancorp (B) 10,823 197
NewAlliance Bancshares 9,600 118
Newcastle Investment+ (B) 3,800 31
Northwest Bancorp (B) 1,100 30
NYSE Euronext 1,375 85
Och-Ziff Capital Management Group LLC, Cl A* 30,500 641
Old National Bancorp (B) 24,900 448
Old Republic International 27,375 353
Omega Healthcare Investors+ 7,100 123
One Liberty Properties+ (B)* 1,500 24
- --------------------------------------------------------------------------------
72 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
OneBeacon Insurance Group 1,400 $ 27
optionsXpress Holdings (B) 3,800 79
Pacific Capital Bancorp 1,600 34
Park National (B) 2,200 156
Parkway Properties+ 900 33
PartnerRe 700 53
PennantPark Investment (B) 27,991 238
Pennsylvania Real Estate Investment Trust+ (B) 4,900 120
People's United Financial (B) 55,890 967
Piper Jaffray* 17,600 598
Platinum Underwriters Holdings 5,600 182
PMI Group 18,200 106
Popular (B) 23,100 269
Post Properties+ 600 23
Potlatch 900 37
ProAssurance (B)* 3,700 199
Prosperity Bancshares (B) 9,900 284
Provident Bankshares (B) 15,800 170
PS Business Parks+ 1,800 93
Public Storage+ 4,159 369
Radian Group (B) 35,000 230
RAIT Financial Trust+ (B) 42,000 291
Rayonier+ (B) 9,350 406
Realty Income+ (B) 7,400 190
Redwood Trust+ (B) 7,789 283
Reinsurance Group of America (B) 5,410 295
S&T Bancorp 900 29
Safeco 15,000 658
Saul Centers+ 1,300 65
South Financial Group 6,100 91
Sovran Self Storage+ (B) 1,600 68
St. Joe 15,651 672
Stancorp Financial Group 8,800 420
State Auto Financial 1,400 41
State Street 3,895 308
Sterling Bancshares 30,700 305
Sterling Financial, Washington Shares 6,700 105
Strategic Hotels & Resorts+ 2,200 29
Sunstone Hotel Investors+ (B) 25,800 413
Susquehanna Bancshares 4,570 93
SVB Financial Group* 1,300 57
SWS Group 3,400 42
T. Rowe Price Group 1,316 66
Tanger Factory Outlet Centers+ (B) 900 35
TCF Financial (B) 35,300 633
TD Ameritrade Holding* 8,629 142
Tejon Ranch* 2,600 97
Toronto-Dominion Bank (Canada) (B) 1,783 109
Transatlantic Holdings 718 48
Triad Guaranty (B)* 19,200 96
U-Store-It Trust+ 3,500 40
UCBH Holdings 3,600 28
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Umpqua Holdings (B) 7,500 $ 116
UnionBanCal 14,300 702
United Fire & Casualty 2,000 75
Unitrin 10,800 382
Universal Health Realty Income Trust+ 300 10
Unum Group 39,200 863
Validus Holdings* 1,300 30
Ventas+ 1,400 63
Waddell & Reed Financial, Cl A 5,900 190
Washington Federal 1,800 41
Washington Real Estate Investment Trust+ (B) 1,600 53
Westfield Financial (B) 2,625 26
Whitney Holding 27,600 684
Wintrust Financial 3,200 112
WR Berkley 6,700 186
Zions Bancorporation 9,800 446
--------------
53,238
--------------
HEALTH CARE -- 12.4%
Abaxis* 2,200 51
Abraxis Bioscience* 10,025 592
Acadia Pharmaceuticals (B)* 65,400 593
Accelrys* 46,500 252
Accuray (B)* 9,400 73
Adolor* 10,300 47
Advanced Medical Optics (B)* 29,900 607
Affymetrix* 57,200 996
Air Methods* 708 34
Albany Molecular Research* 3,100 38
Alexion Pharmaceuticals (B)* 1,400 83
Alexza Pharmaceuticals* 1,200 8
Align Technology (B)* 8,365 93
Alpharma, Cl A* 1,008 26
Amedisys (B)* 11,035 434
American Medical Systems Holdings (B)* 3,400 48
AMERIGROUP* 1,920 53
Amsurg* 4,200 99
Amylin Pharmaceuticals (B)* 2,400 70
Analogic* 1,474 98
APP Pharmaceuticals (B)* 54,900 663
Applera -- Applied Biosystems Group 13,885 456
Applera -- Celera Group (B)* 31,100 457
Apria Healthcare Group (B)* 21,700 429
Arena Pharmaceuticals* 3,900 27
Arthrocare (B)* 11,100 370
Barr Pharmaceuticals (B)* 17,400 841
Beckman Coulter 500 32
Bio-Rad Laboratories, Cl A* 900 80
BioMarin Pharmaceuticals (B)* 24,960 883
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 73
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Small Cap Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Bruker BioSciences* 4,400 $ 68
Cambrex (B) 50,700 351
Celgene* 1,422 87
Cell Genesys (B)* 77,400 182
Centene* 800 11
Cephalon (B)* 24,821 1,599
Cerner (B)* 400 15
Charles River Laboratories International* 3,450 203
Chemed 11,264 475
Community Health Systems (B)* 28,500 957
Computer Programs & Systems 820 17
Conmed* 2,100 54
Cooper (B) 24,635 848
Corvel* 693 21
Cougar Biotechnology PIPE (F) (G)* 11,400 239
Covance* 4,975 413
Cubist Pharmaceuticals (B)* 71,400 1,315
CV Therapeutics (B)* 65,100 464
Cyberonics* 1,300 19
Datascope 11,200 464
DaVita* 20,100 960
Dentsply International 20,100 776
Dionex* 500 39
Discovery Laboratories* 26,400 62
Eclipsys* 3,896 76
Edwards Lifesciences (B)* 4,000 178
Endo Pharmaceuticals Holdings* 4,700 113
Enzon Pharmaceuticals (B)* 2,600 24
eResearchTechnology* 10,948 136
ev3* 3,187 26
Exelixis* 14,300 99
Express Scripts* 11,050 711
Forest Laboratories* 5,175 207
Gen-Probe* 700 34
Genzyme* 4,802 358
Geron (B)* 21,200 103
GTx (B)* 2,200 35
Haemonetics* 700 42
Health Management Associates, Cl A 17,800 94
Health Net* 15,625 481
Healthsouth (B)* 3,300 59
Healthways (B)* 3,500 124
Henry Schein* 300 17
Hi-Tech Pharmacal (B)* 3,000 27
Hillenbrand Industries 2,300 110
HLTH (B)* 10,870 104
Hologic (B)* 19,107 1,062
Human Genome Sciences* 14,800 87
Humana* 300 14
Idexx Laboratories (B)* 8,550 421
Illumina* 3,700 281
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Immucor (B)* 1,950 $ 42
Immunomedics* 4,400 12
IMS Health 11,200 235
Integra LifeSciences Holdings (B)* 600 26
Intuitive Surgical (B)* 1,450 470
Invacare (B) 3,100 69
inVentiv Health* 1,000 29
Inverness Medical Innovations (B)* 2,917 88
Invitrogen (B)* 17,345 1,483
Isis Pharmaceuticals (B)* 3,900 55
Javelin Pharmaceuticals* 5,500 15
Kendle International (B)* 9,825 441
Keryx Biopharmaceuticals* 4,100 3
Kindred Healthcare* 14,927 326
King Pharmaceuticals* 20,000 174
KV Pharmaceutical, Cl A (B)* 3,300 82
Landauer 700 35
LCA-Vision (B) 18,400 230
Lifecell (B)* 10,800 454
LifePoint Hospitals* 1,200 33
Ligand Pharmaceuticals, Cl B* 5,500 22
Lincare Holdings* 9,200 259
Magellan Health Services* 12,352 490
MannKind* 2,700 16
Martek Biosciences (B)* 14,800 452
Medarex (B)* 231,200 2,046
MedAssets* 12,400 184
Medicines (B)* 5,800 117
Medicis Pharmaceutical, Cl A 8,900 175
Merit Medical Systems* 2,500 40
Metabolix (B)* 27,800 304
Millennium Pharmaceuticals (B)* 26,700 413
Millipore* 400 27
Myriad Genetics* 29,510 1,189
National Healthcare 1,200 58
Neurocrine Biosciences (B)* 24,600 133
NuVasive* 1,600 55
Omnicare 4,000 73
Omnicell* 1,731 35
Onyx Pharmaceuticals* 2,700 78
Orthofix International* 735 29
OSI Pharmaceuticals (B)* 5,218 195
Owens & Minor 3,485 137
Par Pharmaceutical* 3,770 66
Parexel International (B)* 10,900 285
Patterson* 10,600 385
Pediatrix Medical Group (B)* 7,740 522
Penwest Pharmaceuticals* 4,200 11
PerkinElmer 6,400 155
Perrigo 11,980 452
Pharmaceutical Product Development (B) 7,600 318
- --------------------------------------------------------------------------------
74 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Pharmacopeia (B)* 29,750 $ 110
PharMerica (B)* 17,700 293
Phase Forward* 3,300 56
PSS World Medical* 1,400 23
Psychiatric Solutions (B)* 16,705 567
Qiagen (B)* 15,394 320
Regeneron Pharmaceuticals (B)* 28,700 551
Resmed* 5,565 235
Savient Pharmaceuticals (B)* 26,010 520
Sciele Pharma (B)* 1,800 35
Seattle Genetics* 3,800 35
Sepracor* 600 12
Sirona Dental Systems* 4,825 130
STERIS 2,400 64
SurModics (B)* 1,100 46
Symmetry Medical* 14,000 232
Thermo Fisher Scientific* 3,600 205
Thoratec (B)* 2,000 29
Trizetto Group* 4,100 68
United Therapeutics (B)* 15,900 1,379
Universal American* 3,400 36
Universal Health Services, Cl B 1,514 81
Valeant Pharmaceuticals International* 6,000 77
Varian* 700 41
Varian Medical Systems (B)* 1,000 47
VCA Antech* 800 22
Vertex Pharmaceuticals (B)* 19,600 468
Vital Signs 1,400 71
Vnus Medical Technologies (B)* 4,400 80
Volcano* 2,600 33
Waters* 1,725 96
Watson Pharmaceuticals* 27,800 815
WellCare Health Plans* 475 19
Wright Medical Group* 2,900 70
Zoll Medical* 1,800 48
-------------
43,132
-------------
INDUSTRIALS -- 16.8%
AAON 1,500 30
ABX Holdings* 5,469 16
ACCO Brands* 2,900 39
Actuant, Cl A (B) 7,752 234
Advisory Board* 2,400 132
AGCO* 20,007 1,198
Alaska Air Group (B)* 13,800 271
Albany International, Cl A 11,284 408
Alexander & Baldwin 2,339 101
Alliant Techsystems* 688 71
Allied Waste Industries* 2,300 25
Amerco* 441 25
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
American Commercial Lines* 3,062 $ 48
American Ecology 32,700 828
American Reprographics* 2,700 40
American Superconductor (B)* 2,800 65
American Woodmark (B) 13,400 276
Ametek 750 33
Ampco-Pittsburgh 8,000 344
Angelica 1,400 25
AO Smith (B) 10,300 339
Applied Industrial Technologies 1,050 31
Arkansas Best 7,200 229
Atlas Air Worldwide Holdings* 800 44
Avis Budget Group (B)* 14,900 158
Baldor Electric 1,300 36
Barnes Group (B) 11,695 268
Basin Water (B)* 4,800 28
BE Aerospace (B)* 24,430 854
Blount International* 2,375 29
BlueLinx Holdings (B) 9,000 46
Bowne 23,500 358
Brady, Cl A 1,600 54
Briggs & Stratton 20,300 363
Brink's 29,000 1,948
Bucyrus International, Cl A 4,700 478
Ceradyne* 14,900 476
Chicago Bridge & Iron (B) 10,585 415
ChoicePoint* 1,460 70
Clarcor 1,600 57
CNH Global (B) 3,060 159
Columbus McKinnon* 2,949 91
Compx International 1,900 17
Continental Airlines, Cl B* 12,000 231
Copa Holdings, Cl A (B)* 1,900 72
Copart* 23,100 895
Corporate Executive Board 1,000 40
Corrections of America (B)* 25,675 707
CoStar Group (B)* 1,500 65
Crane (B) 15,400 621
Cummins 19,600 918
Curtiss-Wright 1,200 50
Danaos (B) 10,000 246
Deluxe (B) 23,200 446
Donaldson 600 24
DRS Technologies 4,100 239
Dun & Bradstreet 9,549 777
Dynamic Materials (B) 20,800 899
Eagle Bulk Shipping 5,900 152
EMCOR Group (B)* 18,614 413
Energy Conversion Devices (B)* 1,400 42
EnergySolutions* 11,600 266
EnerSys* 1,800 43
Ennis Business Forms 1,200 20
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 75
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Small Cap Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Equifax 8,533 $ 294
ESCO Technologies (B)* 13,710 545
Evergreen Solar (B)* 35,400 328
Expeditors International Washington 14,400 651
Fastenal (B) 1,200 55
First Solar (B)* 3,853 891
Flow International* 95,000 883
Flowserve 7,900 825
Fluor 727 103
Forward Air (B) 1,500 53
Foster Wheeler* 2,800 159
Franklin Electric (B) 800 27
FreightCar America 1,711 59
FTI Consulting* 1,000 71
Fuel Tech (B)* 33,900 695
G&K Services, Cl A 1,600 57
GATX (B) 3,600 141
GenCorp (B)* 15,425 159
General Cable (B)* 17,689 1,045
Geo Group* 3,788 108
Goodrich 10,257 590
Gorman-Rupp 1,250 41
Graco 500 18
GrafTech International* 4,600 75
H&E Equipment Services* 2,775 35
Hardinge 300 4
Harsco 3,600 199
Heartland Express (B) 1,800 26
Heidrick & Struggles International* 4,579 149
Herman Miller 8,300 204
Hexcel* 1,800 34
HNI (B) 1,600 43
Honeywell International 1,939 109
HUB Group, Cl A* 10,330 340
Hubbell, Cl B (B) 11,200 489
Huron Consulting Group* 400 17
II-VI* 1,200 46
Ingersoll-Rand, Cl A 3,700 165
Jacobs Engineering Group* 10,849 798
JB Hunt Transport Services 40,900 1,286
JetBlue Airways (B)* 10,600 61
Joy Global 6,200 404
Kaman 2,307 65
Kansas City Southern* 29,455 1,181
Kaydon (B) 9,400 413
KBR* 14,600 405
Kelly Services, Cl A (B) 16,300 335
Kenexa (B)* 1,900 35
Kirby* 2,704 154
Korn/Ferry International* 2,200 37
Ladish* 2,317 83
Landstar System 4,800 250
Lennox International (B) 22,700 817
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Lincoln Electric Holdings 2,305 $ 149
Manitowoc (B) 46,850 1,911
Manpower 5,600 315
Middleby (B)* 12,800 799
Milacron (B)* 6,736 17
Mine Safety Appliances (B) 1,600 66
Monster Worldwide* 1,700 41
Moog, Cl A (B)* 2,300 97
MSC Industrial Direct, Cl A 1,200 51
Mueller Industries (B) 24,300 701
Mueller Water Products, Cl B 3,205 25
Navistar International* 3,700 223
Nordson 1,000 54
Old Dominion Freight Line (B)* 21,950 699
Orbital Sciences* 30,500 735
Oshkosh Truck 7,600 276
Pall (B) 35,465 1,244
PAM Transportation Services (B)* 1,500 23
Quanta Services (B)* 59,331 1,375
RBC Bearings (B)* 13,635 506
Republic Airways Holdings (B)* 23,660 512
Robert Half International 1,600 41
Rockwell Automation 250 14
Rollins 2,400 42
Roper Industries 10,800 642
RR Donnelley & Sons 1,500 45
Ryder System 39,600 2,412
School Specialty (B)* 2,600 82
Shaw Group* 6,271 296
Simpson Manufacturing (B) 1,300 35
Skywest 1,500 32
Spirit Aerosystems Holdings, Cl A* 15,400 342
SPX 700 73
Standard Register 4,364 34
Steelcase, Cl A (B) 45,400 502
Stericycle* 1,000 52
Sunpower, Cl A (B)* 11,900 887
Suntech Power Holdings ADR* 6,400 260
TAL International Group 2,200 52
Taser International (B)* 4,000 38
Tecumseh Products, Cl A (B)* 27,100 831
Teledyne Technologies (B)* 23,150 1,088
TeleTech Holdings* 2,300 52
Tetra Tech* 1,300 25
Thomas & Betts* 1,600 58
Timken 16,460 489
Toro 1,400 58
TransDigm Group* 900 33
Twin Disc 1,205 19
UAP Holding 4,540 174
United Rentals* 18,300 345
United Stationers* 18,512 883
United Technologies 2,685 185
- --------------------------------------------------------------------------------
76 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Universal Forest Products (B) 12,700 $ 409
URS* 6,839 224
USG (B)* 800 29
UTI Worldwide 4,700 94
Wabtec 10,437 393
Walter Industries (B) 6,480 406
Waste Connections (B)* 28,979 891
Waste Industries USA 1,800 65
Watsco (B) 1,300 54
Watson Wyatt Worldwide, Cl A 8,455 480
Watts Water Technologies, Cl A (B) 2,300 64
Woodward Governor (B) 29,000 775
WW Grainger 7,300 558
YRC Worldwide (B)* 17,300 227
-------------
58,589
-------------
INFORMATION TECHNOLOGY -- 18.8%
3PAR* 6,600 45
ACI Worldwide (B)* 2,700 54
Acme Packet* 7,000 56
Activision (B)* 38,550 1,053
Acxiom 6,200 74
ADC Telecommunications* 2,900 35
Adobe Systems* 966 34
Advanced Analogic Technologies* 14,475 81
Advanced Energy Industries* 2,300 31
Akamai Technologies* 9,906 279
Alliance Semiconductor 29,600 33
Amdocs* 34,400 976
Amkor Technology (B)* 29,900 320
Ansys* 4,200 145
Applied Micro Circuits (B)* 20,525 147
Ariba* 8,700 84
ARM Holdings ADR* 82,400 434
Arris Group (B)* 73,500 428
Arrow Electronics* 1,000 34
Art Technology Group* 187,800 729
Aspen Technology* 3,200 41
Atheros Communications* 43,335 903
Atmel* 11,100 39
ATMI* 12,300 342
Autodesk* 1,000 32
Avanex (B)* 121,800 86
Avid Technology (B)* 2,100 51
Avnet (B)* 26,055 853
Avocent* 28,200 477
AVX 4,600 59
Axcelis Technologies* 5,300 30
BEA Systems* 3,400 65
BearingPoint (B)* 68,400 115
Benchmark Electronics* 4,600 83
Black Box 6,200 191
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Blackbaud 1,500 $ 36
Blackboard (B)* 3,525 118
BMC Software (B)* 19,410 631
Brightpoint* 2,705 23
Broadridge Financial Solutions (B) 23,600 415
Brocade Communications Systems* 104,700 764
Cabot Microelectronics (B)* 3,100 100
Cavium Networks* 36,400 597
Checkpoint Systems* 5,977 161
China Digital TV Holding ADR* 23,800 444
Cirrus Logic* 7,787 52
Citrix Systems* 22,621 663
CMGI* 2,600 34
CNET Networks* 6,000 43
Cognex 18,300 400
Cognizant Technology Solutions, Cl A* 7,400 213
CommScope (B)* 12,175 424
Commvault Systems* 18,100 224
Comtech Telecommunications* 1,000 39
Comverse Technology* 39,300 605
Concur Technologies (B)* 25,700 798
Convergys* 17,000 256
Cree* 1,549 43
CSG Systems International* 1,534 17
CTS 16,750 179
Cymer (B)* 20,101 523
Cypress Semiconductor* 4,800 113
Data Domain* 47,100 1,121
Diebold 6,675 251
Digital River* 1,800 56
Dolby Laboratories, Cl A* 1,500 54
DST Systems (B)* 2,800 184
Earthlink (B)* 35,000 264
Echelon (B)* 2,600 35
Electro Scientific Industries* 1,000 17
Electronic Arts* 10,725 535
Electronics for Imaging* 7,390 110
Emulex* 1,900 31
Entegris* 9,900 71
Equinix (B)* 500 33
F5 Networks (B)* 36,900 670
Factset Research Systems (B) 13,570 731
Fair Isaac 4,400 95
Fairchild Semiconductor International* 3,100 37
FEI* 2,700 59
Fidelity National Information Services 900 34
Flextronics International* 102,090 959
Flir Systems* 7,460 224
Formfactor* 3,700 71
Forrester Research* 900 24
Foundry Networks (B)* 28,500 330
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 77
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Small Cap Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Gartner* 2,600 $ 50
Gevity HR 48,900 423
Giant Interactive Group ADR (B)* 8,300 105
Global Payments 4,100 170
Greenfield Online (B)* 4,400 52
Harris 800 39
Heartland Payment Systems 5,135 118
Hewitt Associates, Cl A* 10,834 431
Ikanos Communications (B)* 37,000 169
Imation 6,600 150
Immersion* 32,300 230
Informatica (B)* 41,900 715
Ingram Micro, Cl A* 1,200 19
Integrated Device Technology* 42,900 383
InterDigital* 1,700 34
Intermec* 3,601 80
International Rectifier* 3,707 80
Intersil, Cl A 27,100 696
Intuit* 9,400 254
IPG Photonics* 7,900 124
Iron Mountain* 1,200 32
Isilon Systems (B)* 10,100 49
Itron (B)* 5,115 462
Jack Henry & Associates 2,200 54
JDS Uniphase* 26,900 360
Juniper Networks* 13,754 344
Keynote Systems (B)* 31,700 374
Kulicke & Soffa Industries (B)* 47,600 228
L-1 Identity Solutions (B)* 6,423 85
Lam Research (B)* 2,150 82
Lawson Software (B)* 46,700 352
Lexmark International, Cl A* 20,700 636
Littelfuse* 2,200 77
Logitech International (B)* 10,530 268
Longtop Financial Technologies ADR* 11,700 221
LoopNet (B)* 2,900 37
Loral Space & Communications* 1,900 45
LSI Logic* 19,825 98
Manhattan Associates* 3,800 87
Mantech International, Cl A* 1,500 68
MAXIMUS 9,600 352
McAfee (B)* 20,696 685
MEMC Electronic Materials* 2,925 207
Mentor Graphics* 10,200 90
Mercury Computer Systems (B)* 28,900 162
Merrimac Industries* 6,300 42
Methode Electronics 33,500 392
Mettler Toledo International* 400 39
Micrel 8,400 78
Microsemi (B)* 55,275 1,260
MicroStrategy, Cl A* 437 32
Microtune* 6,135 22
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
MKS Instruments* 22,400 $ 479
Molex 13,100 303
Monolithic Power Systems* 6,428 113
Move* 59,455 183
MSC.Software* 2,900 38
MTS Systems 1,519 49
National Instruments 1,300 34
NAVTEQ* 1,700 116
NCR* 2,625 60
Ness Technologies* 2,600 25
Net 1 UEPS Technologies (B)* 1,300 29
Netezza* 4,800 45
Netgear* 1,300 26
Netlogic Microsystems* 525 13
Nextwave Wireless (B)* 23,400 118
NIC (B)* 3,700 26
Novell* 4,200 26
Novellus Systems* 5,700 120
Nuance Communications (B)* 43,200 752
Omniture* 41,700 968
Omnivision Technologies (B)* 2,800 47
ON Semiconductor* 62,984 358
Open Text (B)* 10,020 314
Orckit Communications (B)* 22,900 169
Pericom Semiconductor* 2,100 31
Plantronics 1,600 31
Plexus* 1,200 34
PMC - Sierra* 8,500 48
Polycom (B)* 115,500 2,603
Progress Software* 1,200 36
QLogic (B)* 20,310 312
Quest Software* 3,700 48
RADWARE (B)* 15,800 161
Rambus* 2,400 56
RealNetworks* 15,050 86
Red Hat (B)* 98,000 1,802
RF Micro Devices (B)* 214,100 570
Riverbed Technology (B)* 94,700 1,407
Rofin-Sinar Technologies* 3,400 153
Rubicon Technology* 1,100 32
S1* 3,900 28
SAIC* 2,800 52
Salesforce.com (B)* 24,010 1,389
SanDisk* 1,350 30
Sapient* 5,700 40
Satyam Computer Services ADR (B)* 34,300 775
SAVVIS* 1,900 31
Seachange International (B)* 45,700 321
Seagate Technology 6,734 141
Semtech* 4,000 57
Shanda Interactive Entertainment ADR* 9,425 274
- --------------------------------------------------------------------------------
78 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Silicon Laboratories* 2,950 $ 93
Sina (B)* 9,075 320
SkillSoft ADR* 59,495 623
Skyworks Solutions (B)* 173,500 1,263
Solera Holdings (B)* 40,800 994
SRA International, Cl A* 1,500 36
Standard Microsystems* 748 22
Sun Microsystems* 12,205 190
Supertex (B)* 900 18
Sybase (B)* 22,985 605
Sycamore Networks* 11,300 41
SYKES Enterprises (B)* 50,400 887
Symyx Technologies* 5,003 38
Synaptics (B)* 1,300 31
Synchronoss Technologies (B)* 12,225 245
SYNNEX* 1,418 30
Synopsys* 5,853 133
Syntel (B) 2,100 56
Take-Two Interactive Software* 2,600 66
Taleo, Cl A (B)* 30,600 594
Tech Data* 7,800 256
Technitrol* 20,900 483
Tekelec (B)* 60,400 752
Teradata* 2,500 55
Teradyne* 32,400 402
THQ (B)* 3,750 82
TIBCO Software (B)* 92,000 657
Tivo* 4,800 42
Trimble Navigation (B)* 16,090 460
Triquint Semiconductor* 128,500 650
Ultratech (B)* 35,700 343
Unisys* 26,300 117
United Online 31,500 333
Universal Display (B)* 26,500 380
Utstarcom (B)* 58,200 165
Valueclick* 1,400 24
Varian Semiconductor Equipment Associates* 12,475 351
Veeco Instruments (B)* 7,871 131
VeriFone Holdings* 1,100 17
Verint Systems* 29,000 468
Viasat* 900 20
Vishay Intertechnology* 53,500 485
Wavecom ADR* 12,900 150
Websense* 3,400 64
Western Digital (B)* 62,035 1,677
Wind River Systems (B)* 113,900 882
Zoran (B)* 59,569 814
--------------
65,496
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
MATERIALS -- 5.9%
Airgas 9,075 $ 413
AK Steel Holding* 12,453 678
Albemarle (B) 15,200 555
Allegheny Technologies 9,000 642
Apex Silver Mines* 3,175 39
Aptargroup (B) 12,980 505
Ashland 15,125 715
Ball 16,900 776
Cabot 7,969 223
Carpenter Technology 8,253 462
Celanese, Ser A 6,500 254
CF Industries Holdings 1,800 187
Chemtura (B) 48,700 357
Cleveland-Cliffs 1,400 168
Coeur d'Alene Mines (B)* 20,000 81
Commercial Metals 1,400 42
Compass Minerals International (B) 2,700 159
Constar International* 18,500 48
Crown Holdings (B)* 45,800 1,152
Cytec Industries (B) 18,400 991
Deltic Timber 700 39
Eagle Materials (B) 800 28
Eastman Chemical 10,700 668
FMC 15,522 861
Glatfelter 2,300 35
Greif, Cl A (B) 8,443 574
HB Fuller 3,700 76
Hercules (B) 51,470 941
Innospec (United Kingdom) 3,200 68
International Flavors & Fragrances 500 22
Koppers Holdings 1,200 53
Lubrizol 14,300 794
MeadWestvaco 14,800 403
Mosaic* 6,500 667
Neenah Paper 2,742 71
NewMarket 692 52
Owens-Illinois* 18,677 1,054
Packaging of America 900 20
Pactiv* 18,200 477
PolyOne* 37,100 236
Quanex 2,700 140
Rock-Tenn, Cl A 14,800 444
Royal Gold (B) 900 27
Schnitzer Steel Industries, Cl A (B) 300 21
Schulman, Cl A 13,800 283
Schweitzer-Mauduit International 1,500 35
Sealed Air 1,200 30
Sensient Technologies 3,400 100
ShengdaTech* 2,500 21
Sigma-Aldrich 5,800 346
Silgan Holdings 9,310 462
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 79
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Small Cap Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Sims Group ADR 1,435 $ 40
Steel Dynamics (B) 15,400 509
Terra Industries (B)* 18,640 662
Texas Industries (B) 11,100 667
Titanium Metals 668 10
United States Steel 6,400 812
Valhi 1,400 33
Valspar 14,000 278
WR Grace* 735 17
-------------
20,523
-------------
TELECOMMUNICATION SERVICES -- 1.2%
Alaska Communications
Systems Group 20,070 246
American Tower, Cl A* 5,315 208
Cbeyond* 275 5
Centennial Communications* 18,730 111
CenturyTel 19,200 638
Clearwire, Cl A (B)* 57,400 850
Consolidated Communications
Holdings 94 2
Crown Castle International* 3,022 104
FiberTower* 17,075 30
General Communication, Cl A* 5,600 34
Global Crossing (B)* 2,500 38
IDT, Cl B* 1,140 4
Iowa Telecommunications Services 5,015 89
Leap Wireless International* 1,485 69
NII Holdings (B)* 800 26
NTELOS Holdings (B) 14,620 354
Price Communications* 3,800 --
SBA Communications, Cl A* 39,210 1,170
Time Warner Telecom, Cl A* 8,590 133
USA Mobility 3,475 25
Verizon Communications 1,983 72
Vonage Holdings* 36,195 67
Windstream 2,200 26
-------------
4,301
-------------
UTILITIES -- 4.3%
AGL Resources 2,500 86
Allegheny Energy 1,500 76
Allete (B) 2,400 93
Alliant Energy 8,678 304
Avista (B) 3,700 72
Black Hills 1,885 67
California Water Service Group (B) 1,400 53
Centerpoint Energy (B) 41,600 594
CH Energy Group 900 35
Cleco 1,200 27
CMS Energy 43,200 585
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Consolidated Edison 1,400 $ 56
Constellation Energy Group 1,100 97
DPL (B) 10,525 270
Dynegy, Cl A* 4,200 33
El Paso Electric* 2,000 43
Empire District Electric (B) 11,431 232
Energen 11,000 685
EnergySouth 800 42
Equitable Resources 16,254 957
Idacorp (B) 1,600 51
Integrys Energy Group 10,422 486
ITC Holdings 8,384 436
Laclede Group 2,875 102
MDU Resources Group 20,600 506
MGE Energy (B) 3,000 102
National Fuel Gas 2,400 113
New Jersey Resources* 1,350 42
Nicor (B) 7,200 241
NiSource 34,600 597
Northeast Utilities 4,000 98
Northwest Natural Gas 1,300 57
NorthWestern 17,025 415
NRG Energy (B)* 9,360 365
Oneok 5,150 230
Ormat Technologies 17,425 749
Otter Tail (B) 2,200 78
Pepco Holdings 500 12
Pinnacle West Capital (B) 19,300 677
PNM Resources 7,052 88
Portland General Electric 1,470 33
PPL 2,600 119
Puget Energy 16,000 414
Reliant Energy (B)* 17,038 403
SCANA 10,047 368
Sempra Energy 2,900 155
Southern Union 23,900 556
Southwest Gas (B) 12,850 359
TECO Energy 31,100 496
UGI 35,000 872
UIL Holdings 1,533 46
Unisource Energy 443 10
Vectren 14,600 392
Westar Energy 21,600 492
WGL Holdings 1,100 35
Wisconsin Energy 10,000 440
-------------
15,042
-------------
Total Common Stock
(Cost $333,403) ($ Thousands) 341,459
-------------
- --------------------------------------------------------------------------------
80 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Number of
Warrants
------------
WARRANT -- 0.0%
Washington Mutual (D)* 116,700 $ 40
-------------
Total Warrant
(Cost $27) ($ Thousands) 40
-------------
Number of
Rights
------------
RIGHTS -- 0.0%
Ares Capital, Expires 04/21/08 2,833 2
FX Real Estate And Entertainment,
Expires 04/11/08 (B) 60 --
MCGC Capital, Expires 04/18/08 4,214 4
-------------
Total Rights
(Cost --) ($ Thousands) 6
-------------
CASH EQUIVALENTS**++ -- 36.4%
SEI Daily Income Trust, Prime Obligation Fund,
Cl A, 3.190% 7,573,665 7,574
SEI Liquidity Fund L.P., 3.200%(C) 119,508,640 119,509
-------------
Total Cash Equivalents
(Cost $127,083) ($ Thousands) 127,083
-------------
U.S. TREASURY OBLIGATION (A) (E) -- 0.3%
U.S. Treasury Bill
2.167%, 05/22/08 $ 1,066 1,064
-------------
Total U.S. Treasury Obligation
(Cost $1,063) ($ Thousands) 1,064
-------------
Total Investments -- 134.5%
(Cost $461,576) ($ Thousands) $ 469,652
=============
A summary of the open futures contracts held by the Fund at March 31, 2008, 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 Mid 400 Index E-MINI 54 Jun-2008 $ 86
Russell 2000 Index E-MINI 64 Jun-2008 166
-------------
$ 252
=============
Percentages are based on Net Assets of $349,108 ($ Thousands).
* Non-Income Producing Security.
** Rate shown is the 7-day effective yield as of March 31, 2008.
+ 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 March
31, 2008 (see Note 7). The total value of securities on loan at March 31,
2008 was $116,949 ($ Thousands).
(C) This security was purchased with cash collateral held from securities on
loan (see Note 7). The total value of such securities as of March 31, 2008
was $119,509 ($ 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.
(F) This security is considered illiquid and restricted. The total value of
such securities as of March 31, 2008 was $239 ($ Thousands) and
represented 0.07% of Net Assets.
(G) Security fair valued using methods determined in good faith by the
valuation committee of the Board of Trustees. The total value of such
securities as of March 31, 2008 was $239 ($ Thousands) and represented
0.07% of Net Assets.
ADR -- American Depositary Receipt
Cl -- Class
LLC -- Limited Liability Company
L.P. -- Limited Partnership
PIPE -- Private Investment in Public Entity
Ser -- Series
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 81
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Diversified Alpha Fund
March 31, 2008
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS#:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Financials 14.2%
Industrials 11.3%
Information Technology 11.3%
U.S. Government Agency Obligations 10.1%
Health Care 9.0%
Consumer Discretionary 8.0%
Energy 7.0%
Materials 6.3%
Short-Term Investment 6.3%
Mortgage-Backed Securities 4.5%
Asset-Backed Securities 3.8%
Utilities 3.5%
Consumer Staples 2.6%
Telecommunication Services 1.4%
U.S. Treasury Obligations 0.5%
Convertible Bond 0.2%
Purchased Option 0.0%
Warrants 0.0%
Rights 0.0%
# Percentages based on total investments.
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 86.8%
CONSUMER DISCRETIONARY -- 9.3%
1-800-FLOWERS.COM, Cl A* 6,300 $ 54
Abercrombie & Fitch, Cl A 1,235 90
Advance Auto Parts 3,046 104
Aeropostale (C)* 2,850 77
Aftermarket Technology* 3,000 58
American Eagle Outfitters 800 14
Amerigon* 2,900 43
AnnTaylor Stores* 7,939 192
Autoliv 2,700 136
Bally Technologies* 2,382 82
Big Lots (C)* 7,953 177
Black & Decker 1,138 75
Blyth* 1,300 26
BorgWarner (C) 6,148 265
Brown Shoe (C) 6,109 92
Brunswick 2,000 32
Buckle (C) 500 22
Burger King Holdings 4,800 133
Callaway Golf 13,356 196
Capella Education* 1,391 76
Career Education* 6,488 83
Carmike Cinemas 2,200 23
Carrols Restaurant Group* 1,600 14
Casual Male Retail Group* 40,000 168
Cato, Cl A 12,000 179
CBRL Group 1,721 62
CEC Entertainment* 7,841 226
Central European Media Enterprises,
Cl A* 775 66
Charming Shoppes* 37,600 182
Chipotle Mexican Grill, Cl A* 275 31
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Christopher & Banks 4,400 $ 44
Cinemark Holdings 5,762 74
Cooper Tire & Rubber (C) 14,586 218
Corinthian Colleges* 685 5
CROCS* 1,650 29
CSK Auto* 15 --
Deckers Outdoor* 200 22
Denny's* 5,375 16
DeVry 2,134 89
DISH Network, Cl A* 3,600 103
Dollar Tree* 6,000 166
Dover Downs Gaming &
Entertainment (C) 2,700 23
DreamWorks Animation SKG, Cl A* 8,809 227
Drew Industries (C)* 2,800 69
DSW, Cl A* 13,000 168
Eastman Kodak 2,505 44
Eddie Bauer Holdings* 28,700 112
Entercom Communications, Cl A 7,444 74
Entravision Communications, Cl A* 10,473 70
Expedia* 950 21
Family Dollar Stores 5,500 107
Fossil* 4,744 145
FTD Group 8,500 114
Furniture Brands International 6,870 80
G-III Apparel Group* 4,500 60
Gaiam, Cl A* 2,192 38
GameStop, Cl A* 3,600 186
Getty Images* 1,455 47
Gildan Activewear* 3,500 131
Global Sources (C)* 3,850 57
Goodyear Tire & Rubber* 6,762 174
Group 1 Automotive 5,000 117
Hanesbrands* 4,500 131
Harman International Industries 515 22
Harris Interactive* 7,300 20
Hasbro (C) 13,269 370
Heelys* 3,400 15
Hooker Furniture 1,700 38
IAC/InterActive* 5,450 113
Interactive Data (C) 4,189 119
iRobot* 1,100 19
ITT Educational Services* 930 43
Jarden* 3,180 69
JOS A Bank Clothiers (C)* 5,000 103
Lear (C)* 6,300 163
Lennar, Cl A 3,400 64
Lennar, Cl B 200 3
Lin TV, Cl A* 1,889 18
LKQ* 1,400 31
Lodgian* 1,600 18
Matthews International, Cl A* 1,914 92
Media General, Cl A 3,000 42
Meredith (C) 2,765 106
- --------------------------------------------------------------------------------
82 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Monaco Coach 1,418 $ 13
Morningstar* 275 17
NetFlix* 5,675 197
NexCen Brands* 1,700 6
Nexstar Broadcasting Group, Cl A* 1,600 9
NutriSystem* 1,567 24
NVR* 169 101
O'Charleys 3,148 36
OfficeMax 3,900 75
Orbitz Worldwide* 9,300 64
Penn National Gaming* 7,795 341
Perry Ellis International (C)* 3,200 70
Playboy Enterprises, Cl B* 1,494 12
priceline.com* 1,300 157
RadioShack 12,486 203
RC2* 1,700 36
RCN 9,800 110
Regal Entertainment Group, Cl A (C) 7,600 147
Regis 8,700 239
Rent-A-Center* 2,315 42
Retail Ventures* 21,500 104
Sally Beauty Holdings* 13,547 93
Sauer-Danfoss 1,855 41
Scholastic* 3,883 118
Sealy 1,925 15
Snap-On 800 41
Sotheby's 800 23
Speedway Motorsports 2,673 67
Stamps.com* 7,200 74
Standard-Pacific 27,925 136
Sturm Ruger* 3,600 30
Syntax-Brillian* 13,400 13
Talbots 4,395 47
Tecnisa (Brazil)* 39,000 178
Thor Industries 2,202 66
Thunderbird Resorts PIPE (D) (H)* 15,300 138
Thunderbird Resorts PIPE (D) (G) (H)* 1,700 15
True Religion Apparel* 8,000 148
TRW Automotive Holdings* 2,100 49
Tupperware Brands (C)* 7,000 271
Under Armour, Cl A* 350 13
Universal Electronics* 100 2
Visteon* 3,825 14
Warnaco Group* 1,265 50
WMS Industries (C)* 850 31
Zumiez* 1,000 16
--------------
11,099
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CONSUMER STAPLES -- 3.0%
American Oriental Bioengineering* 6,575 $ 53
Andersons 380 17
Asiatic Development (Malaysia)* 87,000 229
Avon Products 3,115 123
BJ's Wholesale Club* 2,895 103
Bunge 460 40
Casey's General Stores 3,419 77
Central Garden and Pet, Cl A* 3,295 15
Chiquita Brands International* 4,948 114
Church & Dwight 1,980 107
Coca-Cola Enterprises 600 15
Constellation Brands, Cl A* 3,861 68
Corn Products International 3,358 125
Cosan SA Industria e Comercio
(Brazil)* 18,700 276
Darling International* 13,793 179
Energizer Holdings* 1,406 127
Fresh Del Monte Produce 3,473 126
Great Atlantic & Pacific Tea* 2,291 60
Hansen Natural* 1,300 46
Hormel Foods 1,862 78
Lance 13,400 263
Loews - Carolina Group 2,780 202
Longs Drug Stores (C) 6,980 296
Molson Coors Brewing, Cl B (C) 4,015 211
Nash Finch (C) 700 24
NBTY (C)* 3,671 110
Pepsi Bottling Group 2,500 85
Pilgrim's Pride 3,464 70
Ralcorp Holdings* 1,605 93
Ruddick 678 25
Smithfield Foods* 4,760 123
Tyson Foods, Cl A 18 --
Universal (C) 1,985 130
WD-40 1,595 53
--------------
3,663
--------------
ENERGY -- 8.2%
Arena Resources* 400 16
Alon USA Energy 1,130 17
Approach Resources* 10,200 160
Arch Coal 215 9
Arlington Tankers 11,200 235
ATP Oil & Gas* 2,630 86
Basic Energy Services* 10,800 238
Bois d'Arc Energy (C)* 9,337 201
BPZ Energy PIPE (D) (H)* 12,800 278
BPZ Resources* 5,450 118
Bronco Drilling* 2,800 45
Callon Petroleum* 1,305 24
Cameron International* 1,650 69
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 83
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Diversified Alpha Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Carrizo Oil & Gas* 2,900 $ 172
Cimarex Energy 5,951 326
Complete Production Services* 10,700 245
Comstock Resources (C)* 8,573 346
Crosstex Energy 1,015 34
Denbury Resources* 4,000 114
Dresser-Rand Group* 2,345 72
Dril-Quip* 1,499 70
Encore Acquisition* 3,400 137
Energy Partners* 21,200 201
ENSCO International 1,100 69
Exterran Holdings* 3,080 199
FMC Technologies* 3,559 203
Forest Oil* 1,600 78
Foundation Coal Holdings 5,334 268
Frontier Oil 5,600 153
GMX Resources* 550 19
Grant Prideco* 250 12
Helix Energy Solutions Group* 1,350 43
Helmerich & Payne 5,200 244
Hercules Offshore* 9,100 229
Holly 3,879 168
Hugoton Royalty Trust* 2,150 59
Infinity Bio-Energy* 52,500 231
International Coal Group* 10,660 68
ION Geophysical* 5,787 80
Kinder Morgan Management LLC* 1,195 61
Lufkin Industries 1,548 99
Mariner Energy* 6,170 167
Massey Energy 6,038 220
Matrix Service (C)* 9,287 160
McMoRan Exploration* 1,160 20
Newfield Exploration* 1,550 82
Oceaneering International* 1,275 80
Oilsands Quest* 30,700 121
Oilsands Quest PIPE (D) (H)* 3,500 14
OPTI Canada (Canada)* 13,800 233
PetroHawk Energy* 6,652 134
Petroleum Development* 1,250 87
Plains Exploration & Production* 1,100 58
Quicksilver Resources* 800 29
Rentech* 82,100 73
Rosetta Resources (C)* 3,700 73
Rowan 2,602 107
SEACOR Holdings (C)* 1,950 166
StealthGas 13,000 202
Stone Energy* 3,383 177
Superior Energy Services* 4,038 160
Superior Well Services* 8,500 186
Swift Energy (C)* 8,075 363
Synenco Energy, Cl A (Canada)* 37,340 264
Tesoro 1,470 44
Tetra Technologies* 2,150 34
Tidewater (C) 1,180 65
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Transmontaigne Partners L.P. 325 $ 9
Unit* 8,914 505
Uranium One (Canada)* 15,500 51
W&T Offshore 7,819 267
Whiting Petroleum* 1,747 113
Williams 1,740 57
--------------
9,817
--------------
FINANCIALS -- 16.5%
Alesco Financial 5,800 17
Alexander's+* 100 35
Alexandria Real Estate Equities+ 1,180 109
AllianceBernstein Holding L.P. 285 18
AMB Property+ 947 52
American Financial Group (C) 11,091 284
American Physicians Capital 800 37
Amtrust Financial Services (C) 8,005 130
Annaly Capital Management+ (C) 41,548 637
Anworth Mortgage Asset+ 39,163 240
AON 6,185 249
Apollo Investment 2,439 39
Arch Capital Group* 3,280 225
Ares Capital 1,061 13
Ashford Hospitality Trust+ 1,700 10
Aspen Insurance Holdings 1,700 45
Associated Banc 6,450 172
Assurant 3,055 186
Assured Guaranty (C) 10,982 261
Asta Funding 1,200 17
Astoria Financial 4,700 128
Axis Capital Holdings 4,300 146
Bancorp* 4,600 56
Bancorpsouth 3,919 91
Bank of Hawaii 1,200 59
BankAtlantic Bancorp, Cl A 8,000 31
BankUnited Financial, Cl A (C) 11,941 60
Berkshire Hills Bancorp 1,000 25
BlackRock 870 178
Brasil Brokers Participacoes (Brazil)* 200 140
Calamos Asset Management, Cl A 8,323 136
Canaccord Capital (Canada) 12,100 116
Capital Trust, Cl A+ 105 3
CapitalSource+ 1,082 10
Capitol Federal Financial 2,200 82
Capstead Mortgage+ 18,200 207
Cash America International (C) 5,913 215
Cathay General Bancorp 3,784 78
Centerline Holding L.P. 100 --
Central Pacific Financial 6,554 124
Chimera Investment* 9,851 121
Citizens Republic Bancorp 10,358 129
City Bank (C) 965 22
City Holding (C) 1,700 68
- --------------------------------------------------------------------------------
84 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
CME Group 390 $ 183
CNA Surety* 5,465 84
Colonial BancGroup 17,074 164
Colonial Properties Trust+ 4,700 113
Commerce Bancshares 1,943 82
Companhia Brasileira de
Desenvolvimento Imobiliario
Turistico (Brazil)* 500 213
Countrywide Financial 11,870 65
Cullen/Frost Bankers 1,500 80
Darwin Professional
Underwriters (C)* 1,000 23
Delphi Financial Group, Cl A 2,879 84
DiamondRock Hospitality+ (C) 4,600 58
Digital Realty Trust+ 362 13
Dime Community Bancshares 10,467 183
Discover Financial Services 3,900 64
Dollar Financial* 16,300 375
Downey Financial (C) 2,430 45
Dundee (Canada)+* 1,000 32
Dundee (Canada)+ 2,600 82
DuPont Fabros Technology 9,015 149
E*Trade Financial* 17,393 67
East West Bancorp (C) 2,179 39
Eaton Vance (C) 11,552 352
Education Realty Trust+ 900 11
EMC Insurance Group 2,015 54
Entertainment Properties Trust+ (C) 1,400 69
Evercore Partners, Cl A (C) 9,800 174
Ezcorp, Cl A (C)* 8,200 101
Federated Investors, Cl B 7,239 283
Fidelity National Financial, Cl A 2,870 53
First Community Bancorp 6,473 174
First Industrial Realty Trust+ (C) 3,700 114
First Marblehead (C) 1,600 12
First Midwest Bancorp 8,890 247
FirstFed Financial (C)* 5,643 153
FirstMerit 3,015 62
GAMCO Investors, Cl A (C) 600 30
General Shopping Brasil (Brazil)* 24,400 187
GFI Group* 1,800 103
Gluskin Sheff + Associates
(Canada)* 9,500 185
GMP Capital Trust (Canada) 8,400 137
Gramercy Capital+ 191 4
Greenhill 1,545 107
Grubb & Ellis* 34,500 237
Grubb & Ellis Realty Advisors* 31,800 193
Hallmark Financial Services* 1,200 13
Hancock Holding 4,415 186
Hanmi Financial 3,650 27
Hanover Insurance Group 5,420 223
HCP+ 8,350 282
Health Care+ 8,176 369
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Hersha Hospitality Trust+ (C) 25,800 $ 233
Highbury Financial Units* 13,600 45
Hospitality Properties Trust+ (C) 4,000 136
Huntington Bancshares 6,199 67
Independent Bank 1,100 33
IndyMac Bancorp 14,481 72
IntercontinentalExchange* 680 89
Investment Technology Group* 2,018 93
Investors Real Estate Trust+ 29,565 289
Janus Capital Group 4,479 104
Jones Lang LaSalle (C) 500 39
Kansas City Life Insurance 2,900 139
Kilroy Realty+ 1,500 74
Knight Capital Group, Cl A* 10,695 174
Lazard L.P., Cl A 3,650 139
Legg Mason 330 18
Leucadia National 650 29
Lexington Realty Trust+ 7,600 110
Life Partners Holdings 900 17
LTC Properties+ 2,600 67
Marsh & McLennan 10,215 249
Medical Properties Trust+ 6,751 76
MFA Mortgage Investments+ 41,395 261
MGIC Investment 325 3
NASDAQ Stock Market* 2,849 110
National Financial Partners 3,385 76
National Interstate 700 16
National Penn Bancshares 2,728 50
National Retail Properties+ (C) 5,929 131
Nationwide Health Properties+ 572 19
Navigators Group (C)* 3,175 173
New York Community Bancorp 26,000 474
NorthStar Realty Finance+ (C) 10,700 87
NYSE Euronext 820 51
Omega Healthcare Investors+ 13,426 233
optionsXpress Holdings 6,183 128
Oriental Financial Group 5,200 103
Parkway Properties+ 900 33
Pennsylvania Real Estate Investment
Trust+ 700 17
People's United Financial 1,465 25
PFF Bancorp 9,214 77
Philadelphia Consolidated
Holding (C)* 1,124 36
Platinum Underwriters Holdings 5,864 190
PMA Capital, Cl A* 3,100 26
PMI Group (C) 6,600 38
Preferred Bank 143 2
Prologis+ 1,500 88
Provident New York Bancorp 3,400 46
Public Storage+ 1,850 164
RAIT Financial Trust+ 12,647 88
Ram Holdings* 10,700 24
Raymond James Financial 3,824 88
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 85
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Diversified Alpha Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Rayonier+ 5,931 $ 258
Realty Income+ 8,830 226
Resource Capital+ 4,600 35
Safeco 1,100 48
Sandy Spring Bancorp 1,500 41
SCBT Financial 700 24
SeaBright Insurance Holdings* 2,400 35
Sierra Bancorp (C) 600 13
South Financial Group 4,929 73
Southside Bancshares 700 17
Sovereign Bancorp 9,300 87
St. Joe 9,185 394
Stancorp Financial Group 2,100 100
Stifel Financial* 2,425 109
Sun Bancorp* 100 1
SVB Financial Group (C)* 3,500 153
SWS Group 2,000 24
T. Rowe Price Group 795 40
TD Ameritrade Holding* 5,130 85
Texas Capital Bancshares* 4,226 71
Titanium Asset* 13,400 75
TradeStation Group* 6,163 53
Transatlantic Holdings 2,612 173
Trustmark 6,387 142
UCBH Holdings 7,016 54
Uranium Participation (Canada)* 2,400 23
Uranium Participation (Canada) (G)* 2,600 24
Value Creation (Canada)* 8,040 79
Ventas+ 2,729 123
Waddell & Reed Financial, Cl A 1,374 44
Washington Federal 7,260 166
Webster Financial 2,100 59
World Acceptance (C)* 13,215 421
WR Berkley (C) 600 17
--------------
19,777
--------------
HEALTH CARE -- 10.5%
Adolor* 6,000 27
Affymax (C)* 1,000 14
Air Methods* 1,336 65
Alexza Pharmaceuticals* 700 5
Align Technology* 2,155 24
Alnylam Pharmaceuticals* 2,300 56
Alpharma, Cl A* 570 15
AMERIGROUP* 3,601 98
Amsurg* 10,500 249
Analogic* 435 29
Applera -- Applied Biosystems
Group (C) 600 20
Applera -- Celera Group* 1,000 15
Arena Pharmaceuticals* 30,300 207
Ariad Pharmaceuticals* 50,100 169
Array Biopharma (C)* 3,500 25
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
BioScrip* 10,638 $ 72
Caraco Pharmaceutical Laboratories* 4,735 85
Centene (C)* 10,525 147
Cephalon (C)* 1,340 86
Charles River Laboratories
International* 2,100 124
Chemed 1,725 73
Chindex International* 220 8
Computer Programs & Systems 445 9
Conmed (C)* 3,900 100
Cooper 995 34
Corvel* 370 11
Covance* 2,650 220
CryoLife* 1,300 12
Cubist Pharmaceuticals (C)* 5,715 105
CV Therapeutics* 34,300 245
Cyberonics* 700 10
Cynosure, Cl A (C)* 3,400 72
DaVita* 1,254 60
Dentsply International 6,528 252
Eclipsys* 6,447 126
Edwards Lifesciences* 800 36
Emergency Medical Services, Cl A* 1,100 27
Emergent Biosolutions (C)* 2,200 20
Encysive Pharmaceuticals* 111,000 261
Endo Pharmaceuticals Holdings (C)* 18,604 445
eResearchTechnology* 7,375 92
Exelixis (C)* 40,300 280
Express Scripts* 2,475 159
Forest Laboratories (C)* 3,050 122
Genzyme* 2,855 213
GTx (C)* 2,300 37
Health Net (C)* 9,958 307
HealthExtras* 3,027 75
Healthways* 1,467 52
Henry Schein* 706 40
Hillenbrand Industries 1,000 48
HLTH* 550 5
HMS Holdings* 3,179 91
Hologic* 2,273 126
Human Genome Sciences* 46,700 275
Illumina* 275 21
Immunomedics* 2,550 7
IMS Health 3,800 80
Incyte* 28,100 295
InterMune (C)* 3,000 44
Intuitive Surgical* 1,790 581
Inverness Medical Innovations* 1,075 32
Invitrogen* 1,431 122
Javelin Pharmaceuticals* 3,200 9
Kendle International* 2,047 92
Kensey Nash* 1,553 45
Keryx Biopharmaceuticals* 2,400 1
- --------------------------------------------------------------------------------
86 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Kindred Healthcare* 3,876 $ 85
Kinetic Concepts (C)* 5,555 257
King Pharmaceuticals* 20,867 182
Lincare Holdings (C)* 9,637 271
Magellan Health Services* 3,242 129
MannKind* 1,600 10
Martek Biosciences* 900 27
Masimo* 1,400 36
Medical Action Industries* 1,600 26
Medicines* 10,000 202
Meridian Bioscience 1,500 50
Micrus Endovascular* 10,000 124
Molina Healthcare* 2,048 50
Neurocrine Biosciences* 4,300 23
Odyssey HealthCare* 25,400 229
Omnicell* 1,045 21
Orthofix International* 395 16
OSI Pharmaceuticals (C)* 5,748 215
Owens & Minor 4,140 163
Par Pharmaceutical* 1,015 18
Parexel International* 1,200 31
Patterson* 4,085 148
Pediatrix Medical Group* 1,300 88
Penwest Pharmaceuticals* 2,400 6
PerkinElmer 8,573 208
Perrigo 2,829 107
Pharmaceutical Product Development 2,900 121
PharmaNet Development Group (C)* 2,052 52
Pozen (C)* 1,300 13
Profarma Distribuidora de Produtos
Farmaceuticos (Brazil)* 12,400 208
Quidel* 8,924 143
Regeneron Pharmaceuticals* 1,600 31
Repligen* 500 2
Resmed* 2,935 124
Rigel Pharmaceuticals* 13,400 250
Sciele Pharma (C)* 9,603 187
Sepracor* 325 6
Sirona Dental Systems (C)* 8,275 223
Somanetics* 3,056 48
SonoSite* 100 3
Sun Healthcare Group* 3,400 45
Synta Pharmaceuticals* 2,300 19
Techne (C)* 400 27
Universal American* 4,587 49
Universal Health Services, Cl B 5,836 313
Varian* 400 23
Vertex Pharmaceuticals (C)* 4,375 104
Viropharma (C)* 12,218 109
Vivus* 8,600 52
Warner Chilcott, Cl A (C)* 7,300 131
Waters (C)* 6,010 335
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Watson Pharmaceuticals (C)* 11,368 $ 333
WellCare Health Plans (C)* 250 10
--------------
12,592
--------------
INDUSTRIALS -- 13.1%
ABX Holdings* 3,165 9
Actuant, Cl A 10,415 315
Acuity Brands (C) 2,900 125
Administaff 100 2
Advisory Board* 1,557 85
AGCO (C)* 11,539 691
Albany International, Cl A 1,680 61
Alexander & Baldwin 1,410 61
Allegiant Travel* 3,040 80
Allen-Vanguard (Canada)* 40,000 133
Alliant Techsystems* 2,145 222
Allied Waste Industries (C)* 17,674 191
Amerco* 287 16
American Commercial Lines* 2,930 46
American Science & Engineering 1,503 82
AMR (C)* 2,604 23
AO Smith 2,820 93
Apogee Enterprises (C) 7,200 111
Applied Industrial Technologies 3,071 92
BE Aerospace* 2,355 82
Belden 3,052 108
Blount International* 1,375 17
Briggs & Stratton 11,895 213
Brink's 8 1
Bucyrus International, Cl A 550 56
Ceradyne (C)* 600 19
Chart Industries* 2,773 94
ChoicePoint* 895 43
Columbus McKinnon* 4,400 136
Comfort Systems USA 7,800 101
COMSYS IT Partners (C)* 2,800 24
Corrections of America* 8,668 239
CRA International* 5,250 169
Crane 5,074 205
Cubic 3,500 99
Curtiss-Wright 3,711 154
Deluxe (C) 4,147 80
DRS Technologies 4,242 247
Dun & Bradstreet 4,355 354
EMCOR Group (C)* 8,760 195
Ennis Business Forms 700 12
EnPro Industries (C)* 4,200 131
Equifax 4,325 149
ESCO Technologies* 975 39
Esterline Technologies* 2,402 121
First Solar* 1,014 234
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 87
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Diversified Alpha Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Fluor 410 $ 58
Force Protection* 27,200 55
FreightCar America 955 33
Gardner Denver (C)* 5,600 208
GenCorp* 6,900 71
General Cable* 1,495 88
Geo Group* 5,161 147
Goodrich 1,450 83
GrafTech International (C)* 14,996 243
H&E Equipment Services* 12,880 162
Hardinge 200 3
Harsco (C) 2,600 144
Heidrick & Struggles
International (C)* 2,100 68
Herman Miller (C) 2,482 61
Hertz Global Holdings (C)* 11,700 141
HNI 2,184 59
Honeywell International 1,180 67
Hubbell, Cl A 318 15
Hubbell, Cl B 1,845 81
IKON Office Solutions 5,700 43
Ingersoll-Rand, Cl A 2,200 98
Interface, Cl A 4,000 56
Jacobs Engineering Group* 3,815 281
JB Hunt Transport Services 9,000 283
Joy Global 650 42
Kaman 1,345 38
Kansas City Southern* 3,800 152
Kennametal 1,930 57
Kirby* 1,095 62
Ladish* 1,300 47
LB Foster, Cl A* 2,070 89
Lennox International (C) 2,000 72
Lincoln Electric Holdings (C) 2,400 155
Manitowoc (C) 3,800 155
Manpower 1,197 67
Michael Baker* 1,809 41
Moog, Cl A* 3,514 148
NCI Building Systems* 6,200 150
Nuco2* 2,904 81
Orion Marine Group* 16,500 197
Oshkosh Truck 5,807 211
Pacer International 4,877 80
Pall 5,839 205
Pentair 2,700 86
Perini (C)* 3,700 134
Pinnacle Airlines* 5,700 50
PowerSecure International* 200 2
Quanta Services* 9,810 227
Regal-Beloit 930 34
Republic Airways Holdings (C)* 5,500 119
Republic Services (C) 6,415 188
Robbins & Myers 2,690 88
Rockwell Automation 175 10
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Rollins 100 $ 2
RSC Holdings (C)* 21,600 235
Rush Enterprises, Cl A* 7,012 111
Rush Enterprises, Cl B* 1,200 18
Ryder System 8,200 499
School Specialty* 654 21
Shaw Group* 7,607 359
Skywest 5,090 107
Spirit Aerosystems Holdings, Cl A* 14,002 311
SPX 400 42
Standard Register 2,530 20
Steelcase, Cl A (C) 9,300 103
Sunpower, Cl A* 1,475 110
Superior Essex (C)* 3,000 84
TAL International Group 10,600 250
Tecumseh Products, Cl A* 3,433 105
Tecumseh Products, Cl B* 3,703 101
Teledyne Technologies* 4,495 211
Textainer Group Holdings 17,500 264
Thomas & Betts (C)* 100 4
Timken 4,525 134
Toro 537 22
Tredegar 1,300 24
Twin Disc 1,309 21
UAP Holding 2,690 103
United Stationers* 7,756 370
United Technologies 1,610 111
Wabtec 6,279 236
Walter Industries 645 40
Waste Connections* 2,285 70
Watson Wyatt Worldwide, Cl A (C) 3,200 182
Werner Enterprises 4,586 85
WESCO International* 2,443 89
--------------
15,739
--------------
INFORMATION TECHNOLOGY -- 13.1%
Activision* 5,066 138
ADC Telecommunications* 13,616 165
Advanced Analogic Technologies* 5,055 28
Advanced Energy Industries* 4,062 54
Advent Software* 1,773 76
Akamai Technologies* 4,475 126
Amkor Technology (C)* 13,500 144
Anaren* 3,017 38
Ariba* 1,300 13
Arrow Electronics* 8,659 291
Asyst Technologies* 33,600 118
Atmel* 95,651 333
ATMI* 200 6
Avnet (C)* 5,675 186
Benchmark Electronics* 10,345 186
Blackbaud 450 11
Blackboard* 725 24
- --------------------------------------------------------------------------------
88 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Blue Coat Systems* 7,857 $ 173
BMC Software (C)* 10,278 334
Bottomline Technologies* 1,600 20
Brightpoint* 1,535 13
Broadridge Financial Solutions (C) 1,400 25
Cabot Microelectronics* 706 23
CACI International, Cl A* 466 21
Cadence Design Systems (C)* 7,532 80
Checkpoint Systems* 3,540 95
Chordiant Software (C)* 7,900 48
Ciena* 39 1
Cirrus Logic* 4,540 31
Citrix Systems* 1,995 59
CMGI* 1,700 23
CommScope (C)* 3,200 111
Comtech Telecommunications* 753 29
Convergys (C)* 2,200 33
Cray* 4,300 26
Credence Systems* 12,797 22
Cree* 940 26
CSG Systems International (C)* 8,015 91
CTS (C) 2,720 29
Cymer* 565 15
Cypress Semiconductor* 4,967 117
Diebold 2,875 108
Digital River* 2,971 92
Diodes* 8,181 180
Dolby Laboratories, Cl A* 3,300 120
DSP Group* 21,500 274
DST Systems* 2,459 162
Dycom Industries (C)* 4,900 59
Earthlink* 7,400 56
EFJ* 21,000 25
Electronic Arts* 6,275 313
Electronic Data Systems (C) 7,700 128
Electronics for Imaging* 4,370 65
Emulex (C)* 4,200 68
Fair Isaac 2,708 58
Flir Systems* 2,935 88
Global Cash Access Holdings* 2,900 17
Harris (C) 1,800 87
Harris Stratex Networks, Cl A* 23,000 231
Heartland Payment Systems 3,690 85
Hewitt Associates, Cl A* 12,806 509
Hughes Communications* 300 15
Hutchinson Technology* 8,200 130
Imation 10,800 246
Integrated Device Technology (C)* 29,868 267
Interactive Intelligence* 2,038 24
Intermec* 1,140 25
International Rectifier* 510 11
Intersil, Cl A 900 23
Interwoven* 4,800 51
Intuit* 5,525 149
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Itron* 1,465 $ 132
IXYS* 3,402 23
Jack Henry & Associates (C) 1,700 42
JDA Software Group* 18,287 334
JDS Uniphase* 7,200 96
Juniper Networks* 8,115 203
Jupitermedia* 19,300 40
Lam Research (C)* 300 11
Lexmark International, Cl A* 4,586 141
LSI Logic* 8,500 42
MasTec* 26,583 218
MAXIMUS 3,100 114
McAfee* 3,575 118
MEMC Electronic Materials (C)* 1,825 129
Methode Electronics 6,500 76
Mettler Toledo International (C)* 3,623 352
Micros Systems* 1,864 63
Microsemi* 10,350 236
MicroStrategy, Cl A* 1,530 113
Microtune* 3,610 13
MIPS Technologies* 36,500 145
Monolithic Power Systems* 3,785 67
Move* 35,035 108
MTS Systems 3,449 111
Multi-Fineline Electronix* 4,600 86
National Semiconductor 3,574 66
NCR* 1,475 34
Net 1 UEPS Technologies* 5,393 122
Netgear* 3,265 65
Netlogic Microsystems* 320 8
Network Equipment Technologies* 6,400 42
Novatel Wireless* 22,000 213
Nvidia* 3,600 71
ON Semiconductor (C)* 4,410 25
Oplink Communications* 700 6
OSI Systems* 4,750 109
Palm* 33,100 166
Parametric Technology* 10,791 172
Park Electrochemical 8,200 212
Parkervision* 18,300 142
Phoenix Technologies* 5,128 80
Plantronics 950 18
Plexus* 6,949 195
PMC - Sierra* 28,300 161
QLogic* 12,900 198
Radiant Systems* 7,193 101
RealNetworks* 2,975 17
Riverbed Technology* 500 7
Rudolph Technologies* 15,500 151
SAIC* 1,000 19
SanDisk* 725 16
Sapient* 12,291 86
Scansource* 2,426 88
Seachange International* 15,500 109
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 89
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Diversified Alpha Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Seagate Technology 7,700 $ 161
Secure Computing* 12,745 82
Sierra Wireless (Canada)* 4,000 64
Silicon Laboratories* 1,300 41
Sohu.com* 2,600 117
SonicWALL* 523 4
Standard Microsystems* 420 12
Sun Microsystems* 7,131 111
Switch & Data Facilities* 1,500 15
Sybase (C)* 10,093 265
Symyx Technologies* 2,945 22
Synaptics* 633 15
SYNNEX* 785 17
Synopsys (C)* 11,782 268
Taleo, Cl A* 3,096 60
Technitrol (C)* 5,040 117
Teradata* 1,450 32
TNS (C) 5,827 120
Trina Solar ADR* 3,400 105
Triquint Semiconductor* 18,526 94
TTM Technologies* 29,381 333
Varian Semiconductor Equipment
Associates (C)* 1,925 54
Veeco Instruments* 3,690 61
VeriFone Holdings* 650 10
Viasat* 1,544 34
Vignette* 3,600 48
Vishay Intertechnology (C)* 7,566 69
Western Digital (C)* 10,800 292
Zoran* 13,896 190
Zygo* 9,000 112
--------------
15,685
--------------
MATERIALS -- 7.4%
Airgas 3,858 175
AK Steel Holding (C)* 13,717 746
Albemarle (C) 800 29
AM Castle 2,973 80
Apex Silver Mines* 1,900 23
Ashland 8,925 422
Brush Engineered Materials* 1,700 44
Buckeye Technologies (C)* 10,100 113
Cabot 4,655 130
Calgon Carbon* 4,807 72
Carpenter Technology 5,490 307
Celanese, Ser A (C) 4,900 191
CF Industries Holdings 1,572 163
Commercial Metals 3,274 98
Crown Holdings* 4,581 115
Eastman Chemical 1,685 105
Esmark* 13,900 157
Ferro 4,742 70
FMC (C) 4,600 255
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Frontera Copper (Canada)* 27,500 $ 139
Glatfelter 100 2
Greif 100 6
Greif, Cl A 5,341 363
Grupo Simec SAB de CV ADR* 20,000 223
HB Fuller 6,185 126
Hecla Mining* 14,871 166
Hercules (C) 5,923 108
Horsehead Holding* 20,100 233
Innophos Holdings 1,300 21
Innospec 1,900 40
Katanga Mining (Canada)* 14,700 224
LSB Industries* 3,326 49
Lubrizol 561 31
Myers Industries 9,037 119
Neenah Paper 1,120 29
NewMarket 1,070 81
Olin 6,200 123
Olympic Steel 5,428 245
OM Group (C)* 4,377 239
Owens-Illinois* 15,405 869
Packaging of America 3,400 76
Pactiv (C)* 6,928 182
Reliance Steel & Aluminum 4,893 293
Rock-Tenn, Cl A (C) 7,800 234
Schnitzer Steel Industries, Cl A 4,135 294
Scotts Miracle-Gro, Cl A 1,000 32
ShengdaTech* 1,500 13
Sherritt International (Canada) 9,600 136
Silgan Holdings 1,160 58
Sonoco Products 4,500 129
Steel Dynamics 6,100 202
Terra Industries* 3,500 124
Texas Industries 100 6
Universal Stainless & Alloy* 5,500 163
Western Goldfields* 48,000 154
WR Grace* 395 9
--------------
8,836
--------------
TELECOMMUNICATION SERVICES -- 1.6%
Alaska Communications Systems
Group 16,931 207
Atlantic Tele-Network (C) 2,200 74
Cbeyond* 175 3
Centennial Communications* 44,475 263
CenturyTel (C) 3,000 100
Cincinnati Bell* 30,684 131
Citizens Communications 3,964 42
Embarq (C) 2,700 108
Fairpoint Communications 26,900 243
FiberTower* 10,150 18
IDT, Cl B* 635 2
Iowa Telecommunications Services 2,040 36
- --------------------------------------------------------------------------------
90 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
iPCS 156 $ 4
Leap Wireless International* 825 38
Premiere Global Services (C)* 14,563 209
Sierra Wireless* 7,000 112
Syniverse Holdings (C)* 11,739 196
Time Warner Telecom, Cl A* 5,090 79
US Cellular* 400 22
USA Mobility (C) 2,025 14
Vonage Holdings* 21,335 39
--------------
1,940
--------------
UTILITIES -- 4.1%
AES (C)* 9,300 155
AGL Resources (C) 5,196 178
Alliant Energy 3,348 117
Atmos Energy 2,258 58
Black Hills (C) 1,485 53
Cia de Saneamento de Minas
Gerais-COPASA (Brazil)* 10,500 159
Cleco 9,664 214
Consolidated Edison 835 33
DPL 4,825 124
Edison International (C) 2,100 103
El Paso Electric (C)* 3,200 68
Empire District Electric 3,200 65
Energen (C) 7,575 472
Equitable Resources 3,465 204
Great Plains Energy 3,772 93
Idacorp 4,111 132
Integrys Energy Group 232 11
Laclede Group 755 27
MDU Resources Group 1,700 42
New Jersey Resources* 6,001 186
Northwest Natural Gas 3,676 160
NorthWestern 6,925 169
Oneok 8,666 387
Ormat Technologies 200 9
Pepco Holdings 3,000 74
PNM Resources 1,060 13
Portland General Electric (C) 810 18
Reliant Energy* 5,100 121
SCANA 8,861 324
Sempra Energy (C) 2,400 128
Southern Union 3,844 89
Southwest Gas 1,765 49
UGI 12,152 303
Unisource Energy 270 6
Vectren 9,872 265
WGL Holdings 780 25
Wisconsin Energy 6,500 286
--------------
4,920
--------------
Total Common Stock
(Cost $113,492) ($ Thousands) 104,068
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Number of
Warrants
---------
WARRANTS* -- 0.0%
Grubb & Ellis Realty,
Expires 02/27/10 63,600 $ --
Oilsands Quest, Expires 12/05/09 2,250 2
Rentech (D) (H), Expires 04/25/12 1,000 --
Titanium Asset Management,
Expires 06/21/11 8,400 12
--------------
Total Warrants
(Cost $--) ($ Thousands) 14
--------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
OBLIGATIONS -- 10.6%
