UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
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FORM N-CSRS
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CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER 811-03231
SEI LIQUID ASSET TRUST
(Exact name of registrant as specified in charter)
--------
c/o CT Corporation
101 Federal St.
Boston, MA 02110
(Address of principal executive offices) (Zip code)
c/o SEI Investments Company
One Freedom Valley Drive
Oaks, PA 19456
(Name and address of agent for service)
COPIES TO:
Richard W. Grant, Esq.
Morgan, Lewis & Bockius LLP
1701 Market Street
Philadelphia, PA 19103
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: 1-800-342-5734
DATE OF FISCAL YEAR END: JUNE 30, 2008
DATE OF REPORTING PERIOD: DECEMBER 31, 2008
ITEM 1. REPORTS TO STOCKHOLDERS.
(SEI LOGO)
New Ways.
New answers.(R)
SEI Liquid Asset Trust
Semi-Annual Report as of December 31, 2008
Prime Obligation Fund
TABLE OF CONTENTS
Schedule of Investments 1
Statement of Assets and Liabilities 3
Statement of Operations 4
Statements of Changes in Net Assets 5
Financial Highlights 6
Notes to Financial Statements 7
Disclosure of Fund Expenses 11
The Trust files its complete schedule of portfolio holdings with the Securities
and Exchange Commission for the first and third quarters of each fiscal year on
Form N-Q within sixty days after the end of the period. The Trust's Forms N-Q
are available on the Commission's website at http://www.sec.gov, and may be
reviewed and copied at the Commission's Public Reference Room in Washington, DC.
Information on the operation of the Public Reference Room may be obtained by
calling 1-800-SEC-0330.
A description of the policies and procedures that the Trust uses to determine
how to vote proxies relating to portfolio securities, as well as information
relating to how the Fund voted proxies relating to portfolio securities during
the most recent 12-month period ended June 30, is available (i) without charge,
upon request, by calling 1-800-DIAL-SEI; and (ii) on the Commission's website at
http://www.sec.gov.
SCHEDULE OF INVESTMENTS (Unaudited)
Prime Obligation Fund
December 31, 2008
SECTOR WEIGHTINGS*:
(Bar Chart)
Commercial Paper 58.7%
Repurchase Agreement 18.6%
U.S. Government Agency Obligations 15.0%
Certificates of Deposit 4.6%
Capital Support Agreement 1.8%
Corporate Obligations 1.3%
* Percentages based on total investments.
Face Amount Value+
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
COMMERCIAL PAPER (A) (B) -- 58.7%
Barton Capital LLC
1.452%, 01/12/09 $ 28,000 $ 27,991
1.525%, 02/24/09 23,000 22,955
Cafco LLC
3.005%, 01/29/09 25,000 24,975
1.607%, 02/18/09 10,000 9,983
Cancara Asset Securitization LLC
2.025%, 01/12/09 17,000 16,995
4.860%, 01/14/09 15,000 14,994
4.808%, 01/15/09 10,000 9,996
2.639%, 02/05/09 30,000 29,963
Chariot Funding LLC
2.007%, 01/09/09 40,000 39,991
2.766%, 01/14/09 15,000 14,994
Charta LLC
3.001%, 01/13/09 10,000 9,996
1.556%, 02/23/09 55,000 54,892
Ciesco LLC
2.108%, 02/04/09 10,000 9,988
1.556%, 02/12/09 13,000 12,981
CRC Funding LLC
1.556%, 02/23/09 60,000 59,882
Edison Asset Securitization LLC
2.182%, 02/04/09 50,000 49,940
Eli Lilly
1.404%, 01/29/09 60,000 59,990
Fairway Finance
2.567%, 01/23/09 55,000 54,958
1.454%, 02/06/09 16,000 15,980
Falcon Asset Securitization LLC
2.007%, 01/09/09 5,000 4,999
1.505%, 02/12/09 10,000 9,985
Gemini Securitization LLC
2.263%, 02/05/09 40,000 39,950
2.873%, 02/09/09 15,000 14,979
General Electric Capital
1.758%, 02/17/09 12,000 11,996
1.356%, 04/06/09 4,000 3,997
0.702%, 06/26/09 55,000 54,908
Gotham Funding
1.655%, 01/29/09 17,000 16,983
1.706%, 02/05/09 30,000 29,962
Face Amount Value+
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Govco
1.607%, 02/17/09 $ 15,000 $ 14,974
Issuer Entity LLC
3.295%, 10/29/09
(C) (D) (E) (F) (G) (H) 13,024 3,848
Jupiter Securitization LLC
1.405%, 02/09/09 33,000 32,954
Old Line Funding LLC
4.143%, 01/15/09 10,000 9,996
1.505%, 02/06/09 13,000 12,984
Park Avenue Receivables
2.007%, 01/09/09 10,000 9,999
1.405%, 02/17/09 25,000 24,989
PNC Funding
3.029%, 03/12/09 6,000 5,986
Sheffield Receivables
1.505%, 02/12/09 14,000 13,979
Thames Asset Global Securitization LLC
0.902%, 03/12/09 8,500 8,476
Wickersham Issuer Entity
5.674%, 04/12/17
(C) (D) (F) (G) (H) (I) 17,505 9,662
----------
Total Commercial Paper
(Cost $890,664) ($ Thousands) 877,050
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U.S. GOVERNMENT AGENCY OBLIGATIONS -- 15.0%
