-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, FBt/Tb16gNELH2JGFCEsJEIQDjEkAzDwRiHZY5H3j1eK0jnHvZM0cq2asx3Tl28z D6zmEAZVsv1vlwMJEThEUw== 0000935069-03-001629.txt : 20031208 0000935069-03-001629.hdr.sgml : 20031208 20031208124525 ACCESSION NUMBER: 0000935069-03-001629 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 6 CONFORMED PERIOD OF REPORT: 20030930 FILED AS OF DATE: 20031208 EFFECTIVENESS DATE: 20031208 FILER: COMPANY DATA: COMPANY CONFORMED NAME: SEI INSTITUTIONAL MANAGED TRUST CENTRAL INDEX KEY: 0000804239 STATE OF INCORPORATION: MA FISCAL YEAR END: 0930 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-04878 FILM NUMBER: 031042013 BUSINESS ADDRESS: STREET 1: 2 OLIVER ST CITY: BOSTON STATE: MA ZIP: 02109 BUSINESS PHONE: 8003455734 MAIL ADDRESS: STREET 1: SEI INVESTMENTS STREET 2: 1 FREEDOM VALLEY DRIVE CITY: OAKS STATE: PA ZIP: 19456 FORMER COMPANY: FORMER CONFORMED NAME: TRUSTFUNDS INSTITUTIONAL MANAGED TRUST DATE OF NAME CHANGE: 19890509 N-CSR 1 simtar9_03.txt SEI INSTITUTIONAL MANAGED TRUST AR SEPTEMBER 2003 UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 -------- FORM N-CSR -------- CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES INVESTMENT COMPANY ACT FILE NUMBER 811-3447 SEI INSTITUTIONAL MANAGED TRUST (Exact name of registrant as specified in charter) -------- One Freedom Valley Drive Oaks, PA 19456 (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, 2003 DATE OF REPORTING PERIOD: SEPTEMBER 30, 2003 ITEM 1. REPORTS TO STOCKHOLDERS. [BACKGROUND GRAPHIC OMITTED] [SEI INVESTMENTS LOGO OMITTED] Annual Report as of September 30, 2003 SEI Institutional Managed Trust Tax-Managed Large Cap Fund Large Cap Value Fund Large Cap Growth Fund Tax-Managed Small Cap Fund Small Cap Value Fund Small Cap Growth Fund Mid-Cap Fund Core Fixed Income Fund High Yield Bond Fund TABLE OF CONTENTS - ------------------------------------------------------------- Management's Discussion and Analysis of Fund Performance 1 - ------------------------------------------------------------- Statements of Net Assets/Schedule of Investments 14 - ------------------------------------------------------------- Statement of Assets and Liabilities 89 - ------------------------------------------------------------- Statements of Operations 90 - ------------------------------------------------------------- Statements of Changes in Net Assets 92 - ------------------------------------------------------------- Financial Highlights 96 - ------------------------------------------------------------- Notes to Financial Statements 98 - ------------------------------------------------------------- Report of Independent Auditors 107 - ------------------------------------------------------------- Trustees and Officers of the Trust 108 - ------------------------------------------------------------- Notice to Shareholders 111 - ------------------------------------------------------------- MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2003 Tax-Managed Large Cap Fund Objective The investment objective of the Tax-Managed Large Cap Fund is capital appreciation by investing in the equity securities of large companies. The Fund attempts to minimize the current tax impact on shareholders by buying and holding undervalued large cap U.S. common stocks. Strategy With respect to this Fund, SEI Investments Management Corporation employs a multi-manager structure to gain exposure to the entire U.S. large cap market, seeking to add value through stock selection in a tax-aware framework while minimizing risk in the form of capitalization, valuation and economic sector exposures. Assets of the Fund are strategically allocated among its sub-advisers, each of which has responsibility for stock selection for its respective assets under management. Through various investment approaches, each sub-adviser contributes a unique expertise to the Fund. Goldman Sachs Asset Management, Transamerica Investment Management, Montag & Caldwell Investment Counsel, and Peregrine Capital Management invest in the large cap growth area of the market employing tax-aware trading techniques. Sanford C. Bernstein and LSV Asset Management invest in the large-cap value area of the market employing tax-aware trading techniques. Parametric Portfolio Associates invests in both value and growth large-cap stocks through a quantitative process and aggressively harvests tax losses in the portfolio. Analysis The Tax-Managed Large Cap Fund, Class A, advanced 23.84% for the fiscal year ended September 30, 2003, trailing the Russell 1000 Index, which returned 25.14%. The fiscal year got off to a booming start as stocks posted double-digit gains in October and November. As corporate bankruptcies and scandals subsided, market participants regained some of their appetite for risk and scooped up beaten-down equities. From December through February, the market gave back most of its gains as geopolitical risk and the uncertainty over the global response to the situation in Iraq caused investors to sell equities. Once that uncertainty was eliminated and the war begun, stocks gained steadily throughout the rest of the period as investors focused on the fiscal and monetary incentives that were positively impacting the U.S. economy. Record low interest rates, increased consumer cash flow from mortgage refinance, and U.S. Federal tax cuts all helped to buoy stocks. For the most part, stocks that gained the most in this rally were those that generally suffered the most during the prior sell-off. Small cap stocks outperformed large, while growth issues outperformed value. In general, stocks with weaker fundamentals outperformed those with stronger fundamentals. Technology stocks in particular benefited as these companies are some of the most sensitive to changes in overall economic sentiment. The Fund's underweight to the telecom and semiconductor sectors detracted from performance, while an overweight to the biotechnology sector at the expense of large pharmaceutical stocks added to relative returns. Holdings in Nokia Oyj ADR and Eastman Kodak detracted from returns, while several positions in Internet-related issues positively impacted relative performance. Aronson+Johnson+Ortiz, LP and Franklin Portfolio Associates were added as sub-advisers during the fiscal year. Both managers employ a quantitative value approach and replaced the low tracking error portion managed by Barclays Global Investors. Tax-Managed Large Cap Fund: AVERAGE ANNUAL TOTAL RETURN (1) - --------------------------------------------------------------------------- Annualized Annualized Annualized One Year 3 Year 5 Year Inception Return Return Return to Date - --------------------------------------------------------------------------- Tax-Managed Large Cap Fund, Class A 23.84% -11.62% -0.10% -0.79% - --------------------------------------------------------------------------- Tax-Managed Large Cap Fund, Class Y 24.26% N/A N/A -7.29% - --------------------------------------------------------------------------- [GRAPHIC OMITTED] Comparison of Change in the Value of a $100,000 Investment in the Tax-Managed Large Cap Fund, Class A, versus the Russell 1000 Index Plot points follow: Tax Managed Large Cap Russell 1000 Fund, Class A Index 3/31/98 100,000 100,000 9/30/98 91,510 91,940 9/30/99 121,342 116,736 9/30/00 131,850 137,527 9/30/01 92,400 98,442 9/30/02 73,514 79,236 9/30/03 91,040 99,156 1 For the period ended 9/30/03. Past performance is no indication of future performance. The performance of Class Y Shares may be different than the performance of Class A Shares because of different distribution fees paid by Class Y shareholders. Class A Shares were offered beginning 3/5/98 and Class Y Shares were offered beginning 4/8/02. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 1 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2003 Large Cap Value Fund Objective The investment objective of the Large Cap Value Fund is long-term growth of capital and income by investing in the equity securities of large companies. The Fund invests primarily in a diversified portfolio of high quality, income producing common stocks, which, in the adviser's opinion, are undervalued in the marketplace at the time of purchase. Strategy With respect to this Fund, SEI Investments Management Corporation employs a multi-manager structure to gain exposure to the entire large cap value sector, adding value through stock selection while minimizing risk in the form of capitalization, valuation and economic sector exposures. Assets of the Fund are strategically allocated among its four sub-advisers, each of whom has responsibility for stock selection for its respective assets under management. Through various investment approaches, each sub-adviser contributes a unique expertise or sub-style to the Fund. Aronson+Johnson+Ortiz invests in asset-rich companies selling at relatively low multiples of earnings, which have earnings and price momentum. LSV Asset Management invests in companies trading at deep discounts to their intrinsic value. Franklin Portfolio Associates focuses on companies that are attractively priced that are showing signs of improvement. Sanford C. Bernstein incorporates intensive fundamental research to invest in undervalued stocks where there is a relationship between the current price, its future earnings power and dividend producing capability. Each of the aforementioned sub-styles assumes a different importance in determining overall style risk, and must therefore be weighted accordingly. Analysis The Large Cap Value Fund, Class A, underperformed its benchmark, the Russell 1000 Value Index, for the fiscal year ended September 30, 2003, returning 22.55% to the Index's 24.37% advance. Although value stocks rallied sharply during the fiscal period, the market was extremely volatile. The fiscal year got off to a booming start as stocks posted double-digit gains in October and November. As corporate bankruptcies and scandals subsided, market participants regained some of their appetite for risk and scooped up beaten-down equities. From December through February, the market gave back most of its gains as geopolitical risk and the uncertainty over the global response to the situation in Iraq caused investors to sell equities. Once that uncertainty was eliminated and the war begun, stocks gained steadily throughout the rest of the period as investors focused on the fiscal and monetary incentives that were positively impacting the U.S. economy. Record low interest rates, increased consumer cash flow from mortgage refinance, and U.S. Federal tax cuts all helped to buoy stocks. For the most part, stocks that gained the most in this rally were those that generally suffered the most during the prior sell-off. Small cap stocks outperformed large, while growth issues outperformed value. In general, stocks with weaker fundamentals outperformed those with stronger fundamentals. Technology stocks in particular benefited as these companies are some of the most sensitive to changes in overall economic sentiment. The Fund's underperformance was driven by individual stock positions within the diversified financials, capital goods, healthcare and software & service industries. Specifically, names like Freddie Mac, Northrop, and Tenet Healthcare detracted from the Fund's performance. Franklin Portfolio Associates and Aronson+Johnson+Ortiz, LP replaced Iridian Asset Management, LLC and Barclay's Global Investors as sub-advisers to the Fund during the fiscal year. Large Cap Value Fund: AVERAGE ANNUAL TOTAL RETURN (1) - --------------------------------------------------------------------------- Annualized Annualized Annualized One Year 3 Year 5 Year Inception Return Return Return to Date - --------------------------------------------------------------------------- Large Cap Value Fund, Class A 22.55% -1.58% 3.13% 10.70% - --------------------------------------------------------------------------- Large Cap Value Fund, Class I 22.17% -1.76% 3.02% 10.63% - --------------------------------------------------------------------------- [GRAPHIC OMITTED] Comparison of Change in the Value of a $100,000 Investment in the Large Cap Value Fund, Class A and Class I, versus the Russell 1000 Value Index, the S&P 500 Composite Index, and the S&P 500/BARRA Value Index Plot Points follow: Large Cap Large Cap Russell S&P 500 S&P 500/ Value Fund, Value Fund 1000 Composite BARRA Class A Class I Value Index Index Value Index 10/31/94 100,000 100,000 100,000 100,000 100,000 9/30/95 124,221 124,221 125,931 126,888 124,980 9/30/96 146,990 146,990 148,535 152,685 148,289 9/30/97 211,842 211,842 211,380 214,446 206,433 9/30/98 208,876 208,876 218,969 233,853 206,041 9/30/99 244,657 244,657 259,960 298,864 250,278 9/30/00 255,593 255,593 283,123 338,554 284,691 9/30/01 242,609 242,609 257,896 248,431 236,606 9/30/02 198,794 198,357 214,183 197,527 183,962 9/30/03 243,622 242,333 266,379 245,704 232,803 1 For the period ended 9/30/03. Past performance is no indication of future performance.The performance indicated above for Class A Shares begins on 10/3/94 at which time Mellon Equity Associates acted as investment adviser to the Fund. Previous periods during which the Fund was advised by another investment adviser are not shown. Class I Shares performance for the period prior to 8/6/01 is performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 10/3/94 and Class I Shares were offered beginning 8/6/01. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. - -------------------------------------------------------------------------------- 2 SEI Institutional Managed Trust / Annual Report / September 30, 2003 Large Cap Growth Fund Objective The investment objective of the Large Cap Growth Fund is capital appreciation by investing in the equity securities of large companies. The Fund invests in the securities of issuers believed to possess significant growth potential. Strategy With respect to this Fund, SEI Investments Management Corporation employs a multi-manager structure to gain exposure to the entire large cap growth sector, adding value through stock selection while minimizing risk in the form of capitalization, valuation and economic sector exposures. Assets of the Fund are strategically allocated among its sub-advisers, each of which has responsibility for stock selection for its respective assets under management. Through various investment approaches, each sub-adviser contributes a unique expertise or sub-style to the Fund. Goldman Sachs Asset Management invests in companies with strong business franchises that are attractively priced relative to their discounted cash flows. McKinley Capital Management invests in large cap stocks that have accelerating earnings and are exhibiting relative price strength. Montag & Caldwell invests in large cap stocks that exhibit accelerating earnings, are trading at a discount to fair value and are financially stable. Peregrine Capital Management invests in large cap stocks that have sustainable above-average growth over the next five to seven years. Transamerica Investment Management invests in mid-cap and large-cap stocks that are attractively valued from a cash flow basis and have strong prospects for organic growth in the future. Each of the aforementioned sub-styles assumes a different importance in determining overall style risk, and must therefore be weighted accordingly. Analysis The Large Cap Growth Fund, Class A, advanced 21.66% for the fiscal year ended September 30, 2003, underperforming the Russell 1000 Growth Index, which returned 25.92%. Although growth stocks rallied sharply during the fiscal period, the market was extremely volatile. The fiscal year got off to a booming start as stocks posted double-digit gains in October and November. As corporate bankruptcies and scandals subsided, market participants regained some of their appetite for risk and scooped up beaten-down equities. From December through February, the market gave back most of its gains as geopolitical risk and the uncertainty over the global response to the situation in Iraq caused investors to sell equities. Once that uncertainty was eliminated and the war begun, stocks gained steadily throughout the rest of the period as investors focused on the fiscal and monetary incentives that were positively impacting the U.S. economy. Record low interest rates, increased consumer cash flow from mortgage refinance, and U.S. Federal tax cuts all helped to buoy stocks. For the most part, stocks that gained the most in this rally were those that generally suffered the most during the prior sell-off. Small cap stocks outperformed large, while growth issues outperformed value. In general, stocks with weaker fundamentals outperformed those with stronger fundamentals. Technology stocks in particular benefited as these companies are some of the most sensitive to changes in overall economic sentiment. The Fund underperformed primarily due to its underweight to lower-quality stocks and the technology sector, in particular semiconductors. These stocks gained the most from the improved economic sentiment and investors' appetite for risk. SEI's sub-advisers avoided these areas as the valuations for these companies were expensive relative to their expected earnings forecasts. Holdings in Tenet Healthcare and Kohl's detracted from performance, while positions in Internet-related stocks added to relative returns. Goldman Sachs Asset Management was added as a sub-adviser to the Fund during the fiscal year. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 3 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2003 Large Cap Growth Fund (Concluded) Large Cap Growth Fund: AVERAGE ANNUAL TOTAL RETURN (1) - -------------------------------------------------------------------------- Annualized Annualized Annualized One Year 3 Year 5 Year Inception Return Return Return to Date - -------------------------------------------------------------------------- Large Cap Growth Fund, Class A 21.66% -22.72% -3.65% 8.28% - -------------------------------------------------------------------------- Large Cap Growth Fund, Class I 21.37% -22.89% -3.77% 8.21% - --------------------------------------------------------------------------- [GRAPHIC OMITTED] Comparison of Change in the Value of a $100,000 Investment in the Large Cap Growth Fund, Class A and Class I, versus the Russell 1000 Growth Index, and the S&P 500/BARRA Growth Index Plot Points follow: Large Cap Large Cap Russell S&P 500/ Growth Fund, Growth Fund 1000 BARRA Class A Class I Growth Index Growth Index 12/31/94 100,000 100,000 100,000 100,000 9/30/95 127,511 127,511 131,228 130,789 9/30/96 153,765 153,765 159,311 159,642 9/30/97 221,960 221,960 217,141 225,861 9/30/98 240,494 240,494 241,244 266,900 9/30/99 331,256 331,256 325,318 356,018 9/30/00 432,853 432,853 401,540 398,882 9/30/01 211,752 211,665 218,277 256,481 9/30/02 164,171 163,554 169,143 206,827 9/30/03 199,730 198,505 212,985 253,218 1 For the period ended 9/30/03. Past performance is no indication of future performance. Class I Shares performance for the period prior to 8/6/01 is performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 12/20/94 and Class I Shares were offered beginning 8/6/01. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. - -------------------------------------------------------------------------------- 4 SEI Institutional Managed Trust / Annual Report / September 30, 2003 Tax-Managed Small Cap Fund Objective The investment objective of the Tax-Managed Small Cap Fund is capital appreciation by investing in the equity securities of small companies. The Fund attempts to minimize the current tax impact on shareholders by buying and holding undervalued small cap U.S. common stocks. Strategy With respect to this Fund, SEI Investments Management Corporation employs a multi-manager structure to gain exposure to the entire small/mid cap universe, adding value through stock selection while minimizing risk in the form of capitalization, valuation and economic sector exposures. The Tax-Managed Small Cap Fund is jointly sub-advised by six investment managers. Assets of the Fund are strategically allocated among the six sub-advisers, each of which has a responsibility for stock selection for its respective assets under management. Through various investment approaches, each sub-adviser contributes a particular expertise or sub-style to the Fund. The Fund is sub-advised by BlackRock Advisors (BlackRock), David J. Greene & Company (DJG), Delaware Investments (Delaware), LSV Asset Management (LSV), Mazama Capital Management (Mazama), and McKinley Capital Management (McKinley). BlackRock focuses on attractively valued companies with a near term business catalyst. DJG looks for undervalued securities that are misunderstood by the marketplace. Delaware focuses on relative growth metrics and identifies companies that trade at attractive relative multiples. LSV's disciplined proprietary screening model ranks stocks based on price to book, price to cash flow, past sales performance, and likelihood of near-term appreciation. Mazama invests primarily in stocks entering extended periods of growth not yet understood by the market. McKinley emphasizes acceleration of the growth rate of companies relative to the market's expectations and companies with positive earnings surprises. Structure update Sawgrass Asset Management and Sterling Capital Management were replaced during the year by Mazama, BlackRock, and Delaware. The last three years have been difficult for most small/mid cap growth and value managers. The market has been characterized by volatility, sharp rotations, and a high level of investor emotion both positive and negative. This period has stress tested investment processes and performance of all the Fund's sub-advisers. The Fund has used the period to learn and upgrade its manager lineup. Analysis The Tax-Managed Small Cap Fund, Class A, posted a 32.63% return for the fiscal year ended September 30, 2003. The Fund slightly underperformed the Russell 2500 Index, which returned 35.59%. Equity markets in general have performed very well over the last year. However, growth stocks performed much better than their value counterparts as the market continued to reward long-term growth stocks. Small/Mid cap value stocks, as measured by the Russell 2500 Value Index, have rallied 31% over the past year while their growth counterparts have rallied over 41% over the same time period. The recovery has been led by higher growth areas of the market, namely technology and biotech stocks--the same industries that sold off over the 2000-2002 time periods. Investors have regained confidence and optimism towards equity markets, sparked by a relatively short war campaign in Iraq, which fueled significant advance in the small cap value market (+23%) for the quarter ended June 30, 2003. For the year ended September 2003, areas such as technology and biotech were up 87% and 55% respectively in the benchmark, while financials began to give back some of their strong performance registered over the past three years. In general, stocks that did well over the past year were stocks with long-term growth expectations. Cyclical stocks, companies with a high degree of operating leverage, and speculative issues have faired extremely well. The Fund's slight underperformance was driven primarily by stock selection, specifically in the commercial services & supplies and semiconductor areas of the market. Favorable industry positioning helped to offset this as the underweights to banks and REITs helped performance for the year. The overweights to semiconductors and software also helped performance. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 5 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2003 Tax-Managed Small Cap Fund (Concluded) The Fund is positioned to capture the opportunities in the small/mid cap area of the market under a variety of market conditions. To this end, the Fund targets a style neutral position relative to the Russell 2500 Index in order to control unnecessary risks and put the focus on stock selection from the specialist sub-advisers. Tax-Managed Small Cap Fund: AVERAGE ANNUAL TOTAL RETURN (1) - ---------------------------------------------------------------- Annualized One Year Inception Return to Date - ---------------------------------------------------------------- Tax-Managed Small Cap Fund, Class A 32.63% 0.02% - ---------------------------------------------------------------- [GRAPHIC OMITTED] Comparison of Change in the Value of a $100,000 Investment in the Tax-Managed Small Cap Fund, Class A, versus the Russell 2500 Index Plot points follow: Tax Managed Small Cap Russell 2500 Fund, Class A Index 10/31/00 100,000 100,000 09/30/01 81,561 83,511 09/30/02 75,460 77,290 09/30/03 100,083 104,797 1 For the period ended 9/30/03. Past performance is no indication of future performance. Fund shares were offered beginning 10/31/00. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower - -------------------------------------------------------------------------------- 6 SEI Institutional Managed Trust / Annual Report / September 30, 2003 Small Cap Value Fund Objective The investment objective of the Small Cap Value Fund is capital appreciation by investing in equity securities of smaller companies. The Fund invests in the stocks of companies whose prices appear low relative to certain fundamental characteristics such as earnings, book value or return on capital. Strategy With respect to this Fund, SEI Investments Management Corporation employs a multi-manager structure to gain exposure to the entire small cap value sector, adding value through stock selection while minimizing risk in the form of capitalization, valuation and economic sector exposures. The Small Cap Value Fund is jointly sub-advised by seven investment managers. Assets of the Fund are strategically allocated among its seven sub-advisers, each of which has a responsibility for stock selection for its respective assets under management. Through various investment approaches, each sub-adviser contributes a particular expertise or sub-style to the Fund. Using a bottom-up process, Artisan Partners seeks to identify companies currently trading below the intrinsic value of the business, that have little or no institutional following. BlackRock Advisors (BlackRock) focuses on attractively valued companies with a near term business catalyst. David J. Greene and Company (DJ Greene) invests in complex multi-segment businesses, often possessing several growth areas, masked by a slower growing parent. Lee Munder Investments (Lee Munder) uses a classic value approach of identifying quality businesses at attractive valuations. LSV Asset Management (LSV) invests in companies trading at deep discounts to their intrinsic value that have exhibited some catalyst to turn around performance. Martingale Asset Management (Martingale) employs a systematic approach focused on valuation, relative performance, and management quality. Wellington Management Company (WMC) utilizes a unique risk / reward relative valuation assessment to identify real estate investments. Each of the aforementioned sub-styles assumes a different importance in determining overall style risk and must therefore be weighted accordingly. Structure Update Security Capital Global Capital Management Group, Chartwell Investment Partners, and Sterling Capital Management no longer manage assets in the Fund. Wellington, BlackRock, and Lee Munder were added as sub-advisers during the course of the year. The last three years have been difficult for most small cap value managers. The market has been characterized by volatility, sharp rotations, and a high level of investor emotion both positive and negative. This period has stress tested investment processes and performance of all the Fund's sub-advisers. The Fund has used the period to learn and upgrade its manager lineup. Analysis The Small Cap Value Fund, Class A, posted a 29.28% return for the fiscal year ended September 30, 2003. The Fund slightly underperformed the Russell 2000 Value Index, which returned 31.66%. Equity markets in general have performed very well over the last year. However, growth stocks performed much better than their value counterparts as the market continued to reward long-term growth stocks. Small cap value stocks, as measured by the Russell 2000 Value Index, have rallied 31% over the past year while their growth counterparts have rallied over 41% over the same time period. The recovery has been lead by higher growth areas of the market, namely technology and biotech stocks--the same industries that sold off over the 2000-2002 time periods. Investors have regained confidence and optimism towards equity markets, sparked by a relatively short war campaign in Iraq, which fueled significant advance in the small cap value market (+23%) for the quarter ended June 30, 2003. For the year ended September 2003, areas such as technology and biotech were up 86% and 63% respectively in the benchmark, while financials began to give back some of their strong performance registered over the past three years. In general, stocks that did well over the past year were stocks with long-term growth expectations. Cyclical stocks, companies with a high degree of operating leverage, and speculative issues have faired extremely well. Performance within the Fund was mild with stock selection slightly detracting from relative performance and industry positioning - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 7 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2003 Small Cap Value Fund (Concluded) contributing to returns. In particular, small underweight positions to banks and utilities as well as a slight overweight to software helped performance. Stock selection was negatively impacted, particularly within the telecommunication industry, as the Fund's holdings failed to keep pace with the 130% return by the industry in the benchmark. DJ Greene registered solid returns over the past year, assisted by its positioning in technology and communications equipment. The Fund is positioned to capture the opportunities in the small cap value area of the market under a variety of market conditions. To this end, the Fund targets a style neutral position relative to the Russell 2000 Value Index in order to control unnecessary risks and put the focus on stock selection from the specialist sub-advisers. Small Cap Value Fund: AVERAGE ANNUAL TOTAL RETURN (1) - ------------------------------------------------------------------------ Annualized Annualized Annualized One Year 3 Year 5 Year Inception Return Return Return to Date - ------------------------------------------------------------------------ Small Cap Value Fund, Class A 29.28% 9.24% 9.53% 12.04% - ------------------------------------------------------------------------ Small Cap Value Fund, Class I 28.91% 9.11% 9.45% 11.99% - ------------------------------------------------------------------------ [GRAPHIC OMITTED] Comparison of Change in the Value of a $100,000 Investment in the Small Cap Value Fund, Class A and Class I, versus the Russell 2000 Value Index Plot points follow: Small Cap Small Cap Russell 2000 Value Fund, Value Fund, Value Class A Class I Index 12/31/94 100,000 100,000 100,000 9/30/95 118,889 118,889 122,187 9/30/96 131,801 131,801 138,658 9/30/97 193,958 193,958 197,796 9/30/98 167,425 167,425 172,498 9/30/99 174,908 174,908 182,554 9/30/00 202,439 202,439 210,595 9/30/01 208,755 208,755 222,409 9/30/02 204,163 203,996 219,162 9/30/03 263,941 262,971 288,549 1 For the period ended 9/30/03. Past performance is no indication of future performance. Class I Shares performance for the period prior to 2/11/02 is performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 12/20/94 and Class I Shares were offered beginning 2/11/02. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. - -------------------------------------------------------------------------------- 8 SEI Institutional Managed Trust / Annual Report / September 30, 2003 Small Cap Growth Fund Objective The investment objective of the Small Cap Growth Fund is long-term capital appreciation by investing in equity securities of smaller companies. The Fund invests in the stocks of companies that are in an early stage or at a transitional point in their development and have demonstrated or have potential for above average capital growth. Strategy With respect to this Fund, SEI Investments Management Corporation employs a multi-manager structure to gain exposure to the entire small cap growth sector, adding value through stock selection while minimizing risk in the form of capitalization, valuation and economic sector exposures. The Small Cap Growth Fund is jointly sub-advised by six investment managers. Assets of the Fund are strategically allocated among its six sub-advisers, each of which has a responsibility for stock selection for its respective assets under management. Through various investment approaches, each sub-adviser contributes a particular expertise or sub-style to the Fund. Mazama Capital Management (Mazama) invests primarily in stocks entering extended periods of growth not yet understood by the market. RS Investment Management (RSIM) pursues an investment strategy that focuses on emerging growth companies that exhibit very high revenue growth. Wellington Management Co. (WMC) focuses on companies that demonstrate growth at reasonable prices. Delaware Investments (Delaware) focuses on relative growth metrics and identifies companies that trade at attractive relative multiples. Lee Munder Investments (Lee Munder) seeks companies growing faster than the market, while demonstrating skill in their ability to differentiate an attractive stock from a good company. McKinley Capital Management (McKinley) emphasizes acceleration of the growth rate of companies relative to the market's expectations and companies with positive earnings surprises. Each of the aforementioned sub-styles assumes a different importance in determining overall style risk and must therefore be weighted accordingly. Structure Update Nicholas-Applegate Capital Management, Sawgrass Asset Management, and Wall Street Associates were replaced during the year by Delaware, McKinley, and Lee Munder. The last three years have been difficult for most small cap growth managers. The market has been characterized by volatility, sharp rotations, and a high level of investor emotion both positive and negative. This period has stress tested investment processes and performance of all the Fund's sub-advisers. The Fund has used the period to learn and upgrade its manager lineup. Analysis The Small Cap Growth Fund, Class A, posted a 46.67% return for the fiscal year ended September 30, 2003. The Fund outperformed the Russell 2000 Growth Index, which returned 41.72% as equity markets in general have performed very well over the last year. The recovery has been lead by higher growth areas of the market, namely technology and biotech stocks--the same industries that sold off over the 2000-2002 time periods. Investors have regained confidence and optimism towards equity markets, sparked by a relatively short war campaign in Iraq, which fueled significant advance in the small cap growth market (+28%) for the quarter ended June 30, 2003. For the year ended September 2003, areas such as technology and biotech were up 93% and 52% respectively in the benchmark, while financials began to give back some of their strong performance registered over the past three years. In general, stocks that did well over the past year were stocks with long-term growth expectations. Cyclical stocks, companies with a high degree of operating leverage, and speculative issues have faired extremely well. Both stock selection and active industry weights contributed to the Fund's strong performance for the period. In particular, small overweight positions to industries such as biotechnology, semiconductors, technology hardware and software helped performance. Similarly, small underweight positions to regional banks and REITs also bolstered performance. The Fund demonstrated strong stock selection in several areas including commercial services, diversified financials, software, and semiconductors. The Fund is currently positioned for continued economic growth with slight overweights to consumer discretionary and technology. A pick-up in capital spending will further benefit the Fund as corporations have had the chance to refinance expensive debt during this - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 9 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2003 Small Cap Growth Fund (Concluded) historically low interest rate time period, giving investors an extended time horizon and added confidence. The current underweight to regional banks is also rationalized by the excessive valuations these companies have enjoyed over the past few years. Financial institutions more closely tied to capital markets are areas that continue to provide strong performance for the Fund. The Fund is positioned favorably if the current economic trend fully materializes. Small Cap Growth Fund: AVERAGE ANNUAL TOTAL RETURN (1) - -------------------------------------------------------------------------------- Annualized Annualized Annualized Annualized One Year 3 Year 5 Year 10 Year Inception Return Return Return Return to Date - -------------------------------------------------------------------------------- Small Cap Growth Fund, Class A 46.67% -13.23% 9.47% 9.30% 11.78% - -------------------------------------------------------------------------------- Small Cap Growth Fund, Class I 46.30% -13.40% 9.35% 9.24% 11.73% - -------------------------------------------------------------------------------- [GRAPHIC OMITTED] Comparison of Change in the Value of a $100,000 Investment in the Small Cap Growth Fund, Class A and Class I, versus the Russell 2000 Growth Index, the S&P 500 Composite Index, and the Wilshire Target Small Growth Index Plot Points follow: Small-Cap Small-Cap Russell S&P 500 Wilshire Growth Fund, Growth Fund, 2000 Composite Target Small Class A Class I Growth Index Index Growth Index 9/30/93 100,000 100,000 100,000 100,000 100,000 9/30/94 100,230 100,230 100,880 103,680 102,520 9/30/95 141,976 141,976 129,308 134,525 139,140 9/30/96 179,685 179,685 145,614 161,874 155,698 9/30/97 210,644 210,644 179,615 227,352 202,454 9/30/98 154,760 154,760 135,016 247,927 148,743 9/30/99 239,878 239,878 179,072 316,851 173,568 9/30/00 372,483 372,483 232,185 358,928 219,199 9/30/01 212,949 212,949 133,297 263,382 165,627 9/30/02 165,866 165,355 109,091 209,415 168,509 9/30/03 243,275 241,914 154,603 260,491 217,275 1 For the period ended 9/30/03. Past performance is no indication of future performance. Class I Shares performance for the period prior to 8/6/01 is performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 4/20/92 and Class I Shares were offered beginning 8/6/01. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would been lower. - -------------------------------------------------------------------------------- 10 SEI Institutional Managed Trust / Annual Report / September 30, 2003 Mid-Cap Fund Objective The investment objective of the Mid-Cap Fund is long-term capital appreciation by investing primarily in equity securities of mid-sized companies. Strategy The Fund's fully invested, industry neutral approach to managing domestic equities emphasizes individual stock selection rather than industry or style bets. This philosophy results in a Fund which will tend to have a lower than average price-to-earnings (P/E) ratio and a lower than average price-to-book ratio. Analysis The Mid-Cap Fund, Class A, gained 28.92% during the last 12 months, but underperformed its benchmark, the Russell Mid-Cap Index, which advanced 32.63%. Mid-cap stocks rallied for the fiscal year ended September 30, 2003. The recovery was broad-based with all sectors in the Russell Mid-Cap Index showing positive absolute performance. Technology stocks, led by communication equipment companies, drove the advance. The more conservative consumer staples sector was the weakest performing sector with soft drink companies and brewers trailing the most. Since the Fund is industry neutral, its investment style and stock selection drove its relative performance. Stock selection in the technology and telecommunications sectors detracted from performance. Our sub-adviser looks for relatively low P/E ratios, companies with higher levels of cash earnings, and sustainable growth. These are not characteristics of the technology and telecommunication companies that registered the highest returns in the last year. These companies typically have little or no earnings and higher valuations. Going forward, the Fund will continue to be broadly diversified across all sectors and will provide exposure to mid cap stocks in the domestic equity stock market. Mid-Cap Fund: AVERAGE ANNUAL TOTAL RETURN (1) - -------------------------------------------------------------------------------- Annualized Annualized Annualized Annualized One Year 3 Year 5 Year 10 Year Inception Return Return Return Return to Date - -------------------------------------------------------------------------------- Mid-Cap Fund, Class A 28.92% 0.07% 8.22% 8.67% 10.11% - -------------------------------------------------------------------------------- [GRAPHIC OMITTED] Comparison of Change in the Value of a $100,000 Investment in the Mid-Cap Fund, Class A, versus the Russell Mid-Cap Index, the S&P 500 Composite Index, and the Wilshire Target Mid-Cap Growth Index Plot Points follow: Mid-Cap Russell S&P 500 Wilshire Fund, Mid-Cap Composite Target Mid-Cap Class A Index Index Growth Index 9/30/93 100,000 100,000 100,000 100,000 9/30/94 91,900 101,650 103,680 105,890 9/30/95 110,078 129,187 134,525 143,703 9/30/96 127,723 149,909 161,874 165,791 9/30/97 182,810 202,467 227,352 208,813 9/30/98 154,639 190,298 247,927 163,751 9/30/99 180,201 227,311 316,851 200,726 9/30/00 229,108 299,187 358,928 254,822 9/30/01 184,226 232,289 263,382 178,605 9/30/02 178,072 211,429 209,415 163,334 9/30/03 229,571 280,419 260,491 213,821 1 For the period ended 9/30/03. Past performance is no indication of future performance. Fund shares were offered beginning 2/16/93. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 11 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2003 Core Fixed Income Fund Objective The investment objective of the Core Fixed Income Fund is current income and preservation of capital by investing in investment grade U.S. fixed income securities. Strategy The Fund's investment strategy focuses on sector rotation, both among and within sectors, and issue selection. Risk is principally controlled by explicitly limiting the Fund's interest rate exposure relative to the Lehman Aggregate Bond Index. The Fund's sub-advisers focus on four key areas in determining portfolio structure: duration weighting, term structure, sector allocation, and issue selection. While the duration and term structure decision underlie the implementation process, the sub-advisers primarily concentrate on sector and issue selection to add value. In addition, the sub-advisers may use futures and options primarily for hedging purposes and to implement portfolio strategies more efficiently. Analysis For the fiscal year ended September 30, 2003, the Core Fixed Income Fund, Class A, returned 6.63% and outperformed the Lehman Aggregate Bond Index return of 5.40%. Bond investors finished the fiscal year with positive nominal returns amid significant volatility as geopolitical and economic uncertainty dominated the time period. Short-term interest rates finished lower for the year as the Federal Reserve maintained an accommodative stance with rate cuts in Q4 2002 and Q2 2003, lowering the Fed funds rate to an unprecedented 1.00%. Longer term rates, however, finished higher on a developing, albeit jobless, economic recovery and the Fed's stated desire to counteract a growing deflationary threat. Corporate bonds were easily the top performers for the fiscal year on meaningful earnings improvement and balance sheet repair. For the 12-month period, the sector added 688 basis points (bps) of excess return versus Treasuries. Within credit, lower quality and longer maturity issues were the stellar performers, with long BBB credit issues leading the way by posting a whopping 1,747 bps in excess return versus treasuries. U.S. Agency debt lagged the broad market during the fiscal year, but still managed to post 80 bps of excess return amid headline risk and scrutiny of current Government Sponsored Entities (GSE) regulation. Mortgages suffered throughout the fiscal year due to a record level of refinancing activity. Asset-backed and commercial mortgage-backed issues also performed well and outperformed treasuries by 130 and 214 bps, respectively. The Fund's performance was primarily driven by the strong rally in the credit sector over the past year. The Fund held an overweight to credit during the entire fiscal year, with a sizeable portion of exposure in lower quality and longer maturity names. The stellar performance of lower quality long issues, therefore, was a major contributor to performance. The Fund remained underweight in mortgages throughout the period and therefore avoided the record wave of refinancing and the resulting underperformance for the sector. Finally, the Fund held significant overweights to the asset-backed and commercial mortgage-backed sectors, which boosted performance as these sectors added significant excess return during the fiscal year. The Fund's sub-advisers benefited from the overall market rally and outperformed the Lehman Aggregate Bond Index. Metropolitan West Asset Management led the way with the highest outperformance, benefiting from their overweight to credit issues and higher exposure to lower quality names. Western Asset Management Company and BlackRock Financial Management followed suit, outperforming the benchmark for the fiscal year. Core Fixed Income Fund: AVERAGE ANNUAL TOTAL RETURN (1) - -------------------------------------------------------------------------------- Annualized Annualized Annualized Annualized One Year 3 Year 5 Year 10 Year Inception Return Return Return Return to Date - -------------------------------------------------------------------------------- Core Fixed Income, Class A 6.63% 8.46% 6.21% 6.60% 7.66% - -------------------------------------------------------------------------------- Core Fixed Income, Class I 6.37% 8.27% 6.10% 6.55% 7.62% - -------------------------------------------------------------------------------- [GRAPHIC OMITTED] Comparison of Change in the Value of a $100,000 Investment in the Core Fixed Income Fund, Class A and Class I versus the Lehman Aggregate Bond Index Plot Points follow: Core Fixed Core Fixed Lehman Income Fund, Income Fund, Aggregate Class A Class I Bond Index 9/30/93 100,000 100,000 100,000 9/30/94 94,650 94,650 96,780 9/30/95 109,671 109,671 110,397 9/30/96 114,617 114,617 115,784 9/30/97 125,850 125,838 127,062 9/30/98 140,222 140,209 141,674 9/30/99 138,875 138,863 141,150 9/30/00 148,555 148,542 151,016 9/30/01 167,867 167,971 170,573 9/30/02 177,755 177,260 185,242 9/30/03 189,540 188,551 195,245 1 For the period ended 9/30/03. Past performance is no indication of future performance. Class I Shares performance for the period prior to 8/6/01 is performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 5/1/87 and Class I Shares were offered beginning 8/6/01. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. - -------------------------------------------------------------------------------- 12 SEI Institutional Managed Trust / Annual Report / September 30, 2003 High Yield Bond Fund Objective The investment objective of the High Yield Bond Fund is to maximize total return by investing primarily in a diversified portfolio of higher yielding, lower rated fixed income securities. The strategy seeks to achieve a high level of total return through sector rotation and security selection. Strategy The Fund's investment strategy is to identify high yield market sectors and securities that offer investment opportunities through the analysis of macro-economic, interest rate, industry, and technical factors. Those companies that are best suited to benefit from the identified trends are then selected for investment. Risk is controlled through a high level of diversification, and by performing detailed and ongoing credit analysis on the companies considered and purchased. Analysis The High Yield Bond Fund, Class A, returned 19.88% for the fiscal year ended September 30, 2003, underperforming its benchmark, the CS First Boston Global High Yield Index at 28.05%, in what was the best twelve months of performance for the asset class in over ten years. The strength of the market can be explained by improving credit fundamentals, declining default rates, and record-setting demand for high yield bonds--a dramatic reversal from the dismal high yield environment of the last several years. High yield mutual funds welcomed more cash inflows in the last twelve months than in any other year on record. The lower tier of the high yield market, those rated CCC or below, benefited the most from this demand and returned over 40% during the period. Historically, the lower tier has exhibited the worst risk/return characteristics of any of the credit tiers, but investors' insatiable demand for yield has led to sharp price increases in the prices of the bonds that have been beaten down the most over the last several years. High yield spreads contracted a whopping 448 basis points (bps) over the period, ending September 30, 2003 at 594 bps over U.S. Treasuries, to yield 8.62%. The Fund's underperformance can be attributed to its modest exposure to the riskiest sectors in the market--specifically the airline, utility, and telecommunications sectors. The airline industry struggled during prior periods due to high cost structures, reduced air traffic since the September 11, 2001 tragedy, and US Air and United bankruptcies. However, positive news regarding the ability of some airlines to renegotiate labor contracts and possibly avert bankruptcy gave the sector a reason to rally nearly 40% during the period. AMR, the parent of American Airlines, led the sector rebound with a 50% return. The wireless communications sector returned an eye-popping 62% during the period. The Fund benefited from its position in certain wireless communication bonds, while our lack of exposure to others, such as Sprint affiliates, detracted from relative performance. Metals returned a modest 5.6% during the period and was the worst performing sector in high yield. Low steel prices, high energy costs, and stiff demand from foreign competition all weighed on the sector. The Fund's minimal exposure to the sector added to performance. High Yield Bond Fund: AVERAGE ANNUAL TOTAL RETURN (1) - -------------------------------------------------------------------------------- Annualized Annualized Annualized One Year 3 Year 5 Year 10 Year Return Return Return Return - -------------------------------------------------------------------------------- High Yield Bond Fund, Class A 19.88% 6.38% 4.48% 7.67% - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- [GRAPHIC OMITTED] Comparison of Change in the Value of a $100,000 Investment in the High Yield Bond Fund, Class A, versus the CS First Boston Global High Yield Index Plot points follow High-Yield CS First Boston Bond Fund, Global High Yield Class A Index 1/31/95 100,000 100,000 9/30/95 112,538 112,918 9/30/96 129,937 125,080 9/30/97 149,817 144,742 9/30/98 153,188 143,990 9/30/99 158,565 149,677 9/30/00 158,422 152,551 9/30/01 150,881 145,030 9/30/02 159,104 149,164 9/30/03 190,734 191,004 1 For the period ended 9/30/03. Past performance is no indication of future performance. Fund shares were offered beginning 1/11/95. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 13 STATEMENT OF NET ASSETS Tax-Managed Large Cap Fund September 30, 2003 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- COMMON STOCK -- 97.8% CONSUMER DISCRETIONARY -- 14.3% 99 Cents Only Stores* 1,700 $ 55 Abercrombie & Fitch, Cl A* 4,600 127 Amazon.com* 7,700 372 American Eagle Outfitters* 2,100 31 AOL Time Warner (B)* 840,660 12,702 Autoliv 112,600 3,397 Autonation (B)* 102,700 1,801 Autozone* 3,200 287 Barnes & Noble* 56,100 1,426 Bed Bath & Beyond* 11,400 435 Belo, Cl A 1,100 27 Best Buy* 10,250 487 Big Lots* 6,400 101 Black & Decker 15,100 612 Blockbuster, Cl A 34,300 720 BorgWarner 10,300 699 Brinker International* 4,100 137 Brunswick 22,300 573 Cablevision Systems, Cl A* 19,800 358 Carmax* 4,080 133 CBRL Group 43,500 1,543 CEC Entertainment* 2,000 78 Centex 22,500 1,752 Cheesecake Factory (B)* 1,500 54 Claire's Stores 8,500 284 Clear Channel Communications 110,220 4,221 Coach* 1,800 98 Comcast, Cl A* 189,283 5,845 Comcast, Special Cl A* 9,400 278 COX Communications, Cl A (B)* 281,980 8,916 Cumulus Media, Cl A* 4,800 82 Dana 8,100 125 Darden Restaurants 17,600 334 Delphi 107,800 976 Dillard's, Cl A 4,800 67 Dollar General 6,800 136 Dollar Tree Stores* 29,100 975 Dow Jones 900 43 DR Horton 65,350 2,137 Eastman Kodak (B) 63,800 1,336 eBay (B)* 274,484 14,688 Extended Stay America* 2,800 42 Family Dollar Stores 128,620 5,131 Federated Department Stores 89,700 3,758 Foot Locker 10,700 173 Ford Motor (B) 242,200 2,609 Fortune Brands 4,100 233 Fox Entertainment Group, Cl A* 70,600 1,976 Furniture Brands International* 1,800 43 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- GameStop* 2,900 $ 46 Gannett 108,550 8,419 Gap (B) 25,900 443 General Motors (B) 141,500 5,792 General Motors, Cl H* 36,400 521 Gentex* 4,500 157 Genuine Parts 29,900 956 Goodyear Tire & Rubber (B) 9,800 64 Harley-Davidson 12,500 603 Harrah's Entertainment 58,760 2,474 Hasbro 87,600 1,636 Hearst-Argyle Television* 1,400 34 Hilton Hotels 16,500 268 Home Depot 267,000 8,504 InterActive (B)* 161,542 5,339 International Game Technology 12,400 349 Interpublic Group 20,600 291 JC Penney (B) 101,600 2,171 Johnson Controls 23,700 2,242 Jones Apparel Group 4,900 147 KB Home 28,000 1,670 Knight-Ridder 19,500 1,301 Kohl's* 218,600 11,695 Krispy Kreme Doughnuts* 1,600 62 Lamar Advertising* 36,900 1,083 Lear* 14,200 748 Leggett & Platt 9,500 205 Lennar, Cl A (B) 20,900 1,626 Lennar, Cl B 260 20 Liberty Media, Cl A* 1,015,550 10,125 Limited 135,900 2,049 Liz Claiborne 3,400 116 Lowe's (B) 181,480 9,419 Magna International, Cl A 2,200 159 Mandalay Resort Group 18,200 721 Marriott International, Cl A 243,588 10,482 Mattel 19,400 368 May Department Stores (B) 57,300 1,411 Maytag 1,200 30 McClatchy, Cl A 1,900 113 McDonald's 139,900 3,293 McGraw-Hill 70,090 4,355 Media General, Cl A 26,300 1,607 Meredith 17,100 790 Metro-Goldwyn-Mayer (B)* 61,000 936 MGM Mirage* 4,000 146 Mohawk Industries* 1,900 136 MSC Industrial Direct, Cl A 4,000 83 Neiman-Marcus Group, Cl A* 1,800 75 New York Times, Cl A 7,700 335 Newell Rubbermaid 11,300 245 - -------------------------------------------------------------------------------- 14 SEI Institutional Managed Trust / Annual Report / September 30, 2003 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Nike, Cl B 5,200 $ 316 Nordstrom 21,600 536 NVR (B)* 2,600 1,213 O'Reilly Automotive* 1,800 66 Office Depot* 18,100 254 Omnicom Group 55,300 3,973 Outback Steakhouse 2,800 106 Park Place Entertainment (B)* 35,700 322 Petsmart* 3,400 77 Pulte Homes 1,400 95 Radio One, Cl D* 9,300 134 RadioShack 3,100 88 Reebok International 2,100 70 Ross Stores 2,600 121 Ruby Tuesday 2,600 63 Saks* 12,000 138 Sears Roebuck (B) 29,800 1,303 Sherwin-Williams 54,100 1,591 Six Flags* 8,600 45 Snap-On 3,900 108 Stanley Works 34,900 1,030 Staples* 345,700 8,210 Starbucks (B)* 16,700 481 Starwood Hotels & Resorts Worldwide (B) 35,860 1,248 Talbots 1,200 42 Target 28,400 1,069 Tiffany 2,600 97 TJX 199,000 3,865 Toys "R" Us* 15,900 191 Tribune 45,000 2,066 Univision Communications, Cl A (B)* 146,510 4,678 VF 35,900 1,397 Viacom, Cl B 362,806 13,895 Visteon 58,500 386 Walt Disney (B) 384,774 7,761 Washington Post, Cl B 200 133 Westwood One* 3,500 106 Whirlpool (B) 13,000 881 Williams-Sonoma* 4,000 108 XM Satellite Radio Holdings, Cl A (B)* 300,000 4,659 Yum! Brands* 9,600 284 Zale* 20,300 902 ---------- 252,381 ---------- CONSUMER STAPLES -- 9.0% Albertson's 48,900 1,006 Altria Group 335,700 14,704 Anheuser-Busch 34,200 1,687 Avon Products 39,580 2,555 BJ's Wholesale Club* 9,000 174 Brown-Forman, Cl B 1,200 95 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Campbell Soup (B) 55,300 $ 1,465 Clorox (B) 7,900 362 Coca-Cola 255,259 10,966 Coca-Cola Enterprises 106,600 2,032 Colgate-Palmolive (B) 186,044 10,398 ConAgra Foods 41,400 879 Constellation Brands, Cl A* 50,700 1,546 Costco Wholesale* 11,400 354 CVS 14,900 463 Dean Foods* 50,650 1,572 Energizer Holdings* 107,680 3,959 General Mills (B) 46,100 2,170 Gillette 440,707 14,094 Hershey Foods 13,000 945 HJ Heinz 5,800 199 Hormel Foods 4,000 92 Kellogg 12,500 417 Kimberly-Clark 48,900 2,509 Kraft Foods, Cl A 