FHLMC TBA
6.000%, 04/01/16 $ 2,000 2,057
FNMA TBA
6.000%, 04/30/20 8,000 8,232
5.500%, 04/30/22-04/30/35 1,300 1,382
5.000%, 04/30/20 1,000 1,009
--------------
Total U.S. Government Agency
Mortgage-Backed Obligations
(Cost $12,567) ($ Thousands) 12,680
--------------
ASSET-BACKED SECURITIES -- 4.5%
MORTGAGE RELATED SECURITIES -- 1.4%
GMAC Mortgage Loan Trust,
Ser 2007-HE1, Cl A2 (E)
5.621%, 08/25/37 216 188
Home Equity Mortgage Trust,
Ser 2007-2, Cl 2A1A (E)
3.285%, 04/30/08 403 299
Novastar Home Equity Loan,
Ser 2007-1, Cl A2A1 (E)
2.699%, 04/30/08 300 285
Option One Mortgage Loan Trust,
Ser 2007-HL1, Cl 2A1 (E)
2.719%, 04/26/08 408 366
Renaissance Home Equity Loan Trust,
Ser 2007-1, Cl AV1 (E)
2.729%, 04/29/08 273 262
Residential Funding Mortgage Securities,
Ser 2007-HI1, Cl A1 (E)
5.450%, 03/25/37 277 253
--------------
1,653
--------------
OTHER ASSET-BACKED SECURITIES -- 3.1%
Carrington Mortgage Loan Trust,
Ser 2007-FRE1, Cl A1 (E)
2.719%, 04/25/08 279 263
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 91
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Diversified Alpha Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Asset-Backed Certificates,
Ser 2007-BC1, Cl M1 (E)
2.849%, 04/30/08 $ 400 $ 161
Credit-Based Asset Servicing,
Ser 2007-CB4, Cl A1A (E)
2.689%, 04/27/08 406 366
First Franklin Mortgage Loan Asset,
Ser 2006-FF12, Cl A2 (E)
2.639%, 04/25/08 149 141
First Franklin Mortgage Loan Asset,
Ser 2006-FF14, Cl A2 (E)
2.659%, 04/25/08 378 357
GSAMP Trust, Ser 2007-HE2,
Cl A2A (E)
3.255%, 04/20/08 304 283
Indymac Residential Asset-Backed
Trust, Ser 2007-A, Cl 2A1 (E)
2.729%, 04/12/08 264 254
Merrill Lynch Mortgage Investors,
Ser 2007-HE2, Cl A2A (E)
2.719%, 04/30/08 343 316
RAAC, Ser 2007-SP1, Cl A1 (E)
2.749%, 04/10/08 273 265
Residential Asset Securities,
Ser 2007-KS3, Cl A1A (E)
2.709%, 04/25/37 313 293
Securitized Asset Backed Receivables
Trust LLC, Ser 2007-HE1, Cl M1 (E)
2.849%, 04/30/08 500 157
Structured Asset Investment Loan,
Ser 2003-BC4, Cl M2 (E)
5.599%, 04/25/08 64 48
Structured Asset Securities,
Ser 2007-EQ1, Cl A2 (E)
2.689%, 04/30/08 423 390
Wells Fargo Home Equity Trust,
Ser 2007-2, Cl A1 (E)
2.689%, 04/20/08 410 392
--------------
3,686
--------------
Total Asset-Backed Securities
(Cost $6,384) ($ Thousands) 5,339
--------------
MORTGAGE-BACKED SECURITIES -- 5.2%
AGENCY MORTGAGE-BACKED OBLIGATIONS -- 0.8%
FHLMC CMO STRIPS, Ser 232, Cl IO, IO
5.000%, 08/01/35 3,869 840
FNMA CMO STRIPS, Ser 360, Cl 2, IO
5.000%, 08/01/35 631 137
--------------
977
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 4.4%
American Home Mortgage Investment
Trust, Ser 2004-3, Cl 2A (E)
6.149%, 09/01/08 $ 196 $ 162
American Home Mortgage Investment
Trust, Ser 2005-1, Cl 4A1 (E)
4.992%, 04/01/08 93 67
American Home Mortgage Investment
Trust, Ser 2005-4, Cl 5A (E)
5.350%, 04/25/08 513 436
Bear Stearns Alternative Trust,
Ser 2004-12, Cl 2A2 (E)
6.958%, 04/01/08 188 173
Citigroup Mortgage Loan Trust,
Ser 2007-AR5, Cl 1A2A (E)
5.612%, 04/01/08 408 415
Countrywide Home Loans,
Ser 2007-HYB1, Cl 1A1 (E)
5.564%, 04/01/08 409 386
Countrywide Home Loans,
Ser 2007-HYB2, Cl 3A1 (E)
5.461%, 04/01/08 90 68
GS Mortgage Securities,
Ser 2007-GG10, Cl A4 (E)
5.799%, 04/01/08 100 100
Impac Secured Assets CMO Owners
Trust, Ser 2007-2, Cl 1A1A (E)
2.709%, 04/29/08 349 304
Impac Secured Assets CMO Owners
Trust, Ser 2007-3, Cl 1A1A (E)
2.709%, 04/30/08 420 398
JP Morgan Chase Commercial Mortgage,
Ser 2006-CB17, Cl A4
5.429%, 12/12/43 200 196
Lehman XS Trust, Ser 2007-4N,
Cl 1A1 (E)
5.450%, 03/25/47 318 156
Merrill Lynch Mortgage Investors,
Ser 2005-A4, Cl 1A (E)
5.765%, 04/01/08 168 165
Morgan Stanley Mortgage Loan Trust,
Ser 2007-11AR, Cl 2A5 (E)
6.000%, 04/01/08 93 60
Morgan Stanley Mortgage Loan Trust,
Ser 2007-14AR, Cl 6A1 (E)
6.487%, 11/25/37 545 382
Structured Adjustable Rate Mortgage
Loan, Ser 2007-3, Cl 2A1 (E)
5.971%, 04/01/08 456 357
- --------------------------------------------------------------------------------
92 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Structured Adjustable Rate Mortgage
Loan, Ser 2007-9, Cl 2A1 (E)
5.996%, 04/01/08 $ 472 $ 435
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2007-HY2, Cl 1A1 (E)
5.776%, 04/25/37 447 320
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2007-HY4, Cl 1A1 (E)
5.551%, 04/01/08 349 329
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2007-HY6, Cl 1A1 (E)
5.707%, 06/25/37 356 336
--------------
5,245
--------------
Total Mortgage-Backed Securities
(Cost $7,174) ($ Thousands) 6,222
--------------
U.S. GOVERNMENT AGENCY OBLIGATIONS (F) -- 1.1%
FHLMC
2.214%, 06/27/08 275 274
FNMA
4.392%, 04/16/08 950 949
2.360%, 06/23/08 125 124
--------------
Total U.S. Government Agency Obligations
(Cost $1,346) ($ Thousands) 1,347
--------------
CORPORATE OBLIGATION -- 0.0%
FINANCIALS -- 0.0%
Discover Financial Services (G)
6.450%, 06/12/17 10 9
--------------
Total Corporate Obligation
(Cost $10) ($ Thousands) 9
--------------
CONVERTIBLE BOND -- 0.2%
PETROLEUM REFINING -- 0.2%
Nova Biosource
10.000%, 09/30/12 223 201
--------------
Total Convertible Bond
(Cost $221) ($ Thousands) 201
--------------
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands)/Contracts ($ Thousands)
- --------------------------------------------------------------------------------
Number of
Rights
---------
RIGHTS -- 0.0%
Ares Capital, Expires 04/21/08 354 $ --
Centerline Holding Preferred,
Expires 04/04/08 100 --
--------------
Total Rights (Cost $--) ($ Thousands) --
--------------
CASH EQUIVALENT**++ -- 7.3%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 3.190% 8,796,505 8,797
--------------
Total Cash Equivalent
(Cost $8,797) ($ Thousands) 8,797
--------------
U.S. TREASURY OBLIGATIONS (A) -- 0.5%
U. S. Treasury Bills (B)
3.385%, 06/26/08 $ 30 30
2.167%, 05/22/08 430 429
U. S. Treasury Bond TIPS
2.375%, 04/15/11 185 199
--------------
Total U.S. Treasury Obligations
(Cost $642) ($ Thousands) 658
--------------
PURCHASED OPTION -- 0.0%
U.S. 10-Year Treasury Call,
July 2008, Expires 06/16/08,
Strike Price : $95.00* 7 48
--------------
Total Purchased Option
(Cost $3) ($ Thousands) 48
--------------
Total Investments -- 116.2%
(Cost $150,636) ($ Thousands) $ 139,383
==============
COMMON STOCK SOLD SHORT -- (5.9)%
CONSUMER DISCRETIONARY -- (1.2)%
99 Cents Only Stores* (4,300) (43)
Arctic Cat (3,100) (23)
Asbury Automotive Group (7,200) (99)
Audiovox, Cl A* (1,700) (18)
California Coastal Communities* (11,846) (57)
Century Casinos* (14,571) (47)
Coinstar* (4,805) (135)
Coldwater Creek* (1,200) (6)
CPI (200) (4)
Great Wolf Resorts* (4,800) (31)
Group 1 Automotive (900) (21)
H&R Block (1,000) (21)
K-Swiss, Class A (6,100) (97)
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 93
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Diversified Alpha Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Lakes Entertainment* (15,666) $ (69)
Levitt, Cl A (39,409) (78)
Lifetime Brands (3,616) (32)
Lithia Motors, Cl A (7,600) (77)
Lodgenet Entertainment* (2,300) (14)
MTR Gaming Group* (13,055) (91)
Nordstrom (1,600) (52)
Peets Coffee & Tea* (685) (16)
Ruth's Chris Steak House* (4,362) (30)
Sonic Automotive (4,800) (99)
Spartan Motors (200) (2)
Steinway Musical Instruments* (2,300) (66)
Superior Industries International (3,800) (79)
The Steak N Shake* (414) (3)
Timberland, Class A* (2,000) (27)
Toll Brothers* (5,400) (127)
Town Sports International* (1,900) (12)
Triarc, Cl B (1,613) (11)
--------------
(1,487)
--------------
CONSUMER STAPLES -- (0.3)%
Alico (2,081) (92)
Andersons (1,278) (57)
Calavo Growers (3,570) (62)
MGP Ingredients (3,600) (25)
Smithfield Foods* (1,800) (46)
Tootsie Roll Industries (1,545) (39)
Weis Markets (1,900) (66)
--------------
(387)
--------------
ENERGY -- (0.4)%
Carbo Ceramics (2,600) (104)
Exco Resources* (6,700) (124)
Exterran Holdings* (1,200) (78)
Oyo Geospace* (1,400) (64)
Peabody Energy (1,100) (56)
Petroleum Development* (800) (55)
--------------
(481)
--------------
FINANCIALS -- (1.0)%
Bankfinancial (4,174) (66)
Beneficial Mutual Bancorp* (2,100) (21)
Cardinal Financial (4,574) (41)
Centennial Bank Holdings* (12,166) (76)
Cousins Properties+ (1,300) (32)
Cowen Group* (3,300) (23)
Deerfield Capital (171) --
Dime Community (100) (2)
EMC Insurance Group (2,700) (73)
Harris & Harris Group* (7,798) (56)
Independence Holding (6,883) (82)
Irwin Financial (100) (1)
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Jefferies Group (5,200) $ (84)
KBW* (700) (16)
Nymagic (2,200) (50)
Oceanfirst Financial (4,554) (80)
Piper Jaffaray* (2,100) (71)
Plum Creek Timber+ (4,100) (167)
State Auto Financial (900) (26)
Stewart Information Services (5,509) (154)
Westfield Financial (4,158) (41)
--------------
(1,161)
--------------
HEALTH CARE -- (0.8)%
Abiomed* (3,000) (39)
Alpharma, Cl A (4,000) (105)
AMAG Pharmaceuticals* (2,600) (105)
APP Pharmaceuticals* (2,305) (28)
Auxilium Pharmaceuticals* (700) (19)
Brookdale Senior Living (3,100) (74)
Cepheid* (2,500) (61)
Cross Country* (5,200) (64)
Emeritus* (4,707) (98)
Enzo Biochem* (6,259) (57)
Micrus Endovascular* (3,000) (37)
Minrad International* (26,545) (62)
Mylan (4,000) (46)
Third Wave Technologies* (8,764) (81)
Vital Images* (3,200) (47)
Volcano* (1,000) (14)
--------------
(937)
--------------
INDUSTRIALS -- (0.6)%
Baldor Electric (3,300) (92)
Coleman Cable* (8,439) (93)
Flanders* (11,460) (70)
Gehl* (2,300) (39)
Healthcare Services Group (4,900) (101)
Innovative Solutions & Support* (5,484) (58)
Insteel Industries (1,200) (14)
LMI Aerospace* (3,807) (74)
Northwest Pipe* (1,200) (51)
Owens Corning* (4,700) (85)
Turbochef Technologies* (3,300) (21)
Universal Forest Products (1,700) (55)
--------------
(753)
--------------
INFORMATION TECHNOLOGY -- (0.8)%
Agilysys (8,400) (98)
Ariba* (7,200) (70)
Ditech Networks* (16,733) (49)
DTS* (4,620) (111)
Electro Scientific Industries* (1,000) (17)
Electronic Arts* (300) (15)
- --------------------------------------------------------------------------------
94 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Equinix* (1,200) $ (80)
Exar* (4,100) (34)
Liquidity Services* (2,400) (19)
LivePerson* (21,672) (67)
Micron Technology (9,570) (57)
Mosys* (14,671) (64)
PDF Solutions* (8,217) (45)
Radisys* (3,900) (39)
Smith Micro Software* (6,126) (37)
SourceForge* (36,551) (73)
Switch & Data Facilities* (2,000) (20)
Symyx Technologies* (4,100) (31)
T-HQ* (800) (17)
--------------
(943)
--------------
MATERIALS -- (0.3)%
Balchem, Cl B (100) (2)
Deltic Timber (1,236) (69)
Esmark* (58) (1)
Idaho General Mines* (10,400) (83)
Louisiana-Pacific (10,200) (94)
Royal Gold (1,900) (57)
Valhi (1,200) (28)
Wausau Paper (4,700) (39)
Westlake Chemical (1,700) (22)
--------------
(395)
--------------
TELECOMMUNICATION SERVICES -- (0.2)%
Crown Castle International* (900) (31)
Leap Wireless International* (2,300) (107)
Surewest Communications (4,231) (65)
--------------
(203)
--------------
UTILITIES -- (0.3)%
California Water Service Group (2,437) (93)
Central Vermont Public Service (217) (5)
CH Energy Group (2,500) (97)
Connecticut Water Service (1,940) (46)
Middlesex Water (3,236) (59)
SJW (1,065) (30)
--------------
(330)
--------------
Total Common Stock Sold Short
(Proceeds $(8,395)) ($ Thousands) (7,077)
--------------
A summary of the open futures contracts held by the Fund at March 31, 2008, 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$ 1 Mar-2010 $ (1)
90-Day Euro$ (1) Mar-2011 (3)
90-Day Euro$ (1) Mar-2012 (2)
90-Day Euro$ 2 Mar-2012 2
90-Day Euro$ 9 Mar-2009 4
90-Day Euro$ (19) Jun-2010 (79)
90-Day Euro$ 4 Jun-2012 6
90-Day Euro$ (19) Jun-2008 (36)
90-Day Euro$ 14 Jun-2008 47
90-Day Euro$ 25 Jun-2009 81
90-Day Euro$ (1) Sep-2010 (3)
90-Day Euro$ 6 Sep-2012 10
90-Day Euro$ 10 Sep-2008 11
90-Day Euro$ 26 Sep-2009 75
90-Day Euro$ (1) Dec-2010 (3)
90-Day Euro$ (1) Dec-2011 (2)
90-Day Euro$ 3 Dec-2008 1
90-Day Euro$ 11 Dec-2009 4
Russell 2000 Index E-MINI 69 Jun-2008 33
Russell 2000 Index E-MINI 126 Jun-2008 288
S&P Mid 400 Index E-MINI 12 Jun-2008 15
S&P Mid 400 Index E-MINI 130 Mar-2008 167
10-Year Swap (31) Jun-2008 (86)
U.S. 2-Year Note 5 Mar-2008 7
U.S. 10-Year Note 16 Jun-2008 54
U.S. Long Treasury Bond 1 Mar-2008 4
--------------
$ 594
==============
A summary of outstanding swap agreements held by the Fund at March 31, 2008, is
as follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
TOTAL RETURN SWAPS
- --------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Fund receives payment on the
monthly reset spread from Bank
of America--CMBS AAA 10 YR
Index minus 0 basis points time
the notional amount. Fund
receives payment if the return
on the spread appreciates over
the payment period and pays if
the return on the spread
depreciates over the payment
period. (Counterparty: Barclays) 08/30/08 $ 15,000 $ 342
=============
- --------------------------------------------------------------------------------
CREDIT DEFAULT SWAPS
- --------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Fund receives monthly payment
of 0.015% (0.18% per annum)
times the notional amount of
the ABX-HE-AAA-6-1 Index. Upon
a defined credit event, Fund
pays the notional amount and
takes receipt of the defined
deliverable obligation.
(Counterparty: Barclays) 07/25/45 $ (100) $ (5)
Fund receives monthly payment
of 0.015% (0.18% per annum)
times the notional amount of
the ABX-HE-AAA-6-1 Index. Upon
a defined credit event, Fund
pays the notional amount and
takes receipt of the defined
deliverable obligation.
(Counterparty: Barclays) 07/25/45 (200) (9)
Fund pays quarterly payment of
0.275% (1.10% per annum) times
the notional amount of Century
Tel Inc., 04/01/17. Upon a
defined credit event, Fund will
receive the notional amount and
deliver the defined obligation.
(Counterparty: Goldman Sachs
International) 03/20/13 250 5
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 95
SCHEDULE OF INVESTMENTS (Unaudited)
Small/Mid Cap Diversified Alpha Fund (Concluded)
March 31, 2008
- --------------------------------------------------------------------------------
CREDIT DEFAULT SWAPS
- --------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Fund pays quarterly payment
of 0.1475% (0.59% per annum)
times the notional amount of
Safeway Inc., 08/15/12. Upon a
defined credit event, Fund will
receive the notional amount and
deliver the defined obligation.
(Counterparty: Bank of America) 03/20/13 $ 250 $ --
Fund pays quarterly payment
of 0.2375% (0.95% per annum)
times the notional amount of
Lowe's Co. Inc., 06/01/10. Upon
a defined credit event, Fund
will receive the notional
amount and deliver the defined
obligation. (Counterparty: Bank
of America) 03/20/13 250 1
Fund pays quarterly payment
of 0.20% (0.80% per annum)
times the notional amount of
Borg-Warner Auto, 02/15/09.
Upon a defined credit event,
Fund will receive the notional
amount and deliver the defined
obligation. (Counterparty:
Goldman Sachs) 03/20/13 250 1
Fund pays quarterly payment
of 0.15% (0.60% per annum)
times the notional amount of
the CDX.NA.IG9 Index. Upon a
defined credit event, Fund
receives the notional amount
and delivers the defined
deliverable obligation.
(Counterparty: Goldman Sachs) 12/20/12 1,000 2
Fund pays quarterly payment
of 0.15% (0.60% per annum)
times the notional amount of
the CDX.NA.IG9 Index. Upon a
defined credit event, Fund
receives the notional amount
and delivers the defined
deliverable obligation.
(Counterparty: Goldman Sachs) 12/20/12 750 --
Fund pays quarterly payment
of 0.15% (0.60% per annum)
times the notional amount of
the CDX.NA.IG9 Index. Upon a
defined credit event, Fund
receives the notional amount
and delivers the defined
deliverable obligation.
(Counterparty: Goldman Sachs) 12/20/12 500 (1)
Fund receives monthly
payment of 0.05% (0.60% per
annum) times the notional
amount of the CMBX NA-BBB 2
Index. Upon a defined credit
event, Fund pays the notional
amount and takes the defined
deliverable obligation.
(Counterparty: Goldman Sachs) 03/14/49 1,000 119
Fund pays quarterly payment
of 0.15% (0.60% per annum) times
the notional amount of the
CDX.NA.IG9 Index. Upon a
defined credit event, Fund
receives the notional amount
and delivers the defined
deliverable obligation.
(Counterparty: Bank of America) 12/20/12 500 14
Fund pays quarterly payment
of 0.113% (0.452% per annum)
times the notional amount of
the CDX.TES F5 Index. Upon a
defined credit event, Fund
receives the notional amount
and delivers the defined
deliverable obligation.
(Counterparty: Bank of America) 12/20/12 250 5
Fund pays quarterly payment
of 0.113% (0.452% per annum)
times the notional amount of
the CDX.TES F5 Index. Upon a
defined credit event, Fund
receives the notional amount
and delivers the defined
deliverable obligation.
(Counterparty: Bank of America) 12/20/12 250 5
-------------
$ 137
=============
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $119,926 ($ Thousands).
* Non-Income Producing Security.
** Rate shown is the 7-day effective yield as of March 31, 2008.
+ 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 value of collateral for securities sold
short at March 31, 2008 was $24,233 ($ Thousands).
(D) Security fair valued using methods determined in good faith by the
Valuation Committee of the Board of Trustees. The total value of such
securities as of March 31, 2008 was $445 ($ Thousands) and represented
0.37% of Net Assets.
(E) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of March 31, 2008.
(F) Zero Coupon Bond -- The rate shown is the effective yield at time of
purchase.
(G) Security sold within the terms of a private placement memorandum, exempt
from registration under section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors." These securities have been determined to be liquid
under guidelines established by the Board of Trustees.
(H) Security considered illiquid and restricted. The total value of such
securities at March 31, 2008 was $445 ($ Thousands) and represented 0.37%
of Net Assets.
ADR -- American Depositary Receipt
ARM -- Adjustable Rate Mortgage
Cl -- Class
CMO -- Collateralized Mortgage Obligation
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GMAC -- General Motors Acceptance Corporation
IO -- Interest Only
LLC -- Limited Liability Company
L.P. -- Limited Partnership
MTN -- Medium Term Note
PIPE -- Public Investment in Public Entity
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 $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
96 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
Mid-Cap Fund
March 31, 2008
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS#:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Financials 13.5%
Information Technology 13.4%
Industrials 13.4%
Short-Term Investments 13.1%
Consumer Discretionary 11.5%
Energy 9.2%
Health Care 8.1%
Materials 6.0%
Utilities 5.8%
Consumer Staples 4.1%
Telecommunication Services 1.6%
U.S. Treasury Obligation 0.3%
Rights 0.0%
# Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 7).
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK--97.9%
CONSUMER DISCRETIONARY -- 13.0%
Abercrombie & Fitch, Cl A 3,600 $ 263
Advance Auto Parts 15,100 514
American Eagle Outfitters 16,900 296
AnnTaylor Stores* 7,100 172
Apollo Group, Cl A* 6,400 277
Asbury Automotive Group 7,800 107
Autoliv 20,400 1,024
AutoNation* 5,900 88
Autozone* 2,900 330
Big Lots (C)* 38,400 856
Black & Decker 1,800 119
Boyd Gaming 6,900 138
Brinker International 10,400 193
Christopher & Banks 4,500 45
Coach* 14,900 449
CROCS (C)* 20,800 363
Darden Restaurants 22,600 736
DIRECTV Group* 13,600 337
DISH Network, Cl A* 39,900 1,146
Dollar Tree* 41,100 1,134
Expedia* 34,200 749
Family Dollar Stores 13,100 255
GameStop, Cl A* 12,500 646
Gannett 10,000 291
Garmin (C)* 2,800 151
Gymboree* 1,300 52
H&R Block 800 17
Hanesbrands* 34,000 993
Harley-Davidson 3,500 131
Harman International Industries 1,700 74
Hasbro (C) 26,500 739
IAC/InterActive* 13,600 282
International Speedway, Cl A 3,500 144
Jack in the Box* 6,000 161
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Jarden (C)* 16,500 $ 359
Jones Apparel Group 18,100 243
Ltd Brands 7,300 125
Mattel 13,100 261
McGraw-Hill 900 33
Newell Rubbermaid 2,100 48
Nordstrom 2,000 65
PetSmart 4,400 90
RadioShack 37,900 616
Regal Entertainment Group, Cl A (C) 60,100 1,159
Royal Caribbean Cruises 2,000 66
Service International 86,600 878
Sherwin-Williams 1,000 51
Snap-On 16,600 844
Stanley Works 6,100 291
Steven Madden* 1,000 17
Thor Industries 600 18
TJX (C) 48,800 1,614
TRW Automotive Holdings* 7,600 178
Urban Outfitters* 5,400 169
VF 2,800 217
Warnaco Group* 3,300 130
Weight Watchers International 500 23
Whirlpool 3,500 304
Wolverine World Wide 2,300 67
Wyndham Worldwide 9,900 205
Yum! Brands 5,200 194
--------------
21,537
--------------
CONSUMER STAPLES -- 4.7%
Bare Escentuals* 5,300 124
Campbell Soup 5,400 183
Clorox 5,900 334
Coca-Cola Enterprises 51,600 1,249
ConAgra Foods 14,300 342
Constellation Brands, Cl A* 6,600 117
Del Monte Foods 26,500 253
Energizer Holdings* 1,300 118
HJ Heinz 2,500 117
Kimberly-Clark 2,200 142
Kroger 9,100 231
Loews - Carolina Group 200 15
Molson Coors Brewing, Cl B 7,400 389
Nu Skin Enterprises, Cl A 11,200 202
Pepsi Bottling Group 35,900 1,217
PepsiAmericas 1,100 28
Reynolds American 3,200 189
Safeway 27,200 798
Sara Lee 29,000 405
SUPERVALU (C) 40,200 1,205
TreeHouse Foods* 600 14
--------------
7,672
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 97
SCHEDULE OF INVESTMENTS (Unaudited)
Mid-Cap Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
ENERGY -- 10.4%
Chesapeake Energy 11,800 $ 545
Cimarex Energy (C) 20,500 1,122
El Paso (C) 83,000 1,381
ENSCO International (C) 22,100 1,384
FMC Technologies* 10,000 569
Frontier Oil 6,300 172
Frontline (C)* 23,300 1,072
Helmerich & Payne 35,200 1,650
Hess 3,100 273
Holly 1,900 82
Murphy Oil 6,500 534
National Oilwell Varco* 300 18
Noble 1,700 84
Noble Energy 2,600 189
Overseas Shipholding Group 1,500 105
Patterson-UTI Energy (C) 13,900 364
Pioneer Natural Resources 6,600 324
Pride International* 6,300 220
Quicksilver Resources* 7,200 263
Rowan 4,200 173
SandRidge Energy* 9,600 376
Spectra Energy 1,300 30
St Mary Land & Exploration 2,000 77
Sunoco 11,200 588
Tidewater 21,700 1,196
Unit* 25,600 1,450
W&T Offshore 26,800 914
Western Refining 300 4
Williams 59,800 1,972
--------------
17,131
--------------
FINANCIALS -- 15.1%
Allied World Assurance Holdings 2,900 115
American Financial Group 11,800 302
Annaly Capital Management+ (C) 100,200 1,535
Apollo Investment (C) 1,800 29
Arch Capital Group* 5,900 405
Astoria Financial 36,400 989
Axis Capital Holdings 38,100 1,295
Bank of Hawaii 19,300 957
Brandywine Realty Trust+ 17,700 300
CB Richard Ellis Group, Cl A* 7,400 160
CBL & Associates Properties+ 13,300 313
CIT Group 3,700 44
CNA Financial 2,900 75
Colonial BancGroup (C) 12,000 116
Colonial Properties Trust+ (C) 31,400 755
Comerica 9,100 319
Community Bancorp* 800 11
Conseco* 1,000 10
Duke Realty+ 4,500 103
East West Bancorp 10,600 188
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Endurance Specialty Holdings 5,000 $ 183
Everest Re Group 3,500 313
Federated Investors, Cl B 26,400 1,034
General Growth Properties+ 6,200 237
Genworth Financial, Cl A 8,700 197
HCC Insurance Holdings 2,400 54
Health Care+ (C) 32,400 1,462
Hercules Technology Growth Capital 1,400 15
Hospitality Properties Trust+ 42,000 1,429
Host Hotels & Resorts+ 17,900 285
Hudson City Bancorp 26,000 460
Huntington Bancshares 27,900 300
Invesco* 45,300 1,104
Investment Technology Group* 4,100 189
iStar Financial+ (C) 19,700 276
Janus Capital Group (C) 11,100 258
Jones Lang LaSalle (C) 13,800 1,067
Keycorp 7,600 167
Legg Mason 2,900 162
M&T Bank 400 32
Macerich+ 1,500 105
Marshall & Ilsley 4,800 111
MCG Capital 1,300 12
MF Global* 7,100 70
MSCI, Cl A* 9,100 271
NASDAQ Stock Market* 3,500 135
Nationwide Financial Services, Cl A 300 14
Northern Trust 1,800 120
NorthStar Realty Finance+ (C) 5,200 43
PartnerRe 4,400 336
Platinum Underwriters Holdings 2,000 65
Prologis+ (C) 22,500 1,324
Ramco-Gershenson Properties+ 1,200 25
Regions Financial 1,500 30
RenaissanceRe Holdings 16,900 877
Safeco 2,400 105
SeaBright Insurance Holdings* 1,800 27
Sovereign Bancorp (C) 73,000 680
TD Ameritrade Holding* 16,000 264
Torchmark 11,800 709
Transatlantic Holdings 6,400 425
Travelers 2,600 124
Valley National Bancorp (C) 39,900 766
Wilmington Trust 500 16
WR Berkley 17,900 496
XL Capital, Cl A 8,200 242
Zions Bancorporation 6,400 292
--------------
24,929
--------------
HEALTH CARE -- 9.2%
AmerisourceBergen 800 33
Applera -- Applied Biosystems Group 11,300 371
Cephalon (C)* 5,300 341
- --------------------------------------------------------------------------------
98 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Cigna 36800 $ 1,493
Covance* 3,500 290
CR Bard 400 39
Edwards Lifesciences* 4,200 187
Endo Pharmaceuticals Holdings* 6,100 146
Express Scripts* 7,500 482
Forest Laboratories* 14,600 584
Health Net* 35,800 1,103
Hillenbrand Industries 300 14
Humana* 6,700 301
Idexx Laboratories* 5,300 261
IMS Health 43,300 910
Intuitive Surgical (C)* 5,200 1,687
Invitrogen* 2,400 205
Kinetic Concepts* 29,500 1,364
King Pharmaceuticals* 28,000 244
LifePoint Hospitals* 10,600 291
Lincare Holdings* 39,100 1,099
Millennium Pharmaceuticals* 21,700 336
Sepracor* 1,400 27
St. Jude Medical* 30,900 1,335
Vertex Pharmaceuticals (C)* 16,300 389
Warner Chilcott, Cl A* 73,500 1,323
Waters* 4,600 256
--------------
15,111
--------------
INDUSTRIALS -- 15.1%
Alliant Techsystems* 2,200 228
Allied Waste Industries* 108,300 1,171
Avery Dennison 6,600 325
Carlisle 4,600 154
Continental Airlines, Cl B* 8,500 163
Cooper Industries, Cl A 3,700 149
Covanta Holding (C)* 23,600 649
Crane 25,300 1,021
CSX 32,500 1,822
Cummins 19,500 913
Dover 6,100 255
Eaton 12,800 1,020
EMCOR Group* 1,600 36
Fastenal 8,500 390
First Solar* 1,000 231
Fluor 10,500 1,482
Gardner Denver* 36,000 1,336
Goodrich 17,700 1,018
Harsco 30,100 1,667
Hertz Global Holdings* 69,600 839
Hubbell, Cl B 3,600 157
Ingersoll-Rand, Cl A 18,600 829
Jacobs Engineering Group* 3,400 250
Kansas City Southern (C)* 5,300 213
KBR* 22,900 635
Kimball International, Cl B 700 7
L-3 Communications Holdings 3,900 426
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Lennox International 2,400 $ 86
Manitowoc 4,600 188
Manpower 7,100 399
Masco (C) 5,100 101
McDermott International* 2,900 159
Norfolk Southern 1,200 65
Northrop Grumman 1,100 86
Oshkosh Truck 24,300 882
Parker Hannifin 19,650 1,361
PeopleSupport (C)* 3,700 34
Pitney Bowes 4,900 172
Precision Castparts 1,400 143
Raytheon 1,600 103
Republic Services 400 12
Robert Half International 9,100 234
Rockwell Automation 6,500 373
Rockwell Collins 7,100 406
RR Donnelley & Sons 12,000 364
Ryder System 11,900 725
Shaw Group* 11,500 542
SPX 1,300 136
Steelcase, Cl A 12,100 134
Stericycle* 6,700 345
Textron 100 6
Trinity Industries (C) 6,500 173
TrueBlue* 3,400 46
Tyco International 1,500 66
United Rentals* 4,600 87
WESCO International* 5,300 193
--------------
25,007
--------------
INFORMATION TECHNOLOGY -- 15.2%
Accenture, Cl A 1,600 56
Activision* 10,100 276
ADC Telecommunications* 29,600 358
Adobe Systems* 3,400 121
Agilent Technologies* 11,700 349
Altera 3,900 72
Amphenol, Cl A 4,200 156
Analog Devices 1,500 44
Arrow Electronics* 31,300 1,053
Automatic Data Processing 4,900 208
Avnet* 39,800 1,303
BMC Software* 45,800 1,489
Broadridge Financial Solutions 40,800 718
Brocade Communications Systems* 5,200 38
CA 21,100 475
Cadence Design Systems* 19,400 207
Ciena* 900 28
CommScope* 3,500 122
Computer Sciences* 23,400 954
Compuware* 15,100 111
DST Systems (C)* 1,000 66
eBay* 9,600 286
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 99
SCHEDULE OF INVESTMENTS (Unaudited)
Mid-Cap Fund (Concluded)
March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Electronic Data Systems 83,800 $ 1,395
Factset Research Systems 3,000 162
Global Payments 3,900 161
Harris 25,300 1,228
Hewitt Associates, Cl A* 29,900 1,189
Ingram Micro, Cl A* 10,500 166
Integrated Device Technology* 85,700 765
Intuit* 3,400 92
Jabil Circuit 13,200 125
Linear Technology (C) 5,700 175
LSI Logic* 10,300 51
Mastercard, Cl A 800 178
McAfee* 4,800 159
MEMC Electronic Materials* 20,700 1,468
Mettler Toledo International* 16,000 1,554
National Semiconductor 1,900 35
NetApp (C)* 17,200 345
Nvidia* 68,700 1,360
QLogic* 12,700 195
Seagate Technology 78,700 1,648
Silicon Laboratories* 300 9
Symantec* 15,100 251
Synopsys* 65,900 1,497
Western Digital (C)* 62,400 1,687
Xerox 33,300 498
Xilinx 3,900 93
Zebra Technologies, Cl A* 4,200 140
--------------
25,116
--------------
MATERIALS -- 6.8%
AK Steel Holding (C)* 23,200 1,263
Albemarle 5,700 208
Ball 4,500 207
Celanese, Ser A 46,200 1,804
Chemtura 13,800 101
Commercial Metals 1,000 30
Domtar* 1,800 12
Eastman Chemical 5,500 343
Ecolab 2,700 117
FMC 20,700 1,149
Lubrizol 18,900 1,049
Mosaic* 3,000 308
Nalco Holding 2,000 42
Olin 1,300 26
Owens-Illinois* 24,700 1,394
Packaging of America 11,900 266
Pactiv* 13,400 351
PPG Industries 4,200 254
Reliance Steel & Aluminum 17,400 1,042
Rohm & Haas 500 27
Scotts Miracle-Gro, Cl A 8,400 272
Sonoco Products 16,900 484
Spartech 5,100 43
Steel Dynamics (C) 1,200 40
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Terra Industries (C)* 3,000 $ 107
United States Steel 2,200 279
Valspar 2,300 46
Zep* 650 10
--------------
11,274
--------------
TELECOMMUNICATION SERVICES -- 1.9%
CenturyTel 8,000 266
Embarq (C) 33,100 1,327
NII Holdings* 6,500 207
Qwest Communications International (C) 23,100 105
US Cellular* 14,000 770
Windstream 31,000 370
--------------
3,045
--------------
UTILITIES -- 6.5%
AES* 114,800 1,914
American Electric Power 7,400 308
Atmos Energy 3,700 94
Centerpoint Energy 20,000 285
CMS Energy 21,300 288
Consolidated Edison 6,600 262
Constellation Energy Group 4,900 433
DTE Energy 5,700 222
Edison International 46,600 2,284
Energen 16,600 1,034
MDU Resources Group 800 20
Nicor 400 13
NiSource 13,200 228
NRG Energy* 4,100 160
OGE Energy 1,200 37
Oneok 3,600 161
Pepco Holdings 29,900 739
Portland General Electric 800 18
PPL 1,000 46
Progress Energy 4,400 184
SCANA 1,900 70
Sempra Energy 22,400 1,193
Sierra Pacific Resources 63,500 802
--------------
10,795
--------------
Total Common Stock
(Cost $171,534) ($ Thousands) 161,617
--------------
CORPORATE OBLIGATION (D) (E) -- 0.2%
FINANCIALS -- 0.2%
SLM MTN, Ser S
2.827%, 04/14/08 $ 403 403
--------------
Total Corporate Obligation
(Cost $403) ($ Thousands) 403
--------------
- --------------------------------------------------------------------------------
100 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Number of
Rights
---------
RIGHTS -- 0.0%
MCGC Capital, Expires 04/18/08* 186 $ --
--------------
Total Rights
(Cost $--) ($ Thousands) --
--------------
CASH EQUIVALENTS**++ -- 14.9%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 3.190% 2,978,831 2,979
SEI Liquidity Fund L.P., 3.200% (D) 21,586,195 21,586
--------------
Total Cash Equivalents
(Cost $24,565) ($ Thousands) 24,565
--------------
U.S. TREASURY OBLIGATION (A) (B) -- 0.3%
U. S. Treasury Bill
2.167%, 05/22/08 $ 546 545
--------------
Total U.S. Treasury Obligation
(Cost $544) ($ Thousands) 545
--------------
Total Investments -- 113.3%
(Cost $197,046) ($ Thousands) $ 187,130
==============
A summary of the open futures contracts held by the Fund at March 31, 2008, 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 Mid 400 Index E-MINI 39 Jun-2008 $ 20
=============
Percentages are based on Net Assets of $165,158 ($ Thousands).
* Non-Income Producing Security.
** Rate shown is the 7-day effective yield as of March 31, 2008.
+ 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) This security or a partial position of this security is on loan at March
31, 2008 (see Note 7). The total value of securities on loan at March 31,
2008 was $21,464 ($ Thousands).
(D) This security was purchased with cash collateral held from securities on
loan (see Note 7). The total value of such securities as of March 31, 2008
was $21,989 ($ Thousands).
(E) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of March 31, 2008.
Cl -- Class
L.P. -- Limited Partnership
MTN -- Medium Term Note
Ser -- Series
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 101
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Managed Volatility Fund
March 31, 2008
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS#:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Health Care 24.5%
Industrials 11.6%
Financials 11.0%
Consumer Staples 10.8%
Utilities 8.8%
Energy 7.7%
Consumer Discretionary 6.8%
Information Technology 6.4%
Short-Term Investment 4.8%
Telecommunication Services 3.8%
Materials 3.6%
U.S. Treasury Obligation 0.2%
# Percentages based on total investments.
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 94.9%
CONSUMER DISCRETIONARY -- 6.8%
Autoliv 37,900 $ 1,903
Career Education* 41,100 523
Choice Hotels International 53,500 1,825
Clear Channel
Outdoor Holdings, Cl A* 3,907 74
Dillard's, Cl A 51,800 892
DIRECTV Group* 96,700 2,397
Genuine Parts 42,700 1,717
Harte-Hanks 27,000 369
International Speedway, Cl A 38,200 1,574
ITT Educational Services* 36,800 1,690
Jack in the Box* 14,000 376
Lamar Advertising, Cl A 36,900 1,326
McGraw-Hill 27,400 1,012
Pacific Sunwear of California* 23,100 291
Panera Bread, Cl A* 7,800 327
Penn National Gaming* 39,500 1,727
Polaris Industries 12,400 509
Shaw Communications, Cl B* 119,100 2,165
Starwood Hotels & Resorts Worldwide 47,200 2,443
TRW Automotive Holdings* 92,800 2,169
Tupperware Brands* 56,100 2,170
Washington Post, Cl B 6,646 4,396
Weight Watchers International 38,700 1,793
--------------
33,668
--------------
CONSUMER STAPLES -- 10.8%
Alberto-Culver 20,895 573
Altria Group 23,445 520
Anheuser-Busch 36,300 1,722
Brown-Forman, Cl B 6,026 399
Campbell Soup 15,954 542
Church & Dwight 41,700 2,262
Corn Products International 17,870 664
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
General Mills 148,276 $ 8,879
Hansen Natural* 48,300 1,705
Hershey 60,300 2,271
Hormel Foods 208,273 8,677
JM Smucker 15,900 805
Kellogg 115,655 6,079
Kimberly-Clark 63,136 4,075
McCormick 48,466 1,792
Molson Coors Brewing, Cl B 14,200 746
Pepsi Bottling Group 61,600 2,089
PepsiAmericas 3,507 90
PepsiCo 27,166 1,961
Philip Morris International* 23,445 1,186
Procter & Gamble 17,881 1,253
Reynolds American 65,416 3,861
SYSCO 33,186 963
--------------
53,114
--------------
ENERGY -- 7.7%
Berry Petroleum, Cl A 43,500 2,022
Cameco* 70,400 2,319
Chevron 70,454 6,014
Enbridge* 55,900 2,301
Exxon Mobil 72,322 6,117
Imperial Oil 42,000 2,195
Murphy Oil 42,299 3,474
Nexen 80,700 2,390
Petro-Canada* 43,400 1,884
SEACOR Holdings* 71,967 6,143
Spectra Energy 63,075 1,435
TransCanada* 43,700 1,684
--------------
37,978
--------------
FINANCIALS -- 10.9%
Alleghany* 6,050 2,066
American National Insurance 9,677 1,032
Arch Capital Group* 22,695 1,558
Arthur J. Gallagher 58,991 1,393
Bancorpsouth 80,600 1,867
BOK Financial 50,317 2,628
Capitol Federal Financial 8,422 316
Colonial BancGroup 98,200 946
Commerce Bancshares 66,482 2,794
Credicorp 24,600 1,765
East West Bancorp 30,300 538
Erie Indemnity, Cl A 36,500 1,868
Federated Investors, Cl B 58,600 2,295
First Citizens BancShares, Cl A 11,735 1,635
Fulton Financial 168,200 2,067
Investment Technology Group* 29,900 1,381
Jones Lang LaSalle 28,100 2,173
Loews 106,903 4,300
Markel* 10,947 4,816
- --------------------------------------------------------------------------------
102 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Mercury General 33,985 $ 1,506
OneBeacon Insurance Group 3,138 60
PartnerRe 4,337 331
Popular 162,000 1,889
RenaissanceRe Holdings 38,000 1,973
Stancorp Financial Group 34,500 1,646
Student Loan 48 5
Transatlantic Holdings 41,328 2,742
Valley National Bancorp 85,300 1,639
Wesco Financial 2,209 892
White Mountains Insurance Group 2,642 1,268
Whitney Holding 31,700 786
Willis Group Holdings 56,100 1,885
--------------
54,060
--------------
HEALTH CARE -- 24.5%
Abbott Laboratories 3,623 200
Alcon 16,700 2,376
AmerisourceBergen 192,401 7,885
Amgen* 43,917 1,835
Applera -- Applied
Biosystems Group 69,899 2,297
Baxter International 21,895 1,266
Beckman Coulter 11,585 748
Becton Dickinson 63,425 5,445
BioMarin Pharmaceuticals* 59,200 2,094
Cardinal Health 90,148 4,734
Celgene* 17,000 1,042
Charles River Laboratories
International* 33,300 1,963
Covance* 46,405 3,850
Coventry Health Care* 29,300 1,182
C.R. Bard 10,590 1,021
Dentsply International 76,876 2,967
Edwards Lifesciences* 102,435 4,563
Eli Lilly 35,439 1,828
Endo Pharmaceuticals Holdings* 97,374 2,331
Genentech* 16,218 1,317
Genzyme* 57,232 4,266
Health Net* 77,982 2,402
Henry Schein* 99,733 5,725
Hillenbrand Industries 102,278 4,889
Hospira* 14,955 640
Humana* 6,083 273
Idexx Laboratories* 81,105 3,995
Immucor* 54,100 1,154
Johnson & Johnson 61,316 3,978
King Pharmaceuticals* 165,400 1,439
Laboratory of America Holdings* 80,806 5,954
McKesson 141,196 7,394
Medco Health Solutions* 115,292 5,049
Onyx Pharmaceuticals* 43,100 1,251
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Patterson* 89,209 $ 3,238
Perrigo 57,000 2,151
Pfizer 112,019 2,344
Pharmaceutical Product Development 8,740 366
Techne* 77,955 5,251
Universal Health Services, Cl B 82,681 4,439
Watson Pharmaceuticals* 14,100 413
WellPoint* 74,200 3,274
--------------
120,829
--------------
INDUSTRIALS -- 11.6%
Alexander & Baldwin 8,100 349
Alliant Techsystems* 20,500 2,122
Amerco* 5,800 331
C.H. Robinson Worldwide 99,992 5,440
Clarcor 47,800 1,699
Dun & Bradstreet 17,553 1,428
Gardner Denver* 50,100 1,859
GATX 25,700 1,004
General Cable* 37,500 2,215
General Dynamics 19,604 1,634
Granite Construction 18,600 608
Hubbell, Cl B 16,300 712
JetBlue Airways* 82,800 480
Landstar System 37,900 1,977
Lennox International 56,100 2,018
Lincoln Electric Holdings 28,900 1,864
Lockheed Martin 57,150 5,675
Northrop Grumman 76,152 5,925
Pitney Bowes 86,690 3,036
Raytheon 51,532 3,330
Republic Services 31,773 929
Ritchie Bros. Auctioneers 27,700 2,275
Robert Half International 64,100 1,650
Stericycle* 7,549 389
United Parcel Service, Cl B 53,285 3,891
Valmont Industries 19,600 1,723
Waste Management 39,244 1,317
Woodward Governor 61,400 1,641
--------------
57,521
--------------
INFORMATION TECHNOLOGY -- 6.4%
Acxiom 37,200 442
Adtran 19,500 361
Affiliated Computer Services, Cl A* 41,800 2,095
Amdocs* 25,847 733
Arrow Electronics* 37,787 1,272
AVX 17,984 230
Computer Sciences* 4,959 202
Diebold 2,088 78
Factset Research Systems 35,100 1,891
Fairchild Semiconductor
International* 6,021 72
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 103
SCHEDULE OF INVESTMENTS (Unaudited)
U.S. Managed Volatility Fund (Concluded)
March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Flir Systems* 55,100 $ 1,658
Hewitt Associates, Cl A* 50,900 2,024
Ingram Micro, Cl A* 263,110 4,165
Lexmark International, Cl A* 47,400 1,456
Mettler Toledo International* 1,113 108
National Instruments 5,939 155
NCR* 20,240 462
Qualcomm 41,800 1,714
Silicon Laboratories* 16,600 524
Sybase* 73,900 1,944
Synopsys* 20,836 473
Tech Data* 188,732 6,190
WebMD Health, Cl A* 27,130 639
Xerox 45,407 680
Zebra Technologies, Cl A* 63,455 2,114
--------------
31,682
--------------
MATERIALS -- 3.6%
Aptargroup 44,300 1,725
Bemis 31,800 809
Eagle Materials 18,100 643
Greif, Cl A 31,800 2,160
Methanex 69,400 1,816
Newmont Mining 109,285 4,951
Nova Chemicals 59,600 1,421
Packaging of America 75,000 1,675
Silver Standard Resources* 23,400 710
Sonoco Products 67,500 1,932
--------------
17,842
--------------
TELECOMMUNICATION SERVICES -- 3.8%
AT&T 77,300 2,961
CenturyTel 55,300 1,838
Sprint Nextel 395,900 2,648
Telephone & Data Systems 88,890 3,491
US Cellular* 59,965 3,298
Verizon Communications 118,922 4,335
--------------
18,571
--------------
UTILITIES -- 8.8%
AGL Resources 53,300 1,829
Alliant Energy 69,895 2,447
Ameren 37,000 1,630
Atmos Energy 77,000 1,964
Consolidated Edison 48,800 1,937
Dominion Resources 19,500 796
DPL 66,200 1,697
DTE Energy 48,000 1,867
Edison International 44,700 2,191
Great Plains Energy 59,600 1,469
Hawaiian Electric Industries 111,495 2,662
MDU Resources Group 66,000 1,620
- --------------------------------------------------------------------------------
Shares/ Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
NiSource 112,600 $ 1,941
NSTAR 50,100 1,525
OGE Energy 135,976 4,238
Oneok 2,582 115
Pepco Holdings 41,100 1,016
PG&E 52,800 1,944
SCANA 50,900 1,862
TECO Energy 134,600 2,147
Vectren 50,877 1,365
Westar Energy 80,500 1,833
Wisconsin Energy 74,355 3,271
--------------
43,366
--------------
Total Common Stock
(Cost $484,901) ($ Thousands) 468,631
--------------
CASH EQUIVALENT**+ -- 4.8%
SEI Daily Income Trust, Prime
Obligation Fund, Cl A, 3.190% 23,846,678 23,847
--------------
Total Cash Equivalent
(Cost $23,847) ($ Thousands) 23,847
--------------
U.S. TREASURY OBLIGATION (A) -- 0.2%
U.S. Treasury Bill
2.167%, 05/22/08 $ 1,183 1,181
--------------
Total U.S. Treasury Obligation
(Cost $1,179) ($ Thousands) 1,181
--------------
Total Investments -- 99.9%
(Cost $509,927) ($ Thousands) $ 493,659
==============
A summary of the open futures contracts held by the Fund at March 31, 2008, is
as follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
NUMBER OF UNREALIZED
TYPE OF CONTRACTS EXPIRATION DEPRECIATION
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
S&P 500 Index E-MINI 150 Jun-2008 $ (55)
=============
Percentages are based on Net Assets of $493,954 ($ Thousands).
* Non-Income Producing Security.
** Rate shown is the 7-day effective yield as of March 31, 2008.
+ 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
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
104 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
SCHEDULE OF INVESTMENTS (Unaudited)
Global Managed Volatility Fund
March 31, 2008
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS#:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Consumer Staples 19.1%
Health Care 16.8%
Financials 15.3%
Utilities 10.8%
Consumer Discretionary 10.4%
Industrials 8.5%
Energy 5.2%
Information Technology 5.2%
Materials 4.3%
Telecommunication Services 4.3%
U.S. Treasury Obligation 0.1%
# Percentages based on total investments.
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 98.8%
AUSTRALIA -- 2.0%
AGL Energy 27,357 $ 276
CFS Retail Property Trust+ 53,774 107
Coca-Cola Amatil 57,996 450
Downer EDI 21,816 125
Futuris 48,009 83
Incitec Pivot 6,815 878
ING Industrial Fund+ 471,355 916
Leighton Holdings 3,046 119
MFS 17,170 16
Origin Energy 103,955 869
Telstra 203,981 819
--------------
4,658
--------------
BELGIUM -- 3.1%
Befimmo Sicafi+ 561 69
Belgacom* 15,112 672
Cofinimmo+* 6,748 1,464
Colruyt* 4,160 1,075
Compagnie d'Entreprises* 1,748 170
D'ieteren 186 66
Euronav 11,703 446
InBev* 8,903 786
Intervest Offices+* 1,579 72
KBC Groep* 1,931 251
Mobistar* 20,681 1,881
Solvay 946 121
Tessenderlo Chemie 1,861 85
Warehouses De Pauw+ 873 61
--------------
7,219
--------------
CANADA -- 6.9%
ARC Energy Trust 28,900 743
Bank of Montreal 15,300 685
Bank of Nova Scotia 14,900 676
Barrick Gold 24,400 1,067
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Canadian Imperial Bank of
Commerce 8,100 $ 522
Canadian Pacific Railway 2,600 167
Canadian Utilities, Cl A 2,700 109
Celestica* 28,000 190
CGI Group, Cl A* 10,000 106
Enbridge 44,200 1,823
Fairfax Financial Holdings 400 117
First Calgary Petroleums* 72,400 204
Fording Canadian Coal Trust 23,800 1,247
George Weston 9,400 433
Goldcorp 2,000 78
Industrial Alliance Insurance and
Financial Services 1,800 66
Jean Coutu Group, Cl A 6,300 64
Manitoba Telecom Services 9,200 351
Methanex 10,300 271
Nova Chemicals 48,000 1,156
Onex 8,000 233
Potash Saskatchewan 5,100 793
Precision Drilling Trust 8,800 205
Provident Energy Trust 25,500 272
Ritchie Bros Auctioneers 3,300 273
Ritchie Bros Auctioneers 2,600 213
Rothmans 7,756 198
Royal Bank of Canada 13,900 650
Saputo 19,800 534
Shoppers Drug Mart 6,700 339
TELUS 8,400 354
Toronto-Dominion Bank 10,600 652
TransAlta 31,100 968
UTS Energy* 22,900 117
Yamana Gold 6,700 98
--------------
15,974
--------------
DENMARK -- 0.8%
D/S Norden* 3,030 338
Danske Bank* 10,000 370
Jyske Bank* 5,575 376
Novo Nordisk, Cl B* 10,650 731
Topdanmark* 675 114
--------------
1,929
--------------
FINLAND -- 0.7%
Componenta* 7,368 96
Fortum* 12,983 531
Kesko, Cl B* 8,554 444
Kone, Cl B* 2,270 93
Orion, Cl B* 10,732 233
Outokumpu* 3,119 142
Ramirent* 3,884 74
--------------
1,613
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 105
SCHEDULE OF INVESTMENTS (Unaudited)
Global Managed Volatility Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
FRANCE -- 2.5%
Casino Guichard Perrachon* 5,629 $ 677
Cie Generale d'Optique Essilor
International* 42,380 2,780
CNP Assurances 1,911 237
France Telecom* 19,591 661
Recylex* 3,676 89
Sanofi-Aventis* 8,956 674
SEB 213 39
Societe Des Autoroutes
Paris-Rhin-Rhone 440 53
Total* 6,532 487
--------------
5,697
--------------
GERMANY -- 1.0%
Beiersdorf* 10,998 929
Celesio* 1,637 81
Deutsche Euroshop* 1,124 47
EnBW Energie Baden-Wuerttemberg* 876 74
Fresenius Medical Care* 12,552 634
KWS Saat* 317 64
Salzgitter* 1,861 325
Vossloh* 635 90
--------------
2,244
--------------
HONG KONG -- 4.1%
CLP Holdings 299,500 2,465
Esprit Holdings 54,300 652
Guoco Group 16,000 156
Hang Seng Bank 98,700 1,787
Hong Kong & China Gas 305,000 917
Hong Kong Electric Holdings 169,500 1,070
Jardine Matheson Holdings 26,400 834
Link+ 486,500 1,079
MTR 115,500 396
VTech Holdings 12,000 58
Wing Hang Bank 6,000 91
Yue Yuen Industrial Holdings 31,500 99
--------------
9,604
--------------
IRELAND -- 0.0%
Paddy Power 2,515 93
--------------
ITALY -- 0.8%
Banca Carige 69,451 274
Banca Popolare dell'Emilia Romagna 27,244 600
CSP International Fashion Group* 10,228 24
Enel 68,572 730
Unipol Gruppo Finanziario* 72,490 226
--------------
1,854
--------------
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
JAPAN -- 31.4%
77 Bank 106,000 $ 594
Acom 23,910 635
Aisin Seiki 16,700 624
Ajinomoto 66,000 670
Ajis* 1,300 37
Alpine Electronics 11,400 126
Asahi Breweries 35,100 725
Astellas Pharma 17,000 659
Benesse 20,500 968
Bosch 5,000 20
Canon 13,600 627
Canon Marketing Japan 1,400 26
Casio Computer* 24,800 363
Central Glass 5,000 20
Central Japan Railway 136 1,407
Chiba Bank 3,000 20
Chubu Electric Power 38,300 958
Chugai Pharmaceutical 23,800 269
Chugoku Electric Power 25,000 558
Combi 9,500 73
Daifuku 9,000 115
Daihatsu Motor 18,000 216
Daiichi Sankyo 26,600 787
Dainippon Ink and Chemicals 32,000 100
Dainippon Sumitomo Pharma 9,000 82
Daito Trust Construction 20,600 1,064
Dena* 106 669
Denki Kagaku Kogyo 33,000 104
Diamond Lease 5,620 196
East Japan Railway 100 833
Eisai 9,200 314
FamilyMart 11,700 420
Fancl 2,000 28
FUJI SOFT 21,500 402
FUJIFILM Holdings 17,400 617
Fukuda* 6,000 17
Geo 40 33
Glory 3,300 70
Gunma Bank 67,000 480
Haruyama Trading* 2,000 13
Hino Motors 278,000 1,838
Hisamitsu Pharmaceutical 6,100 222
Hitachi 95,000 564
Hokkaido Electric Power 22,200 516
Hokuriku Electric Power 37,000 874
Honda Motor 6,900 197
IBJ Leasing 1,000 18
Inpex Holdings* 26 290
Iyo Bank 17,000 182
Japan Prime Realty Investment+ 11 36
Japan Tobacco 137 687
Jupiter Telecommunications* 42 39
- --------------------------------------------------------------------------------
106 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Kamigumi* 13,000 $ 103
Kanamoto 5,000 31
Kansai Electric Power 62,400 1,555
Kao 22,000 624
Kawasaki Kisen Kaisha 57,000 555
Keihin Electric Express Railway 21,000 143
Keiyo Bank 5,000 32
Kinden 13,000 125
Kintetsu* 68,000 243
Kirin Holdings 63,000 1,193
Kobayashi Pharmaceutical* 1,400 54
Koito Manufacturing 9,000 124
Kokuyo 24,500 210
Konica Minolta Holdings* 53,000 721
Kose 2,100 45
Kyushu Electric Power 28,400 695
Lawson 15,300 678
Mabuchi Motor 28,000 1,353
Makita 3,900 123
Matsushita Electric Industrial 35,000 760
Mcdonald's Holdings Japan* 2,100 34
Mediceo Paltac Holdings 15,100 274
Meiji Dairies 162,000 977
Meitec 4,300 130
Miraca Holdings 1,200 31
Mitani* 2,100 16
Mitsubishi Tanabe Pharma 49,000 572
Mitsui Chemicals 89,000 590
Morinaga Milk Industry* 12,000 37
Musashino Bank 800 33
NAC 1,300 11
Namco Bandai Holdings 31,700 430
Net One Systems 176 207
NGK Spark Plug 8,000 104
NHK Spring 6,000 43
Nichi-iko Pharmaceutical* 1,700 50
Nichirei 341,000 1,641
Nihon Jumbo 2,100 14
Nintendo 1,700 878
Nippon Kayaku 43,000 261
Nippon Meat Packers* 114,000 1,686
Nippon Oil 91,000 569
Nippon Telegraph & Telephone 168 726
Nippon Yusen 78,000 733
Nipro 3,000 52
Nisshin Seifun Group 30,500 326
Nissin Food Products 3,900 132
Nitori 2,650 150
Nitto Denko 3,700 156
Noevir 2,500 22
NOK 10,100 207
NTT DoCoMo 643 975
Odakyu Electric Railway 183,000 1,357
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Okumura* 262,000 $ 1,337
Olympus 18,000 546
Ono Pharmaceutical 5,900 286
Osaka Gas 178,000 712
Promise 22,450 646
Proto 1,000 24
QP 3,000 31
Ricoh* 6,000 99
Round One 183 191
San-In Godo Bank 2,000 16
Sanyo Electric* 338,000 713
Sapporo Hokuyo Holdings 56 391
Sawai Pharmaceutical 600 29
Seiko Epson 27,300 736
Sharp 36,000 613
Shikoku Electric Power 61,800 1,841
Shimachu 17,900 539
Shimano 16,200 745
Shinsei Bank* 219,000 724
Shizuoka Bank 136,000 1,608
Suzuken 65,500 2,698
Taisho Pharmaceutical* 38,000 755
Takeda Pharmaceutical 12,400 622
Takefuji 53,620 1,137
Terumo 12,300 643
Toda* 240,000 989
Toho 13,600 320
Toho Gas 56,000 270
Tohoku Electric Power 46,800 1,145
Tokyo Electric Power 31,700 849
Tokyo Gas 152,000 615
Tokyo Style* 48,000 477
Tonen General Sekiyu 47,000 403
Toyo Kohan 3,000 16
Toyo Suisan Kaisha 82,000 1,236
Toyoda Gosei 3,700 139
Toyota Auto Body 1,500 30
Toyota Boshoku 13,000 390
Unicharm 15,300 1,121
Uniden 22,000 135
Wacoal Holdings* 94,000 1,391
Weathernews* 7,300 71
West Japan Railway 62 273
Yakult Honsha 11,800 366
Yamaguchi Financial Group* 17,000 193
Yamaha 22,300 427
Yamazaki Baking* 10,000 95
Yaoko 1,200 33
--------------
72,859
--------------
JERSEY -- 0.1%
Meinl European Land* 17,686 202
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 107
SCHEDULE OF INVESTMENTS (Unaudited)
Global Managed Volatility Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
NETHERLANDS -- 2.0%
Corio+* 7,009 $ 616
Eurocommercial Properties, Cl A+* 924 52
Heineken 12,888 751
Hunter Douglas* 2,049 139
OCE* 11,345 194
Royal Dutch Shell, Cl A 18,748 649
Royal KPN* 45,489 771
Unilever* 39,601 1,335
Vastned Offices+* 1,249 45
Vastned Retail+* 775 83
--------------
4,635
--------------
NEW ZEALAND -- 0.2%
Air New Zealand 8,920 9
Fisher & Paykel Healthcare, Cl C 40,805 94
Fletcher Building 39,685 262
--------------
365
--------------
PORTUGAL -- 0.0%
Cimpor Cimentos de Portugal* 474 4
--------------
SINGAPORE -- 0.5%
Hotel Grand Central 53,000 37
Jardine Cycle & Carriage* 25,000 354
Singapore Telecommunications* 266,500 756
--------------
1,147
--------------
SPAIN -- 0.4%
Abertis Infraestructuras* 21,287 696
Construcciones y Auxiliar de
Ferrocarriles 92 41
Ebro Puleva* 7,908 162
--------------
899
--------------
SWEDEN -- 1.2%
Axfood* 700 25
Lundin Petroleum* 41,200 561
Swedish Match* 102,200 2,232
--------------
2,818
--------------
SWITZERLAND -- 3.3%
Affichage Holding Genf 153 35
Alcon 5,467 778
Atel Holding* 105 64
Basler Kantonalbank 272 32
Bell Holding 13 24
Forbo Holding* 58 31
Galenica 1,407 468
Kuehne & Nagel International* 6,901 693
Lonza Group* 5,203 693
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
MCH Messe Schweiz Holding 53 $ 38
Nestle* 1,806 906
Novartis* 13,436 691
PSP Swiss Property* 5,163 350
Roche Holding* 1,602 303
St Galler Kantonalbank* 83 39
Straumann Holding* 369 106
Swatch Group, Cl B* 2,453 658
Swisscom* 4,928 1,695
--------------
7,604
--------------
UNITED KINGDOM -- 3.7%
Balfour Beatty 22,421 210
Beazley Group 49,315 156
BG Group* 29,576 686
BP 37,235 379
British Energy Group 14,960 194
Carphone Warehouse Group 34,884 198
GlaxoSmithKline 65,740 1,393
HMV Group 403,891 1,042
National Grid 26,182 360
Reckitt Benckiser Group 8,362 464
Scottish & Southern Energy 12,805 357
Smith & Nephew 49,310 653
Stagecoach Group 55,813 269
Tate & Lyle 117,158 1,257
WM Morrison Supermarkets 194,363 1,059
--------------
8,677
--------------
UNITED STATES -- 34.1%
Aetna 14,400 606
Aflac 13,100 851
Alberto-Culver 30,300 831
Alleghany* 204 70
Altria Group 5,600 124
AmerisourceBergen 9,100 373
Amgen* 2,600 109
Annaly Capital Management+ 4,885 75
Apollo Group, Cl A* 25,600 1,106
Applera-Applied Biosystems Group 20,100 661
Applied Materials 51,800 1,011
Archer-Daniels-Midland 38,900 1,601
Avon Products 21,200 838
Bank of America 19,800 751
BB&T 41,500 1,331
Beckman Coulter 11,200 723
Brown & Brown 6,600 115
Bunge 1,419 123
Carriage Services* 3,600 28
Church & Dwight 2,300 125
Cincinnati Financial 10,300 392
Clorox 11,500 651
Coca-Cola 6,400 390
- --------------------------------------------------------------------------------
108 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Colgate-Palmolive 11,000 $ 857
Community Health Systems* 38,200 1,282
Con-way 12,200 604
ConocoPhillips 8,800 671
Consolidated Edison 5,900 234
Covance* 7,700 639
Coventry Health Care* 4,100 165
Darling International* 6,200 80
Dentsply International 100 4
El Paso 24,400 406
Energy East 56,200 1,356
EOG Resources 4,100 492
Expeditors International Washington 5,600 253
Express Scripts* 13,400 862
Exxon Mobil 8,500 719
Fidelity National Financial 79,600 1,459
First American 31,700 1,076
First Merchants 2,700 77
First Niagara Financial Group 10,600 144
FirstEnergy 4,800 329
FMC Technologies* 1,600 91
FTD Group 14,900 200
Genentech* 16,700 1,356
General Mills 54,400 3,257
Genzyme* 1,600 119
Getty Images* 9,400 301
Harleysville Group 400 14
Hershey 22,100 833
Hewitt Associates, Cl A* 21,800 867
HJ Heinz 4,800 225
Hormel Foods 3,900 162
Hospira* 27,700 1,185
Humana* 13,800 619
International Shipholding* 13,200 253
Intervest Bancshares 6,100 59
Johnson & Johnson 55,900 3,626
Kellogg 26,100 1,372
Laboratory Corp of America
Holdings* 10,400 766
Liberty Global, Cl A* 15,100 515
Lockheed Martin 7,300 725
M&T Bank 13,400 1,078
Magellan Health Services* 11,600 460
McClatchy, Cl A 67,700 724
Medco Health Solutions* 16,800 736
Medtronic 47,600 2,302
Newmont Mining 16,100 729
NiSource 49,900 860
- --------------------------------------------------------------------------------
Shares/ Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Northrop Grumman 10,000 $ 778
PAM Transportation Services* 6,200 96
Patterson* 19,100 693
PepsiCo 48,200 3,480
Pfizer 29,100 609
Philip Morris International* 5,600 283
PPL 15,800 726
Premier Exhibitions* 7,900 48
Procter & Gamble 11,400 799
Progressive 100,300 1,612
Public Service Enterprise Group 17,400 699
Pulte Homes 24,000 349
Quest Diagnostics 38,700 1,752
Rohm & Haas 12,500 676
Rollins 14,850 263
Safeco 18,100 794
Safeway 14,892 437
Southern 60,300 2,147
Southwest Airlines 118,100 1,464
Suburban Propane Partners L.P. 17,100 664
Symantec* 36,700 610
TEPPCO Partners L.P. 6,900 238
TJX 49,100 1,624
United Parcel Service, Cl B 3,200 234
UnitedHealth Group 16,000 550
Wal-Mart Stores 71,000 3,740
Washington Mutual 24,600 253
Washington Post, Cl B 1,300 860
WellPoint* 9,800 433
Wells Fargo 65,800 1,915
Western Digital* 37,400 1,011
Whole Foods Market 1,500 49
Zions Bancorporation 28,200 1,285
--------------
79,199
--------------
Total Common Stock
(Cost $230,958) ($ Thousands) 229,294
--------------
U.S. TREASURY OBLIGATION (A) -- 0.1%
U.S. Treasury Bill
2.167%, 05/22/08 $ 330 330
--------------
Total U.S. Treasury Obligation
(Cost $329) ($ Thousands) 330
--------------
Total Investments -- 98.9%
(Cost $231,287) ($ Thousands) $ 229,624
==============
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 109
SCHEDULE OF INVESTMENTS (Unaudited)
Global Managed Volatility Fund (Concluded)
March 31, 2008
A summary of the open futures contracts held by the Fund at March 31, 2008, 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)
- --------------------------------------------------------------------------------
FTSE 100 Index 4 Jun-2008 $ 7
Hang Seng Index 1 Jun-2008 1
SPI 200 Index 3 Jun-2008 9
Topix Index 5 Jun-2008 (5)
--------
$ 12
========
A summary of the outstanding forward foreign currency contracts held by the Fund
at March 31, 2008, 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)
- --------------------------------------------------------------------------------
04/28/08 AUD 5,811 USD 5,322 $ 36
04/28/08 CAD 9,562 USD 13,626 104
04/28/08 EUR 25,246 USD 39,717 (221)
04/28/08 GBP 4,153 USD 8,294 56
04/28/08 JPY 7,411,540 USD 74,867 271
04/28/08 USD 37 AUD 40 --
04/28/08 USD 23 CAD 23 --
04/28/08 USD 1,108 EUR 702 3
04/28/08 USD 83 GBP 42 --
04/28/08 USD 1,802 JPY 178,613 (4)
--------
$ 245
========
Percentages are based on Net Assets of $232,074 ($ Thousands).