FHLB
2.620%, 04/28/09 20,000 20,149
FHLB DN (B)
2.498%, 02/09/09 10,000 10,000
0.200%, 02/23/09 50,000 50,000
0.521%, 06/15/09 10,000 9,986
FHLMC DN (B)
0.120%, 01/21/09 39,000 39,000
0.320%, 04/01/09 3,350 3,349
1.155%, 04/02/09 16,200 16,194
1.176%, 04/21/09 10,000 9,996
1.156%, 05/06/09 20,000 19,983
FNMA DN (B)
0.150%, 02/03/09 43,000 43,000
0.542%, 06/22/09 3,000 2,996
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Total U.S. Government Agency Obligations
(Cost $224,449) ($ Thousands) 224,653
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CERTIFICATES OF DEPOSIT -- 4.6%
Branch Banking & Trust
3.130%, 02/20/09 5,000 5,016
Chase Bank
1.750%, 02/17/09 25,000 25,028
1.750%, 02/18/09 15,000 15,017
SEI Liquid Asset Trust / Semi-Annual Report / December 31, 2008
1
Prime Obligation Fund (Concluded)
December 31, 2008
Face Amount Value+
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Union Bank
2.350%, 02/04/09 $ 23,000 $ 23,032
----------
Total Certificates of Deposit
(Cost $68,013) ($ Thousands) 68,093
----------
CAPITAL SUPPORT AGREEMENT (D) -- 1.8%
SEI Capital Support Agreement 26,976 26,976
----------
Total Capital Support Agreement
(Cost $0) ($ Thousands) 26,976
----------
CORPORATE OBLIGATIONS -- 1.3%
Axon Financial Fund LLC MTN
2.718%, 01/23/10
(C) (D) (F) (G) (H) (J) (K) 13,244 6,754
Cheyne Finance MTN
2.063%, 11/17/08
(C) (D) (F) (G) (H) (K) (L) (M) 8,168 --
Gryphon Funding
3.280%, 01/05/09
(C) (D) (F) (G) (H) (K) (M) 7,509 2,854
Stanfield Victoria Funding MTN
2.070%, 02/14/09
(C) (D) (F) (G) (H) (K) (N) 16,827 9,591
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Total Corporate Obligations
(Cost $36,155) ($ Thousands) 19,199
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REPURCHASE AGREEMENT (O) -- 18.6%
Goldman Sachs
0.010%, dated 12/31/08,
to be repurchased on 01/02/09,
repurchase price $278,289,155
(collateralized by various
Treasury Inflation Protected
Securities, ranging in par value
$86,951,900-$181,165,300,
1.625%-2.375%, 01/15/17-
01/15/18, with a total market
value $283,854,818) 278,289 278,289
----------
Total Repurchase Agreement
(Cost $278,289) ($ Thousands) 278,289
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Total Investments -- 100.0%
(Cost $1,497,570) ($ Thousands) $1,494,260
==========
Percentages are based on Net Assets of $1,494,657 ($ Thousands).
+ Each holding is shown at market value, rather than amortized cost value.
Holdings are shown at market value for reporting purposes only. There has
been no change to the Fund's policy to calculate its net asset value per
share using amortized cost. The assets are shown at market value to
accurately reflect the impact of the Capital Support Agreement, since the
value of the Capital Support Agreement is determined based upon the market
value of the Fund's other assets.
(A) Securities are held in connection with a letter of credit issued by a major
bank.
(B) The rate reported is the effective yield at time of purchase.
(C) Securities considered illiquid. The total value of such securities as of
December 31, 2008 was $32,709 ($ Thousands) and represented 2.19% of Net
Assets.
Description
- -----------
(D) The Fund has entered into a Capital Support Agreement ("agreement") with
SEI Investments Company ("SEI") which provides that SEI will contribute
capital to the Fund, up to a specified maximum amount, in the event that
the Fund realizes a loss on any of these securities and such realized loss
causes the Fund's net asset value as calculated using fair values to drop
below $0.995. As of December 31, 2008, the fair value of the agreement was
$26,976 ($ Thousands).
(E) Notes issued by Issuer Entity LLC were received by the Fund in connection
with a restructuring of Ottimo Funding Ltd. ("Ottimo") on November 2, 2007.
The Fund previously held notes issued by Ottimo, which defaulted prior to
the restructuring.
(F) The value shown is the fair value as of December 31, 2008. Please refer to
Note 6 for amortized cost value as of December 31, 2008.
(G) Floating Rate Security. The rate reflected on the Schedule of Investments
is the rate in effect on December 31, 2008. The demand and interest rate
reset features give this security a shorter effective maturity date.
(H) Securities considered restricted. The total value of such securities as of
December 31, 2008 was $32,709 ($ Thousands) and represented 2.19% of Net
Assets.