6,700 198 Kroger* 159,700 2,854 Loews -- Carolina Group 17,900 412 McCormick 4,200 115 Pepsi Bottling Group 4,400 90 PepsiAmericas 45,000 652 PepsiCo 322,259 14,769 Procter & Gamble 222,238 20,628 RJ Reynolds Tobacco Holdings 46,900 1,854 Safeway (B)* 155,800 3,574 Sara Lee 34,800 639 Smithfield Foods* 2,700 52 Supervalu 79,700 1,902 Sysco 26,900 880 Tyson Foods, Cl A 106,645 1,507 UST (B) 10,000 352 Wal-Mart Stores 433,560 24,214 Walgreen 147,900 4,532 Whole Foods Market* 2,500 138 Wm. Wrigley Jr. 67,210 3,717 ---------- 157,722 ---------- ENERGY -- 5.9% Amerada Hess 41,300 2,069 Anadarko Petroleum (B) 25,200 1,052 Apache 3,171 220 Ashland 17,700 581 Baker Hughes 85,100 2,518 BJ Services* 3,100 106 Burlington Resources 46,600 2,246 ChevronTexaco 225,931 16,143 Cimarex Energy* 2,285 45 ConocoPhillips 136,600 7,479 Cross Timbers Royalty Trust 105 2 Devon Energy 23,145 1,115 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 15 STATEMENT OF NET ASSETS Tax-Managed Large Cap Fund (Continued) September 30, 2003 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- ENSCO International 6,000 $ 161 Exxon Mobil 1,193,282 43,674 Forest Oil* 2,300 55 Grant Prideco* 9,100 93 Halliburton (B) 35,400 859 Helmerich & Payne 4,300 112 Kerr-McGee 28,700 1,281 Marathon Oil 145,100 4,135 Murphy Oil 7,800 458 National-Oilwell* 6,500 118 Newfield Exploration* 5,100 197 Noble Energy 5,500 211 Occidental Petroleum 140,200 4,939 Patterson-UTI Energy* 7,000 190 Pioneer Natural Resources* 9,900 252 Pogo Producing 22,200 1,005 Precision Drilling* 21,300 802 Premcor* 1,800 42 Rowan* 11,200 275 Schlumberger (B) 142,351 6,890 Smith International* 7,200 259 Sunoco (B) 21,000 845 Tidewater 1,900 54 Unocal 88,300 2,783 Valero Energy 4,124 158 Varco International* 4,700 80 XTO Energy 14,266 299 ---------- 103,803 ---------- FINANCIALS -- 23.2% 21st Century Insurance Group 9,000 124 ACE 14,200 470 Affiliated Managers Group* 900 57 Aflac 77,500 2,503 Allied Capital (B) 2,400 59 Allmerica Financial* 15,400 367 Allstate 163,800 5,984 AMB Property+ 3,400 105 AMBAC Financial Group 27,250 1,744 American Express 68,000 3,064 American International Group 450,998 26,023 AmerUs Group (B) 1,200 41 AmSouth Bancorp 94,900 2,014 AON 115,500 2,408 Apartment Investment & Management, Cl A+ 900 35 Archstone-Smith Trust+ 68,700 1,812 Arden Realty+ 1,400 39 Arthur J Gallagher 1,900 54 Astoria Financial 54,700 1,690 Bank of America 323,000 25,207 Bank of Hawaii 12,700 426 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Bank of New York 41,000 $ 1,194 Bank One 162,000 6,261 Banknorth Group 4,600 130 BB&T 55,200 1,982 Bear Stearns 63,500 4,750 Boston Properties+ 19,200 835 Capital One Financial 39,400 2,247 CarrAmerica Realty+ 3,400 102 Catellus Development* 2,700 66 Charles Schwab 1,053,420 12,546 Charter One Financial 8,930 273 Chubb 21,800 1,414 Cincinnati Financial 5,900 236 Citigroup (B) 1,051,170 47,839 Citizens Banking 1,800 48 Comerica 16,100 750 Commerce Bancorp 23,800 1,140 Compass Bancshares 4,000 138 Countrywide Credit Industry (B) 29,600 2,317 Crescent Real Estate Equity+ 2,000 29 Doral Financial 16,700 785 Duke Realty+ 11,100 324 Eaton Vance 1,300 44 Equity Office Properties Trust+ 156,700 4,314 Equity Residential+ 73,100 2,140 Erie Indemnity, Cl A 1,700 66 Fannie Mae 127,920 8,980 Federated Investors, Cl B 3,500 97 Fidelity National Financial 53,676 1,614 Fifth Third Bancorp 19,470 1,080 First American 100,900 2,512 First Tennessee National 95,600 4,059 FirstMerit 5,200 129 Flagstar Bancorp 30,300 695 FleetBoston Financial 206,800 6,235 Franklin Resources 24,400 1,079 Freddie Mac 150,820 7,895 GATX (B) 3,200 68 Golden West Financial 23,400 2,095 Goldman Sachs Group 159,600 13,390 Greater Bay Bancorp 3,700 77 Greenpoint Financial 58,650 1,751 Hartford Financial Services Group (B) 14,700 774 HCC Insurance Holdings 2,000 58 Hibernia, Cl A 38,300 776 Highwoods Properties+ 1,500 36 Host Marriott*+ 19,800 212 Huntington Bancshares 116,300 2,302 Independence Community Bank 29,000 1,013 IndyMac Bancorp 51,700 1,198 Investment Technology Group* 2,400 46 iStar Financial+ 4,600 179 - -------------------------------------------------------------------------------- 16 SEI Institutional Managed Trust / Annual Report / September 30, 2003 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Janus Capital Group 21,900 $ 306 Jefferson-Pilot 48,100 2,135 John Hancock Financial Services 101,300 3,424 JP Morgan Chase 457,700 15,713 Keycorp 90,900 2,324 Kimco Realty+ 38,600 1,581 LaBranche 1,600 23 Legg Mason 3,600 260 Lehman Brothers Holdings 91,300 6,307 Liberty Property Trust+ 3,300 122 Lincoln National 55,800 1,974 Loews 18,100 731 M&T Bank 3,500 306 Mack-Cali Realty+ 23,900 937 Markel* 4,400 1,175 Marsh & McLennan 104,154 4,959 Marshall & Ilsley 9,200 290 MBIA 84,300 4,634 MBNA 308,260 7,028 Mellon Financial 25,100 757 Mercantile Bankshares 1,300 52 Merrill Lynch (B) 110,900 5,936 Metlife 66,500 1,865 MGIC Investment 5,400 281 MI Developments, Cl A 1,100 25 Mony Group (B) 6,100 199 Moody's 183,740 10,100 Morgan Stanley 185,900 9,381 National City 180,500 5,318 Nationwide Financial Services, Cl A 16,000 501 Neuberger Berman 3,100 130 New York Community Bancorp 16,100 507 North Fork Bancorporation (NY Shares) (B) 17,300 601 Northern Trust 165,700 7,032 Nuveen Investments, Cl A 2,400 66 Old Republic International 42,900 1,420 PartnerRe Holdings 9,500 481 Peoples Bank Bridgeport 2,000 60 Phoenix (B) 22,400 259 Plum Creek Timber+ 38,000 967 PNC Financial Services Group 65,100 3,097 Popular 74,000 2,945 Principal Financial Group 71,400 2,213 Progressive (B) 7,800 539 Prologis+ 12,100 366 Protective Life 4,000 119 Providian Financial* 15,500 183 Prudential Financial (B) 33,800 1,263 Public Storage+ 4,100 161 Radian Group 9,500 422 Raymond James Financial 1,800 65 Regency Centers+ 1,000 37 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Regions Financial 81,700 $ 2,798 Roslyn Bancorp 3,000 70 Safeco 22,700 800 Silicon Valley Bancshares* 3,100 86 Simon Property Group+ 7,100 309 SLM 21,900 853 SouthTrust 35,100 1,032 Sovereign Bancorp 15,600 289 St. Paul 67,000 2,481 State Street 173,140 7,791 SunTrust Banks 70,600 4,262 Synovus Financial (B) 1,800 45 T Rowe Price Group 5,000 206 TCF Financial 2,200 106 Torchmark 45,000 1,829 Travelers Property Casualty, Cl B 119,841 1,903 Union Planters 59,950 1,897 UnionBanCal 100 5 Unitrin 1,100 34 UnumProvident 8,900 131 US Bancorp 364,261 8,739 Vornado Realty Trust+ 3,000 144 Wachovia 285,000 11,739 Waddell & Reed Financial 7,800 184 Washington Mutual 258,368 10,172 Webster Financial 29,300 1,169 Wells Fargo 237,600 12,236 Whitney Holding 1,600 54 Xl Capital, Cl A (B) 5,900 457 Zions Bancorporation 16,300 910 ---------- 408,854 ---------- HEALTH CARE -- 11.0% Abbott Laboratories 88,200 3,753 Advanced Medical Optics* 2,444 44 AdvancePCS* 2,400 109 Aetna (B) 6,500 397 Affymetrix* 2,100 44 Alcon Inc 6,400 359 Allergan 105,400 8,298 AmerisourceBergen 3,387 183 Amgen (B)* 315,395 20,365 Amylin Pharmaceuticals* 3,500 99 Anthem* 5,374 383 Applied Biosystems Group 54,300 1,211 Barr Laboratories* 500 34 Bausch & Lomb (B) 17,100 755 Baxter International 22,100 642 Beckman Coulter 11,600 528 Becton Dickinson 19,900 719 Biogen* 5,600 214 Biomet 10,050 338 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 17 STATEMENT OF NET ASSETS Tax-Managed Large Cap Fund (Continued) September 30, 2003 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Boston Scientific* 17,200 $ 1,097 Bristol-Myers Squibb 297,770 7,641 Cardinal Health 76,000 4,438 Caremark Rx* 7,300 165 Celgene* 2,000 87 Chiron* 3,700 191 Cigna 24,400 1,089 Coventry Health Care* 1,000 53 CR Bard 1,900 135 Cytyc* 6,000 90 DaVita* 23,100 735 Eli Lilly 154,793 9,195 Express Scripts* 2,300 141 First Health Group* 4,500 118 Fisher Scientific International* 2,000 79 Forest Laboratories* 13,600 700 Genentech (B)* 123,800 9,921 Genzyme (B)* 8,700 402 Gilead Sciences* 7,500 420 Guidant 13,700 642 HCA 40,200 1,482 Health Management Associates, Cl A (B) 14,000 305 Health Net* 34,200 1,083 Hillenbrand Industries 2,900 164 Humana* 49,400 892 ICN Pharmaceuticals 38,100 654 ICOS (B)* 2,300 88 Idec Pharmaceuticals* 2,900 96 ImClone Systems* 1,100 43 IMS Health 69,544 1,467 IVAX* 1,800 35 Johnson & Johnson 315,047 15,601 King Pharmaceuticals* 51,800 785 Laboratory of America Holdings* 5,300 152 Lincare Holdings* 3,500 128 Manor Care 28,800 864 McKesson (B) 39,300 1,308 Medco Health Solutions* 18,052 468 Medicis Pharmaceutical, Cl A 1,000 59 Medimmune (B)* 8,300 274 Medtronic 490,373 23,008 Merck 272,000 13,769 Mettler Toledo International* 2,300 83 Mid Atlantic Medical Services* 1,700 87 Millennium Pharmaceuticals* 4,400 68 Millipore (B)* 1,400 65 Mylan Laboratories 13,200 510 Neurocrine Biosciences* 600 30 Omnicare 1,500 54 Oxford Health Plans* 3,700 153 Patterson Dental* 1,400 81 Pfizer 1,109,348 33,702 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Pharmaceutical Product Development* 4,300 $ 103 Quest Diagnostics* 2,400 146 Renal Care Group* 2,900 99 Schering-Plough 83,260 1,269 SICOR* 1,700 33 St. Jude Medical* 7,900 425 Steris* 5,400 124 Stryker 6,100 459 UnitedHealth Group (B) 24,200 1,218 Universal Health Services, Cl B* 1,600 79 Watson Pharmaceuticals (B)* 10,600 442 WellPoint Health Networks* 95,200 7,338 Wyeth 191,180 8,813 Zimmer Holdings (B)* 9,300 512 ---------- 194,432 ---------- INDUSTRIALS -- 7.7% 3M 127,530 8,808 Accenture, Cl A* 60,600 1,354 AGCO* 1,800 31 Allied Waste Industries* 9,600 104 American Power Conversion 7,400 127 American Standard* 2,400 202 AMN Healthcare Services* 7,200 117 Apollo Group, Cl A* 35,550 2,347 Avery Dennison 2,400 121 Boeing (B) 18,200 625 Burlington Northern Santa Fe 95,300 2,751 Caterpillar 135,318 9,315 Cavco Industries* 130 3 Cendant (B)* 419,960 7,849 CH Robinson Worldwide 3,200 119 ChoicePoint* 2,600 87 Cintas 113,300 4,174 Continental Airlines, Cl B (B)* 4,900 81 Cooper, Cl A 7,400 355 Crane 1,700 40 CSX 40,300 1,179 Cummins 25,900 1,151 D&B* 1,600 66 Danaher 30,400 2,245 Deere 13,800 736 Delta Air Lines 50,600 673 Dover 6,100 216 Eaton 37,700 3,341 Emerson Electric 41,300 2,174 Equifax 7,600 169 Expeditors International Washington 223,400 7,687 Fastenal (B) 67,000 2,533 FedEx 40,600 2,616 Flowserve* 12,000 244 Fluor 1,500 56 - -------------------------------------------------------------------------------- 18 SEI Institutional Managed Trust / Annual Report / September 30, 2003 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- General Dynamics 5,600 $ 437 General Electric 378,920 11,296 Goodrich 27,000 654 Graco 19,600 736 H&R Block (B) 29,500 1,273 Harsco 2,300 88 Herman Miller 1,900 43 HON Industries 24,100 891 Honeywell International 82,300 2,169 Hubbell, Cl B 15,800 577 Hudson Highland Group* 750 14 IKON Office Solutions 59,800 437 Illinois Tool Works 8,100 537 Iron Mountain* 4,200 151 ITT Industries 4,000 239 Jacobs Engineering Group* 800 36 JetBlue Airways* 4,400 268 Lafarge North America 3,100 108 Lockheed Martin 36,100 1,666 Manpower 2,200 82 Masco 188,647 4,618 MKS Instruments* 3,500 76 Monster Worldwide* 10,000 252 Navistar International* 1,400 52 Norfolk Southern 69,700 1,289 Northrop Grumman 5,417 467 Northwest Airlines (B)* 26,000 252 Paccar 16,450 1,229 Pall 9,500 213 Parker Hannifin 7,800 349 Pentair 2,400 96 Pitney Bowes 15,700 602 Precision Castparts 20,700 727 Raytheon 112,100 3,139 Republic Services 6,400 145 Robert Half International* 5,800 113 Rockwell Automation 37,400 982 Rockwell Collins 35,000 884 RR Donnelley & Sons 48,100 1,196 Ryder System 27,400 803 ServiceMaster 14,400 148 Shaw Group (B)* 7,600 80 Skywest 8,800 152 Southwest Airlines 64,100 1,135 SPX (B)* 18,500 838 St. Joe 2,900 93 Steelcase, Cl A 3,900 46 Swift Transportation* 30,400 690 Teekay Shipping 16,400 694 Textron 53,800 2,122 Thomas & Betts* 23,700 376 Tyco International 25,600 523 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Union Pacific 41,400 $ 2,408 United Parcel Service, Cl B 210,046 13,401 United Rentals* 9,100 146 United Technologies 61,172 4,727 Valassis Communications* 44,840 1,184 Viad 15,500 370 W.W. Grainger 4,800 228 Waste Management 21,300 557 Weight Watchers International* 70,000 2,912 York International 1,400 48 ---------- 135,760 ---------- INFORMATION TECHNOLOGY -- 17.3% Acxiom* 2,400 38 Adaptec* 5,300 40 Adobe Systems 9,900 389 Advanced Fibre Communication* 3,900 82 Advanced Micro Devices* 7,200 80 Advent Software* 2,800 45 Affiliated Computer Services, Cl A (B)* 25,500 1,242 Agilent Technologies (B)* 14,100 312 Altera (B)* 12,800 242 Amphenol, Cl A* 1,100 57 Analog Devices* 22,100 840 Andrew* 18,500 227 Apple Computer* 5,300 109 Applied Materials* 54,600 990 Arrow Electronics* 53,900 991 Autodesk 4,100 70 Automatic Data Processing 65,800 2,359 Avaya* 54,000 589 Avnet* 68,200 1,127 AVX 9,900 136 BEA Systems* 19,700 237 BISYS Group* 2,900 38 BMC Software* 8,900 124 Broadcom, Cl A* 7,000 186 Cadence Design Systems (B)* 14,800 198 CDW 3,590 207 Certegy 1,400 45 Checkfree (B)* 35,000 700 Cisco Systems (B)* 1,059,320 20,699 Citrix Systems* 28,500 629 Cognizant Technology Solutions* 978 36 Computer Associates International 24,600 642 Computer Sciences (B)* 4,000 150 Comverse Technology (B)* 135,000 2,020 Concord EFS* 19,000 260 Convergys* 89,100 1,634 Corning (B)* 79,500 749 CSG Systems International* 8,100 120 Cypress Semiconductor (B)* 58,100 1,027 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 19 STATEMENT OF NET ASSETS Tax-Managed Large Cap Fund (Continued) September 30, 2003 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Dell* 406,230 $ 13,564 Diebold 5,800 294 DST Systems (B)* 33,200 1,248 EchoStar Communications, Cl A (B)* 331,090 12,671 Electronic Arts* 28,406 2,620 Electronic Data Systems (B) 68,600 1,386 EMC* 569,210 7,189 Emulex (B)* 1,700 43 Fair Isaac 2,700 159 Fairchild Semiconductor International* 3,400 56 First Data 805,680 32,195 Fiserv* 154,150 5,585 Flextronics International* 42,300 600 Global Payments 2,000 72 Harris 3,000 107 Hewlett-Packard 392,127 7,592 Imation 11,900 389 Ingram Micro, Cl A* 62,600 817 Integrated Device Technology* 9,200 114 Intel (B) 1,157,050 31,830 International Business Machines 174,900 15,449 International Rectifier* 1,900 71 Intersil, Cl A* 5,500 131 Intuit* 44,810 2,162 Jabil Circuit* 5,300 138 Juniper Networks* 14,300 213 Kemet* 12,000 153 Kla-Tencor* 6,100 314 Lam Research* 2,600 58 Lexmark International* 4,000 252 Linear Technology (B) 10,900 390 Lucent Technologies (B)* 429,100 927 Macromedia* 7,400 183 Maxim Integrated Products 9,800 387 Maxtor* 28,800 350 Mercury Interactive* 1,000 45 Microchip Technology 7,300 175 Micron Technology* 8,800 118 Microsoft 1,676,740 46,597 Molex (B) 1,400 40 Motorola 225,600 2,700 National Semiconductor (B)* 79,700 2,574 NCR* 53,800 1,705 Network Appliance (B)* 10,900 224 Network Associates* 8,800 121 Novellus Systems* 10,600 358 Nvidia* 15,700 250 Oracle* 522,700 5,865 Paychex 436,000 14,793 Peoplesoft* 12,700 231 PerkinElmer 155,100 2,375 Perot Systems, Cl A* 13,400 134 PMC - Sierra* 6,600 87 Polycom* 11,200 186 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- QLogic* 4,300 $ 202 Qualcomm 520,142 21,659 Rambus* 2,000 34 Reynolds & Reynolds, Cl A 3,400 94 RF Micro Devices (B)* 18,400 171 Sabre Holdings 86,300 1,855 Sandisk* 800 51 Sanmina-SCI* 135,400 1,313 Scientific-Atlanta 31,800 991 Semtech* 11,500 212 Siebel Systems* 22,800 222 Storage Technology* 30,900 746 Sun Microsystems* 591,500 1,958 Sungard Data Systems* 103,300 2,718 Sybase* 2,400 41 Symantec (B)* 6,000 378 Symbol Technologies 7,600 91 Synopsys* 1,400 43 Tech Data* 8,886 274 Tektronix* 3,200 79 Tellabs* 55,300 375 Teradyne* 18,800 350 Texas Instruments 199,520 4,549 Thermo Electron* 7,000 152 Titan* 3,800 79 Unisys* 61,900 837 Utstarcom* 4,100 130 VeriSign* 14,900 201 Veritas Software (B)* 90,500 2,842 Waters* 5,800 159 WebMD* 95,000 847 Western Digital* 2,800 36 Xerox (B)* 196,900 2,020 Xilinx* 22,000 627 Yahoo! (B)* 16,800 594 Zebra Technologies, Cl A* 600 31 ---------- 304,914 ---------- MATERIALS -- 2.5% Air Products & Chemicals 9,900 446 Alcan 24,900 953 Alcoa 94,800 2,480 Ball 700 38 Bemis 23,800 1,054 Boise Cascade 12,800 353 Bowater 1,600 67 Consol Energy (B) 2,800 52 Cytec Industries* 27,600 1,007 Dow Chemical 64,100 2,086 E.I. Du Pont de Nemours 137,300 5,493 Eastman Chemical 41,300 1,384 Ecolab 11,200 283 Engelhard 7,700 213 - -------------------------------------------------------------------------------- 20 SEI Institutional Managed Trust / Annual Report / September 30, 2003 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Florida Rock Industries 800 $ 40 Freeport-McMoRan Copper & Gold, Cl B 36,800 1,218 Georgia-Pacific 54,200 1,314 Hercules* 6,500 74 International Flavors & Fragrances 6,200 205 International Paper 34,000 1,327 Lubrizol 55,000 1,785 Lyondell Chemical 50,200 642 Martin Marietta Materials 14,200 518 MeadWestvaco 4,900 125 Monsanto 182,338 4,365 Newmont Mining (B) 14,100 551 Nucor 2,300 105 OM Group* 20,900 306 Pactiv* 8,000 162 Peabody Energy 56,900 1,785 Potash of Saskatchewan 10,300 727 PPG Industries 42,200 2,204 Praxair 124,300 7,700 RPM International 3,000 39 Sealed Air* 23,100 1,091 Sigma-Aldrich 2,700 140 Smurfit-Stone Container* 6,260 94 Sonoco Products 18,600 408 Temple-Inland (B) 4,700 228 United States Steel 2,600 48 Vulcan Materials 4,100 164 Weyerhaeuser (B) 9,400 549 ---------- 43,823 ---------- TELECOMMUNICATION SERVICES -- 3.7% Alltel 47,200 2,187 AT&T 158,280 3,411 AT&T Wireless Services (B)* 166,700 1,364 BellSouth 487,200 11,537 CenturyTel 55,000 1,864 Citizens Communications* 22,700 254 Crown Castle International (B)* 117,810 1,109 Nextel Communications, Cl A (B)* 43,100 849 Nokia Oyj ADR 348,500 5,437 SBC Communications 654,355 14,559 Sprint-FON Group 234,000 3,533 Sprint-PCS Group (B)* 96,900 555 Telephone & Data Systems 5,200 294 US Cellular* 11,000 320 Verizon Communications 527,000 17,096 West* 2,600 62 ---------- 64,431 ---------- - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- UTILITIES -- 3.2% Allegheny Energy* 12,800 $ 117 Alliant Energy 3,200 70 Ameren (B) 5,600 240 American Electric Power 94,500 2,835 Centerpoint Energy 9,800 90 Cinergy 4,800 176 Consolidated Edison 9,400 383 Constellation Energy Group 90,700 3,245 Dominion Resources 18,800 1,164 DTE Energy 54,340 2,005 Duke Energy 59,300 1,056 Edison International* 222,100 4,242 El Paso 119,200 870 Energy East 2,500 56 Entergy 117,800 6,379 Equitable Resources 900 37 Exelon 61,900 3,931 FirstEnergy 66,100 2,109 FPL Group 9,300 588 Great Plains Energy 7,100 215 Idacorp 2,900 74 KeySpan 2,000 70 Kinder Morgan 4,500 243 MDU Resources Group 2,200 74 National Fuel Gas 13,700 313 Nicor 38,900 1,367 NiSource 78,200 1,562 Northeast Utilities 143,000 2,563 NSTAR 32,100 1,525 OGE Energy 7,500 169 Oneok 128,900 2,600 Peoples Energy 15,300 633 Pepco Holdings 1,600 28 PG&E (B)* 21,100 504 Pinnacle West Capital 46,600 1,654 PPL 41,800 1,712 Progress Energy 5,500 245 Public Service Enterprise Group 21,700 911 Puget Energy 5,000 112 Questar 25,600 789 Reliant Resources* 5,362 28 Sempra Energy 101,200 2,971 Southern (B) 69,200 2,029 TECO Energy (B) 9,800 135 Texas Genco Holdings 1,800 43 TXU 20,000 471 WGL Holdings 33,300 918 Wisconsin Energy 56,100 1,715 Xcel Energy 40,300 624 ---------- 55,890 ---------- Total Common Stock (Cost $1,673,695) ($ Thousands) 1,722,010 ---------- - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 21 STATEMENT OF NET ASSETS Tax-Managed Large Cap Fund (Continued) September 30, 2003 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- CORPORATE Obligations (C) (F) -- 3.3% FINANCIALS -- 2.9% American Express Credit 1.170%, 12/17/03 $3,599 $ 3,599 1.110%, 01/13/04 1,200 1,200 American Honda Finance 1.340%, 11/10/03 960 960 1.305%, 03/15/04 2,999 3,002 CCN Bluegrass 1.190%, 08/18/04 3,599 3,599 CIT Group 2.360%, 01/09/04 768 769 1.888%, 05/03/04 480 480 1.860%, 04/08/04 2,831 2,832 1.346%, 12/05/03 1,871 1,869 Citigroup 1.444%, 05/04/04 1,123 1,125 1.350%, 03/09/04 2,399 2,402 Concord Minutemen Capital, Ser B 1.370%, 10/09/03 3,263 3,263 Countrywide Home Loans 1.390%, 12/10/03 1,584 1,584 1.360%, 01/13/04 1,982 1,982 1.280%, 05/14/04 1,200 1,199 1.265%, 09/24/04 1,680 1,680 Goldman Sachs Group 1.340%, 05/04/04 2,399 2,399 1.160%, 12/17/03 2,399 2,399 HBOS Treasury Services 1.150%, 07/19/04 624 624 Harwood 1.180%, 06/20/06 1,200 1,200 Household Finance 2.390%, 03/11/04 2,243 2,256 1.860%, 04/23/04 240 241 International Lease Finance 1.985%, 10/03/03 480 480 Liberty Light US Capital 1.095%, 01/21/04 2,399 2,399 1.090%, 05/17/04 1,440 1,439 Merrill Lynch 1.080%, 04/13/04 2,399 2,399 Tango 1.380%, 08/13/04 2,399 2,399 USA Education 1.290%, 01/23/04 854 855 Volkswagen Credit 1.290%, 01/22/04 480 480 ---------- 51,115 ---------- - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- INDUSTRIALS -- 0.4% Caterpillar 1.306%, 03/05/04 $1,104 $ 1,105 1.290%, 05/28/04 1,200 1,201 1.260%, 04/08/04 1,440 1,441 1.2%, 07/09/04 2,399 2,399 General Electric 1.120%, 01/28/04 1,200 1,200 ---------- 7,346 ---------- Total Corporate Obligations (Cost $58,461) ($ Thousands) 58,461 ---------- Commercial Paper (C) (E) -- 2.1% FINANCIALS -- 2.0% Amstel Funding 1.136%, 03/15/04 2,399 2,387 1.111%, 11/05/03 2,399 2,397 Concord Minutemen Capital 1.084%, 01/21/04 2,399 2,391 1.060%, 10/02/03 2,247 2,247 Crown Point Capital 1.061%, 11/03/03 1,725 1,723 JP Morgan Chase 1.099%, 01/23/04 4,799 4,782 Lexington Parker Capital 1.114%, 01/26/04 2,399 2,390 Mitten 1.142%, 11/24/03 1,632 1,629 1.140%, 10/14/03 1,919 1,919 1.120%, 10/15/03 2,399 2,398 Park Granada 1.102%, 12/11/03 3,371 3,364 Scaldis Capital 1.104%, 02/06/04 965 962 Tannehill Capital 1.165%, 02/23/04 3,599 3,582 1.074%, 01/23/04 1,207 1,203 White Pine Finance 1.165%, 02/09/04 483 481 1.165%, 02/17/04 1,447 1,441 ---------- 35,296 ---------- HEALTH CARE -- 0.1% Abbott Laboratories 1.121%, 10/21/03 1,680 1,678 ---------- Total Commercial Paper (Cost $36,974) ($ Thousands) 36,974 ---------- - -------------------------------------------------------------------------------- 22 SEI Institutional Managed Trust / Annual Report / September 30, 2003 - ------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Cash Equivalents -- 0.3% First Union Cash Management Program 4,364,430 $ 4,364 AIMInvesco Treasurer's Money Market Reserve Fund (C) 1,199,656 1,200 ---------- Total Cash Equivalents (Cost $5,564) ($ Thousands) 5,564 ---------- U.S. Treasury Obligations -- 0.1% U.S. Treasury Bills (A) 1.030%, 02/26/04 $ 2,000 1,992 0.990%, 03/25/04 200 199 ---------- Total U.S. Treasury Obligations (Cost $2,191) ($ Thousands) 2,191 ---------- U.S. Government Agency Obligation -- 0.1% FNMA (C) (E) 2.449%, 11/19/03 2,399 2,396 ---------- Total U.S. Government Agency Obligation (Cost $2,396) ($ Thousands) 2,396 ---------- Repurchase Agreements -- 3.2% ABN Amro (D) 1.090%, dated 09/30/03, to be repurchased on 10/01/03, repurchase price $22,596,505 (collateralized by FNMA obligations, total market value: $23,048,541) 22,596 22,596 Barclays (C) 1.080%, dated 09/30/03, to be repurchased on 10/01/03, repurchase price $4,817,772 (collateralized by U.S. Government Agency obligations, total market value: $4,914,027) 4,818 4,818 Deutsche Bank (C) 1.080%, dated 09/30/03, to be repurchased on 10/01/03, repurchase price $16,315,816 (collateralized by U.S. Government Agency obligations, total market value: $16,573,088) 16,315 16,315 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Lehman Brothers (C) 1.080%, dated 09/30/03, to be repurchased on 10/01/03, repurchase price $2,639,323 (collateralized by U.S. Government Agency obligations, total market value: $2,692,150)$ 2,639 $ 2,639 Morgan Stanley (D) 1.050%, dated 09/30/03, to be repurchased on 10/01/03, repurchase price $8,996,036 (collateralized by U.S. Government Agency obligations, total market value: $9,179,016) 8,996 8,996 ---------- Total Repurchase Agreements (Cost $55,364) ($ Thousands) 55,364 ---------- Total Investments -- 106.9% (Cost $1,834,645) ($ Thousands) 1,882,960 ---------- OTHER ASSETS AND LIABILITIES -- (6.9)% Payable Upon Return on Securities Loaned (122,803) Investment Advisory Fees Payable (434) Administration Fees Payable (517) Shareholder Servicing Fees Payable (283) Other Assets and Liabilities, Net 2,203 ---------- Total Other Assets & Liabilities (121,834) ---------- NET ASSETS: Paid-in-Capital -- Class A (unlimited authorization -- no par value) based on 191,065,947 outstanding shares of beneficial interest 2,364,871 Paid-in-Capital -- Class Y (unlimited authorization -- no par value) based on 416,372 outstanding shares of beneficial interest 4,144 Undistributed net investment income 3,155 Accumulated net realized loss on investments (658,855) Net unrealized appreciation on investments 48,315 Net unrealized depreciation on futures contracts (504) ---------- Total Net Assets -- 100.0% $1,761,126 ========== Net Asset Value, Offering and Redemption Price Per Share -- Class A ($1,757,292,105 / 191,065,947 shares) $9.20 ===== Net Asset Value, Offering and Redemption Price Per Share -- Class Y ($3,833,850 / 416,372 shares) $9.21 ===== - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 23 STATEMENT OF NET ASSETS Tax-Managed Large Cap Fund (Concluded) September 30, 2003 - -------------------------------------------------------------------------------- Description - -------------------------------------------------------------------------------- * 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. (B) This security or a partial position of this security is on loan at September 30, 2003 (see Note 8). The total value of securities on loan at September 30, 2003 was $117,288,074. (C) This security was purchased with cash collateral held from securities lending (see Note 8). The total value of such securities as of September 30, 2003 was $122,803,117. (D) Tri-Party Repurchase Agreement. (E) The rate reported is the effective yield at time of purchase. (F) Variable Rate Security -- The rate reported on the Statement of Net Assets is the rate in effect as of September 30, 2003. ADR -- American Depository Receipt Cl -- Class FNMA -- Federal National Mortgage Association NY -- New York Ser -- Series The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 24 SEI Institutional Managed Trust / Annual Report / September 30, 2003 Large Cap Value Fund September 30, 2003 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- COMMON STOCK -- 99.0% CONSUMER DISCRETIONARY -- 11.2% AOL Time Warner* 2,761,800 $ 41,731 Autoliv (B) 524,500 15,824 Autonation* 440,300 7,723 Barnes & Noble* 276,000 7,013 Black & Decker 69,800 2,830 Blockbuster, Cl A (B) 176,400 3,704 BorgWarner 52,400 3,555 Brunswick 99,900 2,565 CBRL Group 196,200 6,961 Centex 101,800 7,928 Claire's Stores 42,800 1,432 Clear Channel Communications 98,300 3,765 Comcast, Cl A (B)* 568,600 17,558 Delphi 442,400 4,004 DR Horton 313,400 10,248 Eastman Kodak (B) 258,100 5,405 Federated Department Stores (B) 413,300 17,317 Ford Motor (B) 978,700 10,541 Fox Entertainment Group, Cl A* 313,500 8,775 Gannett 69,400 5,383 General Motors (B) 651,100 26,649 Genuine Parts 98,800 3,160 Hasbro 403,300 7,534 JC Penney (B) 248,800 5,317 Johnson Controls 119,500 11,305 KB Home 142,200 8,484 Knight-Ridder 87,100 5,810 Lennar, Cl A (B) 93,300 7,258 Liberty Media, Cl A* 87,700 874 Limited 594,600 8,967 Magna International, Cl A 9,700 700 May Department Stores (B) 184,700 4,549 McDonald's 436,900 10,285 McGraw-Hill 70,400 4,374 McLeodUSA, Cl A (B) (D)* 251,800 -- Media General, Cl A 130,800 7,992 Meredith 85,000 3,924 Nordstrom 80,400 1,995 NVR (B)* 13,100 6,111 Park Place Entertainment (B)* 150,400 1,355 Sears Roebuck (B) 62,100 2,716 Sherwin-Williams 242,400 7,129 Stanley Works (B) 170,800 5,042 Tribune 175,400 8,051 VF 166,300 6,471 Viacom, Cl B (B) 836,200 32,026 Visteon 281,900 1,860 Walt Disney (B) 738,000 14,885 Whirlpool (B) 56,700 3,843 Zale* 103,500 4,596 ---------- 397,524 ---------- - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- CONSUMER STAPLES -- 6.6% Albertson's 249,100 $ 5,124 Altria Group 1,321,800 57,895 Avon Products 71,700 4,629 Campbell Soup (B) 330,200 8,750 Coca-Cola Enterprises 496,400 9,461 Colgate-Palmolive 129,000 7,210 ConAgra Foods 43,000 913 Constellation Brands, Cl A* 236,900 7,223 Dean Foods* 320,200 9,936 Energizer Holdings* 384,500 14,138 General Mills (B) 176,400 8,303 Hershey Foods 40,700 2,958 Kimberly-Clark 148,300 7,611 Kroger (B)* 622,300 11,121 Loews-- Carolina Group 61,400 1,412 PepsiAmericas 231,900 3,360 PepsiCo 88,300 4,047 Procter & Gamble 391,300 36,321 RJ Reynolds Tobacco Holdings 194,900 7,706 Safeway (B)* 593,927 13,625 