* Non-Income Producing Security.
+ Real Estate Investment Trust.
(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
L.P. -- Limited Partnership
USD -- United States Dollar
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
110 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Managed Volatility Fund
March 31, 2008
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS#:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Consumer Staples 19.0%
Health Care 18.3%
Utilities 10.8%
Industrials 10.1%
Financials 8.8%
Consumer Discretionary 7.2%
Short-Term Investment 5.6%
Energy 4.4%
Information Technology 4.4%
Exchange Traded Fund 4.2%
Telecommunication Services 3.8%
Materials 2.7%
U.S. Treasury Obligation 0.7%
# Percentages based on total investments.
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
COMMON STOCK -- 89.1%
CONSUMER DISCRETIONARY -- 7.2%
Autoliv 3,900 $ 196
Career Education* 2,900 37
Choice Hotels International 6,600 225
Dillard's, Cl A 3,700 64
DIRECTV Group* 10,300 255
Fortune Brands 1,801 125
Genuine Parts 4,600 185
Harte-Hanks 1,900 26
International Speedway, Cl A 10,549 435
ITT Educational Services* 4,300 197
Jack in the Box* 1,000 27
JC Penney* 4,100 155
Lamar Advertising, Cl A 6,300 226
McGraw-Hill 6,700 248
Meredith 5,924 227
Pacific Sunwear Of California* 1,600 20
Panera Bread, Cl A* 600 25
Penn National Gaming* 2,800 122
Polaris Industries 900 37
Shaw Communications, Cl B* 11,600 211
Starwood Hotels & Resorts Worldwide 5,400 279
TRW Automotive Holdings* 8,500 199
Tupperware Brands* 6,000 232
Washington Post, Cl B 1,077 712
Weight Watchers International 4,200 195
--------------
4,660
--------------
CONSUMER STAPLES -- 18.9%
Altria Group 2,841 63
Anheuser-Busch 17,099 811
Brown-Forman, Cl B 7,218 478
Campbell Soup 2,529 86
Church & Dwight 15,326 831
Clorox 4,144 235
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Coca-Cola 4,665 $ 284
Colgate-Palmolive 11,082 863
General Mills 19,082 1,143
Hansen Natural* 6,500 229
Hershey 10,225 385
HJ Heinz 9,923 466
Hormel Foods 19,651 819
JM Smucker 14,627 740
Kellogg 20,871 1,097
Kimberly-Clark 12,087 780
McCormick 14,623 541
Molson Coors Brewing, Cl B 4,400 231
Pepsi Bottling Group 4,400 149
PepsiCo 3,380 244
Philip Morris International* 2,841 144
Procter & Gamble 11,397 799
Reynolds American 12,445 735
WM Wrigley Jr 1,528 96
--------------
12,249
--------------
ENERGY -- 4.4%
Berry Petroleum, Cl A 5,300 246
Cameco* 7,100 234
Chevron 700 60
Enbridge* 4,000 165
Exxon Mobil 3,900 330
Imperial Oil 3,900 204
Nexen 9,700 287
Petro-Canada* 6,000 261
SEACOR Holdings* 10,733 916
TransCanada* 3,100 119
--------------
2,822
--------------
FINANCIALS -- 8.7%
Alleghany* 11 4
American National Insurance 2,555 273
Bancorpsouth 9,800 227
Capitol Federal Financial 19,929 747
Colonial BancGroup 7,000 67
Commerce Bancshares 6,471 272
Credicorp 1,700 122
East West Bancorp 2,100 37
Erie Indemnity, Cl A 9,243 473
Federated Investors, Cl B 5,800 227
Fulton Financial 17,100 210
Investment Technology Group* 4,000 185
Jones Lang LaSalle 2,000 155
Liberty Media - Capital, Ser A* 14,360 226
Markel* 430 189
Mercury General 5,780 256
Popular 15,800 184
RenaissanceRe Holdings 4,400 228
Safeco 5,800 255
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 111
SCHEDULE OF INVESTMENTS (Unaudited)
Tax-Managed Managed Volatility Fund (Concluded)
March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Stancorp Financial Group 5,300 $ 253
Valley National Bancorp 9,700 186
Wesco Financial 1,547 625
Whitney Holding 2,200 55
Willis Group Holdings 5,400 181
--------------
5,637
--------------
HEALTH CARE -- 18.2%
Abbott Laboratories 7,861 433
Alcon 2,100 299
AmerisourceBergen 6,000 246
Becton Dickinson 3,248 279
BioMarin Pharmaceuticals* 7,000 248
Brookdale Senior Living 10,407 249
Celgene* 1,200 74
Charles River Laboratories International* 4,200 248
Covance* 10,180 845
Coventry Health Care* 2,100 85
CR Bard 4,152 400
Dentsply International 20,599 795
Edwards Lifesciences* 6,537 291
Eli Lilly 46 2
Endo Pharmaceuticals Holdings* 7,100 170
Genzyme* 1,700 127
Henry Schein* 12,615 724
Hillenbrand Industries 14,959 715
Idexx Laboratories* 12,016 592
ImClone Systems* 2,100 89
Immucor* 7,300 156
Johnson & Johnson 12,583 816
King Pharmaceuticals* 24,500 213
Laboratory of America Holdings* 8,460 623
Lincare Holdings* 10,844 305
McKesson 4,800 251
Medtronic 4,015 194
Onyx Pharmaceuticals* 3,100 90
Patterson* 16,206 588
Perrigo 6,800 257
Quest Diagnostics 2,548 115
Techne* 11,617 782
Universal Health Services, Cl B 5,233 281
WellPoint* 2,909 128
Wyeth 1,935 81
--------------
11,791
--------------
INDUSTRIALS -- 10.1%
Alexander & Baldwin 600 26
Alliant Techsystems* 1,400 145
Amerco* 400 23
CH Robinson Worldwide 4,200 229
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Clarcor 5,800 $ 206
Dun & Bradstreet 6,357 517
Gardner Denver* 5,700 212
GATX 1,800 70
General Cable* 4,000 236
Granite Construction 1,300 43
Hubbell, Cl B 1,200 52
JetBlue Airways* 5,900 34
Landstar System 4,500 235
Lennox International 5,600 201
Lincoln Electric Holdings 2,800 181
Northrop Grumman 9,907 771
Pitney Bowes 18,830 659
Republic Services 22,132 647
Ritchie Bros. Auctioneers 3,000 246
Robert Half International 9,400 242
Stericycle* 15,443 795
Union Pacific 1,300 163
United Parcel Service, Cl B 3,090 226
Valmont Industries 2,000 176
Woodward Governor 6,800 182
--------------
6,517
--------------
INFORMATION TECHNOLOGY -- 4.4%
Acxiom 2,600 31
Adtran 1,400 26
Affiliated Computer Services, Cl A* 4,600 230
Diebold 10,921 410
Factset Research Systems 5,100 275
Flir Systems* 3,200 96
Hewitt Associates, Cl A* 6,100 243
Ingram Micro, Cl A* 14,200 225
Jack Henry & Associates 4,200 104
Lexmark International, Cl A* 6,000 184
Microchip Technology 2,181 71
National Instruments 2,714 71
Qualcomm 6,100 250
Silicon Laboratories* 1,200 38
Sybase* 7,100 187
Tech Data* 4,222 138
Zebra Technologies, Cl A* 8,080 269
--------------
2,848
--------------
MATERIALS -- 2.7%
Aptargroup 6,300 245
Bemis 7,200 183
Eagle Materials 1,300 46
Greif, Cl A 3,200 217
Martin Marietta Materials 1,200 128
Methanex 4,900 128
Newmont Mining 7,309 331
Nova Chemicals 4,200 100
- --------------------------------------------------------------------------------
112 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
Packaging of America 9,800 $ 219
Sonoco Products 4,800 138
--------------
1,735
--------------
TELECOMMUNICATION SERVICES -- 3.7%
AT&T 8,900 341
CenturyTel 13,723 456
Citizens Communications 19,808 208
Sprint Nextel 47,900 321
Telephone & Data Systems 12,481 490
US Cellular* 5,821 320
Verizon Communications 7,800 284
--------------
2,420
--------------
UTILITIES -- 10.8%
AGL Resources 5,500 189
Alliant Energy 6,800 238
Ameren 14,035 618
Atmos Energy 8,400 214
Consolidated Edison 5,488 218
DPL 4,700 121
DTE Energy 6,000 233
Edison International 4,600 225
Energen 1,800 112
Great Plains Energy 9,227 227
Hawaiian Electric Industries 17,164 410
MDU Resources Group 10,000 246
NiSource 13,900 240
NSTAR 7,600 231
OGE Energy 18,046 563
Pepco Holdings 10,600 262
PG&E 7,200 265
Puget Energy 6,561 170
SCANA 18,224 667
Southern 8,793 313
TECO Energy 16,300 260
Vectren 17,344 465
Westar Energy 9,700 221
Wisconsin Energy 5,600 246
--------------
6,954
--------------
Total Common Stock
(Cost $60,389) ($ Thousands) 57,633
--------------
EXCHANGE TRADED FUND -- 4.2%
SPDR Trust, Ser 1 20,500 2,706
--------------
Total Exchange Traded Fund
(Cost $2,789) ($ Thousands) 2,706
--------------
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CASH EQUIVALENT**++ -- 5.6%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 3.190% 3,599,657 $ 3,600
--------------
Total Cash Equivalent
(Cost $3,600) ($ Thousands) 3,600
--------------
U.S. TREASURY OBLIGATION (A) -- 0.7%
U.S. Treasury Bill
2.167%, 05/22/08 $ 455 454
--------------
Total U.S. Treasury Obligation
(Cost $453) ($ Thousands) 454
--------------
Total Investments -- 99.6%
(Cost $67,231) ($ Thousands) $ 64,393
==============
A summary of the open futures contracts held by the Fund at March 31, 2008, 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 Index E-MINI 58 Jun-2008 $ 46
==============
Percentages are based on Net Assets of $64,623 ($ Thousands).
* Non-Income Producing Security.
** Rate shown is the 7-day effective yield as of March 31, 2008.
++ 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.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 113
SCHEDULE OF INVESTMENTS (Unaudited)
Real Estate Fund
March 31, 2008
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS#:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Financials 63.0%
Short-Term Investments 32.9%
Consumer Discretionary 3.2%
Health Care 0.9%
# 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 -- 4.7%
Marriott International, Cl A (A) 122,300 $ 4,202
Starwood Hotels & Resorts Worldwide 142,400 7,369
--------------
11,571
--------------
FINANCIALS -- 90.7%
Acadia Realty Trust+ 40,500 978
AMB Property+ 147,700 8,038
AvalonBay Communities+ (A) 68,100 6,573
Boston Properties+ (A) 164,483 15,144
British Land (United Kingdom)+ 102,199 1,864
Brookfield Asset Management, Cl A* 68,300 1,832
Brookfield Properties 35,000 676
Camden Property Trust+ (A) 130,800 6,566
CBL & Associates Properties+ 23,400 551
Corporate Office Properties Trust+ 121,600 4,087
Dawnay Day Sirius (United Kingdom)* 490,201 520
Dawnay Day Treveria (United Kingdom)* 473,984 496
Douglas Emmett+ (A) 203,225 4,483
Duke Realty+ 159,700 3,643
Equity Residential+ (A) 474,000 19,666
Essex Property Trust+ (A) 37,800 4,308
Extra Space Storage+ (A) 157,500 2,550
Federal Realty Investment Trust+ (A) 67,500 5,262
Forest City Enterprises, Cl A 93,900 3,456
General Growth Properties+ (A) 326,910 12,478
Hammerson (United Kingdom)+ 125,464 2,778
HCP+ (A) 116,800 3,949
Host Hotels & Resorts+ (A) 686,494 10,929
Kimco Realty+ (A) 298,900 11,708
LaSalle Hotel Properties+ 37,500 1,077
Liberty Property Trust+ (A) 74,000 2,302
Macerich+ (A) 69,100 4,856
Mack-Cali Realty+ 137,300 4,903
Prologis+ (A) 158,100 9,306
PS Business Parks+ 40,305 2,092
Public Storage+ 60,054 5,322
Saul Centers+ (A) 27,300 1,372
Simon Property Group+ (A) 231,450 21,504
SL Green Realty+ (A) 55,700 4,538
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Strategic Hotels & Resorts+ (A) 201,700 $ 2,648
Sunstone Hotel Investors+ (A) 49,300 789
Taubman Centers+ 76,650 3,993
Thomas Properties Group 71,458 627
Unibail (France)+ 14,023 3,622
Ventas+ 111,100 4,990
Verde Realty PIPE (D) (E)* 21,400 706
Vornado Realty Trust+ (A) 140,100 12,078
Weingarten Realty Investors+ (A) 143,200 4,932
--------------
224,192
--------------
HEALTH CARE -- 1.4%
Brookdale Senior Living (A) 97,800 2,337
Sunrise Senior Living (A)* 48,700 1,085
--------------
3,422
--------------
Total Common Stock
(Cost $232,897) ($ Thousands) 239,185
--------------
CORPORATE OBLIGATION (B) (C) -- 0.8%
FINANCIALS -- 0.8%
SLM MTN, Ser S
2.827%, 04/14/08 $ 2,068 2,068
--------------
Total Corporate Obligation
(Cost $2,068) ($ Thousands) 2,068
--------------
CASH EQUIVALENTS**++ -- 47.8%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 3.190% 7,318,935 7,319
SEI Liquidity Fund L.P.,
3.200% (B) 110,801,048 110,801
--------------
Total Cash Equivalents
(Cost $118,120) ($ Thousands) 118,120
--------------
Total Investments -- 145.4%
(Cost $353,085) ($ Thousands) $ 359,373
==============
- --------------------------------------------------------------------------------
114 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $247,097 ($ Thousands).
* Non-Income Producing Security.
** Rate shown is the 7-day effective yield as of March 31, 2008.
+ 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 March
31, 2008 (see Note 7). The total value of securities on loan at March 31,
2008 was $110,373 ($ Thousands).
(B) This security was purchased with cash collateral held from securities on
loan (see Note 7). The total value of such securities as of March 31, 2008
was $112,869 ($ Thousands).
(C) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of March 31, 2008.
(D) Security fair valued using methods determined in good faith by the
Valuation Committee of the Board of Trustees. The total value of such
securities at March 31, 2008 was $706 ($ Thousands) and represented 0.29%
of Net Assets.
(E) Securities considered illiquid and restricted. The total value of such
securities at March 31, 2008 was $706 ($ Thousands) and represented 0.29%
of Net Assets.
Cl -- Class
L.P. -- Limited Partnership
MTN -- Medium Term Note
PIPE -- Public Investment in Public Entity
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 115
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund
March 31, 2008
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS#:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Loan Participations 31.6%
Mortgage-Backed Securities 24.6%
Asset-Backed Securities 22.0%
Corporate Obligations 11.8%
Time Deposits 6.5%
Short-Term Investments 3.5%
# Percentages based on total investments.
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES -- 24.1%
AGENCY MORTGAGE-BACKED OBLIGATIONS -- 5.1%
FHLMC
6.000%, 09/01/26 $ 1,188 $ 1,223
FHLMC CMO STRIPS, Ser 245, Cl IO
5.000%, 05/15/37 1,650 369
FNMA
6.500%, 09/01/26 658 683
6.000%, 11/01/14-01/01/27 9,234 9,504
FNMA TBA
6.000%, 10/01/26 7,123 7,325
--------------
19,104
--------------
NON-AGENCY MORTGAGE-BACKED
OBLIGATIONS -- 19.0%
American Tower Trust, Ser 2007-1A,
Cl D
5.957%, 04/15/37 1,250 1,150
Arkle Master Issuer PLC, Ser 2006-1A,
Cl 3M (C)
3.260%, 05/20/08 1,000 928
Banc of America Funding, Ser 2005-F,
Cl 4A1 (C)
5.349%, 04/01/08 2,446 2,078
Banc of America Mortgage Securities,
Ser 2005-I, Cl 2A1 (C)
4.867%, 04/01/08 720 688
Bank of America Mortgage Securities,
Ser 2004-J, Cl 2A1 (C)
4.760%, 04/01/08 367 366
Bank of America Mortgage Securities,
Ser 2005-C, Cl 2A2 (C)
4.713%, 04/01/08 1,014 1,012
Bayview Commercial Asset Trust,
Ser 2006-4A, Cl A2 (C)
3.405%, 12/25/36 555 495
Bear Stearns Adjustable Rate Mortgage
Trust, Ser 2005-12, Cl 11A1 (C)
5.450%, 04/01/08 782 787
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Bear Stearns Adjustable Rate Mortgage
Trust, Ser 2005-6, Cl 3A1 (C)
5.284%, 04/01/08 $ 1,859 $ 1,585
Citigroup Commercial Mortgage Trust,
Ser 2006-FL2, Cl D (C)
3.028%, 04/14/08 400 357
Citigroup Commercial Mortgage Trust,
Ser 2007-FL3A, Cl J (C)
3.770%, 04/30/08 775 536
Citigroup Mortgage Loan Trust,
Ser 2004-HYB3, Cl 1A (C)
5.737%, 04/01/08 239 237
Citigroup Mortgage Loan Trust,
Ser 2006-AR1, Cl 1A1 (C)
4.900%, 10/25/35 755 720
Commercial Mortgage Pass-Through
Certificate, Ser 2006-FL12, Cl A2 (C)
3.221%, 04/15/08 1,028 979
Countrywide Home Loans,
Ser 2005-22, Cl 2A1 (C)
5.256%, 11/25/35 805 675
Countrywide Home Loans,
Ser 2005-HY10, Cl 3A1A (C)
5.376%, 04/01/08 527 433
Crown Castle Towers LLC, Ser 2006-1A,
Cl E
6.065%, 11/15/36 1,775 1,607
Crusade Global Trust, Ser 2004-2,
Cl A1 (C)
3.200%, 11/19/37 209 209
Crusade Global Trust, Ser 2007-1,
Cl A1 (C)
3.954%, 04/19/38 1,284 1,205
Diversified REIT Trust, Ser 1999-1A,
Cl A2
6.780%, 03/18/11 255 257
First Horizon Alternative Mortgage Trust,
Ser 2005-AA3, Cl 3A1 (C)
5.348%, 04/01/08 1,435 1,452
First Horizon Mortgage Pass-Through
Certificate, Ser 2005-AR4, Cl 2A1 (C)
5.327%, 10/25/35 1,186 1,138
GE Commercial Loan Trust, Ser 2006-3,
Cl C (B) (C)
4.444%, 04/19/08 429 357
GS Mortgage Securities, Ser 2007-EOP,
Cl K (C)
4.130%, 04/06/08 380 301
GSR Mortgage Loan Trust,
Ser 2005-AR2, Cl 1A2 (C)
6.459%, 04/01/08 402 367
GSR Mortgage Loan Trust,
Ser 2006-AR2, Cl 3A1 (C)
5.748%, 04/25/36 1,004 965
- --------------------------------------------------------------------------------
116 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GSR Mortgage Loan Trust,
Ser 2007-AR2, Cl 1A1 (C)
5.789%, 05/25/37 $ 2,178 $ 2,064
Gracechurch Mortgage Financing PLC,
Ser 2007-1A, Cl 2D1 (C)
3.460%, 11/20/56 1,195 1,021
Granite Master Issuer PLC, Ser 2006-3,
Cl M1 (C)
4.074%, 04/22/08 570 477
Granite Master Issuer PLC, Ser 2007-1,
Cl 1C1 (C)
2.840%, 04/24/08 410 353
Granite Master Issuer PLC, Ser 2007-2,
Cl 2C1 (C)
4.428%, 12/17/54 525 337
Greenwich Capital Commercial Funding,
Ser 2006-FL4A, Cl C
3.316%, 11/05/21 810 710
Harborview Mortgage Loan Trust,
Ser 2005-14, Cl 3A1A (C)
5.299%, 12/19/35 1,649 1,583
Holmes Master Issuer PLC, Ser 2007-1,
Cl 1C1 (C)
4.538%, 04/16/08 475 463
Holmes Master Issuer PLC, Ser 2007-2A,
Cl 1C (C)
4.488%, 04/16/08 900 857
IMPAC CMB Trust, Ser 2005-1,
Cl 1A1 (C)
2.859%, 04/25/08 446 330
IMPAC CMB Trust, Ser 2005-4,
Cl 1M1 (C)
3.565%, 04/25/08 697 390
Interstar Millennium Trust,
Ser 2002-1G, Cl A2 (C)
4.826%, 07/07/34 130 125
JPMorgan Chase Commercial Mortgage
Trust, Ser 2006-FL2A, Cl J (C)
3.771%, 11/15/18 1,971 1,576
JPMorgan Mortgage Trust,
Ser 2006-A6, Cl 4A1 (C)
5.251%, 10/25/36 1,121 1,074
JPMorgan Mortgage Trust, Ser 2007-A3,
Cl 1A1 (C)
5.478%, 04/01/08 2,127 2,009
Leek Finance PLC, Ser 18A, Cl A2B (C)
5.040%, 06/21/08 500 485
MLCC Mortgage Investors, Ser 2006-1,
Cl 2A1 (C)
5.386%, 04/01/08 1,269 1,214
Master Adjustable Rate Mortgage,
Ser 2004-12, Cl 5A1 (C)
6.440%, 04/01/08 114 114
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Merrill Lynch Mortgage Investors,
Ser 2005-A2, Cl A2 (C)
4.489%, 04/01/08 $ 1,782 $ 1,628
Merrill Lynch Mortgage Investors,
Ser 2005-A1, Cl 1A (C)
6.058%, 04/01/08 455 458
Merrill Lynch Mortgage Investors,
Ser 2005-A9, Cl 2A1A (C)
5.134%, 04/01/08 1,665 1,621
Merrill Lynch Mortgage Investors,
Ser 2005-A9, Cl 2A1E (C)
5.134%, 12/25/35 2,211 2,119
Merrill Lynch Mortgage-Backed
Securities Trust, Ser 2007-2,
Cl 1A1 (C)
5.800%, 04/01/08 2,264 2,156
Morgan Stanley Capital I,
Ser 2007-XLFA, Cl C (C)
3.282%, 10/15/20 1,025 875
MortgageIT Trust, Ser 2005-5, Cl A1 (C)
2.859%, 04/25/08 1,486 1,201
Permanent Master Issuer PLC,
Ser 2006-1, Cl 2C (C)
4.660%, 04/16/08 700 668
Prudential Commercial Mortgage Trust,
Ser 2003-PWR1, Cl A1
3.669%, 02/11/36 793 770
Residential Funding Mortgage Securities
I, Ser 2007-SA2, Cl 2A1 (C)
5.678%, 04/25/37 2,153 2,039
Residential Funding Mortgage Securities,
Ser 2006-SA1, Cl 1A1 (C)
5.675%, 02/25/36 626 523
Residential Funding Mortgage Securities,
Ser 2007-SA2, Cl 2A2 (C)
5.675%, 04/01/08 1,045 990
Sequoia Mortgage Trust, Ser 2004-10,
Cl A2 (C)
3.434%, 04/20/08 297 294
Sequoia Mortgage Trust, Ser 2004-11,
Cl A1 (C)
3.414%, 04/20/08 223 211
Sequoia Mortgage Trust, Ser 2005-2,
Cl A1 (C)
3.334%, 04/20/08 141 129
Sequoia Mortgage Trust, Ser 2007-1,
Cl 2A1 (C)
5.787%, 04/20/08 2,148 2,038
Washington Mutual Mortgage Pass-
Through Certificate, Ser 2003-AR10,
Cl A6 (C)
4.055%, 04/01/08 1,500 1,497
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 117
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Washington Mutual Mortgage Pass-
Through Certificate, Ser 2004-AR5,
Cl A6 (C)
3.842%, 04/01/08 $ 1,200 $ 1,213
Washington Mutual Mortgage Pass-
Through Certificate, Ser 2005-AR14,
Cl 1A4 (C)
5.056%, 12/25/35 2,260 2,162
Washington Mutual Mortgage Pass-
Through Certificate, Ser 2005-AR3,
Cl A2 (C)
4.637%, 04/01/08 1,338 1,198
Washington Mutual Mortgage Pass-
Through Certificate, Ser 2006-AR2,
Cl 1A1 (C)
5.309%, 04/01/08 750 716
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2005-AR4, Cl 2A2 (C)
4.520%, 04/01/08 514 480
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2006-AR10, Cl 2A1 (C)
5.650%, 04/01/08 1,217 1,166
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2006-AR10, Cl 4A1 (C)
5.565%, 07/25/36 2,402 2,301
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2006-AR16, Cl A1 (C)
5.681%, 10/25/36 1,742 1,664
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2006-AR5, Cl 2A1 (C)
5.537%, 04/01/08 1,684 1,611
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2006-AR6, Cl 3A1 (C)
5.094%, 04/01/08 21 20
Wells Fargo Mortgage-Backed Securities
Trust, Ser 2006-AR8, Cl 2A1 (C)
5.241%, 04/01/08 1,185 1,166
Wells Fargo Mortgage-Backed Securities,
Ser 2003-J, Cl 2A4 (C)
4.451%, 10/25/33 265 260
Wells Fargo Mortgage-Backed Securities,
Ser 2004-BB, Cl A2 (C)
4.558%, 04/01/08 768 708
Wells Fargo Mortgage-Backed Securities,
Ser 2005-AR1, Cl 2A1 (C)
4.489%, 02/25/35 995 999
Wells Fargo Mortgage-Backed Securities,
Ser 2005-AR2, Cl 2A2 (C)
4.550%, 04/01/08 876 850
--------------
71,797
--------------
Total Mortgage-Backed Securities
(Cost $96,157) ($ Thousands) 90,901
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 21.6%
AUTOMOTIVE -- 4.4%
AESOP Funding II LLC, Ser 2003-4A,
Cl A2
2.860%, 08/20/09 $ 417 $ 415
AmeriCredit Automobile Receivables
Trust, Ser 2006-1, Cl B
5.200%, 03/06/11 830 831
AmeriCredit Automobile Receivables
Trust, Ser 2007-AX, Cl A4 (C)
3.120%, 10/06/13 570 484
AmeriCredit Prime Automobile
Receivables, Ser 2007-1, Cl D
5.520%, 01/08/12 775 745
Americredit Automobile Receivables
Trust, Ser 2007-AX, Cl A2
5.290%, 04/06/08 233 232
Capital Auto Receivables Asset Trust,
Ser 2006-SN1A, Cl A2A
5.400%, 01/20/09 19 19
Capital Auto Receivables Asset Trust,
Ser 2007-1, Cl B
5.150%, 09/17/12 955 922
Carmax Auto Owner Trust, Ser 2004-2,
Cl D
3.670%, 09/15/11 202 201
Carmax Auto Owner Trust, Ser 2007-1,
Cl C
5.530%, 07/15/13 190 177
Carmax Auto Owner Trust, Ser 2007-2,
Cl B
5.370%, 03/15/13 2,055 2,000
Ford Credit Auto Owner Trust,
Ser 2006-B, Cl A2A
5.420%, 07/15/09 110 110
Ford Credit Auto Owner Trust,
Ser 2007-A, Cl C
5.800%, 02/15/13 515 476
Harley-Davidson Motorcycle Trust,
Ser 2006-1, Cl B
5.240%, 11/15/13 1,550 1,543
Harley-Davidson Motorcycle Trust,
Ser 2006-3, Cl B
5.430%, 11/15/14 890 884
Harley-Davidson Motorcycle Trust,
Ser 2007-2, Cl B
5.230%, 03/17/14 1,225 1,205
Honda Auto Receivables Owners Trust,
Ser 2004-3, Cl A4
3.280%, 02/18/10 552 552
Hyundai Auto Receivables Trust,
Ser 2006-B, Cl D
5.410%, 05/15/13 680 656
- --------------------------------------------------------------------------------
118 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Hyundai Auto Receivables Trust,
Ser 2007-A, Cl A3B (C)
3.521%, 01/17/12 $ 645 $ 635
Merrill Auto Trust Securitization,
Ser 2007-1, Cl C
5.960%, 12/15/13 2,000 1,839
Onyx Acceptance Owner Trust,
Ser 2004-C, Cl A4
3.500%, 12/15/11 280 278
USAA Auto Owner Trust, Ser 2007-1,
Cl B
5.850%, 12/16/13 2,455 2,346
Whole Auto Loan Trust, Ser 2003-1,
Cl A4
2.580%, 03/15/10 67 67
--------------
16,617
--------------
CREDIT CARDS -- 8.5%
Advanta Business Card Master Trust,
Ser 2004-C1, Cl C (C)
4.164%, 04/20/08 485 434
Advanta Business Card Master Trust,
Ser 2005-C1, Cl C1 (C)
3.045%, 04/20/08 800 783
Advanta Business Card Master Trust,
Ser 2006-B2, Cl B2 (C)
2.785%, 04/20/08 1,000 891
Advanta Business Card Master Trust,
Ser 2006-C1, Cl C1 (C)
3.594%, 10/20/14 1,500 1,101
Advanta Business Card Master Trust,
Ser 2007-B1, Cl B (C)
3.364%, 12/22/14 2,000 1,604
American Express Credit Account Master
Trust, Ser 2004-C, Cl C (C)
3.620%, 04/15/08 381 373
Bank One Issuance Trust, Ser 2003-C2,
Cl C2 (C)
4.261%, 04/16/08 2,100 2,100
Bank of America Credit Card Trust,
Ser 2006-C7, Cl C7 (C)
3.050%, 04/15/08 1,000 925
Cabela's Master Credit Card Trust,
Ser 2006-3A, Cl C (C)
3.521%, 04/15/08 520 462
Capital One Master Trust, Ser 2002-1A,
Cl B (C)
3.721%, 11/15/11 525 519
Capital One Multi-Asset Execution Trust,
Ser 2003-B3, Cl B3
4.500%, 06/15/11 1,500 1,504
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Capital One Multi-Asset Execution Trust,
Ser 2005-B2, Cl B2 (C)
2.968%, 04/15/08 $ 1,000 $ 1,000
Capital One Multi-Asset Execution Trust,
Ser 2005-C1, Cl C1 (C)
3.521%, 02/15/13 1,800 1,659
Citibank Credit Card Issuance Trust,
Ser 2006-C4, Cl C4 (C)
3.295%, 01/09/12 1,800 1,669
Citibank Credit Card Issuance Trust,
Ser 2007-B5, Cl B5 (C)
3.695%, 11/07/14 2,000 1,816
Discover Card Master Trust I,
Ser 2005-1, Cl B (C)
2.970%, 04/18/08 1,500 1,500
First National Master Note Trust,
Ser 2007-1, Cl B (C)
3.321%, 04/15/13 1,335 1,256
First USA Credit Card Master Trust,
Ser 1998-2, Cl C
6.800%, 02/18/11 2,125 2,120
GE Capital Credit Card Master Note
Trust, Ser 2007-3, Cl C (C)
3.421%, 06/15/13 3,000 2,737
GE Capital Credit Card Master Note
Trust, Ser 2007-4, Cl B (C)
3.320%, 04/15/08 3,150 2,829
MBNA Master Credit Card Trust,
Ser 1997-B, Cl B (C)
3.470%, 08/15/14 2,100 1,712
MBNA Master Credit Card Trust,
Ser 1999-J, Cl C
7.850%, 02/15/12 1,500 1,527
Washington Mutual Master Note Trust,
Ser 2006-C2A, Cl C2 (B) (C)
3.320%, 04/15/08 800 805
Washington Mutual Master Note Trust,
Ser 2006-C3A, C3A (C)
3.200%, 04/10/08 1,000 894
--------------
32,220
--------------
MORTGAGE RELATED SECURITIES -- 1.6%
Ace Securities, Ser 2006-HE1, Cl M2 (C)
3.535%, 04/27/08 515 231
Ace Securities, Ser 2006-OP2,
Cl A2B (C)
3.245%, 08/25/36 1,000 820
Asset Backed Funding Certificates,
Ser 2006-OPT2, Cl A3B (C)
2.709%, 04/25/08 1,100 1,017
New Century Home Equity Loan Trust,
Ser 2005-1, Cl A1MZ (C)
3.425%, 04/25/08 35 32
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 119
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Option One Mortgage Loan Trust,
Ser 2005-3, Cl M1 (C)
3.605%, 04/25/08 $ 428 $ 370
Option One Mortgage Loan Trust,
Ser 2007-2, Cl M1 (C)
3.495%, 03/25/37 2,635 843
Option One Mortgage Loan Trust,
Ser 2007-FXD1, Cl 3A3 (C)
5.611%, 01/25/37 285 229
Option One Mortgage Loan Trust,
Ser 2007-FXD2, Cl 2A1 (A)
5.900%, 03/25/37 1,405 1,382
Option One Mortgage Loan Trust,
Ser 2007-HL1, Cl 2A1 (C)
2.719%, 04/26/08 1,141 1,021
--------------
5,945
--------------
OTHER ASSET-BACKED SECURITIES -- 7.1%
ACAS Business Loan Trust,
Ser 2006-1A, Cl A, (C)
3.319%, 11/27/19 1,750 1,668
ACAS Business Loan Trust,
Ser 2007-1A, Cl C (C)
3.920%, 04/24/08 1,916 1,683
AICCO Premium Finance Master Trust,
Ser 2007-AA, Cl C (C)
3.521%, 04/15/08 1,245 1,125
Babson CLO, Ser 2007-1A, Cl A1 (C)
4.176%, 04/18/08 1,120 994
Blackrock Senior Income Series,
Ser 2006-4A, Cl C (C)
4.574%, 04/20/19 1,930 1,324
C-Bass, Ser 16A, Cl A (C)
3.260%, 06/06/08 529 362
CIT Equipment Collateral,
Ser 2006-VT2, Cl C
5.290%, 04/20/14 102 102
Capital Trust Re CDO Ltd.,
Ser 2006-4A, Cl A1 (C)
3.424%, 10/20/43 1,143 914
CapitalSource Commercial Loan Trust,
Ser 2006-2A, Cl A1A (C)
2.745%, 04/20/08 730 678
CapitalSource Commercial Loan Trust,
Ser 2007-1A, Cl C (C)
3.764%, 03/20/17 553 439
Citigroup Mortgage Loan Trust,
Ser 2006-WFH3, Cl M1 (C)
2.889%, 04/27/08 805 327
Countrywide Asset-Backed Certificates,
Ser 2005-13, Cl 3AV3 (C)
3.385%, 04/25/08 1,310 1,249
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Asset-Backed Certificates,
Ser 2006-18, Cl M1 (C)
3.435%, 03/25/37 $ 1,000 $ 411
Countrywide Asset-Backed Certificates,
Ser 2006-22, Cl M1 (C)
3.365%, 05/25/37 1,500 402
Countrywide Asset-Backed Certificates,
Ser 2006-22, Cl M3 (C)
3.445%, 05/25/37 1,000 140
Domino's Pizza Master Issuer LLC,
Ser 2007-1, Cl A2
5.261%, 04/25/37 2,200 1,913
First Franklin Mortgage Loan Asset,
Ser 2007-FF1, Cl M2 (C)
2.859%, 04/26/08 1,145 238
GE Business Loan Trust, Ser 2003-2A,
Cl B (C)
4.121%, 11/15/31 110 100
GE Business Loan Trust, Ser 2004-2A,
Cl A (C)
3.341%, 12/15/32 142 134
GE Business Loan Trust, Ser 2004-2A,
Cl B (C)
3.601%, 12/15/32 106 104
GE Business Loan Trust, Ser 2006-2A,
Cl D (C)
3.870%, 11/15/34 291 250
GE Commercial Equipment Financing,
Ser 2004-1, Cl B (C)
3.314%, 04/20/08 591 587
GE Dealer Floorplan Master Note Trust,
Ser 2006-2, Cl C (C)
3.544%, 04/20/13 460 377
GMAC Mortgage Loan Trust,
Ser 2006-HE4, Cl A2 (C)
2.739%, 04/25/08 1,150 1,064
JPMorgan Mortgage Acquisition,
Ser 2006-CH1, Cl M1 (C)
3.355%, 07/25/36 335 137
JPMorgan Mortgage Acquisition,
Ser 2006-CH2, Cl MV1 (C)
3.345%, 10/25/36 1,125 448
JPMorgan Mortgage Acquisition,
Ser 2006-WMC3, Cl A4 (C)
3.285%, 04/25/08 1,250 841
JPMorgan Mortgage Acquisition,
Ser 2007-CH3, Cl M3 (C)
3.505%, 03/25/37 385 80
John Deere Owner Trust, Ser 2007-A,
Cl A2
5.210%, 10/15/09 150 150
Katonah, Ser 7A, Cl B (B) (C)
3.485%, 05/15/08 700 574
- --------------------------------------------------------------------------------
120 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Lambda Finance, Ser 2005-1A,
Cl A3 (C)
3.295%, 11/15/29 $ 1,600 $ 1,508
Marriott Vacation Club Owner Trust,
Ser 2006-2A, Cl A
5.362%, 10/20/28 179 186
Marriott Vacation Club Owner Trust,
Ser 2007-1A, Cl D
6.135%, 05/20/29 818 820
Mayport CLO, Ser 2006-1A, Cl A2L (C)
3.440%, 02/22/20 1,005 811
Mayport CLO, Ser 2006-1A, Cl A3L (C)
3.730%, 02/22/20 270 199
Merrill Lynch First Franklin Mortgage
Loan Trust, Ser 2007-4, Cl M6 (C)
3.835%, 07/25/37 505 58
Prima, Ser 2006-1, Cl A1 (C)
5.417%, 04/01/08 2,157 1,885
Race Point CLO, Ser 2007-4A, Cl D (C)
5.240%, 05/01/08 500 315
Sierra Receivables Funding,
Ser 2007-2A, Cl A2 (C)
3.540%, 04/01/08 1,422 1,224
Superior Wholesale Inventory Financing
Trust, Ser 2007-AE1, Cl B (C)
3.120%, 04/15/08 115 107
Superior Wholesale Inventory Financing
Trust, Ser 2007-AE1, Cl C (C)
3.420%, 04/13/08 215 192
Triton Container Finance LLC,
Ser 2006-1A, Cl N (C)
3.290%, 11/26/21 656 545
Wadsworth CDO, Ser 2006-1A, Cl A2 (C)
3.485%, 11/05/46 940 19
Wadsworth CDO, Ser 2006-1A, Cl B (C)
3.555%, 06/28/08 315 6
--------------
26,690
--------------
Total Asset-Backed Securities
(Cost $98,234) ($ Thousands) 81,472
--------------
LOAN PARTICIPATIONS -- 30.5%
Acquireco LLC (E)
0.000%, 10/09/14 54 4
Acquireco LLC, Ser B
6.513%, 10/09/14 921 853
Acquireco LLC, Ser B, Delayed Draw
8.000%, 10/09/14 25 23
Acument Global Tech
8.860%, 08/11/13 1,982 1,824
Alpha Topco
7.093%, 12/31/13 2,500 2,193
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Alpha Topco, 2nd Lien
8.218%, 06/30/14 $ 2,000 $ 1,650
Applied Systems
7.854%, 09/26/13 496 457
Barrington
7.748%, 08/05/13 993 907
Berry Plastics Holdings, Term C Loan
7.360%, 04/03/15 1,990 1,692
Big Dumpster Acquisition
7.448%, 02/05/13 979 783
1.000%, 02/05/13 (E) 21 4
Bio Tech Research Lab
7.360%, 03/17/14 993 802
CCS Medical
8.820%, 09/30/12 1,967 1,670
8.450%, 09/30/12 3,455 2,933
Caritor
7.080%, 05/17/13 1,856 1,373
Caritor (Synthetic)
7.080%, 05/11/13 140 103
Cellnet Group
7.360%, 07/22/11 1,999 1,739
Cequel Communications, 1st Lien
7.214%, 11/05/13 1,486 1,236
Chiquita Brands
7.875%, 06/28/12 880 866
Clarke American, Tranche B
7.330%, 03/09/14 2,000 1,607
DTN
8.370%, 08/15/14 993 943
Delphi, Tranche B, 2nd Lien
8.063%, 04/10/08 1,000 984
Delphi, Tranche C, 1st Lien
8.563%, 07/01/08 1,000 983
Delta Air Lines, 2nd Lien
8.082%, 04/30/14 1,998 1,564
Dynea North, 1st Lien
7.650%, 05/09/08 2,000 1,600
Eddie Bauer
8.380%, 04/01/14 995 836
Emerson Reinsurance, Term A Loan
7.110%, 12/15/11 1,300 1,170
Emerson Reinsurance, Term B Loan
8.360%, 12/15/11 500 450
Emerson Reinsurance, Term C Loan
10.640%, 12/15/11 200 180
Euramax International, 1st Lien
7.813%, 06/29/12 1,485 1,218
Ferro
7.219%, 06/06/12 2,339 2,164
1.000%, 06/06/12 (E) 644 48
Foamex L.P., 1st Lien
6.359%, 02/12/13 2,588 2,070
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 121
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Fontainebleau Miami
11.703%, 06/06/12 $ 2,500 $ 2,037
Generac Acquisition
9.250%, 11/15/13 20 16
Ginn La Conduit Lender
8.860%, 06/08/11 681 509
5.098%, 06/08/11 315 236
Ginn La Conduit Lender, 1st Lien,
Tranche A
5.098%, 06/08/11 315 236
Ginn La Conduit Lender, 1st Lien,
Tranche B
8.698%, 06/08/11 681 509
Global Petroleum
9.855%, 07/26/13 1,980 1,901
Graham Packaging Company L.P.,
Term B Loan
7.625%, 10/07/11 10 9
Green Valley Ranch Gaming
7.125%, 02/16/14 984 776
Green Valley Ranch Gaming, 2nd Lien
8.791%, 08/16/14 1,000 769
II Exploration (Synthetic)
9.250%, 10/28/13 150 130
II Exploration, L.P., Term B Loan
8.913%, 10/28/13 846 736
Ipayment
6.841%, 05/10/13 1,952 1,630
JHT Holding
10.116%, 12/21/12 1,945 1,102
Kuilima Resort
12.000%, 09/30/10 1,577 1,416
LNR Property
8.110%, 07/12/11 1,000 790
LNR Property, Tranche B
0.909%, 07/12/11 1,000 790
Lake at Las Vegas
15.460%, 06/20/12 1,759 545
Lake at Las Vegas (Synthetic)
15.460%, 06/20/12 241 75
Lake at Las Vegas Joint Venture
11.210%, 06/24/08 1,000 995
Land Investors
8.845%, 05/09/11 901 694
Latham Manufacturing
8.520%, 06/30/12 973 662
Lifecare Holding
8.360%, 08/11/12 496 422
MGM Holding II
8.610%, 04/08/12 2,985 2,351
MGM Holdings II LOC, Tranche B
8.610%, 04/08/12 292 230
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Medical Staffing Network, 1st Lien
8.834%, 07/02/13 $ 1,000 $ 980
Michaels Stores
7.638%, 10/31/13 8 6
Misys Hospital Systems
7.180%, 10/12/07 998 933
Monitor Oil
17.360%, 05/12/08 1,000 450
Monitor Oil, 2nd Lien (E)
0.000%, 01/25/15 47 --
Movie Gallery, 1st Lien
12.250%, 03/08/12 1,915 1,217
Movie Gallery, 1st Lien (Synthetic)
11.000%, 03/08/12 80 53
National Cine Media LLC
6.870%, 02/13/15 2,000 1,729
National Money Mart
8.050%, 10/30/12 422 384
7.950%, 10/30/12 571 519
Nep II
7.448%, 02/16/14 1,990 1,771
Northwest Airlines
7.030%, 08/21/08 990 803
6.970%, 08/21/13 1,000 811
Penton Media
7.240%, 02/01/13 1,493 1,127
Pinnacle Foods Group
7.483%, 04/19/14 995 866
Pivotal Promontory LLC
8.070%, 08/31/10 2,956 2,084
Realogy (Synthetic)
4.976%, 10/10/13 530 421
0.000%, 10/10/13 (F) 118 94
Realogy, Term B Loan
8.240%, 10/10/13 1,965 1,566
0.000%, 10/10/13 (F) 882 703
Roofing Supply Group
9.360%, 06/30/13 990 528
Sabre
7.608%, 09/30/14 4,374 3,585
6.960%, 09/30/14 1,458 1,195
Serena Software
7.175%, 03/10/13 1,707 1,502
Sirva Worldwide
12.500%, 12/01/10 1,787 804
11.930%, 12/01/10 1,000 450
Sitel LLC
7.850%, 01/30/14 2,916 2,303
Spirit Finance
8.356%, 07/15/13 2,500 1,884
7.911%, 07/15/13 1,000 754
Stratos Global
8.110%, 02/13/12 1,980 1,831
- --------------------------------------------------------------------------------
122 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
The Newark Group
7.380%, 06/30/08 $ 1,667 $ 1,417
7.100%, 06/30/08 333 283
Total Safety, Tranche B, 1st Lien
8.329%, 12/08/12 1,000 950
Totes Isotoner, 1st Lien
7.747%, 01/31/13 746 634
7.744%, 01/31/13 2,241 1,905
7.741%, 01/31/13 993 844
Travelport LLC (Synthetic) (F)
0.000%, 08/23/13 95 83
Travelport LLC, Term B Loan (F)
0.000%, 08/23/13 742 642
Tribune, Tranche B
7.910%, 05/09/14 8 5
US Airways Group
7.355%, 03/19/14 6,500 4,636
VNU
6.964%, 08/01/13 3 2
Venoco
8.938%, 04/28/11 2,000 1,740
Venoco, 2nd Lien
8.938%, 05/07/14 1,000 870
Verint Systems
7.381%, 05/09/14 1,877 1,595
Vertafore, 1st Lien
8.005%, 01/31/12 498 428
Waiccs Las Vegas 3 LLC, 1st Lien
8.040%, 07/30/08 2,000 1,750
Waiccs Las Vegas 3 LLC, 2nd Lien
13.540%, 07/30/08 2,000 1,750
WideOpenWest Finance, 1st Lien
7.932%, 06/01/14 3,000 2,460
7.690%, 06/30/14 2,000 1,640
WideOpenWest Finance, 2nd Lien
11.448%, 06/27/15 1,250 875
Wm. Bolthouse Farms
7.000%, 12/17/12 2,967 2,782
--------------
Total Loan Participations
(Cost $141,295) ($ Thousands) 115,139
--------------
CORPORATE OBLIGATIONS -- 11.5%
CONSUMER DISCRETIONARY -- 0.8%
COX Communications
4.625%, 06/01/13 1,500 1,441
Harrah's Operating
5.500%, 07/01/10 1,000 875
Univision Communications
3.875%, 10/15/08 825 803
--------------
3,119
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FINANCIALS -- 8.4%
BTM Holding (B) (C)
4.760%, 07/21/15 $ 1,000 $ 995
Banco Santander Chile (B) (C)
5.496%, 06/09/08 1,750 1,689
Capmark Financial Group (B) (C)
3.746%, 05/10/10 2,500 1,656
Citigroup (C)
3.643%, 08/25/36 1,500 1,032
Everest Reinsurance Holdings
8.750%, 03/15/10 1,050 1,156
6.600%, 05/15/37 (C) 2,000 1,686
Goldman Sachs Capital III (C)
3.846%, 09/29/49 2,600 1,638
ILFC E-Capital Trust I (B) (C)
5.900%, 06/21/08 1,000 802
JPMorgan Chase Capital XXI, Ser U (C)
4.062%, 02/02/37 2,550 1,879
Liberty Property L.P.+
7.250%, 03/15/11 1,000 1,052
MBIA Insurance
14.000%, 01/01/33 1,000 980
Mellon Funding (C)
3.215%, 05/15/14 2,100 2,085
Merrill Lynch (C)
5.751%, 06/12/08 700 485
Monumental Global Funding (B) (C)
4.458%, 04/16/08 1,800 1,647
Progressive (C)
6.700%, 06/15/08 2,330 2,075
Prudential Financial MTN
5.100%, 12/14/11 310 316
RSHB Capital
7.175%, 05/16/13 (B) 115 117
6.299%, 05/15/17 1,065 986
Reinsurance Group of America
5.625%, 03/15/17 1,400 1,250
State Street (C)
3.351%, 04/30/12 1,215 1,207
State Street Cap Trust IV (C)
5.991%, 06/15/37 850 637
UBS Luxembourg (C)
6.230%, 02/11/15 500 503
Unitrin
6.000%, 05/15/17 1,270 1,268
4.875%, 11/01/10 1,000 1,032
VTB 24 Capital PLC MTN, Ser E
6.540%, 12/07/09 1,000 955
VTB Capital (B) (C)
3.839%, 05/02/08 310 307
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 123
SCHEDULE OF INVESTMENTS (Unaudited)
Enhanced Income Fund (Concluded)
March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Western Union
5.400%, 11/17/11 $ 1,175 $ 1,204
Willis North America
5.125%, 07/15/10 1,000 1,009
--------------
31,648
--------------
HEALTH CARE -- 0.5%
Quest Diagnostic
5.125%, 11/01/10 1,000 1,026
UnitedHealth Group
4.462%, 02/07/11 1,000 1,001
--------------
2,027
--------------
INDUSTRIALS -- 0.5%
Continental Airlines, Ser 061G (C)
3.426%, 06/02/13 1,000 860
President & Fellows of Harvard
3.700%, 04/01/13 1,060 1,067
--------------
1,927
--------------
INFORMATION TECHNOLOGY -- 0.1%
Freescale Semiconductor
8.875%, 12/15/14 500 391
--------------
REGIONAL AGENCIES -- 0.2%
Republic of Trinidad & Tobago
9.875%, 10/01/09 500 545
--------------
TELECOMMUNICATION SERVICES -- 0.8%
Corning
6.050%, 06/15/15 1,000 1,028
Telecom Italia Capital (C)
4.561%, 04/18/08 1,000 893
Vodafone Group PLC
3.369%, 05/27/08 1,300 1,177
--------------
3,098
--------------
UTILITIES -- 0.2%
Southern, Ser A
5.300%, 01/15/12 665 696
--------------
Total Corporate Obligations
(Cost $48,386) ($ Thousands) 43,451
--------------
- --------------------------------------------------------------------------------
Shares/Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CASH EQUIVALENT**++ -- 2.7%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A, 3.190% 10,100,294 $ 10,100
--------------
Total Cash Equivalent
(Cost $10,100) ($ Thousands) 10,100
--------------
TIME DEPOSITS -- 6.3%
Barclays Bank London
2.920%, 04/30/08 $ 8,812 8,812
Royal Bank of Canada
2.830%, 04/10/08 9,247 9,247
2.600%, 05/13/08 5,975 5,975
--------------
Total Time Deposits
(Cost $24,034) ($ Thousands) 24,034
--------------
REPURCHASE AGREEMENT (D) -- 0.8%
Deutsche Bank,
2.450%, dated 03/31/08, to be
repurchased on 04/01/08,
repurchase price $2,900,197
(collateralized by U.S. Government
obligation, par value $3,651,049,
5.000%, 10/01/35, with total market
value $2,958,001) 2,900 2,900
--------------
Total Repurchase Agreement
(Cost $2,900) ($ Thousands) 2,900
--------------
Total Investments -- 97.5%
(Cost $421,106) ($ Thousands) $ 367,997
==============
A summary of the open futures contracts held by the Fund at March 31, 2008, 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)
- --------------------------------------------------------------------------------
S&P 500 Composite Index 1 Jun-2008 $ 5
U.S. 2-Year Note (51) Jun-2008 (18)
U.S. 5-Year Note 56 Jun-2008 1
U.S. 10-Year Note (190) Jun-2008 (307)
--------
$ (319)
========
- --------------------------------------------------------------------------------
124 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
A summary of the outstanding forward foreign currency contracts held by the Fund
at March 31, 2008, is as follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
CURRENCY CURRENCY APPRECIATION
MATURITY TO DELIVER TO RECEIVE (DEPRECIATION)
DATE ($ THOUSANDS) ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
4/10/08 AUD 7,788 GBP 3,597 $ 44
4/10/08 CAD 850 USD 861 33
4/10/08 EUR 2,829 SEK 26,720 24
4/10/08 GBP 4,059 AUD 8,841 (2)
4/10/08 SEK 36,130 EUR 3,842 (4)
4/10/08 USD 4,064 CAD 4,050 (117)
4/10/08-8/12/08 CHF 25,900 GBP 12,052 (2,307)
4/10/08-8/12/08 GBP 11,159 CHF 23,900 2,052
4/10/08-9/10/08 AUD 19,373 JPY 1,822,000 905
4/10/08-9/10/08 GBP 17,679 JPY 3,887,000 4,206
4/10/08-9/10/08 JPY 1,822,000 AUD 18,915 (1,318)
4/10/08-9/10/08 JPY 3,887,000 GBP 17,460 (4,639)
5/13/08-6/11/08 JPY 1,412,000 USD 12,876 (1,361)
5/13/08-6/11/08 USD 13,095 JPY 1,412,000 1,142
5/14/08-6/11/08 CHF 10,300 USD 9,117 (1,302)
5/14/08-6/11/08 USD 9,220 CHF 10,300 1,198
5/14/08-8/12/08 CHF 15,000 NZD 17,592 (1,523)
5/14/08-8/12/08 NZD 18,097 CHF 15,000 1,131
7/10/08-9/10/08 EUR 8,074 JPY 1,250,000 (73)
7/10/08-9/10/08 JPY 1,654,000 EUR 10,599 (46)
8/12/08 CHF 3,200 EUR 2,004 (81)
8/12/08 EUR 2,025 CHF 3,200 47
9/10/08 EUR 453 USD 700 (12)
9/10/08 GBP 1,364 USD 2,700 26
9/10/08 NZD 381 USD 300 9
9/10/08 USD 2,700 EUR 1,766 74
9/10/08 USD 2,700 GBP 1,345 (62)
9/10/08 USD 1,300 NZD 1,671
(23)
--------
$ (1,979)
========
A summary of outstanding swap agreements held by the Fund at March 31, 2008, is
as follows (see Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------------------------
CREDIT DEFAULT SWAP
- --------------------------------------------------------------------------------------------------
NET
NOTIONAL UNREALIZED
EXPIRATION AMOUNT DEPRECIATION
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------------------------
Fund receives quarterly payment of
0.0475% (0.19% per annum) times the
notional amount of Republic of Italy,
6.875%, 09/27/23. Upon a defined credit
event, Fund pays the notional amount and
takes receipt of the deliverable obligation.
(Counterparty: Goldman Sachs) 12/20/16 $ (1,700) $ (38)
========
- --------------------------------------------------------------------------------------------------
INTEREST RATE SWAPS
- --------------------------------------------------------------------------------------------------
NET
NOTIONAL UNREALIZED
EXPIRATION AMOUNT APPRECIATION
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------------------------
Fund pays a floating rate of 2.360% and
receives a floating rate based on the 3-Month
LIBOR Index. (Counterparty: Goldman Sachs) 03/25/10 $ 31,500 $ 42
Fund pays a fixed rate of 5.000% and
receives a floating rate based on the 3-Month
LIBOR Index. (Counterparty: Goldman Sachs) 03/25/13 12,300 27
--------
$ 69
========
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $377,441 ($ Thousands).
** Rate shown is the 7-day effective yield as of March 31, 2008.
+ Real Estate Investment Trust.
++ Investment in Affiliated Security (see Note 3).
(A) Step Bonds -- The rate reflected on the Schedule of Investments is the
effective yield on March 31, 2008. The coupon on a step bond changes on a
specified date.
(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 March 31, 2008. The date reported on the
Schedule of Investments is the next reset date.
(D) Tri-Party Repurchase Agreement.
(E) Unfunded bank loan. Interest rate not available.
(F) Unsettled bank loan. Interest rate not available.
AUD -- Australian Dollar
CAD -- Canadian Dollar
CDO -- Collateralized Debt Obligation
CHF -- Swiss Franc
Cl -- Class
CLO -- Collateralized Loan Obligation
CMO -- Collateralized Mortgage Obligation
EUR -- Euro
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
L.P. -- Limited Partnership
Ltd. -- Limited
MTN -- Medium Term Note
NZD -- New Zealand Dollar
PLC -- Public Limited Company
REIT -- Real Estate Investment Trust
SEK -- Swedish Krona
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 $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 125
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund
March 31, 2008
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS#:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Mortgage-Backed Securities 51.9%
Short-Term Investments 11.0%
Financials 9.0%
Asset-Backed Securities 6.8%
U.S. Treasury Obligations 6.0%
U.S. Government Agency Obligations 3.1%
Energy 2.9%
Industrials 1.7%
Utilities 1.5%
Consumer Discretionary 1.4%
Telecommunication Services 1.0%
Commercial Paper 0.8%
Loan Participations 0.7%
Health Care 0.6%
Sovereign 0.5%
Consumer Staples 0.4%
Municipal Bonds 0.3%
Materials 0.2%
Information Technology 0.1%
Certificates of Deposit 0.1%
Purchased Swaptions 0.0%
# Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 7).