(I) Notes Issued by Wickersham Issuer Entity LLC were received by the Fund in
connection with a restructuring of Thornburg Mortgage Capital, Inc.
(Thornburg) on May 16, 2008. The Fund previously held notes issued by
Thornburg, which defaulted prior to restructuring.
(J) On November 21, 2007, due to deterioration in the market value of the
assets of Axon Finance Funding, LLC ("Axon"), provisions in the
organizational documents of Axon were triggered that caused the notes
issued by Axon to become immediately due and payable. Since no payments
have been received, the Axon notes are in default.
(K) 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."
(L) On October 17, 2007, due to deterioration in the market value of the assets
Cheyne Finance LLC ("Cheyne"), provisions in the organizational documents
of Cheyne were triggered that caused the notes issued by Cheyne to become
immediately due and payable. Since no payments have been received, the
Cheyne notes are in default.
(M) Cheyne Finance LLC ("Cheyne") was a structured investment vehicle that
defaulted on its notes in October, 2007. Receivers were appointed with the
responsibility to liquidate the assets of the structure and deliver the
proceeds to the noteholders. As an alternative to accepting the proceeds
from the auction of the underlying collateral, senior noteholders of
Cheyne, including the Fund, were given the opportunity to exchange all of
their existing senior notes for certain notes issued by a newly formed
entity, Gryphon Funding Limited ("Gryphon"). The Fund elected to exchange
its Cheyne senior notes for Gryphon notes. As part of the restructuring
transaction, Gryphon, in its capacity as the holder of the senior notes in
Cheyne following its formation, was deemed to receive a cash distribution
from Cheyne following the auction. Gryphon then used this cash to purchase
from a third party a significant portion of the assets formerly held by
Cheyne. Following this transaction, Gryphon distributed the senior notes in
Cheyne back to the original senior noteholders, which included the Fund.
The Cheyne entity continues to exist following the restructuring, holding a
small residual amount of cash to satisfy known and unknown liabilities. As
a result, the Fund continues to hold its original senior notes in Cheyne as
well as the newly issued Gryphon notes. This restructuring transaction was
effected during July 2008.
(N) On January 18, 2008, due to deterioration in the market value of the assets
Stanfield Victoria Finance, LLC ("Victoria"), provisions in the
organizational documents of Victoria were triggered that caused the notes
issued by Victoria to become immediately due and payable. Since no payments
have been received, the Victoria notes are in default. Since that time,
this security's valuation has been determined in accordance with fair value
for purposes of calculating the Fund's "mark-to-market" net asset value. As
of the time of this filing, there is a material difference between the fair
value of this security and its amortized cost.
(O) Tri-Party Repurchase Agreement
DN -- Discount Note
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
LLC -- Limited Liability Company
MTN -- Medium Term Note
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Liquid Asset Trust / Semi-Annual Report / December 31, 2008
2
Statement of Assets and Liabilities ($ Thousands)
as of December 31, 2008 (Unaudited)
PRIME OBLIGATION
FUND
----------------
ASSETS:
Investments, at Value (Cost $1,219,281) $1,188,995
Affiliated investment, at Value 26,976
Repurchase agreement, at Value (Cost $278,289) 278,289
Cash 467
Accrued income 504
Prepaid expenses 272
----------
Total Assets 1,495,503
----------
LIABILITIES:
Payable due to administrator 474
Payable for income distribution 207
Payable due to investment adviser 49
Chief Compliance Officer fees payable 4
Accrued expenses 112
----------
Total Liabilities 846
----------
Net Assets $1,494,657
----------
NET ASSETS CONSIST OF:
Paid-in Capital $1,502,161
Undistributed net investment income 1,911
Accumulated net realized loss on investments (6,105)
Net unrealized depreciation on investments (3,310)
----------
Net Assets $1,494,657
----------
Net Asset Value, Offering and Redemption Price Per Share -- Class A Shares
($1,494,657,240 / 1,502,161,660) $ 1.00
----------
The accompanying notes are an integral part of the financial statements.
SEI Liquid Asset Trust / Semi-Annual Report / December 31, 2008
3
Statement of Operations ($ Thousands)
For the six month period ended December 31, 2008 (Unaudited)
PRIME OBLIGATION
FUND
----------------
INVESTMENT INCOME:
Interest Income $ 17,768
--------
EXPENSES:
Administration Fees 2,773
Shareholder Servicing Fees -- Class A 1,655
Investment Advisory Fees 270
Trustees' Fees 11
Chief Compliance Officer Fees 3
Treasury Expense 208
Printing Fees 117
Professional Fees 46
Custodian/Wire Agent Fees 13
Registration Fees 13
Insurance Expense 4
Other Expenses 9
--------
Total Expenses 5,122
--------
Less, Waiver of:
Administration Fees (352)
Shareholder Servicing Fees -- Class A (1,655)
--------
Net Expenses 3,115
--------
NET INVESTMENT INCOME 14,653
--------
Net Realized Loss on Investments (2,295)
Net Change in Unrealized Appreciation (Depreciation) on/from:
Investments (16,891)
Affiliated Investment 15,500
--------
Net Realized and Unrealized Loss on Investments (3,686)
--------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $ 10,967
--------
The accompanying notes are an integral part of the financial statements.