Supervalu 349,900 8,349 Tyson Foods, Cl A 298,400 4,216 ---------- 234,308 ---------- ENERGY -- 10.7% Amerada Hess 178,300 8,933 Anadarko Petroleum (B) 97,200 4,059 Apache 79,000 5,478 Ashland 59,700 1,961 Burlington Resources 196,800 9,486 ChevronTexaco 937,200 66,963 ConocoPhillips 552,600 30,255 Devon Energy 81,300 3,918 Exxon Mobil 4,762,900 174,322 Halliburton (B) 31,000 751 Kerr-McGee 111,000 4,955 Marathon Oil 728,800 20,771 Noble Energy 25,600 980 Occidental Petroleum (B) 577,800 20,356 Pogo Producing 78,700 3,563 Precision Drilling* 127,400 4,798 Sunoco (B) 94,500 3,801 Unocal 450,700 14,206 ---------- 379,556 ---------- FINANCIALS -- 35.7% ACE 69,800 2,309 Aflac 296,800 9,587 Allstate 660,900 24,143 American Express 89,200 4,019 American International Group 626,400 36,143 AmSouth Bancorp 387,600 8,225 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 25 STATEMENT OF NET ASSETS Large Cap Value Fund (Continued) September 30, 2003 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- AON 519,300 $ 10,827 Archstone-Smith Trust+ 300,000 7,914 Astoria Financial 242,300 7,487 Bank of America 1,289,000 100,594 Bank of Hawaii 64,700 2,173 Bank of New York 58,500 1,703 Bank One 557,200 21,536 BB&T (B) 163,000 5,853 Bear Stearns 299,700 22,418 Boston Properties+ 81,900 3,560 Capital One Financial 161,500 9,212 Chubb (B) 75,200 4,879 Citigroup 3,872,700 176,247 Comerica 53,700 2,502 Commerce Bancorp 107,000 5,126 Countrywide Credit Industry (B) 132,400 10,364 Doral Financial 76,800 3,610 Equity Office Properties Trust+ 703,300 19,362 Equity Residential (B)+ 285,000 8,345 Everest Re Group 52,700 3,961 Fannie Mae 43,600 3,061 Fidelity National Financial 229,600 6,902 First American 477,729 11,895 First Tennessee National 417,700 17,736 Flagstar Bancorp 155,600 3,571 FleetBoston Financial 834,500 25,160 Franklin Resources 81,818 3,617 Freddie Mac 86,600 4,533 Golden West Financial 43,000 3,849 Goldman Sachs Group (B) 292,500 24,541 Greenpoint Financial (B) 274,200 8,188 Hartford Financial Services Group (B) 38,200 2,010 Hibernia, Cl A 186,000 3,768 Huntington Bancshares 503,200 9,958 Independence Community Bank 141,100 4,929 IndyMac Bancorp 264,000 6,117 Jefferson-Pilot 222,400 9,870 John Hancock Financial Services 501,200 16,941 JP Morgan Chase 1,853,600 63,634 Keycorp 343,800 8,791 Kimco Realty+ 149,537 6,126 Lehman Brothers Holdings 418,300 28,896 Lincoln National 244,900 8,665 Loews 21,700 876 Mack-Cali Realty+ 98,000 3,842 Markel* 21,900 5,847 MBIA 427,800 23,516 MBNA 834,400 19,024 Merrill Lynch (B) 484,700 25,946 Metlife 265,600 7,450 Morgan Stanley 764,700 38,587 National City 733,496 21,609 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Nationwide Financial Services, Cl A 6,100 $ 2,072 New York Community Bancorp 82,500 2,600 Old Republic International 189,200 6,261 PartnerRe Holdings 46,700 2,366 Plum Creek Timber (B)+ 179,800 4,574 PNC Financial Services Group 284,500 13,536 Popular 354,200 14,097 Principal Financial Group 301,600 9,347 Prudential Financial (B) 64,700 2,417 Radian Group 62,700 2,784 Regions Financial 364,300 12,477 Safeco 95,200 3,357 SouthTrust 96,100 2,824 St. Paul 230,500 8,535 SunTrust Banks 304,700 18,395 Torchmark 204,400 8,307 Travelers Property Casualty, Cl B 474,800 7,540 Union Planters 258,100 8,166 US Bancorp 1,453,400 34,867 Wachovia 1,125,412 46,356 Washington Mutual (B) 1,051,200 41,386 Webster Financial 149,400 5,958 Wells Fargo 1,075,600 55,393 Xl Capital, Cl A (B) 28,700 2,222 Zions Bancorporation 75,200 4,200 ---------- 1,261,591 ---------- HEALTH CARE -- 4.1% Abbott Laboratories 92,600 3,940 Alcon 30,700 1,724 Applied Biosystems Group (B) 157,600 3,516 Bausch & Lomb (B) 82,400 3,638 Beckman Coulter (B) 149,400 6,804 Becton Dickinson 59,900 2,164 Bristol-Myers Squibb 1,045,700 26,833 Cigna 91,500 4,085 DaVita* 104,500 3,326 HCA 64,400 2,374 Health Net (B)* 158,700 5,026 Humana* 416,300 7,514 ICN Pharmaceuticals 133,500 2,291 Johnson & Johnson 71,200 3,526 King Pharmaceuticals* 228,000 3,454 Manor Care (B) 127,500 3,825 McKesson (B) 134,700 4,484 Medco Health Solutions* 37,699 977 Merck 623,100 31,541 Schering-Plough 477,600 7,279 WellPoint Health Networks* 81,600 6,290 Wyeth 184,900 8,524 ---------- 143,135 ---------- - -------------------------------------------------------------------------------- 26 SEI Institutional Managed Trust / Annual Report / September 30, 2003 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- INDUSTRIALS -- 7.5% 3M 133,600 $ 9,228 Accenture, Cl A (B)* 309,200 6,908 Allied Waste Industries* 62,500 675 Burlington Northern Santa Fe 418,600 12,085 Caterpillar 370,500 25,505 Cendant (B)* 891,400 16,660 Cooper, Cl A 35,600 1,710 CSX 114,900 3,361 Cummins 125,600 5,580 Danaher 129,000 9,528 Deere 15,500 826 Delta Air Lines 247,100 3,286 Eaton 176,000 15,597 Emerson Electric 153,000 8,055 FedEx 137,800 8,878 General Electric 83,700 2,495 Goodrich 92,700 2,247 H&R Block (B) 115,400 4,980 HON Industries 77,200 2,853 Honeywell International 242,600 6,393 Hubbell, Cl B 60,900 2,222 IKON Office Solutions 279,700 2,045 Lockheed Martin 102,100 4,712 Masco (B) 290,900 7,121 Norfolk Southern 255,100 4,719 Paccar (B) 53,700 4,011 Parker Hannifin 18,500 827 Pitney Bowes 31,800 1,219 Precision Castparts 106,200 3,728 Raytheon 517,400 14,487 Rockwell Automation 160,800 4,221 Rockwell Collins 139,100 3,512 RR Donnelley & Sons 240,900 5,991 Ryder System 139,700 4,096 Southwest Airlines 127,800 2,262 SPX (B)* 84,200 3,813 Swift Transportation* 142,800 3,240 Teekay Shipping 83,800 3,545 Textron 341,600 13,476 Thomas & Betts* 164,200 2,603 Union Pacific 161,900 9,418 United Technologies (B) 192,700 14,892 Viad 57,200 1,366 ---------- 264,376 ---------- INFORMATION TECHNOLOGY -- 6.5% Affiliated Computer Services, Cl A (B)* 105,000 5,112 Arrow Electronics* 92,100 1,694 Avaya* 184,800 2,014 Avnet* 369,500 6,104 Checkfree* 162,500 3,250 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Cisco Systems* 242,800 $ 4,744 Comverse Technology* 574,300 8,592 Convergys* 456,500 8,372 Corning (B)* 205,000 1,931 Cypress Semiconductor (B)* 233,700 4,132 Electronic Data Systems (B) 270,600 5,466 Flextronics International* 206,800 2,932 Hewlett-Packard 1,443,700 27,950 Imation 60,600 1,979 Ingram Micro, Cl A* 224,600 2,931 International Business Machines 631,600 55,789 Intersil, Cl A* 38,900 926 Lucent Technologies (B)* 2,136,400 4,615 Maxtor* 146,600 1,784 Motorola 795,100 9,517 National Semiconductor* 323,400 10,443 NCR (B)* 244,133 7,737 PerkinElmer 550,561 8,429 Qualcomm 41,900 1,745 Reynolds & Reynolds, Cl A 130,400 3,593 Sanmina-SCI* 389,400 3,777 Scientific-Atlanta 137,200 4,274 Solectron* 62,400 365 Storage Technology* 127,400 3,075 Sun Microsystems (B)* 2,603,000 8,616 Tech Data* 28,701 885 Unisys* 252,900 3,422 Vishay Intertechnology* 65,000 1,139 WebMD* 380,400 3,393 Xerox (B)* 835,600 8,573 ---------- 229,300 ---------- MATERIALS -- 3.9% Alcan 127,000 4,859 Alcoa 320,200 8,376 Bemis 79,900 3,540 Boise Cascade 78,102 2,156 Cytec Industries* 141,300 5,157 Dow Chemical 196,600 6,397 E.I. Du Pont de Nemours 495,700 19,833 Eastman Chemical 243,500 8,157 Freeport-McMoRan Copper & Gold, Cl B (B) 166,300 5,505 Georgia-Pacific 203,900 4,943 International Paper 78,500 3,063 Lubrizol 271,000 8,794 Lyondell Chemical (B) 250,000 3,195 Martin Marietta Materials 63,800 2,325 Monsanto 858,000 20,541 Peabody Energy 279,600 8,771 Potash of Saskatchewan 51,000 3,598 PPG Industries (B) 162,300 8,475 Praxair 55,600 3,444 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 27 STATEMENT OF NET ASSETS Large Cap Value Fund (Continued) September 30, 2003 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Sealed Air* 64,400 $ 3,042 Sonoco Products 52,200 1,146 Temple-Inland (B) 16,200 786 Weyerhaeuser (B) 13,200 772 ---------- 136,875 ---------- TELECOMMUNICATION SERVICES -- 6.6% Alltel 165,100 7,651 AT&T 457,500 9,859 AT&T Wireless Services (B)* 188,200 1,539 BellSouth 2,161,200 51,177 CenturyTel 245,700 8,327 Qwest Communications International* 357,500 1,216 SBC Communications 2,910,700 64,763 Sprint-FON Group 820,200 12,385 Sprint-PCS Group (B)* 377,500 2,163 Verizon Communications 2,305,400 74,787 ---------- 233,867 ---------- UTILITIES -- 6.2% American Electric Power 317,500 9,525 Constellation Energy Group 397,900 14,237 Dominion Resources 35,700 2,210 DTE Energy 97,700 3,604 Duke Energy (B) 117,400 2,091 Edison International* 1,040,500 19,873 El Paso (B) 390,500 2,851 Entergy 554,900 30,048 Exelon (B) 241,100 15,310 FirstEnergy 302,700 9,656 FPL Group 11,000 695 National Fuel Gas 68,100 1,556 Nicor 174,800 6,142 NiSource 353,500 7,063 Northeast Utilities 687,054 12,312 NSTAR 163,800 7,780 Oneok 655,400 13,219 Peoples Energy 77,800 3,219 Pinnacle West Capital 209,700 7,444 PPL 185,600 7,600 Progress Energy 107,781 4,792 Public Service Enterprise Group 84,300 3,541 Questar 109,300 3,368 Sempra Energy 436,700 12,821 Southern (B) 212,400 6,228 WGL Holdings 170,000 4,689 Wisconsin Energy 264,100 8,074 ---------- 219,948 ---------- Total Common Stock (Cost $3,516,188) ($ Thousands) 3,500,480 ---------- - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Corporate Obligations (C) (G) -- 3.0% FINANCIALS -- 2.6% American Express Credit 1.170%, 12/17/03 $6,595 $ 6,596 1.110%, 01/13/04 2,199 2,199 American Honda Finance 1.340%, 11/10/03 1,759 1,759 1.305%, 03/15/04 5,496 5,503 CCN Bluegrass 1.190%, 08/18/04 6,595 6,595 CIT Group 2.360%, 01/09/04 1,407 1,410 1.888%, 05/03/04 879 879 1.860%, 04/08/04 5,188 5,190 1.346%, 12/05/03 3,430 3,425 Citigroup 1.444%, 05/04/04 2,058 2,062 1.350%, 03/09/04 4,397 4,402 Concord Minutemen Capital, Ser B 1.370%, 10/09/03 5,980 5,980 Countrywide Home Loans 1.390%, 12/10/03 2,902 2,902 1.360%, 01/13/04 3,632 3,632 1.280%, 05/14/04 2,198 2,198 1.265%, 09/24/04 3,078 3,078 Goldman Sachs Group 1.340%, 05/04/04 4,397 4,397 1.160%, 12/17/03 4,397 4,397 HBOS Treasury Services 1.150%, 07/19/04 1,143 1,144 Harwood 1.180%, 06/20/06 2,199 2,199 Household Finance 2.390%, 03/11/04 4,111 4,134 1.860%, 04/23/04 440 441 International Lease Finance 1.985%, 10/03/03 879 879 Liberty Light US Capital 1.095%, 01/21/04 4,397 4,397 1.090%, 05/17/04 2,638 2,638 Merrill Lynch 1.080%, 04/13/04 4,397 4,397 Tango 1.380%, 08/13/04 4,397 4,397 USA Education 1.290%, 01/23/04 1,565 1,566 Volkswagen Credit 1.290%, 01/22/04 879 880 ---------- 93,676 ---------- - -------------------------------------------------------------------------------- 28 SEI Institutional Managed Trust / Annual Report / September 30, 2003 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- INDUSTRIALS -- 0.4% Caterpillar 1.306%, 03/05/04 $2,023 $ 2,024 1.290%, 05/28/04 2,198 2,200 1.260%, 04/08/04 2,638 2,641 1.210%, 07/09/04 4,397 4,397 General Electric 1.120%, 01/28/04 2,198 2,199 ---------- 13,461 ---------- Total Corporate Obligations (Cost $107,137) ($ Thousands) 107,137 ---------- Commercial Paper (C) (F) -- 1.9% FINANCIALS -- 1.8% Amstel Funding 1.136%, 03/15/04 4,397 4,374 1.111%, 11/05/03 4,397 4,392 Concord Minutemen Capital 1.084%, 01/21/04 4,397 4,382 1.060%, 10/02/03 4,119 4,118 Crown Point Capital 1.061%, 11/03/03 3,162 3,159 JP Morgan Chase 1.099%, 01/23/04 8,794 8,764 Lexington Parker Capital 1.114%, 01/26/04 4,397 4,381 Mitten 1.142%, 11/24/03 2,990 2,985 1.140%, 10/14/03 3,518 3,516 1.120%, 10/15/03 4,397 4,395 Park Granada 1.102%, 12/11/03 6,178 6,164 Scaldis Capital 1.104%, 02/06/04 1,769 1,762 Tannehill Capital 1.165%, 02/23/04 6,595 6,565 1.074%, 01/23/04 2,211 2,204 White Pine Finance 1.165%, 02/09/04 885 881 1.165%, 02/17/04 2,653 2,641 ---------- 64,683 ---------- HEALTH CARE -- 0.1% Abbott Laboratories 1.121%, 10/21/03 3,078 3,076 ---------- Total Commercial Paper (Cost $67,759) ($ Thousands) 67,759 ---------- - ------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Cash Equivalents -- 0.6% First Union Cash Management Program 16,285,716 $ 16,286 AIMInvesco Treasurer's Money Market Reserve Fund (C) 2,198,499 2,198 ---------- Total Cash Equivalents (Cost $18,484) ($ Thousands) 18,484 ---------- U.S. Government Agency Obligation -- 0.1% FNMA (C) (F) 2.449%, 11/19/03 $4,397 4,390 ---------- Total U.S. Government Agency Obligation (Cost $4,390) ($ Thousands) 4,390 ---------- U.S. Treasury Obligation -- 0.1% U.S. Treasury Bills (A) 1.030%, 02/26/04 5,000 4,979 ---------- Total U.S. Treasury Obligation (Cost $4,979) ($ Thousands) 4,979 ---------- Repurchase Agreements -- 1.6% ABN Amro (E) 1.090%, dated 09/30/03, matures 10/01/03, repurchase price $13,713,153 (collateralized by FNMA obligations, total market value: $13,987,597) 13,713 13,713 Barclays (C) 1.080%, dated 09/30/03, to be repurchased on 10/01/03, repurchase price $8,829,085 (collateralized by U.S. Government Agency obligations, total market value: $9,005,482) 8,829 8,829 Deutsche Bank (C) 1.080%, dated 09/30/03, to be repurchased on 10/01/03, repurchase price $29,900,485 (collateralized by U.S. Treasury obligations, total market value: $30,371,964) 29,900 29,900 Lehman Brothers (C) 1.080%, dated 09/30/03, to be repurchased on 10/01/03, repurchase price $4,836,843 (collateralized by U.S. Government Agency obligations, total market value: $4,933,654) 4,837 4,837 ---------- Total Repurchase Agreements (Cost $57,279) ($ Thousands) 57,279 ---------- Total Investments -- 106.3% (Cost $3,776,216) ($ Thousands) 3,760,508 ---------- - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 29 STATEMENT OF NET ASSETS Large Cap Value Fund (Concluded) September 30, 2003 - -------------------------------------------------------------- Value Description ($ Thousands) - -------------------------------------------------------------- OTHER ASSETS AND LIABILITIES -- (6.3)% Payable Upon Return on Securities Loaned $ (225,050) Investment Advisory Fees Payable (837) Administration Fees Payable (1,052) Shareholder Servicing Fees Payable (623) Administration Servicing Fees Payable (2) Other Assets and Liabilities, Net 3,828 ---------- Total Other Assets & Liabilities (223,736) ---------- NET ASSETS: Paid-in-Capital -- Class A (unlimited authorization -- no par value) based on 209,864,745 outstanding shares of beneficial interest 3,731,980 Portfolio Shares of Class I (unlimited authorization -- no par value) based on 540,815 outstanding shares of beneficial interest 9,473 Undistributed net investment income 13,769 Accumulated net realized loss on investments (202,214) Net unrealized depreciation on investments (15,708) Net unrealized depreciation on futures contracts (528) ---------- Total Net Assets -- 100.0% $3,536,772 ========== Net Asset Value, Offering and Redemption Price Per Share -- Class A ($3,527,685,506 / 209,864,745 shares) $16.81 ====== Net Asset Value, Offering and Redemption Price Per Share -- Class I ($9,086,449 / 540,815 shares) $16.80 ====== * 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. (B) This security or a partial position of this security is on loan at September 30, 2003 (see Note 8). The total value of securities on loan at September 30, 2003 was $214,680,275. (C) This security was purchased with cash collateral held from securities lending (see Note 8). The total value of such securities as of September 30, 2003 was $225,049,902. (D) Securities considered illiquid. The total value of such securities as of September 30, 2003 was $0. (E) Tri-Party Repurchase Agreement. (F) The rate reported is the effective yield at time of purchase. (G) Variable Rate Security -- The rate reported on the Statement of Net Assets is the rate in effect as of September 30, 2003. Cl -- Class FNMA -- Federal National Mortgage Association Ser -- Series Amounts designated as "--" are zero or have been rounded to zero. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 30 SEI Institutional Managed Trust / Annual Report / September 30, 2003 Large Cap Growth Fund September 30, 2003 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- COMMON STOCK -- 97.2% CONSUMER DISCRETIONARY -- 17.9% Advance Auto Parts (B)* 155,260 $ 11,008 AOL Time Warner (B)* 760,010 11,484 Clear Channel Communications 412,640 15,804 COX Communications, Cl A (B)* 1,301,930 41,167 Dollar Tree Stores* 103,420 3,465 eBay (B)* 1,340,050 71,706 Family Dollar Stores 562,780 22,449 Gannett 363,280 28,176 Harrah's Entertainment 239,480 10,084 Home Depot 897,900 28,598 InterActive (B)* 775,500 25,630 Kohl's (B)* 990,200 52,976 Lamar Advertising* 156,940 4,605 Liberty Media, Cl A* 4,504,730 44,912 Lowe's (B) 708,620 36,777 Mandalay Resort Group 238,000 9,427 Marriott International, Cl A 1,151,102 49,532 McGraw-Hill 237,060 14,729 Metro-Goldwyn-Mayer (B)* 225,630 3,461 Omnicom Group 196,200 14,097 Staples* 1,600,000 38,000 Starwood Hotels & Resorts Worldwide (B) 134,150 4,668 TJX (B) 850,000 16,507 Univision Communications, Cl A (B)* 631,370 20,160 Viacom, Cl B 601,800 23,049 Walt Disney (B) 676,492 13,645 XM Satellite Radio Holdings, Cl A (B)* 1,500,000 23,295 ---------- 639,411 ---------- CONSUMER STAPLES -- 10.2% Avon Products 64,000 4,132 Coca-Cola 743,359 31,935 Colgate-Palmolive 628,679 35,137 Dean Foods* 240,000 7,447 Energizer Holdings* 105,560 3,881 Gillette (B) 1,846,935 59,065 PepsiCo 1,229,041 56,327 Procter & Gamble 412,472 38,286 Wal-Mart Stores 1,657,640 92,579 Walgreen 700,000 21,448 Wm. Wrigley Jr. 260,370 14,398 ---------- 364,635 ---------- ENERGY -- 1.1% Baker Hughes 350,400 10,369 Schlumberger (B) 618,931 29,956 ---------- 40,325 ---------- - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- FINANCIALS -- 12.0% AMBAC Financial Group 105,850 $ 6,774 American Express 200,755 9,046 American International Group 1,120,983 64,681 Capital One Financial (B) 152,435 8,695 Charles Schwab (B) 4,626,140 55,097 Citigroup 700,491 31,879 Fannie Mae (B) 377,950 26,532 Freddie Mac 473,800 24,804 Golden West Financial 44,140 3,951 Goldman Sachs Group (B) 504,100 42,294 JP Morgan Chase 226,335 7,770 Marsh & McLennan 368,910 17,564 MBNA 440,190 10,036 Moody's 856,190 47,065 Northern Trust 800,000 33,952 State Street 885,400 39,843 ---------- 429,983 ---------- HEALTH CARE -- 17.2% Aetna (B) 116,000 7,079 Allergan 490,000 38,578 Amgen (B)* 1,370,754 88,510 Bristol-Myers Squibb 106,540 2,734 Cardinal Health 275,100 16,063 Celgene* 203,000 8,796 Eli Lilly 595,320 35,362 Genentech (B)* 534,900 42,867 Gilead Sciences (B)* 136,400 7,629 Guidant 177,000 8,292 IMS Health 303,500 6,404 Johnson & Johnson 860,992 42,636 Medtronic 2,023,334 94,935 Pfizer 4,344,727 131,993 Schering-Plough 117,410 1,789 Teva Pharmaceutical Industries ADR 143,530 8,203 Watson Pharmaceuticals (B)* 144,860 6,039 WellPoint Health Networks* 400,000 30,832 Wyeth (B) 778,000 35,866 ---------- 614,607 ---------- INDUSTRIALS -- 7.5% 3M 290,848 20,089 Apollo Group, Cl A* 136,600 9,019 Career Education* 220,000 9,966 Caterpillar 333,838 22,981 Cendant (B)* 932,580 17,430 Cintas (B) 529,100 19,492 Expeditors International Washington 1,100,000 37,851 Fastenal (B) 302,000 11,415 General Electric 613,180 18,279 JetBlue Airways (B)* 168,000 10,243 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 31 STATEMENT OF NET ASSETS Large Cap Growth Fund (Continued) September 30, 2003 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Masco (B) 478,746 $ 11,720 United Parcel Service, Cl B (B) 922,754 58,872 Valassis Communications* 203,360 5,369 Weight Watchers International (B)* 350,000 14,560 ---------- 267,286 ---------- INFORMATION TECHNOLOGY -- 29.0% Amkor Technology (B)* 476,260 6,768 Automatic Data Processing 186,000 6,668 Cisco Systems* 4,039,220 78,926 Computer Associates International (B) 338,920 8,849 Dell* 1,612,100 53,828 DST Systems (B)* 148,100 5,569 EchoStar Communications, Cl A (B)* 1,856,975 71,066 Electronic Arts (B)* 189,528 17,480 EMC (B)* 2,269,840 28,668 First Data 3,664,020 146,414 Fiserv* 703,200 25,477 Foundry Networks (B)* 309,000 6,647 Intel 4,974,000 136,835 Intuit (B)* 171,710 8,283 Marvell Technology Group (B)* 79,000 2,982 Microsoft 6,620,945 183,996 Oracle* 1,561,800 17,523 Paychex 2,035,800 69,075 Qualcomm 2,220,450 92,459 Research In Motion* 209,000 7,984 Sabre Holdings 346,940 7,456 Seagate Technology* 338,560 9,209 Sungard Data Systems* 416,100 10,948 Synopsys (B)* 263,570 8,110 Texas Instruments 638,300 14,553 Veritas Software* 362,800 11,392 ---------- 1,037,165 ---------- MATERIALS -- 0.9% Praxair 525,000 32,524 ---------- TELECOMMUNICATION SERVICES -- 1.4% Amdocs* 437,000 8,216 Crown Castle International (B)* 533,880 5,024 Nextel Communications, Cl A (B)* 612,320 12,056 Nokia Oyj ADR 1,634,400 25,497 ---------- 50,793 ---------- Total Common Stock (Cost $3,572,007) ($ Thousands) 3,476,729 ---------- - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- CORPORATE OBLIGATIONS (C) (F) -- 5.3% FINANCIALS -- 4.6% American Express Credit 1.170%, 12/17/03 $11,621 $ 11,623 1.110%, 01/13/04 3,874 3,874 American Honda Finance 1.340%, 11/10/03 3,099 3,100 1.305%, 03/15/04 9,685 9,694 CCN Bluegrass 1.190%, 08/18/04 11,621 11,621 CIT Group 2.360%, 01/09/04 2,479 2,484 1.888%, 05/03/04 1,549 1,549 1.860%, 04/08/04 9,142 9,144 1.346%, 12/05/03 6,043 6,034 Citigroup 1.444%, 05/04/04 3,626 3,634 1.350%, 03/09/04 7,748 7,757 Concord Minutemen Capital, Ser B 1.370%, 10/09/03 10,537 10,537 Countrywide Home Loans 1.390%, 12/10/03 5,113 5,114 1.360%, 01/13/04 6,399 6,399 1.280%, 05/14/04 3,874 3,873 1.265%, 09/24/04 5,423 5,423 Goldman Sachs Group 1.340%, 05/04/04 7,748 7,748 1.160%, 12/17/03 7,748 7,748 HBOS Treasury Services 1.150%, 07/19/04 2,014 2,015 Harwood 1.180%, 06/20/06 3,874 3,874 Household Finance 2.390%, 03/11/04 7,244 7,284 1.860%, 04/23/04 775 778 International Lease Finance 1.985%, 10/03/03 1,550 1,550 Liberty Light US Capital 1.095%, 01/21/04 7,748 7,747 1.090%, 05/17/04 4,649 4,648 Merrill Lynch 1.080%, 04/13/04 7,748 7,748 Tango 1.380%, 08/13/04 7,748 7,748 USA Education 1.290%, 01/23/04 2,758 2,760 Volkswagen Credit 1.290%, 01/22/04 1,550 1,550 ---------- 165,058 ========== - -------------------------------------------------------------------------------- 32 SEI Institutional Managed Trust / Annual Report / September 30, 2003 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- INDUSTRIALS -- 0.7% Caterpillar 1.306%, 03/05/04 $ 3,564 $ 3,567 1.290%, 05/28/04 3,874 3,877 1.260%, 04/08/04 4,649 4,654 1.210%, 07/09/04 7,748 7,748 General Electric 1.120%, 01/28/04 3,874 3,874 ---------- 23,720 ---------- Total Corporate Obligations (Cost $188,778) ($ Thousands) 188,778 ---------- Commercial Paper (C) (E) -- 3.3% FINANCIALS -- 3.2% Amstel Funding 1.136%, 03/15/04 7,748 7,707 1.111%, 11/05/03 7,748 7,739 Concord Minutemen Capital 1.084%, 01/21/04 7,748 7,722 1.060%, 10/02/03 7,257 7,257 Crown Point Capital 1.061%, 11/03/03 5,571 5,566 JP Morgan Chase 1.099%, 01/23/04 15,495 15,442 Lexington Parker Capital 1.114%, 01/26/04 7,748 7,720 Mitten 1.142%, 11/24/03 5,268 5,259 1.140%, 10/14/03 6,198 6,196 1.120%, 10/15/03 7,748 7,744 Park Granada 1.102%, 12/11/03 10,886 10,862 Scaldis Capital 1.104%, 02/06/04 3,117 3,105 Tannehill Capital 1.165%, 02/23/04 11,621 11,567 1.074%, 01/23/04 3,896 3,883 White Pine Finance 1.165%, 02/09/04 1,559 1,552 1.165%, 02/17/04 4,674 4,653 ---------- 113,974 ---------- HEALTH CARE -- 0.1% Abbott Laboratories 1.121%, 10/21/03 5,423 5,420 ---------- Total Commercial Paper (Cost $119,394) ($ Thousands) 119,394 ---------- - ------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Cash Equivalents -- 0.3% First Union Cash Management Program 7,608,307 $ 7,608 AIMInvesco Treasurer's Money Market Reserve Fund (C) 3,873,830 3,874 ---------- Total Cash Equivalents (Cost $11,482) ($ Thousands) 11,482 ---------- U.S. Government Agency Obligation -- 0.2% FNMA (C) (E) 2.449%, 11/19/03 $7,748 7,737 ---------- Total U.S. Government Agency Obligation (Cost $7,737) ($ Thousands) 7,737 ---------- U.S. Treasury Obligation -- 0.2% U.S. Treasury Bills (A) 1.030%, 02/26/04 6,000 5,975 ---------- Total U.S. Treasury Obligation (Cost $5,975) ($ Thousands) 5,975 ---------- Repurchase Agreements -- 4.8% Barclays (C) 1.080%, dated 09/30/03, to be repurchased on 10/01/03, repurchase price $15,557,150 (collateralized by U.S. Government Agency obligations, total market value: $15,867,965) 15,557 15,557 Deutsche Bank (C) 1.080%, dated 09/30/03, to be repurchased on 10/01/03, repurchase price $52,685,673 (collateralized by U.S. Treasury obligations, total market value: $53,516,435) 52,684 52,684 Lehman Brothers (C) 1.080%, dated 09/30/03, to be repurchased on 10/01/03, repurchase price $8,522,682 (collateralized by U.S. Government Agency obligations, total market value: $8,693,266) 8,522 8,522 Morgan Stanley (D) 0.940%, dated 09/30/03, to be repurchased on 10/01/03, repurchase price $93,391,435 (collateralized by U.S. Treasury obligations, total market value: $95,495,071) 93,389 93,389 ---------- Total Repurchase Agreements (Cost $170,152) ($ Thousands) 170,152 ---------- Total Investments -- 111.3% (Cost $4,075,525) ($ Thousands) 3,980,247 ---------- - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 33 STATEMENT OF NET ASSETS Large Cap Growth Fund (Concluded) September 30, 2003 - ------------------------------------------------------------- Value Description ($ Thousands) - ------------------------------------------------------------- OTHER ASSETS AND LIABILITIES -- (11.3)% Payable Upon Return on Securities Loaned $ (396,546) Investment Advisory Fees Payable (1,060) Administration Fees Payable (1,073) Shareholder Servicing Fees Payable (422) Administration Servicing Fees Payable (2) Other Assets and Liabilities, Net (4,334) ---------- Total Other Assets & Liabilities (403,437) ---------- NET ASSETS: Paid-in-Capital -- Class A (unlimited authorization -- no par value) based on 226,078,632 outstanding shares of beneficial interest 5,423,950 Portfolio Shares of Class I (unlimited authorization -- no par value) based on 785,698 outstanding shares of beneficial interest 13,464 Accumulated net realized loss on investments (1,764,210) Net unrealized depreciation on investments (95,278) Net unrealized depreciation on futures contracts (1,116) ---------- Total Net Assets -- 100.0% $3,576,810 ========== Net Asset Value, Offering and Redemption Price Per Share -- Class A ($3,564,486,722 / 226,078,632 shares) $15.77 ====== Net Asset Value, Offering and Redemption Price Per Share -- Class I ($12,323,498 / 785,698 shares) $15.68 ====== * Non-income producing security. (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. (B) This security or a partial position of this security is on loan at September 30, 2003 (see Note 8). The total value of securities on loan at September 30, 2003 was $379,370,563. (C) This security was purchased with cash collateral held from securities lending (see Note 8). The total value of such securities as of September 30, 2003 was $396,545,600. (D) Tri-Party Repurchase Agreement. (E) The rate reported is the effective yield at time of purchase. (F) Variable Rate Security -- The rate reported on the Statement of Net Assets is the rate in effect as of September 30, 2003. ADR -- American Depository Receipt Cl -- Class FNMA -- Federal National Mortgage Association Ser -- Series The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 34 SEI Institutional Managed Trust / Annual Report / September 30, 2003 Tax-Managed Small Cap Fund September 30, 2003 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- COMMON STOCK -- 95.9% CONSUMER DISCRETIONARY -- 20.5% 99 Cents Only Stores* 10,100 $ 327 Abercrombie & Fitch, Cl A* 34,400 953 American Greetings, Cl A* 19,200 373 AnnTaylor Stores* 14,900 479 Autonation* 13,100 230 Aztar* 17,300 306 Bandag 5,600 189 Barnes & Noble* 23,000 584 Black & Decker 6,700 272 Bob Evans Farms 12,000 320 BorgWarner 7,400 502 Brunswick 39,800 1,022 Callaway Golf 24,900 355 Centex Construction Products 4,400 197 Cheesecake Factory (B)* 19,100 691 Chico's FAS* 6,600 202 Coach* 19,700 1,076 Columbia Sportswear* 7,200 380 Cooper Tire & Rubber 12,900 205 Cost Plus* 9,400 347 Cumulus Media, Cl A* 16,700 285 Dillard's, Cl A 9,000 126 Dollar Tree Stores* 21,800 730 DR Horton 16,000 523 Ethan Allen Interiors 6,100 220 Extended Stay America* 26,600 397 Foot Locker 35,700 578 Four Seasons Hotels 4,500 224 Fred's 20,527 677 Gentex* 13,600 474 Getty Images* 8,900 313 Gray Television 27,600 322 Group 1 Automotive* 11,900 411 GTECH Holdings 15,600 668 Guitar Center* 21,760 700 Handleman 42,400 716 Harman International Industries 5,600 551 Hilton Hotels 19,000 308 Hollinger International 18,500 228 HOT Topic* 25,180 568 JC Penney 15,500 331 Johnson Controls 5,500 520 Journal Communications* 22,100 366 KB Home 3,500 209 Kerzner Interational* 4,400 157 Krispy Kreme Doughnuts* 9,300 358 Lamar Advertising* 13,100 384 