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES -- 64.7%
AGENCY MORTGAGE-BACKED OBLIGATIONS -- 48.3%
FHLB
5.340%, 03/20/14 $ 3,265 $ 3,265
FHLB CMO, Ser 2015-VN, Cl A
5.460%, 11/27/15 7,000 7,115
FHLMC
7.500%, 11/01/29 to 09/01/32 2,183 2,356
7.000%, 06/01/08 to 01/01/32 1,303 1,346
6.500%, 12/01/13 to 02/01/38 29,077 30,293
6.411%, 04/01/37 402 416
6.399%, 06/01/36 349 360
6.300%, 04/01/37 1,220 1,259
6.226%, 05/01/37 437 449
6.000%, 08/01/16 to 03/01/38 71,267 73,253
5.987%, 10/01/37 3,672 3,762
5.911%, 04/01/37 697 709
5.865%, 05/01/37 858 870
5.852%, 12/01/36 1,138 1,161
5.500%, 12/01/13 to 03/01/38 186,510 189,123
5.000%, 10/01/14 to 01/01/40 76,071 76,291
4.500%, 05/01/18 to 11/01/35 15,818 15,684
4.000%, 04/01/19 to 10/01/33 2,975 2,807
FHLMC ARM
6.894%, 04/01/08 1,090 1,111
6.669%, 04/01/08 2,289 2,364
6.668%, 04/01/08 657 681
6.652%, 04/01/08 650 670
6.572%, 04/01/08 1,949 2,016
6.430%, 10/01/37 923 951
6.149%, 09/01/37 2,602 2,677
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
6.009%, 04/01/37 $ 2,814 $ 2,874
5.940%, 04/01/37 2,967 3,020
5.918%, 04/01/37 7,114 7,230
5.904%, 04/01/37 1 1
5.899%, 02/01/37 16,088 16,366
5.895%, 01/01/37 2,600 2,644
5.876%, 04/01/36 1,694 1,733
5.826%, 08/01/37 2,578 2,605
5.767%, 05/01/37 1,550 1,578
5.541%, 06/01/37 2,536 2,582
5.540%, 04/01/08 3,720 3,793
5.126%, 01/01/36 6,070 6,168
FHLMC CMO STRIPS, Ser 232,
Cl IO, IO
5.000%, 08/01/35 11,969 2,600
FHLMC CMO STRIPS, Ser 233,
Cl 12, IO
5.000%, 09/15/35 3,379 696
FHLMC CMO STRIPS, Ser 233,
Cl 6, IO
4.500%, 08/15/35 496 120
FHLMC CMO STRIPS, Ser 245,
Cl IO
5.000%, 05/15/37 2,861 640
FHLMC CMO, Ser 1, Cl Z
9.300%, 04/15/19 156 169
FHLMC CMO, Ser 1611, Cl Z
6.500%, 11/15/23 14,561 15,952
FHLMC CMO, Ser 1983, Cl Z
6.500%, 12/15/23 2,152 2,306
FHLMC CMO, Ser 2043, Cl CJ
6.500%, 04/15/28 3,433 3,595
FHLMC CMO, Ser 2277, Cl B
7.500%, 01/15/31 611 629
FHLMC CMO, Ser 2389, Cl CD
6.000%, 03/15/16 2,875 2,927
FHLMC CMO, Ser 2399, Cl XG
6.500%, 01/15/32 6,844 7,194
FHLMC CMO, Ser 2542, Cl ES
5.000%, 12/15/17 2,316 2,391
FHLMC CMO, Ser 2544, Cl IW, IO
5.500%, 03/15/26 1,178 14
FHLMC CMO, Ser 2558, Cl BD
5.000%, 01/15/18 1,785 1,817
FHLMC CMO, Ser 2583, Cl TD
4.500%, 12/15/13 1,637 1,667
FHLMC CMO, Ser 2590, Cl NU
5.000%, 06/15/17 1,305 1,355
FHLMC CMO, Ser 2603, Cl KT
4.750%, 07/15/14 787 812
FHLMC CMO, Ser 2614, Cl TD
3.500%, 05/15/16 5 5
FHLMC CMO, Ser 2623, Cl AJ
4.500%, 04/01/08 1,309 1,330
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126 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FHLMC CMO, Ser 2631, Cl MT
3.500%, 01/15/22 $ 79 $ 79
FHLMC CMO, Ser 2645, Cl MK
3.500%, 07/15/22 371 371
FHLMC CMO, Ser 2672, Cl HA
4.000%, 09/15/16 672 676
FHLMC CMO, Ser 2694, Cl QG
4.500%, 01/15/29 1,930 1,946
FHLMC CMO, Ser 2725, Cl PC
4.500%, 05/15/28 724 733
FHLMC CMO, Ser 2727, Cl PW
3.570%, 06/15/29 113 113
FHLMC CMO, Ser 2733, Cl ME
5.000%, 01/15/34 5,995 5,628
FHLMC CMO, Ser 2780, Cl TB
3.000%, 12/15/24 875 872
FHLMC CMO, Ser 2809, Cl HX, IO
6.000%, 10/15/24 550 5
FHLMC CMO, Ser 2841, Cl BD
4.000%, 04/01/08 1,072 1,079
FHLMC CMO, Ser 2945, Cl SA (F)
7.222%, 04/15/08 5,438 5,771
FHLMC CMO, Ser 2975, Cl EA
5.000%, 04/01/08 933 956
FHLMC CMO, Ser 3017, Cl TA
4.500%, 08/15/35 1,943 1,953
FHLMC CMO, Ser 3020, Cl MA
5.500%, 04/15/27 2,013 2,056
FHLMC CMO, Ser 3034, Cl EH
5.500%, 12/15/34 1,758 1,820
FHLMC CMO, Ser 3035, Cl PA
5.500%, 09/15/35 498 517
FHLMC CMO, Ser 3062, Cl LC
5.500%, 11/15/28 1,258 1,294
FHLMC CMO, Ser 3075, Cl PA
5.500%, 07/15/25 752 766
FHLMC CMO, Ser 3078, Cl PA
5.500%, 07/15/24 989 1,006
FHLMC CMO, Ser 3104, Cl QC
5.000%, 09/15/31 1,199 1,202
FHLMC CMO, Ser 3135, Cl JA
6.000%, 09/15/27 3 3
FHLMC CMO, Ser 3151, Cl PA
6.000%, 04/01/08 2 2
FHLMC CMO, Ser 3164, Cl NA
6.000%, 04/01/08 1 1
FHLMC CMO, Ser 3164, Cl NC
6.000%, 12/15/32 1,080 1,122
FHLMC CMO, Ser 3173, Cl PH
6.000%, 09/15/27 1 1
FHLMC CMO, Ser 3184, Cl PA
5.500%, 02/15/27 344 353
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FHLMC CMO, Ser 3205, Cl PC
6.000%, 09/15/32 $ 2,297 $ 2,401
FHLMC CMO, Ser 3268, Cl HC
5.000%, 12/15/32 957 948
FHLMC CMO, Ser 3279, Cl PA
5.500%, 02/15/23 1,449 1,483
FHLMC CMO, Ser 3288, Cl PA
5.500%, 05/15/29 43 44
FHLMC CMO, Ser 3289, Cl PB
5.000%, 11/15/29 1,241 1,256
FHLMC CMO, Ser 3298, Cl VB
5.000%, 11/15/25 1,046 993
FHLMC CMO, Ser 3312, Cl AP
5.500%, 11/15/25 1,069 1,093
FHLMC CMO, Ser 3316, Cl HA
5.000%, 07/15/35 3,392 3,431
FHLMC CMO, Ser 3316, Cl PB
5.500%, 03/15/31 656 675
FHLMC CMO, Ser 3325, Cl JL
5.500%, 06/15/37 4,157 4,292
FHLMC CMO, Ser 3326, Cl PC
5.500%, 08/15/32 857 879
FHLMC CMO, Ser 3347, Cl PA
5.000%, 06/15/28 1,888 1,931
FHLMC CMO, Ser 3372, Cl BD
4.500%, 10/15/22 1,188 1,153
FHLMC CMO, Ser 3790. Cl TN
4.000%, 05/15/24 1,398 1,313
FHLMC TBA
6.000%, 04/01/16 14,882 15,305
5.500%, 04/15/37 50,000 50,484
5.000%, 04/01/36 18,400 18,216
FNMA
8.000%, 10/01/15 25 26
7.000%, 09/01/26 to 12/01/37 7,634 8,070
6.500%, 05/01/17 to 01/01/38 52,428 54,262
6.429%, 11/01/37 21 22
6.284%, 09/01/37 256 262
6.124%, 12/01/36 602 612
6.108%, 07/01/36 2,284 2,337
6.106%, 11/01/37 135 138
6.100%, 12/01/36 1,092 1,110
6.082%, 09/01/36 1,193 1,223
6.020%, 04/01/37 517 525
6.000%, 05/01/21 to 10/01/37 122,877 126,072
5.977%, 04/01/37 745 755
5.944%, 10/01/36 2,474 2,527
5.927%, 07/01/37 1,442 1,467
5.925%, 06/01/37 1,148 1,169
5.922%, 04/01/37 3,328 3,386
5.896%, 06/01/37 3,806 3,867
5.878%, 02/01/37 613 620
5.675%, 09/01/37 1,333 1,381
5.500%, 06/01/14 to 08/01/37 173,219 176,253
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SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 127
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
5.000%, 10/01/18 to 11/01/36 $ 110,259 $ 110,972
4.500%, 06/01/13 to 08/01/35 30,444 29,682
4.000%, 08/01/20 to 05/01/34 7,842 7,483
FNMA ARM
7.022%, 11/01/35 2,033 2,090
6.920%, 10/01/35 9,748 10,025
6.905%, 10/01/35 6,449 6,632
6.901%, 11/01/35 4,395 4,525
6.662%, 04/01/08 2,059 2,117
6.647%, 04/01/08 4,095 4,212
6.631%, 04/01/08 2,000 2,059
6.062%, 08/01/37 3,464 3,554
6.028%, 01/01/37 712 722
6.000%, 09/01/37 1,389 1,427
5.957%, 01/01/37 909 921
5.952%, 01/01/37 1,979 2,018
5.858%, 02/01/37 8,999 9,141
5.842%, 06/01/37 1,831 1,857
5.820%, 04/01/37 1 1
5.818%, 05/01/37 1,240 1,262
5.794%, 01/01/37 5,130 5,241
5.766%, 08/01/37 1,734 1,763
5.746%, 04/01/36 1,015 1,025
5.740%, 12/01/37 11,276 11,458
5.705%, 05/01/37 5,105 5,194
5.703%, 05/01/37 3,008 3,071
5.644%, 04/01/08 14,327 14,596
5.635%, 02/01/36 662 675
5.628%, 04/01/08 771 783
5.614%, 05/01/37 -- --
5.193%, 11/01/36 1 1
FNMA CMO STRIPS, Ser 359,
Cl 6, IO
5.000%, 11/01/35 1,523 317
FNMA CMO STRIPS, Ser 360,
Cl 2, IO
5.000%, 08/01/35 25,325 5,502
FNMA CMO STRIPS, Ser 365,
Cl 2, IO
5.000%, 02/01/36 1,371 303
FNMA CMO STRIPS, Ser 365,
Cl 4, IO
5.000%, 04/01/36 1,425 320
FNMA CMO, Ser 1999-11, Cl Z
5.500%, 03/25/29 6,506 6,705
FNMA CMO, Ser 2001-T2, Cl B
6.022%, 11/25/10 4,500 4,754
FNMA CMO, Ser 2002-94, Cl BJ, IO
5.500%, 04/25/16 364 9
FNMA CMO, Ser 2003-108, Cl BE
4.000%, 11/25/18 706 689
FNMA CMO, Ser 2003-113, Cl PN
3.500%, 02/25/13 11 11
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FNMA CMO, Ser 2003-123, Cl AB
4.000%, 10/25/16 $ 1,899 $ 1,910
FNMA CMO, Ser 2003-15, Cl CH
4.000%, 04/01/08 710 713
FNMA CMO, Ser 2003-16, Cl PN
4.500%, 04/01/08 942 950
FNMA CMO, Ser 2003-3, Cl HJ
5.000%, 02/25/18 1,156 1,188
FNMA CMO, Ser 2003-33, Cl CH
4.000%, 04/01/08 1,494 1,501
FNMA CMO, Ser 2003-92, Cl PC
4.500%, 05/25/15 1,909 1,932
FNMA CMO, Ser 2004-34, Cl PL
3.500%, 05/25/14 643 643
FNMA CMO, Ser 2004-4, Cl CA
4.000%, 09/25/17 1,183 1,189
FNMA CMO, Ser 2004-6, Cl CA
4.000%, 06/25/17 1,076 1,081
FNMA CMO, Ser 2004-81, Cl AG
4.000%, 03/25/18 1,432 1,439
FNMA CMO, Ser 2005-38, Cl CD
5.000%, 06/25/19 1,268 1,303
FNMA CMO, Ser 2005-45, Cl BA
4.500%, 11/25/14 59 59
FNMA CMO, Ser 2005-57, Cl EG (F)
3.435%, 04/25/08 3,281 3,184
FNMA CMO, Ser 2005-58, Cl MA
5.500%, 07/25/35 845 878
FNMA CMO, Ser 2005-92, Cl NM
3.500%, 04/25/13 586 585
FNMA CMO, Ser 2006-10, Cl FD (F)
2.948%, 04/25/08 4,355 4,352
FNMA CMO, Ser 2006-18, Cl PA
5.500%, 01/25/26 1,726 1,762
FNMA CMO, Ser 2006-31, Cl PA
5.500%, 11/25/26 33 34
FNMA CMO, Ser 2006-41, Cl MA
5.500%, 04/25/24 1,412 1,433
FNMA CMO, Ser 2006-53, Cl PA
5.500%, 12/25/26 491 503
FNMA CMO, Ser 2006-55, Cl PA
6.000%, 05/25/26 1 1
FNMA CMO, Ser 2006-64, Cl PA
5.500%, 04/01/08 1,059 1,085
FNMA CMO, Ser 2007-113, Cl DB
4.500%, 12/25/22 1,522 1,473
FNMA CMO, Ser 2007-27, Cl KA
5.750%, 09/25/33 856 880
FNMA CMO, Ser 2007-39, Cl NA
4.250%, 01/25/37 3,248 3,251
FNMA CMO, Ser 2007-62, Cl PA
6.000%, 03/25/29 -- --
FNMA CMO, Ser 2007-80, Cl TA
6.000%, 09/25/26 -- --
- --------------------------------------------------------------------------------
128 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FNMA CMO, Ser 2007-81, Cl PA
6.000%, 02/25/29 $ 168 $ 173
FNMA CMO, Ser 3098, Cl PB
5.000%, 07/15/25 1,096 1,114
FNMA CMO, Ser 34, Cl QJ
4.500%, 01/25/16 2,314 2,338
FNMA CMO, Ser 60, Cl PA
5.500%, 04/25/34 947 970
FNMA TBA
6.500%, 04/30/37 26,936 27,896
6.000%, 04/30/20 683 703
5.500%, 04/30/22 to 04/30/35 218,663 221,039
5.000%, 04/30/20 to 04/01/38 315,401 312,565
4.500%, 04/14/33 6,550 6,315
GNMA
8.000%, 11/15/29 to 11/15/30 162 177
7.500%, 03/15/29 to 01/15/32 490 528
7.000%, 08/15/13 114 120
6.500%, 04/15/24 to 09/15/35 19,353 20,195
6.000%, 03/15/14 to 03/01/38 70,729 73,105
5.000%, 01/15/18 to 10/15/35 26,201 26,544
GNMA ARM
6.500%, 02/20/34 1,271 1,301
6.000%, 06/20/35 712 721
5.625%, 08/20/34 769 772
5.500%, 01/20/36 385 390
5.000%, 02/20/36 1,140 1,145
4.750%, 04/01/08 to 12/20/33 18,710 18,706
4.500%, 05/20/36 7,042 7,089
4.000%, 02/20/34 to 03/20/36 2,250 2,260
GNMA CMO, Ser 2001-18, Cl WH (F)
20.833%, 04/20/08 332 404
GNMA CMO, Ser 2002-51, Cl SG (F)
21.512%, 04/20/08 307 382
GNMA CMO, Ser 2003-58, Cl LG, IO
5.500%, 05/17/29 3,374 70
GNMA CMO, Ser 2003-86, Cl LC, IO
5.500%, 10/20/27 342 1
GNMA CMO, Ser 2003-86, Cl ZK
5.000%, 10/20/33 9,349 8,564
GNMA CMO, Ser 2004-80, Cl IP, IO
5.500%, 07/20/34 5,011 258
GNMA CMO, Ser 2006-3, Cl A
4.212%, 01/16/28 557 561
GNMA CMO, Ser 2006-37, Cl JG
5.000%, 07/20/36 879 843
GNMA CMO, Ser 2006-8, Cl A
3.942%, 08/16/25 806 809
GNMA TBA
6.500%, 04/30/35 25,888 26,907
6.000%, 06/01/36 to 04/01/38 6,100 6,290
--------------
2,107,809
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
NON-AGENCY MORTGAGE-BACKED
OBLIGATIONS -- 16.4%
Adjustable Rate Mortgage Trust,
Ser 2005-8, Cl 4A11 (F)
5.438%, 04/01/08 $ 11,197 $ 10,064
American Home Mortgage
Investment Trust, Ser 2004-1,
Cl 4A (F)
3.280%, 04/25/08 476 477
American Home Mortgage
Investment Trust, Ser 2004-4,
Cl 4A (F)
4.390%, 04/01/08 2,208 2,015
American Home Mortgage
Investment Trust, Ser 2005-1,
Cl 6A (F)
5.294%, 04/25/08 6,359 4,934
American Home Mortgage
Investment Trust, Ser 2005-4,
Cl 5A (F)
5.350%, 04/25/08 5,934 5,039
American Tower Trust, Ser 2007-1A,
Cl AFX
5.420%, 04/15/37 1,749 1,629
Banc of America Commercial
Mortgage, Ser 2000-1, Cl A2A
7.333%, 11/15/31 1,636 1,673
Banc of America Commercial
Mortgage, Ser 2007-4, Cl A4
5.745%, 04/01/08 9,079 9,028
Banc of America Commercial
Mortgage Securities,
Ser 2002-PB2, Cl B
6.309%, 06/11/35 659 686
Banc of America Commercial
Mortgage Securities,
Ser 2003-1, Cl A2
4.648%, 04/01/08 746 727
Banc of America Commercial
Mortgage Securities,
Ser 2004-1, Cl A4
4.760%, 11/10/39 819 801
Banc of America Commercial
Mortgage Securities,
Ser 2004-2, Cl A5
4.580%, 04/01/08 294 285
Banc of America Commercial
Mortgage Securities,
Ser 2005-3, Cl A4
4.668%, 07/10/43 11,300 10,915
Banc of America Commercial
Mortgage Securities,
Ser 2005-6, Cl A4 (F)
5.181%, 04/01/08 1,543 1,535
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 129
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Banc of America Commercial
Mortgage Securities,
Ser 2006-2, Cl A1
5.611%, 05/10/45 $ 2,299 $ 2,320
Banc of America Commercial
Mortgage Securities,
Ser 2006-4, Cl AM
5.675%, 07/10/46 8,370 7,730
Banc of America Commerical
Mortgage, Ser 2007-3, Cl A4
5.838%, 06/10/49 12,260 12,102
Banc of America Funding,
Ser 2003-1, Cl A1
6.000%, 05/20/33 101 101
Banc of America Funding,
Ser 2005-B, Cl 2A1 (F)
5.096%, 04/01/08 5,602 5,675
Banc of America Mortgage
Securities, Ser 2003-1, Cl 2A4
5.000%, 02/25/18 4,992 4,978
Bear Stearns Adjustable Rate
Mortgage Trust, Ser 2004-2,
Cl 24A (F)
5.316%, 04/01/08 5,490 4,992
Bear Stearns Commercial Mortgage
Securities, Ser 2000-WF1, Cl A2
7.780%, 02/15/32 3,854 3,986
Bear Stearns Commercial Mortgage
Securities, Ser 2004-ESA, Cl C
4.937%, 05/14/16 2,426 2,495
Bear Stearns Commercial Mortgage
Securities, Ser 2004-PWR6, Cl A6
4.825%, 11/11/41 333 328
Bear Stearns Commercial Mortgage
Securities, Ser 2005-T18,
Cl A4 (F)
4.933%, 04/01/08 1,318 1,290
Bear Stearns Structured Products,
Ser 2007-R10, Cl A1 (F)
2.956%, 04/26/08 15,835 15,122
Bear Stearns Structured Products,
Ser 2007-R11, Cl A1A (F)
3.724%, 04/25/08 18,076 17,217
Chase Commercial Mortgage
Securities, Ser 2000-3, Cl A2
7.319%, 10/15/32 2,567 2,658
Chase Mortgage Finance,
Ser 2005-A1, Cl 2A3 (F)
5.237%, 04/01/08 12,400 11,650
Citigroup Mortgage Loan Trust,
Ser 2005-11, Cl A3 (F)
4.900%, 04/01/08 10,366 9,875
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Commercial Mortgage Asset Trust,
Ser 1999-C2, Cl A2
7.546%, 11/17/32 $ 4,898 $ 5,008
Commercial Mortgage
Pass-Through Certificate,
Ser 2005-C6, Cl A3
5.144%, 04/10/08 12,000 11,786
Commercial Mortgage
Pass-Through Certificate,
Ser 2005-LP5, Cl A4 (F)
4.982%, 04/01/08 1,028 1,012
Commercial Mortgage
Pass-through Certificates,
Ser 2001-J2A, Cl A2
6.096%, 07/16/34 2,619 2,680
Countrywide Alternative Loan Trust,
Ser 2003-20CB, Cl 1A1
5.500%, 10/25/33 1,668 1,674
Countrywide Alternative Loan Trust,
Ser 2004-J1, Cl 1A1
6.000%, 02/25/34 888 828
Countrywide Alternative Loan Trust,
Ser 2005-27, Cl 3A2 (F)
5.622%, 04/01/08 664 486
Countrywide Alternative Loan Trust,
Ser 2005-56, Cl 4A1 (F)
2.909%, 04/25/08 8,645 6,706
Countrywide Alternative Loan Trust,
Ser 2005-59, Cl 1A1 (F)
3.449%, 04/20/08 10,558 8,354
Countrywide Alternative Loan Trust,
Ser 2005-59, Cl 2X, IO (E)
3.285%, 04/01/08 64 2
Countrywide Alternative Loan Trust,
Ser 2006-OA2, Cl X1P, IO (H)
2.000%, 04/01/08 35,142 1,667
Countrywide Alternative Loan Trust,
Ser 2006-OC6, Cl 2A1 (F)
2.669%, 04/25/08 1,824 1,702
Countrywide Home Loans,
Ser 2005-HY10, Cl 1A1 (F)
5.285%, 04/01/08 2,296 2,111
Countrywide Home Loans,
Ser 2005-HYB9, Cl 1A1 (F)
5.150%, 04/01/08 1,311 902
Countrywide Home Loans,
Ser 2005-HYB9, Cl 1A2 (F)
5.150%, 04/01/08 285 216
Countrywide Home Loans,
Ser 2005-R3, Cl AF (F)
2.999%, 04/25/08 6,423 5,480
Countrywide Home Loans,
Ser 2006-HYB1, Cl 1A1 (F)
5.352%, 04/20/08 3,095 2,473
- --------------------------------------------------------------------------------
130 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Credit Suisse First Boston Mortgage
Securities, Ser 1998-C2, Cl A2
6.300%, 11/15/30 $ 6,637 $ 6,661
Credit Suisse First Boston Mortgage
Securities, Ser 2001-CF2, Cl A4
6.505%, 02/15/34 1,088 1,122
Credit Suisse First Boston Mortgage
Securities, Ser 2001-CKN5, Cl A4
5.435%, 09/15/34 1,210 1,217
Credit Suisse First Boston Mortgage
Securities, Ser 2002-CKN2, Cl A3
6.133%, 04/15/37 1,211 1,253
Credit Suisse First Boston Mortgage
Securities, Ser 2002-CKS4, Cl A2
5.183%, 11/15/36 16,303 16,282
Credit Suisse First Boston Mortgage
Securities, Ser 2003-AR24,
Cl 2A4 (F)
4.036%, 04/01/08 9,465 9,505
Credit Suisse First Boston Mortgage
Securities, Ser 2003-C4, Cl A4 (F)
5.137%, 08/15/36 1,339 1,322
Credit Suisse First Boston Mortgage
Securities, Ser 2003-C5, Cl A4 (F)
4.900%, 12/15/36 2,140 2,099
Credit Suisse First Boston Mortgage
Securities, Ser 2003-CK2, Cl A4
4.801%, 03/15/36 537 525
Credit Suisse First Boston Mortgage
Securities, Ser 2004-C2, Cl A2 (F)
5.416%, 04/01/08 1,341 1,357
Credit Suisse First Boston Mortgage
Securities, Ser 2005-C1, Cl AAB
4.815%, 04/01/08 589 568
DLJ Commercial Mortgage,
Ser 1999-CG1, Cl A1B
6.460%, 03/10/32 4,603 4,634
DLJ Commercial Mortgage,
Ser 2000-CKP1, Cl A1B
7.180%, 11/10/33 1,069 1,108
DLJ Commercial Mortgage,
Ser-CG3, Cl A1B
7.340%, 09/10/09 1,279 1,311
DSLA Mortgage Loan Trust,
Ser 2004-AR2, Cl A2B (F)
2.959%, 04/19/08 3,392 2,587
DSLA Mortgage Loan Trust,
Ser 2004-AR3, Cl B2 (F)
3.659%, 04/20/08 633 316
FFCA Secured Lending,
Ser 1999-1A, IO (F) (H)
1.422%, 04/01/08 8,960 335
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
First Union National Bank,
Ser 2001-C4, Cl B
6.417%, 12/12/33 $ 809 $ 837
First Union-Lehman Brothers
Commercial Mortgage,
Ser 1998-C2, Cl A2
6.560%, 11/18/35 572 571
Fund America Investors,
Ser 1993-A, Cl A2 (F)
6.693%, 04/01/08 312 304
GE Capital Commercial Mortgage,
Ser 2001-2, Cl A3
6.030%, 08/11/33 646 653
GE Capital Commercial Mortgage,
Ser 2002-1A, Cl A3 (J)
6.269%, 12/10/35 5,610 5,730
GE Capital Commercial Mortgage,
Ser 2002-3A, Cl A2
4.996%, 12/10/37 12,500 12,180
GE Capital Commercial Mortgage,
Ser 2004-C1, Cl A3
4.596%, 11/10/38 1,678 1,628
GE Capital Commercial Mortgage,
Ser 2005-C4, Cl A3A (F)
5.334%, 04/01/08 13,025 12,828
GE Capital Commercial Mortgage,
Ser 2006-C1, Cl A3 (F)
5.340%, 04/01/08 2,845 2,677
GE Capital Commercial Mortgage,
Ser 2007-C1, Cl A4
5.543%, 04/01/08 1,510 1,477
GMAC Commercial Mortgage
Securities, Ser 1999-C2, Cl A2
6.945%, 09/15/33 230 233
GMAC Commercial Mortgage
Securities, Ser 2000-C1, Cl A2
7.724%, 03/15/33 3,384 3,500
GMAC Commercial Mortgage
Securities, Ser 2000-C2, Cl A2
7.455%, 08/16/33 1,840 1,910
GMAC Commercial Mortgage
Securities, Ser 2000-C3, Cl A2
6.957%, 09/15/35 3,071 3,177
GMAC Commercial Mortgage
Securities, Ser 2002-C3, Cl A2
4.930%, 07/10/39 1,394 1,377
GMAC Commercial Mortgage
Securities, Ser 2004-C1, Cl A1
3.118%, 03/10/38 88 87
GMAC Commercial Mortgage
Securities, Ser 2004-C2, Cl A1
3.896%, 08/10/38 109 108
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 131
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GMAC Commercial Mortgage
Securities, Ser 2006-C1,
Cl A4 (F)
5.238%, 04/01/08 $ 4,800 $ 4,696
GS Mortgage Securities,
Ser 1998-C1, Cl B
6.970%, 10/18/30 1,189 1,192
GS Mortgage Securities,
Ser 1998-GLII, Cl A2
6.562%, 04/13/31 71 71
GS Mortgage Securities,
Ser 2005-GG4, Cl A4A
4.751%, 07/10/39 6,500 6,308
GS Mortgage Securities,
Ser 2005-GG4, Cl AABA
4.680%, 07/10/39 350 335
GS Mortgage Securities,
Ser 2006-GG6, Cl AM
5.622%, 04/10/38 4,300 3,991
GS Mortgage Securities,
Ser 2007-GG10, Cl A4 (F)
5.799%, 04/01/08 11,575 11,557
GSMPS Mortgage Loan Trust,
Ser 1998-1, Cl A
8.000%, 09/19/27 84 88
GSR Mortgage Loan Trust,
Ser 2003-13, Cl 1A1 (F)
4.497%, 04/01/08 7,062 6,490
General Electric Capital Assurance,
Ser 2003-1, Cl A4
5.254%, 05/12/35 7,530 7,369
Greenwich Capital Commercial
Funding, Ser 2005-GG3, Cl AAB
4.619%, 08/10/42 6,305 6,032
HSI Asset Securitization Trust,
Ser 2005-NC1, Cl 2A4 (F)
2.919%, 04/25/08 903 769
Harborview Mortgage Loan Trust,
Ser 2005-01, Cl X, IO (E)
2.967%, 04/01/08 16,756 351
Harborview Mortgage Loan Trust,
Ser 2005-10, Cl X, IO (F)
3.064%, 04/01/08 112 4
Harborview Mortgage Loan Trust,
Ser 2005-12, Cl X2B, IO (F)
2.914%, 04/01/08 22,941 527
Harborview Mortgage Loan Trust,
Ser 2007-3, Cl 2A1A (F)
2.759%, 04/19/08 15,731 12,270
Heller Financial Commercial
Mortgage, Ser 1999-PH1, Cl C (F)
6.848%, 04/15/08 250 253
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Impac Secured Assets CMO Owners
Trust, Ser 2006-3, Cl A4 (F)
2.689%, 04/27/08 $ 5,472 $ 5,178
Impac Secured Assets CMO
Owners Trust, Ser 2007-1,
Cl A1 (F)
3.195%, 04/25/08 16,609 14,280
Indymac INDA Mortgage Loan
Trust, Ser 2005-AR2, Cl 1A1 (F)
4.883%, 04/01/08 555 525
Indymac INDA Mortgage Loan
Trust, Ser 2007-AR7, Cl 1A1
6.867%, 11/01/37 2,246 2,148
Indymac Index Mortgage Loan Trust,
Ser 2004-AR12, Cl AX2, IO (E)
1.830%, 04/01/08 6,456 91
JPMorgan Chase Commercial
Mortgage, Ser 2006-CB15,
Cl ASB
5.790%, 06/12/43 711 701
JPMorgan Chase Commercial
Mortgage, Ser 2006-LDP7,
Cl ASB
5.875%, 04/01/08 806 794
JPMorgan Chase Commercial
Mortgage, Ser 2007-CB18, Cl A4
5.440%, 04/01/08 11,000 10,683
JPMorgan Chase Commercial
Mortgage, Ser 2007-LD11,
Cl AM (F)
5.819%, 04/01/08 3,836 3,523
JPMorgan Chase Commercial
Mortgage, Ser 2000-C10, Cl A2
7.371%, 08/15/32 917 945
JPMorgan Chase Commercial
Mortgage, Ser 2001-C1, Cl A3
5.857%, 10/12/35 729 741
JPMorgan Chase Commercial
Mortgage, Ser 2001-CIB2, Cl A3
6.429%, 04/15/35 5,170 5,294
JPMorgan Chase Commercial
Mortgage, Ser 2002-C2, Cl A2
5.050%, 12/12/34 3,215 3,189
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%, 04/12/08 1,485 1,451
JPMorgan Chase Commercial
Mortgage, Ser 2003-PM1A, Cl A4
5.326%, 08/12/40 184 183
- --------------------------------------------------------------------------------
132 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
JPMorgan Chase Commercial
Mortgage, Ser 2005-CB11,
Cl ASB
5.201%, 08/12/37 $ 878 $ 855
JPMorgan Chase Commercial
Mortgage, Ser 2005-CB12, Cl A4
4.895%, 09/12/37 680 664
JPMorgan Chase Commercial
Mortgage, Ser 2005-LDP2, Cl A1
4.334%, 07/15/42 79 78
JPMorgan Chase Commercial
Mortgage, Ser 2005-LDP3, Cl A1
4.655%, 08/15/42 294 292
JPMorgan Chase Commercial
Mortgage, Ser 2005-LDP4,
Cl A4 (F)
4.918%, 04/01/08 3,700 3,612
JPMorgan Chase Commercial
Mortgage, Ser 2006-CB16,
Cl ASB
5.523%, 05/12/45 606 598
JPMorgan Mortgage Trust,
Ser 2005-A3, Cl 11A2 (F)
4.492%, 04/25/08 12,385 9,828
JPMorgan Mortgage Trust,
Ser 2006-A2, Cl 2A2 (F)
5.752%, 04/01/08 12,600 10,957
JPMorgan Mortgage Trust,
Ser 2006-A3, Cl 3A4 (F)
5.740%, 04/01/08 13,560 11,751
LB Commercial Conduit Mortgage
Trust, Ser 1999-C2, Cl B
7.425%, 10/15/32 378 390
LB-UBS Commercial Mortgage Trust,
Ser 2002-C2, Cl A4
5.594%, 06/15/31 7,367 7,487
LB-UBS Commercial Mortgage Trust,
Ser 2003-C5, Cl A2
3.478%, 07/15/27 624 621
LB-UBS Commercial Mortgage Trust,
Ser 2007-C2, Cl AM (F)
5.493%, 04/11/08 1,753 1,572
MLCC Mortgage Investors,
Ser 2004-B, Cl A3 (F)
6.943%, 04/01/08 1,064 1,016
Master Reperforming Loan Trust,
Ser 2005-1, Cl 1A1
6.000%, 08/25/34 4,438 4,309
Master Seasoned Securities Trust,
Ser 2004-2, Cl A2
6.500%, 08/25/32 4,539 4,474
Merrill Lynch Mortgage Investors
Trust, Ser 2004-A1, Cl 4A (F)
5.337%, 04/01/08 7,100 6,465
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Merrill Lynch Mortgage Trust,
Ser 2005-MCP1, Cl A4
4.747%, 06/12/43 $ 3,780 $ 3,666
Merrill Lynch/Countrywide
Commercial Mortgage Trust,
Ser 2007-5, Cl A4
5.378%, 08/12/48 1,270 1,229
Merrill Lynch/Countrywide
Commercial Mortgage Trust,
Ser 2007-6,
Cl AM (F)
5.526%, 04/01/08 2,411 2,167
Morgan Stanley Capital I,
Ser 2003-IQ5, Cl A4
5.010%, 04/01/08 2,161 2,137
Morgan Stanley Capital I,
Ser 2004-HQ3, Cl A4
4.800%, 01/13/41 1,109 1,087
Morgan Stanley Capital I,
Ser 2005-HQ5, Cl AAB
5.037%, 01/14/42 1,700 1,647
Morgan Stanley Capital I,
Ser 2005-HQ6, Cl A4A
4.989%, 08/13/42 5,600 5,503
Morgan Stanley Capital I,
Ser 2005-HQ7, Cl AAB (F)
5.180%, 04/01/08 2,189 2,121
Morgan Stanley Capital I,
Ser 2007-IQ14, Cl A4
5.692%, 04/15/49 13,680 13,470
Morgan Stanley Dean Witter Capital,
Ser 2000-LIFE, Cl A2
7.570%, 11/15/36 2,981 3,070
Morgan Stanley Dean Witter Capital,
Ser 2001-TOP1, Cl A4
6.660%, 02/15/33 1,088 1,124
Morgan Stanley Dean Witter Capital,
Ser 2001-TOP3, Cl A4
6.390%, 06/15/11 1,269 1,307
Morgan Stanley Dean Witter Capital,
Ser 2001-TOP5, Cl A4
6.390%, 10/15/35 163 168
Morgan Stanley Dean Witter Capital,
Ser 2002-IQ2, Cl A3
5.520%, 12/15/35 703 709
Morgan Stanley Mortgage Loan Trust,
Ser 2007-6XS, Cl 2A1S (F)
2.709%, 04/25/08 583 536
Mortgage Capital Funding,
Ser 1998-MC2, Cl A2
6.423%, 06/18/30 1,384 1,380
Residential Accredit Loans,
Ser 2006-Q01, Cl 2A3 (F)
2.999%, 04/27/08 709 350
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 133
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Residential Asset Mortgage Products,
Ser 2004-SL1, Cl A8
6.500%, 11/25/31 $ 2,781 $ 2,865
Residential Asset Securitization
Trust, Ser 2004-IP2, Cl 2A1 (F)
5.251%, 04/01/08 3,165 3,075
Salomon Brothers Mortgage
Securities VII, Ser 2001-C2,
Cl A3
6.499%, 10/13/11 5,750 5,894
Salomon Brothers Mortgage
Securities VII, Ser 2002-KEY2,
Cl A2
4.467%, 03/18/36 1,159 1,146
Structured Adjustable Rate
Mortgage Loan, Ser 2005-19XS,
Cl 1A1 (F)
2.919%, 04/26/08 2,345 1,854
Structured Adjustable Rate
Mortgage Loan, Ser 2007-7,
Cl 2AS2 (F)
5.723%, 04/01/08 12,791 12,235
Structured Asset Securities,
Ser 2005-17, Cl 5A1
5.500%, 04/01/08 3,614 3,625
Thornburg Mortgage Securities
Trust, Ser 2005-3, Cl 2A1 (F)
2.839%, 04/25/08 12,351 12,054
Thornburg Mortgage Securities
Trust, Ser 2006-1, Cl A3 (F)
2.769%, 04/01/08 9,502 9,329
Thornburg Mortgage Securities
Trust, Ser 2006-3, Cl A2 (F)
2.704%, 04/25/08 13,077 12,839
Thornburg Mortgage Securities
Trust, Ser 2006-3, Cl A3 (F)
2.709%, 04/25/08 13,769 13,611
Thornburg Mortgage Securities
Trust, Ser 2007-4, Cl 2A1 (F)
6.240%, 04/01/08 6,926 6,442
6.219%, 04/01/08 6,444 5,814
Wachovia Bank Commercial
Mortgage Trust, Ser 2002-C1A,
Cl A4
6.287%, 04/15/34 1,543 1,602
Wachovia Bank Commercial
Mortgage Trust, Ser 2002-C2,
Cl A4
4.980%, 11/15/34 1,816 1,795
Wachovia Bank Commercial
Mortgage Trust, Ser 2003-C5,
Cl A2
3.989%, 06/15/35 449 423
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Wachovia Bank Commercial
Mortgage Trust, Ser 2003-C6,
Cl A3 (F)
4.957%, 04/01/08 $ 2,490 $ 2,494
Wachovia Bank Commercial
Mortgage Trust, Ser 2003-C7,
Cl A1
4.241%, 10/15/35 371 365
Wachovia Bank Commercial
Mortgage Trust, Ser 2003-C8,
Cl A3
4.445%, 11/15/35 873 867
Wachovia Bank Commercial
Mortgage Trust, Ser 2003-C9,
Cl A4 (F)
5.012%, 04/01/08 585 576
Wachovia Bank Commercial
Mortgage Trust, Ser 2004-C10,
Cl A4
4.748%, 02/15/41 3,793 3,709
Wachovia Bank Commercial
Mortgage Trust, Ser 2004-C11,
Cl A4
5.030%, 01/15/41 599 597
Wachovia Bank Commercial
Mortgage Trust, Ser 2005-C19,
Cl A6
4.699%, 05/15/44 988 953
Wachovia Bank Commercial
Mortgage Trust, Ser 2005-C20,
Cl A7 (F)
5.118%, 04/01/08 2,061 2,037
Wachovia Bank Commercial
Mortgage Trust, Ser 2005-C21,
Cl A4 (F)
5.210%, 04/01/08 1,447 1,453
Wachovia Bank Commercial
Mortgage Trust, Ser 2006-C25,
Cl AM (F)
5.742%, 04/01/08 450 421
Wachovia Bank Commercial
Mortgage Trust, Ser 2006-C26,
Cl APB
5.997%, 06/15/45 2,154 2,191
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2003-MS1, Cl 1A
5.000%, 02/25/18 1,972 1,913
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2003-MS2, Cl 3A1
5.000%, 03/25/18 5,841 5,795
- --------------------------------------------------------------------------------
134 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2005-AR13, Cl A1A1 (F)
2.889%, 04/25/08 $ 4,973 $ 3,964
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2005-AR15, Cl A1A2 (F)
2.879%, 04/25/08 7,455 5,888
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2005-AR16, Cl 1A4A (F)
5.102%, 04/25/08 12,955 12,083
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2005-AR19, Cl A1A2 (F)
2.889%, 04/25/08 7,223 5,706
Wells Fargo Mortgage Backed
Securities Trust, Ser 2004-I,
Cl B1 (F)
6.527%, 04/01/08 260 260
Wells Fargo Mortgage Backed
Securities Trust, Ser 2005-17,
Cl 1A1
5.500%, 04/01/08 10,633 10,573
Wells Fargo Mortgage Backed
Securities, Ser 2007-16, Cl 1A1
6.000%, 12/28/37 15,731 15,861
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2004-H,
Cl A1 (F)
4.527%, 04/01/08 7,677 7,261
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2006-2,
Cl 3A1
5.750%, 03/25/36 1,960 1,850
Zuni Mortgage Loan Trust,
Ser 2006-OA1, Cl A1 (F)
2.729%, 04/25/08 6,909 6,551
--------------
714,121
--------------
Total Mortgage-Backed Securities
(Cost $2,833,322) ($ Thousands) 2,821,930
--------------
ASSET-BACKED SECURITIES -- 8.5%
AUTOMOTIVE -- 0.5%
AmeriCredit Prime Automobile
Receivables Trust, Ser 2007-1, Cl A3
5.270%, 11/08/11 1,863 1,895
Capital Auto Receivables Asset Trust,
Ser 2006-2, Cl B
5.070%, 12/15/11 2,620 2,590
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Capital Auto Receivables Asset
Trust, Ser 2007-1, Cl A3A
5.000%, 04/15/11 $ 75 $ 76
Capital Auto Receivables Asset
Trust, Ser 2007-4A, Cl A4
5.300%, 12/15/11 1,124 1,142
DaimlerChrysler Auto Trust,
Ser 2006-D, Cl A4
4.940%, 02/08/12 1,190 1,217
DaimlerChrysler Auto Trust,
Ser 2007-A, Cl A4
5.280%, 03/08/13 734 752
Ford Credit Auto Owner Trust,
Ser 2007-B, Cl A3A
5.150%, 11/15/11 1,254 1,283
Harley Davidson Motorcycle Trust,
Ser 2008-1, Cl A3A
4.250%, 02/15/13 958 955
Hyundai Auto Receivables Trust,
Ser 2007-A, Cl A3A
5.040%, 01/17/12 776 786
Hyundai Auto Receivables Trust,
Ser 2007-A, Cl A4
5.210%, 03/17/14 1,999 2,022
Nissan Auto Receivables Owner
Trust, Ser 2007-B, Cl A4
5.160%, 03/17/14 5,405 5,534
Triad Auto Receivables Owner Trust,
Ser 2006-B, Cl A4
5.520%, 04/12/08 563 551
Triad Auto Receivables Owner Trust,
Ser 2006-C, Cl A3
5.260%, 11/14/11 867 854
USAA Auto Owner Trust,
Ser 2005-1, Cl A3
3.900%, 07/15/09 4 4
WFS Financial Owner Trust,
Ser 2005-3, Cl A3A
4.250%, 06/17/10 77 77
World Omni Auto Receivables Trust,
2007-B, Cl A3A
5.280%, 01/17/12 652 663
World Omni Auto Receivables Trust,
2007-B, Cl A4
5.390%, 05/15/13 1,406 1,430
--------------
21,831
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 135
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CREDIT CARDS -- 0.5%
American Express Issuance Trust,
Ser 2007-2, Cl A (F)
3.068%, 04/01/08 $ 4,674 $ 4,510
Bank of America Credit Card Trust,
Ser 2007-A8, Cl A8
5.590%, 11/17/14 515 540
Capital One Multi-Asset Execution
Trust, Ser 2007-A7, Cl A7
5.750%, 07/15/20 2,623 2,632
Citibank Credit Card Issuance
Trust, Ser 2007-A8, Cl A8
5.650%, 09/20/19 1,491 1,492
Citibank Credit Card Issuance Trust,
Ser 2008-A1, Cl A1
5.350%, 02/07/20 5,427 5,280
Discover Card Master Trust,
Ser 2007-A1, Cl A1
5.650%, 03/16/20 5,918 5,908
MBNA Credit Card Master Note
Trust, Ser 2003-A7, Cl A7
2.650%, 11/15/10 1,361 1,360
Washington Mutual Master Note
Trust, Ser 2006-A2A, Cl A (F)
2.868%, 04/15/08 1,747 1,686
--------------
23,408
--------------
MORTGAGE RELATED SECURITIES -- 2.8%
ABS Home Equity Loan Trust,
Ser 2001-HE3, Cl A1 (F)
2.936%, 04/15/08 457 407
AFC Home Equity Loan Trust,
Ser 1998-1, Cl 1A2 (F)
2.869%, 04/01/08 130 102
AFC Home Equity Loan Trust,
Ser 2000-1, Cl 2A (F)
2.839%, 04/25/08 4,688 2,583
Ace Securities, Ser 2003-OP1,
Cl M1 (F)
3.299%, 04/26/08 1,000 748
Ace Securities, Ser 2005-HE7,
Cl A1B2 (F)
2.899%, 04/27/08 1,263 1,073
Aegis Asset-Backed Securities Trust,
Ser 2003-3, Cl M1 (F)
3.299%, 04/25/08 105 84
Ameriquest Mortgage Securities,
Ser 2003-2, Cl M1 (F)
3.949%, 04/25/08 1,402 1,226
Argent Securities, Ser 2003-W5,
Cl M1 (F)
3.299%, 04/25/08 600 500
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Argent Securities, Ser 2003-W9,
Cl M1 (F)
3.289%, 04/26/08 $ 1,287 $ 1,003
Asset-Backed Funding Certificates,
Ser 2003-WF1, Cl A2 (F)
3.885%, 04/25/08 2,506 2,385
Asset-Backed Funding Certificates,
Ser 2005-AQ1, Cl A2 (G)
4.300%, 06/25/35 1,315 1,303
Asset-Backed Securities Home
Equity Loan Trust, Ser 2003-HE4,
Cl M2 (F)
6.121%, 04/15/08 416 336
Asset-Backed Securities Home
Equity Loan Trust, Ser 2003-HE5,
Cl M1 (F)
3.871%, 04/15/08 1,733 1,470
BNC Mortgage Loan Trust,
Ser 2007-1, Cl M1 (F)
2.839%, 04/25/08 6,300 1,926
Bear Stearns Asset Backed
Securities, Ser 2007-HE2,
Cl 1A1 (F)
2.699%, 04/30/08 10,329 10,010
Bear Stearns Asset-Backed
Securities, Ser 2000-2, Cl M2 (G)
8.280%, 08/25/30 8,000 7,737
Bear Stearns Asset-Backed
Securities, Ser 2003-1, Cl A1 (F)
3.099%, 04/25/08 4,601 4,086
Bear Stearns Asset-Backed
Securities, Ser 2007-AQ2,
Cl A1 (F)
2.699%, 04/30/08 6,235 5,568
Citigroup Mortgage Loan Trust,
Ser 2006-FX1, Cl A1 (F)
2.699%, 04/30/08 1,461 1,389
Citigroup Mortgage Loan Trust,
Ser 2007-AHL1, Cl A2A (F)
2.639%, 04/25/08 1,313 1,234
Conseco Finance, Ser 2001-D,
Cl A5 (G)
6.190%, 11/15/32 2,052 2,035
Contimortgage Home Equity Loan
Trust, Ser 1997-1, Cl A9
7.050%, 03/15/28 53 52
Contimortgage Home Equity Loan
Trust, Ser 1997-2, Cl A9
7.090%, 04/15/28 46 46
Countrywide Asset-Backed
Certificates, Ser 2006-S1, Cl A2
5.549%, 08/25/21 2,171 2,118
- --------------------------------------------------------------------------------
136 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Asset-Backed
Certificates, Ser 2007-S2,
Cl A2 (F)
5.649%, 04/01/08 $ 3,354 $ 2,812
Credit Suisse First Boston Mortgage
Securities, Ser 2001-CK1 Cl A3
6.380%, 12/18/35 610 626
EMC Mortgage Loan Trust,
Ser 2002-AA, Cl A1 (F)
3.069%, 04/25/08 1,856 1,745
Equivantage Home Equity Loan
Trust, Ser 1997-2, Cl A3 (G)
7.775%, 04/01/08 168 145
First Union National Bank,
Ser 2000-C2, Cl A2
7.202%, 10/15/32 814 849
GMAC Commercial Mortgage
Securities, Ser 2003-C3, Cl A4
5.023%, 04/10/40 2,881 2,835
GMAC Mortgage Loan Trust,
Ser 2007-HE1, Cl A2 (F)
5.621%, 04/01/08 4,497 3,906
GSAA Home Equity Trust,
Ser 2006-2, Cl 2A1 (F)
3.235%, 04/27/08 3,372 3,310
Home Equity Asset Trust,
Ser 2003-4, Cl M2 (F)
4.999%, 04/25/08 1,069 826
Indymac Indx Mortgage Loan Trust,
Ser 2007-AR15, Cl 2A1
5.996%, 08/25/37 9,686 6,102
Indymac Seconds Asset-Backed
Trust, Ser 2006-A, Cl A (F)
2.729%, 04/25/08 3,261 1,257
Master Asset-Backed Securities
Trust, Ser 2005-AB1, Cl A1B (G)
5.143%, 04/01/08 80 80
Master Asset-Backed Securities,
Ser 2006-AB1, Cl A1 (F)
2.739%, 04/27/08 4,654 4,552
Merrill Lynch Mortgage Investors
Trust, Ser 2003-OPT1, Cl A3 (F)
2.959%, 04/26/08 1,227 1,053
Morgan Stanley Capital I,
Ser 2003-NC8, Cl M1 (F)
3.649%, 04/27/08 2,200 1,664
Morgan Stanley Capital I,
Ser 2007-HE2, Cl A2A (F)
2.639%, 04/25/08 610 586
Morgan Stanley Dean Witter Capital,
Ser 2003-NC4, Cl M2 (F)
5.599%, 04/25/08 157 143
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Morgan Stanley Home Equity Loans,
Ser 2007-1, Cl A1 (F)
3.185%, 04/25/08 $ 540 $ 518
New Century Home Equity Loan
Trust, Ser 2003-B, Cl M1 (F)
3.249%, 04/27/08 1,917 1,413
New Century Home Equity Loan
Trust, Ser 2005-A, Cl A2 (G)
4.461%, 04/25/08 1,679 1,662
Novastar Home Equity Loan,
Ser 2007-1, Cl A2A1 (F)
2.699%, 04/30/08 11,469 10,887
Option One Mortgage Loan Trust,
Ser 2001-4, Cl A (F)
3.199%, 04/25/08 478 454
Option One Mortgage Loan Trust,
Ser 2003-5, Cl M1 (F)
3.249%, 04/23/08 666 536
Option One Mortgage Loan Trust,
Ser 2006-1, Cl M11 (F)
5.099%, 04/27/08 280 12
Option One Mortgage Securities,
Ser 2005-3A, Cl N1
5.438%, 08/26/35 159 3
Residential Funding Mortgage
Securities, Ser 2000-HI1,
Cl AI7 (G)
8.290%, 02/25/25 2,486 2,478
Residential Funding Mortgage
Securities, Ser 2005-HS1,
Cl AI1 (F)
2.719%, 04/25/08 2,394 2,312
Salomon Brothers Mortgage
Securities, Ser 2000-C3, Cl A2
6.592%, 12/18/33 403 412
Terwin Mortgage Trust,
Ser 2005-9HGS, Cl A1 (F)
4.000%, 04/01/08 1,435 1,352
Terwin Mortgage Trust,
Ser 2006-2HGS, Cl A1 (F)
4.500%, 04/01/08 5,156 2,490
Terwin Mortgage Trust,
Ser 2006-4SL, Cl A1 (F)
4.500%, 04/01/08 4,889 4,706
Terwin Mortgage Trust,
Ser 2006-6, Cl 1A2 (F)
4.750%, 04/21/08 7,600 4,729
Terwin Mortgage Trust,
Ser 2006-6, Cl A1 (F)
4.500%, 04/01/08 4,319 2,620
Terwin Mortgage Trust,
Ser 2006-8, Cl 1A2 (F)
5.000%, 04/01/08 4,500 949
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 137
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Terwin Mortgage Trust,
Ser 2006-HF1, Cl A1A (F)
4.500%, 04/01/08 $ 102 $ 102
Wells Fargo Home Equity Trust,
Ser 2004-2, Cl M8B (F)
5.000%, 04/01/08 395 110
--------------
119,657
--------------
OTHER ASSET-BACKED SECURITIES -- 4.7%
Aames Mortgage Investment Trust,
Ser 2005-4, Cl B2 (F)
5.349%, 04/12/08 780 82
CNH Equipment Trust,
Ser 2004-A, Cl A4A (F)
2.928%, 04/15/08 922 922
Chase Funding Mortgage Loan,
Ser 2002-1, Cl 2A2 (F)
3.099%, 04/25/08 1,685 1,552
Chase Funding Mortgage Loan,
Ser 2003-6, Cl 1A3
3.340%, 05/25/26 571 569
Chase Issuance Trust,
Ser 2008-A4, Cl A4
4.650%, 03/15/15 12,748 12,748
Citicorp Residential Mortgage
Securities, Ser 2006-1, Cl A2 (G)
5.682%, 07/25/36 1,236 1,210
Citicorp Residential Mortgage
Securities, Ser 2006-2, Cl A2 (G)
5.557%, 04/01/08 1,163 1,143
Connecticut RRB Special Purpose
Trust, Ser 2001-1, Cl A5
6.210%, 12/30/11 721 757
Conseco Finance Home Loan Trust,
Ser 2000-E, Cl M1 (F)
8.130%, 04/01/08 1,781 1,742
Conseco Finance Securitization,
Ser 2000-4, Cl A6 (F)
8.310%, 05/01/32 1,396 1,112
Countrywide Asset-Backed
Certificates, Ser 2003-BC2,
Cl 2A1 (F)
3.735%, 04/25/08 38 35
Countrywide Asset-Backed
Certificates, Ser 2004-14,
Cl A4 (F)
2.879%, 04/25/08 845 729
Countrywide Asset-Backed
Certificates, Ser 2005-15,
Cl 1AF1 (F)
2.739%, 04/25/08 1,797 1,795
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Asset-Backed
Certificates, Ser 2007-3,
Cl 2A1 (F)
2.699%, 04/25/08 $ 569 $ 536
Countrywide Asset-Backet
Certificates, Ser 2006-10,
Cl MV1 (F)
2.859%, 04/25/08 10,450 5,526
Countrywide Home Equity Loan
Trust, Ser 2002-E, Cl A
3.078%, 04/15/08 206 181
Countrywide Home Equity Loan
Trust, Ser 2004-K, Cl A2 (F)
3.118%, 04/15/08 1,423 1,237
Countrywide Home Equity Loan
Trust, Ser 2005-F, Cl 2A (F)
3.058%, 04/15/08 2,839 2,138
Countrywide Home Equity Loan
Trust, Ser 2005-M, Cl A2 (F)
2.938%, 04/15/08 853 850
Countrywide Home Equity Loan
Trust, Ser 2007-GW, Cl A (F)
3.368%, 04/17/08 16,154 12,902
Credit Suisse First Boston Mortgage
Securities, Ser 2001-MH29,
Cl A (G)
5.600%, 09/25/31 1,073 1,086
Domino's Pizza Master Issuer LLC,
Ser 2007-1, Cl A2
5.261%, 04/25/37 1,743 1,516
Embarcadero Aircraft Securitization,
Ser 2000-A, Cl A1 (F)
3.298%, 04/15/08 4,200 3,528
First Franklin Mortgage Loan Asset-
Backed Securities, Ser 2004-FF11,
Cl 1A2 (F)
2.949%, 04/25/08 138 116
First Franklin Mortgage Loan Asset-
Backed Securities, Ser 2005-FF10,
Cl A4 (F)
3.455%, 04/25/08 8,400 7,749
First Franklin Mortgage Loan Asset-
Backed Securities, Ser 2005-FF9,
Cl A3 (F)
3.415%, 04/25/08 9,500 8,898
First Franklin Mortgage Loan,
Ser 2006-FFA, Cl A3 (F)
3.255%, 04/25/08 6,348 2,802
First Horizon ABS Trust,
Ser 2004-HE2, Cl A (F)
2.819%, 04/25/08 2,102 1,839
- --------------------------------------------------------------------------------
138 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GMAC Mortgage Loan Trust,
Ser 2005-HE3, Cl A1VN (F)
2.859%, 04/25/08 $ 7,885 $ 5,942
GSAMP Trust, Ser 2003-SEA,
Cl A1 (F)
2.999%, 04/25/08 3,797 3,399
Great America Leasing Receivables,
Ser 2006-1, Cl A3
5.340%, 01/15/10 1,132 1,141
Green Tree Financial,
Ser 1993-4, Cl A5
7.050%, 01/15/19 392 406
Green Tree Financial,
Ser 1996-5, Cl A6
7.750%, 07/15/27 1,176 1,234
HSI Asset Securitization Trust,
Ser 2005-I1, Cl 2A3 (F)
2.889%, 04/27/08 8,000 6,839
Lehman XS Trust,
Ser 2005-5N, Cl 1A1 (F)
2.899%, 04/01/08 6,063 4,749
Lehman XS Trust,
Ser 2005-5N, Cl M4 (F)
4.349%, 04/30/08 1,800 360
Lehman XS Trust,
Ser 2006-7, Cl 2A1 (F)
2.669%, 04/25/08 125 125
Lehman XS Trust,
Ser 2006-GP1, Cl A4A
2.929%, 04/25/08 5,561 3,391
Lehman XS Trust,
Ser 2007-1, Cl WF1
7.000%, 01/25/37 3,160 2,653
Lehman XS Trust,
Ser 2007-9, Cl 1A1 (F)
2.729%, 04/25/08 13,103 10,936
Long Beach Asset Holdings,
Ser 2005-WL1, Cl N1
5.193%, 06/25/45 164 20
Long Beach Mortgage Loan Trust,
Ser 2006-WL1, Cl 1A3 (F)
2.929%, 04/27/08 1,306 1,013
MSCC Heloc Trust,
Ser 2005-1, Cl A (F)
2.789%, 04/25/08 573 487
Master Specialized Loan Trust,
Ser 2007-2, Cl A (F)
2.949%, 04/28/08 11,658 8,627
Merrill Lynch First Franklin Mortgage
Loan Trust, Ser 2007-1, Cl M1 (F)
2.979%, 04/27/08 2,084 620
Merrill Lynch Mortgage Investors
Trust, Ser 2005-SL3, Cl A1 (F)
2.829%, 04/10/08 869 806
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Merrill Lynch Mortgage Investors
Trust, Ser 2006-WMC2,
Cl A2D (G)
5.895%, 04/25/08 $ 5,200 $ 4,132
Merrill Lynch Mortgage Investors
Trust, Ser 2007-MLN1, Cl M1 (F)
2.999%, 04/25/08 3,010 934
Merrill Lynch Mortgage Investors,
Ser 2007-SL1, Cl A1 (F)
2.899%, 04/11/08 7,161 5,981
Mid-State Trust, Ser 11, Cl A1
4.864%, 07/15/38 5,013 4,903
Morgan Stanley Capital I,
Ser 2006-T21, Cl A4
5.162%, 10/12/52 2,500 2,437
Morgan Stanley Capital I,
Ser 2006-WMC1, Cl A2A (F)
2.669%, 04/25/08 39 39
Oncor Electric Delivery Transition
Bond, Ser 2003-1, Cl A2
4.030%, 02/15/12 2,887 2,913
Orchid Structured Finance CDO,
Ser 2003-1A, Cl A1MM (F)
3.070%, 05/18/08 4,206 3,661
Ownit Mortgage Loan Asset-Backed
Securities Trust, Ser 2006-1,
Cl AF1 (G)
5.424%, 12/25/36 3,654 3,604
Residential Asset Mortgage Products,
Ser 2003-RS11, Cl MII1 (F)
3.694%, 04/25/08 188 175
Residential Asset Mortgage Products,
Ser 2003-RS2, Cl AII (F)
3.279%, 04/25/08 75 57
Residential Asset Mortgage Products,
Ser 2003-RS7, Cl AI6 (F)
5.340%, 04/01/08 651 659
Residential Asset Mortgage Products,
Ser 2007-RS1, Cl A1 (F)
2.679%, 04/09/08 4,671 4,449
Resmae Mortgage Loan Trust,
Ser 2006-1, Cl A2A (C) (F)
2.699%, 04/25/08 4,159 4,025
SLC Student Loan Trust,
Ser 2006-2, Cl B (F)
3.030%, 06/19/08 5,250 4,367
SLM Student Loan Trust,
Ser 2006-9, Cl B (F)
3.561%, 04/12/08 4,000 3,279
SLM Student Loan Trust,
Ser 2006-C, Cl C (F)
5.381%, 06/15/08 4,000 2,565
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 139
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Saco I Trust, Ser 2005-9, Cl A1 (F)
2.849%, 04/27/08 $ 1,199 $ 854
Saco I Trust, Ser 2005-WM3,
Cl A1 (F)
2.859%, 04/27/08 1,195 981
Saco I Trust, Ser 2006-6, Cl A (F)
2.729%, 04/25/08 4,108 1,486
Securitized Asset-Backed
Receivables LLC, Ser 2005-FR4,
Cl A3 (F)
2.799%, 04/25/08 99 99
Soundview Home Equity Loan Trust,
Ser 2005-OPT4, Cl M8 (F)
5.099%, 04/25/08 500 77
Start, Ser 2003-1, Cl X (E)
4.130%, 04/21/08 4,176 4,134
Start, Ser 2003-2, Cl X (E)
4.600%, 04/21/08 3,329 3,279
Structured Asset Investment Loan,
Ser 2003-BC4, Cl M2 (F)
5.599%, 04/25/08 192 145
Structured Asset Securities,
Ser 2004-19XS, Cl A2 (G)
4.370%, 04/01/08 435 434
Structured Asset Securities,
Ser 2006-GEL4, Cl A1 (F)
2.719%, 04/27/08 3,711 3,534
Structured Asset Securities,
Ser 2007-BC2, Cl A2 (F)
2.689%, 04/25/08 13,549 12,866
TMS SBA Loan Trust, Ser 1999-1,
Cl A (F)
3.800%, 04/15/08 198 177
--------------
204,294
--------------
Total Asset-Backed Securities
(Cost $436,099) ($ Thousands) 369,190
--------------
CORPORATE OBLIGATIONS -- 23.8%
CONSUMER DISCRETIONARY -- 1.7%
American Achievement
8.250%, 04/01/12 900 803
Boyd Gaming
7.125%, 02/01/16 350 282
6.750%, 04/15/14 570 467
CCH I LLC (J)
11.000%, 10/01/15 740 514
COX Communications
7.875%, 08/15/09 750 785
4.625%, 06/01/13 805 773
CSC Holdings
7.625%, 07/15/18 80 73
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Cablevision, B
6.896%, 03/30/13 $ 997 $ 928
Caesars Entertainment
8.125%, 05/15/11 540 454
Cengage Learning Acquisitions (C)
10.500%, 01/15/15 480 413
Clear Channel Communications
6.250%, 03/15/11 2,230 1,968
4.250%, 05/15/09 990 960
Comcast
9.000%, 09/01/08 1,150 1,168
6.500%, 01/15/15 985 1,009
6.500%, 01/15/17 720 735
5.850%, 11/15/15 465 459
5.450%, 11/15/10 525 541
5.300%, 01/15/14 2,340 2,297
Comcast Cable Communications
8.375%, 03/15/13 4,695 5,215
6.750%, 01/30/11 (J) 2,310 2,402
Community Health Systems
8.875%, 07/15/15 1,070 1,074
Daimler Finance LLC
8.500%, 01/18/31 470 537
7.300%, 01/15/12 1,400 1,495
6.500%, 11/15/13 5,170 5,450
Daimler Finance LLC MTN (F)
3.218%, 06/08/08 2,910 2,874
DirecTV Holdings
8.375%, 03/15/13 350 355
Eastman Kodak
7.250%, 11/15/13 2,740 2,617
Echostar DBS
7.125%, 02/01/16 1,970 1,837
Ford Motor
9.215%, 09/15/21 1,000 788
7.450%, 07/16/31 (J) 2,940 1,940
General Motors (J)
8.250%, 07/15/23 3,100 2,170
HCA
9.250%, 11/15/16 1,639 1,700
9.125%, 11/15/14 230 237
HCA PIK
9.625%, 11/15/16 50 52
Hertz
8.875%, 01/01/14 725 687
Home Depot
5.875%, 12/16/36 735 600
Idearc
8.000%, 11/15/16 1,280 829
Inn of the Mountain Gods
12.000%, 11/15/10 1,010 980
Lamar Media, Ser B
6.625%, 08/15/15 720 634
- --------------------------------------------------------------------------------
140 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MGM Mirage
8.500%, 09/15/10 $ 160 $ 165
7.625%, 01/15/17 (J) 1,440 1,310
Mandalay Resort Group (J)
9.500%, 08/01/08 440 440
Marriott International, Ser J
5.625%, 02/15/13 235 227
McDonald's
6.300%, 03/01/38 750 767
5.350%, 03/01/18 2,020 2,049
News America
6.200%, 12/15/34 65 62
R.H. Donnelley (C) (J)
8.875%, 10/15/17 415 259
River Rock Entertainment
9.750%, 11/01/11 930 925
Rogers Cable
5.500%, 03/15/14 430 406
Rogers Communications
7.875%, 05/01/12 550 601
6.750%, 03/15/15 1,015 1,011
Service Corp International
7.625%, 10/01/18 340 342
6.750%, 04/01/16 20 19
Station Casinos
7.750%, 08/15/16 1,495 1,204
Sun Media
7.625%, 02/15/13 470 444
Target
7.000%, 01/15/38 1,020 1,048
Time Warner
7.700%, 05/01/32 3,645 3,838
6.875%, 05/01/12 2,455 2,534
Time Warner Cable
5.850%, 05/01/17 1,015 972
Time Warner Entertainment
8.375%, 07/15/33 1,265 1,423
Viacom
6.875%, 04/30/36 500 482
5.750%, 04/30/11 495 500
Visteon (J)
8.250%, 08/01/10 920 752
Wal-Mart Stores
6.500%, 08/15/37 1,286 1,350
Walt Disney
4.700%, 12/01/12 730 749
Yum! Brands
6.875%, 11/15/37 1,255 1,201
--------------
74,182
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CONSUMER STAPLES -- 0.5%
Anheuser-Busch
5.050%, 10/15/16 $ 940 $ 948
CVS Caremark (C)
9.350%, 01/10/23 8,600 8,342
Estee Lauder
5.550%, 05/15/17 1,140 1,164
General Mills
6.000%, 02/15/12 750 786
5.650%, 09/10/12 945 983
Kellogg, Ser B
6.600%, 04/01/11 890 959
Kraft Foods
6.125%, 02/01/18 3,095 3,093
Kroger
5.000%, 04/15/13 1,050 1,056
Philip Morris Capital
7.500%, 07/16/09 1,750 1,775
Reynolds American
6.750%, 06/15/17 1,260 1,274
Schering-Plough
6.000%, 09/15/17 365 367
--------------
20,747
--------------
ENERGY -- 3.0%
Anadarko Finance, Ser B
7.500%, 05/01/31 3,610 4,062
6.750%, 05/01/11 20 21
Anadarko Petroleum
6.450%, 09/15/36 5,850 5,957
3.200%, 06/15/08 (F) 4,000 3,924
Canadian Natural Resources
5.850%, 02/01/35 800 735
5.700%, 05/15/17 265 268
Chesapeake Energy
6.375%, 06/15/15 500 485
Compagnie Generale de
Geophysique
7.750%, 05/15/17 110 112
7.500%, 05/15/15 1,205 1,223
Conoco
6.950%, 04/15/29 1,460 1,662
Conoco Funding
7.250%, 10/15/31 530 618
6.350%, 10/15/11 920 1,002
ConocoPhillips
5.900%, 10/15/32 1,090 1,114
Devon Financing
6.875%, 09/30/11 1,700 1,856
Dynegy Holdings
7.750%, 06/01/19 1,485 1,389
Edison Mission Energy
7.625%, 05/15/27 420 395
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 141
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
El Paso
7.000%, 06/15/17 $ 3,920 $ 4,032
6.950%, 06/01/28 6,750 6,311
El Paso MTN
7.800%, 08/01/31 967 993
7.750%, 01/15/32 (J) 1,830 1,880
El Paso Natural Gas
5.950%, 04/15/17 485 476
El Paso Performance-Linked
Trust (C)
7.750%, 07/15/11 5,470 5,593
Energy Future Holdings PIK (C)
11.250%, 11/01/17 17,640 17,464
Energy Transfer Partners
6.700%, 07/01/18 2,160 2,176
GAZ Capital (C)
6.510%, 03/07/22 3,460 3,084
6.212%, 11/22/16 4,740 4,396
Hess
7.875%, 10/01/29 1,070 1,270
7.300%, 08/15/31 4,380 4,935
Husky Energy
6.800%, 09/15/37 505 513
Husky Oil
7.550%, 11/15/16 830 952
Intergas Finance
6.375%, 05/14/17 220 193
Kerr-McGee
7.875%, 09/15/31 820 960
6.950%, 07/01/24 450 477
Kinder Morgan Energy Partners
7.125%, 03/15/12 90 96
6.750%, 03/15/11 580 608
6.300%, 02/01/09 570 581
6.000%, 02/01/17 3,485 3,468
5.950%, 02/15/18 2,378 2,355
5.850%, 09/15/12 1,015 1,041
5.000%, 12/15/13 2,735 2,697
Marathon Oil
6.000%, 10/01/17 510 517
5.900%, 03/15/18 1,610 1,618
OPTI Canada (C)
8.250%, 12/15/14 700 693
7.875%, 12/15/14 880 860
Peabody Energy, Ser B
6.875%, 03/15/13 300 305
Pemex Project Funding Master
Trust (J)
6.625%, 06/15/35 2,072 2,144
Petrobras International Finance
6.125%, 10/06/16 5,715 5,699
Ras Laffan LNG III (C)
6.332%, 09/30/27 1,305 1,191
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
SemGroup L.P. (C)
8.750%, 11/15/15 $ 200 $ 183
Shell International Finance
5.200%, 03/22/17 1,265 1,336
Sonat
7.625%, 07/15/11 2,850 2,946
Southern Natural Gas
8.000%, 03/01/32 170 186
Southern Natural Gas (C)
5.900%, 04/01/17 405 396
Suburban Propane Partners
6.875%, 12/15/13 735 717
Tennessee Gas Pipeline
7.625%, 04/01/37 830 869
Tosco
8.125%, 02/15/30 400 503
Transocean
6.000%, 03/15/18 1,500 1,543
Vastar Resources (J)
6.500%, 04/01/09 3,490 3,602
Weatherford International
7.000%, 03/15/38 510 519
6.800%, 06/15/37 370 366
6.350%, 06/15/17 1,320 1,365
5.950%, 06/15/12 785 818
Williams
8.750%, 03/15/32 5,860 6,768
7.750%, 06/15/31 (J) 1,880 1,998
Williams, Ser A
7.500%, 01/15/31 90 94
XTO Energy
7.500%, 04/15/12 850 941
--------------
129,551
--------------
FINANCIALS -- 11.2%
ABX Financing (C)
6.350%, 10/15/36 4,250 4,101
ASIF Global Financing XIX (C)
4.900%, 01/17/13 390 384
Ace INA Holdings
6.700%, 05/15/36 290 281
5.700%, 02/15/17 655 652
Aiful (C)
5.000%, 08/10/10 1,420 1,339
Allied Capital
6.625%, 07/15/11 3,420 3,589
Allied World Assurance
7.500%, 08/01/16 2,500 2,565
American Express
8.150%, 03/19/38 2,315 2,565
6.800%, 09/01/16 (F) 2,010 1,890
6.150%, 08/28/17 (J) 1,200 1,194
- --------------------------------------------------------------------------------
142 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
American General Finance MTN
6.900%, 12/15/17 $ 3,457 $ 3,378
American Honda Finance (C)
5.100%, 03/27/12 1,685 1,763
American International Group
6.250%, 03/15/37 2,560 2,074
4.700%, 10/01/10 225 226
American International Group MTN
5.850%, 01/16/18 4,340 4,259
4.950%, 03/20/12 (J) 880 865
BAC Capital Trust XIV (F)
5.630%, 03/15/12 130 95
BRE Properties+
7.450%, 01/15/11 2,430 2,516
Bank One
7.875%, 08/01/10 3,525 3,767
Bank of America
8.000%, 07/30/08 (J) 4,500 4,505
7.400%, 01/15/11 1,325 1,419
5.750%, 12/01/17 3,610 3,736
5.420%, 03/15/17 4,300 4,265
5.375%, 06/15/14 2,715 2,792
Bank of New York Mellon
4.500%, 04/01/13 610 614
Banponce Trust I, Ser A
8.327%, 02/01/27 2,590 2,535
Bear Stearns
7.250%, 02/01/18 7,370 7,616
6.400%, 10/02/17 500 494
5.350%, 02/01/12 (J) 3,280 3,154
4.500%, 10/28/10 1,470 1,385
Bunge Finance
4.375%, 12/15/08 425 427
Bunge Finance L.P. (J)
5.900%, 04/01/17 600 603
CIT Group
5.000%, 02/01/15 1,440 1,128
4.250%, 02/01/10 1,595 1,309
Capital One Bank
4.875%, 05/15/08 1,375 1,373
Capital One Capital III
7.686%, 08/15/36 1,361 1,057
Capital One Financial
6.750%, 09/15/17 510 485
China Development Bank
5.000%, 10/15/15 500 498
Citigroup
6.875%, 03/05/38 12,635 12,626
5.875%, 02/22/33 1,685 1,418
5.500%, 02/15/17 2,350 2,201
5.000%, 09/15/14 3,175 2,992
3.625%, 02/09/09 1,370 1,366
Citigroup Capital XXI
8.300%, 12/21/57 1,800 1,774
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Financial MTN
5.800%, 06/07/12 $ 975 $ 883
2.874%, 06/18/08 400 393
Countrywide Financial MTN (F)
2.819%, 06/26/08 6,070 5,576
Countrywide Financial MTN, Cl A (J)
3.345%, 05/05/08 700 695
Credit Suisse First Boston USA
4.875%, 08/15/10 2,210 2,268
Credit Suisse New York
5.750%, 02/15/18 5,765 5,751
DI Finance, Ser B
9.500%, 02/15/13 90 92
Delta Airlines, Ser 01-1
6.619%, 03/18/11 420 412
Depfa ACS Bank (C)
5.125%, 03/16/37 3,000 2,930
Deutsche Bank Capital Funding
Trust (C) (F)
5.628%, 01/19/49 2,760 2,389
Developers Divers Realty+
5.375%, 10/15/12 260 243
Discover Financial Services (C)
6.450%, 06/12/17 250 215
Dryden Investor Trust (C) (H)
7.157%, 07/23/08 891 896
East Lane Re (C) (F)
9.239%, 04/30/08 650 658
Equity One+
3.875%, 04/15/09 7,480 7,323
Export-Import Bank of Korea
5.500%, 10/17/12 2,790 2,861
Farmers Exchange Capital (C)
7.200%, 07/15/48 1,465 1,331
7.050%, 07/15/28 1,434 1,317
Farmers Insurance Exchange (C)
8.625%, 05/01/24 3,017 3,185
First Data
7.960%, 10/15/14 4,850 4,360
First Industrial L.P. MTN
7.500%, 12/01/17 1,800 1,720
Ford Motor Credit LLC
8.050%, 06/15/08 (F) 3,863 3,066
8.000%, 12/15/16 4,680 3,664
7.875%, 06/15/10 7,405 6,457
7.375%, 10/28/09 3,470 3,162
7.250%, 10/25/11 336 276
6.625%, 06/16/08 1,500 1,483
Forest City Enterprises
7.625%, 06/01/15 500 475
6.500%, 02/01/17 270 243
GE Global Insurance Holding
7.500%, 06/15/10 105 113
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 143
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GMAC LLC
7.750%, 01/19/10 $ 10,170 $ 8,797
7.250%, 03/02/11 3,520 2,772
6.875%, 09/15/11 6,120 4,684
5.850%, 01/14/09 (J) 1,680 1,567
5.625%, 05/15/09 (J) 14,680 13,378
5.276%, 04/25/08 (F) 5,668 3,787
5.125%, 05/09/08 1,480 1,471
General Electric Capital
6.375%, 05/15/08 (F) 5,870 5,744
5.875%, 01/14/38 1,300 1,253
General Electric Capital MTN (J)
5.625%, 09/15/17 610 625
5.250%, 10/19/12 1,265 1,314
General Electric Capital MTN,
Ser A
6.750%, 03/15/32 1,665 1,778
5.450%, 01/15/13 20 21
3.750%, 12/15/09 1,838 1,859
General Electric Capital MTN,
Ser A (J)
6.000%, 06/15/12 2,005 2,138
General Electric Capital MTN,
Ser G
6.150%, 08/07/37 747 746
Genworth Financial
5.650%, 06/15/12 1,280 1,284
4.950%, 10/01/15 1,595 1,456
Glen Meadow PassThrough (C) (F)
6.505%, 04/01/08 2,200 1,977
Glitnir Banki (C)
7.451%, 09/14/08 (F) 400 324
6.693%, 04/01/08 (F) 3,960 3,192
6.375%, 09/25/12 2,330 1,988
6.330%, 07/28/11 1,980 1,700
Goldman Sachs Capital I (J)
6.345%, 04/01/08 1,370 1,186
Goldman Sachs Capital II (F)
5.793%, 04/01/08 2,975 1,982
Goldman Sachs Group
6.750%, 10/01/37 1,930 1,796
6.150%, 04/01/18 495 494
5.950%, 01/18/18 440 436
5.450%, 11/01/12 2,170 2,198
5.350%, 01/15/16 660 644
5.250%, 10/15/13 3,565 3,545
HBOS Capital Funding (C) (F)
6.071%, 06/30/08 1,330 1,168
HBOS PLC
5.920%, 09/29/49 5,850 4,304
HBSC Holdings PLC
6.500%, 09/15/37 950 901
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
HSBC Finance
8.000%, 07/15/10 $ 3,475 $ 3,667
7.000%, 05/15/12 1,505 1,561
6.375%, 11/27/12 585 593
4.625%, 09/15/10 650 641
4.125%, 12/15/08 1,000 999
4.125%, 11/16/09 2,155 2,122
Hartford Financial Services Group
6.300%, 03/15/18 1,520 1,523
Health Care Properties+
6.000%, 01/30/17 4,000 3,266
5.650%, 12/15/13 1,985 1,771
Highwoods Realty L.P.+
7.500%, 04/15/18 1,142 1,063
Host Marriott L.P., Ser Q+ (J)
6.750%, 06/01/16 455 425
ICICI Bank
6.375%, 04/01/08 (F) 678 589
6.375%, 04/30/08 (C) (F) 2,320 1,995
6.375%, 04/30/22 960 835
ILFC E-Capital Trust II (C) (F) (J)
6.250%, 12/21/65 900 804
International Lease Finance MTN
5.750%, 06/15/11 2,900 2,918
5.650%, 06/01/14 770 739
4.750%, 01/13/12 1,176 1,138
3.313%, 05/24/08 (F) 925 876
JPMorgan Chase
6.000%, 10/01/17 1,585 1,652
6.000%, 01/15/18 775 808
5.750%, 01/02/13 6,435 6,722
JPMorgan Chase Capital XV
5.875%, 03/15/35 1,645 1,399
Kaupthing Bank
7.625%, 04/12/08 8,810 8,293
7.125%, 05/19/16 (C) 1,350 911
5.750%, 10/04/11 (C) 960 766
Korea Development Bank
4.625%, 09/16/10 1,000 1,019
Landsbanki Islands (C)
6.100%, 08/25/11 5,570 4,866
Lazard Group
7.125%, 05/15/15 2,880 2,801
6.850%, 06/15/17 2,011 1,883
Lehman Brothers Holdings
6.875%, 07/17/37 870 754
5.750%, 01/03/17 1,085 980
Lehman Brothers Holdings Capital Trust
VII MTN (F)
5.857%, 04/01/08 4,280 2,707
Lehman Brothers Holdings MTN
14.500%, 06/20/08 (F) 3,977 4,357
11.000%, 11/07/16 (F) 4,283 4,138
- --------------------------------------------------------------------------------
144 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
8.920%, 08/16/08 (F) $ 2,370 $ 2,131
6.750%, 12/28/17 5,820 5,595
6.200%, 09/26/14 1,160 1,144
5.625%, 01/24/13 3,220 3,131
5.500%, 04/04/16 520 488
5.250%, 02/06/12 1,220 1,177
Liberty Mutual Group (C)
7.500%, 08/15/36 (J) 1,258 1,192
6.500%, 03/15/35 1,525 1,394
Lincoln National
5.650%, 08/27/12 480 489
MUFG Capital Finance 1 (F)
6.346%, 04/25/08 1,670 1,361
Marathon Oil
6.600%, 10/01/37 1,006 1,003
Merna Reinsurance, Ser B (F)
4.446%, 04/03/08 3,750 3,421
Merrill Lynch
7.430%, 09/01/22 4 4
6.110%, 01/29/37 1,405 1,111
6.050%, 05/16/16 1,270 1,205
5.700%, 05/02/17 1,300 1,235
5.450%, 02/05/13 3,055 3,006
Merrill Lynch MTN (F)
8.950%, 05/18/08 1,790 1,781
8.680%, 05/02/08 3,160 3,148
Metlife
6.400%, 12/15/36 1,265 1,005
Metlife Capital Trust IV (C)
7.875%, 06/12/08 1,200 1,091
Morgan Stanley
6.625%, 04/01/18 3,150 3,150
5.375%, 10/15/15 675 641
5.300%, 03/01/13 1,213 1,209
4.750%, 04/01/14 1,220 1,133
Morgan Stanley MTN
5.950%, 12/28/17 1,985 1,918
4.401%, 04/18/08 (F) 1,200 1,081
Morgan Stanley MTN, Ser E
5.450%, 01/09/17 470 440
Morgan Stanley MTN, Ser G
5.750%, 08/31/12 2,320 2,362
NB Capital Trust IV
8.250%, 04/15/27 4,500 4,624
National Capital Trust II (C) (F)
5.486%, 06/17/08 2,231 1,891
National City Bank MTN
5.800%, 06/07/17 1,290 955
Nationwide Mutual Insurance (C)
6.600%, 04/15/34 690 599
North Front Pass-Through Trust
(C) (F)
5.810%, 06/15/08 1,975 1,950
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
PNC Bank
6.875%, 04/01/18 $ 355 $ 362
PNC Funding
5.250%, 11/15/15 1,370 1,293
Power Receivables Financial
6.290%, 01/01/12 3,151 3,297
6.290%, 01/01/12 (C) 259 271
Prime Property Funding+ (C)
5.600%, 06/15/11 1,780 1,780
5.500%, 01/15/14 1,850 1,745
Prologis+
5.500%, 04/01/12 985 987
5.250%, 11/15/10 455 459
Prudential Financial MTN
5.700%, 12/14/36 275 234
RSHB Capital (C)
6.299%, 05/15/17 4,140 3,835
Rabobank Capital Fund Trust II
(C) (F)
5.260%, 04/01/08 200 172
Rabobank Capital Fund Trust III
(C) (F)
5.254%, 06/30/08 420 349
Realogy (J)
12.375%, 04/15/15 2,950 1,313
Residential Capital LLC
8.500%, 06/01/12 100 49
8.000%, 05/22/08 1,720 843
6.598%, 04/17/08 (F) 350 199
6.178%, 05/22/08 (F) (J) 970 553
Resona Preferred Global
Securities (C) (F)
7.191%, 04/01/08 580 507
Royal Bank of Scotland Group PLC
(C) (F)
6.990%, 04/04/08 1,570 1,333
Royal Bank of Scotland Group PLC
MTN (F)
7.640%, 04/01/08 1,000 861
SLM MTN
5.625%, 08/01/33 695 474
5.050%, 11/14/14 690 502
SLM MTN, Ser A
5.375%, 05/15/14 4,905 3,681
5.000%, 10/01/13 5,645 4,249
5.000%, 04/15/15 120 86
SLM MTN, Ser CPI (F)
5.210%, 04/01/08 5,580 5,329
SLM MTN, Ser S (F) (K)
2.827%, 04/14/08 6,294 6,294
Shinsei Finance Cayman (C) (F) (J)
6.418%, 04/01/08 5,180 3,433
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 145
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Simon Property Group L.P.