SEI Liquid Asset Trust / Semi-Annual Report / December 31, 2008
4
Statements of Changes in Net Assets ($ Thousands)
For the six month period ended December 31, 2008 (Unaudited) and the year ended
June 30, 2008
PRIME OBLIGATION FUND
-------------------------
07/01/08 to 07/01/07 to
12/31/08 6/30/08
----------- -----------
OPERATIONS:
Net Investment Income $ 14,653 $ 40,637
Net Realized Loss on Investments (2,295) (3,930)
Net Change in Unrealized Depreciation on Investments and Affiliated Investment (1,391) (1,919)
----------- -----------
Net Increase in Net Assets Resulting
from Operations 10,967 34,788
----------- -----------
DIVIDENDS FROM:
Net Investment Income:
Class A (12,786) (40,418)
----------- -----------
Total Dividends (12,786) (40,418)
----------- -----------
CAPITAL SHARE TRANSACTIONS (ALL AT $1.00 PER SHARE):
Class A:
Proceeds from Shares Issued 4,036,486 6,435,951
Reinvestment of Dividends 11,173 35,770
Cost of Shares Redeemed (3,730,725) (6,092,079)
----------- -----------
Increase in Net Assets Derived
from Capital Share Transactions 316,934 379,642
----------- -----------
Net Increase in Net Assets 315,115 374,012
----------- -----------
NET ASSETS:
BEGINNING OF PERIOD $ 1,179,542 $ 805,530
----------- -----------
END OF PERIOD $ 1,494,657 $ 1,179,542
----------- -----------
Undistributed Net Investment Income $ 1,911 $ 44
----------- -----------
The accompanying notes are an integral part of the financial statements.
SEI Liquid Asset Trust / Semi-Annual Report / December 31, 2008
5
Financial Highlights
For the six month period ended December 31, 2008 (Unaudited) and the years ended
June 30,
For a share outstanding throughout each year
Net Realized
and
Net Asset Unrealized Total Dividends
Value, Net Gains from from Net
Beginning Investment on Investment Investment Total
of Period Income Securities Operations Income Dividends
- --------------------- --------- ---------- ------------ ---------- ---------- ---------
PRIME OBLIGATION FUND
CLASS A:
2008* $1.00 $0.01 $-- $0.01 $(0.01) $(0.01)
2008 1.00 0.04 -- 0.04 (0.04) (0.04)
2007 1.00 0.05 -- 0.05 (0.05) (0.05)
2006 1.00 0.04 -- 0.04 (0.04) (0.04)
2005 1.00 0.02 -- 0.02 (0.02) (0.02)
2004 1.00 0.01 -- 0.01 (0.01) (0.01)
Ratio of
Expenses Ratio of Net
Ratio of to Average Investment
Net Asset Net Assets Expenses Net Assets Income
Value, End Total End of Period to Average (Excluding to Average
of Period Return+ ($ Thousands) Net Assets Waivers) Net Assets
- --------------------- ---------- ------- ------------- ---------- ---------- ------------
PRIME OBLIGATION FUND
CLASS A:
2008* $1.00 0.99% $1,494,657 0.47%** 0.78% 2.22%
2008 1.00 3.96 1,179,542 0.44 0.75 3.76
2007 1.00 5.05 805,530 0.44 0.76 4.94
2006 1.00 3.88 855,597 0.44 0.76 3.82
2005 1.00 1.81 698,956 0.44 0.77 1.77
2004 1.00 0.68 887,109 0.44 0.77 0.68
* For the six month period ended December 31, 2008. All ratios have been
annualized.
** The expense ratio includes the Treasury Guarantee Program expense. Had this
expense been excluded, the ratio would have been 0.44%.
+ Returns shown do not reflect the deduction of taxes that a shareholder
would pay on Fund distributions or the redemption of Fund shares.
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Liquid Asset Trust / Semi-Annual Report / December 31, 2008
6
Notes to Financial Statements
December 31, 2008
1. ORGANIZATION
SEI Liquid Asset Trust (the "Trust") was organized as a Massachusetts business
trust under a Declaration of Trust dated July 20, 1981.
The Trust is registered under the Investment Company Act of 1940, as amended, as
a diversified, open-end management investment company with one fund: the Prime
Obligation Fund (the "Fund"). The Trust is registered to offer Class A shares of
the Fund. A description of the Fund's investment objectives, policies, and
strategies are provided in the prospectus.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the
Trust.
USE OF ESTIMATES -- The preparation of financial statements in conformity with
U.S. generally accepted accounting principles requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities at the date of
the financial statements and the reported amounts of increases and decreases in
net assets from operations during the reporting period. Actual results could
differ from those estimates.
SECURITY VALUATION -- Investment securities, except those securities which are
covered by the Capital Support Agreement, are stated at amortized cost which
approximates market value. Under this valuation method, purchase discounts and
premiums are accreted and amortized ratably to maturity and are included in
interest income. Refer to Note 6 for a discussion of the Capital Support
Agreement entered into by the Fund.