Leapfrog Enterprises (B)* 5,800 220 Lear* 11,700 616 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Mandalay Resort Group 3,400 $ 135 Mattel 14,000 265 Mediacom Communications* 22,100 148 MSC Industrial Direct, Cl A 9,700 202 Nordstrom 12,000 298 NVR (B)* 1,600 746 Outback Steakhouse 5,000 189 Park Place Entertainment* 29,200 263 Petsmart* 12,500 284 PF Chang's China Bistro* 6,100 277 Pier 1 Imports 6,300 121 Polo Ralph Lauren 52,600 1,411 Pulte Homes 9,100 619 Reebok International 11,000 368 Regal Entertainment Group, Cl A 8,600 160 Regis 8,400 270 Royal Caribbean Cruises 11,000 309 Ryland Group (B) 11,600 848 Scholastic* 18,300 527 Select Comfort* 25,690 681 Sharper Image (B)* 27,100 625 ShopKo Stores (B)* 26,000 390 Shuffle Master (B)* 22,860 621 Sinclair Broadcast Group* 20,300 206 Sonic* 7,400 187 Sonic Automotive 14,900 358 Stage Stores* 20,900 533 Station Casinos (B) 22,285 682 Stride Rite 38,900 420 Tiffany 6,500 243 Tommy Hilfiger* 18,400 219 Tuesday Morning* 26,105 726 Unifi* 15,800 76 WCI Communities* 7,200 119 Westwood One* 11,200 338 Whirlpool (B) 8,500 576 Williams-Sonoma* 36,800 993 WMS Industries* 20,800 471 Wynn Resorts* 10,700 195 --------- 37,289 --------- CONSUMER STAPLES -- 3.5% Adolph Coors, Cl B 8,100 436 BJ's Wholesale Club* 7,800 151 Constellation Brands, Cl A* 4,700 143 Cott 19,900 466 Dial 17,400 375 Duane Reade* 13,000 207 Flowers Foods 18,000 410 Interstate Bakeries 29,600 444 Loews -- Carolina Group 10,200 235 NBTY* 18,200 425 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 35 STATEMENT OF NET ASSETS Tax-Managed Small Cap Fund (Continued) September 30, 2003 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Pathmark Stores* 54,100 $ 377 Peet's Coffee & Tea* 21,145 413 PepsiAmericas 25,600 371 Playtex Products* 32,200 192 Stake Technology* 53,995 500 Supervalu 20,900 499 Tyson Foods, Cl A 24,100 341 Universal 6,300 265 Winn-Dixie Stores 13,600 131 --------- 6,381 --------- ENERGY -- 2.6% Amerada Hess 8,600 431 Chesapeake Energy 7,200 78 Forest Oil* 12,300 295 Kerr-McGee 6,300 281 Key Energy Services* 12,300 119 Magnum Hunter Resources* 43,400 347 Maverick Tube* 8,400 130 National-Oilwell* 15,300 277 Nuevo Energy* 9,200 167 Patina Oil & Gas 21,950 795 Patterson-UTI Energy* 11,900 322 Pioneer Natural Resources* 2,900 74 Pride International* 11,400 193 Remington Oil & Gas* 4,000 73 Rowan* 8,700 214 Stone Energy* 12,100 427 Talisman Energy 7,600 360 Tetra Technologies* 3,350 69 --------- 4,652 --------- FINANCIALS -- 15.0% Allmerica Financial* 22,600 538 American Financial Realty Trust+ 7,700 109 Ameritrade Holding* 59,200 666 AmerUs Group (B) 10,400 354 Arch Capital Group* 22,225 734 Astoria Financial 16,200 501 Bancorpsouth 23,200 508 BankAtlantic Bancorp, Cl A 29,000 413 Banknorth Group 8,400 237 Bear Stearns 7,000 524 Capital Source* 7,800 136 Cash America International 4,500 74 Century Bancorp, Cl A 7,500 251 CIT Group 11,300 325 City National 9,300 474 Colonial BancGroup 34,200 494 Commerce Bancorp 4,000 192 Commerce Bancshares 11,917 521 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Countrywide Credit Industry 1,700 $ 133 Cullen/Frost Bankers 9,100 339 Delphi Financial Group, Cl A 2,700 126 Doral Financial 13,300 625 Downey Financial 10,100 472 E*TRADE Group* 143,000 1,324 Everest Re Group 5,700 428 Federated Investors, Cl B 14,700 407 First American 18,100 451 First Niagara Financial Group 5,800 88 FirstFed Financial* 15,000 592 Friedman Billings Ramsey Group, Cl A 46,100 795 GATX (B) 8,800 186 Greenpoint Financial 19,200 573 HCC Insurance Holdings 6,400 186 Hibernia, Cl A 28,600 579 Hilb Rogal & Hamilton 2,500 78 Host Marriott*+ 23,800 255 Hub International 16,100 264 Hudson United Bancorp 11,700 411 Huntington Bancshares 30,500 604 IndyMac Bancorp 6,000 139 IPC Holdings 2,800 98 Landamerica Financial Group 10,800 495 Old Republic International 24,400 807 PartnerRe Holdings 9,500 481 Penn-America Group 11,200 168 PMI Group 10,600 358 Popular 9,500 378 ProAssurance* 28,665 740 Provident Bankshares 14,700 415 Providian Financial (B)* 49,000 578 Radian Group 13,624 605 Reckson Associates Realty (B)+ 6,600 153 RenaissanceRe Holdings 14,100 643 Safeco 16,100 568 Southwest Bancorp of Texas 1,350 49 Sovereign Bancorp 57,700 1,070 Stancorp Financial Group 4,400 253 Sterling Financial* 5,000 141 TCF Financial 2,800 134 UCBH Holdings 29,525 893 UnionBanCal 14,300 709 UnumProvident 32,000 473 W Holding 11,200 200 Webster Financial 7,100 283 WR Berkley 12,800 439 --------- 27,237 --------- - -------------------------------------------------------------------------------- 36 SEI Institutional Managed Trust / Annual Report / September 30, 2003 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- HEALTH CARE -- 15.1% Abgenix* 35,100 $ 509 Accredo Health* 14,500 406 Advanced Neuromodulation Systems* 23,295 929 AdvancePCS* 2,600 119 Align Technology* 46,355 580 Alpharma, Cl A 31,600 588 American Healthways (B)* 11,285 474 American Medical Security Group* 16,400 333 AMERIGROUP* 8,700 388 Amylin Pharmaceuticals* 4,100 116 Antigenics* 20,100 245 Barr Laboratories* 10,350 706 Bausch & Lomb 8,500 375 Beckman Coulter 3,500 159 Biolase Technology (B)* 30,445 347 Cambrex 4,900 111 Celera Genomics Group* 43,800 512 Celgene* 2,100 91 Cell Therapeutics (B)* 2,500 28 Cephalon (B)* 28,300 1,300 Community Health Systems* 10,500 228 Cooper 17,310 705 Covance* 11,600 260 Coventry Health Care* 3,700 195 Cubist Pharmaceuticals* 57,700 623 CV Therapeutics (B)* 11,000 242 Cytyc* 12,200 184 Digene* 20,870 853 Fisher Scientific International* 23,000 913 Genencor International* 19,700 309 Genta (B)* 50,800 644 Health Net* 19,600 621 Healthsouth (B)* 76,100 225 Henry Schein* 3,500 198 Human Genome Sciences* 8,200 112 Humana* 17,800 321 ICN Pharmaceuticals 25,700 441 ImClone Systems* 9,900 383 Inspire Pharmaceuticals* 10,400 179 InterMune* 15,800 301 Invitrogen (B)* 4,800 278 LifePoint Hospitals* 3,300 79 Ligand Pharmaceuticals, Cl B* 31,000 400 Lincare Holdings* 5,900 216 Martek Biosciences* 14,510 764 Medicis Pharmaceutical, Cl A 3,800 223 Mid Atlantic Medical Services* 6,300 324 Millipore (B)* 16,800 774 Myriad Genetics* 4,300 49 Nektar Therapeutics* 34,000 435 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Neurocrine Biosciences* 6,300 $ 312 Noven Pharmaceuticals* 4,100 47 Ocular Sciences* 11,000 245 Omnicare 7,600 274 Oxford Health Plans* 9,300 384 Pacificare Health Systems* 15,200 742 Parexel International* 17,000 260 Pharmaceutical Product Development* 2,950 71 Pharmaceutical Resources* 11,485 784 Pharmacopeia* 48,800 620 Priority Healthcare, Cl B* 3,100 64 Protein Design Labs (B)* 21,600 299 Respironics* 800 33 Select Medical* 19,100 550 Sola International* 18,700 299 SurModics (B)* 3,200 86 Sybron Dental Specialties* 15,466 388 Triad Hospitals* 10,900 330 Trimeris (B)* 18,400 463 US Oncology* 40,400 295 Varian Medical Systems* 11,250 647 VitalWorks* 42,800 225 Watson Pharmaceuticals* 6,200 258 -------- 27,471 -------- INDUSTRIALS -- 12.1% Advisory Board* 2,800 127 AGCO* 20,300 348 Allete 15,500 424 Alliant Techsystems* 1,850 89 Allied Waste Industries* 21,300 230 Arbitron* 8,100 286 Atlantic Coast Airlines Holdings* 13,100 112 Autobytel* 36,860 351 Banta 24,000 864 BearingPoint* 14,100 113 Briggs & Stratton 7,400 435 Bright Horizons Family Solutions* 6,400 256 Brink's 19,200 333 Calgon Carbon 66,500 374 Chicago Bridge & Iron (NY Shares) 8,200 223 CNF 7,900 253 CNH Global 26,040 334 Corporate Executive Board* 4,800 225 Cummins 15,000 666 Deluxe 7,600 305 EDO 11,900 241 Education Management* 8,800 508 EMCOR Group* 300 13 Esterline Technologies* 9,700 187 Fluor 8,300 310 Frontier Airlines* 34,250 564 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 37 STATEMENT OF NET ASSETS Tax-Managed Small Cap Fund (Continued) September 30, 2003 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Goodrich 18,500 $ 448 Harsco 12,500 481 Herman Miller 8,000 182 Intrado* 21,150 482 JB Hunt Transport Services* 7,200 187 John H. Harland 7,400 196 Kansas City Southern* 10,400 115 Knight Transportation* 15,170 380 Kroll* 15,400 286 KVH Industries (B)* 8,970 226 Lafarge North America 6,200 216 Manitowoc 3,100 67 Navistar International* 11,600 432 On Assignment* 29,300 155 Orbital Sciences (B)* 64,800 601 Pall 12,000 269 Power-One* 13,500 139 Precision Castparts 7,700 270 Quanta Services* 33,300 275 Roadway (B) 11,200 546 RR Donnelley & Sons 16,800 418 Ryder System 36,000 1,056 Service International* 58,600 268 Shaw Group (B)* 20,900 220 Stratasys (B)* 12,705 542 Swift Transportation* 4,100 93 Tecumseh Products, Cl A 6,100 228 Teledyne Technologies* 40,200 585 Tetra Tech* 6,600 131 Timken 8,700 133 United Industrial 7,400 118 Universal Forest Products 15,600 379 University of Phoenix Online* 6,060 404 UNOVA* 22,800 334 UTI Worldwide 6,300 192 Valassis Communications* 9,100 240 Viad 22,800 544 Vitran, Cl A* 6,100 64 Wabtec 31,900 506 Washington Group International* 13,100 353 Yellow (B)* 5,100 152 York International 26,200 906 -------- 21,990 -------- INFORMATION TECHNOLOGY -- 20.2% 3Com* 13,600 80 Activision* 16,200 194 Advanced Micro Devices (B)* 45,600 507 Andrew* 44,107 542 Anteon International* 3,000 92 Applied Micro Circuits* 13,400 65 Arris Group (B)* 126,800 729 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Ascential Software* 13,750 $ 255 Ask Jeeves (B)* 35,800 623 Ati Technologies* 7,500 111 Avaya* 57,500 627 Avocent* 10,400 315 Brocade Communications Systems* 30,000 157 Brooks Automation* 6,100 127 Certegy 18,200 584 Checkfree (B)* 43,400 868 Checkpoint Systems* 21,300 337 Ciena* 20,700 122 Cognex 26,020 684 Comtech Telecommunications* 28,378 678 Convergys* 13,000 238 Cree (B)* 47,200 874 CSG Systems International* 29,500 436 Cymer* 7,000 288 Digex* 118,400 94 Digital River (B)* 29,210 799 DoubleClick* 48,300 520 E.piphany* 92,700 463 Earthlink* 68,300 562 Ecollege.com* 26,665 537 Emulex (B)* 8,900 227 eResearch Technology* 10,705 373 F5 Networks* 17,200 331 Fair Isaac 400 24 Fairchild Semiconductor International* 34,000 564 Flir Systems* 8,800 225 Foundry Networks* 1,000 21 Harris 35,300 1,263 Hyperion Solutions* 10,900 315 InFocus* 15,900 77 Ingram Micro, Cl A* 28,700 374 Integrated Circuit Systems* 7,900 237 Intergraph* 9,500 221 Internet Security Systems* 36,300 454 Intersil, Cl A* 700 17 j2 Global Communications (B)* 19,145 724 Jack Henry & Associates (B) 19,300 336 Keynote Systems* 19,900 232 Lam Research* 4,100 91 Lattice Semiconductor* 165,700 1,178 Lexar Media* 36,790 627 Macromedia* 1,700 42 Macrovision* 32,400 598 Magma Design Automation (B)* 31,350 615 Maxtor* 99,300 1,208 Mentor Graphics (B)* 16,400 287 Methode Electronics, Cl A 33,500 396 Micrel* 16,600 202 MPS Group* 20,900 188 Mykrolis* 11,310 137 - -------------------------------------------------------------------------------- 38 SEI Institutional Managed Trust / Annual Report / September 30, 2003 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- NCR* 13,400 $ 425 NetFlix (B)* 3,500 118 NetIQ* 8,800 105 NetScreen Technologies* 700 16 Network Associates* 21,000 289 O2Micro International* 4,000 58 Omnivision Technologies (B)* 14,100 596 Optimal Robotics, Cl A* 8,700 74 Pericom Semiconductor* 7,700 77 PerkinElmer 20,100 308 Photronics* 4,600 98 Pixar* 7,400 493 Pixelworks (B)* 172,800 1,490 Plantronics* 13,200 315 Polycom* 70,900 1,178 Quantum* 126,400 389 RADWARE* 39,085 709 Red Hat* 105,900 1,070 RF Micro Devices (B)* 46,900 436 Sandisk* 6,425 409 Sensytech* 15,340 241 Storage Technology* 25,700 620 SYKES Enterprises* 29,600 196 Tekelec* 15,500 242 Teradyne* 14,100 262 TIBCO Software* 49,400 264 TradeStation Group (B)* 29,555 221 Ultratech* 3,600 102 Unisys* 53,800 728 Varian* 10,300 323 Wavecom ADR* 17,200 319 Western Digital* 27,400 353 Wind River Systems* 20,100 114 -------- 36,730 -------- MATERIALS -- 2.5% Albemarle 17,200 472 Constar International* 12,800 73 Crown Holdings* 47,500 321 Cytec Industries* 29,900 1,091 FMC* 5,500 139 Hercules* 34,800 394 IMC Global 33,000 211 Jacuzzi Brands* 80,900 502 Lubrizol 14,300 464 Massey Energy 25,700 342 Olin 8,000 126 Owens-Illinois* 18,500 211 Quanex 8,500 286 -------- 4,632 -------- - ------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- TELECOMMUNICATION SERVICES -- 0.6% CenturyTel 6,600 $ 224 Cincinnati Bell* 34,500 175 General Communication, Cl A* 21,600 180 Telephone & Data Systems 6,100 345 West* 7,600 181 -------- 1,105 -------- UTILITIES -- 3.8% Constellation Energy Group 7,700 276 Edison International* 36,100 690 El Paso Electric* 14,400 166 Energy East 13,200 296 MDU Resources Group 25,900 875 Nicor 14,900 524 NiSource 10,400 208 Northeast Utilities 28,300 507 Pinnacle West Capital 10,200 362 PPL 12,100 495 Puget Energy 8,800 197 SCANA 7,100 243 Sempra Energy 20,400 599 UGI 17,250 499 Wisconsin Energy 29,500 902 -------- 6,839 -------- Total Common Stock (Cost $152,667) ($ Thousands) 174,326 -------- Warrants -- 0.0% Washington Mutual (D)* 115,700 19 -------- Total Warrants (Cost $31) ($ Thousands) 19 -------- Rights -- 0.0% Bank United* 7,000 -- -------- Total Rights (Cost $2) ($ Thousands) -- -------- Corporate Obligations (C) (G) -- 4.9% FINANCIALS -- 4.3% American Express Credit 1.170%, 12/17/03 $545 545 1.110%, 01/13/04 182 182 American Honda Finance 1.340%, 11/10/03 145 145 1.305%, 03/15/04 454 455 CCN Bluegrass 1.190%, 08/18/04 545 545 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 39 STATEMENT OF NET ASSETS Tax-Managed Small Cap Fund (Concluded) September 30, 2003 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- CIT Group 2.360%, 01/09/04 $116 $ 116 1.888%, 05/03/04 73 73 1.860%, 04/08/04 429 429 1.346%, 12/05/03 284 283 Citigroup 1.444%, 05/04/04 170 170 1.350%, 03/09/04 364 364 Concord Minutemen Capital, Ser B 1.370%, 10/09/03 494 494 Countrywide Home Loans 1.390%, 12/10/03 240 240 1.360%, 01/13/04 300 300 1.280%, 05/14/04 182 182 1.265%, 09/24/04 254 254 Goldman Sachs Group 1.340%, 05/04/04 364 363 1.160%, 12/17/03 364 364 HBOS Treasury Services 1.150%, 07/19/04 95 95 Harwood 1.180%, 06/20/06 182 182 Household Finance 2.390%, 03/11/04 340 342 1.860%, 04/23/04 36 36 International Lease Finance 1.985%, 10/03/03 73 73 Liberty Light US Capital 1.095%, 01/21/04 364 364 1.090%, 05/17/04 218 218 Merrill Lynch 1.080%, 04/13/04 364 364 Tango 1.380%, 08/13/04 364 364 USA Education 1.290%, 01/23/04 129 130 Volkswagen Credit 1.290%, 01/22/04 73 73 -------- 7,745 -------- INDUSTRIALS -- 0.6% Caterpillar 1.306%, 03/05/04 167 167 1.290%, 05/28/04 182 182 1.260%, 04/08/04 218 218 1.210%, 07/09/04 364 364 General Electric 1.120%, 01/28/04 182 182 -------- 1,113 -------- Total Corporate Obligations (Cost $8,858) ($ Thousands) 8,858 -------- - ------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Commercial Paper (C) (F) -- 3.1% FINANCIALS -- 2.9% Amstel Funding 1.136%, 03/15/04 $364 $ 362 1.111%, 11/05/03 364 363 Concord Minutemen Capital 1.084%, 01/21/04 364 362 1.060%, 10/02/03 341 341 Crown Point Capital 1.061%, 11/03/03 261 261 JP Morgan Chase 1.099%, 01/23/04 727 725 Lexington Parker Capital 1.114%, 01/26/04 364 362 Mitten 1.142%, 11/24/03 247 247 1.140%, 10/14/03 291 291 1.120%, 10/15/03 364 363 Park Granada 1.102%, 12/11/03 511 510 Scaldis Capital 1.104%, 02/06/04 146 146 Tannehill Capital 1.165%, 02/23/04 545 543 1.074%, 01/23/04 183 182 White Pine Finance 1.165%, 02/09/04 73 73 1.165%, 02/17/04 219 218 -------- 5,349 -------- HEALTH CARE -- 0.2% Abbott Laboratories 1.121%, 10/21/03 254 254 -------- Total Commercial Paper (Cost $5,603) ($ Thousands) 5,603 -------- U.S. Treasury Obligation -- 0.6% U.S. Treasury Bills (A) 1.030%, 02/26/04 1,000 996 -------- Total U.S. Treasury Obligation (Cost $996) ($ Thousands) 996 -------- Cash Equivalents -- 0.2% First Union Cash Management Program 257,725 258 AIMInvesco Treasurer's Money Market Reserve Fund (C) 181,782 182 -------- Total Cash Equivalents (Cost $440) ($ Thousands) 440 -------- - -------------------------------------------------------------------------------- 40 SEI Institutional Managed Trust / Annual Report / September 30, 2003 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- U.S. Government Agency Obligation -- 0.2% FNMA (C) (F) 2.449%, 11/19/03 $ 364 $ 363 -------- Total U.S. Government Agency Obligation (Cost $363) ($ Thousands) 363 -------- Repurchase Agreements -- 5.7% Barclays (C) 1.080%, dated 09/30/03, to be repurchased on 10/01/03, repurchase price $730,028 (collateralized by U.S. Government Agency obligations, total market value: $744,613) 730 730 Deutsche Bank (C) 1.080%, dated 09/30/03, to be repurchased on 10/01/03, repurchase price $2,472,305 (collateralized by U.S. Treasury obligations, total market value: $2,511,289) 2,472 2,472 Lehman Brothers (C) 1.080%, dated 09/30/03, to be repurchased on 10/01/03, repurchase price $399,932 (collateralized by U.S. Government Agency obligations, total market value: $407,936) 400 400 Morgan Stanley (E) 1.050%, dated 09/30/03, to be repurchased on 10/01/03, repurchase price $6,767,696 (collateralized by U.S. Government Agency obligations, total market value: $6,904,130) 6,767 6,767 -------- Total Repurchase Agreements (Cost $10,369) ($ Thousands) 10,369 -------- Total Investments -- 110.6% (Cost $179,329) ($ Thousands) 200,974 -------- - ------------------------------------------------------------ Value Description ($ Thousands) - ------------------------------------------------------------ OTHER ASSETS AND LIABILITIES -- (10.6)% Payable Upon Return on Securities Loaned $(18,608) Investment Advisory Fees Payable (85) Administration Fees Payable (54) Shareholder Servicing Fees Payable (30) Other Assets and Liabilities, Net (424) Total Other Assets & Liabilities (19,201) NET ASSETS: Paid-in-Capital -- Class A (unlimited authorization -- no par value) based on 18,173,727 outstanding shares of beneficial interest 172,616 Accumulated net realized loss on investments (12,299) Net unrealized appreciation on investments 21,645 Net unrealized depreciation on futures contracts (189) -------- Total Net Assets -- 100.0% $181,773 ======== Net Asset Value, Offering and Redemption Price Per Share -- Class A $10.00 ====== * 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. (B) This security or a partial position of this security is on loan at September 30, 2003 (see Note 8). The total value of securities on loan at September 30, 2003 was $17,642,243. (C) This security was purchased with cash collateral held from securities lending (see Note 8). The total value of such securities as of September 30, 2003 was $18,608,127. (D) This warrant represents a potential distribution settlement in a legal claim and does not have a strike price or expiration date. (E) Tri-Party Repurchase Agreement. (F) The rate reported is the effective yield at time of purchase. (G) Variable Rate Security -- The rate reported on the Statement of Net Assets is the rate in effect as of September 30, 2003. ADR -- American Depository Receipt Cl -- Class FNMA -- Federal National Mortgage Association NY -- New York Ser -- Series Amounts designated as "--" are zero or have been rounded to zero. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 41 STATEMENT OF NET ASSETS Small Cap Value Fund September 30, 2003 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Common Stock -- 94.5% CONSUMER DISCRETIONARY -- 16.9% 7-Eleven* 56,500 $ 776 Aaron Rents 10,500 220 Abercrombie & Fitch, Cl A* 39,300 1,089 Advance Auto Parts* 9,200 652 Advo* 131,830 5,488 American Banknote (E)* 1,002 1 American Greetings, Cl A (B)* 51,700 1,005 Arctic Cat 45,300 876 ArvinMeritor 55,700 992 Aztar (B)* 95,200 1,686 Bally Total Fitness Holding (B)* 25,500 221 Bandag 24,000 809 Belo, Cl A 62,000 1,503 BorgWarner 47,100 3,196 Brinker International* 27,500 917 Brookstone* 7,500 149 Brown Shoe 73,800 2,339 Brunswick 87,800 2,255 Burlington Coat Factory Warehouse 5,200 97 Cato, Cl A 59,600 1,202 Centex Construction Products 131,900 5,892 Cooper Tire & Rubber 64,400 1,022 CSS Industries 2,900 75 Dave & Buster's (B)* 15,500 160 Department 56* 6,200 79 Dillard's, Cl A 50,100 700 Dollar Thrifty Automotive Group* 69,700 1,584 Dress Barn* 8,206 112 Dura Automotive Systems, Cl A* 15,000 143 Ethan Allen Interiors (B) 117,200 4,219 Extended Stay America* 91,800 1,371 Foot Locker 231,400 3,749 Footstar (B)* 55,300 374 Furniture Brands International* 58,600 1,412 GameStop* 44,200 703 Goody's Family Clothing 14,100 139 Gray Television 76,800 897 Handleman 212,353 3,584 Hollinger International 163,200 2,015 Hollywood Entertainment* 64,200 1,091 Ihop 107,200 3,521 Insight Communications* 42,600 406 Interpool 4,100 65 Interstate Hotels & Resorts* 64,100 367 Isle of Capri Casinos* 12,400 246 Jakks Pacific (B)* 89,300 1,089 Journal Communications* 71,800 1,188 Kellwood 292,800 9,794 Kerzner Interational* 32,200 1,146 Kimball International, Cl B 29,400 431 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Lee Enterprises 18,600 $ 719 Liberty 29,882 1,254 Linens 'N Things* 40,200 956 Lone Star Steakhouse & Saloon 35,200 736 M/I Schottenstein Homes 53,800 2,134 Mandalay Resort Group 43,400 1,719 MDC Holdings (B) 35,519 1,918 Men's Wearhouse* 23,300 598 Monroe Muffler* 3,900 115 Multimedia Games* 17,700 644 National Presto Industries 26,525 911 Neiman-Marcus Group, Cl A* 16,400 684 New England Business Service 8,300 221 New World Restaurant Group* 3,281 -- OfficeMax* 56,100 526 Papa John's International (B)* 60,700 1,506 Payless Shoesource (B)* 303,400 3,926 PEP Boys-Manny Moe & Jack 101,900 1,559 Pier 1 Imports 28,100 541 Polaris Industries 16,900 1,253 Polo Ralph Lauren 55,500 1,488 Pulte Homes 23,900 1,625 Reebok International 26,100 873 Regal Entertainment Group, Cl A 69,100 1,285 Regis 109,910 3,528 Rent-A-Center (B)* 52,500 1,696 Russ Berrie 34,300 1,156 Ryan's Family Steak Houses* 97,050 1,241 Ryland Group (B) 20,300 1,484 Salton (B)* 25,300 252 Scholastic* 81,200 2,338 Shoe Carnival* 1,900 27 ShopKo Stores (B)* 48,200 723 Sinclair Broadcast Group* 161,600 1,642 Sonic Automotive 47,600 1,145 Stage Stores* 81,100 2,066 Steven Madden* 5,500 104 Sturm Ruger 11,900 123 Superior Industries International 106,600 4,323 Thomas Nelson* 6,400 88 Tommy Hilfiger* 90,000 1,072 Toro 15,000 675 Unifi* 69,500 334 Wackenhut Corrections* 6,100 104 Warnaco Group* 33,800 527 WMS Industries* 81,100 1,838 Wolverine World Wide 73,600 1,428 World Wrestling Entertainment 110,600 1,108 Zale* 127,100 5,644 -------- 134,904 -------- - -------------------------------------------------------------------------------- 42 SEI Institutional Managed Trust / Annual Report / September 30, 2003 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- CONSUMER STAPLES -- 4.6% Adolph Coors, Cl B 39,200 $ 2,107 BJ's Wholesale Club (B)* 116,300 2,253 Casey's General Stores 103,632 1,454 Chattem (B)* 70,900 984 Corn Products International 51,600 1,644 Del Monte Foods* 165,700 1,443 Delta & Pine Land 35,800 824 Dial 99,300 2,139 Duane Reade* 57,700 920 Flowers Foods 87,400 1,993 International Multifoods* 64,100 1,497 Interstate Bakeries 75,200 1,128 Loews-- Carolina Group 40,400 929 Nash Finch 12,700 197 NBTY* 90,600 2,116 Pathmark Stores* 238,500 1,662 PepsiAmericas 113,400 1,643 Playtex Products* 143,400 855 Ralcorp Holdings* 35,700 989 Schweitzer-Mauduit International 96,132 2,427 Sensient Technologies 93,300 1,959 Supervalu 59,600 1,422 Tyson Foods, Cl A 106,700 1,508 Universal 50,900 2,144 WD-40 22,000 697 -------- 36,934 -------- ENERGY -- 7.1% Atwood Oceanics* 65,200 1,564 Cabot Oil & Gas 102,000 2,652 Cimarex Energy* 98,300 1,927 Clayton Williams Energy* 3,800 72 Comstock Resources* 12,200 163 Core Laboratories* 138,100 1,940 Del Global Technology (E)* 35 -- Evergreen Resources (B)* 106,800 2,884 Forest Oil* 287,050 6,875 Holly 21,300 528 Houston Exploration* 10,600 372 Key Energy Services* 47,900 462 Magnum Hunter Resources* 84,400 674 NATCO Group, Cl A* 108,564 671 National-Oilwell* 68,200 1,237 Nuevo Energy* 242,100 4,399 Offshore Logistics* 7,000 142 Oil States International* 5,400 69 Overseas Shipholding Group 22,800 589 Patina Oil & Gas 56,800 2,059 Penn Virginia 10,100 446 Petroleum Development* 8,800 105 Plains Exploration & Production* 155,795 1,943 Prima Energy* 75,200 1,899 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Range Resources* 236,900 $ 1,620 Spinnaker Exploration* 86,100 2,066 St. Mary Land & Exploration 92,400 2,340 Stone Energy* 169,200 5,969 Swift Energy* 109,841 1,550 Tesoro Petroleum (B)* 131,200 1,110 Tom Brown* 79,500 2,043 Veritas DGC* 285,700 2,280 Vintage Petroleum 155,700 1,694 W-H Energy Services* 70,500 1,255 Westport Resources* 44,100 1,038 -------- 56,637 -------- FINANCIALS -- 23.0% Allmerica Financial* 104,200 2,481 AMB Property+ 64,100 1,975 AmerUs Group (B) 36,500 1,241 Anthracite Capital+ 17,300 167 Anworth Mortgage Asset+ 72,100 1,030 Apartment Investment & Management, Cl A+ 82,100 3,231 Arch Capital Group* 58,900 1,944 Arden Realty+ 38,000 1,061 AvalonBay Communities+ 61,600 2,883 BankAtlantic Bancorp, Cl A 143,200 2,041 Bedford Property Investors+ 7,900 205 Boston Properties+ 79,600 3,460 Boykin Lodging+ 8,800 73 Brandywine Realty Trust+ 24,700 635 Brookline Bancorp 102,700 1,512 Capital of The West* 2,200 71 Capital Southwest 30,900 1,741 Cash America International 23,000 377 CBL & Associates Properties+ 50,700 2,530 Central Pacific Financial 6,200 152 Chateau Communities+ 15,500 461 Chelsea Property Group+ 54,600 2,615 Chemical Financial 1,820 56 City Holding 4,700 156 CNA Surety* 18,600 187 Colonial BancGroup 85,100 1,229 Columbia Banking System 5,200 91 Commerce Group 28,200 1,071 Commercial Federal 84,700 2,062 Community Bank System 11,300 496 CompuCredit* 23,100 404 Corporate Office Properties Trust+ 16,200 300 Corus Bankshares 2,000 107 Cousins Properties+ 15,400 427 Cullen/Frost Bankers 24,000 894 Delphi Financial Group, Cl A 26,600 1,237 Downey Financial 26,000 1,215 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 43 STATEMENT OF NET ASSETS Small Cap Value Fund (Continued) September 30, 2003 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- East-West Bancorp 9,700 $ 415 Entertainment Properties Trust+ 12,100 363 FBL Financial Group, Cl A 16,900 416 First American 80,400 2,002 First Citizens Bancshares, Cl A 12,743 1,347 First Community Bancorp 1,900 64 First State Bancorporation 2,000 59 FirstFed Financial* 50,900 2,011 FirstMerit 25,900 641 Flagstar Bancorp 116,100 2,665 Flushing Financial 32,000 667 Frontier Financial 2,000 60 GATX (B) 33,100 700 General Growth Properties+ 70,500 5,055 Glenborough Realty Trust+ 23,100 436 Gold Bancorp 8,300 101 Greater Bay Bancorp (B) 59,700 1,242 Hancock Holding 3,000 148 Hanover Capital Mortgage Holdings+ 62,800 663 Health Care+ 15,600 481 Hilb Rogal & Hamilton 50,100 1,555 Horace Mann Educators 66,200 961 Host Marriott (B)*+ 319,800 3,431 HRPT Properties Trust+ 68,200 623 Hub International 83,700 1,373 Hudson United Bancorp 44,900 1,579 IBERIABANK 1,500 79 Independant Bank 4,500 115 Independence Community Bank 42,300 1,478 Independent Bank 4,900 143 IPC Holdings 81,400 2,849 Irwin Financial 51,100 1,242 iStar Financial+ 70,100 2,730 Jones Lang LaSalle* 106,500 1,970 Kilroy Realty+ 17,500 500 Kimco Realty+ 115,500 4,732 Koger Equity+ 10,600 199 Landamerica Financial Group 141,100 6,468 Liberty Property Trust+ 45,000 1,664 LNR Property (B) 64,400 2,637 LTC Properties+ 4,600 53 MAF Bancorp 22,100 844 Maguire Properties+ 30,800 631 MB Financial 28,600 1,270 Medallion Financial 108,700 685 Mid-America Apartment Communities+ 6,700 202 Mid-State Bancshares 4,000 89 Midwest Banc Holdings 3,200 71 Montpelier Re Holdings* 51,100 1,541 Nara Bancorp 8,000 137 National Health Investors+ 14,900 272 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- NBT Bancorp 25,700 $ 520 NCRIC Group* 88,222 944 Netbank 76,400 951 New Century Financial 34,950 990 Newcastle Investment+ 21,600 497 OceanFirst Financial 9,750 244 Odyssey Re Holdings (B) 38,400 790 Pacific Capital Bancorp 10,500 320 Parkway Properties+ 5,500 240 PFF Bancorp 11,200 357 Platinum Underwriters Holdings 107,700 3,026 PMA Capital, Cl A 8,300 104 PMI Group 44,100 1,488 Post Properties+ 16,800 457 Presidential Life 37,400 566 ProAssurance* 39,000 1,007 Prologis+ 161,200 4,876 Prosperity Bancshares 5,300 113 Provident Bankshares 32,000 904 Provident Financial Group 35,200 984 PS Business Parks+ 35,000 1,321 Public Storage+ 93,400 3,664 R & G Financial, Cl B 12,200 356 RAIT Investment Trust+ 40,700 934 Ramco-Gershenson Properties+ 2,300 59 Reckson Associates Realty (B)+ 43,300 1,001 Regency Centers+ 95,600 3,523 RenaissanceRe Holdings 32,000 1,460 Republic Bancorp 16,400 218 Roslyn Bancorp 66,800 1,568 Rouse+ 118,600 4,946 Safety Insurance