5.750%, 05/01/12++ $ 1,860 $ 1,859
5.750%, 12/01/15+ 910 866
5.600%, 09/01/11+ 690 690
3.750%, 01/30/09 2,500 2,481
Small Business Administration,
Ser 2003-P10A, Cl 1
4.524%, 02/10/13 2,811 2,813
Standard Chartered (C)
6.400%, 09/26/17 715 730
Stingray Pass-Through Trust (C)
5.902%, 01/12/15 2,723 517
Sumitomo Mitsui Banking (C) (F)
5.625%, 04/15/08 2,620 2,216
Suntrust Preferred Capital I (F)
5.853%, 04/01/08 1,540 1,141
TNK-BP Finance
7.875%, 03/13/18 (C) 1,570 1,450
7.500%, 07/18/16 100 94
7.500%, 07/18/16 (C) 3,320 3,083
6.625%, 03/20/17 (C) 720 623
Toyota Motor Credit
5.500%, 12/15/08 120 121
Travelers (F)
6.250%, 05/15/08 1,470 1,297
Travelers MTN
5.375%, 06/15/12 370 384
Turanalem Finance
8.250%, 01/22/37 3,614 2,853
8.250%, 01/22/37 (C) 4,190 3,286
UDR MTN+
5.000%, 01/15/12 2,000 1,952
UDR+
5.500%, 04/01/14 2,000 1,926
US Bank MTN
5.920%, 05/25/12 4,352 4,520
Ventas Realty L.P.+
9.000%, 05/01/12 180 189
6.500%, 06/01/16 495 478
Wachovia
5.750%, 02/01/18 4,210 4,124
5.500%, 08/01/35 (J) 1,405 1,113
5.300%, 10/15/11 2,155 2,176
5.250%, 08/01/14 (J) 4,390 4,336
4.875%, 02/15/14 875 852
Wachovia Bank
6.000%, 11/15/17 4,700 4,590
Wachovia Capital Trust III (F)
5.800%, 04/15/08 3,300 2,351
Washington Mutual
4.625%, 04/01/14 3,180 2,242
Washington Mutual Preferred
Funding (C) (F)
6.534%, 04/01/08 1,600 843
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Wells Fargo
5.375%, 02/07/35 $ 2,085 $ 1,892
4.375%, 01/31/13 2,000 1,990
Wells Fargo Capital X (J)
5.950%, 12/15/36 760 685
Westfield Capital (C)
4.375%, 11/15/10 2,103 2,062
Westfield Group+ (C)
5.400%, 10/01/12 962 936
Woodbourne Pass-Through Trust
(C) (F)
4.158%, 04/08/08 2,500 2,300
ZFS Finance USA Trust I (C) (F)
6.150%, 04/15/08 750 663
ZFS Finance USA Trust II (C) (F)
6.450%, 04/15/08 772 702
iStar Financial, Ser 1+
5.875%, 03/15/16 795 556
--------------
490,339
--------------
HEALTH CARE -- 0.8%
Abbot Laboratories
5.600%, 11/30/17 755 790
Aetna
6.000%, 06/15/16 1,570 1,606
Astrazeneca PLC
5.400%, 09/15/12 2,455 2,590
Bristol-Myers Squibb
5.875%, 11/15/36 560 542
Coventry Health Care
5.950%, 03/15/17 1,630 1,540
Davita
6.625%, 03/15/13 1,065 1,033
FMC Finance III
6.875%, 07/15/17 1,600 1,600
HCA
7.500%, 11/06/33 (J) 3,380 2,611
6.500%, 02/15/16 (J) 749 631
6.250%, 02/15/13 119 104
5.750%, 03/15/14 3,090 2,549
Schering-Plough
6.550%, 09/15/37 1,130 1,092
Tenet Healthcare
9.875%, 07/01/14 4,115 3,981
7.375%, 02/01/13 (J) 336 300
Teva Pharmaceutical Finance LLC
6.150%, 02/01/36 830 809
5.550%, 02/01/16 475 478
UnitedHealth Group
6.875%, 02/15/38 1,010 965
6.000%, 06/15/17 860 840
- --------------------------------------------------------------------------------
146 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
WellPoint
6.800%, 08/01/12 $ 1,000 $ 1,069
5.875%, 06/15/17 3,215 3,147
5.250%, 01/15/16 465 437
Wyeth
6.700%, 03/15/11 3,681 3,979
5.950%, 04/01/37 2,680 2,618
--------------
35,311
--------------
INDUSTRIALS -- 2.2%
Aetna
6.750%, 12/15/37 970 924
Air 2 US (C)
8.027%, 10/01/19 765 697
America West Airlines, Ser 1999-1
7.930%, 01/02/19 7,918 8,037
American Airlines, Ser 1999-1
7.024%, 10/15/09 3,630 3,605
Burlington North Santa Fe
5.750%, 03/15/18 1,490 1,494
Burlington Northern Santa Fe
6.750%, 07/15/11 1,610 1,721
Cedar Brakes I LLC (C)
8.500%, 02/15/14 1,306 1,434
Cedar Brakes II LLC (C)
9.875%, 09/01/13 2,431 2,729
Complete Production Services
8.000%, 12/15/16 1,005 965
Continental Airlines, Ser 1997, Cl1A
7.461%, 04/01/15 1,898 1,765
Continental Airlines, Ser 1997, Cl4A
6.900%, 01/02/18 1,652 1,590
Continental Airlines, Ser 1999-2
7.256%, 03/15/20 922 907
Continental Airlines, Ser A
5.983%, 04/19/22 1,700 1,515
DRS Technologies
6.625%, 02/01/16 505 494
Delhaize Group
6.500%, 06/15/17 925 955
Delta Air Lines (C)
6.821%, 08/10/22 1,848 1,782
Delta Air Lines, Ser 2001-1
7.111%, 09/18/11 6,250 6,156
Diageo Capital PLC
5.750%, 10/23/17 485 497
5.200%, 01/30/13 1,555 1,609
FedEx, Ser A3
8.400%, 03/23/10 498 530
General Electric
5.000%, 02/01/13 1,140 1,181
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Hutchison Whampoa International
(C)
7.450%, 11/24/33 $ 1,745 $ 1,793
Kinder Morgan Energy Partners
MTN
6.950%, 01/15/38 190 186
L-3 Communications, Ser B
6.375%, 10/15/15 520 508
Lockheed Martin
4.121%, 03/14/13 515 516
News America (C)
6.650%, 11/15/37 180 182
Nordstrom
7.000%, 01/15/38 1,955 1,935
Pemex Project Funding Master
Trust (C)
6.625%, 06/15/35 715 740
Petrobras International Finance
5.875%, 03/01/18 2,770 2,666
Service International
7.500%, 04/01/27 670 569
Systems 2001 Asset Trust (C)
6.664%, 09/15/13 1,363 1,437
Taqa Abu Dhabi National Energy (C)
5.620%, 10/25/12 5,381 5,549
Teekay
8.875%, 07/15/11 1,785 1,888
Terex
7.375%, 01/15/14 320 317
Tyco International Group
7.000%, 06/15/28 230 221
6.875%, 01/15/29 7,535 7,367
6.750%, 02/15/11 3,470 3,656
6.375%, 10/15/11 8,830 8,799
6.125%, 11/01/08 230 232
6.125%, 01/15/09 80 81
6.000%, 11/15/13 915 919
United Air Lines, Ser A-3 (H) (I)
8.390%, 01/21/11 578 --
United Parcel Service
4.500%, 01/15/13 5,270 5,460
United Technologies
6.500%, 06/01/09 2,365 2,469
Waste Management
7.125%, 12/15/17 5,305 5,891
7.100%, 08/01/26 1,710 1,784
--------------
95,752
--------------
INFORMATION TECHNOLOGY -- 0.2%
Corning
7.250%, 08/15/36 485 523
Electronic Data Systems
7.125%, 10/15/09 3,680 3,753
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 147
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Freescale Semiconductor
8.875%, 12/15/14 $ 280 $ 219
Hewlett-Packard
5.500%, 03/01/18 1,010 1,035
4.500%, 03/01/13 987 1,001
NXP Funding LLC
9.500%, 10/15/15 (J) 365 300
7.875%, 10/15/14 110 101
Sungard Data Systems (J)
10.250%, 08/15/15 725 729
Xerox
6.750%, 02/01/17 240 253
5.500%, 05/15/12 1,025 1,034
--------------
8,948
--------------
MATERIALS -- 0.3%
CodelCo (C)
4.750%, 10/15/14 960 957
Freeport-McMoRan Copper & Gold
8.375%, 04/01/17 1,450 1,539
Georgia Gulf (J)
9.500%, 10/15/14 220 170
Graham Packaging
9.875%, 10/15/14 (J) 210 176
8.500%, 10/15/12 590 531
Lafarge
6.150%, 07/15/11 770 785
PPG Industries
6.650%, 03/15/18 435 461
5.750%, 03/15/13 435 449
Potash of Saskatchewan
4.875%, 03/01/13 1,220 1,242
Steel Dynamics
7.375%, 11/01/12 (C) 290 293
6.750%, 04/01/15 810 794
US Steel
6.050%, 06/01/17 245 227
Vale Overseas
8.250%, 01/17/34 150 167
6.875%, 11/21/36 5,750 5,610
Westlake Chemicals
6.625%, 01/15/16 610 534
Weyerhaeuser
6.750%, 03/15/12 370 389
--------------
14,324
--------------
SOVEREIGN -- 0.7%
Canadian Government
4.000%, 12/01/31 795 1,138
Deutsche Bundesrepublik, Ser 04
3.750%, 01/04/15 6,320 10,013
Emirate of Abu Dhabi (C)
5.500%, 08/02/12 2,400 2,589
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Quebec Province
5.125%, 11/14/16 $ 2,295 $ 2,481
Republic of Brazil (J)
6.000%, 01/17/17 2,375 2,421
Republic of Italy
5.375%, 06/15/33 629 660
Russian Federation (G)
7.500%, 03/31/30 1,676 1,930
United Mexican States
6.050%, 01/11/40 990 988
5.625%, 01/15/17 (J) 804 845
United Mexican States MTN, Ser A
7.500%, 04/08/33 176 213
6.750%, 09/27/34 5,858 6,535
5.875%, 01/15/14 720 770
--------------
30,583
--------------
TELECOMMUNICATION SERVICES -- 1.3%
AT&T
6.500%, 09/01/37 1,380 1,365
6.450%, 06/15/34 625 611
5.500%, 02/01/18 2,660 2,604
5.100%, 09/15/14 6,245 6,204
4.125%, 09/15/09 795 799
AT&T Mobility LLC
6.500%, 12/15/11 1,455 1,544
America Movil
6.375%, 03/01/35 1,186 1,148
6.125%, 11/15/37 610 565
5.625%, 11/15/17 1,710 1,691
BellSouth
6.000%, 11/15/34 850 798
4.750%, 11/15/12 170 170
British Telecom PLC
8.375%, 12/15/10 1,250 1,375
5.950%, 01/15/18 1,786 1,731
Citizens Communications
7.875%, 01/15/27 555 476
7.125%, 03/15/19 370 324
Deutsche Telekom International
Finance
8.250%, 06/15/30 510 612
8.000%, 06/15/10 925 989
5.750%, 03/23/16 1,920 1,898
France Telecom
7.750%, 03/01/11 1,500 1,627
Intelsat
9.000%, 06/15/16 75 76
Intelsat Bermuda
9.250%, 06/15/16 325 327
Koninklijke
8.000%, 10/01/10 650 698
Level 3 Financing (J)
9.250%, 11/01/14 690 564
- --------------------------------------------------------------------------------
148 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Motorola
5.375%, 11/15/12 $ 1,190 $ 1,112
New Cingular Wireless Services
8.125%, 05/01/12 1,595 1,785
New Jersey Bell Telephone
7.850%, 11/15/29 1,135 1,248
Qwest
7.500%, 10/01/14 2,230 2,174
5.625%, 11/15/08 430 428
Qwest Communications
International (F) (J)
6.565%, 05/11/08 545 540
Rogers Communications
6.375%, 03/01/14 2,070 2,052
Sprint Capital
8.750%, 03/15/32 660 558
8.375%, 03/15/12 3,430 3,173
6.900%, 05/01/19 100 79
Telecom Italia Capital
6.200%, 07/18/11 1,730 1,716
5.250%, 11/15/13 790 738
5.250%, 10/01/15 90 82
4.950%, 09/30/14 1,250 1,138
Telefonica Emisiones
5.984%, 06/20/11 2,265 2,332
Telefonica Europe
7.750%, 09/15/10 1,925 2,065
Verizon Communications
6.400%, 02/15/38 890 869
Verizon Communications
5.500%, 04/01/17 475 468
5.500%, 02/15/18 1,500 1,461
Verizon New Jersey, Ser A
5.875%, 01/17/12 2,175 2,242
Verizon New York, Ser A
6.875%, 04/01/12 660 694
Vodafone Group PLC
5.625%, 02/27/17 585 569
5.350%, 02/27/12 400 405
Windstream
8.625%, 08/01/16 1,460 1,442
--------------
57,566
--------------
UTILITIES -- 1.9%
AES
8.000%, 10/15/17 5,690 5,761
7.750%, 10/15/15 1,040 1,048
Allegheny Energy Supply (C)
8.250%, 04/15/12 880 950
Arizona Public Services
8.000%, 12/30/15 2,972 3,507
CMS Energy
6.550%, 07/17/17 860 832
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Carolina Power & Light
6.300%, 04/01/38 $ 515 $ 528
Centerpoint Energy
5.875%, 06/01/08 3,500 3,505
Commonwealth Edison
6.450%, 01/15/38 985 949
6.150%, 09/15/17 1,230 1,263
DPL
6.875%, 09/01/11 2,405 2,567
Detroit Edison, Ser A
6.625%, 06/01/36 990 1,028
Dominion Resources
5.700%, 09/17/12 3,870 4,053
4.750%, 12/15/10 1,895 1,939
Duke Energy
6.000%, 01/15/38 1,475 1,470
Duke Energy Carolinas
6.250%, 01/15/12 1,875 2,014
5.625%, 11/30/12 4,000 4,253
Edison Mission Energy
7.200%, 05/15/19 1,160 1,145
7.000%, 05/15/17 880 876
Energy Future Holdings (C)
10.875%, 11/01/17 40 40
Exelon
5.625%, 06/15/35 2,720 2,392
Exelon Generation LLC (C)
6.950%, 06/15/11 1,825 1,936
FirstEnergy, Ser B
6.450%, 11/15/11 510 534
FirstEnergy, Ser C
7.375%, 11/15/31 5,845 6,358
Intergas Finance (C) (J)
6.375%, 05/14/17 3,485 3,041
Midamerican Energy Holdings
5.750%, 04/01/18 2,235 2,257
NRG Energy
7.250%, 02/01/14 1,610 1,590
Nevada Power, Ser A
8.250%, 06/01/11 2,050 2,213
Northern States Power
5.250%, 03/01/18 770 783
Pacific Gas & Electric
6.350%, 02/15/38 1,010 1,027
6.050%, 03/01/34 2,110 2,068
5.800%, 03/01/37 800 757
Pacificorp
6.250%, 10/15/37 1,370 1,384
Power Contract Financing (C)
6.256%, 02/01/10 1,924 1,974
Progress Energy
6.850%, 04/15/12 715 774
Public Service Colorado
7.875%, 10/01/12 1,230 1,418
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 149
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Southern California Edison
6.000%, 01/15/34 $ 1,505 $ 1,518
Southern California Edison,
Ser 08-A
5.950%, 02/01/38 1,940 1,944
Swepco Capital Trust I (F)
5.250%, 04/01/08 4,255 4,298
TXU, Ser P
5.550%, 11/15/14 540 422
TXU, Ser Q
6.500%, 11/15/24 1,320 937
TXU, Ser R (J)
6.550%, 11/15/34 4,955 3,498
Virginia Electric & Power
6.350%, 11/30/37 585 598
5.100%, 11/30/12 1,235 1,283
--------------
82,732
--------------
Total Corporate Obligations
(Cost $1,073,561) ($ Thousands) 1,040,035
--------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 3.8%
FHLB
5.000%, 09/18/09 4,070 4,232
4.050%, 01/21/09 2,000 2,000
3.310%, 01/23/09 2,000 2,006
2.655%, 04/02/08 (E) 23,240 23,238
2.320%, 04/23/08 (E) 9,370 9,357
2.310%, 04/25/08 (E) 3,527 3,522
2.219%, 04/28/08 (E) 2,949 2,944
2.123%, 04/18/08 (E) 5,925 5,919
1.883%, 04/16/08 (E) 33,210 33,184
FHLMC
5.625%, 11/23/35 4,830 5,030
4.625%, 05/28/13 (J) 3,750 3,760
4.300%, 04/21/08 (E) 525 524
2.911%, 04/28/08 (E) 450 449
2.526%, 08/18/08 (E) 225 223
2.214%, 06/27/08 (E) 450 448
2.081%, 06/23/08 (E) 546 543
FHLMC, Ser 3117, Cl PC
5.000%, 06/15/31 4,875 4,982
FICO STRIPS, Ser D-P (E)
5.448%, 09/26/19 4,904 2,955
FNMA
6.250%, 02/01/11 (J) 8,000 8,606
5.125%, 04/15/11 (J) 4,910 5,237
2.029%, 06/25/08 (E) 74 74
1.825%, 12/15/08 (E) 6,319 6,229
2.868%, 04/23/08 (E) 38,600 38,558
2.732%, 04/25/08 (E) 2,550 2,547
2.573%, 08/25/08 (E) 125 124
4.397%, 04/16/08 (E) 975 974
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
4.280%, 05/09/08 (E) $ 11 $ 11
4.263%, 05/07/08 (E) 89 89
4.208%, 04/07/08 (E) 500 500
--------------
Total U.S. Government Agency Obligations
(Cost $167,230) ($ Thousands) 168,265
--------------
CASH EQUIVALENTS** -- 11.1%
Evergreen Select Money Market
Fund, Institutional Class,
3.270% 809,409 809
SEI Daily Income Trust, Prime
Obligation Fund, Cl A,
3.190%++ 145,382,636 145,383
SEI Liquidity Fund L.P.,
3.200%++ (K) 337,295,990 337,296
--------------
Total Cash Equivalents
(Cost $483,488) ($ Thousands) 483,488
--------------
U.S. TREASURY OBLIGATIONS -- 7.5%
U.S. Treasury Bill
1.349%, 05/22/08 38 38
U.S. Treasury Bonds TIPS (D) (J)
2.375%, 04/15/11 11,079 11,903
U.S. Treasury Bonds
8.875%, 02/15/19 (J) 4,397 6,392
8.125%, 08/15/19 (J) 4,060 5,656
7.125%, 02/15/23 (J) 7,800 10,336
6.250%, 08/15/23 to 05/15/30 (J) 5,252 6,634
6.125%, 11/15/27 (J) 11,477 14,248
5.375%, 02/15/31 (J) 6,923 8,007
5.250%, 02/15/29 2,670 3,009
5.000%, 05/15/37 (J) 1,528 1,709
4.500%, 03/31/12 110 119
4.500%, 02/15/36 (J) 2,236 2,310
3.875%, 04/15/29 (D) 4,658 6,297
3.625%, 04/15/28 (D) (J) 13,133 17,030
3.375%, 01/15/12 (D) 368 415
2.500%, 07/15/16 (D) 6,622 7,460
2.375%, 01/15/25 to 01/15/27 (D) (J) 39,942 43,489
2.000%, 01/15/26 (D) (J) 1,669 1,720
1.875%, 07/15/15 (D) (J) 17,916 19,339
U.S. Treasury Bonds TIPS (J)
1.750%, 01/15/28 4,662 4,622
U.S. Treasury Notes
5.125%, 05/15/16 (J) 7,410 8,442
4.750%, 08/15/17 to 02/15/37 (J) 12,046 13,091
4.750%, 05/31/12 10 11
4.625%, 07/31/12 (J) 1,340 1,465
4.500%, 05/15/10 873 927
4.250%, 09/30/12 to 11/15/17 (J) 54,044 58,018
4.250%, 08/15/15 1,313 1,430
3.625%, 12/31/12 to 05/15/13 (J) 39,717 41,862
- --------------------------------------------------------------------------------
150 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Face Amount
($ Thousands)/
Notational Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
3.500%, 02/15/18 $ 3,473 $ 3,493
2.000%, 02/28/10 1,399 1,409
3.250%, 12/31/09 (J) 688 707
U.S. Treasury STRIPS
5.797%, 11/15/21 (A) (J) 43,310 23,780
4.448%, 11/15/27 5,282 2,172
--------------
Total U.S. Treasury Obligations
(Cost $302,468) ($ Thousands) 327,540
--------------
PURCHASED SWAPTIONS -- 0.1%
U.S. Swaption Call, Merrill Lynch 66,431 1,769
U.S. Swaption Call, Merrill Lynch 8,765 1,001
--------------
Total Purchased Swaptions
(Cost $719) ($ Thousands) 2,770
--------------
COMMERCIAL PAPER (A) -- 1.0%
FINANCIAL SERVICES -- 0.9%
BNP Paribas Finance
2.670%, 04/28/08 8,450 8,433
Citigroup Funding
2.958%, 04/11/08 10,765 10,756
General Electric Capital
2.326%, 04/25/08 8,455 8,442
Rabobank USA Financial
2.978%, 04/07/08 1,100 1,099
2.625%, 04/28/08 2,080 2,076
UBS Finance
3.023%, 04/04/08 8,500 8,498
--------------
39,304
--------------
UTILITIES -- 0.1%
National Rural Utility
2.320%, 04/23/08 3,865 3,860
--------------
Total Commercial Paper
(Cost $43,164) ($ Thousands) 43,164
--------------
CERTIFICATES OF DEPOSIT (F) -- 0.1%
JPMorgan Chase
8.750%, 05/28/08 2,152 2,141
7.590%, 06/28/08 1,960 1,923
--------------
Total Certificates of Deposit
(Cost $4,017) ($ Thousands) 4,064
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
LOAN PARTICIPATIONS -- 0.9%
Adesa, Ser B
7.080%, 09/22/13 $ 997 $ 873
Allison Transmission, Ser B
5.750%, 08/07/14 2,000 1,753
Alltel Wireless
7.593%, 11/15/14 500 451
Aramark Facilities Deposit
2.000%, 01/26/14 69 64
Aramark, Strip
6.705%, 01/31/14 931 868
Ashmore Energy
(Synthetic Revolving Deposits)
8.198%, 03/07/12 144 122
Bausch & Lomb
8.143%, 05/26/08 800 776
Bausch & Lomb (Unfunded)
0.000%, 04/11/15 200 --
Berry Plastics Holding
6.706%, 04/03/15 1,000 850
Charter Communications
6.990%, 03/15/14 1,500 1,266
Cumulus Media
6.962%, 06/07/13 1,000 755
DAE Aviation Holdings, Ser B1
0.000%, 07/31/14 379 365
DAE Aviation Holdings, Ser B2
0.000%, 07/31/14 287 276
DaimlerChrysler Financial
9.360%, 08/03/12 1,000 828
Delphi, 1st Lien
8.625%, 07/01/08 750 738
Dollar General
7.710%, 07/15/14 1,000 894
Dubai Aerospace Enterprise, Strip
0.000%, 07/21/09 335 330
Education Management, Ser C
7.000%, 06/15/13 1,500 1,299
Enterprise GP Holdings
7.494%, 05/05/08 1,000 982
Freescale Semiconductor
7.330%, 12/01/13 1,000 843
General Motors, Ser B
7.585%, 12/15/13 1,000 875
Georgia-Pacific, Ser B
6.868%, 12/23/13 1,496 1,388
Harrah's
6.244%, 01/28/15 750 687
Hertz
6.894%, 12/21/12 848 793
Hertz LOC (Synthetic)
6.660%, 02/08/12 152 142
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 151
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Iasis
7.066%, 05/01/14 $ 697 $ 621
Iasis (Delayed Draw)
7.703%, 05/01/14 177 158
Iasis (Synthetic)
7.024%, 05/01/14 64 57
Iasis Healthcare
(Unfunded, Delayed Draw)
0.000%, 03/15/14 62 7
Iconix, Ser B
7.080%, 05/01/14 1,000 920
Idearc, Ser B
7.200%, 11/01/14 1,000 799
Insight Midwest Holdings LLC
6.480%, 04/06/14 1,000 907
Las Vegas Sands LLC, Strip
(Delayed Draw)
0.000%, 05/08/14 167 148
Las Vegas Sands LLC, Strip, Ser B
6.950%, 05/08/14 1,833 1,616
Lodgenet Entertainment
7.200%, 04/04/14 1,000 824
Manor Care
0.000%, 11/15/14 1,000 870
New Page
8.688%, 11/05/14 1,000 979
Nuveen Investments
6.125%, 11/01/14 635 572
Petco Animal Supplies, Ser B
7.328%, 11/15/13 1,000 886
Prisma Energy International
8.198%, 03/30/14 1,356 1,153
Regal Cinemas, Ser B
6.330%, 10/19/10 1,000 929
Royalty Pharma
7.950%, 05/15/14 1,000 989
Sunguard, Ser B
7.356%, 08/15/12 1,250 1,160
TXU
8.622%, 10/10/14 2,000 1,820
Telesat Canada (Unfunded), Ser B
0.000%, 10/15/14 118 9
Telesat Canada, Ser B
7.472%, 10/15/14 1,382 1,279
Tribune, Ser X
7.396%, 05/30/09 1,000 881
UPC Financing Partnership, Ser N
7.130%, 03/30/14 1,000 845
United Airlines
7.001%, 01/12/14 1,000 794
Univision Communications, Ser B
0.000%, 09/15/14 2,500 1,965
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Visteon, Ser B
8.380%, 06/20/13 $ 1,000 $ 773
Yankee Candle
7.200%, 01/15/14 1,000 872
--------------
Total Loan Participations
(Cost $45,215) ($ Thousands) 41,051
--------------
MUNICIPAL BONDS -- 0.4%
Clark County Nevada School District
GO, Ser C, MBIA,
Callable 06/15/12 @ 100
5.000%, 06/15/22 890 967
Galveston County Texas GO, Ser C,
AMBAC,
Callable 02/01/13 @100
5.000%, 02/01/28 1,435 1,564
Greenville County School District I
RB, Callable 12/01/12 @ 101
5.500%, 12/01/28 890 1,000
Harris County Texas GO, Flood
Control District Contract,
Callable 10/01/2013 @ 100
5.250%, 10/01/20 2,005 2,217
Houston Texas Water And Sewer
System RB, FSA,
Callable 12/01/2012 @ 100,
5.000%, 12/01/30 1,345 1,465
Massachusetts State GO,
Consolidated Loan, Ser B, AMBAC,
Pre-Refunded 08/01/14 @ 100
5.000%, 08/01/22 810 890
Massachusetts State GO,
Consolidated Loan, Ser B, FSA,
Pre-Refunded 03/01/12 @ 100
5.500%, 03/01/17 765 837
Massachusetts State GO,
Consolidated Loan, Ser B, FSA,
Pre-Refunded 03/01/12 @ 100
5.500%, 03/01/18 750 820
Massachusetts State GO,
Consolidated Loan, Ser E, FSA,
Pre-Refunded 01/01/13 @ 100
5.250%, 01/01/18 1,260 1,379
Massachusetts State Special
Obligation RB, Consolidated Loan,
Ser A, FGIC,
Pre-Refunded 6/01/12 @ 100
5.375%, 06/01/19 630 684
Metropolitan Atlanta Rapid Transit
Authority RB, Ser 2nd Indenture,
MBIA,
Pre-Refunded 01/01/13 @ 100
5.000%, 07/01/28 450 491
- --------------------------------------------------------------------------------
152 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Face Amount
($ Thousands)/
Notional Amount
($ Thousands)/ Market Value
Description Contracts ($ Thousands)
- --------------------------------------------------------------------------------
New Jersey Economic Development
Authority RB, School Facilities
Construction, Ser C, MBIA,
Pre-Refunded 06/15/12 @ 100
5.250%, 06/15/17 $ 445 $ 488
Sacramento County Sanitation
District RB, Ser A, AMBAC,
Pre-Refunded 12/01/14 @ 100
5.000%, 12/01/35 1,695 1,892
University of Texas System RB,
Finance, Ser D,
Pre-Refunded 08/15/14 @ 100
5.000%, 08/15/24 1,315 1,441
--------------
Total Municipal Bonds
(Cost $16,098) ($ Thousands) 16,135
--------------
REPURCHASE AGREEMENT (L) -- 2.7%
Deutsche Bank
2.250%, dated 03/31/08, to be
repurchased on 04/01/08,
repurchase price $117,407,338
(collateralized by a U.S. Government
obligation, par value $109,882,000,
6,250%, 02/01/11; with total market
value $119,747,350) 117,400 117,400
--------------
Total Repurchase Agreement
(Cost $117,400) ($ Thousands) 117,400
--------------
Total Investments -- 124.6%
(Cost $5,522,781) ($ Thousands) $ 5,435,032
==============
WRITTEN SWAPTIONS -- (0.1)%
U.S. Swaption Call, Merrill Lynch (9,240) (36)
U.S. Swaption Call, Merrill Lynch (33,000) (2,326)
--------------
Total Written Swaptions
(Premiums Received $(719)) ($ Thousands) (2,362)
--------------
WRITTEN OPTIONS -- 0.0%
June 2008 90 Day Euro Call,
Expires 06/19/08,
Strike Price: $95.875* (26) (121)
June 2008 90 Day Euro Put,
Expires 06/17/08,
Strike Price: $96.25* (142) (1)
June 2008 90 Day Euro Put,
Expires 06/19/08,
Strike Price: $95.875* (149) (1)
- --------------------------------------------------------------------------------
Market Value
Description Contracts ($ Thousands)
- --------------------------------------------------------------------------------
June 2008 U.S. 10 Year Treasury
Note Call, Expires: 05/27/08,
Strike Price: $117.00* $ (111) $ (306)
June 2008 U.S. 10 Year Treasury
Note Call, Expires: 05/27/08,
Strike Price: $118.00* (70) (149)
June 2008 U.S. 10 Year Treasury
Note Call, Expires: 05/27/08,
Strike Price: $119.00* (135) (217)
June 2008 U.S. 10 Year Treasury
Note Call, Expires: 05/27/08,
Strike Price: $121.00* (161) (136)
June 2008 U.S. 10 Year Treasury
Note Call, Expires: 05/27/08,
Strike Price: $123.00* (170) (72)
June 2008 U.S. 10 Year Treasury
Note Put, Expires: 05/27/08,
Strike Price: $115.50* (200) (88)
March 2009 90 Day Euro Call,
Expires 03/17/09,
Strike Price: $97.75* (139) (156)
May 2008 U.S. 10 Year Treasury
Note Put, Expires: 05/27/08,
Strike Price: $113.00* (105) (15)
May 2008 U.S. 10 Year Treasury
Note Put, Expires: 05/27/08,
Strike Price: $116.50* (151) (99)
May 2008 U.S. 10 Year Treasury
Note Put, Expires: 05/27/08,
Strike Price: $110.00* (135) (4)
--------------
Total Written Options
(Premiums Received $(1,243)) ($ Thousands) (1,365)
--------------
A summary of the open futures contracts held by the Fund at March 31, 2008, 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)
- --------------------------------------------------------------------------------
30-Day Federal Fund (8) Mar-2008 $ 59
90-Day Euro$ 71 Mar-2010 265
90-Day Euro$ (5) Mar-2011 (20)
90-Day Euro$ 92 Mar-2009 395
90-Day Euro$ (270) Jun-2010 (1,138)
90-Day Euro$ (5) Jun-2011 (19)
90-Day Euro$ 1,192 Jun-2008 6,827
90-Day Euro$ 771 Jun-2009 2,171
90-Day Euro$ 3 Sep-2010 12
90-Day Euro$ 559 Sep-2008 601
90-Day Euro$ 393 Sep-2009 1,073
90-Day Euro$ 11 Dec-2010 40
90-Day Euro$ (115) Dec-2008 (759)
90-Day Euro$ 76 Dec-2009 316
3-Month Euro Euribor 196 Jun-2008 (126)
10-Year Swap 27 Jun-2008 41
Eurx Euro-Bond 404 Jun-2008 (614)
U.S. 2-Year Note 322 Jun-2008 453
U.S. 5-Year Note 3,781 Jun-2008 6,829
U.S. 10-Year Note (1,345) Mar-2008 (3,749)
U.S. Long Treasury Bond 260 Mar-2008 981
---------------
$ 13,638
---------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 153
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2008
A summary of the outstanding forward foreign currency contracts held by the Fund
at March 31, 2008, 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)
- --------------------------------------------------------------------------------
05/07/08 EUR 20,545 USD 30,255 $ (2,251)
05/07/08 GBP 6,740 USD 13,314 (44)
05/07/08 USD 18,694 JPY 1,981,542 1,264
--------------
$ (1,031)
--------------
- --------------------------------------------------------------------------------
CREDIT DEFAULT SWAPS
- --------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Fund receives monthly payment of
0.417% (5.00% per annum) times
the notional amount of the
ABX.HE.BBB-07-2 Index. Upon a
defined credit event, Fund
pays the notional amount and
takes receipt of the defined
deliverable obligation.
(Counterparty: Citigroup) 01/25/38 $ (1,750) $ (523)
Fund receives monthly payment of
0.16% (1.92% per annum) times
the notional amount of the
ABX.HE.AA 07-2 Index. Upon a
defined credit event, Fund
pays the notional amount and
takes receipt of the defined
deliverable obligation.
(Counterparty: Citigroup) 01/25/38 (3,560) (2,408)
Fund receives monthly payment of
0.16% (1.92% per annum) times
the notional amount of the
ABX.HE.AA 07-2 Index. Upon a
defined credit event, Fund
pays the notional amount and
takes receipt of the defined
deliverable obligation.
(Counterparty: Citigroup) 01/25/38 (1,435) (1,019)
Fund receives monthly payment of
0.417% (5.00% per annum)
times the notional amount of
the ABX-HE-BBB 07-2. Upon a
defined credit event, Fund
pays the notional amount and
takes receipt of the defined
deliverable obligation.
(Counterparty: Lehman
Brothers) 01/25/38 (2,250) (686)
Fund receives monthly payment of
0.16% (1.92% per annum) times
the notional amount of the
ABX-HE-AA 07-2. Upon a
defined credit event, Fund
pays the notional amount and
takes receipt of the defined
deliverable obligation.
(Counterparty: Citigroup) 01/25/38 (140) (101)
Fund receives monthly payment of
0.16% (1.92% per annum) times
the notional amount of the
ABX.HE.AA 07-2 Index. Upon a
defined credit event, Fund
pays the notional amount and
takes receipt of the defined
deliverable obligation.
(Counterparty: Lehman
Brothers) 01/25/38 (1,435) (344)
Fund receives monthly payment of
0.16% (1.92% per annum) times
the notional amount of the
ABX.HE.AA 07-2 Index. Upon a
defined credit event, Fund
pays the notional amount and
takes receipt of the defined
deliverable obligation.
(Counterparty: Lehman
Brothers) 01/25/38 (1,500) (250)
Fund receives monthly payment of
0.063% (0.76% per annum)
times the notional amount of
the ABX-HE-AAA 07-2 Index.
Upon defined credit event,
Fund pays the notional amount
and takes receipt of the
defined deliverable
obligation. (Counterparty:
Barclays) 01/25/38 (4,500) (31)
Fund receives monthly payment of
0.013% (0.156% per annum)
times the notional amount of
the ABX.HE.AA 07-1 Index.
Upon a defined credit event,
Fund pays the notional amount
and takes receipt of the
defined deliverable
obligation. (Counterparty:
Citigroup) 08/25/37 (975) (585)
Fund receives monthly payment of
0.16% (1.92% per annum) times
the notional amount of the
ABX.HE.AA 07-2 Index. Upon a
defined credit event, Fund
pays the notional amount and
takes receipt of the defined
deliverable obligation.
(Counterparty: Lehman
Brothers) 01/25/38 (1,435) (335)
- --------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Fund receives monthly payment of
0.014% (0.17% per annum)
times the notional amount of
the ABX.HE.AA 06-2 Index.
Upon a defined credit event,
Fund pays the notional amount
and takes receipt of the
defined deliverable
obligation. (Counterparty:
Lehman Brothers) 05/25/46 $ (3,015) $ 106
Fund receives monthly payment of
0.014% (0.17% per annum)
times the notional amount of
the ABX.HE.AA 06-2 Index.
Upon a defined credit event,
Fund pays the notional amount
and takes receipt of the
defined deliverable
obligation. (Counterparty:
Lehman Brothers) 05/25/46 (1,510) 109
Fund receives monthly payment of
0.045% (0.54% per annum)
times the notional amount of
the ABX.HE.AA 07-2 Index.
Upon a defined credit event,
Fund pays the notional amount
and takes receipt of the
defined deliverable
obligation. (Counterparty:
Citigroup) 01/25/38 (1,010) (692)
Fund receives monthly payment of
0.16% (1.92% per annum) times
the notional amount of the
ABX.HE.AA 07-2 Index. Upon a
defined credit event, Fund
pays the notional amount and
takes receipt of the defined
deliverable obligation.
(Counterparty: JP Morgan) 01/25/38 (985) (625)
Fund receives monthly payment of
0.013% (0.156% per annum)
times the notional amount of
the ABX.HE.AA 07-1 Index.
Upon a defined credit event,
Fund pays the notional amount
and takes receipt of the
defined deliverable
obligation. (Counterparty:
Citigroup) 08/25/37 (985) (545)
Fund receives monthly payment of
0.013% (0.156% per annum)
times the notional amount of
the ABX.HE.AA 07-1 Index.
Upon a defined credit event,
Fund pays the notional amount
and takes receipt of the
defined deliverable
obligation. (Counterparty:
Barclays) 08/25/37 (1,035) (567)
Fund receives monthly payment of
0.013% (0.156% per annum)
times the notional amount of
the ABX.HE.AA 07-1 Index.
Upon a defined credit event,
Fund pays the notional amount
and takes receipt of the
defined deliverable
obligation. (Counterparty:
Citigroup) 08/25/37 (980) (525)
Fund receives monthly payment of
0.16% (1.92% per annum) times
the notional amount of the
ABX.HE.AA 07-2 Index. Upon a
defined credit event, Fund
pays the notional amount and
takes receipt of the defined
deliverable obligation.
(Counterparty: Citigroup) 01/25/38 (1,475) (922)
Fund pays monthly payment of
0.037% (0.444% per annum)
times the notional amount of
the ABX.HE.A 06-2 Index. Upon
a defined credit event, Fund
pays the notional amount and
takes receipt of the defined
deliverable obligation.
(Counterparty: Lehman
Brothers) 05/25/46 1,490 636
Fund receives monthly payment of
0.308% (3.696% per annum)
times the notional amount of
the ABX.HE.A 07-2 Index. Upon
a defined credit event, Fund
pays the notional amount and
takes receipt of the defined
deliverable obligation.
(Counterparty: Lehman
Brothers) 01/25/38 (1,490) (590)
Fund receives monthly payment of
.416% (5.00% per annum) times
the notional amount of the
ABX.HE.BBB 07-2 Index. Upon a
defined credit event, Fund
pays the notional amount and
takes receipt of the defined
deliverable obligation.
(Counterparty: Lehman
Brothers) 01/25/38 (1,665) (378)
Fund receives monthly payment of
0.16% (1.92% per annum) times
the notional amount of the
ABX.HE.AA 07-2 Index. Upon a
defined credit event, Fund
pays the notional amount and
takes receipt of the defined
deliverable obligation.
(Counterparty: JP Morgan) 01/25/38 (1,960) (1,146)
Fund receives monthly payment of
0.013% (0.156% per annum)
times the notional amount of
the ABX.HE.AA 07-1 Index.
Upon a defined credit event,
Fund pays the notional amount
and takes receipt of the
defined deliverable
obligation. (Counterparty:
Citigroup) 08/25/37 (2,455) (1,242)
- --------------------------------------------------------------------------------
154 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Fund receives monthly payment of
0.16% (1.92% per annum) times
the notional amount of the
ABX.HE.AA 07-2 Index. Upon a
defined credit event, Fund
pays the notional amount and
takes receipt of the defined
deliverable obligation.
(Counterparty: Citigroup) 01/25/38 $ (980) $ (575)
Fund delivers monthly payment of
0.3075% (3.69% per annum)
times the notional amount of
the ABX.HE.A 07-2 Index. Upon
a defined credit event, Fund
pays the notional amount and
takes receipt of the defined
deliverable obligation.
(Counterparty: Citigroup) 01/25/38 (2,945) (983)
Fund pays monthly payment of
0.037% (0.444% per annum)
times the notional amount of
the ABX.HE.A 06-2 Index. Upon
a defined credit event, Fund
pays the notional amount and
delivers the defined
deliverable obligation.
(Counterparty: Citigroup) 05/25/46 2,945 1,020
Fund receives monthly payment of
0.16% (1.92% per annum) times
the notional amount of the
ABX.HE.AA 07-2 Index. Upon a
defined credit event, Fund
pays the notional amount and
takes receipt of the defined
deliverable obligation.
(Counterparty: Citigroup) 01/25/38 (5,500) (3,109)
Fund receives monthly payment of
0.013% (0.156% per annum)
times the notional amount of
the ABX.HE.AA 07-1 Index.
Upon a defined credit event,
Fund pays the notional amount
and takes receipt of the
defined deliverable
obligation. (Counterparty:
Lehman Brothers) 08/25/37 (4,910) (2,373)
Fund receives monthly payment of
0.16% (1.92% per annum) times
the notional amount of the
ABX.HE.AA 07-2 Index. Upon a
defined credit event, Fund
pays the notional amount and
takes receipt of the defined
deliverable obligation.
(Counterparty: JP Morgan) 01/25/38 (3,435) (1,894)
Fund receives monthly payment of
0.416% (5.00% per annum)
times the notional amount of
the ABX.HE.BBB 07-2 Index.
Upon a defined credit event,
Fund pays the notional amount
and takes receipt of the
defined deliverable
obligation. (Counterparty:
Lehman Brothers) 01/25/38 (3,335) (728)
Fund receives monthly payment of
0.16% (1.92% per annum) times
the notional amount of the
ABX.HE.AA 07-2 Index. Upon a
defined credit event, Fund
pays the notional amount and
takes receipt of the defined
deliverable obligation.
(Counterparty: Citigroup) 01/25/38 (1,840) (984)
Fund receives monthly payment of
0.008% (0.096% per annum)
times the notional amount of
the ABX.HE.AAA07-1 Index.
Upon a defined credit event,
Fund pays the notional amount
and takes receipt of the
defined deliverable
obligation. (Counterparty:
Citigroup) 08/25/37 (5,795) (1,488)
Fund receives monthly payment of
0.16% (1.92% per annum) times
the notional amount of the
ABX.HE.AA 07-2 Index. Upon a
defined credit event, Fund
pays the notional amount and
takes receipt of the defined
deliverable obligation.
(Counterparty: Lehman
Brothers) 01/25/38 (1,435) (424)
Fund receives monthly payment of
0.16% (1.92% per annum) times
the notional amount of the
ABX.HE.AA 07-2 Index. Upon a
defined credit event, Fund
pays the notional amount and
takes receipt of the defined
deliverable obligation.
(Counterparty: Lehman
Brothers) 01/25/38 (1,435) (265)
Fund pays quarterly payment of
0.60% (2.40% per annum) times
the notional amount of Darden
Restaurants Inc., 7.125%,
02/01/2016. Upon a defined
credit event, Fund receives
the notional amount and
delivers the defined
deliverable obligation.
(Counterparty: Citigroup) 03/20/15 800 (31)
Fund pays quarterly payment of
1.00% (4.00% per annum) times
the notional amount of Pulte
Homes Inc., 5.25%,
01/15/2014. Upon a defined
credit event, Fund pays the
notional amount and takes
receipt of the defined
deliverable obligation.
(Counterparty: Deutsche Bank) 03/20/15 1,500 (50)
- --------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Fund pays quarterly payment of
1.156% (4.62% per annum)
times the notional amount of
Pulte Homes Inc., 5.25%,
01/15/2014. Upon a defined
credit event, Fund pays the
notional amount and takes
receipt of the defined
deliverable obligation.
(Counterparty: Deutsche Bank) 03/20/13 $ 1,500 $ (52)
Fund pays quarterly payment of
.5625% (2.25% per annum)
times the notional amount of
Darden Restaurants Inc.,
7.125%, 02/01/2016. Upon a
defined credit event, Fund
receives the notional amount
and delivers the defined
deliverable obligation.
(Counterparty: Deutsche Bank) 03/20/13 400 (9)
Fund pays quarterly payment of
.5625% (2.25% per annum)
times the notional amount of
Darden Restaurants Inc.,
7.125%, 02/01/2016. Upon a
defined credit event, Fund
receives the notional amount
and delivers the defined
deliverable obligation.
(Counterparty: Morgan Stanley) 03/20/13 400 (9)
Fund pays quarterly payment of
0.16% (0.64% per annum) times
the notional amount of
Safeway Inc., 5.80%,
08/15/2012. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty: JP
Morgan) 03/20/13 3,500 (3)
Fund pays quarterly payment of
0.165% (0.66% per annum)
times the notional amount of
Borgwarner Inc., 03/20/2013.
Upon a defined credit event,
Fund will receive the
notional amount and deliver
the defined obligation.
(Counterparty: Goldman Sachs) 03/20/13 4,250 43
Fund pays quarterly payment of
0.238% (0.952% per annum)
times the notional amount of
the Lowes Corp., 8.25%,
06/01/2010. Upon a defined
credit event, Fund receives
the notional amount and pays
receipt of the defined
deliverable obligation.
(Counterparty: Bank of
America) 03/20/13 3,000 8
Fund pays quarterly payment of
0.20% (0.80% per annum) times
the notional amount of
Borgwarner Inc., 6.50%,
02/15/2009. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
Goldman Sachs) 03/20/13 2,250 8
Fund pays quarterly payment of
0.148% (0.592% per annum)
times the notional amount of
Safeway Inc., 5.80%,
08/15/12. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
Bank of America) 03/20/13 3,750 6
Fund pays quarterly payment of
0.112% (0.45% per annum)
times the notional amount of
Darden Restaurants Inc.,
7.125%, 02/01/2016. Upon a
defined credit event, Fund
will receive the notional
amount and deliver the
defined obligation.
(Counterparty: Bank of
America) 12/20/11 2,250 87
Fund pays quarterly payment of
0.115% (0.46% per annum)
times the notional amount of
Autozone Inc., 5.875%,
10/15/2012. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty: JP
Morgan) 12/20/11 2,125 37
Fund pays quarterly payment of
0.055% (0.22% per annum)
times the notional amount of
Nucor Corp., 4.875%,
10/01/2012. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty: JP
Morgan) 12/20/11 2,125 25
Fund pays quarterly payment of
0.295% (1.18% per annum)
times the notional amount of
Gap Inc., 8.80%, 12/15/2008.
Upon a defined credit event,
Fund will receive the
notional amount and deliver
the defined obligation.
(Counterparty: Bank of
America) 12/20/11 2,125 (28)
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 155
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Fund pays quarterly payment of
0.12% (0.48% per annum) times
the notional amount of
MeadWestavaco Corp., 6.85%,
04/01/2012. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
Bank of America) 12/20/11 $ 2,250 $ 89
Fund pays quarterly payment of
0.055% (0.22% per annum)
times the notional amount of
Nucor Corp., 4.875%,
10/01/2012. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
Bank of America) 12/20/11 2,125 25
Fund pays quarterly payment of
0.048% (0.192% per annum)
times the notional amount of
TJX Companies Inc., 7.45%,
12/15/2009. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
Bank of America) 12/20/11 2,250 31
Fund pays quarterly payment of
0.138% (0.552% per annum)
times the notional amount of
Black & Decker Corp., 7.125%,
06/01/2011. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty: JP
Morgan) 12/20/11 2,125 66
Fund pays quarterly payment of
0.295% (1.18% per annum)
times the notional amount of
Gap Inc., 8.80%, 12/15/2008.
Upon a defined credit event,
Fund will receive the
notional amount and deliver
the defined obligation.
(Counterparty: JP Morgan) 12/20/11 2,250 (29)
Fund pays quarterly payment of
0.098% (0.392% per annum)
times the notional amount of
Hasbro Inc., 2.75%,
12/01/2021. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty: JP
Morgan) 12/20/11 2,250 63
Fund pays quarterly payment of
0.138% (0.552% per annum)
times the notional amount of
Black & Decker Corp., 7.125%,
06/01/2011. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
Bank of America) 12/20/11 2,125 67
Fund pays quarterly payment of
0.12% (0.48% per annum) times
the notional amount of The
Limited Inc., 6.125%,
12/01/2012. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
Bank of America) 12/20/11 2,250 222
Fund pays quarterly payment of
0.193% (0.772% per annum)
times the notional amount of
Jones Apparel Group, 5.125%,
11/15/2014. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty: JP
Morgan) 12/20/11 2,250 215
Fund pays quarterly payment of
0.068% (0.272% per annum)
times the notional amount of
Southwest Airlines Co.,
6.50%, 03/01/2012. Upon a
defined credit event, Fund
will receive the notional
amount and deliver the
defined obligation.
(Counterparty: JP Morgan) 12/20/11 2,250 107
Fund pays quarterly payment of
0.113% (0.452% per annum)
times the notional amount of
Lubrizol Corp., 7.25%,
06/15/2035. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty: JP
Morgan) 12/20/11 2,125 31
Fund pays quarterly payment of
0.05% (0.20% per annum) times
the notional amount of PPG
Industries Inc., 7.05%,
08/15/2009. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty: JP
Morgan) 12/20/11 2,250 47
Fund pays quarterly payment of
0.085% (0.34% per annum)
times the notional amount of
Whirlpool Corp., 7.75%,
07/15/2016. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty: JP
Morgan) 12/20/11 2,250 50
- --------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Fund pays quarterly payment of
0.033% (0.132% per annum)
times the notional amount of
Lowes Companies Inc., 8.25%,
06/01/2010. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
Merrill Lynch) 12/20/11 $ 2,250 $ 61
Fund pays quarterly payment of
0.068% (0.272% per annum)
times the notional amount of
Southwest Airlines Co.,
6.50%, 03/01/2012. Upon a
defined credit event, Fund
will receive the notional
amount and deliver the
defined obligation.
(Counterparty: Merrill Lynch) 12/20/11 2,125 101
Fund pays quarterly payment of
0.113% (0.452% per annum)
times the notional amount of
Lubrizol Corp., 7.25%,
06/15/2025. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
Merrill Lynch) 12/20/11 2,125 32
Fund pays quarterly payment of
0.225% (0.90% per annum)
times the notional amount of
MDC Holdings Inc., 5.50%,
05/15/2013. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
Merrill Lynch) 12/20/11 2,250 87
Fund pays quarterly payment of
0.173% (0.692% per annum)
times the notional amount of
Donnelley (R.R.) & Sons,
4.95%, 04/01/2014. Upon a
defined credit event, Fund
will receive the notional
amount and deliver the
defined obligation.
(Counterparty: Merrill Lynch) 12/20/11 2,250 88
Fund pays quarterly payment of
0.035% (0.14% per annum)
times the notional amount of
Pitney Bowes Inc., 4.625%,
10/01/2012. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
Bank of America) 12/20/11 4,500 71
Fund pays quarterly payment of
0.11% (0.44% per annum) times
the notional amount of
Autozone Inc., 5.875%,
10/15/2012. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
Bank of America) 12/20/11 2,125 38
Fund pays quarterly payment of
0.183% (0.732% per annum)
times the notional amount of
Masco Corp., 5.875%,
07/15/2012. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
Bank of America) 12/20/13 2,250 227
Fund pays quarterly payment of
0.065% (0.26% per annum)
times the notional amount of
Dow Chemical Inc., 6.00%,
10/01/2012. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty: JP
Morgan) 12/20/13 2,125 67
Fund pays quarterly payment of
0.088% (0.352% per annum)
times the notional amount of
MGIC Investment Corp., 6.00%,
11/01/2015. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
Bank of America) 12/20/13 2,125 436
Fund pays quarterly payment of
0.088% (0.352% per annum)
times the notional amount of
PMI Group Inc., 6.00%,
09/15/2016. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
Bank of America) 12/20/13 2,125 470
Fund pays quarterly payment of
0.098% (0.39% per annum)
times the notional amount of
Radian Group Inc., 7.75%,
06/01/2011. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
Bank of America) 12/20/13 2,125 672
Fund pays quarterly payment of
0.07% (0.28% per annum) times
the notional amount of
Nordstrom Inc., 6.95%,
03/15/2028. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty: JP
Morgan) 12/20/13 2,125 109
- --------------------------------------------------------------------------------
156 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Fund pays quarterly payment of
0.088% (0.352% per annum)
times the notional amount of
MGIC Investment Corp., 6.00%,
11/01/2015. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty: JP
Morgan) 12/20/13 $ 2,125 $ 470
Fund pays quarterly payment of
0.088% (0.352% per annum)
times the notional amount of
PMI Group Inc., 6.00%,
09/15/2016. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty: JP
Morgan) 12/20/13 2,125 437
Fund pays quarterly payment of
0.098% (0.392% per annum)
times the notional amount of
Radian Group Inc., 7.75%,
06/01/2011. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty: JP
Morgan) 12/20/13 2,250 29
Fund pays quarterly payment of
0.07% (0.28% per annum) times
the notional amount of
Nordstrom Inc., 6.95%,
03/15/2028. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
Merrill Lynch) 12/20/13 2,125 109
Fund pays quarterly payment of
0.098% (0.392% per annum)
times the notional amount of
Johnson Controls Inc.,
7.125%, 07/15/2017. Upon a
defined credit event, Fund
will receive the notional
amount and deliver the
defined obligation.