The Fund adopted Financial Accounting Standards Board Statement of Financial
Accounting Standards No. 157, Fair Value Measurements ("FAS 157"), effective
July 1, 2008. In accordance with FAS 157, fair value is defined as the price
that the Fund would receive upon selling an investment in a timely transaction
to an independent buyer in the principal or most advantageous market of the
investment. FAS 157 established a three-tier hierarchy to maximize the use of
the observable market data and minimize the use of unobservable inputs and to
establish classification of the fair value measurements for disclosure purposes.
Inputs refer broadly to the assumptions that market participants would use in
pricing the asset or liability, including assumptions about risk, for example,
the risk inherent in a particular valuation technique used to measure fair value
including such a pricing model and/or the risk inherent in the inputs to the
valuation technique. Inputs may be observable or unobservable. Observable inputs
are inputs that reflect the assumptions market participants would use in pricing
the asset or liability developed based on market data obtained from sources
independent of the reporting entity. Unobservable inputs are inputs that reflect
the reporting entity's own assumptions about the assumptions market participants
would use in pricing the asset or liability developed based on the best
information available in the circumstances.
The three-tier hierarchy of inputs is summarized in the three broad Levels
listed below:
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for
similar investments, interest rates, prepayment speeds, credit risks,
etc.)
Level 3 - significant unobservable inputs (including the Fund's own assumptions
in determining the fair value of investments)
The valuation techniques used by the Fund to measure fair value in accordance
with FAS 157 during the six months ended December 31, 2008 maximized the use of
observable inputs and minimized the use of unobservable inputs.
The following is a summary of the inputs used as of December 31, 2008 in valuing
the Fund's investments in accordance with FAS 157 carried at value ($
Thousands):
Investments in Securities Level 1 Level 2 Level 3 Total
- ------------------------- -------- ---------- ------- ----------
Prime Obligation
Fund $278,289 $1,156,286 $59,685 $1,494,260
The following is a reconciliation of investments in which significant
unobservable inputs (Level 3) were used in determining value:
Prime Obligation Fund
Investments in Securities ($ Thousands)
- ------------------------- ---------------------
Beginning balance as of July 1, 2008 $70,331
Accrued discounts/premiums 1,336
Realized gain/(loss) (2,357)
Change in unrealized appreciation/(depreciation) (1,801)
Net purchase/sales (7,824)
Net transfer in and/or out Level 3 --
-------
Ending balance as of December 31, 2008 $59,685
=======
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 Fund. Valuations of illiquid
securities may differ significantly from the values that would have been used
had an active market value for these securities existed.
SEI Liquid Asset Trust / Semi-Annual Report / December 31, 2008
7
Notes to Financial Statements (Unaudited) (Continued)
December 31, 2008
RESTRICTED SECURITIES -- At December 31, 2008, the Fund owned private placement
investments that were purchased through private offerings or acquired through
initial public offerings and cannot be sold without prior registration under the
Securities Act of 1933 or pursuant to an exemption there from. In addition, the
Fund has generally agreed to further restrictions on the disposition of certain
holdings as set forth in various agreements entered into in connection with the
purchase of these investments. These investments are valued at amortized cost as
determined in accordance with the procedures approved by the Board of Trustees.
The acquisition dates of these investments, along with their cost and values at
December 31, 2008, were as follows:
% of
Face Amortized Fair Net
Amount Acquisition Cost Value Assets
Description (000) Date (000) (000) (000)
- ----------- ------- ----------- --------- ------- ------
Axon Financial
Funding LLC MTN
2.718%, 05/06/09 $13,244 04/04/07 $13,243 $ 6,754 0.45%
Cheyne Finance
2.063, 11/17/08 8,168 03/19/07 -- -- 0.00
Gryphon Funding
3.280%, 07/23/09 7,509 07/31/08 6,085 2,854 0.19
Issuer Entity LLC
3.295%, 10/29/09 13,024 11/12/07 13,021 3,848 0.26
Stanfield Victoria
Funding MTN
2.070%, 04/21/09 16,827 03/07/07 16,826 9,591 0.64
Wickersham Issuer
Entity
5.674%, 05/13/09 17,505 05/16/08 14,739 9,662 0.65
------- ------- ----
$63,914 $32,709 2.19%
======= ======= ====
REPURCHASE AGREEMENTS -- The Fund invests in tri-party repurchase agreements.
Securities held as collateral for tri-party repurchase agreements are maintained
in a segregated account by the broker's custodian bank. Provisions of the
agreements and the Trust's policies ensure that the market value of the
collateral, including accrued interest thereon, is sufficient to cover interest
and principal in the event of default by the counterparty. If the counterparty
defaults and the value of the collateral declines or if the counterparty enters
an insolvency proceeding, realization of the collateral by the Fund may be
delayed or limited.
EXPENSES -- Expenses that are directly related to the Fund are charged directly
to the Fund.
SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are
accounted for on the trade date. Costs used in determining realized gains and
losses on the sale of investment securities are on the basis of specific
identification. Interest income is recognized using the accrual basis of
accounting.
All amortization is calculated using the straight line method over the holding
period of the security. Amortization of premiums and accretion of discounts are
included in interest income.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment
income are declared on a daily basis and are payable on the first business day
of the following month. Any net realized capital gains of the Fund are
distributed to the shareholders of the Fund annually.
3. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
ADMINISTRATION AND TRANSFER AGENCY AGREEMENT -- SEI Investments Global Funds
Services (the "Administrator") provides administrative services to the Trust for
an annual fee, which is calculated daily and paid monthly, of .42% of the
average daily net assets of the Fund.
The Administrator has contractually agreed to waive fees and to reimburse
expenses, through June 30, 2009, in order to keep total operating expenses, net
of SEI Investments Management Corporation ("SIMC") and SEI Investments
Distribution Co.'s (the "Distributor") fee waivers, from exceeding .44% of the
average daily net assets of the Fund. The expense cap excludes the Treasury
Guarantee Program expense. The Distributor is a wholly-owned and operated
subsidiary of SEI Investments Company and a registered broker-dealer.
DISTRIBUTION AGREEMENT -- The Distributor acts as the distributor of the shares
of the Trust under a Distribution Agreement. The Trust has adopted a shareholder
servicing plan for its Class A shares (the "Class A Plan") pursuant to which a
shareholder servicing fee of up to .25% of the average daily net assets
attributable to Class A shares will be paid to the Distributor. Under the Class
A Plan the Distributor may perform, or may compensate other service providers
for performing, certain shareholder and administrative services. The Distributor
has waived, on a voluntary basis, all of its shareholder servicing fee.
Under the Class A Plan, the Distributor may retain as a profit any difference
between the fee it receives and the amount it pays to third parties.
Certain officers and/or trustees of the Trust are also officers and/or directors
of the Administrator or SIMC. Compensation of officers and affiliated trustees
of the Trust is paid by the Administrator and/or SIMC.
SEI Liquid Asset Trust / Semi-Annual Report / December 31, 2008
8
The services provided by the Chief Compliance Officer ("CCO") and his staff,
whom are employees of the Administrator, are paid for by the Trust as incurred.
The services include regulatory oversight of the Trust's advisors, sub-advisors
and service providers as required by SEC regulations. The CCO's services have
been approved by and are reviewed by the Board.
U.S. Bank, N.A. which is a Trust shareholder, acts as custodian and wire agent
for the Trust.
CAPITAL SUPPORT AGREEMENT -- The Fund has entered into a Capital Support
Agreement with SEI Investments Company. Please see Note 6 for more information.
4. INVESTMENT ADVISORY AGREEMENT
SIMC serves as the Fund's investment adviser and "manager of managers" under an
investment advisory agreement. For its services, SIMC receives an annual fee
equal to .075% of the Trust's average daily net assets up to $500 million and
..02% of such net assets in excess of $500 million.
Columbia Management Advisors, LLC ("Columbia"), serves as the Fund's investment
sub-adviser under an investment sub-advisory agreement. Columbia is paid by
SIMC. SIMC compensates Columbia out of the fee it receives from the Fund.
5. FEDERAL INCOME TAXES
It is the Fund's intention to continue to qualify as a regulated investment
company under Subchapter M of the Internal Revenue Code and distribute all of
its taxable income. Accordingly, no provision for Federal income taxes is
required. The timing and characterization of certain income and capital gains
distributions are determined annually in accordance with Federal tax regulations
which may differ from U.S. generally accepted accounting principles. As a
result, net investment income (loss) and net realized gain (loss) on investment
transactions for the reporting period may differ from distributions during such
period. These book/tax differences may be temporary or permanent in nature. To
the extent these differences are permanent, they are charged or credited to
paid-in capital, undistributed net investment income or accumulated net realized
gain, as appropriate, in the period that the differences arise.
The tax character of dividends paid to Class A shareholders during the years
ended June 30, 2008 and June 30, 2007 were as follows ($ Thousands):
Ordinary Income
---------------
2008 $40,418
2007 $41,318
As of June 30, 2008, the components of accumulated losses on a tax basis were as
follows ($ Thousands):
Undistributed Ordinary Income $ 1,861
Capital Loss Carryforwards (48)
Partnership Adjustment (3,205)
Post-October Losses (558)
Unrealized Depreciation (1,600)
Other Temporary Differences (2,135)
-------
Total Accumulated Losses $(5,685)
=======
Post-October losses represent losses realized on investment transactions from
November 1, 2007 through June 30, 2008, that, in accordance with Federal income
tax regulations, the Fund defers and treats as having arisen in the following
fiscal year. For Federal income tax purposes, capital loss carryforwards
represent realized losses of the Fund that may be carried forward for a maximum
period of eight years and applied against future capital gains were as follows:
Expiring in 2011 $(39)
Expiring in 2013 (3)
Expiring in 2014 (1)
Expiring in 2015 (4)
Expiring in 2016 (1)
----
Total Capital Loss Carryforwards $(48)
====
The Federal tax cost and aggregate gross unrealized appreciation and
depreciation on investments held by the Fund at December 31, 2008 were as
follows:
Federal Appreciated Depreciated Net Unrealized
Tax Cost Securities Securities Depreciation
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
------------- ------------- ------------- -------------
Prime Obligation
Fund $1,497,570 $27,895 $(31,205) $(3,310)
Management has analyzed the Fund's tax position taken on federal income tax
returns for all open tax years and has concluded that as of December 31, 2008,
no provision for income tax would be required in the Fund's financial
statements. The Fund's federal and state income and federal excise tax returns
for tax years for which the applicable statutes of limitations have not expired
are subject to examination by the Internal Revenue Service and state departments
of revenue.