Group 106,000 1,645 Scottish Annuity & Life Holdings 142,200 3,434 Seacoast Financial Services 45,800 949 Second Bancorp 1,100 30 Shurgard Storage Centers, Cl A+ 27,700 978 Simon Property Group+ 110,900 4,833 Sky Financial Group 102,600 2,310 SL Green Realty+ 46,500 1,679 Staten Island Bancorp 79,800 1,552 Sterling Ban 2,675 72 Sterling Financial* 55,200 1,554 Stewart Information Services* 203,800 5,755 Student Loan 7,100 847 Sun Bancorp* 3,800 84 Susquehanna Bancshares 8,500 218 Texas Regional Bancshares, Cl A 9,790 331 Trammell Crow* 155,200 1,932 UICI* 112,000 1,405 UMB Financial 27,500 1,297 Umpqua Holdings 8,700 166 Ventas+ 75,000 1,284 - -------------------------------------------------------------------------------- 44 SEI Institutional Managed Trust / Annual Report / September 30, 2003 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Vesta Insurance Group 32,500 $ 76 W Holding 122,100 2,186 Washington Federal 33,968 856 WesBanco 23,000 541 WFS Financial* 3,700 137 White Mountains Insurance Group (B) 5,100 2,025 Winston Hotels+ 170,489 1,551 Wintrust Financial 1,400 53 WR Berkley 45,150 1,547 WSFS Financial 2,200 93 Yardville National Bancorp 3,000 63 Zenith National Insurance (B) 5,800 161 -------- 183,549 -------- HEALTH CARE -- 7.7% AdvancePCS* 11,600 529 Alpharma, Cl A 183,800 3,419 America Service Group* 63,900 1,342 American Medical Security Group* 1,400 29 Analogic 16,200 778 Bausch & Lomb (B) 37,800 1,669 Beckman Coulter 25,700 1,170 Bio-Rad Laboratories, Cl A* 29,000 1,479 Cambrex 21,800 495 Celera Genomics Group* 219,800 2,570 Chronimed* 5,700 52 Community Health Systems* 46,700 1,013 Conmed* 9,600 198 Covance (B)* 51,400 1,150 Cross Country Healthcare* 70,000 986 Curative Health Services* 7,200 129 DaVita* 35,300 1,124 DJ Orthopedics* 20,000 279 Fisher Scientific International* 42,300 1,679 Gen-Probe* 4,700 255 Genencor International* 77,400 1,214 Hanger Orthopedic Group* 84,000 1,289 Health Net (B)* 86,800 2,749 Healthsouth (B)* 336,800 994 Henry Schein* 4 -- Hologic* 67,600 921 ICN Pharmaceuticals 62,700 1,076 Invacare 25,300 951 Kos Pharmaceuticals (B)* 28,500 980 LifePoint Hospitals* 32,500 782 Meridian Bioscience 8,300 83 Mettler Toledo International* 55,700 2,002 Millipore (B)* 73,500 3,385 National Dentex* 101,402 2,187 Neoforma (B)* 6,200 87 Ocular Sciences* 55,300 1,232 Osteotech* 92,400 757 Owens & Minor 62,000 1,494 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Pacificare Health Systems (B)* 30,200 $ 1,474 Parexel International* 75,400 1,155 Pharmacopeia* 216,500 2,749 PolyMedica (B) 27,400 726 Prime Medical Services* 42,300 189 RehabCare Group* 86,500 1,475 Select Medical* 80,500 2,318 Sola International* 63,100 1,010 Sybron Dental Specialties* 139,143 3,488 Triad Hospitals* 49,300 1,493 US Oncology* 180,300 1,318 US Physical Therapy* 110,200 1,348 West Pharmaceutical Services 4,000 125 -------- 61,396 -------- INDUSTRIALS -- 16.9% Acuity Brands 47,600 860 AGCO* 79,000 1,354 Albany International, Cl A 16,500 509 Allete (B) 69,300 1,897 American Bank Note Holographics* 5,122 6 Angelica 3,900 74 AO Smith 47,550 1,332 Applied Industrial Technologies 49,100 976 Arkansas Best 81,700 2,247 Armor Holdings* 42,800 717 Astec Industries* 86,400 890 Banta 104,700 3,769 Barnes Group 23,650 614 BearingPoint* 325,200 2,595 Briggs & Stratton 60,200 3,537 Brink's 84,900 1,474 Butler Manufacturing 49,300 749 Calgon Carbon 199,800 1,125 Cascade 36,800 811 Chicago Bridge & Iron (NY Shares) 51,800 1,407 CIRCOR International 79,600 1,528 CNF 45,900 1,471 CNH Global 115,760 1,484 Commonwealth Telephone Enterprises (B)* 38,900 1,561 Consolidated Graphics* 40,500 1,030 Copart* 8,100 87 Cornell* 11,900 196 Courier 35,800 1,823 CPI Aerostructures* 128,300 1,153 Curtiss-Wright 6,300 445 EDO 70,100 1,419 EMCOR Group* 77,500 3,298 ESCO Technologies* 16,800 760 Esterline Technologies* 15,900 307 ExpressJet Holdings* 69,300 956 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 45 STATEMENT OF NET ASSETS Small Cap Value Fund (Continued) September 30, 2003 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- General Cable* 20,300 $ 162 Genessee & Wyoming, Cl A* 31,500 747 Genlyte Group* 80,200 3,570 Gevity HR 4,700 69 Griffon* 144,100 2,588 Harsco 48,300 1,858 IKON Office Solutions 100,800 737 Imagistics International* 8,800 255 Infospace* 1,500 31 Insituform Technologies, Cl A* 127,200 2,259 John H. Harland 45,600 1,207 Kadant* 49,700 952 Kansas City Southern* 45,900 508 Kaydon 27,700 658 Kirby* 105,700 3,034 Lennox International 41,700 609 LSI Industries 65,500 923 Manitowoc 65,100 1,412 Medical Staffing Network Holdings (B)* 133,300 1,008 Moog, Cl A* 9,700 380 Mueller Industries* 132,600 3,375 NACCO Industries 2,100 150 Navigant International* 8,900 125 Navistar International (B)* 51,600 1,924 On Assignment* 130,100 687 Orbital Sciences (B)* 286,700 2,660 Pentair 32,900 1,312 Precision Castparts 19,400 681 Quanta Services* 147,600 1,221 Rayovac* 28,900 422 Regal-Beloit 144,700 2,952 Right Management Consultants* 33,400 604 Roadway (B) 26,700 1,302 Robbins & Myers 80,200 1,784 Rofin-Sinar Technologies* 11,700 246 Roto-Rooter 42,500 1,511 Ryder System 121,300 3,556 Sauer 2,700 38 School Specialty (B)* 130,800 3,690 SCS Transportation* 18,000 272 Sequa, Cl A* 3,200 137 Service International (B)* 114,600 524 Shaw Group (B)* 54,400 572 Simpson Manufacturing* 94,300 3,856 Sourcecorp* 10,900 253 Standard Register 22,000 365 Stewart Enterprises, Cl A* 146,200 555 Tecumseh Products, Cl A 27,700 1,033 Teledyne Technologies* 121,200 1,763 Tetra Tech* 27,200 541 Thomas Industries 55,000 1,569 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Unifirst 27,400 $ 648 United Industrial 83,500 1,328 United Rentals* 59,600 959 United Stationers* 59,400 2,238 Universal Forest Products 29,500 716 UNOVA* 122,700 1,797 URS* 11,700 227 USF 129,100 4,063 Valassis Communications* 83,900 2,215 Valmont Industries 23,800 471 Viad 94,500 2,257 Wabtec 109,600 1,737 Walter Industries (B) 51,900 557 Washington Group International* 74,100 1,997 Watsco 9,200 176 Watson Wyatt Holdings* 15,300 344 Woodward Governor 41,400 1,810 York International 120,400 4,165 -------- 134,813 -------- INFORMATION TECHNOLOGY -- 9.8% 3Com* 56,200 332 Activision* 71,500 854 Agilysys 3,100 27 American Management Systems* 72,300 922 Andrew* 249,297 3,064 Anixter International* 37,300 849 Applied Signal Technology 10,600 211 Arris Group (B)* 341,200 1,962 Arrow Electronics* 46,400 853 Ascential Software* 58,900 1,091 Autodesk 37,600 640 Avaya* 232,800 2,538 Avnet* 56,400 932 Benchmark Electronics* 19,300 816 Cable Design Technologies* 179,500 1,436 Cadence Design Systems (B)* 82,400 1,104 CCC Information Services Group* 81,900 1,373 Checkpoint Systems* 85,800 1,356 Coherent* 64,800 1,596 CommScope* 118,900 1,434 CSG Systems International* 22,400 331 Digex* 548,270 434 Digi International* 33,300 220 E.piphany* 138,700 692 Earthlink* 298,000 2,453 EMS Technologies* 4,600 78 ESS Technology* 10,700 115 Fairchild Semiconductor International* 150,500 2,495 Harris 151,800 5,433 Hyperion Solutions* 48,600 1,403 - -------------------------------------------------------------------------------- 46 SEI Institutional Managed Trust / Annual Report / September 30, 2003 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- InFocus* 70,600 $ 343 Ingram Micro, Cl A* 112,600 1,469 Intergraph* 73,500 1,711 Internet Security Systems* 160,900 2,011 Iomega* 39,460 440 Keynote Systems* 87,000 1,014 Komag* 20,000 350 Lincoln Electric Holdings 94,200 2,092 Maxtor* 197,100 2,399 MEMC Electronic Materials* 15,600 170 Methode Electronics, Cl A 169,559 2,003 MPS Group* 92,300 831 Mykrolis* 50,015 607 Network Associates* 78,100 1,075 Novell* 225,800 1,204 Optimal Robotics, Cl A* 36,500 309 Parametric Technology* 314,800 982 Pericom Semiconductor* 34,200 342 PerkinElmer 149,000 2,281 Photronics* 14,000 298 Pomeroy IT Solutions* 93,100 1,182 ProQuest (B)* 102,500 2,696 Quantum* 478,100 1,473 Rainbow Technologies* 17,600 161 Register.com* 72,453 327 RSA Security* 12,000 171 Sandisk* 6,700 427 Standard Microsystems* 5,400 146 Storage Technology* 54,400 1,313 Sybase* 129,300 2,199 SYKES Enterprises* 54,000 357 Systems & Computer Technology* 13,700 143 THQ* 48,600 798 TIBCO Software* 216,500 1,158 Titan* 65,400 1,363 TradeStation Group* 16,700 125 Transaction Systems Architects, Cl A* 46,000 764 Trimble Navigation* 11,500 266 Unisys* 120,100 1,625 Wavecom ADR* 76,800 1,425 webMethods (B)* 98,900 789 Western Digital* 19,200 247 White Electronic Designs* 14,700 158 -------- 78,288 -------- MATERIALS -- 4.3% Albemarle 62,400 1,713 Amcol International 8,300 103 American Pacific* 143,400 1,216 Aptargroup 25,100 921 Chesapeake 7,900 178 Cleveland-Cliffs* 11,800 302 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Constar International* 57,000 $ 325 Crown Holdings (B)* 210,300 1,419 Cytec Industries* 101,300 3,697 Ethyl* 19,760 249 FMC* 40,300 1,016 Georgia Gulf 52,100 1,217 Great Lakes Chemical 46,900 943 Greif, Cl A 4,200 109 Gundle Environmental* 6,000 92 HB Fuller (B) 16,900 410 Hercules* 109,800 1,244 IMC Global 91,000 583 Jacuzzi Brands* 531,100 3,293 Louisiana-Pacific* 34,900 481 MacDermid 18,400 487 Massey Energy 125,000 1,662 Minerals Technologies 30,400 1,547 Myers Industries 10,500 105 Octel 5,700 99 Quanex 71,100 2,389 Rayonier 28,000 1,137 Roanoke Electric Steel 109,000 1,080 Rock-Tenn, Cl A 51,000 744 RTI International Metals* 4,300 45 Schnitzer Steel Industries, Cl A (B) 57,000 1,712 Silgan Holdings* 28,300 906 Steel Dynamics (B)* 64,500 977 Wellman 207,100 1,555 -------- 33,956 -------- TELECOMMUNICATION SERVICES -- 0.7% Boston Communications Group (B)* 34,500 344 Cincinnati Bell* 255,100 1,299 General Communication, Cl A* 101,219 842 IDT* 55,600 983 IDT, Cl B* 59,800 1,080 NII Holdings, Cl B* 12,100 722 -------- 5,270 -------- UTILITIES -- 3.5% AGL Resources 78,300 2,206 Allegheny Energy (B)* 74,900 685 Avista 63,300 986 Black Hills 40,800 1,259 Cascade Natural Gas 85,400 1,674 Duquesne Light Holdings 67,000 1,034 El Paso Electric* 85,900 992 Empire District Electric 27,500 605 Energen 23,000 832 Littelfuse* 85,462 1,966 NUI 88,500 1,323 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 47 STATEMENT OF NET ASSETS Small Cap Value Fund (Continued) September 30, 2003 - ------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Oneok 92,600 $ 1,868 Pico Holdings* 139,300 1,821 PNM Resources 141,500 3,968 Southern Union (B)* 20,265 344 UGI 51,250 1,482 UIL Holdings 18,700 654 Universal Compression Holdings* 13,300 286 Vectren 41,100 971 Westar Energy 30,700 566 WGL Holdings 28,900 797 Wisconsin Energy 55,400 1,693 -------- 28,012 -------- Total Common Stock (Cost $656,717) ($ Thousands) 753,759 -------- Exchange Traded Funds -- 0.6% iShares Russell 2000 Index Fund (B) 13,000 1,262 iShares S&P SmallCap 600/BARRA Value Index Fund (B) 45,100 3,896 -------- Total Exchange Traded Funds (Cost $5,050) ($ Thousands) 5,158 -------- Warrants -- 0.0% American Banknote, Series 1, Expires 10/01/07 (E) 345 -- American Banknote, Series 2, Expires 10/01/07 (E) 345 -- Washington Mutual (D)* 432,942 69 -------- Total Warrants (Cost $62) ($ Thousands) 69 -------- Rights -- 0.0% Bank United* 46,300 2 -------- Total Rights (Cost $8) ($ Thousands) 2 -------- Corporate Obligations (C) (H) -- 3.6% FINANCIALS -- 3.1% American Express Credit 1.170%, 12/17/03 $ 1,743 1,744 1.110%, 01/13/04 581 581 American Honda Finance 1.340%, 11/10/03 465 465 1.305%, 03/15/04 1,453 1,454 CCN Bluegrass 1.190%, 08/18/04 1,743 1,743 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- CIT Group 2.360%, 01/09/04 $ 372 $ 373 1.888%, 05/03/04 232 232 1.860%, 04/08/04 1,371 1,372 1.346%, 12/05/03 906 905 Citigroup 1.444%, 05/04/04 544 545 1.350%, 03/09/04 1,162 1,164 Concord Minutemen Capital, Ser B 1.370%, 10/09/03 1,581 1,581 Countrywide Home Loans 1.390%, 12/10/03 767 767 1.360%, 01/13/04 960 960 1.280%, 05/14/04 581 581 1.265%, 09/24/04 814 814 Goldman Sachs Group 1.340%, 05/04/04 1,162 1,162 1.160%, 12/17/03 1,162 1,162 HBOS Treasury Services 1.150%, 07/19/04 302 302 Harwood 1.180%, 06/20/06 581 581 Household Finance 2.390%, 03/11/04 1,087 1,093 1.860%, 04/23/04 116 117 International Lease Finance 1.985%, 10/03/03 232 232 Liberty Light US Capital 1.095%, 01/21/04 1,162 1,162 1.090%, 05/17/04 697 697 Merrill Lynch 1.080%, 04/13/04 1,162 1,162 Tango 1.380%, 08/13/04 1,162 1,162 USA Education 1.290%, 01/23/04 414 414 Volkswagen Credit 1.290%, 01/22/04 232 233 -------- 24,760 -------- INDUSTRIALS -- 0.5% Caterpillar 1.306%, 03/05/04 535 535 1.290%, 05/28/04 581 582 1.260%, 04/08/04 697 698 1.210%, 07/09/04 1,162 1,162 General Electric 1.120%, 01/28/04 581 581 -------- 3,558 -------- Total Corporate Obligations (Cost $28,318) ($ Thousands) 28,318 -------- - -------------------------------------------------------------------------------- 48 SEI Institutional Managed Trust / Annual Report / September 30, 2003 - ------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Commercial Paper (C) (G) -- 2.3% FINANCIALS -- 2.2% Amstel Funding 1.136%, 03/15/04 $ 1,162 $ 1,156 1.111%, 11/05/03 1,162 1,161 Concord Minutemen Capital 1.084%, 01/21/04 1,162 1,158 1.060%, 10/02/03 1,089 1,089 Crown Point Capital 1.061%, 11/03/03 836 835 JP Morgan Chase 1.099%, 01/23/04 2,324 2,316 Lexington Parker Capital 1.114%, 01/26/04 1,162 1,158 Mitten 1.142%, 11/24/03 790 789 1.140%, 10/14/03 930 929 1.120%, 10/15/03 1,162 1,162 Park Granada 1.102%, 12/11/03 1,633 1,629 Scaldis Capital 1.104%, 02/06/04 468 466 Tannehill Capital 1.165%, 02/23/04 1,743 1,735 1.074%, 01/23/04 584 582 White Pine Finance 1.165%, 02/09/04 234 233 1.165%, 02/17/04 701 698 -------- 17,096 -------- HEALTH CARE -- 0.1% Abbott Laboratories 1.121%, 10/21/03 814 813 -------- Total Commercial Paper (Cost $17,909) ($ Thousands) 17,909 -------- Cash Equivalents -- 1.7% First Union Cash Management Program 13,051,656 13,052 AIMInvesco Treasurer's Money Market Reserve Fund (C) 581,084 581 -------- Total Cash Equivalents (Cost $13,633) ($ Thousands) 13,633 -------- - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- U.S. Treasury Obligation -- 0.3% U.S. Treasury Bills (A) 1.030%, 02/26/04 $ 2,000 $ 1,992 -------- Total U.S. Treasury Obligation (Cost $1,992) ($ Thousands) 1,992 -------- U.S. Government Agency Obligation -- 0.1% FNMA (C) (G) 2.449%, 11/19/03 1,162 1,160 -------- Total U.S. Government Agency Obligation (Cost $1,160) ($ Thousands) 1,160 -------- Repurchase Agreements -- 4.6% Barclays (C) 1.080%, dated 09/30/03, to be repurchased on 10/01/03, repurchase price $2,333,609 (collateralized by U.S. Government Agency obligations, total market value: $2,380,232) 2,334 2,334 Deutsche Bank (C) 1.080%, dated 09/30/03, to be repurchased on 10/01/03, repurchase price $7,902,976 (collateralized by U.S. Treasury obligations, total market value: $8,027,592) 7,903 7,903 Lehman Brothers (C) 1.080%, dated 09/30/03, to be repurchased on 10/01/03, repurchase price $1,278,423 (collateralized by U.S. Government Agency obligations, total market value: $1,304,011) 1,278 1,278 Morgan Stanley (F) 1.050%, dated 09/30/03, to be repurchased on 10/01/03, repurchase price $26,055,367 (collateralized by U.S. Government Agency obligations, total market value: $26,581,655) 26,055 26,055 -------- Total Repurchase Agreements (Cost $37,570) ($ Thousands) 37,570 -------- Total Investments -- 107.7% (Cost $762,419) ($ Thousands) 859,570 -------- - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 49 STATEMENT OF NET ASSETS Small Cap Value Fund (Concluded) September 30, 2003 - ------------------------------------------------------------ Value Description ($ Thousands) - ------------------------------------------------------------ OTHER ASSETS AND LIABILITIES -- (7.7)% Payable Upon Return on Securities Loaned $(59,483) Investment Advisory Fees Payable (433) Administration Fees Payable (237) Shareholder Servicing Fees Payable (67) Administration Servicing Fees Payable (1) Other Assets and Liabilities, Net (1,276) -------- Total Other Assets & Liabilities (61,497) -------- NET ASSETS: Paid-in-Capital -- Class A (unlimited authorization -- no par value) based on 45,574,847 outstanding shares of beneficial interest 671,079 Portfolio Shares of Class I (unlimited authorization -- no par value) based on 147,429 outstanding shares of beneficial interest 2,385 Undistributed net investment income 502 Accumulated net realized gain on investments 27,687 Net unrealized appreciation on investments 97,151 Net unrealized depreciation on futures contracts (731) -------- Total Net Assets -- 100.0% $798,073 -------- Net Asset Value, Offering and Redemption Price Per Share -- Class A ($795,501,270 / 45,574,847 shares) $17.45 -------- Net Asset Value, Offering and Redemption Price Per Share -- Class I ($2,571,407 / 147,429 shares) $17.44 -------- * 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. (B) This security or a partial position of this security is on loan at September 30, 2003 (see Note 8). The total value of securities on loan at September 30, 2003 was $56,767,030. (C) This security was purchased with cash collateral held from securities lending (see Note 8). The total value of such securities as of September 30, 2003 was $59,482,779. (D) This warrant entitles the holder to a potential distribution settlement in a legal claim and does not have a strike price or expiration date. (E) Security considered illiquid. The total value of such securities as of September 30, 2003 was $752. (F) Tri-Party Repurchase Agreement. (G) The rate reported is the effective yield at time of purchase. (H) Variable Rate Security -- The rate reported on the Statement of Net Assets is the rate in effect as of September 30, 2003. ADR -- American Depository Receipt Cl -- Class FNMA -- Federal National Mortgage Association NY -- New York Ser -- Series Amounts designated as "--" are zero or have been rounded to zero. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 50 SEI Institutional Managed Trust / Annual Report / September 30, 2003 Small Cap Growth Fund September 30, 2003 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Common Stock -- 97.2% CONSUMER DISCRETIONARY -- 17.1% AFC Enterprises* 94,100 $ 1,515 Aftermarket Technology* 129,300 1,475 America's Car Mart* 36,600 1,096 CEC Entertainment* 29,000 1,137 Charming Shoppes* 165,700 946 Cheesecake Factory (B)* 51,800 1,874 Chicago Pizza & Brewery (B)* 131,700 1,548 Chico's FAS (B)* 157,200 4,817 Christopher & Banks 170,050 4,057 Circuit City Stores 144,300 1,375 Citadel Broadcasting* 7,000 138 Coach* 45,100 2,462 Concord Camera (B)* 14,300 152 Cost Plus* 204,050 7,534 CSK Auto* 21,450 331 Cumulus Media, Cl A* 62,700 1,069 Dick's Sporting Goods* 128,100 4,783 Ebookers ADR* 45,100 826 Electronics Boutique Holdings (B)* 44,100 1,260 Entravision Communications, Cl A* 29,100 276 Extended Stay America* 56,200 839 Four Seasons Hotels 37,350 1,860 Fred's 74,100 2,442 GameStop* 90,700 1,442 Genesco* 50,700 814 Gentex* 48,100 1,676 Getty Images* 40,300 1,417 Gray Television 73,500 859 Group 1 Automotive* 36,800 1,271 Guitar Center* 129,500 4,165 Hibbett Sporting Goods* 175,550 4,199 Hollywood Entertainment (B)* 177,600 3,019 HOT Topic (B)* 325,542 7,338 Identix* 572,400 2,994 Insight Enterprises* 29,800 454 InterActive (B)* 25,942 857 Journal Communications* 43,400 718 Kenneth Cole Productions, Cl A 147,350 3,847 Kirkland's* 34,800 558 Krispy Kreme Doughnuts (B)* 23,300 897 Leapfrog Enterprises (B)* 20,750 789 Lin TV, Cl A* 139,400 2,964 Lithia Motors, Cl A 67,600 1,350 M/I Schottenstein Homes 18,000 714 Marvel Enterprises* 91,200 2,029 Mediacom Communications* 223,000 1,494 Meritage* 18,500 874 Netease.com ADR* 17,500 977 O'Reilly Automotive* 30,400 1,118 Oxford Industries 1,900 122 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Pacific Sunwear of California* 118,125 $ 2,440 PDI* 5,000 123 PF Chang's China Bistro (B)* 31,200 1,415 Phillips-Van Heusen 165,500 2,484 Priceline.com (B)* 41,933 1,216 Quiksilver* 230,600 3,678 Radio One, Cl A* 7,150 105 Radio One, Cl D* 128,150 1,840 Rare Hospitality International* 144,750 3,606 Regis 45,300 1,454 Restoration Hardware* 48,650 283 SCP Pool* 40,650 1,131 Select Comfort (B)* 138,810 3,679 Sharper Image (B)* 100,180 2,310 Shuffle Master (B)* 80,770 2,195 Sonic* 56,100 1,418 Sonic Automotive 44,100 1,061 Speedway Motorsports 11,900 351 Standard Motor Products 136,400 1,378 Standard-Pacific 30,800 1,167 Station Casinos (B) 145,545 4,454 Timberland, Cl A* 30,900 1,318 Tractor Supply* 76,200 2,500 Tuesday Morning* 75,200 2,093 Tweeter Home Entertainment Group* 144,700 1,111 Urban Outfitters (B)* 145,700 3,797 WCI Communities* 193,200 3,188 Wet Seal, Cl A* 88,200 886 Winnebago Industries (B) 45,400 2,024 XM Satellite Radio Holdings, Cl A (B)* 111,000 1,724 Yankee Candle* 49,500 1,261 ---------- 150,458 ---------- CONSUMER STAPLES -- 2.1% American Italian Pasta, Cl A (B)* 26,200 1,014 Cott 72,000 1,685 Duane Reade (B)* 229,200 3,656 Great Atlantic & Pacific Tea* 214,700 1,741 NBTY* 62,600 1,462 PC Mall* 47,100 492 Peet's Coffee & Tea* 118,710 2,321 Pilgrims Pride, Cl B 123,500 1,544 Stake Technology* 216,270 2,003 United Natural Foods* 72,805 2,416 ---------- 18,334 ---------- ENERGY -- 2.7% Bunge (B) 53,200 1,463 Cabot Oil & Gas 44,200 1,149 Cal Dive International* 215,300 4,185 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 51 STATEMENT OF NET ASSETS Small Cap Growth Fund (Continued) September 30, 2003 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Denbury Resources* 97,100 $ 1,200 Evergreen Resources* 30,900 834 Forest Oil* 49,500 1,186 Headwaters* 128,400 2,067 Horizon Offshore* 225,400 926 Key Energy Services* 212,400 2,050 Lone Star Technologies* 68,400 923 Nuevo Energy* 63,900 1,161 Penn Virginia 22,900 1,012 Pride International (B)* 66,000 1,119 Quicksilver Resources* 38,300 936 Tetra Technologies* 54,400 1,122 Varco International* 175,600 2,969 ---------- 24,302 ---------- FINANCIALS -- 9.2% Acadia Realty Trust+ 56,700 623 Affiliated Managers Group* 16,400 1,030 Allegiant Bancorp 58,600 1,184 American Home Mortgage Holdings 99,500 1,748 AmeriCredit* 13,300 137 Anworth Mortgage Asset+ 70,300 1,004 Arch Capital Group* 79,600 2,628 Arden Realty+ 52,900 1,477 Baldwin & Lyons, Cl B 2,550 59 Bank of Bermuda 21,300 825 Boston Private Financial Holdings 23,600 556 Brookline Bancorp 82,300 1,211 Capital Source* 72,800 1,274 Commercial Capital Bancorp* 142,200 2,223 Delphi Financial Group, Cl A 66,300 3,084 Downey Financial 28,100 1,313 E*TRADE Group* 1,078,800 9,990 East-West Bancorp 46,800 2,001 First Cash Financial Services* 81,800 1,638 First Community Bancorp 31,000 1,038 First Republic Bank 37,300 1,150 FirstFed Financial* 26,600 1,051 Friedman Billings Ramsey Group, Cl A 39,500 681 Harbor Florida Bancshares 22,800 608 HCC Insurance Holdings 46,100 1,341 Kansas City Life Insurance 30,500 1,399 Maguire Properties+ 65,000 1,332 MFA Mortgage Investments+ 120,500 1,147 Netbank 419,000 5,217 Partners Trust Financial Group 8,151 179 PFF Bancorp 27,440 875 Platinum Underwriters Holdings 44,900 1,262 ProAssurance* 102,950 2,659 R & G Financial, Cl B 99,200 2,897 Redwood Trust+ 44,900 1,904 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Regency Centers+ 24,300 $ 895 RLI 99,400 3,272 Saxon Capital* 181,200 3,106 Scottish Annuity & Life Holdings 24,500 592 Seacoast Financial Services 12,400 257 Shurgard Storage Centers, Cl A+ 34,000 1,200 Silicon Valley Bancshares* 40,100 1,108 South Financial Group 52,100 1,297 Sterling Financial* 37,240 1,048 TierOne* 62,400 1,313 UCBH Holdings 107,490 3,249 Umpqua Holdings 73,200 1,393 United PanAm Financial* 55,200 961 Value Line 4,000 192 Westamerica Bancorporation 14,400 640 Wintrust Financial 21,800 821 WP Stewart 36,000 752 ---------- 80,841 ---------- HEALTH CARE -- 21.3% Abaxis* 9,000 125 Abgenix (B)* 199,300 2,888 Able Laboratories (B)* 37,550 703 Accredo Health* 127,625 3,572 Advanced Neuromodulation Systems* 100,108 3,994 Albany Molecular Research* 49,200 729 Alexion Pharmaceuticals* 10,900 182 Align Technology* 385,685 4,825 Alkermes (B)* 407,700 5,594 Alliance Imaging* 106,800 367 Allscripts Healthcare Solutions* 164,400 671 American Healthways (B)* 41,725 1,752 AMERIGROUP* 15,300 683 Amsurg (B)* 52,000 1,715 Angiotech Pharmaceuticals* 57,100 2,492 Aphton (B)* 8,100 45 Apria Healthcare Group* 61,200 1,676 Atherogenics* 165,200 2,765 August Technology* 95,300 1,357 AVI BioPharma (B)* 58,800 304 Axonyx (B)* 128,800 583 Bentley Pharmaceuticals* 21,300 346 Bio-Rad Laboratories, Cl A* 27,300 1,392 Bioject Medical Technologies* 168,000 588 Biolase Technology (B)* 110,940 1,266 Bioreliance* 4,500 115 Biosite (B)* 69,500 1,972 Cardiodynamics International* 56,400 253 Celera Genomics Group* 124,800 1,459 Cell Genesys* 489,600 6,159 Cerner (B)* 124,800 3,853 Closure Medical* 6,200 151 - -------------------------------------------------------------------------------- 52 SEI Institutional Managed Trust / Annual Report / September 30, 2003 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Conceptus (B)* 96,300 $ 1,262 Conmed* 73,700 1,521 Connetics* 91,200 1,647 Cooper 62,900 2,563 Corixa (B)* 465,400 3,705 Covance (B)* 97,150 2,174 Cubist Pharmaceuticals (B)* 438,000 4,726 CV Therapeutics (B)* 151,200 3,326 Decode Genetics* 94,300 444 Dendreon* 353,900 3,132 Digene* 82,125 3,356 Encore Medical* 23,400 159 Encysive Pharmaceuticals* 328,000 2,070 Epix Medical* 15,300 260 Esperion Therapeutics* 22,900 444 Exact Sciences* 112,600 1,520 Exelixis* 169,521 1,210 Gen-Probe* 23,000 1,246 Genta (B)* 355,000 4,498 Human Genome Sciences (B)* 103,000 1,407 IMPAC Medical Systems* 5,750 103 Impax Laboratories* 16,600 208 Inamed (B)* 24,700 1,814 Incyte* 325,500 1,501 Inspire Pharmaceuticals* 128,750 2,214 Intuitive Surgical* 2,300 38 Inveresk Research Group* 35,250 700 Invitrogen (B)* 25,400 1,473 Isis Pharmaceuticals (B)* 565,100 3,684 KV Pharmaceutical, Cl A* 33,675 758 La Jolla Pharmaceutical* 405,600 1,602 LabOne* 17,000 397 Laserscope* 23,700 278 Lexicon Genetics* 256,800 1,325 LifePoint Hospitals* 56,000 1,347 Ligand Pharmaceuticals, Cl B (B)* 217,700 2,806 Martek Biosciences (B)* 79,680 4,197 Medarex (B)* 549,600 3,259 Medcath* 141,000 1,458 Medicines* 101,400 2,636 Medicis Pharmaceutical, Cl A 73,300 4,295 Merit Medical Systems* 72,436 1,601 MIM (B)* 76,800 576 Molina Healthcare* 2,400 67 Myriad Genetics* 70,700 803 Nektar Therapeutics (B)* 200,600 2,568 Neurochem* 136,000 1,642 Neurocrine Biosciences* 21,200 1,050 Noven Pharmaceuticals* 56,500 644 NPS Pharmaceuticals (B)* 39,100 1,089 Onyx Pharmaceuticals* 22,600 487 OpticNet (D) 27,300 -- - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Orthodontic Centers of America (B)* 134,400 $ 1,059 OSI Pharmaceuticals* 25,300 821 Pain Therapeutics* 153,300 943 Paradigm Genetics* 1,069,200 1,326 Penwest Pharmaceuticals (B)* 22,800 490 Pharmaceutical Product Development* 32,100 770 Pharmaceutical Resources (B)* 52,480 3,580 PolyMedica (B) 104,200 2,761 Pozen* 52,800 939 Protein Design Labs* 94,500 1,310 Province Healthcare* 21,600 280 Regeneration Technologies* 42,400 384 Regeneron Pharmaceuticals* 64,400 1,138 Rotech Healthcare* 54,000 1,310 Salix Pharmaceuticals* 61,900 1,192 Serologicals* 81,500 1,072 Sonosight* 35,400 708 Staar Surgical* 6,700 71 Sunrise Senior Living (B)* 72,700 1,907 Taro Pharmaceuticals Industries* 6,800 383 Telik (B)* 351,150 7,041 Third Wave Technologies* 492,000 1,589 Transgenomic* 257,600 404 Tularik (B)* 309,600 3,053 United Surgical Partners International* 62,250 1,762 United Therapeutics* 67,500 1,525 US Oncology* 76,600 560 VCA Antech* 6,000 141 Ventana Medical Systems* 31,800 1,282 Vertex Pharmaceuticals* 29,400 362 Viasys Healthcare* 7,300 147 Vicuron Pharmaceuticals* 150,000 2,655 Viropharma (B)* 60,000 163 Wright Medical Group* 14,000 354 XOMA* 303,600 2,247 ---------- 187,595 ---------- INDUSTRIALS -- 11.0% Active Power* 151,200 423 Advisory Board* 90,463 4,112 AGCO* 69,100 1,184 Airtran Holdings* 177,900 2,980 Albany International, Cl A 16,800 518 Alliance Data Systems* 40,900 1,080 Alliant Techsystems* 33,550 1,612 Arkansas Best 26,600 732 Armor Holdings* 83,300 1,395 Atlantic Coast Airlines Holdings* 82,400 701 Autobytel (B)* 172,560 1,643 Bright Horizons Family Solutions* 43,900 1,754 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 53 STATEMENT OF NET ASSETS Small Cap Growth Fund (Continued) September 30, 2003 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Career Education* 53,204 $ 2,410 Chicago Bridge & Iron (NY Shares) 104,900 2,849 Corinthian Colleges* 38,100 2,178 Corporate Executive Board* 85,087 3,995 CoStar Group* 77,250 2,009 DiamondCluster