(Counterparty: Bank of
America) 12/20/13 2,125 63
Fund pays quarterly payment of
0.088% (0.352% per annum)
times the notional amount of
Alcan Inc., 4.875%,
09/15/2012. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
Bank of America) 12/20/13 2,125 30
Fund pays quarterly payment of
0.093% (0.372% per annum)
times the notional amount of
Johnson Controls Inc.,
7.125%, 02/01/2016. Upon a
defined credit event, Fund
will receive the notional
amount and deliver the
defined obligation.
(Counterparty: Bank of
America) 12/20/13 2,125 65
Fund pays quarterly payment of
0.063% (0.252% per annum)
times the notional amount of
Dow Chemical Inc., 6.00%,
10/01/2012. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
Merrill Lynch) 12/20/13 2,125 68
Fund pays quarterly payment of
0.054% (0.216% per annum)
times the notional amount of
Carnival Corp., 6.65%,
1/15/2028. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty: JP
Morgan) 06/20/12 1,600 62
Fund pays quarterly payment of
0.05% (0.20% per annum) times
the notional amount of
Campbell Soup Co., 4.875%,
10/01/2013. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
Bank of America) 06/20/14 2,775 34
Fund pays quarterly payment of
0.113% (0.452% per annum)
times the notional amount of
Weyerhaeuser Co., 6.75%,
03/15/2012. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
Merrill Lynch) 03/20/12 2,125 96
Fund pays quarterly payment of
0.08% (0.32% per annum) times
the notional amount of Alcan
Inc., 4.875%, 9/15/2012. Upon
a defined credit event, Fund
will receive the notional
amount and deliver the
defined obligation.
(Counterparty: Bank of
America) 03/20/14 1,800 29
Fund pays quarterly payment of
0.275% (1.10% per annum)
times the notional amount of
Century Telephone, 6.00%,
04/01/2017. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
Goldman Sachs) 03/20/13 4,500 87
- --------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Fund pays quarterly payment of
0.485% (1.94% per annum)
times the notional amount of
Motorola Inc., 6.50%,
09/01/2025. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
Goldman Sachs) 03/20/13 $ 1,200 $ 58
Fund pays quarterly payment of
0.16% (0.64% per annum) times
the notional amount of Kroger
Co., 5.50%, 02/01/2013. Upon
a defined credit event, Fund
will receive the notional
amount and deliver the
defined obligation.
(Counterparty: Merrill Lynch) 03/20/13 4,500 (3)
Fund pays quarterly payment of
0.7075% (2.83% per annum)
times the notional amount of
Toll Brothers Inc., 6.875%,
11/15/2012. Upon a defined
credit event Fund receives
the notional amount and pays
receipt of the defined
deliverable obligation.
(Counterparty: Merrill Lynch) 12/20/12 1,435 133
Fund pays quarterly payment of
0.228% (0.912% per annum)
times the notional amount of
Morgan Stanley, 6.60%,
04/01/2012. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty: JP
Morgan) 12/20/12 6,200 424
Fund pays quarterly payment of
0.185% (0.740% per annum)
times the notional amount of
Goldman Sachs, 6.60%,
01/15/2012. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty: JP
Morgan) 12/20/12 6,400 355
Fund pays quarterly payment of
0.188% (0.75% per annum)
times the notional amount of
Goldman Sachs, 6.60%,
01/15/2012. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
Barclays) 12/20/12 200 11
Fund pays quarterly payment of
0.290% (1.16% per annum)
times the notional amount of
Lehman Brothers, 6.625%,
01/18/2012. Upon a defined
credit event, Fund will
receive the notional amount
and deliver the defined
obligation. (Counterparty:
Barclays) 12/20/14 8,770 1,131
Fund pays quarterly payment of
0.89%, (3.56% per annum)
times the notional amount of
Centex Corp., 5.25%,
06/15/2015. Upon a defined
credit event, Fund receives
the notional amount and pays
receipt of the defined
deliverable obligation.
(Counterparty: Merrill Lynch) 12/20/12 1,350 190
Fund pays quarterly payment of
0.695% (2.78% per annum)
times the notional amount of
Toll Brothers Inc., 6.875%,
11/15/2012. Upon a defined
credit event, Fund receives
the notional amount and pays
receipt of the defined
deliverable obligation.
(Counterparty: Merrill Lynch) 12/20/12 2,450 227
Fund pays quarterly payment of
0.9125% (3.65% per annum)
times the notional amount of
Centex Corp., 5.25%,
06/15/2015. Upon a defined
credit event, Fund receives
the notional amount and pays
receipt of the defined
deliverable obligation.
(Counterparty: Merrill Lynch) 12/20/12 925 130
Fund pays quarterly payment of
0.97% (3.88% per annum) times
the notional amount of Pulte
Homes Inc., 5.25%,
01/15/2014. Upon a defined
credit event, Fund receives
the notional amount and pays
receipt of the defined
deliverable obligation.
(Counterparty: Citigroup) 12/20/12 2,200 232
Fund pays quarterly payment of
0.9775% (3.91% per annum)
times the notional amount of
Pulte Homes Inc., 5.25%,
01/15/2014. Upon a defined
credit event, Fund receives
the notional amount and pays
receipt of the defined
deliverable obligation.
(Counterparty: Citigroup) 12/20/12 1,150 121
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 157
SCHEDULE OF INVESTMENTS (Unaudited)
Core Fixed Income Fund (Concluded)
March 31, 2008
- --------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Fund pays quarterly payment of
0.7075% (2.83% per annum)
times the notional amount of
Toll Brothers Inc., 6.875%,
11/15/2012. Upon a defined
credit event, Fund receives
the notional amount and pays
receipt of the defined
deliverable obligation.
(Counterparty: Citigroup) 12/20/12 $ 1,000 $ 92
Fund pays quarterly payment of
0.1875% (0.75% per annum)
times the notional amount of
AMBAC Monoline AAA. Upon a
defined credit event, Fund
will receive the notional
amount and deliver the
defined obligation.
(Counterparty: JP Morgan) 12/20/12 6,250 1,449
Fund receives quarterly payment
of 0.15% (0.60% per annum)
times the notional amount of
the CDX.IG.9 Index. Upon a
defined credit event, Fund
pays the notional amount and
takes receipt of the defined
deliverable obligation.
(Counterparty: Bank of
America) 12/20/12 (4,500) (77)
Fund pays quarterly payment of
0.038% (0.45% per annum)
times the notional amount of
the CDX.NA.IG Index. Upon a
defined credit event, Fund
receives the notional amount
and delivers the defined
deliverable obligation.
(Counterparty: Bank of
America) 12/20/12 5,000 98
Fund pays quarterly payment of
0.038% (0.45% per annum)
times the notional amount of
the CDX.NA.IG Index. Upon a
defined credit event, Fund
receives the notional amount
and delivers receipt of the
defined deliverable
obligation. (Counterparty:
Bank of America) 12/20/12 3,000 61
Fund receives quarterly payment
of 0.15% (0.60% per annum)
times the notional amount of
the CDX.NA.IG Index. Upon a
defined credit event, Fund
pays the notional amount and
takes receipt of the defined
deliverable obligation.
(Counterparty: Goldman Sachs) 12/20/12 (32,375) (746)
Fund receives quarterly payment
of 1.25% (5.00% per annum)
times the notional amount of
Countrywide Financial Corp.,
6.00%, 01/24/2018. Upon
defined credit event, Fund
receives the notional amount
and pays receipt of the
defined deliverable
obligation. (Counterparty:
Deutsche Bank) 12/20/08 (4,500) 460
Fund receives quarterly payments
of 0.15% (0.60% per annum)
times the notional amount of
the CDX.NA.IG Index. Upon a
defined credit event, Fund
pays the notional amount and
takes receipt of the defined
deliverable obligation.
(Counterparty: Goldman Sachs) 12/20/12 8,250 (106)
--------------
$ (15,172)
==============
- --------------------------------------------------------------------------------
INTEREST RATE SWAPS
- --------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Fund receives a fixed rate of
4.8575% and pays a floating
rate based on the 3 Month
LIBOR. (Counterparty:
Citigroup) 11/15/09 $ 4,270 $ 230
Fund receives a fixed rate of
3.40123% and pays a floating
rate based on the 3 Month
LIBOR. (Counterparty: Merrill
Lynch) 02/26/13 4,556 22
Fund receives a fixed rate of
3.53573% and pays a floating
rate based on the 3 Month
LIBOR. (Counterparty:
Barclays) 02/26/13 4,520 50
Fund receives a fixed rate of
3.57534% and pays a floating
rate based on the 3 Month
LIBOR. (Counterparty:
Barclays) 02/26/13 4,496 58
Fund receives a fixed rate of
3.70058% and pays a floating
rate based on the 3 Month
LIBOR. (Counterparty: Merrill
Lynch) 02/26/13 9,086 171
Fund pays a fixed rate of
4.52375% and receives
floating rate based on the
5Y5Y Swaption Straddle
(Counterparty: Lehman
Brothers) 05/24/17 5,110 199
Fund pays a fixed rate of 4.65%
and receives floating rate
based on the 5Y5Y Swaption
Straddle (Counterparty:
Lehman Brothers) 05/18/17 9,000 251
- --------------------------------------------------------------------------------
NET UNREALIZED
NOTIONAL APPRECIATION
EXPIRATION AMOUNT (DEPRECIATION)
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Fund pays a fixed rate of 5.00%
and receives floating rate
based on the 5Y5Y Swaption
Straddle (Counterparty:
Merrill Lynch) 10/18/17 $ (2,370) $ (21)
Fund pays a fixed rate of 5.03%
and receives floating rate
based on the 5Y5Y Swaption
Straddle (Counterparty:
Merrill Lynch) 10/16/17 2,370 (28)
Fund receives a fixed rate of
5.043% and pays a floating
rate based on the 3 Month
LIBOR. (Counterparty: Merrill
Lynch) 11/30/09 3,090 177
Fund pays a fixed rate of 5.05%
and receives floating rate
based on the 5Y5Y Swaption
Straddle (Counterparty:
Lehman Brothers) 10/16/17 (2,370) (18)
Fund pays a fixed rate of 5.05%
and receives floating rate
based on the 5Y5Y Swaption
Straddle (Counterparty:
Lehman Brothers) 11/30/09 3,090 182
Fund pays a floating rate based
on the 3 Month LIBOR and
receives a fixed rate of
7.16% (Counterparty: Lehman
Brothers) 05/25/22 4,500 66
Fund pays a floating rate based
on the 3 Month LIBOR and
receives a fixed rate of
7.88% (Counterparty: Lehman
Brothers) 06/04/22 (3,130) 42
Fund receives a fixed rate of
4.39% and pays a floating
rate based on the 3 Month
LIBOR. (Counterparty: JP
Morgan Chase) 11/15/09 7,180 320
Fund receives a fixed rate of
4.1475% and pays a floating
rate based on the 3 Month
LIBOR. (Counterparty: Merrill
Lynch) 11/23/09 7,190 286
Fund receives a fixed rate of
4.8125% and pays a floating
rate based on the 3 Month
LIBOR. (Counterparty: Merrill
Lynch) 11/15/09 4,300 227
Fund receives a fixed rate of
4.40% and pays a floating
rate based on the 3 Month
LIBOR. (Counterparty:
Deutsche Bank) 05/31/12 9,091 451
-------------
$ 2,665
=============
- --------------------------------------------------------------------------------
TOTAL RETURN SWAPS
- --------------------------------------------------------------------------------
NOTIONAL NET UNREALIZED
EXPIRATION AMOUNT APPRECIATION
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Fund receives payment on the
monthly reset spread from
Bank of America - CMBS AAA 10
YR Index minus 15 basis
points times the notional
amount. Fund receives payment if
the return on the spread
appreciates over the payment
period and pays if the return
on the spread depreciates
over the payment period.
(Counterparty: Goldman Sachs) 06/01/08 $ 30,000 $ 684
Fund receives payment on the
monthly reset spread from
Bank of America - CMBS AAA 10
YR Index minus 65 basis
points times the notional
amount. Fund receives payment
if the return on the spread
appreciates over the payment
period and pays if the return
on the spread depreciates
over the payment period.
(Counterparty: Wachovia) 08/01/08 10,000 228
Fund receives payment on the
monthly reset spread from
Bank of America - CMBS AAA 10
YR Index minus 35 basis
points times the notional
amount. Fund receives payment
if the return on the spread
appreciates over the payment
period and pays if the return
on the spread depreciates
over the payment period.
(Counterparty: Bank of
America) 08/01/08 10,000 228
Fund receives payment on the
monthly reset spread from
Bank of America - CMBS AAA 10
YR Index minus 25 basis
points times the notional
amount. Fund receives payment
if the return on the spread
appreciates over the payment
period and pays if the return
on the spread depreciates
over the payment period.
(Counterparty: Wachovia) 07/01/08 20,000 455
- --------------------------------------------------------------------------------
158 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
NOTIONAL NET UNREALIZED
EXPIRATION AMOUNT APPRECIATION
DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS)
- --------------------------------------------------------------------------------
Fund receives payment on the
monthly reset spread from
Bank of America - CMBS AAA 10
YR Index minus 20 basis
points times the notional
amount. Fund receives payment
if the return on the spread
appreciates over the payment
period and pays if the return
on the spread depreciates
over the payment period.
(Counterparty: Bank of
America) 05/01/08 $ 20,000 $ 455
--------------
$ 2,050
==============
Percentages are based on Net Assets of $4,362,035 ($ Thousands).
* Non-Income Producing Security
** Rate shown is the 7-day effective yield as of March 31, 2008.
+ 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 security. 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 Statement of Net Assets
is the rate in effect as of March 31, 2008.
(G) Step Bonds -- The rate reflected on the Schedule of Investments is the
effective yield on March 31, 2008. The coupon on a step bond changes on a
specified date.
(H) Securities considered illiquid. The total value of such securities as of
March 31, 2008 was $2,285 ($ Thousands) and represented 0.05% of Net
Assets.
(I) Security in default on interest payments.
(J) This security or a partial position of this security is on loan at March
31, 2008 (see Note 7). The total value of securities on loan at March 31,
2008 was $324,358 ($ Thousands).
(K) This security was purchased with cash collateral held from securities on
loan (see Note 7). The total value of such securities as of March 31, 2008
was $343,590 ($ Thousands).
(L) Tri-Party Repurchase Agreement
ABS -- Asset-Backed Security
AMBAC -- American Municipal Bond Assurance Corporation
ARM -- Adjustable Rate Mortgage
CDO -- Collateralized Debt Obligation
Cl -- Class
CMO -- Collateralized Mortgage Obligation
EUR -- Euro
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
FSA -- Financial Security Assurance
GBP -- British Pound Sterling
GMAC -- General Motors Acceptance Corporation
GNMA -- Government National Mortgage Association
IO -- Interest Only
JPY -- Japanese Yen
LLC -- Limited Liability Company
L.P. -- Limited Partnership
MBIA -- Municipal Bond Insurance Corporation
MTN -- Medium Term Note
PIK -- Payment-in-Kind
PLC -- Public Limited Company
RB -- Revenue Bond
Ser -- Series
STRIPS -- Separately Traded Registered Interest and Principal Securities
TBA -- To Be Announced
TIPS -- Treasury Inflated Protection Securities
USD -- U.S. Dollar
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 159
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund
March 31, 2008
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS#:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
Consumer Discretionary 21.4%
Short-Term Investments 14.1%
Financials 8.0%
Industrials 8.0%
Telecommunication Services 7.9%
Energy 7.7%
Materials 7.7%
Loan Participations 7.4%
Asset-Backed Securities 4.0%
Information Technology 3.6%
Utilities 3.1%
Consumer Staples 2.5%
Health Care 2.4%
Preferred Stock 1.8%
Common Stock 0.3%
Convertible Bonds 0.1%
Warrants 0.0%
# Percentages based on total investments. Includes investments held as
collateral for securities on loan (see Note 7).
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS -- 81.2%
CONSUMER DISCRETIONARY -- 24.0%
Adelphia Communication (Escrow
Security)
10.250%, 06/15/11 $ 150 $ 11
7.750%, 01/15/09 225 17
Adelphia Communications, Ser B PIK
(Escrow Security) (H)
9.500%, 02/15/04 25 2
American Greetings
7.375%, 06/01/16 600 595
Amscan Holdings
8.750%, 05/01/14 1,035 908
Aramark Services
8.500%, 02/01/15 1,275 1,278
6.739%, 05/22/08 (D) 350 309
Arvinmeritor (G)
8.750%, 03/01/12 2,165 1,981
Asbury Automotive Group
7.625%, 03/15/17 150 119
Ashtead Holdings PLC (A)
8.625%, 08/01/15 225 180
Autonation (D)
6.258%, 04/15/08 930 763
Avis Budget Car Rental (D)
5.565%, 05/15/08 965 758
Bausch & Lomb (A) (G)
9.875%, 11/01/15 1,120 1,140
Beazer Homes USA
8.625%, 05/15/11 270 208
Beazer Homes USA (G)
6.875%, 07/15/15 2,155 1,541
Blockbuster (G)
9.000%, 09/01/12 2,125 1,732
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Bonten Media Acquisition PIK (A)
9.000%, 06/01/15 $ 275 $ 212
Boyd Gaming
7.125%, 02/01/16 2,650 2,133
6.750%, 04/15/14 2,725 2,234
Broder Brothers, Ser B (G)
11.250%, 10/15/10 1,260 850
Brookstone (G)
12.000%, 10/15/12 1,040 957
Brown Shoe
8.750%, 05/01/12 1,100 1,089
Burlington Coat (G)
11.125%, 04/15/14 575 444
CCH I Holdings LLC (G)
11.750%, 05/15/14 (B) 150 76
11.125%, 01/15/14 525 252
CCH I LLC
11.000%, 10/01/15 175 120
11.000%, 10/01/15 (G) 5,671 3,941
CCH II LLC
10.250%, 09/15/10 3,135 2,853
CCH II LLC, Ser B
10.250%, 09/15/10 300 272
CCO Holdings LLC
8.750%, 11/15/13 2,975 2,544
CSC Holdings
7.625%, 07/15/18 600 547
7.250%, 07/15/08 (G) 250 250
6.750%, 04/15/12 185 179
CSC Holdings, Ser B
8.125%, 08/15/09 275 278
Cablevision Systems, Ser B
9.644%, 04/03/08 (D) (G) 1,885 1,871
8.000%, 04/15/12 1,400 1,361
Caesars Entertainment (G)
7.875%, 03/15/10 1,650 1,547
Carrols
9.000%, 01/15/13 1,470 1,308
Charter Communications
Holdings LLC
10.875%, 09/15/14 125 123
Charter Communications
Holdings LLC (A)
8.000%, 04/30/12 175 161
Choctaw Resort Development Entity (A)
7.250%, 11/15/19 1,032 898
Cinemark (B)
10.838%, 03/15/14 450 405
Claire's Stores (G)
10.500%, 06/01/17 5,425 2,387
9.625%, 06/01/15 2,585 1,331
9.250%, 06/01/15 1,025 643
- --------------------------------------------------------------------------------
160 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Community Health Systems (G)
8.875%, 07/15/15 $ 3,830 $ 3,844
Cooper Standard Auto
8.375%, 12/15/14 1,250 947
Couche-Tard US
7.500%, 12/15/13 3,308 3,300
Dana
7.000%, 03/15/28 200 16
7.000%, 03/01/29 850 68
6.500%, 03/01/09 350 28
Delphi (C)
7.125%, 05/01/29 1,000 315
6.550%, 06/15/06 125 39
6.500%, 05/01/09 (G) 2,325 756
Dex Media
9.173%, 11/15/13 (B) 3,680 2,650
8.000%, 11/15/13 325 237
Dex Media West, Ser B
9.875%, 08/15/13 5,750 5,002
8.500%, 08/15/10 850 827
DirecTV Holdings
8.375%, 03/15/13 1,815 1,840
6.375%, 06/15/15 5,145 4,798
Easton-Bell Sports
8.375%, 10/01/12 1,485 1,207
Echostar DBS
7.125%, 02/01/16 3,774 3,519
7.000%, 10/01/13 1,435 1,352
6.625%, 10/01/14 1,025 933
5.750%, 10/01/08 3,290 3,274
El Dorado Casino Shreveport PIK (G)
10.000%, 08/01/12 1,193 1,187
Eye Care Centers of America
10.750%, 02/15/15 700 714
Federal-Mogul (C)
7.750%, 07/01/06 675 --
7.500%, 07/01/04 100 --
7.500%, 01/15/09 (G) 350 --
7.375%, 01/15/06 225 --
Fontainebleau Las Vegas (A)
10.250%, 06/15/15 4,700 3,313
Ford Motor
9.215%, 09/15/21 350 276
8.900%, 01/15/32 (G) 900 675
8.875%, 01/15/22 50 39
7.450%, 07/16/31 200 132
6.500%, 08/01/18 (G) 2,295 1,538
4.250%, 12/15/36 175 150
Gamestop
8.000%, 10/01/12 800 846
General Motors
8.375%, 07/15/33 (G) 5,991 4,224
8.250%, 07/15/23 (G) 5,575 3,902
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
7.700%, 04/15/16 $ 1,562 $ 1,140
7.125%, 07/15/13 (G) 2,855 2,198
6.850%, 10/15/08 3,750 3,675
General Nutrition Center PIK
7.199%, 03/15/14 575 480
Goodyear Tire & Rubber
8.625%, 12/01/11 837 878
7.857%, 08/15/11 1,000 1,024
Great Canadian Gaming (A)
7.250%, 02/15/15 300 285
Group 1 Automotive
8.250%, 08/15/13 525 493
HCA
9.250%, 11/15/16 10,400 10,790
9.125%, 11/15/14 655 675
HCA PIK
9.625%, 11/15/16 6,050 6,277
Hanesbrands, Ser B (D)
8.204%, 06/15/08 3,455 3,066
Harrah's Operating
10.750%, 02/01/16 5,210 4,389
8.000%, 02/01/11 675 564
5.500%, 07/01/10 100 88
Herbst Gaming
8.125%, 06/01/12 875 160
7.000%, 11/15/14 1,000 182
Hertz
10.500%, 01/01/16 (G) 1,975 1,849
8.875%, 01/01/14 2,245 2,127
Idearc
8.000%, 11/15/16 1,580 1,023
Indianapolis Downs (A) (G)
11.000%, 11/01/12 1,500 1,305
Inn of the Mountain Gods
12.000%, 11/15/10 275 267
Isle of Capri Casinos
7.000%, 03/01/14 1,253 893
Jarden (G)
7.500%, 05/01/17 4,495 3,933
Jo-Ann Stores
7.500%, 03/01/12 375 326
LBI Media (B)
8.509%, 10/15/13 675 551
LIN Television (G)
6.500%, 05/15/13 2,500 2,319
LIN Televison, Ser B
6.500%, 05/15/13 1,325 1,229
Lamar Media
7.250%, 01/01/13 2,850 2,707
6.625%, 08/15/15 2,550 2,244
Lamar Media, Ser B
6.625%, 08/15/15 550 484
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 161
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Leslie's Poolmart
7.750%, 02/01/13 $ 550 $ 500
MGM Mirage
8.375%, 02/01/11 1,500 1,504
7.500%, 06/01/16 4,390 3,951
6.875%, 04/01/16 3,010 2,634
6.750%, 09/01/12 1,000 927
6.750%, 04/01/13 1,600 1,472
5.875%, 02/27/14 1,485 1,270
Majestic Holdings LLC (A) (B)
2.537%, 10/15/11 50 30
Majestic Star II LLC
9.750%, 01/15/11 1,000 390
Mandalay Resort Group
9.375%, 02/15/10 575 592
Mashantucket Pequot Tribe
8.500%, 11/15/15 75 66
MediMedia USA (A)
11.375%, 11/15/14 775 798
Mediacom Broadband LLC
8.500%, 10/15/15 2,425 2,037
Mediacom LLC
9.500%, 01/15/13 2,151 1,979
Michaels Stores
11.375%, 11/01/16 545 428
10.000%, 11/01/14 (G) 525 459
Mohegan Tribal Gaming
8.000%, 04/01/12 75 69
Mohegan Tribal Gaming (G)
7.125%, 08/15/14 450 369
6.875%, 02/15/15 1,325 1,067
6.125%, 02/15/13 325 297
NPC International (G)
9.500%, 05/01/14 250 226
Neff (G)
10.000%, 06/01/15 700 332
Neiman Marcus Group PIK
9.000%, 10/15/15 2,170 2,170
Nexstar Broadcasting
7.000%, 01/15/14 2,800 2,411
Nexstar Financial Holdings LLC (B)
8.053%, 04/01/13 580 563
Outback Steakhouse (A)
10.000%, 06/15/15 650 409
Penhall International (A)
12.000%, 08/01/14 1,850 1,563
Penn National Gaming
6.875%, 12/01/11 75 71
6.750%, 03/01/15 3,460 3,140
Penske Auto Group
7.750%, 12/15/16 2,000 1,730
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Perry Ellis International, Ser B
8.875%, 09/15/13 $ 1,326 $ 1,266
Phillips Van-Heusen
8.125%, 05/01/13 475 482
Pokagon Gaming Authority
10.375%, 06/15/14 125 132
Quebecor Media
7.750%, 03/15/16 1,075 981
7.750%, 03/15/16 (A) 5,285 4,823
R.H. Donnelley (A) (G)
8.875%, 10/15/17 7,700 4,812
6.875%, 01/15/13 375 229
R.H. Donnelley, Ser A-1
6.875%, 01/15/13 1,775 1,083
R.H. Donnelley, Ser A-2
6.875%, 01/15/13 3,000 1,830
R.H. Donnelley, Ser A-3
8.875%, 01/15/16 600 379
RJ Tower (C)
12.000%, 06/01/13 175 4
RSC Equipment Rental
9.500%, 12/01/14 2,880 2,405
ReAble Therapeutics Financial (A) (G)
10.875%, 11/15/14 1,420 1,335
Rent-A-Center, Ser B (G)
7.500%, 05/01/10 2,975 2,752
SGS International
12.000%, 12/15/13 1,875 1,617
Sally Holdings LLC (G)
10.500%, 11/15/16 215 199
9.250%, 11/15/14 2,535 2,529
Sbarro (G)
10.375%, 02/01/15 175 145
Sealy Mattress (G)
8.250%, 06/15/14 4,176 3,487
Seneca Gaming
7.250%, 05/01/12 125 118
Service Corp International
7.625%, 10/01/18 793 797
7.375%, 10/01/14 1,527 1,529
7.000%, 06/15/17 1,155 1,115
6.750%, 04/01/15 1,440 1,417
6.750%, 04/01/16 1,075 1,040
Shingle Springs Tribal Group (A)
9.375%, 06/15/15 600 531
Simmons
12.039%, 12/15/14 (B) (G) 5,625 3,628
7.875%, 01/15/14 1,200 984
Sinclair Broadcast Group (A) (B)
4.875%, 07/15/18 450 409
Six Flags (G)
9.625%, 06/01/14 375 212
- --------------------------------------------------------------------------------
162 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Sonic Automotive, Ser B
8.625%, 08/15/13 $ 2,145 $ 1,984
Stanadyne Holdings (B)
9.066%, 02/15/15 1,575 1,055
Stanadyne, Ser 1
10.000%, 08/15/14 450 409
Standard Pacific (G)
7.750%, 03/15/13 600 436
7.000%, 08/15/15 375 269
Station Casinos
6.875%, 03/01/16 1,600 932
6.625%, 03/15/18 (G) 2,050 1,138
Steinway Musical Instruments (A)
7.000%, 03/01/14 4,855 4,151
Stewart Enterprises
6.250%, 02/15/13 1,005 940
Sun Media
7.625%, 02/15/13 2,110 1,994
TRW Automotive (A)
7.250%, 03/15/17 (G) 5,065 4,609
7.000%, 03/15/14 2,310 2,131
Tenneco (G)
8.625%, 11/15/14 4,256 4,182
Town Sports International (B)
4.655%, 02/01/14 1,092 994
Travelport LLC
11.875%, 09/01/16 (G) 4,765 4,050
7.701%, 09/01/14 (D) 2,371 1,921
United Components
9.375%, 06/15/13 1,290 1,182
United Rentals North America
7.750%, 11/15/13 25 20
7.000%, 02/15/14 1,150 903
6.500%, 02/15/12 2,705 2,448
Universal City Florida
8.375%, 05/01/10 100 98
7.989%, 05/01/08 (D) 1,247 1,210
Univision Communications
0.000%, 09/29/14 34 7
Univision Communications PIK (A) (G)
9.750%, 03/15/15 3,675 2,223
Vail Resorts
6.750%, 02/15/14 2,880 2,808
Vicorp Restaurants (G)
10.500%, 04/15/11 426 104
Videotron
6.875%, 01/15/14 5,195 4,792
6.375%, 12/15/15 25 22
Visant Holding
11.058%, 12/01/13 (B) 5,995 5,605
8.750%, 12/01/13 795 743
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Visteon (G)
8.250%, 08/01/10 $ 1,100 $ 899
7.000%, 03/10/14 475 300
WMG Acquisition (G)
7.375%, 04/15/14 1,755 1,351
Wynn Las Vegas LLC
6.625%, 12/01/14 3,716 3,577
--------------
287,588
--------------
CONSUMER STAPLES -- 2.8%
B&G Foods
8.000%, 10/01/11 525 508
Constellation Brands
8.375%, 12/15/14 580 597
7.250%, 09/01/16 4,740 4,610
7.250%, 05/15/17 4,100 3,977
Del Monte
6.750%, 02/15/15 2,565 2,456
Dole Foods (G)
7.250%, 06/15/10 1,275 982
Elizabeth Arden
7.750%, 01/15/14 1,500 1,425
Fleming (C)
10.125%, 04/01/08 1,025 31
9.250%, 06/15/10 188 6
Merisant (G)
9.500%, 07/15/13 2,000 1,420
Merisant Worldwide (B)
8.136%, 05/15/14 1,075 344
Michael Foods
8.000%, 11/15/13 2,765 2,696
NBTY
7.125%, 10/01/15 3,026 2,890
Natural Beef Pack
10.500%, 08/01/11 1,652 1,569
Pantry
7.750%, 02/15/14 1,900 1,672
Rite Aid
9.500%, 06/15/17 3,905 3,065
9.375%, 12/15/11 575 451
9.250%, 06/01/13 (G) 1,025 846
8.625%, 03/01/15 725 553
7.700%, 02/15/27 (G) 150 87
7.500%, 01/15/15 25 23
6.875%, 08/15/13 (G) 100 66
6.875%, 12/15/28 (G) 375 199
Spectrum Brands (G)
7.375%, 02/01/15 1,733 1,126
SuperValu
7.500%, 11/15/14 1,425 1,439
--------------
33,038
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 163
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ENERGY -- 8.7%
Allis-Chalmers Energy
9.000%, 01/15/14 $ 4,942 $ 4,497
8.500%, 03/01/17 350 308
Atlas Pipeline Partners (G)
8.125%, 12/15/15 375 382
Aventine Renewable Energy (G)
10.000%, 04/01/17 2,175 1,403
Baytex Energy
9.625%, 07/15/10 350 354
Brigham Exploration
9.625%, 05/01/14 850 731
Chaparral Energy
8.875%, 02/01/17 675 586
8.500%, 12/01/15 1,887 1,642
Chesapeake Energy
7.750%, 01/15/15 1,850 1,905
7.625%, 07/15/13 475 487
7.500%, 09/15/13 1,100 1,133
7.500%, 06/15/14 806 826
7.000%, 08/15/14 1,024 1,027
6.875%, 01/15/16 547 542
6.500%, 08/15/17 2,735 2,639
Cimarex Energy
7.125%, 05/01/17 3,250 3,226
Colorado Interstate Gas
6.800%, 11/15/15 125 129
5.950%, 03/15/15 88 87
Compagnie Generale de Geophysique
7.750%, 05/15/17 250 254
7.500%, 05/15/15 425 431
Compton Pet Finance
7.625%, 12/01/13 375 359
Comstock Resources
6.875%, 03/01/12 75 72
Connacher Oil & Gas
10.250%, 12/15/15 525 529
Denbury Resources
7.500%, 04/01/13 2,940 3,006
7.500%, 12/15/15 2,380 2,434
Dynegy Holdings
8.375%, 05/01/16 850 841
7.750%, 06/01/19 6,050 5,657
7.500%, 06/01/15 3,420 3,206
Edison Mission Energy
7.625%, 05/15/27 925 869
El Paso
7.420%, 02/15/37 1,225 1,195
7.000%, 06/15/17 1,510 1,553
El Paso MTN
8.050%, 10/15/30 375 392
7.800%, 08/01/31 (G) 1,050 1,078
7.750%, 01/15/32 (G) 1,050 1,078
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
El Paso Performance-Linked Trust (A)
7.750%, 07/15/11 $ 725 $ 741
Encore Acquisition
7.250%, 12/01/17 850 812
6.000%, 07/15/15 625 562
Energy Partners
9.750%, 04/15/14 (G) 1,275 1,052
9.383%, 04/15/08 (D) 175 140
Forest Oil
8.000%, 06/15/08 120 120
8.000%, 12/15/11 1,550 1,616
7.250%, 06/15/19 500 509
Frontier Oil
6.625%, 10/01/11 500 494
Helix Energy Solutions (A)
9.500%, 01/15/16 2,080 2,080
Hilcorp Energy (A)
9.000%, 06/01/16 1,050 1,058
7.750%, 11/01/15 4,150 3,891
Holly Energy Partners LP
6.250%, 03/01/15 1,225 1,112
Inergy LP
6.875%, 12/15/14 325 317
Key Energy Services (A)
8.375%, 12/01/14 200 200
MarkWest Energy, Ser B
8.500%, 07/15/16 2,550 2,569
6.875%, 11/01/14 1,600 1,512
Newfield Exploration
6.625%, 04/15/16 1,610 1,578
Northwest Pipeline
7.000%, 06/15/16 225 239
5.950%, 04/15/17 300 298
Opti Canada
8.250%, 12/15/14 2,335 2,312
7.875%, 12/15/14 930 909
PHI
7.125%, 04/15/13 125 115
Pacific Energy Partner
7.125%, 06/15/14 225 238
6.250%, 09/15/15 100 99
Parker Drilling
9.625%, 10/01/13 236 248
Peabody Energy
7.375%, 11/01/16 350 362
Peabody Energy, Ser B
6.875%, 03/15/13 2,700 2,740
PetroProd
10.850%, 05/24/13 800 744
Petrohawk Energy
9.125%, 07/15/13 2,500 2,569
Petroleum Development
12.000%, 02/15/18 2,250 2,250
- --------------------------------------------------------------------------------
164 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Plains Exploration
7.750%, 06/15/15 $ 150 $ 150
7.000%, 03/15/17 825 792
Pride International
7.375%, 07/15/14 859 893
Quicksilver Resources
7.125%, 04/01/16 700 675
Range Resources
6.375%, 03/15/15 350 343
SESI LLC
6.875%, 06/01/14 1,000 955
Sabine Pass LNG L.P.
7.500%, 11/30/16 1,600 1,544
7.250%, 11/30/13 1,400 1,351
Sonat
7.625%, 07/15/11 35 36
Southern Natural Gas
7.350%, 02/15/31 375 384
Southwestern Energy
7.500%, 02/01/18 2,900 3,001
Swift Energy
7.625%, 07/15/11 4,650 4,603
Tesoro
6.625%, 11/01/15 1,130 1,045
6.500%, 06/01/17 2,400 2,148
Transcontinental Gas Pipe
6.400%, 04/15/16 175 180
United Refining, Ser 2
10.500%, 08/15/12 675 668
Veneco
8.750%, 12/15/11 2,730 2,477
Whiting Petroleum
7.000%, 02/01/14 980 970
Williams
7.750%, 06/15/31 500 531
Williams Partners L.P.
7.250%, 02/01/17 2,410 2,422
--------------
103,512
--------------
FINANCIALS -- 9.0%
AAC Group Holding (B) (G)
2.733%, 10/01/12 1,080 875
AAC Group Holding PIK
14.750%, 10/01/12 726 570
ACE Cash Express (A)
10.250%, 10/01/14 775 632
ALH Finance LLC
8.500%, 01/15/13 3,605 3,281
Alamosa Delaware
8.500%, 01/31/12 1,005 907
Algoma Acquisition (A)
9.875%, 06/15/15 500 432
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Alliant Holdings I (A)
11.000%, 05/01/15 $ 2,125 $ 1,700
American Real Estate
7.125%, 02/15/13 4,350 3,948
Ashtead Capital (A) (G)
9.000%, 08/15/16 2,685 2,175
Cardtronics
9.250%, 08/15/13 150 141
9.250%, 08/15/13 (A) 350 329
Cebridge PIK
11.370%, 05/05/14 515 400
Deluxe
7.375%, 06/01/15 200 187
FTI Consulting
7.750%, 10/01/16 525 543
7.625%, 06/15/13 425 436
Felcor Lodging L.P.+
8.500%, 06/01/11 300 294
6.788%, 04/30/08 (D) 225 199
First Data
3.375%, 08/01/08 630 619
Ford Motor Credit LLC
9.750%, 09/15/10 1,754 1,562
8.708%, 04/17/08 (D) 3,185 2,993
8.000%, 12/15/16 2,600 2,035
7.800%, 06/01/12 3,785 3,122
7.375%, 10/28/09 1,050 957
7.375%, 02/01/11 (G) 675 563
7.250%, 10/25/11 1,290 1,060
7.127%, 04/13/08 (D) 300 222
7.000%, 10/01/13 6,063 4,729
5.828%, 04/18/08 (D) 515 431
GMAC LLC
8.000%, 11/01/31 2,407 1,725
7.750%, 01/19/10 150 130
7.250%, 03/02/11 375 295
7.000%, 02/01/12 100 76
6.875%, 09/15/11 2,725 2,086
6.875%, 08/28/12 5,060 3,845
6.750%, 12/01/14 (G) 7,601 5,379
6.625%, 05/15/12 1,260 953
6.000%, 12/15/11 375 280
4.315%, 05/15/08 375 320
HUB International Holdings (A)
9.000%, 12/15/14 2,900 2,262
Hawker Beechcraft Acquisition
9.750%, 04/01/17 (A) 560 547
9.750%, 04/01/17 (G) 875 859
Hawker Beechcraft Acquisition PIK (A)
8.875%, 04/01/15 2,065 2,111
Hellas II (A) (D)
10.008%, 06/21/08 2,250 1,609
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 165
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Hexion US Fin/Nova Scotia
9.750%, 11/15/14 $ 2,250 $ 2,413
7.565%, 05/15/08 (D) 750 701
Host Hotels & Resorts L.P.
6.875%, 11/01/14 1,555 1,481
Host Marriott L.P.+
7.125%, 11/01/13 1,255 1,230
Host Marriott L.P., Ser M+
7.000%, 08/15/12 450 440
Host Marriott L.P., Ser O+
6.375%, 03/15/15 725 674
Host Marriott L.P., Ser Q+ (G)
6.750%, 06/01/16 1,315 1,230
Ipayment
9.750%, 05/15/14 750 666
LVB Acquisition Merger (A)
11.625%, 10/15/17 575 575
10.000%, 10/15/17 150 157
LVB Acquisition Merger PIK (A) (G)
10.375%, 10/15/17 7,770 8,061
Marlin Water Trust II (A) (C)
6.310%, 07/15/03 4,200 315
NSG Holdings LLC (A)
7.750%, 12/15/25 475 461
Nielsen Finance LLC
10.000%, 08/01/14 2,750 2,736
0.000%, 08/01/16 (B) 1,075 680
Nuveen Investments (A)
10.500%, 11/15/15 6,160 5,282
Omega Healthcare Investors+
7.000%, 01/15/16 1,300 1,235
PXRE Capital Trust I
8.850%, 02/01/27 900 868
Petroplus Finance
7.000%, 05/01/17 (A) 3,740 3,338
6.750%, 05/01/14 1,400 1,274
6.750%, 05/01/14 (A) 1,200 1,095
Pinnacle Foods Finance (G)
10.625%, 04/01/17 1,725 1,466
Regency Energy Partners
8.375%, 12/15/13 1,202 1,226
Residential Capital LLC
7.625%, 11/21/08 (G) 2,550 1,760
6.598%, 04/17/08 725 413
6.370%, 05/21/08 150 102
3.490%, 06/09/08 (D) 75 59
Rouse L.P.+ (A)
6.750%, 05/01/13 700 603
SLM MTN, Ser S (D) (F)
2.827%, 04/14/08 3,066 3,066
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
SPX (A)
7.625%, 12/15/14 $ 1,190 $ 1,226
Senior Housing Properties Trust+
7.875%, 04/15/15 671 671
Snoqualmie Enterprises Authority (A)
9.125%, 02/01/15 1,025 876
6.936%, 08/01/08 (D) 300 245
Tenneco (A)
8.125%, 11/15/15 945 938
Trustreet Properties+
7.500%, 04/01/15 475 517
Ventas Realty LP+
7.125%, 06/01/15 250 248
6.750%, 04/01/17 850 831
6.625%, 10/15/14 375 369
Yankee Acquisition, Ser B (G)
8.500%, 02/15/15 375 303
--------------
107,650
--------------
HEALTH CARE -- 2.6%
Advanced Mecial Optics
7.500%, 05/01/17 3,650 3,139
Bio-Rad Laboratories
7.500%, 08/15/13 175 175
6.125%, 12/15/14 950 907
CRC Health
10.750%, 02/01/16 2,100 1,974
Cooper
7.125%, 02/15/15 4,025 3,844
Davita
6.625%, 03/15/13 2,100 2,037
FMC Finance III
6.875%, 07/15/17 1,695 1,695
Fresenius Medical Capital Trust IV
7.875%, 06/15/11 1,050 1,089
HCA
8.750%, 09/01/10 745 745
6.750%, 07/15/13 615 544
MedCath Holdings (G)
9.875%, 07/15/12 431 450
NMH Holdings PIK (A)
9.925%, 06/15/08 682 593
Norcross Safety Products, Ser B
9.875%, 08/15/11 1,315 1,355
Res-care
7.750%, 10/15/13 675 641
Select Medical
7.625%, 02/01/15 1,525 1,205
Spheris
11.000%, 12/15/12 1,400 1,155
Sun Healthcare Group
9.125%, 04/15/15 375 362
- --------------------------------------------------------------------------------
166 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Surgical Care Affiliates PIK (A)
8.875%, 07/15/15 $ 850 $ 655
Tenet Healthcare
9.250%, 02/01/15 4,475 4,184
US Oncology
10.750%, 08/15/14 500 494
9.000%, 08/15/12 675 672
United Surgical Partners (G)
8.875%, 05/01/17 1,705 1,603
United Surgical Partners PIK
9.250%, 05/01/17 2,160 1,998
Universal Hospital Services
8.500%, 06/01/15 250 250
8.288%, 06/01/08 175 156
--------------
31,922
--------------
INDUSTRIALS -- 9.0%
ACCO Brands
7.625%, 08/15/15 4,655 4,120
ACIH (A) (B) (G)
11.500%, 12/15/12 975 273
AGY Holding (A)
11.000%, 11/15/14 675 608
Actuant (A)
6.875%, 06/15/17 3,000 2,962
Ahern Rentals
9.250%, 08/15/13 1,225 971
Aleris International
10.000%, 12/15/16 1,900 1,206
Alliant Techsystems
6.750%, 04/01/16 500 486
Allied Waste North America
7.250%, 03/15/15 (G) 205 205
6.500%, 11/15/10 3,300 3,300
6.125%, 02/15/14 (G) 2,030 1,959
Allied Waste North America, Ser B (G)
7.375%, 04/15/14 860 846
7.125%, 05/15/16 545 544
Allison Transmission (A) (G)
11.000%, 11/01/15 400 348
Allison Transmission PIK (A) (G)
11.250%, 11/01/15 275 231
Altos Hornos de Mexico, Ser A (C)
11.375%, 04/30/02 500 300
Altos Hornos de Mexico, Ser B (C)
11.875%, 04/30/04 900 540
American Airlines, Ser 01-1
7.379%, 05/23/16 112 95
American Axle & Manufacturing
7.875%, 03/01/17 1,425 1,208
American Railcar Industries
7.500%, 03/01/14 300 264
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Ames True Temper
10.000%, 07/15/12 (G) $ 1,165 $ 542
8.258%, 04/15/08 (D) 1,345 1,116
Associated Materials (B) (G)
15.609%, 03/01/14 650 444
Baker & Taylor (A)
11.500%, 07/01/13 950 856
Baldor Electric (G)
8.625%, 02/15/17 1,910 1,891
Belden
7.000%, 03/15/17 200 193
Buffalo Thunder Development
Authority (A)
9.375%, 12/15/14 2,225 1,669
Buhrmann US
8.250%, 07/01/14 1,750 1,645
7.875%, 03/01/15 625 584
Chart Industries
9.125%, 10/15/15 325 319
Cornell
10.750%, 07/01/12 500 521
Corrections Corp of America
7.500%, 05/01/11 1,000 1,010
6.750%, 01/31/14 450 452
6.250%, 03/15/13 2,672 2,619
D. R. Horton
5.625%, 09/15/14 1,090 926
5.625%, 01/15/16 525 438
DRS Technologies
7.625%, 02/01/18 575 575
6.875%, 11/01/13 300 294
6.625%, 02/01/16 1,000 977
Delta Air Lines, Ser 2002-1 (G)
8.300%, 12/15/29 925 28
Delta Air Lines, Ser 2002-1, Cl C (G)
7.779%, 01/02/12 750 697
Domtar
9.500%, 08/01/16 (G) 275 281
7.125%, 08/15/15 2,025 1,909
ESCO (A)
8.625%, 12/15/13 660 640
6.675%, 06/15/08 (D) 150 129
Education Management LLC
10.250%, 06/01/16 (G) 2,450 1,948
8.750%, 06/01/14 50 42
General Cable (G)
7.125%, 04/01/17 360 344
Graftech Finance
10.250%, 02/15/12 247 256
Gulfmark Offshore
7.750%, 07/15/14 875 888
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 167
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Hovnanian Enterprises
8.625%, 01/15/17 (G) $ 1,920 $ 1,478
6.500%, 01/15/14 350 236
6.375%, 12/15/14 250 169
6.250%, 01/15/15 275 184
6.250%, 01/15/16 1,050 709
Indalex Holding, Ser B
11.500%, 02/01/14 784 639
Interline Brands
8.125%, 06/15/14 1,040 993
Iron Mountain
8.750%, 07/15/18 70 73
8.625%, 04/01/13 1,297 1,310
7.750%, 01/15/15 1,670 1,678
6.625%, 01/01/16 (G) 5,470 5,210
J.B. Poindexter
8.750%, 03/15/14 425 277
KAR Holdings
10.000%, 05/01/15 1,675 1,449
8.750%, 05/01/14 2,205 1,962
7.239%, 05/01/08 (G) 800 660
L-3 Communications
5.875%, 01/15/15 4,111 3,936
L-3 Communications, Ser B
6.375%, 10/15/15 2,929 2,863
Lamar Media (G)
6.625%, 08/15/15 700 616
Language Line
11.125%, 06/15/12 50 51
Lyondellbasell (A)
8.375%, 08/15/15 1,225 894
MAAX (C) (G)
9.750%, 06/15/12 375 83
Millar Western Forest
7.750%, 11/15/13 605 408
Mobile Mini
6.875%, 05/01/15 750 623
Mobile Services Group
9.750%, 08/01/14 450 421
Mueller Water Products
7.375%, 06/01/17 1,000 862
NTK Holdings (G)
3.666%, 03/01/14 750 364
Nebraska Book
8.625%, 03/15/12 250 224
Noble Group (A)
6.625%, 03/17/15 575 494
Nortek
8.500%, 09/01/14 500 370
Northwest Airlines
0.000%, 03/15/08 175 4
0.000%, 02/01/09 75 2
0.000%, 11/15/23 1,200 33
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Northwest Airlines (G)
8.875%, 06/01/06 $ 1,575 $ 33
PNA Intermed Holding
10.065%, 05/15/08 500 389
Ply Gem
9.000%, 02/15/12 275 201
Propex Fabrics
10.000%, 12/01/12 175 21
Psychiatric Solutions
7.750%, 07/15/15 2,825 2,811
Quality Distributors
9.000%, 11/15/10 825 516
Quebecor World Capital (G)
8.750%, 03/15/16 (A) 3,650 1,734
6.125%, 11/15/13 975 400
RBS Global & Rexnord
11.750%, 08/01/16 (G) 1,000 865
9.500%, 08/01/14 575 538
8.875%, 09/01/16 2,410 2,133
Rainbow National Services LLC (A)
8.750%, 09/01/12 1,485 1,518
Stallion Oilfield Services (A)
9.750%, 02/01/15 3,700 2,534
Sunstate Equipment (A)
10.500%, 04/01/13 690 531
Superior Essex Com & Essex Group
9.000%, 04/15/12 654 629
Swift Transportation (A) (G)
12.500%, 05/15/17 1,425 581
Terex (G)
8.000%, 11/15/17 7,585 7,547
Titan International
8.000%, 01/15/12 3,015 2,955
Transdigm
7.750%, 07/15/14 1,775 1,775
Tube City IMS
9.750%, 02/01/15 800 704
UCI Holdings
12.491%, 06/15/08 949 825
United Air Lines (C)
9.125%, 01/15/12 1,075 --
United Air Lines, Ser 2001-1
6.201%, 09/01/08 446 441
United Air Lines, Ser 95A1
9.020%, 04/19/12 411 185
United Air Lines, Ser 95A2
9.560%, 10/19/18 645 319
United Air Lines, Ser A (C)
10.670%, 05/01/04 525 --
Vanguard Health Holdings I (B)
0.000%, 10/01/15 600 459
- --------------------------------------------------------------------------------
168 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Vanguard Health Holdings II
9.000%, 10/01/14 $ 400 $ 385
Visant
7.625%, 10/01/12 500 486
Vought Aircraft Industries (G)
8.000%, 07/15/11 2,600 2,385
--------------
107,874
--------------
INFORMATION TECHNOLOGY -- 4.1%
Activant Solution
9.500%, 05/01/16 1,500 1,260
Advanced Micro Devices (G)
7.750%, 11/01/12 1,642 1,330
Amkor Technologies
7.125%, 03/15/11 1,300 1,222
Amkor Technologies (G)
9.250%, 06/01/16 2,250 2,166
Compucom Systems (A)
12.500%, 10/01/15 900 839
First Data (A) (G)
9.875%, 09/24/15 2,220 1,826
Flextronics International
6.500%, 05/15/13 1,300 1,242
6.250%, 11/15/14 (G) 1,250 1,150
Freescale Semiconductor
10.125%, 12/15/16 (G) 3,150 2,126
8.875%, 12/15/14 2,360 1,847
6.675%, 06/15/08 (D) 275 190
Freescale Semiconductor PIK
9.125%, 12/15/14 6,855 5,004
Magnachip Semiconductor (G)
6.875%, 12/15/11 450 324
NXP Funding LLC
9.500%, 10/15/15 (G) 5,355 4,404
7.875%, 10/15/14 2,200 2,013
7.008%, 04/15/08 (D) 1,000 829
Nortel Networks
8.508%, 04/15/08 400 343
Open Solutions (A)
9.750%, 02/01/15 4,225 3,274
Sanmina-SCI
8.125%, 03/01/16 (G) 1,500 1,327
5.550%, 06/15/08 (A) (D) 2,949 2,773
Seitel
9.750%, 02/15/14 2,300 1,938
Sensata Technologies
8.000%, 05/01/14 3,375 2,970
Smart Modular (D)
10.229%, 04/01/08 1,670 1,637
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Sungard Data Systems (G)
10.250%, 08/15/15 $ 6,425 $ 6,457
Viasystems
10.500%, 01/15/11 400 367
--------------
48,858
--------------
MATERIALS -- 8.6%
AK Steel
7.750%, 06/15/12 3,300 3,329
Abitibi Consolidated
8.850%, 08/01/30 100 45
8.550%, 08/01/10 2,000 1,150
6.000%, 06/20/13 1,275 618
Appleton Papers
8.125%, 06/15/11 300 289
Appleton Papers, Ser B
9.750%, 06/15/14 1,150 1,090
Arch Western Finance
6.750%, 07/01/13 8,950 8,928
Ball
6.625%, 03/15/18 1,250 1,241
Bowater
9.500%, 10/15/12 500 350
Bowater Canada Finance
7.950%, 11/15/11 300 206
Bway
10.000%, 10/15/10 674 649
CII Carbon LLC (A)
11.125%, 11/15/15 525 467
Cascades
7.250%, 02/15/13 655 578
Catalyst Paper
7.375%, 03/01/14 455 341
Catalyst Paper, Ser D
8.625%, 06/15/11 1,033 860
Claymont Steel
8.875%, 02/15/15 150 158
Crown Americas
7.750%, 11/15/15 1,394 1,432
Crown Cork & Seal
8.000%, 04/15/23 1,475 1,372
FMG Finance (A)
10.625%, 09/01/16 (G) 2,885 3,246
10.000%, 09/01/13 400 430
Freeport-McMoRan Copper & Gold
8.394%, 04/01/08 (D) 1,350 1,326
8.375%, 04/01/17 6,505 6,903
Georgia Gulf (G)
9.500%, 10/15/14 275 212
7.125%, 12/15/13 300 216
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 169
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Georgia-Pacific LLC
8.125%, 05/15/11 $ 1,140 $ 1,131
8.000%, 01/15/24 1,475 1,298
7.700%, 06/15/15 (G) 2,020 1,899
7.125%, 01/15/17 (A) 2,490 2,303
7.000%, 01/15/15 (A) 3,275 3,070
Graham Packaging (G)
9.875%, 10/15/14 3,415 2,869
Huntsman International LLC
7.875%, 11/15/14 1,355 1,436
Huntsman LLC
11.500%, 07/15/12 905 964
INEOS Group Holdings PLC (A) (G)
8.500%, 02/15/16 3,990 3,102
Innophos
8.875%, 08/15/14 475 461
Innophos Holdings (A)
9.500%, 04/15/12 725 678
Intertape Polymer
8.500%, 08/01/14 475 394
Macdermid (A) (G)
9.500%, 04/15/17 950 850
Methanex
6.000%, 08/15/15 175 170
Millennium America
7.625%, 11/15/26 175 113
Momentive Performance
11.500%, 12/01/16 (G) 2,775 2,112
9.750%, 12/01/14 150 135
Mosaic (A)
7.625%, 12/01/16 (G) 2,550 2,741
7.375%, 12/01/14 650 695
Mosaic Global Holdings
7.300%, 01/15/28 350 339
Nalco (G)
8.875%, 11/15/13 1,480 1,521
7.750%, 11/15/11 2,075 2,101
Neenah
9.500%, 01/01/17 475 328
NewPage
10.000%, 05/01/12 1,980 2,010
Newark Group
9.750%, 03/15/14 775 620
Noranda Aluminum Acquisition
PIK (A)
8.738%, 05/18/08 3,440 2,700
Noranda Aluminum Holdings
PIK (A)
10.488%, 05/15/08 1,050 772
Novelis
7.250%, 02/15/15 1,200 1,062
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Owens-Brockway Glass Container
8.250%, 05/15/13 $ 1,295 $ 1,340
6.750%, 12/01/14 990 985
P.H. Glatfelter
7.125%, 05/01/16 1,705 1,675
PNA Group
10.750%, 09/01/16 1,325 1,153
Packaging Dynamics (A)
10.000%, 05/01/16 2,430 1,810
Polyone (G)
8.875%, 05/01/12 3,065 3,096
Reichhold Industries (A)
9.000%, 08/15/14 1,519 1,489
Rock-Tenn
5.625%, 03/15/13 2,200 2,024
Rockwood Specialties Group
7.500%, 11/15/14 1,270 1,232
Solo Cup
8.500%, 02/15/14 1,400 1,183
Solutia (C)
7.375%, 10/15/27 450 --
Steel Dynamics
7.750%, 04/15/16 1,400 1,402
7.375%, 11/01/12 (A) 4,295 4,338
Stone Container
8.375%, 07/01/12 2,240 2,027
8.000%, 03/15/17 (G) 825 693
Terra Capital, Ser B
7.000%, 02/01/17 2,860 2,821
US Steel
6.650%, 06/01/37 150 127
Verso Paper Holdings LLC, Ser B (G)
11.375%, 08/01/16 400 367
Vitro
9.125%, 02/01/17 2,745 2,278
--------------
103,350
--------------
TELECOMMUNICATION SERVICES -- 8.9%
American Tower
7.500%, 05/01/12 125 128
7.125%, 10/15/12 875 895
7.000%, 10/15/17 75 75
Centennial Communications
10.580%, 04/01/08 (D) 100 87
10.125%, 06/15/13 2,320 2,291
8.125%, 02/01/14 (G) 975 921
Cincinnati Bell
7.250%, 07/15/13 2,970 2,918
7.000%, 02/15/15 125 113
- --------------------------------------------------------------------------------
170 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Citizens Communications
9.750%, 04/01/12 $ 3,714 $ 3,895
9.250%, 05/15/11 1,775 1,837
6.625%, 03/15/15 1,480 1,332
6.250%, 01/15/13 150 136
Cricket Communications I
9.375%, 11/01/14 (A) 1,750 1,658
9.375%, 11/01/14 (G) 4,100 3,885
Digicel Group (A)
9.250%, 09/01/12 2,545 2,526
8.875%, 01/15/15 (G) 2,280 1,904
Digicel Group PIK (A) (G)
0.000%, 01/15/15 2,575 2,124
Embarq
7.082%, 06/01/16 450 426
Fairpoint Communications
13.125%, 04/01/18 3,840 3,686
GCI
7.250%, 02/15/14 1,525 1,258
Hawaiian Telecom Communications,
Ser B (G)
9.750%, 05/01/13 700 378
Intelsat
9.000%, 06/15/16 475 479
7.625%, 04/15/12 150 113
6.500%, 11/01/13 3,375 2,194
Intelsat Bermuda
11.250%, 06/15/16 2,315 2,347
9.250%, 06/15/16 578 582
Intelsat Intermediate (B)
0.000%, 02/01/15 2,955 2,512
Intelsat Sub Holding
8.625%, 01/15/15 (G) 1,000 1,008
8.250%, 01/15/13 1,105 1,113
Level 3 Financing
9.250%, 11/01/14 (G) 3,500 2,861
8.750%, 02/15/17 800 608
6.704%, 08/15/08 (D) 125 88
Lucent Technologies
6.450%, 03/15/29 375 268
MetroPCS Wireless
9.250%, 11/01/14 7,565 6,960
Nordic Telephone Holdings (A) (G)
8.875%, 05/01/16 3,270 3,172
Orascom Telecom Finance (A)
7.875%, 02/08/14 2,275 2,110
Paetec Holding
9.500%, 07/15/15 4,945 4,549
Primus Telecommunications (G)
8.000%, 01/15/14 1,650 710
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Qwest
8.875%, 03/15/12 $ 1,475 $ 1,505
7.875%, 09/01/11 300 299
7.625%, 06/15/15 832 811
7.500%, 10/01/14 1,280 1,248
7.250%, 09/15/25 350 305
7.250%, 10/15/35 1,200 990
6.875%, 09/15/33 225 180
6.500%, 06/01/17 75 68
6.050%, 06/15/08 (D) 896 806
Qwest Capital Funding (G)
7.900%, 08/15/10 425 425
Qwest Communications International
7.500%, 02/15/14 550 517
7.250%, 02/15/11 125 120
6.565%, 05/11/08 (D) (G) 2,388 2,364
Qwest Communications International,
Ser B
7.500%, 02/15/14 4,020 3,779
Rogers Communications
8.000%, 12/15/12 50 52
Rural Cellular
8.250%, 03/15/12 2,315 2,373
6.076%, 06/04/08 845 845
Securus Technologies (G)
11.000%, 09/01/11 100 72
Syniverse Technologies, Ser B
7.750%, 08/15/13 150 141
Telcordia Technologies (A) (G)
10.000%, 03/15/13 1,200 840
Triton
8.500%, 06/01/13 1,550 1,614
Virgin Media Finance PLC
9.125%, 08/15/16 400 358
8.750%, 04/15/14 2,125 1,907
West
11.000%, 10/15/16 250 211
9.500%, 10/15/14 3,960 3,544
Wind Acquisition Finance (A) (G)
10.750%, 12/01/15 3,925 4,003
Wind Acquisition Holdings
12.449%, 12/21/11 310 272
Windstream
8.625%, 08/01/16 (G) 7,125 7,036
8.125%, 08/01/13 640 629
7.000%, 03/15/19 1,775 1,544
Windstream Regatta Holdings (A)
11.000%, 12/01/17 1,000 610
iPCS (D)
5.364%, 05/01/08 1,335 1,028
iPCS PIK
6.489%, 05/01/14 2,455 1,890
--------------
106,533
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 171
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
UTILITIES -- 3.5%
AES
9.375%, 09/15/10 $ 650 $ 687
8.875%, 02/15/11 2,325 2,435
8.750%, 05/15/13 533 554
8.000%, 10/15/17 2,825 2,860
7.750%, 03/01/14 150 151
7.750%, 10/15/15 240 242
Calpine Generating (C)
14.320%, 04/01/08 1,600 296
Dynegy Holdings
6.875%, 04/01/11 200 197
Edison Mission Energy
7.500%, 06/15/13 300 308
7.200%, 05/15/19 450 444
7.000%, 05/15/17 4,055 4,035
El Paso (G)
7.875%, 06/15/12 1,445 1,511
Energy Future Holdings (A)
10.875%, 11/01/17 2,535 2,560
Mirant (C)
0.000%, 07/15/07 1,150 2
0.000%, 07/15/09 50 1
Mirant (C) (G)
0.000%, 07/15/04 450 9
Mirant Americas Generation LLC
8.500%, 10/01/21 3,097 2,811
8.300%, 05/01/11 2,305 2,351
Mirant North America LLC
7.375%, 12/31/13 2,820 2,848
NRG Energy
7.375%, 02/01/16 1,815 1,779
7.375%, 01/15/17 6,225 6,054
7.250%, 02/01/14 3,335 3,293
Sierra Pacific Resources
7.803%, 06/15/12 775 814
TXU, Ser P
5.550%, 11/15/14 350 273
TXU, Ser R
6.550%, 11/15/34 150 106
Tenaska Alabama (A)
7.000%, 06/30/21 330 308
Texas Competitive Electic Holdings (A)
10.250%, 11/01/15 5,270 5,251
--------------
42,180
--------------
Total Corporate Obligations
(Cost $1,068,887) ($ Thousands) 972,505
--------------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
LOAN PARTICIPATIONS -- 8.5%
FINANCIALS -- 8.5%
Advanstar Communications, 2nd Lien
10.320%, 11/30/14 $ 1,250 $ 875
Aeroflex
8.119%, 07/29/14 648 577
Affinion Holding
11.678%, 03/01/12 900 711
Affinion Holding PIK
11.678%, 01/24/12 3,000 2,370
11.678%, 03/01/12 800 632
Alliant Insurance Services, Ser B
9.400%, 11/15/14 1,247 1,085
Allison Transmission
7.430%, 08/07/14 2,480 2,174
Alltel Holdings
7.778%, 05/31/15 2,065 1,864
Ameritrade Holding
4.770%, 12/31/12 850 803
Ameritrade Holding, Term Loan B
4.770%, 12/31/12 662 626
Ameritrade Holding, Term Loan B,
Lot 6
4.770%, 12/31/12 2,150 2,032
Asurion
8.320%, 07/02/14 1,000 840
Asurion, 2nd Lien
12.036%, 07/02/15 500 421
0.000%, 07/07/15 (J) 528 444
0.000%, 07/07/15 (J) 722 608
0.000%, 07/07/15 (J) 211 178
0.000%, 07/07/15 (J) 39 33
BOC Edwards
10.831%, 05/31/14 175 98
7.081%, 05/31/14 150 100
Boise Paper
12.500%, 02/22/15 800 758
Boston Generating
0.000%, 06/19/14 492 433
Boston Generating, 1st Lien
12.198%, 12/21/16 175 161
Boston Generating, 2nd Lien
9.080%, 06/21/14 700 616
CCFC
11.310%, 08/26/09 2,058 2,057
Cebridge
11.370%, 05/05/14 1,890 1,075
Cebridge PIK
11.380%, 05/05/14 829 645
- --------------------------------------------------------------------------------
172 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Central Parking
7.250%, 05/22/14 $ 1,120 $ 997
0.000%, 05/22/14 569 508
0.000%, 05/22/14 566 506
Central Parking (Synthetic)
0.000%, 05/22/14 307 273
Central Parking LOC (Synthetic)
7.500%, 05/22/14 360 321
Central Parking Synthetic LOC
(Synthetic)
7.500%, 05/22/14 179 160
Century Cable
10.250%, 06/30/09 3 --
Charter, 3rd Lien
7.850%, 03/01/14 500 376
7.343%, 09/06/14 350 263
Claire's Stores
8.110%, 05/07/14 2 1
Community Health Systems
7.756%, 07/02/14 43 40
0.000%, 07/02/14 29 27
0.000%, 07/02/14 15 14
0.000%, 07/13/14 (I) 124 --
0.000%, 07/25/14 79 73
Cooper Standard
7.875%, 12/23/11 2,216 1,987
Dae Aviation Holdings
8.970%, 07/31/14 1,346 1,276
0.000%, 07/31/09 669 659
0.000%, 07/31/09 84 82
0.000%, 07/31/09 84 82
0.000%, 07/31/09 84 82
0.000%, 07/31/09 251 247
0.000%, 07/31/09 167 165
Dae Aviation Holdings, Term Loan B (J)
0.000%, 07/31/14 95 91
0.000%, 07/31/14 95 91
0.000%, 07/31/14 95 91
0.000%, 07/31/14 95 91
Dae Aviation Holdings, Term Loan B 2 (J)
0.000%, 07/31/14 72 69
0.000%, 07/31/14 72 69
0.000%, 07/31/14 72 69
0.000%, 07/31/14 72 69
Delta, 2nd Lien
8.082%, 04/30/14 224 176
Dresser Rand, 1st Lien
7.860%, 05/04/14 470 424
Dresser Rand, 2nd Lien
11.129%, 05/04/15 2,195 1,950
11.110%, 05/04/15 950 844
Entegra PIK
11.340%, 04/04/15 250 208
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Entegra PIK, 3rd Lien
11.340%, 04/19/15 $ 1,668 $ 1,384
Enterprise Group Holdings
6.793%, 05/05/08 1,500 1,474
5.443%, 05/05/08 300 295
Enterprise Group Holdings, Lot 3
7.494%, 05/05/08 100 98
First Data
7.960%, 09/24/14 1,025 921
7.634%, 09/24/14 2,531 2,274
7.580%, 09/24/14 188 169
Ford, 1st Lien
8.000%, 12/12/13 822 673
Georgia Pacific
7.340%, 02/14/13 375 348
Georgia Pacific, Ser B
7.485%, 02/14/13 991 919
Green Valley Ranch Gaming, 2nd Lien
8.791%, 08/06/14 2,000 1,538
Hexion Specialty Chemicals,
Term Loan C1
7.000%, 05/05/13 2,525 2,346
Hexion Specialty Chemicals,
Term Loan C2
7.125%, 05/05/13 473 440
Iasis Healthcare
10.610%, 06/15/14 2,165 1,711
Infor Global Solutions
11.610%, 03/02/14 475 344
0.000%, 07/28/12 (J) 491 432
0.000%, 07/28/12 (J) 257 226
0.000%, 07/28/12 (J) 655 575
0.000%, 03/02/14 570 413
0.000%, 03/02/14 276 200
0.000%, 03/02/14 329 239
Infor Global Solutions, Delayed Draw
8.950%, 07/28/12 342 300
Intel
8.500%, 01/15/13 1,200 1,092
Intelsat Bermuda
5.611%, 02/02/14 1,325 1,317
Invernell (IM US) Holdings LLC,
2nd Lien
0.000%, 06/26/15 1,000 858
JG Wentworth, 1st Lein
7.093%, 04/04/14 1,019 716
KAR Holding
7.570%, 04/20/14 1,225 1,072
Language Line, Term Loan B
6.520%, 05/14/11 2,000 1,830
McKechnie Aerospace
10.340%, 05/11/15 700 557
7.340%, 05/11/14 225 192
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 173
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Continued)
March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
McKechnie Aerospace, 1st Lien
7.360%, 05/11/14 $ 325 $ 278
Metroflag, 2nd Lien
13.023%, 07/06/08 300 273
Murray
13.875%, 01/31/11 2,027 1,925
NRG Holdings LOC
6.480%, 02/01/13 301 283
NRG Holdings Term Loan B
6.580%, 06/02/13 653 613
New World Gaming
11.750%, 06/18/14 1,225 1,047
Nielsen Finance LLC
8.190%, 08/09/13 744 669
Orbitz Worldwide
7.838%, 07/01/14 3,242 2,723
Penhall
12.824%, 03/28/12 665 585
Pinnacle Foods
7.593%, 04/02/14 848 738
Proquest
8.328%, 02/09/14 765 700
Proquest Term Loan
7.167%, 02/09/14 530 485
0.000%, 02/09/14 160 146
Proquest, 2nd Lien
10.441%, 02/09/16 1,200 1,122
Resolute Aneth LLC, 2nd Lien
7.810%, 06/27/13 1,500 1,335
Rexnord
12.360%, 02/20/13 2,208 2,009
Reynolds & Reynolds, 3rd Lien
12.860%, 04/01/14 1,300 1,183
12.860%, 04/24/14 500 455
12.698%, 04/01/14 800 728
12.343%, 04/01/14 1,700 1,547
0.000%, 04/24/14 700 637
Sandridge
8.625%, 04/01/15 1,050 1,034
Simmons Holdco
10.650%, 02/15/12 1,500 937
10.648%, 02/15/12 1,145 716
Soren, 2nd Lien
0.000%, 02/16/14 600 576
Sorenson Communications, 2nd Lien
12.500%, 02/16/14 2,500 2,400
Surgical Care Affiliates
7.570%, 12/29/14 1,500 1,230
TPF Generation Holdings LLC
9.620%, 12/15/14 1,750 1,447
Texas Competitive Electric
0.000%, 10/10/14 4,591 4,156
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Texas Competitive Electric
8.622%, 10/10/14 $ 505 $ 457
8.396%, 10/10/14 4 3
8.396%, 10/27/14 450 408
Town Sports International
7.500%, 08/27/13 249 204
Tropicana Entertainment
7.850%, 12/31/11 1,465 1,391
Univision Communications
7.570%, 03/15/14 940 738
7.210%, 09/15/14 94 74
7.210%, 09/29/14 268 211
7.072%, 09/29/14 3 2
5.491%, 09/15/14 881 692
0.000%, 03/15/14 (I) 60 13
0.000%, 09/15/14 (I) 86 18
Univision Communications, B
0.000%, 09/29/14 134 105
0.000%, 09/29/14 537 422
Univision Communications,
Delayed Draw
7.095%, 09/29/14 11 8
0.000%, 09/29/14 27 21
0.000%, 09/29/14 3 3
Venoco
9.125%, 05/07/14 375 326
Verint Systems
5.989%, 05/09/14 1,877 1,595
WideOpenWest Finance LLC, 2nd Lien
11.610%, 06/18/15 1,000 700
Wind Acquisition Holdings
12.609%, 12/12/11 2,697 2,369
11.201%, 12/21/11 820 722
--------------
Total Loan Participations
(Cost $109,299) ($ Thousands) 102,009
--------------
ASSET-BACKED SECURITIES -- 5.7%
OTHER ASSET-BACKED SECURITIES -- 5.7%
Ares CLO, Ser 2006-5RA, Cl SUB (A)
0.000%, 02/24/18 7,000 3,640
Ares CLO, Ser 2007-11A, Cl SUB
0.000%, 10/11/21 2 1,512
Ares CLO, Ser 2007-3RA, Cl SUB
0.000%, 04/16/21 3,800 2,318
Babson CLO, Ser 2004-2A, Cl SUB
0.000%, 17 782
Babson CLO, Ser 2007-2A, Cl D
5.958%, 04/15/08 900 524
Babson CLO, Ser 2007-2A, Cl INC
0.000%, 04/15/21 2,500 1,535
- --------------------------------------------------------------------------------
174 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Battalion CLO, Ser 2007-1A, Cl E
8.627%, 07/14/22 $ 2,300 $ 1,173
Battalion CLO, Ser 2007-1A, Cl SUB
0.000%, 07/14/22 18 1,032
CIFC Funding, Ser 2007-2A, Cl SUB
0.000%, 04/15/21 2,700 1,728
CIFC Funding, Ser 2007-3A, Cl B (D)
4.494%, 04/28/08 2,500 1,600
Capitalsource Advisors,
Ser 2006-1A, Cl SUB (A)
0.000%, 08/27/20 3,200 1,728
Carlyle High Yield Partners CLO,
Ser 2006-8A, Cl N
0.000%, 05/21/21 3,700 1,776
Connecticut Valley Structured Credit,
Ser 2006-3A, Cl NOTE (A)
0.000%, 03/23/03 2,200 660
Copper River, Ser 2006-1A, Cl INC
0.000%, 01/20/21 3,000 2,054
De Meer Middle Market,
Ser 2006-1A, Cl INC
0.000%, 10/20/18 3,419 2,178
Denali Capital VII, Ser 2007-1A,
Cl INC
10.780%, 01/22/22 2,200 1,811
Duane Street CLO, Ser 2007-5A,
Cl SN
0.000%, 10/14/21 3,300 2,475
Gale Force CLO, Ser 2007-4A,
Cl E (D)
9.470%, 04/01/08 1,100 708
Gale Force CLO, Ser 2007-4A,
Cl INC (D)
0.000%, 04/01/08 15 1,045
Gleneagles CLO, Ser AI (D)*
12.940%, 11/01/17 6,500 4,635
Golden Tree Loan Opportunities III,
Ser 2007-3A, Cl SUB
0.000%, 05/01/22 3,400 2,040
ING Investment Management I
CLO (A) (D)*
0.000%, 12/01/17 12,500 6,875
ING Investment Management II
CLO (A) (D)*
11.120%, 08/01/20 5,600 3,136
Lightpoint CLO, Ser 2006-4A, Cl IN (A)
0.000%, 04/15/18 2,500 1,027
Marathon CLO, Ser 2005-2A, Cl INC
11.520%, 12/20/19 3,000 1,959
Marlborough Street CLO, Ser 2007-1A,
Cl INC
0.000%, 04/15/19 2,400 1,437
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands)/Shares ($ Thousands)
- --------------------------------------------------------------------------------
Peritus I CDO (A) (E)
9.000%, 05/24/15 $ 3,750 $ 562
Peritus I CDO, Ser 2005-1A,
Cl C (A) (E)
9.000%, 05/24/15 13,402 9,448
Sands Point Funding, Ser 2006-1A,
Cl C (D)
4.751%, 04/18/08 640 406
Stanfield Bristol, Ser 2005-1A,
Cl SUB (A)
0.000%, 10/15/19 6,300 3,213
Stanfield Veyron CLO, Ser 2006-1A,
Cl SUB
9.060%, 07/15/18 2,300 1,449
Tralee CDO, Ser 2007-1A, Cl SUB
0.000%, 04/16/22 2,700 1,593
--------------
Total Asset-Backed Securities
(Cost $98,474) ($ Thousands) 68,059
--------------
CONVERTIBLE BONDS -- 0.1%
Adelphia Recovery Trust, Ser ACC-1
(Escrow Security)
0.000%, 02/15/04 395 --
Flextronics CV to 64.4122
1.000%, 08/01/10 1,265 1,208
Freeport McKennen CV to 1.3605
0.000%, 4 597
Mirant CV to 14.7167 (C) (G)
2.500%, 06/15/21 2,200 5
--------------
Total Convertible Bonds
(Cost $1,896) ($ Thousands) 1,810
--------------
COMMON STOCK -- 0.3%
Armstrong World Industries* 6,237 222
Core-Mark Holding (G)* 13,788 396
Dana Holding (G)* 53,322 533
Delta Air Lines (G)* 2,780 24
Federal Mogul, Cl A (G)* 38,359 759
Huntsman 8,061 190
Mirant (G)* 4,276 156
Northwest Airlines* 4,956 45
Owens Corning (G)* 28,933 525
Portland General Electric 520 12
Shreveport Gaming Holdings* 13,948 279
Time Warner Cable, Cl A* 4,255 106
UAL (G) 3,269 70
Winn-Dixie Stores* 8,445 152
--------------
Total Common Stock
(Cost $4,207) ($ Thousands) 3,469
--------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 175
SCHEDULE OF INVESTMENTS (Unaudited)
High Yield Bond Fund (Concluded)
March 31, 2008
- --------------------------------------------------------------------------------
Market Value
Description Shares ($ Thousands)
- --------------------------------------------------------------------------------
PREFERRED STOCK -- 0.8%
CIFC Funding, Ser 2006-I (A) (D) 2,300,000 $ 1,846
CIFC Funding, Ser 2006-II (A) (D)* 3,000,000 2,198
CIFC Funding, Ser 2007-IV* 1,000,000 917
Dana, Ser B* 547,800 520
Rockwall Investors (A) (D)* 4,000,000 2,512
Rural Cellular PIK* 374 492
White Horse II* 30,000 966
--------------
Total Preferred Stock
(Cost $11,005) ($ Thousands) 9,451
--------------
Number of
Warrants
---------
WARRANTS -- 0.0%
Grande Communications,
Expires 04/01/11* 850 8
--------------
Total Warrants
(Cost $8) ($ Thousands) 8
--------------
CASH EQUIVALENTS -- 15.9%
SEI Daily Income Trust,
Prime Obligation Fund,
Cl A 3.190%**++ 25,494,635 25,495
SEI Liquidity Fund L.P.