6. CAPITAL SUPPORT AGREEMENT
On December 3, 2007, the Fund entered into a Capital Support Agreement, as
amended with SEI Investments Company ("SEI"), which is the parent company of
SIMC. The Capital Support Agreement requires SEI to commit capital to the Fund,
subject to a specified maximum contribution amount, if the Fund realizes
payments or sales proceeds from specified securities ("Eligible Notes") held by
the Fund which are less than the amortized cost of such securities and such loss
causes the Fund's mark-to-market net
SEI Liquid Asset Trust / Semi-Annual Report / December 31, 2008
9
Notes to Financial Statements (Unaudited) (Concluded)
December 31, 2008
asset value to drop below $0.9950. The Eligible Notes held in the Fund as of
December 31, 2008 are presented in the footnotes on the Schedule of Investments.
On November 20, 2008, the Capital Support Agreement was amended to increase the
maximum contribution amount to $30.0 million. On November 28, 2008, the Capital
Support Agreement was amended and restated. Under the Amended and Restated
Capital Support Agreement the maximum contribution amount remains at $30.0
million. Upon the sale or other ultimate disposition of an Eligible Note, the
amount of required capital commitment would be the least of the following
amounts: (i) the amount, if any, by which the amortized cost of the Eligible
Note exceeds the amount realized from the sale or other disposition of the
security; (ii) the amount, if any, necessary to restore the net asset value per
share of the Fund to 0.9950, or (iii) the maximum contribution amount, taking
into account all prior contributions. SEI's obligations under the Agreement may
be supported by either a Letter of Credit issued by a bank having a First Tier
credit rating or cash held in a segregated account. The Fund will draw on the
Letter of Credit or withdraw from the segregated account in the event that SEI
fails to make a cash contribution when due under the Agreement.
The Fund will sell the Eligible Notes (i) promptly following any change in the
Letter of Credit provider's short term credit ratings such that the Letter of
Credit provider's obligations no longer qualify as First Tier Securities as
defined in paragraph (a)(12) of Rule 2a-7, or (ii) on the business day
immediately prior to the termination date of the Agreement; provided that the
Fund is not required to complete any such sale if the amount the Fund expects to
receive would not result in the payment of a Capital Contribution, or, with
respect to an event described in (i) above, if the Affiliate substitutes an
obligation or credit support that satisfies the requirement of a First Tier
Security within fifteen (15) calendar days from the occurrence of such event
and, during such 15 day period, the Letter of Credit provider's obligations
continue to qualify as Second Tier Securities under paragraph (a)(22) of Rule
2a-7. The termination date of the Agreement is November 6, 2009.
The following table shows the Eligible Notes and their amortized cost and fair
value as of December 31, 2008:
Face Amortized Fair Unrealized
Amount Cost Value Depreciation
Description (000) (000) (000) (000)
- ----------- ------- --------- ------- ------------
Axon Financial
Funding LLC MTN
2.718%, 05/06/09 $13,244 $13,243 $ 6,754 $ (6,489)
Cheyne Finance
2.063, 11/17/08 8,168 -- -- --
Gryphon Funding
3.280%, 07/23/09 7,509 6,085 2,854 (3,231)
Issuer Entity LLC
3.295%, 10/29/09 13,024 13,021 3,848 (9,173)
Stanfield Victoria
Funding MTN
2.070%, 04/21/09 16,827 16,826 9,591 (7,235)
Wickersham Issuer
Entity
5.674%, 05/13/09 17,505 14,739 9,662 (5,077)
------- ------- --------
$63,914 $32,709 $(31,205)
======= ======= ========
SEI Liquid Asset Trust / Semi-Annual Report / December 31, 2008
10
Disclosure of Fund Expenses (Unaudited)
All mutual funds have operating expenses. As a shareholder of a mutual fund,
your investment is affected by these ongoing costs, which include (among others)
costs for portfolio management, administrative services, and shareholder reports
like this one. It is important for you to understand the impact of these costs
on your investment returns.
Operating expenses such as these are deducted from a mutual fund's gross income
and directly reduce your final investment return. These expenses are expressed
as a percentage of a mutual fund's average net assets; this percentage is known
as a mutual fund's expense ratio. The following examples use the expense ratio
and are intended to help you understand the ongoing costs (in dollars) of
investing in your Fund and to compare these costs with those of other mutual
funds. The examples are based on an investment of $1,000 made at the beginning
of the period shown and held for the entire period.