International, Cl A* 192,700 1,305 EDO 75,600 1,531 EMCOR Group* 30,500 1,298 Engineered Support Systems 9,700 587 Forward Air* 34,950 966 Frontier Airlines* 152,855 2,516 Genus (B)* 17,000 70 Gevity HR 106,300 1,561 Heartland Express 65,000 1,561 iDine Rewards Network (B)* 95,900 1,558 Infospace* 107,600 2,196 Integral Systems* 90,600 1,637 Integrated Alarm Services Group* 193,300 1,615 Intrado* 117,940 2,687 Invision Technologies (B)* 55,500 1,351 Ipass* 40,650 955 Iron Mountain* 49,700 1,784 ITT Educational Services* 18,900 906 JetBlue Airways* 26,900 1,640 Knight Transportation* 140,700 3,527 KVH Industries (B)* 33,555 846 Learning Tree International* 91,100 1,528 MTC Technologies* 21,806 506 National Financial Partners* 3,300 89 Navigant Consulting* 71,100 875 Omnicell* 45,000 731 Princeton Review* 241,200 1,551 Resources Connection* 20,244 494 Ritchie Brothers Auctioneers* 30,500 1,264 Rofin-Sinar Technologies* 53,800 1,129 Roper Industries 32,400 1,411 Shaw Group (B)* 87,800 923 Stratasys (B)* 46,185 1,968 Strayer Education (B) 43,500 4,207 Surebeam, Cl A (B)* 340,855 487 Sylvan Learning Systems (B)* 268,200 7,317 TeleTech Holdings* 188,500 1,197 Terex* 64,600 1,197 Universal Display* 48,000 499 Universal Forest Products 63,700 1,546 University of Phoenix Online* 47,055 3,133 USF 36,300 1,142 Valueclick* 63,300 532 ---------- 97,398 ---------- - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- INFORMATION TECHNOLOGY -- 32.1% 1-800 Contacts (B)* 49,700 $ 1,003 ActivCard* 37,200 305 Activision* 114,950 1,374 Adaptec* 136,600 1,033 Advent Software (B)* 92,100 1,482 Agile Software* 326,850 3,112 Altiris (B)* 60,250 1,583 AMIS Holdings* 3,350 62 Anaren* 96,300 1,229 Andrew (B)* 160,300 1,970 Anteon International* 40,750 1,247 Ask Jeeves (B)* 186,940 3,253 ASM International* 61,850 912 Asyst Technologies (B)* 72,100 1,014 ATMI* 85,350 2,157 Avocent* 62,800 1,902 BISYS Group* 98,500 1,295 Business Objects ADR (B)* 31,600 788 Cabot Microelectronics (B)* 8,400 468 CACI International, Cl A* 20,700 887 Chordiant Software* 36,900 111 Ciena* 164,750 974 CNET Networks (B)* 157,350 1,114 Cognex 218,722 5,750 Cognizant Technology Solutions* 47,250 1,723 Cognos* 33,300 1,033 Cohu 21,300 417 Comtech Telecommunications* 104,795 2,506 Concur Technologies* 138,800 1,646 Corillian* 830,392 3,405 Cray (B)* 177,400 1,948 Credence Systems (B)* 528,800 6,081 Cymer (B)* 174,200 7,177 Digimarc* 546,700 8,042 Digital Insight (B)* 248,850 4,952 Digital River (B)* 105,880 2,896 Digitas* 204,450 1,484 Documentum (B)* 115,750 2,467 DoubleClick* 610,300 6,573 Drugstore.com* 42,400 324 DSP Group* 38,550 960 Dupont Photomasks (B)* 96,000 2,180 Ecollege.com* 139,845 2,816 Emulex (B)* 64,200 1,635 Entegris* 187,200 2,115 eResearch Technology (B)* 136,275 4,746 eSpeed, Cl A* 101,700 2,299 Evolving Systems* 142,765 1,678 Exar* 33,950 480 FEI* 257,500 6,010 Finisar (B)* 177,300 399 - -------------------------------------------------------------------------------- 54 SEI Institutional Managed Trust / Annual Report / September 30, 2003 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Foundry Networks* 116,000 $ 2,495 Freemarkets* 36,000 280 Genesis Microchip (B)* 267,400 2,998 Hyperion Solutions* 36,100 1,042 Immersion* 640,800 3,992 International Rectifier* 51,300 1,921 Interwoven (B)* 398,800 1,057 Iomega* 117,500 1,309 Ixia* 85,050 920 IXYS* 61,100 573 j2 Global Communications (B)* 71,685 2,712 Jack Henry & Associates (B) 137,200 2,386 Kemet* 81,200 1,035 Lattice Semiconductor* 1,232,400 8,762 Lexar Media* 219,020 3,732 Lionbridge Technologies* 78,000 586 LTX (B)* 65,350 736 M-Systems Flash Disk Pioneers* 129,950 2,039 Macromedia* 14,400 356 Macrovision* 168,000 3,103 Magma Design Automation (B)* 203,350 3,990 Manhattan Associates* 37,800 979 Marvell Technology Group* 14,400 544 MAXIMUS* 37,500 1,292 Mentor Graphics (B)* 97,200 1,704 Merge Technologies (B)* 35,300 594 Micromuse* 77,250 632 MicroStrategy, Cl A* 27,863 1,282 Mobility Electronics* 33,700 265 Monolithic System Technology* 106,200 893 MPS Group* 193,200 1,739 MRV Communications (B)* 285,300 802 MSC.Software (B)* 154,000 1,109 Mykrolis* 146,400 1,777 NetScreen Technologies* 26,300 585 O2Micro International* 316,400 4,572 Omnivision Technologies (B)* 95,210 4,022 Onyx Software* 338,425 1,703 Openwave Systems* 235,600 994 OSI Systems (B)* 56,300 974 Overture Services* 38,200 1,012 Packeteer* 44,000 530 Per-Se Technologies* 76,000 1,216 PerkinElmer 107,100 1,640 Photon Dynamics (B)* 35,450 1,033 Photronics* 44,600 948 Pinnacle Systems* 714,800 6,026 Pixelworks (B)* 1,292,450 11,141 PLX Technology* 98,750 626 Polycom (B)* 643,300 10,685 Portal Software* 105,900 1,533 Power Integrations (B)* 86,500 2,875 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Quest Software (B)* 95,200 $ 1,152 QuickLogic* 56,600 376 Radisys* 65,500 1,182 RADWARE* 204,480 3,711 RealNetworks* 23,400 153 Red Hat (B)* 833,500 8,418 Remec* 175,100 1,786 Retek* 112,050 756 Roxio (B)* 34,800 302 Rudolph Technologies (B)* 198,600 3,835 Sandisk* 24,100 1,536 Sapient* 162,000 582 ScanSoft (B)* 334,700 1,402 Seachange International* 71,600 897 Sensytech* 56,985 896 Sierra Wireless Inc* 25,100 326 Sigmatel* 1,150 24 Silicon Laboratories* 9,200 414 Siliconware Precision ADR* 267,000 1,057 Sina (B)* 26,100 933 Sipex* 41,400 325 Skyworks Solutions (B)* 275,800 2,510 Sohu.com* 26,700 830 Sonus Networks* 106,200 736 SRA International, Cl A* 13,550 507 Superconductor Technologies* 107,700 423 Tekelec* 72,200 1,127 THQ* 82,300 1,351 Titan* 89,700 1,869 TradeStation Group (B)* 107,420 803 Trident Microsystems* 40,400 525 Triquint Semiconductor* 303,600 1,700 Trizetto Group* 49,200 330 TTM Technologies* 157,700 2,252 Ultratech* 89,300 2,520 Varian* 48,900 1,532 Verisity* 34,050 426 Verso Technologies (B)* 238,300 894 Virage Logic* 79,600 605 Vitesse Semiconductor* 120,000 768 Vixel* 159,900 1,215 WebEx Communications (B)* 86,900 1,650 Websense* 22,700 483 Zebra Technologies, Cl A* 18,750 967 Zoran* 89,100 1,737 ---------- 282,591 ---------- MATERIALS -- 1.3% Applied Films* 26,400 785 Arch Coal 42,500 944 Ferro 59,000 1,260 Massey Energy 94,700 1,260 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 55 STATEMENT OF NET ASSETS Small Cap Growth Fund (Continued) September 30, 2003 - ------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Steel Dynamics (B)* 208,100 $ 3,151 Symyx Technologies* 187,300 4,034 ---------- 11,434 ---------- TELECOMMUNICATION SERVICES -- 0.2% ITC Deltacom* 8,300 45 Sycamore Networks* 223,400 1,095 Wireless Facilities (B)* 54,800 652 ---------- 1,792 ---------- UTILITIES -- 0.2% PNM Resources 36,600 1,026 UGI 42,300 1,224 ---------- 2,250 ---------- Total Common Stock (Cost $811,359) ($ Thousands) 856,995 ---------- Convertible Bonds -- 0.3% Emcore, CV to 20.5074 Shares 5.000%, 05/15/06 $ 2,100 1,439 Viropharma, CV to 9.1620 Shares 6.000%, 03/01/07 2,650 1,401 ---------- Total Convertible Bonds (Cost $2,612) ($ Thousands) 2,840 ---------- Warrants -- 0.1% InterActiveCorp, Expires 02/04/09 8,070 336 Microstrategy, Expires 06/24/07 110 -- Superconductor Technology, Expires 12/15/07 (E) 122,500 324 ---------- Total Warrants (Cost $0) ($ Thousands) 660 ---------- Corporate Obligations (C) (H) -- 8.8% FINANCIALS -- 7.7% American Express Credit 1.170%, 12/17/03 4,764 4,765 1.110%, 01/13/04 1,588 1,588 American Honda Finance 1.340%, 11/10/03 1,270 1,271 1.305%, 03/15/04 3,970 3,974 CCN Bluegrass 1.190%, 08/18/04 4,764 4,764 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- CIT Group 2.360%, 01/09/04 $ 1,016 $ 1,018 1.888%, 05/03/04 635 635 1.860%, 04/08/04 3,748 3,749 1.346%, 12/05/03 2,477 2,474 Citigroup 1.444%, 05/04/04 1,486 1,490 1.350%, 03/09/04 3,176 3,180 Concord Minutemen Capital, Ser B 1.370%, 10/09/03 4,319 4,319 Countrywide Home Loans 1.390%, 12/10/03 2,096 2,096 1.360%, 01/13/04 2,623 2,623 1.280%, 05/14/04 1,588 1,588 1.265%, 09/24/04 2,223 2,223 Goldman Sachs Group 1.340%, 05/04/04 3,176 3,176 1.160%, 12/17/03 3,176 3,176 HBOS Treasury Services 1.150%, 07/19/04 826 826 Harwood 1.180%, 06/20/06 1,588 1,588 Household Finance 2.390%, 03/11/04 2,970 2,986 1.860%, 04/23/04 318 319 International Lease Finance 1.985%, 10/03/03 635 635 Liberty Light US Capital 1.095%, 01/21/04 3,176 3,176 1.090%, 05/17/04 1,906 1,905 Merrill Lynch 1.080%, 04/13/04 3,176 3,176 Tango 1.380%, 08/13/04 3,176 3,176 USA Education 1.290%, 01/23/04 1,131 1,131 Volkswagen Credit 1.290%, 01/22/04 635 635 ---------- 67,662 ---------- INDUSTRIALS -- 1.1% Caterpillar 1.306%, 03/05/04 1,461 1,462 1.290%, 05/28/04 1,588 1,589 1.260%, 04/08/04 1,906 1,908 1.210%, 07/09/04 3,176 3,176 General Electric 1.120%, 01/28/04 1,588 1,588 ---------- 9,723 ---------- Total Corporate Obligations (Cost $77,385) ($ Thousands) 77,385 ---------- - -------------------------------------------------------------------------------- 56 SEI Institutional Managed Trust / Annual Report / September 30, 2003 - ------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- COMMERCIAL PAPER (C) (G) -- 5.6% FINANCIALS -- 5.3% Amstel Funding 1.136%, 03/15/04 $ 3,176 $ 3,159 1.111%, 11/05/03 3,176 3,172 Concord Minutemen Capital 1.084%, 01/21/04 3,176 3,165 1.060%, 10/02/03 2,975 2,975 Crown Point Capital 1.061%, 11/03/03 2,284 2,282 JP Morgan Chase 1.099%, 01/23/04 6,352 6,330 Lexington Parker Capital 1.114%, 01/26/04 3,176 3,164 Mitten 1.142%, 11/24/03 2,160 2,156 1.140%, 10/14/03 2,541 2,540 1.120%, 10/15/03 3,176 3,175 Park Granada 1.102%, 12/11/03 4,462 4,453 Scaldis Capital 1.104%, 02/06/04 1,278 1,273 Tannehill Capital 1.165%, 02/23/04 4,764 4,742 1.074%, 01/23/04 1,597 1,592 White Pine Finance 1.165%, 02/09/04 639 636 1.165%, 02/17/04 1,916 1,907 ---------- 46,721 ---------- HEALTH CARE -- 0.3% Abbott Laboratories 1.121%, 10/21/03 2,223 2,222 ---------- Total Commercial Paper (Cost $48,943) ($ Thousands) 48,943 ---------- Cash Equivalents -- 0.7% First Union Cash Management Program 4,408,185 4,408 AIMInvesco Treasurer's Money Market Reserve Fund (C) 1,587,992 1,588 ---------- Total Cash Equivalents (Cost $5,996) ($ Thousands) 5,996 ---------- - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- U.S. Government Agency Obligation -- 0.4% FNMA (C) (G) 2.449%, 11/19/03 $ 3,176 $ 3,171 ---------- Total U.S. Government Agency Obligation (Cost $3,171) ($ Thousands) 3,171 ---------- U.S. Treasury Obligation -- 0.2% U.S. Treasury Bills (A) 1.030%, 02/26/04 2,000 1,991 ---------- Total U.S. Treasury Obligation (Cost $1,991) ($ Thousands) 1,991 ---------- Repurchase Agreements -- 5.1% Barclays (C) 1.080%, dated 09/30/03, to be repurchased on 10/01/03, repurchase price $6,377,313 (collateralized by U.S. Government Agency obligations, total market value: $6,504,725) 6,377 6,377 Deutsche Bank (C) 1.080%, dated 09/30/03, to be repurchased on 10/01/03, repurchase price $21,597,339 (collateralized by U.S. Treasury obligations, total market value: $21,937,892) 21,597 21,597 Lehman Brothers (C) 1.080%, dated 09/30/03, to be repurchased on 10/01/03, repurchase price $3,493,687 (collateralized by U.S. Government Agency obligations, total market value: $3,563,614) 3,494 3,494 Morgan Stanley (F) 1.060%, dated 09/30/03, to be repurchased on 10/01/03, repurchase price $13,592,030 (collateralized by U.S. Government Agency obligations, total market value: $13,898,121) 13,592 13,592 ---------- Total Repurchase Agreements (Cost $45,060) ($ Thousands) 45,060 ---------- Total Investments -- 118.4% (Cost $996,517) ($ Thousands) 1,043,041 ---------- - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 57 STATEMENT OF NET ASSETS Small Cap Growth Fund (Concluded) September 30, 2003 - ------------------------------------------------------------ Value Description ($ Thousands) - ------------------------------------------------------------ OTHER ASSETS AND LIABILITIES -- (18.4)% Payable Upon Return on Securities Loaned $ (162,555) Investment Advisory Fees Payable (496) Administration Fees Payable (269) Shareholder Servicing Fees Payable (71) Administration Servicing Fees Payable (1) Other Assets and Liabilities, Net 1,596 ---------- Total Other Assets & Liabilities (161,796) ---------- NET ASSETS: Paid-in-Capital -- Class A (unlimited authorization -- no par value) based on 62,090,088 outstanding shares of beneficial interest 1,168,982 Portfolio Shares of Class I (unlimited authorization -- no par value) based on 380,598 outstanding shares of beneficial interest 4,464 Accumulated net realized loss on investments (338,294) Net unrealized appreciation on investments 46,524 Net unrealized depreciation on futures contracts (431) ---------- Total Net Assets -- 100.0% $ 881,245 ========== Net Asset Value, Offering and Redemption Price Per Share -- Class A ($875,905,756 / 62,090,088 shares) $14.11 ====== Net Asset Value, Offering and Redemption Price Per Share -- Class I ($5,339,246 / 380,598 shares) $14.03 ====== * 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. (B) This security or a partial position of this security is on loan at September 30, 2003 (see Note 8). The total value of securities on loan at September 30, 2003 was $151,498,611. (C) This security was purchased with cash collateral held from securities lending (see Note 8). The total value of such securities as of September 30, 2003 was $162,555,191. (D) Security considered illiquid. The total value of such securities as of September 30, 2003 was $0. (E) 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 September 30, 2003 was $323,452. (F) Tri-Party Repurchase Agreement. (G) The rate reported is the effective yield at time of purchase. (H) Variable Rate Security -- The rate reported on the Statement of Net Assets is the rate in effect as of September 30, 2003. ADR -- American Depository Receipt Cl -- Class CV -- Convertible Security NMA -- Federal National Mortgage Association NY -- New York Ser -- Series Amounts designated as "--" are zero or have been rounded to zero. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 58 SEI Institutional Managed Trust / Annual Report / September 30, 2003 Mid-Cap Fund September 30, 2003 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- COMMON STOCK -- 97.0% CONSUMER DISCRETIONARY -- 20.4% Abercrombie & Fitch, Cl A* 8,100 $ 224 Advance Auto Parts* 4,500 319 American Axle & Manufacturing Holdings* 15,100 447 Autoliv 9,100 275 Belo, Cl A 8,400 204 Black & Decker 6,400 260 Brinker International* 5,700 190 CBRL Group 5,900 209 Centex 3,700 288 Claire's Stores 10,500 351 Eastman Kodak (B) 8,500 178 Federated Department Stores 17,500 733 Fortune Brands 4,800 272 GTECH Holdings 8,300 356 Harrah's Entertainment 4,500 190 Johnson Controls 3,600 341 KB Home 4,500 268 Lear* 4,900 258 Marvel Enterprises* 5,800 129 Mattel 9,000 171 Maytag 5,100 127 NVR (B)* 1,000 467 Polaris Industries 2,700 200 Regal Entertainment Group, Cl A 15,500 288 Rent-A-Center* 19,750 638 Ryland Group 2,500 183 Sherwin-Williams 14,100 415 Staples* 12,600 299 Whirlpool (B) 3,000 203 ------- 8,483 ------- CONSUMER STAPLES -- 2.4% Dean Foods* 3,600 112 Energizer Holdings* 5,500 202 Supervalu 19,200 458 Tyson Foods, Cl A 16,400 232 ------- 1,004 ------- ENERGY -- 4.1% Chesapeake Energy 11,300 122 Devon Energy 5,700 275 FMC Technologies* 21,100 452 Marathon Oil 7,900 225 Sunoco (B) 16,000 643 ------- 1,717 ------- - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- FINANCIALS -- 21.6% Affiliated Managers Group* 2,200 $ 138 Annaly Mortgage Management+ 10,200 168 AON 4,800 100 City National 4,300 219 Countrywide Credit Industry (B) 2,000 157 Cullen/Frost Bankers 3,400 127 Developers Diversified Realty+ 9,300 278 Doral Financial 14,400 677 E*TRADE Group* 25,300 234 Fidelity National Financial 18,625 560 First American 24,900 620 First Tennessee National 6,700 284 General Growth Properties+ 10,000 717 Greenpoint Financial 8,700 260 Hibernia, Cl A 15,800 320 Hudson United Bancorp 18,200 640 Loews 11,100 448 New York Community Bancorp 5,500 173 Nuveen Investments, Cl A 4,700 129 Old Republic International 3,800 126 Popular 5,900 235 Protective Life 7,300 218 Simon Property Group+ 8,700 379 Sovereign Bancorp 9,500 176 Stancorp Financial Group 2,600 149 Thornburg Mortgage (B)+ 25,400 643 UnionBanCal 13,300 660 UnumProvident 9,500 140 ------- 8,975 ------- HEALTH CARE -- 12.0% Applied Biosystems Group 8,900 199 Bausch & Lomb 6,100 269 Beckman Coulter 9,100 414 Cephalon (B)* 2,500 115 Charles River Laboratories International (B)* 4,800 147 Cigna 4,800 214 DaVita* 8,300 264 Endo Pharmaceuticals Holdings* 17,300 354 Fisher Scientific International* 15,800 627 Gilead Sciences* 4,800 268 Henry Schein* 2,400 136 Hillenbrand Industries 4,800 271 Humana* 6,600 119 Invitrogen (B)* 5,200 302 Medimmune (B)* 6,200 205 Mettler Toledo International* 4,300 155 Mylan Laboratories 5,750 222 Pacificare Health Systems* 5,100 249 Pharmaceutical Product Development* 2,400 58 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 59 STATEMENT OF NET ASSETS Mid-Cap Fund (Continued) September 30, 2003 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- Steris* 7,100 $ 163 WellPoint Health Networks* 2,900 224 ------- 4,975 ------- INDUSTRIALS -- 6.6% Carlisle 5,300 231 Crane 8,200 192 H&R Block 9,100 393 Hubbell, Cl B 5,900 215 JB Hunt Transport Services* 4,800 125 Pentair 3,600 144 Ryder System 14,700 431 SPX (B)* 4,500 204 United Defense Industries* 16,800 477 Viad 6,200 148 York International 5,100 176 ------- 2,736 ------- INFORMATION TECHNOLOGY -- 15.4% Acxiom* 7,600 120 Adobe Systems 400 16 Affiliated Computer Services, Cl A (B)* 2,600 127 Altera (B)* 15,000 284 Amkor Technology* 25,200 358 Amphenol, Cl A* 4,000 208 Arrow Electronics* 12,800 235 Broadcom, Cl A* 5,100 136 Checkfree (B)* 13,600 272 Computer Sciences* 8,600 323 Convergys* 18,000 330 Corning* 5,000 47 Electronic Arts* 3,500 323 Electronic Data Systems (B) 5,800 117 Integrated Circuit Systems* 6,400 192 Intuit* 4,600 222 Lexmark International* 3,700 233 Macromedia* 2,500 62 Micron Technology* 7,400 99 National Semiconductor* 6,700 216 Nvidia* 5,800 92 PanAmSat* 22,000 319 QLogic* 4,800 226 Sandisk* 3,200 204 Scientific-Atlanta 3,100 97 Storage Technology* 11,700 282 Sungard Data Systems* 4,300 113 Sybase* 12,800 218 Symantec (B)* 4,100 258 Utstarcom* 3,600 115 Western Digital* 15,000 193 Xerox (B)* 33,300 342 ------- 6,379 ------- - ------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- MATERIALS -- 4.9% Ball 8,800 $ 475 Cytec Industries* 4,500 164 Georgia-Pacific 10,300 250 Monsanto 11,300 271 Owens-Illinois* 10,800 123 Peabody Energy 7,900 248 RPM International 29,700 388 Sealed Air* 2,400 113 ------- 2,032 ------- TELECOMMUNICATION SERVICES -- 2.4% CenturyTel 20,500 695 Nextel Communications, Cl A (B)* 8,000 157 West* 5,700 136 ------- 988 ------- UTILITIES -- 7.2% Edison International* 21,300 407 Great Plains Energy 9,600 291 NSTAR 3,300 157 Oneok 9,300 187 Peoples Energy 6,300 261 PPL 9,300 381 Public Service Enterprise Group 6,800 285 Questar 5,300 163 Sempra Energy 20,424 600 UGI 6,300 182 Wisconsin Energy 1,600 49 ------- 2,963 ------- Total Common Stock (Cost $36,041) ($ Thousands) 40,252 ------- Corporate Obligations (C) (F) -- 4.5% FINANCIALS -- 3.9% American Express Credit 1.170%, 12/17/03 $ 116 116 1.110%, 01/13/04 39 39 American Honda Finance 1.340%, 11/10/03 31 31 1.305%, 03/15/04 96 96 CCN Bluegrass 1.190%, 08/18/04 116 116 CIT Group 2.360%, 01/09/04 25 25 1.888%, 05/03/04 15 15 1.860%, 04/08/04 91 91 1.346%, 12/05/03 60 60 - -------------------------------------------------------------------------------- 60 SEI Institutional Managed Trust / Annual Report / September 30, 2003 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Citigroup 1.444%, 05/04/04 $ 36 $ 36 1.350%, 03/09/04 77 77 Concord Minutemen Capital, Ser B 1.370%, 10/09/03 105 105 Countrywide Home Loans 1.390%, 12/10/03 51 51 1.360%, 01/13/04 64 64 1.280%, 05/14/04 39 39 1.265%, 09/24/04 54 54 Goldman Sachs Group 1.340%, 05/04/04 77 77 1.160%, 12/17/03 77 77 HBOS Treasury Services 1.150%, 07/19/04 20 20 Harwood 1.180%, 06/20/06 39 39 Household Finance 2.390%, 03/11/04 72 72 1.860%, 04/23/04 8 8 International Lease Finance 1.985%, 10/03/03 15 15 Liberty Light US Capital 1.095%, 01/21/04 77 77 1.090%, 05/17/04 46 46 Merrill Lynch 1.080%, 04/13/04 77 77 Tango 1.380%, 08/13/04 77 77 USA Education 1.290%, 01/23/04 27 27 Volkswagen Credit 1.290%, 01/22/04 15 15 ------- 1,642 ------- INDUSTRIALS -- 0.6% Caterpillar 1.306%, 03/05/04 35 35 1.290%, 05/28/04 39 39 1.260%, 04/08/04 46 46 1.210%, 07/09/04 77 77 General Electric 1.120%, 01/28/04 39 39 ------- 236 ------- Total Corporate Obligations (Cost $1,878) ($ Thousands) 1,878 ------- Commercial Paper (C) (E)-- 2.8% FINANCIALS -- 2.7% Amstel Funding 1.136%, 03/15/04 77 77 1.111%, 11/05/03 77 77 - ------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Concord Minutemen Capital 1.084%, 01/21/04 $ 77 $ 77 1.060%, 10/02/03 72 72 Crown Point Capital 1.061%, 11/03/03 55 55 JP Morgan Chase 1.099%, 01/23/04 154 154 Lexington Parker Capital 1.114%, 01/26/04 77 77 Mitten 1.142%, 11/24/03 52 52 1.140%, 10/14/03 62 62 1.120%, 10/15/03 77 77 Park Granada 1.102%, 12/11/03 108 107 Scaldis Capital 1.104%, 02/06/04 31 31 Tannehill Capital 1.165%, 02/23/04 116 115 1.074%, 01/23/04 39 39 White Pine Finance 1.165%, 02/09/04 16 15 1.165%, 02/17/04 46 46 ------- 1,133 ------- HEALTH CARE -- 0.1% Abbott Laboratories 1.121%, 10/21/03 54 54 ------- Total Commercial Paper (Cost $1,187) ($ Thousands) 1,187 ------- U.S. Treasury Obligation -- 0.2% U.S. Treasury Bills (A) 0.930%, 12/18/03 100 99 ------- Total U.S. Treasury Obligation (Cost $99) ($ Thousands) 99 ------- U.S. Government Agency Obligation -- 0.2% FNMA (C) (E) 2.449%, 11/19/03 77 77 ------- Total U.S. Government Agency Obligation (Cost $77) ($ Thousands) 77 ------- Cash Equivalent -- 0.1% AIMInvesco Treasurer's Money Market Reserve Fund (C) 38,540 39 ------- Total Cash Equivalent (Cost $39) ($ Thousands) 39 ------- - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 61 STATEMENT OF NET ASSETS Mid-Cap Fund (Concluded) September 30, 2003 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Repurchase Agreements -- 4.8% Barclays (C) 1.080%, dated 09/30/03, to be repurchased on 10/01/03, repurchase price $154,775 (collateralized by U.S. Government Agency obligations, total market value: $157,867) $ 155 $ 155 Deutsche Bank (C) 1.080%, dated 09/30/03, to be repurchased on 10/01/03, repurchase price $524,159 (collateralized by U.S. Treasury obligations, total market value: $532,424) 524 524 Lehman Brothers (C) 1.080%, dated 09/30/03, to be repurchased on 10/01/03, repurchase price $84,790 (collateralized by U.S. Government Agency obligations, total market value: $86,488) 85 85 Morgan Stanley (D) 0.800%, dated 09/30/03, to be repurchased on 10/01/03, repurchase price $1,190,058 (collateralized by U.S. Treasury obligations, total market value: $1,215,601) 1,190 1,190 ------- Total Repurchase Agreements (Cost $1,954) ($ Thousands) 1,954 ------- Total Investments -- 109.6% (Cost $41,275) ($ Thousands) 45,486 ------- OTHER ASSETS AND LIABILITIES -- (9.6)% Payable Upon Return on Securities Loaned (3,945) Investment Advisory Fees Payable (14) Administration Fees Payable (12) Shareholder Servicing Fees Payable (8) Other Assets and Liabilities, Net (5) ------- Total Other Assets & Liabilities (3,984) ------- - ------------------------------------------------------------ Value Description ($ Thousands) - ------------------------------------------------------------ NET ASSETS: Paid-in-Capital -- Class A (unlimited authorization -- no par value) based on 2,773,715 outstanding shares of beneficial interest $36,998 Undistributed net investment income 119 Accumulated net realized gain on investments 203 Net unrealized appreciation on investments 4,211 Net unrealized depreciation on futures contracts (29) Total Net Assets -- 100.0% $41,502 ------- Net Asset Value, Offering and Redemption Price Per Share -- Class A $14.96 ------- * 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. (B) This security or a partial position of this security is on loan at September 30, 2003 (see Note 8). The total value of securities on loan at September 30, 2003 was $ 3,806,435. (C) This security was purchased with cash collateral held from securities lending (see Note 8). The total value of such securities as of September 30, 2003 was $3,945,150. (D) Tri-Party Repurchase Agreement. (E) The rate reported is the effective yield at time of purchase. (F) Variable Rate Security -- The rate reported on the Statement of Net Assets is the rate in effect as of September 30, 2003. Cl -- Class FNMA -- Federal National Mortgage Association Ser -- Series The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 62 SEI Institutional Managed Trust / Annual Report / September 30, 2003 SCHEDULE OF INVESTMENTS Core Fixed Income Fund September 30, 2003 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Corporate Obligations -- 29.4% CONSUMER DISCRETIONARY -- 3.0% AOL Time Warner 7.700%, 05/01/32 $ 6,500 $ 7,463 7.625%, 04/15/31 (K) 2,305 2,620 COX Communications 7.875%, 08/15/09 750 903 7.125%, 10/01/12 220 254 5.500%, 10/01/15 155 158 4.625%, 06/01/13 120 116 Camp Pendelton (B) 5.937%, 10/01/43 700 700 Comcast 8.875%, 04/01/07 7,765 8,328 7.050%, 03/15/33 (K) 500 548 6.500%, 01/15/15 (K) 1,475 1,625 5.500%, 03/15/11 2,035 2,140 5.300%, 01/15/14 1,130 1,141 Comcast Cable Communications 6.750%, 01/30/11 (K) 7,430 8,379 6.375%, 01/30/06 720 782 Continental Cablevision 9.000%, 09/01/08 1,150 1,403 8.300%, 05/15/06 985 1,114 DaimlerChrysler 7.450%, 03/01/27 1,325 1,380 7.300%, 01/15/12 4,720 5,272 4.750%, 01/15/08 1,530 1,565 4.050%, 06/04/08 3,875 3,836 Ford Motor 9.215%, 09/15/21 1,000 1,042 7.700%, 05/15/97 2,240 2,008 7.450%, 07/16/31 8,320 7,675 6.375%, 02/01/29 9,250 7,539 General Motors 8.375%, 07/15/33 9,555 9,991 Liberty Media 8.250%, 02/01/30 20 23 5.700%, 05/15/13 1,190 1,188 2.640%, 09/17/06 (A) 2,325 2,313 News America Holdings 8.875%, 04/26/23 650 834 8.150%, 10/17/36 3,550 4,366 7.750%, 01/20/24 595 695 7.750%, 12/01/45 225 264 7.300%, 04/30/28 3,285 3,697 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Sears Roebuck Acceptance 7.000%, 06/01/32 $ 795 $ 873 6.750%, 08/15/11 1,375 1,562 6.700%, 04/15/12 885 1,004 6.250%, 05/01/09 300 333 TCI Communications 7.875%, 02/15/26 1,385 1,639 7.125%, 02/15/28 625 688 TCI Communications MTN 6.450%, 02/15/05 2,475 2,682 Target 5.875%, 03/01/12 3,560 3,928 Time Warner 9.150%, 02/01/23 1,805 2,286 6.875%, 06/15/18 1,090 1,209 6.625%, 05/15/29 1,805 1,837 Time Warner Entertainment 8.375%, 03/15/23 2,000 2,473 8.375%, 07/15/33 60 76 Viacom 5.625%, 08/15/12 2,225 2,396 ---------- 114,348 ---------- CONSUMER STAPLES -- 1.9% Albertsons 8.000%, 05/01/31 575 689 Altria Group 7.750%, 01/15/27 6,730 7,024 Anheuser Busch 6.500%, 05/01/42 2,375 2,658 6.000%, 11/01/41 1,000 1,042 Cadbury Schweppes (B) 5.125%, 10/01/13 625 634 Diageo Capital PLC 6.625%, 06/24/04 2,490 2,586 3.375%, 03/20/08 1,050 1,059 Duty Free International (F) (J) 7.000%, 01/15/04 6,825 4,095 General Mills 6.000%, 02/15/12 325 356 5.125%, 02/15/07 1,325 1,426 Kellogg, Ser B 7.450%, 04/01/31 1,340 1,638 6.600%, 04/01/11 6,750 7,710 Kraft Foods 5.625%, 11/01/11 4,615 4,864 Kroger 7.500%, 04/01/31 925 1,091 Nabisco 7.550%, 06/15/15 4,865 5,905 6.375%, 02/01/05 4,130 4,362 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 63 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2003 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Pepsi Bottling Group, Ser B 7.000%, 03/01/29 $ 3,385 $ 3,952 Philip Morris Capital 7.500%, 07/16/09 1,750 1,852 RJ Reynolds Tobacco Holdings, Ser B 7.750%, 05/15/06 7,230 7,212 Sara Lee 6.250%, 09/15/11 2,045 2,300 Secured Finance 9.050%, 12/15/04 2,505 2,698 Wal-Mart Stores 7.550%, 02/15/30 2,440 3,087 3.375%, 10/01/08 4,590 4,618 ---------- 72,858 ---------- ENERGY -- 1.4% Amerada Hess 7.300%, 08/15/31 645 690 7.125%, 03/15/33 165 174 Anadarko Finance, Ser B 7.500%, 05/01/31 1,350 1,632 6.750%, 05/01/11 2,510 2,901 Anderson Exploration 6.750%, 03/15/11 1,245 1,418 Apache 6.250%, 04/15/12 1,565 1,774 Coastal 6.950%, 06/01/28 6,750 4,607 Conoco 7.250%, 10/15/31 530 632 6.950%, 04/15/29 8,170 9,416 6.350%, 10/15/11 3,240 3,661 ConocoPhillips 7.000%, 03/30/29 420 482 5.900%, 10/15/32 10 10 4.750%, 10/15/12 1,670 1,702 Devon Energy 7.950%, 04/15/32 1,775 2,194 Devon Financing (K) 6.875%, 09/30/11 2,000 2,296 Mitchell Energy 6.750%, 02/15/04 2,995 3,039 Petroleos Mexicanos 6.500%, 02/01/05 2,065 2,179 Texas Eastern Transmission 7.000%, 07/15/32 560 621 Tosco 8.125%, 02/15/30 400 515 Valero Energy 7.500%, 04/15/32 55 61 Vastar Resources 6.500%, 04/01/09 5,790 6,651 