3.200% (F) 164,298,552 164,299
--------------
Total Cash Equivalents
(Cost $189,794) ($ Thousands) 189,794
--------------
Total Investments -- 112.5%
(Cost $1,483,570) ($ Thousands) $ 1,347,105
==============
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $1,197,148 ($ Thousands).
* Non-Income Producing Security
** Rate shown is the 7-day effective yield as of March 31, 2008.
+ 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 March 31, 2008. The coupon on a step bond changes on a
specified date.
(C) Security in default on interest payments.
(D) Variable Rate Security -- The rate reported on the Schedule of Investments
is the rate in effect as of March 31, 2008. The date reported on the
Schedule of Investments is the next reset date.
(E) Securities considered illiquid. The total value of such securities as of
March 31, 2008 was $10,010 ($ Thousands) and represented 0.83% of Net
Assets.
(F) This security was purchased with cash collateral held from securities on
loan (see Note 7). The total value of such securities as of March 31, 2008
was $167,364 ($ Thousands).
(G) This security or a partial position of this security is on loan at March
31, 2008 (see Note 7). The total value of securities on loan at March 31,
2008 was $155,243 ($ Thousands).
(H) This security is being held in lieu of possible future payments for a
default resolution.
(I) Unfunded bank loan. Interest rate is not available.
(J) Unsettled bank loan. Interest rate is unavailable.
CDO -- Collateralized Debt Obligation
Cl -- Class
CLO -- Collateralized Loan Obligation
CV -- Convertible Security
GMAC -- General Motors Acceptance Corporation
LLC -- Limited Liability Company
L.P. -- 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 $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
176 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
This page intentionally left blank.
Statements of Assets and Liabilities ($ Thousands)
March 31, 2008 (Unaudited)
- ------------------------------------------------------------------------------------------------------------------------------------
LARGE CAP LARGE CAP TAX-MANAGED
VALUE FUND GROWTH FUND LARGE CAP FUND
- ------------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments at value+ $ 2,874,618* $ 2,954,657* $ 2,453,187*
Affiliated investment, at value++ 522,608 550,792 466,836
Cash -- -- 907
Restricted Cash held for Securities Sold Short -- -- --
Receivable for investment securities sold 1,290 18,010 6,923
Receivable for fund shares sold 1,169 1,441 1,096
Dividends and interest receivable 4,926 2,906 3,323
Receivable for variation margin 172 235 48,542
Swap contracts, at value+++++ -- -- --
Prepaid Expenses 35 50 22
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 3,404,818 3,528,091 2,980,836
- ------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return on securities loaned 481,743 487,613 418,161
Payable for securities sold short++++ -- -- --
Payable for investment securities purchased -- 16,342 7,967
Payable for fund shares redeemed 3,905 3,916 1,727
Payable to custodian 525 681 --
Payable for variation margin 6 7 48,331
Margin Call -- -- --
Administration fees payable 869 895 741
Investment advisory fees payable 711 873 667
Shareholder servicing fees payable A 571 478 448
Shareholder servicing fees payable I 3 2 --
Shareholder servicing fees payable Y -- -- 1
Chief Compliance Officer fees payable 9 7 7
Overdraft of foreign currency, at value+++ -- -- --
Administration servicing fees payable Class I 2 2 --
Accrued expense payable 249 210 190
- ------------------------------------------------------------------------------------------------------------------------------------
Total Liabilites 488,593 511,026 478,240
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 2,916,225 $ 3,017,065 $ 2,502,596
- ------------------------------------------------------------------------------------------------------------------------------------
+ Cost of investments 2,694,259 2,591,595 2,102,361
++ Cost of affiliated investments 522,608 550,792 466,836
+++ Cost of foreign currency -- -- --
++++ Proceeds from securities sold short -- -- --
+++++ Premiums received/paid -- -- --
* Includes market value of securities on loan 470,173 480,414 409,914
NET ASSETS:
Paid-in Capital -- (unlimited authorization -- no
par value) $ 2,751,766 $ 3,746,920 $ 2,473,934
Undistributed (distribution in excess of) net
investment income 946 29 (40)
Accumulated net realized gain (loss) on investments,
securities sold short, option contracts, futures,
swaps and foreign currency (18,459) (1,095,838) (324,118)
Net unrealized appreciation (depreciation)
on investments, securities sold short,
and option contracts 180,359 363,062 350,826
Net unrealized appreciation on futures contracts 1,613 2,892 1,994
Net unrealized appreciation on swaps -- -- --
Net unrealized depreciation on forward foreign
currency contracts, foreign currencies and
translation of other assets and liabilities
denominated in foreign currencies -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 2,916,225 $ 3,017,065 $ 2,502,596
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price Per
Share -- Class A $18.08 $21.05 $12.67
($2,902,979,541 / ($3,007,236,950 / ($2,498,698,984 /
160,590,519 shares) 142,841,795 shares) 197,268,853 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 $18.07 $0.84 N/A
($13,245,308 / ($9,827,587 /
732,880 shares) 471,526 shares)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price Per
Share -- Class Y N/A N/A $12.83
($3,896,902 /
303,743 shares)
- ------------------------------------------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
178 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- ------------------------------------------------------------------------------------------------------------------------------------
LARGE CAP DIVERSIFIED S&P 500 SMALL CAP
ALPHA FUND INDEX FUND VALUE FUND
- ------------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments at value+ $ 1,641,071 $ 1,403,345* $ 925,684*
Affiliated investment, at value++ 116,068 242,485 355,249
Cash -- 12 336
Restricted Cash held for Securities Sold Short 412 -- --
Receivable for investment securities sold 9,198 889 5,054
Receivable for fund shares sold 1,918 5,535 322
Dividends and interest receivable 2,301 2,031 1,365
Receivable for variation margin 1,121 107 161
Swap contracts, at value+++++ 4,054 -- --
Prepaid Expenses 14 16 29
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 1,776,157 1,654,420 1,288,200
- ------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return on securities loaned -- 223,436 330,776
Payable for securities sold short++++ 217,247 -- --
Payable for investment securities purchased 87,224 904 7,256
Payable for fund shares redeemed 727 3,793 1,033
Payable to custodian 1,603 -- --
Payable for variation margin 207 -- 2
Margin Call 2,180 -- --
Administration fees payable 434 235 278
Investment advisory fees payable 491 36 517
Shareholder servicing fees payable A 223 76 117
Shareholder servicing fees payable I -- 1 2
Shareholder servicing fees payable Y -- -- --
Chief Compliance Officer fees payable 4 11 3
Overdraft of foreign currency, at value+++ 18 -- --
Administration servicing fees payable Class I -- 2 2
Accrued expense payable 112 146 51
- ------------------------------------------------------------------------------------------------------------------------------------
Total Liabilites 310,470 228,640 340,037
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 1,465,687 $ 1,425,780 $ 948,163
- ------------------------------------------------------------------------------------------------------------------------------------
+ Cost of investments 1,698,397 710,383 933,976
++ Cost of affiliated investments 116,068 242,485 355,249
+++ Cost of foreign currency 17 -- --
++++ Proceeds from securities sold short 241,393 -- --
+++++ Premiums received/paid (303) -- --
* Includes market value of securities on loan -- 218,822 321,275
NET ASSETS:
Paid-in Capital -- (unlimited authorization --
no par value) $ 1,603,614 $ 720,041 $ 994,135
Undistributed (distribution in excess of) net
investment income (276) 359 569
Accumulated net realized gain (loss) on
investments, securities sold short,
option contracts, futures,
swaps and foreign currency (113,418) 12,223 (38,837)
Net unrealized appreciation (depreciation) on
investments, securities sold short,
and option contracts (33,180) 692,962 (8,292)
Net unrealized appreciation on futures contracts 4,640 195 588
Net unrealized appreciation on swaps 4,357 -- --
Net unrealized depreciation on forward foreign
currency contracts, foreign currencies and
translation of other assets and liabilities
denominated in foreign currencies (50) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 1,465,687 $ 1,425,780 $ 948,163
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price Per
Share -- Class A $9.55 $36.67 $15.91
($1,465,246,499 / ($541,397,466 / ($939,327,053 /
153,488,909 shares) 14,763,387 shares) 59,051,549 shares)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price Per
Share -- Class E N/A $36.78 N/A
($877,273,403 /
23,850,578 shares)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price Per
Share -- Class I $9.55 $36.73 $15.81
($440,801 / ($7,108,780 / ($8,836,222 /
46,161 shares) 193,548 shares) 558,756 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+ $ 813,154* $ 342,569*
Affiliated investment, at value++ 315,315 127,083
Cash 614 --
Restricted Cash held for Securities Sold Short -- --
Receivable for investment securities sold 5,828 1,557
Receivable for fund shares sold 273 287
Dividends and interest receivable 456 370
Receivable for variation margin 39 71
Swap contracts, at value+++++ -- --
Prepaid Expenses 19 6
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 1,135,698 471,943
- ------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return on securities loaned 308,669 119,509
Payable for securities sold short++++ -- --
Payable for investment securities purchased 7,563 2,051
Payable for fund shares redeemed 1,462 360
Payable to custodian -- 560
Payable for variation margin 2 --
Margin Call -- --
Administration fees payable 243 103
Investment advisory fees payable 448 150
Shareholder servicing fees payable A 72 74
Shareholder servicing fees payable I 1 --
Shareholder servicing fees payable Y -- --
Chief Compliance Officer fees payable 3 1
Overdraft of foreign currency, at value+++ 284 --
Administration servicing fees payable Class I 1 --
Accrued expense payable 82 27
- ------------------------------------------------------------------------------------------------------------------------------------
Total Liabilites 318,830 122,835
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 816,868 $ 349,108
- ------------------------------------------------------------------------------------------------------------------------------------
+ Cost of investments 881,359 334,493
++ Cost of affiliated investments 315,315 127,083
+++ Cost of foreign currency 285 --
++++ Proceeds from securities sold short -- --
+++++ Premiums received/paid -- --
* Includes market value of securities on loan 294,976 116,949
NET ASSETS:
Paid-in Capital -- (unlimited authorization -- no par value) $ 951,429 $ 355,360
Undistributed (distribution in excess of) net investment income (2,218) 33
Accumulated net realized gain (loss) on investments, securities sold short,
option contracts, futures, swaps and foreign currency (64,314) (14,613)
Net unrealized appreciation (depreciation) on investments,
securities sold short, and option contracts (68,205) 8,076
Net unrealized appreciation on futures contracts 176 252
Net unrealized appreciation on swaps -- --
Net unrealized depreciation on forward foreign currency contracts,
foreign currencies and translation of other assets and
liabilities denominated in foreign currencies -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 816,868 $ 349,108
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price Per Share -- Class A $15.89 $11.07
($812,458,430 / ($349,107,802 /
51,118,429 shares) 31,533,281 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 $15.61 N/A
($4,409,346 /
282,469 shares)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price Per Share -- Class Y N/A N/A
- ------------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 179
Statements of Assets and Liabilities ($ Thousands)
March 31, 2008 (Unaudited)
- ------------------------------------------------------------------------------------------------------------------------------------
SMALL/MID CAP MID-CAP U.S. MANAGED
DIVERSIFIED ALPHA FUND FUND VOLATILITY FUND
- ------------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments at value+ $ 130,586 $ 162,565* $ 469,812
Affiliated investment, at value++ 8,797 24,565 23,847
Repurchase agreement+ -- -- --
Cash -- 10 33
Foreign currency, at value+++ -- -- --
Cash collateral on futures -- -- --
Cash collateral on swaps -- -- --
Restricted Cash held for Securities Sold Short 284 -- --
Receivable for investment securities sold 6,087 -- --
Receivable for fund shares sold 203 147 266
Dividends and interest receivable 190 215 663
Receivable for variation margin 199 23 39
Swap contracts, at value+++++ 997 -- --
Receivable for shareholder services fee -- -- --
Unrealized gain on forward foreign currency contracts -- -- --
Prepaid Expenses 1 3 5
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 147,344 187,528 494,665
- ------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return on securities loaned -- 21,989 --
Payable for securities sold short++++ 7,077 -- --
Payable for investment securities purchased 18,828 -- --
Payable for fund shares redeemed 91 228 264
Payable to custodian 539 -- --
Payable for variation margin 28 -- --
Margin Call 630 -- --
Administration fees payable 35 49 147
Investment advisory fees payable 61 58 168
Shareholder servicing fees payable A 20 33 97
Shareholder servicing fees payable I -- -- --
Chief Compliance Officer fees payable -- -- 2
Overdraft of foreign currency, at value+++ 61 -- --
Administration servicing fees payable Class I -- -- --
Income distribution payable -- -- --
Swap contracts, at value+++++ 32 -- --
Options written, at value # -- -- --
Swaptions, written, at value++ -- -- --
Unrealized loss on forward foreign currency contracts -- -- --
Accrued expense payable 16 13 33
- ------------------------------------------------------------------------------------------------------------------------------------
Total Liabilites 27,418 22,370 711
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 119,926 $ 165,158 $ 493,954
- ------------------------------------------------------------------------------------------------------------------------------------
+ Cost of investments and repurchase agreements 141,839 172,481 486,080
++ Cost of affiliated investments 8,797 24,565 23,847
+++ Cost of foreign currency 61 -- --
++++ Proceeds from securities sold short 8,395 -- --
+++++ Premiums received/paid 486 -- --
# Premiums received -- -- --
++ Premiums received -- -- --
* Includes market value of securities on loan -- 21,464 --
NET ASSETS:
Paid-in Capital -- (unlimited authorization -- no par value) $ 148,587 $ 184,251 $ 510,222
Undistributed (distributions in excess) net investment income (420) (99) 68
Accumulated net realized loss on investments, securities
sold short option contracts, futures, swaps, swaptions and
foreign currency (19,379) (9,098) (13)
Net unrealized appreciation (depreciation) on investments,
securities sold short and option contracts (9,935) (9,916) (16,268)
Net unrealized appreciation (depreciation) on futures contracts 594 20 (55)
Net unrealized appreciation (depreciation) on swaps 479 -- --
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 $ 119,926 $ 165,158 $ 493,954
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price
Per Share -- Class A $8.09 $17.26 $11.57
($119,903,516 / ($165,114,083 / ($493,952,502 /
14,820,525 shares) 9,568,799 shares) 42,687,502 shares)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price
Per Share -- Class I $8.09 $17.26 $11.57
($22,869 / ($43,838 / ($1,349 /
2,826 Shares) 2,540 shares) 117 shares)
- ------------------------------------------------------------------------------------------------------------------------------------
Amounts designated as "--" are $0 or have been rounded to $0.
(1) The Tax-Managed Managed Volatility Fund commenced operations on December
20, 2007.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
180 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- ------------------------------------------------------------------------------------------------------------------------------------
GLOBAL MANAGED TAX-MANAGED MANAGED REAL ESTATE
VOLATILITY FUND VOLATILITY FUND(1) FUND
- ------------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments at value+ $ 229,624 $ 60,793 $ 241,253*
Affiliated investment, at value++ -- 3,600 118,120
Repurchase agreement+ -- -- --
Cash -- 170 --
Foreign currency, at value+++ 3,032 -- --
Cash collateral on futures -- -- --
Cash collateral on swaps -- -- --
Restricted Cash held for Securities Sold Short -- -- --
Receivable for investment securities sold -- -- 3,463
Receivable for fund shares sold 547 162 1,328
Dividends and interest receivable 1,008 99 1,107
Receivable for variation margin 4 15 --
Swap contracts, at value+++++ -- -- --
Receivable for shareholder services fee -- -- --
Unrealized gain on forward foreign currency contracts 470 -- --
Prepaid Expenses 2 -- 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 234,687 64,839 365,273
- ------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return on securities loaned -- -- 112,869
Payable for securities sold short++++ -- -- --
Payable for investment securities purchased -- -- --
Payable for fund shares redeemed 299 162 5,035
Payable to custodian 1,824 -- 10
Payable for variation margin 22 -- --
Margin Call -- -- --
Administration fees payable 68 19 73
Investment advisory fees payable 81 20 129
Shareholder servicing fees payable A 49 13 39
Shareholder servicing fees payable I -- -- --
Chief Compliance Officer fees payable 1 -- 1
Overdraft of foreign currency, at value+++ -- -- --
Administration servicing fees payable Class I -- -- --
Income distribution payable -- -- --
Swap contracts, at value+++++ -- -- --
Options written, at value # -- -- --
Swaptions, written, at value++ -- -- --
Unrealized loss on forward foreign currency contracts 225 -- --
Accrued expense payable 44 2 20
- ------------------------------------------------------------------------------------------------------------------------------------
Total Liabilites 2,613 216 118,176
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 232,074 $ 64,623 $ 247,097
- ------------------------------------------------------------------------------------------------------------------------------------
+ Cost of investments and repurchase agreements 231,287 63,631 234,965
++ Cost of affiliated investments -- 3,600 118,120
+++ Cost of foreign currency -- -- --
++++ Proceeds from securities sold short -- -- --
+++++ Premiums received/paid -- -- --
# Premiums received -- -- --
++ Premiums received -- -- --
* Includes market value of securities on loan -- -- 110,373
NET ASSETS:
Paid-in Capital -- (unlimited authorization -- no par value) $ 261,577 $ 68,346 $ 250,734
Undistributed (distributions in excess) net investment income (7,065) 6 (378)
Accumulated net realized loss on investments, securities
sold short option contracts, futures, swaps, swaptions and
foreign currency (21,056) (937) (9,549)
Net unrealized appreciation (depreciation) on investments,
securities sold short and option contracts (1,663) (2,838) 6,288
Net unrealized appreciation (depreciation) on futures contracts 12 46 --
Net unrealized appreciation (depreciation) on swaps -- -- --
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 269 -- 2
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 232,074 $ 64,623 $ 247,097
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price
Per Share -- Class A $9.47 $9.22 $14.87
($232,064,295 / ($64,622,969 / ($247,080,206 /
24,499,042 shares) 7,009,295 shares) 16,617,998 shares)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price
Per Share -- Class I $9.44 N/A $14.87
($9,684 / ($16,506 /
1,026 shares) 1,110 share)
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
ENHANCED CORE FIXED HIGH YIELD
INCOME FUND INCOME FUND BOND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments at value+ $ 354,997 $ 4,834,953* $ 1,157,311*
Affiliated investment, at value++ 10,100 482,679 189,794
Repurchase agreement+ 2,900 117,400 --
Cash -- 2,214 --
Foreign currency, at value+++ -- 9 --
Cash collateral on futures 700 -- --
Cash collateral on swaps 211 -- --
Restricted Cash held for Securities Sold Short -- -- --
Receivable for investment securities sold 13,835 343,952 11,648
Receivable for fund shares sold 135 2,395 501
Dividends and interest receivable 5,634 32,900 29,731
Receivable for variation margin 14 1,489 --
Swap contracts, at value+++++ 30 -- --
Receivable for shareholder services fee 99 -- --
Unrealized gain on forward foreign currency contracts 10,891 1,264 --
Prepaid Expenses 5 52 --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 399,551 5,819,307 1,388,985
- ------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return on securities loaned -- 343,590 167,364
Payable for securities sold short++++ -- -- --
Payable for investment securities purchased 879 1,057,602 12,805
Payable for fund shares redeemed 409 5,216 1,802
Payable to custodian 7,558 -- 8,462
Payable for variation margin 51 606 --
Margin Call -- 5,220 --
Administration fees payable 55 1,038 355
Investment advisory fees payable 243 977 429
Shareholder servicing fees payable A -- 338 78
Shareholder servicing fees payable I -- 2 --
Chief Compliance Officer fees payable 1 -- 3
Overdraft of foreign currency, at value+++ -- -- --
Administration servicing fees payable Class I -- 2 --
Income distribution payable -- 998 488
Swap contracts, at value+++++ -- 35,237 --
Options written, at value # -- 1,365 --
Swaptions, written, at value++ -- 2,362 --
Unrealized loss on forward foreign currency contracts 12,870 2,295 --
Accrued expense payable 44 424 51
- ------------------------------------------------------------------------------------------------------------------------------------
Total Liabilites 22,110 1,457,272 191,837
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 377,441 $ 4,362,035 $ 1,197,148
- ------------------------------------------------------------------------------------------------------------------------------------
+ Cost of investments and repurchase agreements 411,006 5,040,102 1,293,776
++ Cost of affiliated investments 10,100 482,679 189,794
+++ Cost of foreign currency -- 9 --
++++ Proceeds from securities sold short -- -- --
+++++ Premiums received/paid (1) -- --
# Premiums received -- (1,243) --
++ Premiums received -- (719) --
* Includes market value of securities on loan -- 324,358 155,243
NET ASSETS:
Paid-in Capital -- (unlimited authorization -- no par value) $ 455,352 $ 4,498,881 $ 1,532,525
Undistributed (distributions in excess) net investment income 2,626 (7,503) 796
Accumulated net realized loss on investments, securities
sold short option contracts, futures, swaps, swaptions and
foreign currency (25,160) (41,655) (199,708)
Net unrealized appreciation (depreciation) on investments,
securities sold short and option contracts (53,109) (87,871) (136,465)
Net unrealized appreciation (depreciation) on futures contracts (319) 13,638 --
Net unrealized appreciation (depreciation) on swaps 31 (10,457) --
Net unrealized depreciation on swaptions -- (1,643) --
Net unrealized appreciation (depreciation) on forward foreign
currency contracts, foreign currencies and translation of
other assets and liabilities denominated in foreign
currencies (1,980) (1,355) --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $ 377,441 $ 4,362,035 $ 1,197,148
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price
Per Share -- Class A $8.70 $10.08 $7.38
($377,430,128 / ($4,354,287,297 / ($1,197,151,972 /
43,385,429 shares) 431,923,608 shares) 162,214,597 shares)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption Price
Per Share -- Class I $8.70 $10.08 $7.38
($10,843 / ($7,748,042 / ($34,451 /
1,247 shares) 768,829 shares) 4,668 shares)
- ------------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 181
Statements of Operations ($ Thousands)
For the six month period ended March 31, 2008 (Unaudited)
- --------------------------------------------------------------------------------------------------------------------
LARGE CAP LARGE CAP TAX-MANAGED
VALUE FUND GROWTH FUND LARGE CAP FUND
- --------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends $ 45,600 $ 19,196 $ 25,273
Dividends from Affiliated Registered Investment Company* 1,457 1,700 1,543
Interest Income 74 274 167
Income from Securities Lending 701 510 499
Less: Foreign Taxes Withheld (25) (32) (31)
- --------------------------------------------------------------------------------------------------------------------
Total Investment Income 47,807 21,648 27,451
- --------------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 5,720 6,779 5,454
Administration Fees 5,720 5,931 4,768
Shareholder Servicing Fees (A) 4,060 4,214 3,403
Shareholder Servicing Fees (E) -- -- --
Shareholder Servicing Fees (I) 26 22 --
Shareholder Servicing Fees (Y) -- -- 3
Administration Servicing Fees (I) 26 22 --
Custodian/Wire Agent Fees 103 102 80
Printing Fees 88 91 72
Professional Fees 57 66 46
Registration Fees 26 25 14
Trustee Fees 21 21 17
Chief Compliance Officer Fees 7 7 7
Licensing Fees -- -- --
Dividend Expense -- -- --
Interest Expense on Securities Sold Short -- -- --
Other Expenses 35 36 30
- --------------------------------------------------------------------------------------------------------------------
Total Expenses 15,889 17,316 13,894
- --------------------------------------------------------------------------------------------------------------------
Less: Waiver of:
Investment Advisory Fees (1,068) (987) (1,182)
Shareholder Servicing Fees (A) (651) (1,520) (883)
Shareholder Servicing Fees (E) -- -- --
Shareholder Servicing Fees (I) (4) (8) --
Shareholder Servicing Fees (Y) -- -- (2)
Fees Paid Indirectly (12) (128) (44)
- --------------------------------------------------------------------------------------------------------------------
Net Expenses 14,154 14,673 11,783
- --------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 33,653 6,975 15,668
- --------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
NET REALIZED GAIN (LOSS) ON:
Investments 36,400 64,301 (3,622)
Securities Sold Short -- -- --
Futures Contracts (11,268) (12,873) (9,996)
Written Options -- -- --
Swap Contracts -- -- --
Foreign Currency Transactions -- -- --
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments (627,638) (453,494) (386,510)
Securities Sold Short -- -- --
Futures Contracts 771 1,919 (620)
Written Options -- -- --
Swap Contracts -- -- --
Foreign Currency and Translation of Other Assets and
Liabilities Denominated in Foreign Currency -- -- --
- --------------------------------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS FROM OPERATIONS $ (568,082) $ (393,172) $ (385,080)
- --------------------------------------------------------------------------------------------------------------------
Amounts designated as "--" are $0 or have been rounded to $0.
* See Note 3 in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
182 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- -----------------------------------------------------------------------------------------------------------------------
LARGE CAP DIVERSIFIED S&P 500 SMALL CAP
ALPHA FUND INDEX FUND VALUE FUND
- -----------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends $ 12,999 $ 16,129 $ 7,531
Dividends from Affiliated Registered Investment Company* 2,765 766 672
Interest Income 5,397 47 49
Income from Securities Lending -- 290 789
Less: Foreign Taxes Withheld (28) -- (18)
- -----------------------------------------------------------------------------------------------------------------------
Total Investment Income 21,133 17,232 9,023
- -----------------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 3,152 238 3,296
Administration Fees 2,758 1,746 1,775
Shareholder Servicing Fees (A) 1,969 787 1,253
Shareholder Servicing Fees (E) -- 116 --
Shareholder Servicing Fees (I) 1 13 14
Shareholder Servicing Fees (Y) -- -- --
Administration Servicing Fees (I) 1 13 14
Custodian/Wire Agent Fees 53 44 36
Printing Fees 42 41 28
Professional Fees 26 39 27
Registration Fees 7 17 14
Trustee Fees 10 10 7
Chief Compliance Officer Fees 4 8 2
Licensing Fees -- 39 --
Dividend Expense 2,244 -- --
Interest Expense on Securities Sold Short 819 -- --
Other Expenses 20 17 13
- -----------------------------------------------------------------------------------------------------------------------
Total Expenses 11,106 3,128 6,479
- -----------------------------------------------------------------------------------------------------------------------
Less: Waiver of:
Investment Advisory Fees (1) (201) --
Shareholder Servicing Fees (A) (429) (332) (673)
Shareholder Servicing Fees (E) -- (116) --
Shareholder Servicing Fees (I) -- (5) (8)
Shareholder Servicing Fees (Y) -- -- --
Fees Paid Indirectly -- -- (132)
- -----------------------------------------------------------------------------------------------------------------------
Net Expenses 10,676 2,474 5,666
- -----------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 10,457 14,758 3,357
- -----------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
NET REALIZED GAIN (LOSS) ON:
Investments (40,546) 30,592 (16,951)
Securities Sold Short 8,624 -- --
Futures Contracts (44,710) (4,692) (4,225)
Written Options 7 -- --
Swap Contracts (11,535) -- --
Foreign Currency Transactions (2) -- (7)
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments (204,971) (252,130) (131,853)
Securities Sold Short 28,481 -- --
Futures Contracts (5,862) (1,473) (118)
Written Options 35 -- --
Swap Contracts 6,803 -- --
Foreign Currency and Translation of Other Assets and
Liabilities Denominated in Foreign Currency (49) -- --
- -----------------------------------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS FROM OPERATIONS $ (253,268) $ (212,945) $ (149,797)
- -----------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------
SMALL CAP TAX-MANAGED
GROWTH FUND SMALL CAP FUND
- ----------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends $ 3,870 $ 2,106
Dividends from Affiliated Registered Investment Company* 404 335
Interest Income 227 14
Income from Securities Lending 1,243 454
Less: Foreign Taxes Withheld (86) (2)
- ----------------------------------------------------------------------------------------------
Total Investment Income 5,658 2,907
- ----------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 3,212 1,253
Administration Fees 1,730 675
Shareholder Servicing Fees (A) 1,227 482
Shareholder Servicing Fees (E) -- --
Shareholder Servicing Fees (I) 8 --
Shareholder Servicing Fees (Y) -- --
Administration Servicing Fees (I) 8 --
Custodian/Wire Agent Fees 59 12
Printing Fees 26 10
Professional Fees 19 7
Registration Fees 9 3
Trustee Fees 7 2
Chief Compliance Officer Fees 2 1
Licensing Fees -- --
Dividend Expense -- --
Interest Expense on Securities Sold Short -- --
Other Expenses 13 9
- ----------------------------------------------------------------------------------------------
Total Expenses 6,320 2,454
- ----------------------------------------------------------------------------------------------
Less: Waiver of:
Investment Advisory Fees (28) (267)
Shareholder Servicing Fees (A) (716) (8)
Shareholder Servicing Fees (E) -- --
Shareholder Servicing Fees (I) (5) --
Shareholder Servicing Fees (Y) -- --
Fees Paid Indirectly (78) (40)
- ----------------------------------------------------------------------------------------------
Net Expenses 5,493 2,139
- ----------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 165 768
- ----------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
NET REALIZED GAIN (LOSS) ON:
Investments (34,626) (6,773)
Securities Sold Short -- --
Futures Contracts (1,084) (3,139)
Written Options -- --
Swap Contracts -- --
Foreign Currency Transactions (61) --
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments (191,699) (61,542)
Securities Sold Short -- --
Futures Contracts (148) (203)
Written Options -- --
Swap Contracts -- --
Foreign Currency and Translation of Other Assets and
Liabilities Denominated in Foreign Currency (56) --
- ----------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS FROM OPERATIONS $ (227,509) $ (70,889)
- ----------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 183
Statements of Operations ($ Thousands)
For the six month period ended March 31, 2008 (Unaudited)
- ------------------------------------------------------------------------------------------------------------------------------------
SMALL/MID CAP MID-CAP U.S. MANAGED
DIVERSIFIED ALPHA FUND FUND VOLATILITY FUND
- ------------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends $ 758 $ 1,209 $ 4,230
Dividends from Affiliated Registered Investment Company* 226 75 619
Interest Income 578 5 18
Income from Securities Lending -- -- --
Less: Foreign Taxes Withheld (5) -- (35)
- ------------------------------------------------------------------------------------------------------------------------------------
Total Investment Income 1,557 1,289 4,832
- ------------------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 472 348 1,799
Administration Fees 220 305 968
Shareholder Servicing Fees (A) 157 218 692
Shareholder Servicing Fees (I) -- -- --
Administration Servicing Fees (I) -- -- --
Dividend Expense 83 -- --
Interest Expense 50 -- --
Interest Expense on Securities Sold Short 38 -- --
Registration Fees 12 1 2
Custodian/Wire Agent Fees 9 5 18
Printing Fees 4 5 15
Professional Fees 2 3 10
Trustee Fees 1 1 3
Chief Compliance Officer Fees -- -- 1
Overdraft Fees -- -- --
Other Expenses 8 3 5
- ------------------------------------------------------------------------------------------------------------------------------------
Total Expenses 1,056 889 3,513
- ------------------------------------------------------------------------------------------------------------------------------------
Less: Waiver of:
Investment Advisory Fees (85) -- (707)
Shareholder Servicing Fees (A) (43) (7) (40)
Shareholder Servicing Fees (I) -- -- --
Fees Paid Indirectly (1) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Expenses 927 882 2,766
- ------------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 630 407 2,066
- ------------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
NET REALIZED GAIN (LOSS) ON:
Investments (9,051) (8,556) 8,371
Securities Sold Short 1,054 -- --
Futures Contracts (4,740) (250) (1,741)
Written Options 1 -- --
Swaptions -- -- --
Swap Contracts (5,365) -- --
Foreign Currency Transactions (1) -- --
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments (11,931) (17,137) (64,760)
Securities Sold Short 433 -- --
Futures Contracts 457 (50) (784)
Written Options 6 -- --
Swaptions -- -- --
Swap Contracts 1,635 -- --
Foreign Currency and Translation of Other Assets and
Liabilities Denominated in Foreign Currency -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ (26,872) $ (25,586) $ (56,848)
- ------------------------------------------------------------------------------------------------------------------------------------
Amounts designated as "--" are $0 or have been rounded to $0.
* See Note 3 in Notes to Financial Statements.
(1) The Tax-Managed Managed Volatility Fund commenced operations on December
20, 2007.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
184 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- ------------------------------------------------------------------------------------------------------------------------------------
GLOBAL MANAGED TAX-MANAGED MANAGED REAL ESTATE
VOLATILITY FUND VOLATILITY FUND(1) FUND
- ------------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends $ 2,467 $ 233 $ 2,857
Dividends from Affiliated Registered Investment Company* 112 72 234
Interest Income 17 3 --
Income from Securities Lending -- -- 146
Less: Foreign Taxes Withheld (132) (1) (13)
- ------------------------------------------------------------------------------------------------------------------------------------
Total Investment Income 2,464 307 3,224
- ------------------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 810 86 782
Administration Fees 436 47 421
Shareholder Servicing Fees (A) 311 33 301
Shareholder Servicing Fees (I) -- -- --
Administration Servicing Fees (I) -- -- --
Dividend Expense -- -- --
Interest Expense -- -- --
Interest Expense on Securities Sold Short -- -- --
Registration Fees 1 -- 1
Custodian/Wire Agent Fees 48 -- 9
Printing Fees 7 1 6
Professional Fees 5 1 4
Trustee Fees 2 -- 1
Chief Compliance Officer Fees 1 1 --
Overdraft Fees 5 -- --
Other Expenses 19 -- 2
- ------------------------------------------------------------------------------------------------------------------------------------
Total Expenses 1,645 169 1,527
- ------------------------------------------------------------------------------------------------------------------------------------
Less: Waiver of:
Investment Advisory Fees (261) (35) (41)
Shareholder Servicing Fees (A) -- (1) (131)
Shareholder Servicing Fees (I) -- -- --
Fees Paid Indirectly -- -- (15)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Expenses 1,384 133 1,340
- ------------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 1,080 174 1,884
- ------------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
NET REALIZED GAIN (LOSS) ON:
Investments (4,273) (121) (1,485)
Securities Sold Short -- -- --
Futures Contracts (1,462) (816) --
Written Options -- -- --
Swaptions -- -- --
Swap Contracts -- -- --
Foreign Currency Transactions (13,745) -- (7)
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments (16,025) (2,838) (25,401)
Securities Sold Short -- -- --
Futures Contracts (251) 46 --
Written Options -- -- --
Swaptions -- -- --
Swap Contracts -- -- --
Foreign Currency and Translation of Other Assets and
Liabilities Denominated in Foreign Currency 747 -- 1
- ------------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ (33,929) $ (3,555) $ (25,008)
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
ENHANCED CORE FIXED HIGH YIELD
INCOME FUND INCOME FUND BOND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends $ 30 $ 56 $ 3,726
Dividends from Affiliated Registered Investment Company* 562 1,750 1,323
Interest Income 17,243 123,414 51,096
Income from Securities Lending -- 1,859 666
Less: Foreign Taxes Withheld (5) (22) (13)
- ------------------------------------------------------------------------------------------------------------------------------------
Total Investment Income 17,830 127,057 56,798
- ------------------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment Advisory Fees 1,068 6,194 3,077
Administration Fees 935 6,306 2,209
Shareholder Servicing Fees (A) 668 5,618 1,578
Shareholder Servicing Fees (I) -- 13 --
Administration Servicing Fees (I) -- 13 --
Dividend Expense -- -- --
Interest Expense -- 6 --
Interest Expense on Securities Sold Short -- -- --
Registration Fees 2 28 13
Custodian/Wire Agent Fees 22 150 35
Printing Fees 16 120 36
Professional Fees 10 80 28
Trustee Fees 4 28 8
Chief Compliance Officer Fees 2 10 4
Overdraft Fees -- -- --
Other Expenses 43 352 81
- ------------------------------------------------------------------------------------------------------------------------------------
Total Expenses 2,770 18,918 7,069
- ------------------------------------------------------------------------------------------------------------------------------------
Less: Waiver of:
Investment Advisory Fees (399) (286) (419)
Shareholder Servicing Fees (A) (767) (4,022) (1,190)
Shareholder Servicing Fees (I) -- (9) --
Fees Paid Indirectly -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Expenses 1,604 14,601 5,460
- ------------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 16,226 112,456 51,338
- ------------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
NET REALIZED GAIN (LOSS) ON:
Investments (12,267) 64,591 (20,888)
Securities Sold Short -- -- --
Futures Contracts (6,282) 10,892 --
Written Options -- 3,759 --
Swaptions -- 927 --
Swap Contracts (119) (52,270) --
Foreign Currency Transactions (3,155) 349 --
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments (38,139) (81,855) (106,937)
Securities Sold Short -- -- --
Futures Contracts (210) 9,070 --
Written Options -- (245) --
Swaptions -- (993) --
Swap Contracts 1,340 (602) --
Foreign Currency and Translation of Other Assets and
Liabilities Denominated in Foreign Currency 156 (1,348) --
- ------------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ (42,450) $ 64,731 $ (76,487)
- ------------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 185
Statements of Changes in Net Assets ($ Thousands)
For the six month period ended March 31, 2008 (Unaudited) and the year ended
September 30, 2007
- -------------------------------------------------------------------------------------------------------------------------------
LARGE CAP LARGE CAP TAX-MANAGED
VALUE FUND GROWTH FUND LARGE CAP FUND
- -------------------------------------------------------------------------------------------------------------------------------
10/1/07 10/1/06 10/1/07 10/1/06 10/1/07 10/1/06
to 3/31/08 to 9/30/07 to 3/31/08 to 9/30/07 to 3/31/08 to 9/30/07
- -------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income (Loss) $ 33,653 $ 65,244 $ 6,975 $ 9,091 $ 15,668 $ 27,256
Net Realized Gain (Loss) from Investments,
Securities Sold Short, Futures Contracts,
Written Options and Swap Contracts 25,132 387,608 51,428 235,321 (13,618) 135,641
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 (626,867) 40,982 (451,575) 372,559 (387,130) 250,631
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 (568,082) 493,834 (393,172) 616,971 (385,080) 413,528
- -------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (47,386) (65,236) (9,268) (7,660) (22,419) (25,173)
Class E -- -- -- -- -- --
Class I (264) (491) (13) (5) -- --
Class Y -- -- -- -- (37) (48)
Net Realized Gains:
Class A (308,944) (341,377) -- -- -- --
Class E -- -- -- -- -- --
Class I (2,094) (2,981) -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (358,688) (410,085) (9,281) (7,665) (22,456) (25,221)
- -------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from Shares Issued 361,639 539,733 347,880 541,381 280,675 517,527
Reinvestment of Dividends & Distributions 333,007 380,665 8,807 7,269 21,075 23,768
Cost of Shares Redeemed (487,201) (1,149,311) (572,077) (917,952) (289,013) (409,521)
- -------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 207,445 (228,913) (215,390) (369,302) 12,737 131,774
- -------------------------------------------------------------------------------------------------------------------------------
Class E:
Proceeds from Shares Issued -- -- -- -- -- --
Reinvestment of Dividends & Distributions -- -- -- -- -- --
Cost of Shares Redeemed -- -- -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Decrease in Net Assets Derived
from Class E Transactions -- -- -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
Class I:
Proceeds from Shares Issued 3,340 11,017 3,134 7,267 -- --
Reinvestment of Dividends & Distributions 2,312 3,446 13 5 -- --
Cost of Shares Redeemed (15,294) (17,516) (16,398) (14,646) -- --
- -------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class I Transactions (9,642) (3,053) (13,251) (7,374) -- --
- -------------------------------------------------------------------------------------------------------------------------------
Class Y:
Proceeds from Shares Issued -- -- -- -- 14 97
Reinvestment of Dividends & Distributions -- -- -- -- 37 47
Cost of Shares Redeemed -- -- -- -- (233) (713)
- -------------------------------------------------------------------------------------------------------------------------------
Decrease in Net Assets Derived
from Class Y Transactions -- -- -- -- (182) (569)
- -------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions 197,803 (231,966) (228,641) (376,676) 12,555 131,205
- -------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (728,967) (148,217) (631,094) 232,630 (394,981) 519,512
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR/PERIOD 3,645,192 3,793,409 3,648,159 3,415,529 2,897,577 2,378,065
- -------------------------------------------------------------------------------------------------------------------------------
END OF YEAR/PERIOD $ 2,916,225 $ 3,645,192 $ 3,017,065 $ 3,648,159 $ 2,502,596 $ 2,897,577
- -------------------------------------------------------------------------------------------------------------------------------
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF)
NET INVESTMENT INCOME INCLUDED IN
NET ASSETS AT PERIOD END $ 946 $ 14,943 $ 29 $ 2,335 $ (40) $ 6,748
- -------------------------------------------------------------------------------------------------------------------------------
(1) See Note 4 in Notes to Financial Statements for additional information.
(2) 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.
(3) 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.
(4) For the year ended March 31.
(5) Includes realized gain of $4,368 ($ Thousands) due to in-kind redemptions
(see Note 9).
(6) Includes realized gain of $2,168 ($ Thousands) due to in-kind redemptions
(see Note 9).
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
186 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- ---------------------------------------------------------------------------------------------------------------------------------
LARGE CAP DIVERSIFIED S&P 500
ALPHA FUND INDEX FUND(3)
- ---------------------------------------------------------------------------------------------------------------------------------
10/1/07 10/1/06 10/1/07 4/1/07 4/1/06
to 3/31/08 to 9/30/07 to 3/31/08 to 9/30/07(2) to 3/31/07(4)
- ---------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income (Loss) $ 10,457 $ 16,920 $ 14,758 $ 14,373 $ 33,720
Net Realized Gain (Loss) from Investments,
Securities Sold Short, Futures Contracts,
Written Options and Swap Contracts (88,160) 59,820 25,900 72,082 26,839(5)
Net Realized Loss on Foreign Currency
Transactions (2) (1) -- -- --
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Securities
Sold Short, Futures Contracts, Written
Options and Swap Contracts (175,514) 108,322 (253,603) 58,964 144,755
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currency and
Translation of Other Assets and Liabilities
Denominated in Foreign Currency (49) 1 -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
from Operations (253,268) 185,062 (212,945) 145,419 205,314
- ---------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (15,279) (15,519) (8,115) (2,463) (10,300)
Class E -- -- (13,710) (4,424) (23,648)
Class I (4) (2) (118) (50) (200)
Class Y -- -- -- -- --
Net Realized Gains:
Class A (63,042) (7,983) (31,110) -- (8,617)
Class E -- -- (51,009) -- (17,342)
Class I (19) -- (592) -- (200)
- ---------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (78,344) (23,504) (104,654) (6,937) (60,307)
- ---------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from Shares Issued 256,668 731,868 120,864 54,359 99,732
Reinvestment of Dividends & Distributions 77,788 23,418 37,259 2,336 18,041
Cost of Shares Redeemed (192,023) (344,582) (144,861) (76,635) (155,992)
- ---------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 142,433 410,704 13,262 (19,940) (38,219)
- ---------------------------------------------------------------------------------------------------------------------------------
Class E:
Proceeds from Shares Issued -- -- 25,355 61,905 109,388
Reinvestment of Dividends & Distributions -- -- 59,163 3,942 36,859
Cost of Shares Redeemed -- -- (86,620) (209,444) (802,024)(8)
- ---------------------------------------------------------------------------------------------------------------------------------
Decrease in Net Assets Derived
from Class E Transactions -- -- (2,102) (143,597) (655,777)
- ---------------------------------------------------------------------------------------------------------------------------------
Class I:
Proceeds from Shares Issued 25 758 1,865 2,533 4,846
Reinvestment of Dividends & Distributions 23 3 710 50 400
Cost of Shares Redeemed (23) (304) (6,522) (4,795) (5,071)
- ---------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class I Transactions 25 457 (3,947) (2,212) 175
- ---------------------------------------------------------------------------------------------------------------------------------
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 142,458 411,161 7,213 (165,749) (693,821)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (189,154) 572,719 (310,386) (27,267) (548,814)
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR/PERIOD 1,654,841 1,082,122 1,736,166 1,763,433 2,312,247
- ---------------------------------------------------------------------------------------------------------------------------------
END OF YEAR/PERIOD $ 1,465,687 $ 1,654,841 $ 1,425,780 $ 1,736,166 $ 1,763,433
- ---------------------------------------------------------------------------------------------------------------------------------
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF)
NET INVESTMENT INCOME INCLUDED IN
NET ASSETS AT PERIOD END $ (276) $ 4,550 $ 359 $ 7,544 $ --
- ---------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------
SMALL CAP SMALL CAP
VALUE FUND GROWTH FUND
- --------------------------------------------------------------------------------------------------------------
10/1/07 10/1/06 10/1/07 10/1/06
to 3/31/08 to 9/30/07 to 3/31/08 to 9/30/07
- --------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income (Loss) $ 3,357 $ 2,232 $ 165 $ (5,052)
Net Realized Gain (Loss) from Investments,
Securities Sold Short, Futures Contracts,
Written Options and Swap Contracts (21,176) 161,341(6) (35,710) 117,347(7)
Net Realized Loss on Foreign Currency
Transactions (7) (4) (61) (293)
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Securities
Sold Short, Futures Contracts, Written
Options and Swap Contracts (131,971) (39,729) (191,847) 79,583
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currency and
Translation of Other Assets and Liabilities
Denominated in Foreign Currency -- -- (56) 56
- --------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
from Operations (149,797) 123,840 (227,509) 191,641
- --------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (1,876) (7,396) (728) --
Class E -- -- -- --
Class I (14) (67) -- --
Class Y -- -- -- --
Net Realized Gains:
Class A (136,351) (112,541) (85,670) --
Class E -- -- -- --
Class I (1,639) (1,420) (580) --
- --------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (139,880) (121,424) (86,978) --
- --------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from Shares Issued 164,797 252,503 94,093 268,659
Reinvestment of Dividends & Distributions 132,042 114,441 82,910 --
Cost of Shares Redeemed (193,376) (407,378)(8) (206,204) (415,459)(8)
- --------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 103,463 (40,434) (29,201) (146,800)
- --------------------------------------------------------------------------------------------------------------
Class E:
Proceeds from Shares Issued -- -- -- --
Reinvestment of Dividends & Distributions -- -- -- --
Cost of Shares Redeemed -- -- -- --
- --------------------------------------------------------------------------------------------------------------
Decrease in Net Assets Derived
from Class E Transactions -- -- -- --
- --------------------------------------------------------------------------------------------------------------
Class I:
Proceeds from Shares Issued 4,284 6,715 1,245 3,906
Reinvestment of Dividends & Distributions 1,639 1,479 573 --
Cost of Shares Redeemed (7,662) (8,531) (4,585) (8,663)
- --------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class I Transactions (1,739) (337) (2,767) (4,757)
- --------------------------------------------------------------------------------------------------------------
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 101,724 (40,771) (31,968) (151,557)
- --------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (187,953) (38,355) (346,455) 40,084
- --------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR/PERIOD 1,136,116 1,174,471 1,163,323 1,123,239
- --------------------------------------------------------------------------------------------------------------
END OF YEAR/PERIOD $ 948,163 $ 1,136,116 $ 816,868 $ 1,163,323
- --------------------------------------------------------------------------------------------------------------
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF)
NET INVESTMENT INCOME INCLUDED IN
NET ASSETS AT PERIOD END $ 569 $ (898) $ (2,218) $ (1,655)
- --------------------------------------------------------------------------------------------------------------
(7) Includes realized loss of $4,305 ($ Thousands) due to in-kind redemptions
(see Note 9).
(8) Includes redemption as a result of an in-kind transfer of securities (see
Note 9).
Amounts designated as "--" are $0 or have been rounded to $0.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 187
Statements of Changes in Net Assets ($ Thousands)
For the six month period ended March 31, 2008 (Unaudited) and the year ended
September 30, 2007
- ------------------------------------------------------------------------------------------------------------------------------------
TAX-MANAGED SMALL/MID CAP
SMALL CAP FUND DIVERSIFIED ALPHA FUND(2) MID-CAP FUND
- ------------------------------------------------------------------------------------------------------------------------------------
10/1/07 10/1/06 10/1/07 12/20/06 10/1/07 10/1/06
to 3/31/08 to 9/30/07 to 3/31/08 to 9/30/07 to 3/31/08 to 9/30/07
- ------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 768 $ 1,175 $ 630 $ 1,017 $ 407 $ 430
Net Realized Gain (Loss) from Investments,
Securities Sold Short, Futures Contracts
and Swap Contracts (9,912) 25,492 (18,101) (1,562) (8,806) 22,196
Net Realized Loss on Foreign Currency
Transactions -- -- (1) (4) -- --
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Securities
Sold Short, Futures Contracts, Written
Options and Swap Contracts (61,745) 25,122 (9,400) 538 (17,187) (581)
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 (70,889) 51,789 (26,872) (11) (25,586) 22,045
- ------------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (820) (1,517) (1,079) (699) (544) (641)
Net Realized Gains:
Class A (23,726) (23,058) -- -- (16,926) (6,793)
Class I -- -- -- -- (18) --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (24,546) (24,575) (1,079) (699) (17,488) (7,434)
- ------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from Shares Issued 64,458 110,154 30,422 139,849 49,052 161,788
Reinvestment of Dividends & Distributions 22,858 22,918 1,071 698 16,112 6,259
Cost of Shares Redeemed (59,718) (57,674) (14,347) (9,130) (40,304) (89,579)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 27,598 75,398 17,146 131,417 24,860 78,468
- ------------------------------------------------------------------------------------------------------------------------------------
Class I:
Proceeds from Shares Issued -- -- 24 -- 195 --
Reinvestment of Dividends & Distributions -- -- -- -- 18 --
Cost of Shares Redeemed -- -- -- -- (128) --
- ------------------------------------------------------------------------------------------------------------------------------------
Increase in Net Assets Derived
from Class I Transactions -- -- 24 -- 85 --
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions 27,598 75,398 17,170 131,417 24,945 78,468
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (67,837) 102,612 (10,781) 130,707 (18,129) 93,079
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR/PERIOD 416,945 314,333 130,707 -- 183,287 90,208
- ------------------------------------------------------------------------------------------------------------------------------------
END OF YEAR/PERIOD $ 349,108 $ 416,945 $ 119,926 $ 130,707 $ 165,158 $ 183,287
- ------------------------------------------------------------------------------------------------------------------------------------
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF)
NET INVESTMENT INCOME INCLUDED IN
NET ASSETS AT PERIOD END $ 33 $ 85 $ (420) $ 29 $ (99) $ 38
- ------------------------------------------------------------------------------------------------------------------------------------
(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 Tax-Managed Managed Volatility Fund commenced operations on December
20, 2007.
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
188 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- -------------------------------------------------------------------------------------------------------
U.S. MANAGED GLOBAL MANAGED
VOLATILITY FUND VOLATILITY FUND
- -------------------------------------------------------------------------------------------------------
10/1/07 10/1/06 10/1/07 10/1/06
to 3/31/08 to 9/30/07 to 3/31/08 to 9/30/07
- -------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 2,066 $ 5,264 $ 1,080 $ 3,057
Net Realized Gain (Loss) from Investments,
Securities Sold Short, Futures Contracts
and Swap Contracts 6,630 0,239 (5,735) 4,915
Net Realized Loss on Foreign Currency
Transactions -- -- (13,745) (7,134)
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Securities
Sold Short, Futures Contracts, Written
Options and Swap Contracts (65,544) 32,661 (16,276) 12,452
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currency and
Translation of Other Assets and Liabilities
Denominated in Foreign Currency -- -- 747 (743)
- -------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
from Operations (56,848) 58,164 (33,929) 12,547
- -------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (2,942) (4,993) (4,301) (1,567)
Net Realized Gains:
Class A (22,450) (8,410) (3,779) (675)
Class I -- -- -- --
- -------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (25,392) (13,403) (8,080) (2,242)
- -------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from Shares Issued 141,601 364,416 66,625 225,851
Reinvestment of Dividends & Distributions 24,629 13,136 7,898 2,217
Cost of Shares Redeemed (175,895) (139,978) (76,198) (57,576)
- -------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions (9,665) 237,574 (1,675) 170,492
- -------------------------------------------------------------------------------------------------------
Class I:
Proceeds from Shares Issued 2 1 10 1
Reinvestment of Dividends & Distributions -- -- -- --
Cost of Shares Redeemed (2) -- (1) --
- -------------------------------------------------------------------------------------------------------
Increase in Net Assets Derived
from Class I Transactions -- 1 9 1
- -------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions (9,665) 237,575 (1,666) 170,493
- -------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (91,905) 282,336 (43,675) 180,798
- -------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR/PERIOD 585,859 303,523 275,749 94,951
- -------------------------------------------------------------------------------------------------------
END OF YEAR/PERIOD $ 493,954 $ 585,859 $ 232,074 $ 275,749
- -------------------------------------------------------------------------------------------------------
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF)
NET INVESTMENT INCOME INCLUDED IN
NET ASSETS AT PERIOD END $ 68 $ 944 $ (7,065) $ (3,844)
- -------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------
TAX-MANAGED MANAGED REAL ESTATE
VOLATILITY FUND(3) FUND
- ---------------------------------------------------------------------------------------------------
12/20/07 10/1/07 10/1/06
to 3/31/08 to 3/31/08 to 9/30/07
- ---------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 174 $ 1,884 $ 3,646
Net Realized Gain (Loss) from Investments,
Securities Sold Short, Futures Contracts
and Swap Contracts (937) (1,485) 12,360
Net Realized Loss on Foreign Currency
Transactions -- (7) (4)
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Securities
Sold Short, Futures Contracts, Written
Options and Swap Contracts (2,792) (25,401) (5,812)
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currency and
Translation of Other Assets and Liabilities
Denominated in Foreign Currency -- 1 1
- ---------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
from Operations (3,555) (25,008) 10,191
- ---------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (168) (4,780) (4,265)
Net Realized Gains:
Class A -- (15,877) (10,114)
Class I -- (1) --
- ---------------------------------------------------------------------------------------------------
Total Dividends and Distributions (168) (20,658) (14,379)
- ---------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from Shares Issued 73,592 98,848 202,514
Reinvestment of Dividends & Distributions 150 19,889 13,799
Cost of Shares Redeemed (5,396) (70,982) (159,808)
- ---------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions 68,346 47,755 56,505
- ---------------------------------------------------------------------------------------------------
Class I:
Proceeds from Shares Issued -- 19 --
Reinvestment of Dividends & Distributions -- 1 --
Cost of Shares Redeemed -- (3) --
- ---------------------------------------------------------------------------------------------------
Increase in Net Assets Derived
from Class I Transactions -- 17 --
- ---------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions 68,346 47,772 56,505
- ---------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 64,623 2,106 52,317
- ---------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR/PERIOD -- 244,991 192,674
- ---------------------------------------------------------------------------------------------------
END OF YEAR/PERIOD $ 64,623 $ 247,097 $ 244,991
- ---------------------------------------------------------------------------------------------------
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF)
NET INVESTMENT INCOME INCLUDED IN
NET ASSETS AT PERIOD END $ 6 $ (378) $ 2,518
- ---------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 189
Statements of Changes in Net Assets ($ Thousands)
For the six month period ended March 31, 2008 (Unaudited) and the year ended
September 30, 2007
- -----------------------------------------------------------------------------------------------------------------------------------
ENHANCED CORE FIXED HIGH YIELD
INCOME FUND INCOME FUND BOND FUND
- -----------------------------------------------------------------------------------------------------------------------------------
10/1/07 10/1/06 10/1/07 10/1/06 10/1/07 10/1/06
to 3/31/08 to 9/30/07 to 3/31/08 to 9/30/07 to 3/31/08 to 9/30/07
- -----------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 16,226 $ 27,282 $ 112,456 $ 214,085 $ 51,338 $ 92,638
Net Realized Gain (Loss) on Investments,
Futures Contracts, Written Options,
Swaptions and Swap Contracts (18,668) (3,742) 27,899 (2,410) (20,888) 7,250
Net Realized Gain (Loss) on Foreign Currency
Transactions (3,155) 2,747 349 -- -- --
Net Change in Unrealized Depreciation
on Investments, Futures Contracts,
Written Options, and Swap Contracts (37,009) (16,515) (74,625) (37,572) (106,937) (26,071)
Net Change in Unrealized Appreciation
(Depreciation) on Foreign Currency and
Translation of Other Assets and
Liabilities Denominated in Foreign Currency 156 (2,542) (1,348) 417 -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from
Operations (42,450) 7,230 64,731 174,520 (76,487) 73,817
- -----------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS FROM:
Net Investment Income:
Class A (23,439) (21,572) (113,443) (214,787) (51,165) (93,629)
Class I -- -- (243) (635) (1) --
Net Realized Gains:
Class A -- -- -- -- (15,203) --
- -----------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (23,439) (21,572) (113,686) (215,422) (66,369) (93,629)
- -----------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from Shares Issued 134,127 610,800 527,948 1,187,007 334,103 504,196
Reinvestment of Dividends & Distributions 22,589 21,073 107,360 203,045 62,524 86,274
Cost of Shares Redeemed (334,328) (232,582) (832,741) (1,041,969) (304,273) (391,756)
- -----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class A Transactions (177,612) 399,291 (197,433) 348,083 92,354 198,714
- -----------------------------------------------------------------------------------------------------------------------------------
Class I:
Proceeds from Shares Issued 1 12 3,667 6,866 37 --
Reinvestment of Dividends & Distributions -- -- 232 636 1 --
Cost of Shares Redeemed (1) -- (8,995) (8,508) (1) --
- -----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Class I Transactions -- 12 (5,096) (1,006) 37 --
- -----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets Derived
from Capital Share Transactions (177,612) 399,303 (202,529) 347,077 92,391 198,714
- -----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (243,501) 384,961 (251,484) 306,175 (50,465) 178,902
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR/PERIOD 620,942 235,981 4,613,519 4,307,344 1,247,613 1,068,711
- -----------------------------------------------------------------------------------------------------------------------------------
END OF YEAR/PERIOD $ 377,441 $ 620,942 $ 4,362,035 $ 4,613,519 $ 1,197,148 $ 1,247,613
- -----------------------------------------------------------------------------------------------------------------------------------
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF)
NET INVESTMENT INCOME INCLUDED IN
NET ASSETS AT PERIOD END $ 2,626 $ 9,839 $ (7,503) $ (6,273) $ 796 $ 624
- -----------------------------------------------------------------------------------------------------------------------------------
(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.