The table below illustrates your Fund's costs in two ways:
- - ACTUAL FUND RETURN. This section helps you to estimate the actual expenses
after fee waivers that your Fund incurred over the period. The "Expenses Paid
During Period" column shows the actual dollar expense cost incurred by a $1,000
investment in the Fund, and the "Ending Account Value" number is derived from
deducting that expense cost from the Fund's gross investment return.
You can use this information, together with the actual amount you invested in
the Fund, to estimate the expenses you paid over that period. Simply divide your
ending account value by $1,000 to arrive at a ratio (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply that ratio by the number
shown for your Fund under "Expenses Paid During Period."
- - HYPOTHETICAL 5% RETURN. This section helps you compare your Fund's costs
with those of other mutual funds. It assumes that the Fund had an annual 5%
return before expenses during the year, but that the expense ratio (Column 3)
for the period is unchanged. This example is useful in making comparisons
because the Securities and Exchange Commission requires all mutual funds to make
this 5% calculation. You can assess your Fund's comparative cost by comparing
the hypothetical result for your Fund in the "Expenses Paid During Period"
column with those that appear in the same charts in the shareholder reports for
other mutual funds.
NOTE: Because the return is set at 5% for comparison purposes -- NOT your Fund's
actual return -- the account values shown may not apply to your specific
investment.
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
7/1/08 12/31/08 RATIOS PERIOD*
--------- --------- ---------- --------
PRIME OBLIGATION FUND -- CLASS A
ACTUAL FUND RETURN $1,000.00 $1,009.90 0.47% $2.38
HYPOTHETICAL 5% RETURN 1,000.00 1,022.83 0.47 2.40
* Expenses are equal to the Fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by 184/365 (to reflect
the one-half year period shown).
SEI Liquid Asset Trust / Semi-Annual Report / December 31, 2008
11
Notes
SEI LIQUID ASSET TRUST SEMI-ANNUAL REPORT DECEMBER 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
Hubert L. Harris, Jr.
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
James Ndiaye
VICE PRESIDENT, ASSISTANT SECRETARY
Michael T. Pang
VICE PRESIDENT, ASSISTANT SECRETARY
Aaron Buser
VICE PRESIDENT, ASSISTANT SECRETARY
John J. McCue
VICE PRESIDENT
Andrew S. Decker
ANTI-MONEY LAUNDERING COMPLIANCE OFFICER
INVESTMENT ADVISER
SEI Investments Management Corporation
ADMINISTRATOR
SEI Investments Global Funds Services
DISTRIBUTOR
SEI Investments Distribution Co.
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
KPMG LLP
This report and the financial statements contained herein are submitted for the
general information of the shareholders of the Trust and must be preceded or
accompanied by a current prospectus. Shares of the Funds are not deposits or
obligations of, or guaranteed or endorsed by, any bank. The shares are not
federally insured by the Federal Deposit Insurance Corporation (FDIC), the
Federal Reserve Board, or any other government agency. Investment in the shares
involves risk, including the possible loss of principal.
FOR MORE INFORMATION CALL
1 800 DIAL SEI
(1 800 342 5734)
(SEI LOGO)
New Ways.
New answers.(R)
SEI Investments Distribution Co.
Oaks, PA 19456 1.800.DIAL.SEI (1.800.342.5734)
SEI-F-103 (12/08)
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.
ITEM 6. SCHEDULE OF INVESTMENTS
Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT COMPANY AND
AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Not applicable for semi-annual report.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The certifying officers, whose certifications are included herewith, have
evaluated the Registrant's disclosure controls and procedures within 90 days of
the filing date of this report. Based on their evaluation, the certifying
officers have concluded that the Registrant's disclosure controls and procedures
are adequately designed, and are operating effectively to ensure, that
information required to be disclosed by the Registrant in the reports it files
or submits under the Securities Exchange Act of 1934 is recorded, processed,
summarized and reported within the time periods specified in the Securities and
Exchange Commission's rules and forms.
(b) There were no significant changes in the Registrant's internal control over
financial reporting that occurred during the Registrant's last fiscal half-year
that have materially affected, or are reasonably likely to materially affect,
the Registrant's internal control over financial reporting.
ITEMS 12. EXHIBITS.
(a)(1) Not applicable for semi-annual report.
(a)(2) A separate certification for the principal executive officer and the
principal financial officer of the registrant as required by Rule 30a-2(a) under
the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed
herewith.
(b) Officer certifications as required by Rule 30a-2(b) under the Investment
Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing
as an Exhibit.
- --------------------------------------------------------------------------------
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) SEI Liquid Asset Trust
By (Signature and Title) /s/ Robert A. Nesher
----------------------
Robert A. Nesher
President & CEO
Date: March 10, 2009
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title) /s/ Robert A. Nesher
----------------------
Robert A. Nesher
President & CEO
Date: March 10, 2009
By (Signature and Title) /s/ Stephen F. Panner
----------------------
Stephen F. Panner
Controller & CFO
Date: March 10, 2009