- --------------------------------------------------------------------------------
190 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
Financial Highlights
For the period ended March 31, 2008 (Unaudited) and the years ended
September 30, (unless otherwise indicated)
For a Share Outstanding Throughout the Periods
- ------------------------------------------------------------------------------------------------------------------------------
Net
Realized
and Distributions Total
Net Asset Net Unrealized Dividends from Dividends,
Value, Investment Gains from Net Realized Distributions
Beginning Income (Losses) on Total from Investment Capital Return and Return
of Period (Loss) Securities Operations Income Gains of Capital of Capital
- ------------------------------------------------------------------------------------------------------------------------------
LARGE CAP VALUE FUND
Class A
2008* $ 23.97 $ 0.21(1) $ (3.73)(1) $ (3.52) $ (0.30) $ (2.07) $ -- $ (2.37)
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
2008* $ 23.95 $ 0.19(1) $ (3.74)(1) $ (3.55) $ (0.26) $ (2.07) $ -- $ (2.33)
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
2008* $ 23.74 $ 0.05(1) $ (2.68)(1) $ (2.63) $ (0.06) $ -- $ -- $ (0.06)
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
2008* $ 23.48 $ 0.02(1) $ (2.64)(1) $ (2.62) $ (0.02) $ -- $ -- $ (0.02)
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
2008* $ 14.70 $ 0.08(1) $ (2.00)(1) $ (1.92) $ (0.11) $ -- $ -- $ (0.11)
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
2008* $ 14.87 $ 0.10(1) $ (2.02)(1) $ (1.92) $ (0.12) $ -- $ -- $ (0.12)
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
2008* $ 11.78 $ 0.07(1) $ (1.76)(1) $ (1.69) $ (0.10) $ (0.44) $ -- $ (0.54)
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
2008* $ 11.78 $ 0.06(1) $ (1.77)(1) $ (1.71) $ (0.08) $ (0.44) $ -- $ (0.52)
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
2008* $ 18.08 (15.75)% $ 2,902,980 0.87% 0.87% 0.97% 2.06% 22%
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
2008* $ 18.07 (15.89)% $ 13,245 1.11% 1.11% 1.22% 1.83% 22%
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
2008* $ 21.05 (11.09)% $ 3,007,237 0.87% 0.87% 1.02% 0.41% 32%
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
2008* $ 20.84 (11.18)% $ 9,828 1.11% 1.12% 1.27% 0.15% 32%
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
2008* $ 12.67 (13.10)% $ 2,498,699 0.87% 0.87% 1.02% 1.15% 23%
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
2008* $ 12.83 (12.99)% $ 3,897 0.56% 0.56% 0.72% 1.45% 23%
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
2008* $ 9.55 (14.87)% $ 1,465,246 1.36%(16) 1.36%(16) 1.41% 1.33% 36%
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
2008* $ 9.55 (15.03)% $ 441 1.61%(16) 1.61%(16) 1.66% 1.08% 36%
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 / Semi-Annual Report / March 31, 2008 191
Financial Highlights
For the period ended March 31, 2008 (Unaudited) and the years ended
September 30, (unless otherwise indicated)
For a Share Outstanding Throughout the Periods
- ------------------------------------------------------------------------------------------------------------------------
Net
Realized
and Distributions Total
Net Asset Net Unrealized Dividends from Dividends,
Value, Investment Gains from Net Realized Distributions
Beginning Income (Losses) on Total from Investment Capital and Return
of Period (Loss) Securities Operations Income Gains of Capital
- ------------------------------------------------------------------------------------------------------------------------
S&P 500 INDEX FUND
Class A
2008* $ 44.71 $ 0.35(1) $ (5.70)(1) $ (5.35) $ (0.53) $ (2.16) $ (2.69)
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
2008* $ 44.85 $ 0.39(1) $ (5.73)(1) $ (5.34) $ (0.57) $ (2.16) $ (2.73)
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
2008* $ 44.74 $ 0.31(1) $ (5.71)(1) $ (5.40) $ (0.45) $ (2.16) $ (2.61)
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
2008* $ 21.26 $ 0.06(1) $ (2.70)(1) $ (2.64) $ (0.03) $ (2.68) $(2.71)
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
2008* $ 21.17 $ 0.04(1) $ (2.70)(1) $ (2.66) $ (0.02) $ (2.68) $ (2.70)
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
2008* $ 21.91 $ --(1) $ (4.30)(1) $ (4.30) $ (0.01) $ (1.71) $ (1.72)
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
2008* $ 21.57 $ (0.03)(1) $ (4.22)(1) $ (4.25) $ -- $ (1.71) $ (1.71)
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
2008* $ 36.67 (12.57)% $ 541,398 0.40% 0.40% 0.54% 1.76% 6%
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
2008* $ 36.78 (12.50)% $ 877,273 0.25% 0.25% 0.30% 1.93% 6%
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
2008* $ 36.73 (12.67)% $ 7,109 0.65% 0.65% 0.78% 1.51% 6%
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
2008* $ 15.91 (13.32)% $ 939,327 1.12% 1.14% 1.29% 0.67% 42%
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
2008* $ 15.81 (13.49)% $ 8,836 1.36% 1.38% 1.53% 0.41% 42%
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
2008* $ 15.89 (20.84)% $ 812,459 1.11% 1.13% 1.28% 0.03% 58%
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
2008* $ 15.61 (20.94)% $ 4,409 1.36% 1.38% 1.52% (0.18)% 58%
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
- --------------------------------------------------------------------------------
192 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- ------------------------------------------------------------------------------------------------------------------------
Net
Realized
and Distributions Total
Net Asset Net Unrealized Dividends from Dividends,
Value, Investment Gains from Net Realized Distributions
Beginning Income (Losses) on Total from Investment Capital and Return
of Period (Loss) Securities Operations Income Gains of Capital
- ------------------------------------------------------------------------------------------------------------------------
TAX-MANAGED SMALL CAP FUND
Class A
2008* $ 14.14 $ 0.02(1) $ (2.26)(1) $ (2.24) $ (0.03) $ (0.80) $ (0.83)
2007 13.10 0.04(1) 2.00(1) 2.04 (0.06) (0.94) (1.00)
2006 13.13 0.01(1) 0.68(1) 0.69 -- (0.72) (0.72)
2005 11.63 (0.02)(1) 2.36(1) 2.34 -- (0.84) (0.84)
2004 10.00 (0.04)(1) 1.67(1) 1.63 -- -- --
2003 7.54 (0.02)(1) 2.48(1) 2.46 -- -- --
SMALL/MID CAP DIVERSIFIED ALPHA FUND
Class A
2008* $ 10.10 $ 0.04(1) $ (1.98)(1) $ (1.94) $ (0.07) $ -- $ (0.07)
2007(10) 10.00 0.10(1) 0.07(1)++ 0.17 (0.07) -- (0.07)
Class I
2008* (15) $ 10.28 $ 0.03 $ (2.15) $ (2.12) $ (0.07) $ -- $ (0.07)
MID-CAP FUND
Class A
2008* $ 22.22 $ 0.04(1) $ (2.85)(1) $ (2.81) $ (0.06) $ (2.09) $ (2.15)
2007 20.40 0.06(1) 3.40(1) 3.46 (0.10) (1.54) (1.64)
2006 20.29 0.14(1) 1.49(1) 1.63 (0.12) (1.40) (1.52)
2005 17.84 0.06(1) 4.61(1) 4.67 (0.06) (2.16) (2.22)
2004 14.96 0.09(1) 3.19(1) 3.28 (0.11) (0.29) (0.40)
2003 11.74 0.11(1) 3.25(1) 3.36 (0.08) (0.06) (0.14)
Class I
2008* (15) $ 22.56 $ 0.02(1) $ (3.21)(1) $ (3.19) $ (0.02) $ (2.09) $ (2.11)
U.S. MANAGED VOLATILITY FUND
Class A
2008* $ 13.45 $ 0.05(1) $ (1.35)(1) $ (1.30) $ (0.07) $ (0.51) $ (0.58)
2007 12.02 0.15(1) 1.74(1) 1.89 (0.14) (0.32) (0.46)
2006 11.41 0.10(1) 0.75(1) 0.85 (0.09) (0.15) (0.24)
2005(7) 10.00 0.10(1) 1.39(1) 1.49 (0.08) --** (0.08)
Class I
2008* $ 13.43 $ 0.03(1) $ (1.34)(1) $ (1.31) $ (0.04) $ (0.51) $ (0.55)
2007(13) 13.54 0.01 (0.05) (0.04) (0.07) -- (0.07)
GLOBAL MANAGED VOLATILITY FUND
Class A
2008* $ 11.22 $ 0.05(1) $ (1.45)(1) $ (1.40) $ (0.18) $ (0.17) $ (0.35)
2007 10.37 0.17(1) 0.85(1) 1.02 (0.11) (0.06) (0.17)
2006(8) 10.00 0.02(1) 0.35(1) 0.37 -- -- --
Class I
2008* $ 11.20 $ 0.07(1) $ (1.48)(1) $ (1.41) $ (0.18) $ (0.17) $ (0.35)
2007(13) 11.45 0.01(1) (0.26)(1) (0.25) -- -- --
TAX-MANAGED MANAGED VOLATILITY FUND
Class A
2008* (14) $ 10.00 $ 0.03(1) $ (0.78)(1) $ (0.75) $ (0.03) $ -- $ (0.03)
REAL ESTATE FUND
Class A
2008* $ 18.20 $ 0.12(1) $ (2.02)(1) $ (1.90) $ (0.32) $ (1.11) $ (1.43)
2007 18.43 0.30(1) 0.76(1) 1.06 (0.36) (0.93) (1.29)
2006 14.86 0.23(1) 4.15(1) 4.38 (0.36) (0.45) (0.81)
2005 11.89 0.27(1) 3.22(1) 3.49 (0.26) (0.26) (0.52)
2004(9) 10.00 0.21(1) 1.85(1) 2.06 (0.17) -- (0.17)
Class I
2008* (15) $ 18.55 $ 0.28(1) $ (2.54)(1) $ (2.26) $ (0.31) $ (1.11) $ (1.42)
- ------------------------------------------------------------------------------------------------------------------------------------
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+
- ------------------------------------------------------------------------------------------------------------------------------------
TAX-MANAGED SMALL CAP FUND
Class A
2008* $ 11.07 (16.59)% $ 349,108 1.11% 1.13% 1.28% 0.40% 39%
2007 14.14 16.00 416,945 1.11 1.14 1.27 0.31 72
2006 13.10 5.50 314,333 1.11 1.14 1.27 0.09 73
2005 13.13 20.80 269,519 1.11 1.11 1.27 (0.17) 99
2004 11.63 16.30 214,859 1.10 1.10 1.27 (0.31) 86
2003 10.00 32.63 181,773 1.10 1.10 1.27 (0.21) 142
SMALL/MID CAP DIVERSIFIED ALPHA FUND
Class A
2008* $ 8.09 (19.21)% $ 119,903 1.48%(17) 1.48%(17) 1.68% 1.00% 82%
2007(10) 10.10 1.71 130,707 1.29(12) 1.29(12) 1.50 1.25 112
Class I
2008*(15) $ 8.09 (20.66)% $ 23 1.74%(17) 1.74%(17) 1.92% 0.61% 82%
MID-CAP FUND
Class A
2008* $ 17.26 (13.63)% $ 165,114 1.01% 1.01% 1.02% 0.47% 61%
2007 22.22 17.51 183,287 1.01 1.01 1.02 0.26 176
2006 20.40 8.50 90,208 1.01 1.01 1.03 0.67 135
2005 20.29 28.15 71,162 1.01 1.01 1.03 0.30 137
2004 17.84 22.23 53,642 1.00 1.00 1.02 0.53 121
2003 14.96 28.92 41,502 1.00 1.00 1.03 0.86 109
Class I
2008* (15) $ 17.26 (15.10)% $ 44 1.26% 1.26% 1.27% 0.20% 61%
U.S. MANAGED VOLATILITY FUND
Class A
2008* $ 11.57 (10.10)% $ 493,953 1.00% 1.00% 1.27% 0.75% 40%
2007 13.45 16.09 585,858 1.04 1.04 1.27 1.19 112
2006 12.02 7.64 303,523 1.11 1.11 1.27 0.91 133
2005(7) 11.41 14.94 160,047 1.11 1.11 1.27 1.03 102
Class I
2008* $ 11.57 (10.18)% $ 1 1.36% 1.36% 1.71% 0.46% 40%
2007(13) 13.43 (0.32) 1 1.36 1.36 1.86 0.19 112
GLOBAL MANAGED VOLATILITY FUND
Class A
2008* $ 9.47 (12.82)% $ 232,064 1.11% 1.11% 1.32% 0.87% 60%
2007 11.22 9.88 275,748 1.11 1.11 1.32 1.56 119
2006(8) 10.37 3.70 94,951 1.10 1.10 1.30 1.22 13
Class I
2008* $ 9.44 (12.99)% $ 10 1.36% 1.36% 1.66% 1.48% 60%
2007(13) 11.20 (2.18) 1 1.36 1.36 2.26 0.23 119
TAX-MANAGED MANAGED VOLATILITY FUND
Class A
2008*(14) $ 9.22 (7.49)% $ 64,623 1.00% 1.00% 1.27% 1.31% 34%
REAL ESTATE FUND
Class A
2008* $ 14.87 (10.65)% $ 247,080 1.12% 1.13% 1.27% 1.57% 26%
2007 18.20 5.49 244,991 1.11 1.12 1.27 1.55 84
2006 18.43 30.44 192,674 1.11 1.12 1.27 1.39 65
2005 14.86 29.97 96,405 1.11 1.11 1.27 1.95 58
2004(9) 11.89 20.82 35,008 1.10 1.10 1.30 2.20 98
Class I
2008*(15) $ 14.87 (12.41)% $ 17 1.36% 1.38% 1.51% 3.88% 26%
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 193
Financial Highlights
For the period ended March 31, 2008 (Unaudited) and the years ended
September 30, (unless otherwise indicated)
For a Share Outstanding Throughout the Periods
- ------------------------------------------------------------------------------------------------------------------------------------
Net
Realized
and Distributions Total
Net Asset Unrealized Dividends from Dividends,
Value, Net Gains from Net Realized Distributions Net Asset
Beginning Investment (Losses) on Total from Investment Capital and return Value, End
of Period Income Securities Operations Income Gains of Capital of Period
- ------------------------------------------------------------------------------------------------------------------------------------
ENHANCED INCOME FUND
Class A
2008* $ 9.92 $ 0.29(1) $ (1.08)(1) $ (0.79) $ (0.43) $ -- $ (0.43) $ 8.70
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
2008* $ 9.91 $ 0.28(1) $ (1.07)(1) $ (0.79) $ (0.42) $ -- $ (0.42) $ 8.70
2007(13) 10.25 0.15 (0.35) (0.20) (0.14) -- (0.14) 9.91
CORE FIXED INCOME FUND
Class A
2008* $ 10.19 $ 0.25(1) $ (0.10)(1) $ 0.15 $ (0.26) $ -- $ (0.26) $ 10.08
2007 10.29 0.50(1) (0.10)(1) 0.40 (0.50) -- (0.50) 10.19
2006 10.44 0.47(1) (0.11)(1) 0.36 (0.48) (0.03) (0.51) 10.29
2005 10.65 0.40(1) (0.11)(1) 0.29 (0.41) (0.09) (0.50) 10.44
2004 10.71 0.37(1) 0.08(1) 0.45 (0.38) (0.13) (0.51) 10.65
2003 10.67 0.40(1) 0.28(1) 0.68 (0.42) (0.22) (0.64) 10.71
Class I
2008* $ 10.19 $ 0.24(1) $ (0.11)(1) $ 0.13 $ (0.24) $ -- $ (0.24) $ 10.08
2007 10.29 0.41(1) (0.03)(1) 0.38 (0.48) -- (0.48) 10.19
2006 10.43 0.45(1) (0.11)(1) 0.34 (0.45) (0.03) (0.48) 10.29
2005 10.65 0.38(1) (0.12)(1) 0.26 (0.39) (0.09) (0.48) 10.43
2004 10.71 0.34(1) 0.09(1) 0.43 (0.36) (0.13) (0.49) 10.65
2003 10.67 0.37(1) 0.28(1) 0.65 (0.39) (0.22) (0.61) 10.71
HIGH YIELD BOND FUND
Class A
2008* $ 8.26 $ 0.32(1) $ (0.79)(1) $ (0.47) $ (0.32) $ (0.09) $ (0.41) $ 7.38
2007 8.38 0.67(1) (0.11)(1) 0.56 (0.68) -- (0.68) 8.26
2006 8.50 0.65(1) (0.12)(1) 0.53 (0.65) -- (0.65) 8.38
2005 8.58 0.64(1) (0.08)(1) 0.56 (0.64) -- (0.64) 8.50
2004 8.37 0.67(1) 0.21(1) 0.88 (0.67) -- (0.67) 8.58
2003 7.60 0.68(1) 0.77(1) 1.45 (0.68) -- (0.68) 8.37
Class I
2008*(15) $ 8.26 $ 0.33(1) $ (0.81)(1) $ (0.48) $ (0.31) $ (0.09) $ (0.40) $ 7.38
- ---------------------------------------------------------------------------------------------------------------------
Ratio of
Ratio of Expenses
Expenses to Average
to Average Net Assets Ratio of Net
Ratio of Net Assets (Excluding Investment
Net Assets Expenses (Excluding Fees Paid Income Portfolio
Total End of Period to Average Fees Paid Indirectly to Average Turnover
Return+ ($Thousands) Net Assets Indirectly) and Waivers) Net Assets Rate+
- ---------------------------------------------------------------------------------------------------------------------
ENHANCED INCOME FUND
Class A
2008* (8.14)% $ 377,430 0.60% 0.60% 1.03% 6.08% 7%
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
2008* (8.17)% $ 11 0.85% 0.85% 1.29% 5.85% 7%
2007(13) (2.01) 11 1.09 1.09 1.56 5.78 43
CORE FIXED INCOME FUND
Class A
2008* 1.45% $ 4,354,287 0.65% 0.65% 0.84% 5.00% 164%
2007 4.00 4,600,629 0.64 0.64 0.84 4.89 413
2006 3.60 4,293,309 0.63 0.63 0.84 4.62 478
2005 2.83 4,094,011 0.61 0.61 0.84 3.83 557
2004 4.38 4,067,065 0.61*** 0.61*** 0.84 3.52 430
2003 6.63 3,823,429 0.60 0.60 0.84 3.77 470
Class I
2008* 1.32% $ 7,748 0.89% 0.89% 1.09% 4.73% 164%
2007 3.74 12,890 0.89 0.89 1.09 3.96 413
2006 3.44 14,035 0.88 0.88 1.09 4.37 478
2005 2.48 12,979 0.86 0.86 1.09 3.60 557
2004 4.12 10,420 0.86*** 0.86*** 1.09 3.25 430
2003 6.37 5,931 0.85 0.85 1.09 3.46 470
HIGH YIELD BOND FUND
Class A
2008* (5.84)% $ 1,197,114 0.87% 0.87% 1.12% 8.15% 30%
2007 6.72 1,247,613 0.86 0.86 1.12 7.89 91
2006 6.51 1,068,711 0.86 0.86 1.12 7.69 126
2005 6.71 1,599,921 0.86 0.86 1.12 7.46 132
2004 10.84 1,197,554 0.85 0.85 1.11 7.84 179
2003 19.88 976,659 0.85 0.85 1.12 8.50 129
Class I
2008*(15) (5.97)% $ 34 1.11% 1.11% 1.37% 8.55% 30%
+ 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.
* For the six month period ended March 31, 2008. All ratios for the period
have been annualized
** 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 for the period 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. All ratios for the period have been
annualized.
(14) Commenced operations on December 20, 2007. All ratios for the period have
been annualized.
(15) Commenced operations on October 1, 2007. All ratios for the period have
been annualized.
(16) The expense ratios include dividend expense and interest expense on
securities sold short. Had these expenses been excluded the ratios would
have been 0.95% and 1.20% for Class A and Class I, respectively.
(17) The expense ratios include dividend expense and interest expense on
securities sold short and reverse repurchase agreements. Had these
expenses been excluded the ratios would have been 1.20% and 1.45% for
Class A and Class I, respectively.
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
194 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
Notes to Financial Statements (Unaudited)
March 31, 2008
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, Tax-Managed Managed
Volatility, Real Estate, Enhanced Income, Core Fixed Income, High Yield Bond,
Real Return Plus and Prime Obligation Funds (each a "Fund," collectively the
"Funds"). The Trust is registered to offer Class A shares of the Funds, Class E
shares 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 March 31, 2008, the Real Return Plus and Prime Obligation 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 / Semi-Annual Report / March 31, 2008 195
Notes to Financial Statements (Unaudited) (Continued)
March 31, 2008
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 Small/Mid Cap Diversified Alpha and Core
Fixed Income Funds may issue reverse repurchase agreements. A reverse repurchase
agreement involves the sale of portfolio assets together with an agreement to
repurchase the same assets later at a fixed price. Additional assets are
maintained in an account with the broker. The segregated assets may consist of
cash, U.S. Government securities, or other liquid securities at least equal in
value to the obligations under the reverse repurchase agreements. In the event
the buyer of securities under a reverse repurchase agreement files for
bankruptcy or becomes insolvent, the Fund's use of the proceeds under the
agreement may be restricted pending a determination by the other party, or its
trustee or receiver, whether to enforce the obligation to repurchase the
securities. There were no reverse repurchase agreements outstanding as of March
31, 2008.
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 counter-parties 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 six month period ended March 31, 2008, 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 six month period ended
March 31, 2008. The Funds' investments in futures contracts are designed to
enable the Funds to more closely approximate the performance of their benchmark
indices. The Core Fixed Income Fund may use futures contracts for tactical
hedging
- --------------------------------------------------------------------------------
196 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
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 March 31, 2008 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 six month period ended March
31, 2008 are summarized as follows:
- --------------------------------------------------------------------------------
Large Cap Diversified Alpha Fund
- --------------------------------------------------------------------------------
Number of Premium
Contracts ($ Thousands)
- --------------------------------------------------------------------------------
Balance at the beginning of period 43 $ 7
Written -- --
Expired -- --
Closing Buys (43) (7)
- --------------------------------------------------------------------------------
Balance at the end of period -- --
================================================================================
- --------------------------------------------------------------------------------
Small/Mid Cap Diversified Alpha Fund
- --------------------------------------------------------------------------------
Number of Premium
Contracts ($ Thousands)
- --------------------------------------------------------------------------------
Balance at the beginning of period 7 $ 1
Written -- --
Expired -- --
Closing Buys (7) 1
- --------------------------------------------------------------------------------
Balance at the end of period -- --
================================================================================
- --------------------------------------------------------------------------------
Core Fixed Income Fund
- --------------------------------------------------------------------------------
Number of Premium
Contracts ($ Thousands)
- --------------------------------------------------------------------------------
Balance at the beginning of period 2,086 $ 1,344
Written 6,255 3,905
Expired (3,981) (2,529)
Closing Buys (2,666) (1,477)
- --------------------------------------------------------------------------------
Balance at the end of period 1,694 1,243
================================================================================
Written swaptions transactions entered into during the six month period ended
March 31, 2008 are summarized as follows:
- --------------------------------------------------------------------------------
Core Fixed Income Fund
- --------------------------------------------------------------------------------
Notional
Amount Premium
($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Balance at the beginning of period $ 102,000 $ 2,255
Written 9,240 --
Expired -- --
Closing buys (69,000) (1,536)
- --------------------------------------------------------------------------------
Balance at the end of period $ 42,240 $ 719
================================================================================
At March 31, 2008, 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 / Semi-Annual Report / March 31, 2008 197
Notes to Financial Statements (Unaudited) (Continued)
March 31, 2008
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
- --------------------------------------------------------------------------------
198 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
limited to: (i) the possibility that distributions from collateral securities
will not be adequate to make interest or other payments; (ii) the quality of the
collateral may decline in value or default; (iii) the Funds may invest in CDOs
that are subordinate to other classes; and (iv) the complex structure of the
security may not be fully understood at the time of investment and may produce
disputes with the issuer or unexpected investment results.
ILLIQUID SECURITIES -- A security is considered illiquid if it cannot be sold or
disposed of in the ordinary course of business within seven days or less for its
approximate carrying value on the books of the Funds. Valuations of illiquid
securities may differ significantly from the values that would have been used
had an active market value for these securities existed.
RESTRICTED SECURITIES -- At March 31, 2008, 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 March 31, 2008, 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 0.07%
========= ========= ====
SMALL CAP GROWTH FUND
BPZ Energy PIPE 114,500 05/07/07 05/07/07 $ 601 $2,488 0.31%
Force Protection 173,900 12/19/06 12/19/06 2,043 350 0.04
Rentech Warrant 19,400 04/20/07 04/20/07 -- 4 0.00
Coguar Biotechnology PIPE 21,000 12/14/07 12/14/07 609 441 0.05
Thunderbird Resorts PIPE 153,500 11/15/07 11/15/07 1,381 1,382 0.17
Thunderbird Resorts PIPE 3,200 02/06/08 02/06/08 29 29 0.00
Synenco Energy 19,500 06/20/05 06/20/05 227 138 0.02
--------- --------- ----
$ 4,890 $ 4,832 0.59%
========= ========= ====
TAX-MANAGED SMALL CAP FUND
Coguar Biotechnology PIPE 11,400 02/16/07 02/16/07 $ 331 $ 239 0.07%
========= ========= ====
SMALL/MID CAP DIVERSIFIED
ALPHA FUND
BPZ Energy PIPE 12,800 05/07/07 05/07/07 $ 67 $ 278 0.23%
Rentech Warrant 1,000 05/30/07 05/30/07 -- -- 0.00
Thunderbird Resorts PIPE 15,300 11/15/07 11/15/07 138 138 0.12
Thunderbird Resorts PIPE 1,700 02/07/08 02/07/08 15 15 0.01
Oil Sands Quest PIPE 3,500 05/02/07 05/02/07 10 14 0.01
--------- --------- ----
$ 230 $ 445 0.37%
========= ========= ====
REAL ESTATE FUND
Verde Realty PIPE 21,400 02/16/07 02/16/07 $ 706 $ 706 0.29%
========= ========= ====
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 199
Notes to Financial Statements (Unaudited) (Continued)
March 31, 2008
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, Tax-Managed Managed
Volatility, Real Estate and Enhanced Income 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, Tax-Managed 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% 0.8900%
Large Cap Value Fund, Class I 0.3500 1.1100
Large Cap Growth Fund, Class A 0.4000 0.8900
Large Cap Growth Fund, Class I 0.4000 1.1100
Tax-Managed Large Cap Fund, Class A 0.4000 0.8900
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 1.1400
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
Small/Mid Cap Diversified Alpha Fund, Class I 0.7500 1.4500
Mid-Cap Fund, Class A 0.4000 1.0200
Mid-Cap Fund, Class I 0.4000 1.2600
U.S. Managed Volatility Fund, Class A 0.6500 1.0000
U.S. Managed Volatility Fund, Class I 0.6500 1.3600
Global Managed Volatility Fund, Class A 0.6500 1.1100
Global Managed Volatility Fund, Class I 0.6500 1.3600
Tax-Managed Managed Volatility Fund, Class A 0.6500 1.0000
Real Estate Fund, Class A 0.6500 1.1400
Real Estate Fund, Class I 0.6500 1.3600
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 0.6700
Core Fixed Income Fund, Class I 0.2750 0.8900
High Yield Bond Fund, Class A 0.4875 0.8900
High Yield Bond Fund, Class I 0.4875 1.1100
- --------------------------------------------------------------------------------
200 SEI Institutional Managed Trust / Semi-Annual Report /March 31, 2008
As of March 31, 2008, 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, LLC
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 U.S.A., Inc.
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
Analytic Investors, LLC
Aronson + Johnson + Ortiz, LP
GLOBAL MANAGED VOLATILITY FUND
Acadian Asset Management, LLC
Analytic Investors, LLC
TAX-MANAGED MANAGED VOLATILITY FUND
Analytic Investors, LLC
Aronson + Johnson + Ortiz, LP
Parametric Portfolio Associates
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.
* Not funded
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 201
Notes to Financial Statements (Unaudited) (Continued)
March 31, 2008
Under the investment sub-advisory agreements, each party receives an annual fee
paid by SIMC.
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, Tax-Managed 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.
Such commissions for the six month period ended March 31, 2008 were as follows
($ Thousands):
Large Cap Growth Fund $ 98
Large Cap Value Fund 13
Tax-Managed Large Cap Fund 46
Small Cap Value Fund 109
Small Cap Growth Fund 77
Tax-Managed Small Cap Fund 49
Small/Mid Cap Diversified Alpha Fund 1
Real Estate Fund 10
-----
$ 403
=====
Under both the Shareholder Servicing Plans and administrative service plan, the
Distributor may retain as profit any difference between the fee it receives and
the amount it pays to third parties. For the six month period ended March 31,
2008, the Distributor retained 100% of the shareholder servicing fees, less the
waiver, and 100% of the administration servicing fees.
Certain officers and/or trustees of the Trust are also officers of the
Administrator or the Adviser. The Trust pays each unaffiliated Trustee an annual
fee for attendance at quarterly, interim and committee meetings. Compensation of
officers and affiliated Trustees of the Trust is paid by the Adviser or
Administrator.
A portion of the services provided by the Chief Compliance Officer ("CCO") and
his staff, whom are employees of the Administrator, are paid for by the Trust as
incurred. The services include regulatory oversight of the Trust's Adviser,
sub-advisers and service providers as required by SEC regulations. The CCO's
services have been approved by and are reviewed by the Board.
LSV Asset Management (a partially owned subsidiary of SIMC) serves as the
sub-adviser to the Large Cap Value, Tax-Managed Large Cap, Small Cap Value and
Tax-Managed Small Cap Funds. For this service LSV Asset Management is entitled
to receive a fee from SIMC. Such fees for the six month period ended March 31,
2008 were as follows ($ Thousands):
Large Cap Value Fund $ 468
Tax-Managed Large Cap Fund 211
Small Cap Value Fund 209
Tax-Managed Small Cap Fund 101
-----
$ 989
=====
FEES PAID INDIRECTLY -- The Funds may direct certain fund trades to the
Distributor who pays a portion of the Fund's expenses. Accordingly, the expenses
reduced, which were used to pay third party expenses, and the effect on the
Fund's expense ratio, as a percentage of the Fund's average daily net assets for
the six month period ended March 31, 2008, can be found on the Statement of
Operations.
INVESTMENT IN AFFILIATED SECURITY -- The Funds may invest the cash collateral
from the securities lending program in the SEI Liquidity Fund L.P.
- --------------------------------------------------------------------------------
202 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
4. CAPITAL SHARE TRANSACTIONS
Capital Share Transactions for the Funds were as follows (Thousands):
For the six month period ended March 31, 2008 (Unaudited) and the year or period
ended September 30, 2007
- ------------------------------------------------------------------------------------------
LARGE CAP LARGE CAP
VALUE FUND GROWTH FUND
- ------------------------------------------------------------------------------------------
10/1/07 10/1/06 10/1/07 10/1/06
to 3/31/08 to 9/30/07 to 3/31/08 to 9/30/07
- ------------------------------------------------------------------------------------------
Class A:
Shares Issued 17,674 22,820 15,178 24,904
Shares Issued in Lieu of
Dividends & Distributions 16,207 16,663 383 339
Shares Redeemed (24,166) (48,402) (25,340) (42,404)
- ------------------------------------------------------------------------------------------
Total Class A Transactions 9,715 (8,919) (9,779) (17,161)
- ------------------------------------------------------------------------------------------
Class I:
Shares Issued 161 467 136 339
Shares Issued in Lieu of
Dividends & Distributions 112 151 1 --
Shares Redeemed (754) (735) (738) (673)
- ------------------------------------------------------------------------------------------
Total Class I Transactions (481) (117) (601) (334)
- ------------------------------------------------------------------------------------------
Class Y:
Shares Issued -- -- -- --
Shares Issued in Lieu of
Dividends & Distributions -- -- -- --
Shares Redeemed -- -- -- --
- ------------------------------------------------------------------------------------------
Total Class Y Transactions -- -- -- --
- ------------------------------------------------------------------------------------------
Net Increase (Decrease) in Capital
Share Transactions 9,234 (9,036) (10,380) (17,495)
- ------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------
LARGE CAP
TAX-MANAGED DIVERSIFIED
LARGE CAP FUND ALPHA FUND
- ------------------------------------------------------------------------------------------
10/1/07 10/1/06 10/1/07 10/1/06
to 3/31/08 to 9/30/07 to 3/31/08 to 9/30/07
- ------------------------------------------------------------------------------------------
Class A:
Shares Issued 20,385 37,459 24,072 65,075
Shares Issued in Lieu of
Dividends & Distributions 1,517 1,745 7,159 2,114
Shares Redeemed (21,430) (29,612) (18,167) (30,979)
- ------------------------------------------------------------------------------------------
Total Class A Transactions 472 9,592 13,064 36,210
- ------------------------------------------------------------------------------------------
Class I:
Shares Issued -- -- 2 68
Shares Issued in Lieu of
Dividends & Distributions -- -- 2 --
Shares Redeemed -- -- (2) (27)
- ------------------------------------------------------------------------------------------
Total Class I Transactions -- -- 2 41
- ------------------------------------------------------------------------------------------
Class Y:
Shares Issued 1 7 -- --
Shares Issued in Lieu of
Dividends & Distributions 3 3 -- --
Shares Redeemed (17) (49) -- --
- ------------------------------------------------------------------------------------------
Total Class Y Transactions (13) (39) -- --
- ------------------------------------------------------------------------------------------
Net Increase (Decrease) in Capital
Share Transactions 459 9,553 13,066 36,251
- ------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------
S&P 500 SMALL CAP
INDEX FUND(3) VALUE FUND
- ------------------------------------------------------------------------------------------------------------
10/1/07 4/1/07 4/1/06 10/1/07 10/1/06
to 3/31/08 to 9/30/07(1) to 3/31/07(2) to 3/31/08 to 9/30/07
- ------------------------------------------------------------------------------------------------------------
Class A:
Shares Issued 2,968 1,250 2,517 9,568 11,573
Shares Issued in Lieu of
Dividends & Distributions 904 53 445 7,687 5,373
Shares Redeemed (3,665) (1,749) (3,966) (10,971) (18,686)(4)
- ------------------------------------------------------------------------------------------------------------
Total Class A Transactions 207 (446) (1,004) 6,284 (1,740)
- ------------------------------------------------------------------------------------------------------------
Class E:
Shares Issued 656 1,414 2,742 -- --
Shares Issued in Lieu of
Dividends & Distributions 1,432 89 908 -- --
Shares Redeemed (2,142) (4,713) (20,320)(4) -- --
- ------------------------------------------------------------------------------------------------------------
Total Class E Transactions (54) (3,210) (16,670) -- --
- ------------------------------------------------------------------------------------------------------------
Class I:
Shares Issued 46 58 123 230 310
Shares Issued in Lieu of
Dividends & Distributions 17 1 10 96 70
Shares Redeemed (165) (109) (129) (433) (388)
- ------------------------------------------------------------------------------------------------------------
Total Class I Transactions (102) (50) 4 (107) (8)
- ------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Capital Share Transactions 51 (3,706) (17,670) 6,177 (1,748)
- ------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------
SMALL CAP TAX-MANAGED
GROWTH FUND SMALL CAP FUND
- -------------------------------------------------------------------------------------------
10/1/07 10/1/06 10/1/07 10/1/06
to 3/31/08 to 9/30/07 to 3/31/08 to 9/30/07
- -------------------------------------------------------------------------------------------
Class A:
Shares Issued 5,064 12,999 5,191 7,958
Shares Issued in Lieu of
Dividends & Distributions 4,398 -- 1,808 1,709
Shares Redeemed (11,003) (20,205)(4) (4,952) (4,181)
- -------------------------------------------------------------------------------------------
Total Class A Transactions (1,541) (7,206) 2,047 5,486
- -------------------------------------------------------------------------------------------
Class E:
Shares Issued -- -- -- --
Shares Issued in Lieu of
Dividends & Distributions -- -- -- --
Shares Redeemed -- -- -- --
- -------------------------------------------------------------------------------------------
Total Class E Transactions -- -- -- --
- -------------------------------------------------------------------------------------------
Class I:
Shares Issued 68 190 -- --
Shares Issued in Lieu of
Dividends & Distributions 31 -- -- --
Shares Redeemed (249) (408) -- --
- -------------------------------------------------------------------------------------------
Total Class I Transactions (150) (218) -- --
- -------------------------------------------------------------------------------------------
Net Increase (Decrease) in
Capital Share Transactions (1,691) (7,424) 2,047 5,486
- -------------------------------------------------------------------------------------------
(1) 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.
(2) For the year ended March 31.
(3) 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.
(4) Includes redemption 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 / Semi-Annual Report / March 31, 2008 203
Notes to Financial Statements (Unaudited) (Continued)
March 31, 2008
- --------------------------------------------------------------------------------------------------------------------
SMALL/MID
DIVERSIFIED MID-CAP U.S. MANAGED
ALPHA FUND(1) FUND VOLATILITY FUND
- --------------------------------------------------------------------------------------------------------------------
10/1/07 10/1/06 10/1/07 10/1/06 10/1/07 10/1/06
to 3/31/08 to 9/30/07 to 3/31/08 to 9/30/07 to 3/31/08 to 9/30/07
- --------------------------------------------------------------------------------------------------------------------
Class A:
Shares Issued 3,379 13,754 2,599 7,597 11,293 28,238
Shares Issued in Lieu of
Dividends & Distributions 121 66 837 300 1,926 1,043
Shares Redeemed (1,618) (881) (2,117) (4,069) (14,097) (10,963)
- --------------------------------------------------------------------------------------------------------------------
Total Class A Transactions 1,882 12,939 1,319 3,828 (878) 18,318
- --------------------------------------------------------------------------------------------------------------------
Class I:
Shares Issued 3 -- 9 -- -- --
Shares Issued in Lieu of
Dividends & Distributions -- -- 1 -- -- --
Shares Redeemed -- -- (7) -- -- --
- --------------------------------------------------------------------------------------------------------------------
Total Class I Transactions 3 -- 3 -- -- --
- --------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Capital
Share Transactions 1,885 12,939 1,322 3,828 (878) 18,318
- --------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------
TAX-MANAGED
GLOBAL MANAGED MANAGED
VOLATILITY FUND VOLATILITY FUND(2)
- ------------------------------------------------------------------------------------
10/1/07 10/1/06 12/20/07
to 3/31/08 to 9/30/07 to 3/31/08
- ------------------------------------------------------------------------------------
Class A:
Shares Issued 6,401 20,365 7,569
Shares Issued in Lieu of
Dividends & Distributions 736 204 16
Shares Redeemed (7,210) (5,154) (576)
- ------------------------------------------------------------------------------------
Total Class A Transactions (73) 15,415 7,009
- ------------------------------------------------------------------------------------
Class I:
Shares Issued 1 -- --
Shares Issued in Lieu of
Dividends & Distributions -- -- --
Shares Redeemed -- -- --
- ------------------------------------------------------------------------------------
Total Class I Transactions 1 -- --
- ------------------------------------------------------------------------------------
Net Increase (Decrease) in Capital
Share Transactions (72) 15,415 7,009
- ------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------
REAL ESTATE ENHANCED
FUND INCOME FUND
- ------------------------------------------------------------------------------------------
10/1/07 10/1/06 10/1/07 10/1/06
to 3/31/08 to 9/30/07 to 3/31/08 to 9/30/07
- ------------------------------------------------------------------------------------------
Class A:
Shares Issued 6,654 10,713 14,259 60,371
Shares Issued in Lieu of
Dividends & Distributions 1,286 720 2,410 2,090
Shares Redeemed (4,781) (8,428) (35,878) (23,206)
- ------------------------------------------------------------------------------------------
Total Class A Transactions 3,159 3,005 (19,209) 39,255
- ------------------------------------------------------------------------------------------
Class I:
Shares Issued 1 -- -- 1
Shares Issued in Lieu of
Dividends & Distributions -- -- -- --
Shares Redeemed -- -- -- --
- ------------------------------------------------------------------------------------------
Total Class I Transactions 1 -- -- 1
- ------------------------------------------------------------------------------------------
Net Increase (Decrease) in Capital
Share Transactions 3,160 3,005 (19,209) 39,256
- ------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------
CORE FIXED HIGH YIELD
INCOME FUND BOND FUND
- -------------------------------------------------------------------------------------------
10/1/07 10/1/06 10/1/07 10/1/06
to 3/31/08 to 9/30/07 to 3/31/08 to 9/30/07
- -------------------------------------------------------------------------------------------
Class A:
Shares Issued 51,802 115,881 41,762 59,539
Shares Issued in Lieu of
Dividends & Distributions 10,533 19,804 8,016 10,186
Shares Redeemed (81,693) (101,625) (38,660) (46,105)
- -------------------------------------------------------------------------------------------
Total Class A Transactions (19,358) 34,060 11,118 23,620
- -------------------------------------------------------------------------------------------
Class I:
Shares Issued 360 669 5 --
Shares Issued in Lieu of
Dividends & Distributions 23 62 -- --
Shares Redeemed (879) (830) -- --
- -------------------------------------------------------------------------------------------
Total Class I Transactions (496) (99) 5 --
- -------------------------------------------------------------------------------------------
Net Increase (Decrease) in Capital
Share Transactions (19,854) 33,961 11,123 23,620
- -------------------------------------------------------------------------------------------
(1) The Small/Mid Cap Diversified Alpha Fund commenced operations on December
20, 2006.
(2) The Tax-Managed Managed Volatility Fund commenced operations on December
20, 2007.
Amounts designated as "--" are $0 or have been rounded to $0.
5. INVESTMENT TRANSACTIONS
The cost of security purchases and proceeds from the sale of securities, other
than temporary cash investments and futures, during the six month period ended
March 31, 2008, were as follows:
- -----------------------------------------------------------------------------
U.S. Gov't Other Total
($ Thousands) ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------------------
LARGE CAP VALUE FUND
Purchases .................. $ -- $ 717,019 $ 717,019
Sales ...................... -- 867,147 867,147
LARGE CAP GROWTH FUND
Purchases .................. -- 1,067,968 1,067,968
Sales ...................... -- 1,290,049 1,290,049
TAX-MANAGED LARGE CAP FUND
Purchases .................. -- 632,791 632,791
Sales ...................... -- 613,153 613,153
- -----------------------------------------------------------------------------
U.S. Gov't Other Total
($ Thousands) ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------------------
LARGE CAP DIVERSIFIED
ALPHA FUND
Purchases .................. $ 383,613 $ 297,036 $ 680,649
Sales ...................... 367,025 269,988 637,013
S&P 500 INDEX FUND
Purchases .................. -- 98,126 98,126
Sales ...................... -- 160,505 160,505
SMALL CAP VALUE FUND
Purchases .................. -- 419,498 419,498
Sales ...................... -- 460,478 460,478
SMALL CAP GROWTH FUND
Purchases .................. -- 565,095 565,095
Sales ...................... -- 680,097 680,097
- --------------------------------------------------------------------------------
204 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------
U.S. Gov't Other Total
($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
TAX-MANAGED
SMALL CAP FUND
Purchases ................ $ -- $ 153,148 $ 153,148
Sales .................... -- 144,601 144,601
SMALL/MID CAP
DIVERSIFIED
ALPHA FUND
Purchases ................ 75,192 45,320 120,512
Sales .................... 79,589 34,928 114,517
MID-CAP FUND
Purchases ................ -- 112,320 112,320
Sales .................... -- 104,661 104,661
U.S. MANAGED
VOLATILITY FUND
Purchases ................ -- 210,932 210,932
Sales .................... -- 239,267 239,267
GLOBAL MANAGED
VOLATILITY FUND
Purchases ................ -- 145,695 145,695
Sales .................... -- 159,734 159,734
- --------------------------------------------------------------------------------
U.S. Gov't Other Total
($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
TAX-MANAGED MANAGED
VOLATILITY+
Purchases ................ $ -- $ 77,307 $ 77,307
Sales .................... -- 14,008 14,008
REAL ESTATE FUND
Purchases ................ -- 92,023 92,023
Sales .................... -- 60,528 60,528
ENHANCED INCOME FUND
Purchases ................ 7,773 8,339 16,112
Sales .................... 30,824 91,071 121,895
CORE FIXED INCOME FUND
Purchases ................ 6,668,604 618,485 7,287,089
Sales .................... 7,129,415 603,337 7,732,752
HIGH YIELD BOND FUND
Purchases ................ -- 414,930 414,930
Sales .................... -- 307,908 307,908
+ For the period December 20, 2007 through March 31, 2008.
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.
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
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
(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.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 205
Notes to Financial Statements (Unaudited) (Continued)
March 31, 2008
- -------------------------------------------------------------------------------------------------------------------------------
Ordinary Income Long-term Capital Gain Return of Capital Total
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------------------------------------------------------
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
As of September 30, 2007, the components of Distributable Earnings/(Accumulated
Losses) were as follows:
- ------------------------------------------------------------------------------------------------------------------------------------
Total
Post Distributable
Undistributed Undistributed Capital Post October Unrealized Other Earnings/
Ordinary Long-Term Loss October Losses Appreciation Temporary (Accumulated
Income Capital Gain Carryforwards Losses Currency (Depreciation) Differences Losses)
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- ------------------------------------------------------------------------------------------------------------------------------------
Large Cap Value
Fund $ 42,493 $ 267,676 $ -- $ -- $ -- $ 781,060 $ -- $ 1,091,229
Large Cap Growth
Fund 2,336 -- (1,081,365) -- -- 751,627 -- (327,402)
Tax-Managed Large
Cap Fund 6,746 -- (289,958) -- -- 719,410 -- 436,198
Large Cap
Diversified
Alpha Fund 36,616 30,983 -- -- (1) 126,083 4 193,685
S&P 500 Index
Fund 8,449 76,392 -- -- -- 938,497 -- 1,023,338
Small Cap Value
Fund 30,689 100,430 -- -- (4) 112,590 -- 243,705
Small Cap Growth
Fund 12,705 59,544 -- -- -- 107,954 (277) 179,926
Tax-Managed Small
Cap Fund 3,026 18,159 -- -- -- 67,998 -- 89,183
Small/Mid Cap
Diversified
Alpha Fund 77 -- (649) -- (4) (134) -- (710)
Mid-Cap Fund 6,433 10,548 -- -- -- 7,000 -- 23,981
U.S. Managed
Volatility Fund 11,839 7,176 -- -- -- 46,957 -- 65,972
Global Managed
Volatility
Fund 7,304 4 -- -- (7,329) 12,025 502 12,506
Real Estate Fund* 2,519 7,949 -- -- -- 31,561 -- 42,029
Enhanced Income
Fund 7,703 -- (526) (2,919) -- (18,416) 2,136 (12,022)
Core Fixed Income
Fund 14,440 -- (59,119) -- (901) (22,502) (19,809) (87,891)
High Yield Bond
Fund 17,367 -- (155,388) (2,555) -- (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
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
$36,498,015, respectively, of capital loss carryforward to offset capital gains.
- --------------------------------------------------------------------------------
206 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
For Federal income tax purposes, the cost of securities owned at March 31, 2008,
and the net realized gains or losses on securities sold for the period, were
different from amounts reported for financial reporting purposes, primarily due
to wash sales which cannot be used for Federal income tax purposes in the
current year and have been deferred for use in future years. The Federal tax
cost and aggregate gross unrealized appreciation and depreciation on investments
held by the Funds at March 31, 2008, were as follows:
- --------------------------------------------------------------------------------------------------
Net Unrealized
Federal Appreciated Depreciated Appreciation/
Tax Cost Securities Securities (Depreciation)
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- ---------------------------------------------------------------------------------------------------
Large Cap Value Fund $ 3,216,867 $ 486,483 $ (306,124) $ 180,359
Large Cap Growth Fund 3,142,387 506,304 (143,242) 363,062
Tax-Managed Large Cap Fund 2,569,197 488,478 (137,652) 350,826
Large Cap Diversified Alpha Fund 1,814,465 147,336 (204,662) (57,326)
S&P 500 Index Fund 956,817 770,633 (81,620) 689,013
Small Cap Value Fund 1,289,225 105,339 (113,631) (8,292)
Small Cap Growth Fund 1,196,674 65,169 (133,374) (68,205)
Tax-Managed Small Cap Fund 461,576 49,163 (41,087) 8,076
Small/Mid Cap Diversified Alpha Fund 150,636 5,624 (16,877) (11,253)
Mid-Cap Fund 197,046 9,182 (19,098) (9,916)
U.S. Managed Volatility Fund 509,927 25,438 (41,706) (16,268)
Global Managed Volatility Fund 231,287 14,070 (15,733) (1,663)
Tax-Managed Managed Volatility Fund 67,231 1,058 (3,896) (2,838)
Real Estate 353,085 18,610 (12,322) 6,288
Enhanced Income Fund 421,106 1,029 (54,138) (53,109)
Core Fixed Income Fund 5,522,781 92,643 (180,392) (87,749)
High Yield Bond Fund 1,483,570 5,489 (141,954) (136,465)
7. SECURITIES LENDING
Each Fund may lend portfolio securities to brokers, dealers and other financial
organizations that meet capital and other credit requirements or other criteria
established by the Trust's Board of Trustees. These loans may not exceed 33 1/3%
of the total asset value of the Fund (including the loan collateral). No Fund
will lend portfolio securities to its Adviser, sub-adviser or their affiliates
unless it has applied for and received specific authority to do so from the SEC.
Loans of portfolio securities will be fully collateralized by cash. Collateral
will be maintained in an amount equal to at least 100% of the current market
value of the loaned securities by marking to market daily, although the borrower
will be required to deliver collateral of 102% and 105% of the market value of
borrowed securities for domestic and foreign securities, respectively. However,
due to market fluctuations during the day, the value of securities loaned on a
particular day may, during the course of the day, exceed the value of
collateral. On each business day, the amount of collateral is adjusted based on
the prior day's market fluctuations and the current day's lending activity.
Income from lending activity is determined by the amount of interest earned on
collateral, less any amounts payable to the borrowers of the securities and the
lending agent. Lending securities involves certain risks, including the risk
that the Fund may be delayed or prevented from recovering the collateral if the
borrower fails to return the securities.
Cash collateral received in connection with securities lending is invested in
short-term investments by the lending agent. These investments may include
repurchase agreements, which are collateralized by United States Treasury and
Government Agency securities, and high-quality, short-term instruments, such as
floating rate corporate obligations, commercial paper, and private placements
with an average weighted maturity not to exceed 60 days and a maturity not to
exceed 397 days.
8. CONCENTRATIONS/RISKS
In the normal course of business, the Funds enter into contracts that provide
general indemnifications by the Funds to the counterparty to the contract. The
Funds' maximum exposure under these arrangements is dependent on future claims
that may be made against the Funds and, therefore, cannot be estimated; however,
based on experience, the risk of loss from such claims is considered remote.
The market values of the Core Fixed Income and High Yield Bond Funds'
investments will change in response to interest rate changes and other factors.
During periods of falling interest rates, the values of fixed income securities
generally rise. Conversely, during periods of rising interest rates, the values
of such securities generally decline. Changes by recognized rating agencies in
the ratings of any fixed income security and in the ability of an issuer to make
payments of interest and principal may also affect the value of these
investments.
- --------------------------------------------------------------------------------
SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 207
Notes to Financial Statements (Unaudited) (Concluded)
March 31, 2008
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
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 Tax-Managed Managed Volatility Fund, will incorporate FIN 48 in their
semi-annual report of March 31, 2008. As of March 31, 2008, management does not
anticipate a material impact to the financial statements. The Tax-Managed
Managed Volatility Fund adopted FIN 48 upon inception 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 March 31, 2008, 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.
In March 2008, the Financial Accounting Standards Board (FASB) issued Statement
of Financial Accounting Standards (SFAS) No. 161, DISCLOSURES ABOUT DERIVATIVE
INSTRUMENTS AND HEDGING ACTIVITIES. SFAS No. 161 is effective for fiscal years
and interim periods beginning after November 15, 2008. SFAS No.161 requires
enhanced disclosures about the Funds' derivative and hedging activities,
including how such activities are accounted for and their effect on the Funds'
financial position, performance, and cash flows. Management is currently
evaluating the impact the adoption of SFAS No. 161 will have on the Funds'
financial statements and related disclosures.
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 March 31, 2008 and do not reflect any market events after March 31, 2008.
- --------------------------------------------------------------------------------
208 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
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 / Semi-Annual Report / March 31, 2008 209
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
10/1/07 3/31/08 RATIOS PERIOD*
- --------------------------------------------------------------------------------
LARGE CAP VALUE FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 842.50 0.87% $ 4.01
Class I Shares 1,000.00 841.10 1.11 5.11
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,020.65 0.87% $ 4.39
Class I Shares 1,000.00 1,019.45 1.11 5.60
- --------------------------------------------------------------------------------
LARGE CAP GROWTH FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 889.10 0.87% $ 4.11
Class I Shares 1,000.00 888.20 1.11 5.24
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,020.65 0.87% $ 4.39
Class I Shares 1,000.00 1,019.45 1.11 5.60
- --------------------------------------------------------------------------------
TAX-MANAGED LARGE CAP FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 869.00 0.87% $ 4.07
Class Y Shares 1,000.00 870.10 0.56 2.62
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,020.65 0.87% $ 4.39
Class Y Shares 1,000.00 1,022.20 0.56 2.83
- --------------------------------------------------------------------------------
LARGE CAP DIVERSIFIED ALPHA FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 851.30 1.07% $ 4.95
Class I Shares 1,000.00 849.70 1.32 6.10
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,019.65 1.07% $ 5.40
Class I Shares 1,000.00 1,018.40 1.32 6.66
- --------------------------------------------------------------------------------
S&P 500 INDEX FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 874.30 0.40% $ 1.87
Class E Shares 1,000.00 875.00 0.25 1.17
Class I Shares 1,000.00 873.30 0.65 3.04
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,023.00 0.40% $ 2.02
Class E Shares 1,000.00 1,023.75 0.25 1.26
Class I Shares 1,000.00 1,021.75 0.65 3.29
- --------------------------------------------------------------------------------
SMALL CAP VALUE FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 866.80 1.12% $ 5.23
Class I Shares 1,000.00 865.10 1.36 6.34
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,019.40 1.12% $ 5.65
Class I Shares 1,000.00 1,018.20 1.36 6.86
- --------------------------------------------------------------------------------
SMALL CAP GROWTH FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 791.60 1.11% $ 4.97
Class I Shares 1,000.00 790.60 1.36 6.09
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,019.45 1.11% $ 5.60
Class I Shares 1,000.00 1,018.20 1.36 6.86
- --------------------------------------------------------------------------------
TAX-MANAGED SMALL CAP FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 834.10 1.11% $ 5.09
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,019.45 1.11% $ 5.60
- --------------------------------------------------------------------------------
SMALL/MID CAP DIVERSIFIED ALPHA FUND+
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 807.90 1.28% $ 5.79
Class I Shares 1,000.00 793.40 1.55 6.95
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,018.60 1.28% $ 6.46
Class I Shares 1,000.00 1,017.25 1.55 7.82
- --------------------------------------------------------------------------------
MID-CAP FUND+
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 863.70 1.01% $ 4.71
Class I Shares 1,000.00 849.00 1.26 5.82
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,019.95 1.01% $ 5.10
Class I Shares 1,000.00 1,018.70 1.26 6.36
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
10/1/07 3/31/08 RATIOS PERIOD*
- --------------------------------------------------------------------------------
U.S. MANAGED VOLATILITY FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 899.00 1.00% $ 4.75
Class I Shares 1,000.00 898.20 1.36 6.45
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,020.00 1.00% $ 5.05
Class I Shares 1,000.00 1,018.20 1.36 6.86
- --------------------------------------------------------------------------------
GLOBAL MANAGED VOLATILITY FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 871.80 1.11% $ 5.19
Class I Shares 1,000.00 870.10 1.36 6.36
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,019.45 1.11% $ 5.60
Class I Shares 1,000.00 1,018.20 1.36 6.86
- --------------------------------------------------------------------------------
REAL ESTATE FUND+
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 893.50 1.12% $ 5.30
Class I Shares 1,000.00 875.90 1.36 6.38
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,019.40 1.12% $ 5.65
Class I Shares 1,000.00 1,018.20 1.36 6.86
- --------------------------------------------------------------------------------
ENHANCED INCOME FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 918.60 0.60% $ 2.88
Class I Shares 1,000.00 918.30 0.85 4.08
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,022.00 0.60% $ 3.03
Class I Shares 1,000.00 1,020.75 0.85 4.29
- --------------------------------------------------------------------------------
CORE FIXED INCOME FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 1,014.50 0.65% $ 3.27
Class I Shares 1,000.00 1,013.20 0.89 4.48
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,021.75 0.65% $ 3.29
Class I Shares 1,000.00 1,020.55 0.89 4.50
- --------------------------------------------------------------------------------
HIGH YIELD BOND FUND+
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 941.60 0.87% $ 4.22
Class I Shares 1,000.00 940.30 1.11 5.38
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,020.65 0.87% $ 4.39
Class I Shares 1,000.00 1,019.45 1.11 5.60
+ Class I Shares commenced operations on October 1, 2007.
* Expenses are equal to the Fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by 183/366 (to reflect
one-half year period shown).
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
12/20/07(1) 3/31/07 RATIOS PERIOD
- --------------------------------------------------------------------------------
TAX-MANAGED MANAGED VOLATILITY FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 925.10 1.00% $ 2.68*
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,020.00 1.00% $ 5.05**
(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 102/366 (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 183/366 (to reflect
one-half year period shown).
- --------------------------------------------------------------------------------
210 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
Board of Trustees Considerations in Approving the
Advisory and Sub-Advisory Agreements (Unaudited)
SEI Institutional Managed Trust (the "Trust") and SEI Investments Management
Corporation ("SIMC") have entered into an investment advisory agreement (the
"Advisory Agreement"). Pursuant to the Advisory Agreement, SIMC oversees the
investment advisory services provided to the series of the Trust (the "Funds")
and may manage the cash portion of the Funds' assets. Pursuant to separate
sub-advisory agreements (the "Sub-Advisory Agreements" and, together with the
Advisory Agreement, the "Investment Advisory Agreements") with SIMC, and under
the supervision of SIMC and the Trust's Board of Trustees (the "Board"), the
Sub-Advisers are responsible for the day-to-day investment management of all or
a discrete portion of the assets of the Funds. The Sub-Advisers also are
responsible for managing their employees who provide services to these Funds.
The Sub-Advisers are selected based primarily upon the research and
recommendations of SIMC, which evaluates quantitatively and qualitatively the
Sub-Advisers' skills and investment results in managing assets for specific
asset classes, investment styles and strategies.
The Investment Company Act of 1940, as amended (the "1940 Act") requires that
the initial approval of, as well as the continuation of, the Funds' Investment
Advisory Agreements must be specifically approved: (i) by the vote of the Board
of Trustees or by a vote of the shareholders of the Funds; and (ii) by the vote
of a majority of the Trustees who are not parties to the Investment Advisory
Agreements or "interested persons" of any party (the "Independent Trustees"),
cast in person at a meeting called for the purpose of voting on such approval.
In connection with their consideration of such approvals, the Funds' Trustees
must request and evaluate, and SIMC and the Sub-Advisers are required to
furnish, such information as may be reasonably necessary to evaluate the terms
of the Investment Advisory Agreements. In addition, the Securities and Exchange
Commission ("SEC") takes the position that, as part of their fiduciary duties
with respect to a mutual fund's fees, mutual fund boards are required to
evaluate the material factors applicable to a decision to approve an Investment
Advisory Agreement.
Consistent with these responsibilities, the Trust's Board of Trustees calls and
holds meetings each year that are dedicated to considering whether to renew the
Investment Advisory Agreements between the Trust and SIMC and SIMC and the
Sub-Advisers with respect to the Funds of the Trust. In preparation for these
meetings, the Board requests and reviews a wide variety of materials provided by
SIMC and the Sub-Advisers, including information about SIMC's and the
Sub-Advisers' affiliates, personnel and operations. The Board also receives
extensive data provided by third parties. This information is in addition to the
detailed information about the Funds that the Board reviews during the course of
each year, including information that relates to Fund operations and Fund
performance. The Trustees also receive a memorandum from Fund counsel and
independent counsel to the Independent Trustees regarding the responsibilities
of Trustees in connection with their consideration of whether to approve the
Trust's Investment Advisory Agreements. Finally, the Independent Trustees
receive advice from independent counsel to the Independent Trustees, meet in
executive session outside the presence of Fund management and participate in
question and answer sessions with representatives of SIMC and the Sub-Advisers.
Specifically, the Board requested and received written materials from SIMC and
the Sub-Advisers regarding: (a) the quality of SIMC's and the Sub-Advisers'
investment management and other services; (b) SIMC's and the Sub-Advisers'
investment management personnel; (c) SIMC's and the Sub-Advisers' operations and
financial condition; (d) SIMC's and the Sub-Advisers' brokerage practices
(including any soft dollar arrangements) and investment strategies; (e) the
level of the advisory fees that SIMC and the Sub-Advisers charge the Funds
compared with the fees each charge to comparable mutual funds; (f) the Funds'
overall fees and operating expenses compared with similar mutual funds; (g) the
level of SIMC's and the Sub-Advisers' profitability from their Fund-related
operations; (h) SIMC's and the Sub-Advisers' compliance systems; (i) SIMC's and
the Sub-Advisers' policies on and compliance procedures for personal securities
transactions; (j) SIMC's and the Sub-Advisers' reputation, expertise and
resources in domestic and/or international financial markets; and (k) the Funds'
performance compared with similar mutual funds.
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SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 211
Board of Trustees Considerations in Approving the
Advisory and Sub-Advisory Agreements (Unaudited) (Concluded)
At the December 5-6, 2007 and March 12-13, 2008 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 comparative fee analysis either showed that the various fees were below
average or that there was a reasonable basis for the fee level. Finally, the
Trustees considered the effects of SIMC's voluntary waiver of management and
other fees and the Sub-Advisers' fees to prevent total Fund expenses from
exceeding a specified cap and that SIMC and the Sub-Advisers, through waivers,
have maintained the Funds' net operating expenses at competitive levels for
their respective distribution channels. Following evaluation, the Board
concluded that, within the context of its full deliberations, the expenses of
the Funds are reasonable and supported renewal of the Investment Advisory
Agreements.
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212 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
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.
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SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 213
Notes
Notes
Notes
SEI INSTITUTIONAL MANAGED TRUST SEMI-ANNUAL REPORT MARCH 31, 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)
[LOGO]
SEI New ways.
New answers.(R)
SEI Investments Distribution Co.
Oaks, PA 19456 1.800.DIAL.SEI (1.800.342.5734)
SEI-F-092 (3/08)
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.
The Trust has a standing Nominating Committee (the "Committee") currently
consisting of the Independent Trustees. The Committee is responsible for
evaluating and recommending nominees for election to the Trust's Board of
Trustees (the "Board"). Pursuant to the Committee's Charter, adopted on June 18,
2004, the Committee will review all shareholder recommendations for nominations
to fill vacancies on the Board if such recommendations are submitted in writing
and addressed to the Committee at the Trust's office.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The certifying officers, whose certifications are included herewith, have
evaluated the registrant's disclosure controls and procedures within 90 days of
the filing date of this report. Based on their evaluation, the certifying
officers have concluded that the registrant's disclosure controls and procedures
are adequately designed, and are operating effectively to ensure, that
information required to be disclosed by the registrant in the reports it files
or submits under the Securities Exchange Act of 1934 is recorded, processed,
summarized and reported within the time periods specified in the Securities and
Exchange Commission's rules and forms.
(b) There were no significant changes in the registrant's internal control over
financial reporting that occurred during the registrant's last fiscal half-year
that have materially affected, or are reasonably likely to materially affect,
the registrants internal control over financial reporting.
ITEMS 12. EXHIBITS.
(a)(1) Not applicable for semi-annual report.
(a)(2) A separate certification for the principal executive officer and the
principal financial officer of the registrant as required by Rule 30a-2(a) under
the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed
herewith.
(b) Officer certifications as required by Rule 30a-2(b) under the Investment
Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing
as an Exhibit.
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) SEI Institutional Managed Trust
By (Signature and Title)* /s/ Robert A Nesher
-------------------
Robert A. Nesher, President & CEO
Date: May 29, 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: May 29, 2008
By (Signature and Title)* /s/ Stephen F Panner
--------------------
Stephen F. Panner, Controller & CFO
Date: May 29, 2008
* Print the name and title of each signing officer under his or her signature.