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- YPF Sociedad Anonima MTN, Ser A 7.750%, 08/27/07 $ 5,000 $ 5,262 ---------- 51,917 ---------- FINANCIALS -- 13.8% ASIF Global Funding (B) 3.850%, 11/26/07 3,705 3,797 American Express Credit (A) (L) 1.170%, 12/17/03 16,393 16,395 1.110%, 01/13/04 5,464 5,464 American General Capital 8.500%, 07/01/30 600 795 American Honda Finance (A) (L) 1.340%, 11/10/03 4,371 4,373 1.305%, 03/15/04 13,661 13,674 Bank One 7.875%, 08/01/10 7,025 8,553 Bank of America 7.400%, 01/15/11 3,110 3,694 6.250%, 04/15/12 4,915 5,499 5.875%, 02/15/09 695 773 3.875%, 01/15/08 475 490 Barclays Bank PLC (B) 8.550%, 09/29/49 2,950 3,670 Bear Stearns 7.000%, 03/01/07 910 1,036 2.875%, 07/02/08 2,785 2,716 CA Preferred Fund Trust 7.000%, 01/29/49 1,000 1,009 CCN Bluegrass (A) (L) 1.190%, 08/18/04 16,393 16,393 CIT Group (A) (L) 2.360%, 01/09/04 3,497 3,504 1.888%, 05/03/04 2,186 2,186 1.860%, 04/08/04 12,896 12,899 1.346%, 12/05/03 8,524 8,512 Capital One Bank 6.700%, 05/15/08 3,660 4,044 4.875%, 05/15/08 10,949 11,341 Citicorp 7.200%, 06/15/07 1,200 1,381 Citigroup 7.250%, 10/01/10 3,200 3,790 6.000%, 02/21/12 (K) 2,410 2,666 5.875%, 02/22/33 1,225 1,240 5.750%, 05/10/06 2,400 2,612 5.625%, 08/27/12 930 998 3.500%, 02/01/08 1,475 1,496 1.444%, 05/04/04 (A) (L) 5,115 5,126 1.350%, 03/09/04 (A) (L) 10,928 10,942 - -------------------------------------------------------------------------------- 64 SEI Institutional Managed Trust / Annual Report / September 30, 2003 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Colonial Realty MTN 6.980%, 09/26/05 $ 7,200 $ 7,835 Concord Minutemen Capital, Ser B (A) (L) 1.370%, 10/09/03 14,863 14,863 Countrywide Home Loans (A) (L) 1.390%, 12/10/03 7,213 7,213 1.360%, 01/13/04 9,027 9,027 1.280%, 05/14/04 5,464 5,463 1.265%, 09/24/04 7,650 7,650 Credit Suisse First Boston USA 6.125%, 11/15/11 (K) 3,145 3,445 4.625%, 01/15/08 3,980 4,193 Dryden Investor Trust (B) (J) 7.157%, 07/23/08 6,611 7,098 EOP Operating 7.875%, 07/15/31 1,260 1,483 Farmers Exchange Capital (B) 7.200%, 07/15/48 1,465 1,297 7.050%, 07/15/28 8,000 7,490 Farmers Insurance Exchange (B) 8.625%, 05/01/24 7,917 8,075 Ford Motor Credit 7.875%, 06/15/10 13,545 14,686 7.375%, 10/28/09 1,900 2,026 7.375%, 02/01/11 1,450 1,524 6.875%, 02/01/06 3,635 3,867 Ford Motor Credit MTN 9.140%, 12/30/14 1,000 1,054 1.590%, 06/30/05 (A) 1,600 1,572 Fund American 5.875%, 05/15/13 925 941 GE Capital Franchise MTN 8.680%, 01/14/04 7,200 7,352 6.860%, 06/15/07 1,850 2,099 General Electric Capital 3.500%, 08/15/07 1,750 1,782 General Electric Capital MTN, Ser A 6.750%, 03/15/32 4,675 5,276 6.125%, 02/22/11 4,955 5,501 6.000%, 06/15/12 675 740 5.875%, 02/15/12 5,100 5,542 General Motors Acceptance 8.000%, 11/01/31 11,255 11,561 7.750%, 01/19/10 360 396 7.250%, 03/02/11 4,210 4,457 7.150%, 06/15/15 (G) 8,200 3,628 6.875%, 09/15/11 6,000 6,228 6.125%, 09/15/06 1,245 1,323 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Goldman Sachs Group 7.350%, 10/01/09 $ 335 $ 394 6.875%, 01/15/11 5,770 6,635 6.600%, 01/15/12 505 572 6.125%, 02/15/33 650 660 1.340%, 05/04/04 (A) (L) 10,928 10,928 1.160%, 12/17/03 (A) (L) 10,928 10,928 HBOS Treasury Services (A) (L) 1.150%, 07/19/04 2,841 2,843 Harwood (A) (L) 1.180%, 06/20/06 5,464 5,464 Heller Financial MTN, Ser I 7.125%, 09/28/04 1,010 1,066 Household Finance 8.000%, 07/15/10 3,475 4,211 7.625%, 05/17/32 950 1,154 7.000%, 05/15/12 3,780 4,361 6.750%, 05/15/11 675 770 6.375%, 10/15/11 2,220 2,468 6.375%, 11/27/12 1,160 1,287 5.875%, 02/01/09 1,215 1,332 4.750%, 07/15/13 2,155 2,122 4.625%, 01/15/08 350 368 2.390%, 03/11/04 (A) (L) 10,218 10,275 1.860%, 04/23/04 (A) (L) 1,093 1,097 International Lease Finance (A) (L) 1.985%, 10/03/03 2,186 2,186 JP Morgan Capital Trust II 7.950%, 02/01/27 580 658 JP Morgan Chase 6.750%, 02/01/11 1,225 1,407 6.625%, 03/15/12 3,690 4,156 5.750%, 01/02/13 790 844 5.250%, 05/30/07 4,675 5,060 3.625%, 05/01/08 1,740 1,761 Korea Development Bank 4.250%, 11/13/07 755 774 Lehman Brothers 8.800%, 03/01/15 1,550 2,019 8.500%, 05/01/07 1,800 2,124 6.500%, 04/15/08 3,920 4,390 Liberty Light US Capital (A) (L) 1.095%, 01/21/04 10,928 10,928 1.090%, 05/17/04 6,557 6,556 Loews 7.000%, 10/15/23 850 859 Massachusetts Mutual Life Insurance (B) 5.625%, 05/15/33 900 870 Merrill Lynch 7.430%, 09/01/22 200 216 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 65 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2003 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Merrill Lynch (A) (L) 1.080%, 04/13/04 $ 10,928 $ 10,928 Merrill Lynch MTN, Ser B 3.375%, 09/14/07 2,100 2,128 Met Life Global Funding (B) 4.750%, 06/20/07 1,100 1,182 Morgan Stanley 6.750%, 04/15/11 1,390 1,588 6.100%, 04/15/06 700 765 5.800%, 04/01/07 1,100 1,213 Nationwide Mutual Insurance (B) 7.875%, 04/01/33 8,430 9,673 Nationwide Mutual Life (B) 8.250%, 12/01/31 1,825 2,176 Pacific Life (B) 6.600%, 09/15/33 615 654 Peoples Bank 9.875%, 11/15/10 6,565 8,069 Principal Life Global Funding (B) 5.250%, 01/15/13 4,800 4,967 Prudential (B) 6.375%, 07/23/06 1,300 1,443 Prudential Financial MTN, Ser B 5.750%, 07/15/33 775 736 RBS Capital Trust B 6.800%, 12/05/49 1,000 999 Royal & Sun 8.950%, 10/15/29 1,100 995 Royal Bank of Scotland Group PLC, Ser 2 8.817%, 03/31/49 5,505 6,042 SLM MTN, Ser 1 (A) 1.330%, 07/25/07 2,570 2,568 Tango (A) (L) 1.380%, 08/13/04 10,928 10,928 Toyota Motor Credit 5.500%, 12/15/08 120 134 UBS Preferred Funding Trust I 8.622%, 10/29/49 2,975 3,694 US Bancorp MTN, Ser N 3.950%, 08/23/07 395 407 3.125%, 03/15/08 2,215 2,211 USA Education (A) (L) 1.290%, 01/23/04 3,891 3,893 Volkswagen Credit (A) (L) 1.290%, 01/22/04 2,186 2,186 Wells Fargo Financial 6.125%, 04/18/12 940 1,043 Zurich Capital Trust I (B) 8.376%, 06/01/37 6,135 7,032 ---------- 529,152 ---------- - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- HEALTH CARE -- 0.2% Bristol-Myers Squibb 6.875%, 08/01/97 $ 680 $ 763 5.750%, 10/01/11 4,530 4,926 Tenet Healthcare 7.375%, 02/01/13 336 339 ---------- 6,028 ---------- INDUSTRIALS -- 4.0% Air 2 US (B) 8.627%, 10/01/20 (J) 5,379 1,889 8.027%, 10/01/19 4,187 3,235 America West Airlines, Ser 99-1 7.930%, 01/02/19 10,641 11,734 American Airlines, Ser 01-2 7.858%, 10/01/11 3,000 3,020 American Airlines, Ser 99-1 7.024%, 10/15/09 4,630 4,523 British Aerospace Financial (B) 7.500%, 07/01/27 5,400 6,115 Burlington North Santa Fe 7.290%, 06/01/36 1,560 1,876 6.750%, 07/15/11 450 521 6.125%, 03/15/09 25 28 CSX 7.950%, 05/01/27 505 622 Caterpillar (A) (L) 1.306%, 03/05/04 5,027 5,031 1.290%, 05/28/04 5,464 5,469 1.260%, 04/08/04 6,557 6,564 1.210%, 07/09/04 10,928 10,928 Continental Airlines, Ser 00-2 7.707%, 04/02/21 1,083 1,056 Continental Airlines, Ser 971A 7.461%, 04/01/15 835 797 Continental Airlines, Ser 974A 6.900%, 01/02/18 7,740 7,474 Continental Airlines, Ser 974C (J) 6.800%, 07/02/07 4,445 3,860 Continental Airlines, Ser 97CI (J) 7.420%, 04/01/07 479 419 Continental Airlines, Ser 99-1 7.256%, 03/15/20 947 932 Continental Airlines, Ser 99-2 (J) 7.730%, 03/15/11 1,385 978 Contintental Airlines, Ser 991A 6.545%, 02/02/19 2,040 1,997 Delta Air Lines, Ser 02-1, Cl G-1 6.718%, 01/02/23 7,895 8,461 Delta Air Lines, Ser 02-1, Cl G-2 (K) 6.417%, 07/02/12 3,900 4,156 - -------------------------------------------------------------------------------- 66 SEI Institutional Managed Trust / Annual Report / September 30, 2003 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Delta Airlines, Ser 2000-1, Cl A2 7.570%, 11/18/10 $ 2,350 $ 2,377 Federal Express, Ser A3 8.400%, 03/23/10 600 688 General Dynamics 4.500%, 08/15/10 590 611 General Electric (L) 1.120%, 01/28/04 5,464 5,465 Lockheed Martin 8.500%, 12/01/29 2,325 3,110 Northwest Airlines, Ser 991C (J) 8.130%, 02/01/14 2,170 1,293 Northwest Airlines, Ser 993C (J) 9.152%, 04/01/10 1,661 1,066 Pitney Bowes Credit 5.750%, 08/15/08 7,080 7,878 Raytheon 4.500%, 11/15/07 700 728 Systems 2001 Asset Trust (B) 6.664%, 09/15/13 1,722 1,930 Tyco International 7.000%, 06/15/28 2,615 2,589 6.875%, 01/15/29 6,310 6,247 6.750%, 02/15/11 (K) 2,190 2,310 6.375%, 10/15/11 (K) 6,420 6,621 US Airways, Ser CLB (J) 7.500%, 04/15/08 2,696 135 United Airlines, Ser 00-2 (H) (J) 7.811%, 10/01/09 982 270 United Airlines, Ser A-3 (H) (J) 8.390%, 01/21/11 1,466 594 United Technology 6.500%, 06/01/09 2,365 2,734 Waste Management 7.375%, 08/01/10 2,480 2,899 7.125%, 12/15/17 8,305 9,499 7.100%, 08/01/26 2,480 2,713 -------- 153,442 -------- INFORMATION TECHNOLOGY -- 0.1% Electronic Data Systems 7.450%, 10/15/29 5,435 5,190 -------- MATERIALS -- 0.6% Dow Chemical 7.375%, 11/01/29 5,795 6,440 6.000%, 10/01/12 325 341 International Paper 5.850%, 10/30/12 700 745 MeadWestavaco 6.850%, 04/01/12 1,930 2,174 Sealed Air (B) 6.875%, 07/15/33 3,000 3,071 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Weyerhaeuser 7.375%, 03/15/32 $ 2,570 $ 2,869 6.875%, 12/15/33 (K) 1,430 1,512 6.750%, 03/15/12 3,730 4,149 ---------- 21,301 ---------- REGIONAL AGENCIES -- 0.8% Aid -- Israel 5.500%, 09/18/23 5,525 5,724 Quebec Province 7.500%, 09/15/29 539 684 Quebec Province, Ser NN 7.125%, 02/09/24 950 1,140 United Mexican States (K) 11.500%, 05/15/26 10,755 15,767 United Mexican States MTN, Ser A 8.000%, 09/24/22 7,480 8,247 ---------- 31,562 ---------- TELECOMMUNICATION SERVICES -- 1.6% AT&T 8.500%, 11/15/31 1,720 2,036 AT&T Wireless Services 8.750%, 03/01/31 1,472 1,821 8.125%, 05/01/12 1,900 2,256 Ameritech Capital 6.250%, 05/18/09 2,165 2,455 BellSouth 6.000%, 10/15/11 700 775 British Telecommunications PLC 8.875%, 12/15/30 1,320 1,730 8.375%, 12/15/10 1,500 1,846 Citizens Communications 8.500%, 05/15/06 1,220 1,400 Deutsche Telekom International 5.250%, 07/22/13 2,590 2,617 Intermedia Communications, Ser B (H) (J) 8.600%, 06/01/08 2,775 2,317 New England Telephone & Telegraph 7.875%, 11/15/29 1,825 2,233 New Jersey Bell Telephone 7.850%, 11/15/29 1,135 1,376 Qwest Capital Funding 7.250%, 02/15/11 7,800 6,942 SBC Communications 5.875%, 08/15/12 780 852 Sprint Capital 8.750%, 03/15/32 (K) 1,910 2,270 8.375%, 03/15/12 2,300 2,713 7.625%, 01/30/11 (K) 4,035 4,548 6.875%, 11/15/28 5,850 5,705 6.000%, 01/15/07 140 151 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 67 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2003 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Verizon Global Funding 7.750%, 12/01/30 $ 1,600 $ 1,922 6.875%, 06/15/12 9,145 10,432 Verizon, Ser A (K) 5.650%, 11/15/11 2,300 2,464 Vodafone Group PLC 6.250%, 11/30/32 1,455 1,501 Worldcom (B) (H) 7.375%, 01/15/49 1,000 330 ---------- 62,692 ---------- UTILITIES -- 2.0% Arizona Public Services 8.000%, 12/30/15 3,740 4,142 Centerpoint Energy (B) 6.950%, 03/15/33 495 549 Conectiv MTN, Ser A 6.730%, 06/01/06 3,220 3,333 DTE Energy 6.450%, 06/01/06 2,060 2,245 Dominion Resources 5.700%, 09/17/12 3,720 3,953 4.125%, 02/15/08 (K) 810 833 Dominion Resources, Ser D 5.125%, 12/15/09 900 948 Dominion Resources, Ser E 6.750%, 12/15/32 550 592 Duke Energy 5.625%, 11/30/12 730 759 4.200%, 10/01/08 800 812 El Paso Electric, Ser E 9.400%, 05/01/11 3,700 4,366 El Paso MTN 7.800%, 08/01/31 (K) 2,530 1,872 7.750%, 01/15/32 5,700 4,218 Exelon (K) 6.750%, 05/01/11 1,260 1,426 FPL Energy (B) 6.639%, 06/20/23 7,600 7,699 FirstEnergy, Ser B 6.450%, 11/15/11 2,665 2,781 FirstEnergy, Ser C 7.375%, 11/15/31 4,195 4,294 Hydro-Quebec, Ser HQ 9.500%, 11/15/30 1,615 2,479 Hydro-Quebec, Ser HY 8.400%, 01/15/22 2,045 2,740 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Hydro-Quebec, Ser JL 6.300%, 05/11/11 $ 2,555 $ 2,928 Kinder Morgan (K) 7.300%, 08/15/33 1,110 1,280 Oncor Electric Delivery (B) 7.250%, 01/15/33 745 853 6.375%, 01/15/15 935 1,026 Power Contract (B) 5.200%, 02/01/06 7,390 7,379 Progress Energy 7.000%, 10/30/31 880 926 Sonat 7.625%, 07/15/11 2,850 2,351 TXU Energy Company (B) (K) 7.000%, 03/15/13 780 848 Virginia Electric & Power, Ser A 5.750%, 03/31/06 2,400 2,602 Williams 8.750%, 03/15/32 4,340 4,286 7.750%, 06/15/31 1,880 1,701 6.250%, 02/01/06 1,130 1,124 Williams, Ser A 7.500%, 01/15/31 1,490 1,326 ---------- 78,671 ---------- Total Corporate Obligations (Cost $1,081,226) ($ Thousands) 1,127,161 ---------- U.S. Government Mortgage-Backed Obligations -- 25.7% FHLMC 9.000%, 12/01/05 20 21 7.500%, 11/01/29 to 09/01/32 15,636 16,726 7.000%, 06/01/15 to 06/01/32 20,401 21,511 6.500%, 08/01/08 to 10/01/31 16,268 17,119 6.000%, 12/01/12 to 09/01/33 26,309 27,358 5.500%, 07/01/11 to 09/15/33 26,695 27,504 5.000%, 05/01/33 to 09/01/33 180,547 180,627 4.000%, 05/01/18 3,800 3,751 FHLMC TBA 7.000%, 10/01/18 4,500 4,773 6.500%, 10/15/33 7,200 7,439 6.000%, 10/01/18 to 10/15/33 26,100 27,003 5.000%, 10/20/18 to 10/15/33 15,700 15,823 4.500%, 10/15/18 8,400 8,474 4.000%, 10/03/07 to 10/20/18 9,000 9,260 FNMA 9.000%, 07/01/07 6 6 8.000%, 02/01/13 to 05/01/23 1,272 1,350 - -------------------------------------------------------------------------------- 68 SEI Institutional Managed Trust / Annual Report / September 30, 2003 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- 7.500%, 11/01/29 to 12/01/31 $ 42 $ 44 7.000%, 01/01/08 to 07/01/32 21,481 22,753 6.500%, 02/01/13 to 07/01/32 20,275 21,295 6.000%, 02/01/13 to 09/01/33 37,901 39,218 5.500%, 12/01/13 to 02/01/17 12,030 12,485 4.500%, 08/01/33 9,078 9,153 4.000%, 09/01/18 to 10/20/18 6,100 6,012 FNMA TBA 8.000%, 10/15/33 1,000 1,074 7.500%, 10/15/33 1,200 1,280 6.500%, 10/15/33 to 10/25/33 13,020 13,544 6.000%, 10/20/18 to 10/15/33 48,450 50,400 5.500%, 10/15/18 to 11/13/33 66,000 67,940 5.000%, 10/15/18 to 11/25/33 69,642 70,644 GNMA 8.500%, 11/15/20 18 20 8.000%, 11/15/29 to 09/15/31 2,170 2,346 7.500%, 05/15/23 to 01/15/32 5,863 6,276 7.000%, 08/15/13 to 11/15/32 3,492 3,716 6.500%, 07/15/14 to 09/15/31 19,700 20,799 6.000%, 03/15/14 to 03/15/32 14,620 15,333 5.500%, 04/15/14 to 07/15/33 11,379 11,794 5.000%, 09/15/33 9,799 9,827 GNMA TBA 7.000%, 10/22/33 3,300 3,505 6.500%, 10/01/33 to 10/22/33 108,280 113,626 6.000%, 11/01/32 to 10/22/33 40,200 41,582 5.000%, 10/01/33 55,300 55,404 4.500%, 10/15/33 14,800 14,328 ---------- Total U.S. Government Mortgage-Backed Obligations (Cost $968,907) ($ Thousands) 983,143 ---------- Asset-Backed Securities -- 21.0% Automotive -- 3.2% AESOP Funding, Ser 2003-4A, Cl A1 (A) 1.350%, 08/20/07 1,900 1,910 Americredit Automobile Receivables Trust, Ser 2000-B, Cl A4 (A) 1.320%, 04/05/07 11,595 11,593 Americredit Automobile Receivables Trust, Ser 2002-1, Cl A3 4.230%, 10/06/06 6,000 6,148 Americredit Automobile Receivables Trust, Ser 2002-A, Cl A3 (A) 1.320%, 10/12/06 14,691 14,689 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Americredit Automobile Receivables Trust, Ser 2002-D, Cl A2 2.040%, 10/12/05 $ 1,378 $ 1,380 Americredit Automobile Receivables Trust, Ser 2003-BX, Cl A2A 1.550%, 11/06/06 2,200 2,203 Capital Auto Receivables Asset Trust, Ser 2002-1, Cl A3 (A) 1.200%, 07/15/05 6,362 6,362 Chesapeake Funding, Ser 2003-1, Cl A1 (A) 1.370%, 08/07/08 18,000 18,000 DaimlerChrysler Master Owner Trust, Ser 2002-A, Cl A (A) 1.180%, 05/15/07 5,000 5,001 Drivetime Auto Owner Trust, Ser 2002-C, Cl A2 (A) 2.200%, 12/17/07 4,734 4,743 Ford Credit Auto Owner Trust, Ser 2002-D, Cl A4B (A) 1.240%, 11/15/06 17,600 17,625 Ford Credit, Ser 2002-A, Cl A3B (A) 1.240%, 01/15/06 13,176 13,177 Onyx Acceptance Auto Trust, Ser 2001-B, Cl A3 4.970%, 09/15/05 845 848 USAA Auto Owner Trust, Ser 2002-1, Cl A2 1.950%, 03/15/05 3,867 3,871 Whole Auto Loan Trust, Ser 2002-1, Cl A2 1.880%, 06/15/05 14,355 14,385 World Omni Auto, Ser 2001-A, Cl A3 5.300%, 02/20/05 205 206 ---------- 122,141 ---------- Credit Cards -- 2.0% Citibank Credit Card, Ser 2001-A5, Cl A5 (A) 1.190%, 06/10/06 12,650 12,646 Citibank Credit Card, Ser 2002-A5, Cl A5 (A) 1.180%, 09/17/07 17,700 17,703 Citibank Credit Card, Ser 2003-A6, Cl A6 (C) 2.900%, 05/17/10 19,875 19,635 Credit Card Merchant Voucher Receipt, Ser 1996-A, Cl A1 6.250%, 12/01/03 256 256 Metris Master Trust, Ser 2000-1, Cl A (A) 1.420%, 08/20/08 2,000 1,940 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 69 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2003 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Metris Master Trust, Ser 2001-3, Cl A (A) 1.350%, 07/21/08 $ 4,000 $ 3,923 Metris Master Trust, Ser 2001-4A, Cl A (A) 1.470%, 08/20/08 2,400 2,356 Sears Credit Account Master Trust, Ser 2002-4, Cl A (A) 1.250%, 08/18/09 13,639 13,624 Sears Credit Account Master Trust, Ser 2002-5, Cl A (A) 1.500%, 11/17/09 6,750 6,757 ---------- 78,840 ---------- Mortgage Related Securities -- 15.6% ABN Amro Mortgage, Ser 2002-3, Cl A4 6.500%, 04/25/17 1,323 1,344 ABS Home Equity Loan Trust, Ser 2001-HE3, Cl A1 (A) 1.390%, 11/15/31 7,832 7,830 ABSC Long Beach, Ser 2000-LB1, Cl AV (A) 1.380%, 08/21/30 1,879 1,877 AFC Home Equity Loan Trust, Ser 1998-1, Cl 1A2 (A) 1.390%, 04/25/28 578 577 AFC Home Equity Loan Trust, Ser 2000-1, Cl 2A (A) 1.360%, 03/25/30 16,508 16,443 AQ Finance NIM Trust, Ser 2003-N6, Cl NOTE (A) 1.420%, 05/25/10 2,335 2,335 ARC Net Interest Margin Trust, Ser 2002-5A, Cl A 7.750%, 07/27/32 779 775 Advanta Mortgage Loan Trust, Ser 1998-3, Cl A2 (A) 1.420%, 09/25/28 410 410 American Business Financial Services, Ser 2002-1, Cl A5 6.510%, 12/15/32 2,600 2,839 American Business Financial Services, Ser 2002-4, Cl A, IO (J) 4.000%, 07/15/05 40,233 1,931 Ameriquest Mortgage Securities, Ser 2002-5, Cl AF1 2.600%, 02/25/33 3,889 3,902 Asset Securitization, Ser 1996-D2, Cl A1 6.920%, 02/14/29 10,072 10,821 Banc of America Funding, Ser 2003-1, Cl A1 6.000%, 05/20/33 4,497 4,565 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Bank of America Alternative Loan Trust, Ser 2003-5, Cl 2A1 5.000%, 07/25/18 $ 8,786 $ 9,012 BankBoston Home Equity Loan Trust, Ser 1998-2, Cl A5 6.140%, 02/25/19 966 994 Bear Stearns Asset Backed Securities, Ser 2000-2, Cl AF3 7.340%, 08/25/30 2,429 2,490 Bear Stearns Asset Backed Securities, Ser 2000-2, Cl M2 8.280%, 08/25/30 8,000 8,452 Bear Stearns Asset Backed Securities, Ser 2001-A, Cl AI4 6.820%, 02/15/31 4,500 4,787 Bear Stearns Asset Backed Securities, Ser 2001-A, Cl AI3 5.930%, 06/15/19 8,864 8,955 CDC Mortgage Capital Trust, Ser 2002-HE3, Cl A (A) 1.610%, 03/25/33 13,103 13,140 CSFB, Ser 1997-C2, Cl AX, IO (A) 1.408%, 01/17/35 41,650 1,546 CSFB, Ser 2001-FL2A, Cl A (A) 1.370%, 09/15/13 13,094 13,081 Chase Commercial Mortgage Securities, Ser 2000-1, Cl A2 7.757%, 04/15/32 3,580 4,219 Chase Funding Loan Acquisition Trust, Ser 2003-C1, Cl 2A1 (A) 1.270%, 05/25/24 15,320 15,308 Chase Funding Mortgage Loan, Ser 2002-1, Cl 2A2 (A) 1.370%, 03/25/32 15,639 15,644 Chase Funding Net Interest Margin, Ser 2003-C1A, Cl NOTE 6.750%, 03/27/36 1,671 1,668 Conseco Finance Home Loan Trust, Ser 2000-E, Cl M1 8.130%, 08/15/31 2,800 2,901 Conseco Finance Securitization, Ser 2000-4, Cl A4 7.730%, 04/01/31 15,115 15,552 Conseco Finance Securitization, Ser 2000-4, Cl A5 7.970%, 05/01/32 4,800 4,461 Conseco Finance Securitization, Ser 2001-1, Cl A5 6.990%, 07/01/32 4,500 4,086 Conseco Finance Securitization, Ser 2001-C, Cl A4 6.190%, 03/15/30 1,000 1,044 - -------------------------------------------------------------------------------- 70 SEI Institutional Managed Trust / Annual Report / September 30, 2003 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Conseco Finance Securitization, Ser 2001-D, Cl A5 6.190%, 11/15/32 $ 4,130 $ 4,377 Contimortgage Home Equity Loan, Ser 1997-1, Cl A9 7.050%, 03/15/28 681 681 Contimortgage Home Equity Loan, Ser 1997-2, Cl A9 7.090%, 04/15/28 1,157 1,157 Contimortgage Home Equity Loan, Ser 1998-1, Cl A6 6.580%, 12/15/18 152 152 Countrywide Asset-Backed Certificates, Ser 2002-S1, Cl A2B 5.151%, 11/25/16 1,373 1,372 Countrywide Home Equity Loan Trust, Ser 2001-A, Cl A (A) 1.360%, 04/15/27 10,004 9,992 Criimi Mae Commercial Mortgage, Ser 1998-C1, Cl A2 7.000%, 06/02/33 14,450 15,804 DLJ Commercial Mortgage, Ser 1999-CG1, Cl A1B 6.460%, 03/10/32 5,030 5,701 DLJ Commercial Mortgage, Ser 1999-CG2, Cl A1B 7.300%, 06/10/32 5,525 6,467 EMC Mortgage Loan Trust, Ser 2002-AA, Cl A1 (A) 1.590%, 05/25/39 9,483 9,507 EQCC Trust, Ser 2002-1, Cl 2A (A) 1.420%, 11/25/31 5,055 5,059 Equity One, Ser 2001-2, Cl AF3 6.132%, 08/25/32 3,000 3,099 Equity One, Ser 2002-2, Cl AF3 5.773%, 10/25/32 12,500 13,314 Equivantage Home Equity Loan Trust, Ser 1997-2, Cl A3 7.275%, 07/25/28 623 623 FFCA Secured Lending, Ser 1997-1, Cl IO, IO (A) (J) 0.636%, 02/18/22 6,301 158 FFCA Secured Lending, Ser 1999-1A, Cl IO, IO (A) (J) 1.735%, 09/18/25 20,365 977 FHLMC Structured Pass Through, Ser T-49, Cl AF1 2.570%, 12/25/32 2,340 2,341 First Union-Lehman Brothers, 1997-C2, Cl IO, IO (A) 1.494%, 11/18/29 6,254 306 Fleet Home Equity Trust, Ser 2001-1, Cl A (A) 1.330%, 05/20/31 725 723 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Fund America Investors, Ser 1993-A, Cl A2 (A) 6.651%, 06/25/23 $ 930 $ 954 GE Capital Mortgage Services, Ser 1997-HE3, Cl A6 6.720%, 10/25/27 3,506 3,640 GMAC Commercial Mortgage Securities, Ser 1998-C1, Cl A2 6.700%, 05/15/30 12,420 14,050 GMAC Commercial Mortgage Securities, Ser 1999-C2, Cl A2 6.945%, 09/15/33 100 115 GMAC Commercial Mortgage Securities, Ser 2003-FL1A, Cl A (A) 1.480%, 03/11/15 7,237 7,237 GS Mortgage Securities, Ser 1998-1, Cl A 8.000%, 09/19/27 485 535 GS Mortgage Securities, Ser 1998-2, Cl A 7.750%, 05/19/27 465 512 GS Mortgage Securities, Ser 1998-C1, Cl A3 6.135%, 10/18/30 4,889 5,327 GS Mortgage Securities, Ser 1999-3, Cl A 8.000%, 08/19/29 1,769 1,967 GSAMP, Ser 2003-SEA, Cl A1 (A) 1.520%, 02/25/33 17,441 17,441 Green Tree Financial, Ser 1993-4, Cl A5 7.050%, 01/15/19 1,275 1,327 Green Tree Financial, Ser 1996-5, Cl A6 7.750%, 07/15/27 3,092 3,269 Green Tree Financial, Ser 1998-6, Cl A6 6.270%, 06/01/30 1,700 1,750 Green Tree Recreational Equipment, Ser 1998-A, Cl A1H 6.710%, 05/15/29 812 847 Green Tree Recreational Equipment, Ser 1997-D, Cl A1HE 6.900%, 03/15/29 732 734 Heller Financial Commercial Mortgage, Ser 1999-PH1, Cl A2 6.847%, 05/15/31 4,200 4,836 Household Home Equity Loan Trust, Ser 2002-1, Cl M (A) 1.940%, 12/22/31 1,595 1,601 Household Home Equity Loan Trust, Ser 2002-3, Cl A (A) 1.570%, 07/20/32 4,362 4,361 Impac CMB Trust, Ser 2001-1, Cl A1 (A) 1.400%, 07/25/31 9,744 9,768 Impac CMB Trust, Ser 2002-5, Cl A1 (A) 1.490%, 07/25/32 16,061 16,072 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 71 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2003 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Indymac Home Equity Loan Trust, Ser 2000-A, Cl AV1 (A) 1.380%, 06/25/31 $ 3,084 $ 3,080 Indymac Home Equity Loan Trust, Ser 2003-A, Cl AV1 (A) 1.280%, 09/25/19 16,656 16,656 Istarwood Asset Receivables Trust, Ser 2002-1A, Cl A1 (A) 1.380%, 05/28/17 4,412 4,409 JP Morgan Chase Commercial Mortgage, Ser 2001-CIB2, Cl A3 6.429%, 04/15/35 5,170 5,839 JP Morgan Chase Commercial Mortgage, Ser 1997-C5, Cl X IO (A) 1.527%, 09/15/29 8,210 423 Master Alternative Loans Trust, Ser 2003-5, Cl 7A1 5.000%, 07/25/18 9,088 9,321 Master Asset Securitization Trust, Ser 2002-6, Cl 2A1 5.750%, 10/25/17 2,357 2,414 Merrill Lynch Mortgage Investors, Ser 1996-C2, Cl A3 6.960%, 11/21/28 6,831 7,431 Merrill Lynch Mortgage Investors, Ser 2002-NC1, Cl A1 (A) 1.440%, 05/25/33 1,838 1,836 Mesa Trust Asset Backed Certificates, Ser 2002-3, Cl A IO (A) (J) 8.000%, 04/18/05 11,659 618 Metropolitan Asset Funding, Ser 1998-A, Cl A4 6.981%, 01/20/26 1,548 1,569 Mid-State Trust, Ser 11, Cl A1 4.864%, 07/15/38 8,728 8,357 Money Store SBA Loan Trust, Ser 1999-1, Cl A (A) 1.800%, 07/15/25 1,076 1,044 Morgan Stanley Capital I, Ser 1998-HF2, Cl A2 6.480%, 11/15/30 4,255 4,805 Morgan Stanley Dean Witter Capital I, Ser 2002-NC4, Cl A2 (A) 1.520%, 09/25/32 5,415 5,420 Nomura Asset Securities, Ser 1996-MD5, Cl A1B 7.120%, 04/13/39 6,100 6,753 Novastar Home, Ser 1998-2, Cl A2 (A) 1.230%, 08/25/28 1,513 1,513 Oncor Electric Delivery Transition Bond, Ser 2003-1, Cl A2 4.030%, 02/15/12 5,000 5,002 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Option One Mortgage Loan Trust, Ser 2001-4, Cl A (A) 1.420%, 01/25/32 $ 14,460 $ 14,461 RALI 5.750%, 11/25/33 8,000 8,045 Residential Accredit Loan, Ser 1997-QS8, Cl A10 7.500%, 08/25/27 879 878 Residential Asset Mortgage, Ser 2002-RS5, Cl AI5 5.410%, 09/25/32 15,000 15,875 Residential Asset Mortgage, Ser 2002-RS6, Cl AI5 5.650%, 11/25/32 9,000 9,114 Residential Asset Mortgage, Ser 2003-RS2, Cl AII (A) 1.460%, 03/25/33 1,709 1,708 Residential Funding Mortgage Securities I, Ser 1996-S14, Cl M1 7.500%, 05/25/26 1,548 1,546 Residential Funding Mortgage Securities I, Ser 1998-S13, Cl A21 6.750%, 06/25/28 816 815 Residential Funding Mortgage Securities I, Ser 1998-S3, Cl M1 6.750%, 02/25/28 8,751 8,741 Residential Funding Mortgage Securities I, Ser 1998-S9, Cl 1A1 6.500%, 04/25/13 324 324 Residential Funding Mortgage Securities I, Ser 1999-S6, Cl A1 6.250%, 02/25/14 3,680 3,756 Residential Funding Mortgage Securities, Ser 1997-HI3, Cl APB 7.180%, 12/25/22 231 230 Residential Funding Mortgage Securities, Ser 2000-HI1, Cl AI7 8.290%, 02/25/25 13,038 14,332 Saxon Asset Securities, Ser 1998-4, Cl AF6 6.400%, 01/25/30 3,097 3,189 Saxon Asset Securities, Ser 1999-1, Cl AF6 6.350%, 02/25/29 5,886 6,077 Structured Asset Investment Loan Trust, Ser 2003-BC7, Cl 1A1 (A) 1.250%, 07/25/33 17,340 17,325 Structured Asset Securities, Ser 2002-26, Cl 1A4 5.300%, 01/25/33 13,200 13,330 Structured Asset Securities, Ser 2002-BC1, Cl A1 (A) 1.620%, 08/25/32 4,034 4,047 - -------------------------------------------------------------------------------- 72 SEI Institutional Managed Trust / Annual Report / September 30, 2003 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Wachovia Bank Commercial Mortgage Trust, Ser 2003-C6, Cl A4 5.125%, 08/15/35 $ 6,350 $ 6,572 Washington Mutual Mortgage, Ser 2002-MS12, Cl A 6.500%, 05/25/32 1,289 1,327 Washington Mutual Mortgage, Ser 2003-MS1, Cl 1A 5.000%, 02/25/18 7,058 7,164 Wells Fargo, Ser 2002-22, Cl 2A7 6.000%, 01/25/33 7,400 7,602 Wells Fargo, Ser 2002-D, Cl 1A2 (A) 5.729%, 08/25/32 2,662 2,703 ---------- 596,793 ---------- Other Asset-Backed Securities-- 0.2% Embarcadero Aircraft, Ser 2000-A, Cl A1 (A) 1.590%, 08/15/25 7,500 4,130 Tobacco Settlement, Ser 2001-A, Cl A 6.360%, 05/15/25 3,009 2,915 ---------- 7,045 ---------- Total Asset-Backed Securities (Cost $807,742) ($ Thousands) 804,819 ---------- U.S. Treasury Obligations -- 18.4% U.S. Treasury Bonds 12.000%, 08/15/13 (K) 22,200 31,457 11.875%, 11/15/03 410 415 10.375%, 11/15/12 (K) 11,970 15,615 9.250%, 02/15/16 (K) 5,160 7,594 8.875%, 08/15/17 (K) 2,780 4,038 8.500%, 02/15/20 (K) 17,225 24,706 8.125%, 08/15/19 (K) 25,520 35,369 8.000%, 11/15/21 4,500 6,242 7.125%, 02/15/23 8,500 10,885 6.750%, 08/15/26 23,729 29,509 6.125%, 11/15/27 8,500 9,845 6.000%, 02/15/26 (K) 8,580 9,780 5.375%, 02/15/31 (K) 18,875 20,255 5.250%, 02/15/29 1,028 1,066 4.250%, 01/15/10 (E) 33,099 38,849 3.875%, 04/15/29 (E) 31,075 39,140 3.625%, 04/15/28 (E) (K) 11,449 13,796 1.875%, 07/15/13 (E) (K) 13,587 13,515 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- U.S. Treasury Notes 5.000%, 08/15/11 (K) $ 51,777 $ 56,635 4.375%, 08/15/12 (K) 4,050 4,223 4.250%, 08/15/13 (K) 84,150 86,264 4.000%, 11/15/12 (K) 16,600 16,797 3.125%, 09/15/08 (K) 56,520 57,306 3.000%, 11/15/07 700 715 2.375%, 08/15/06 80,000 81,109 2.000%, 08/31/05 (K) 32,885 33,240 1.625%, 09/30/05 17,450 17,502 U.S. Treasury STRIPS (I) 5.970%, 11/15/21 (K) 43,310 16,725 5.860%, 08/15/28 7,665 2,047 5.830%, 02/15/23 8,175 2,929 5.320%, 11/15/27 690 190 4.780%, 11/15/22 (K) 40,990 14,880 U.S. Treasury STRIPS PO (I) 5.770%, 08/15/22 2,500 921 ---------- Total U.S. Treasury Obligations (Cost $681,581) ($ Thousands) 703,559 ---------- U.S. Government Agency Obligations -- 13.2% FHLB 4.500%, 09/16/13 1,880 1,876 3.925%, 11/28/08 (K) 5,500 5,520 3.830%, 11/28/08 (K) 5,875 5,894 3.785%, 11/21/08 (K) 9,350 9,380 1.040%, 11/18/03 (I) 12,200 12,185 1.030%, 10/01/03 (I) 11,300 11,300 1.010%, 10/08/03 to 10/15/03 (I) (K) 32,900 32,892 1.000%, 10/22/03 (I) 11,250 11,250 FHLMC 7.000%, 03/15/10 (K) 4,075 4,842 6.875%, 09/15/10 (K) 4,720 5,588 6.750%, 03/15/31 2,950 3,502 6.625%, 09/15/09 (K) 7,875 9,174 6.000%, 06/15/11 (K) 6,865 7,764 4.625%, 05/28/13 (K) 3,750 3,730 3.625%, 09/15/08 5,680 5,787 3.500%, 04/01/08 (K) 5,050 5,088 1.085%, 12/04/03 (I) 8,445 8,429 1.020%, 10/09/03 to 11/18/03 (I) (K) 27,270 27,246 0.980%, 10/15/03 (I) 7,630 7,627 FHLMC CMO, Ser 1, Cl Z 9.300%, 04/15/19 593 594 FHLMC CMO, Ser 1005, Cl D 6.500%, 10/15/05 60 60 FHLMC CMO, Ser 1081, Cl K 7.000%, 05/15/21 1,074 1,077 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 73 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2003 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- FHLMC CMO, Ser 1101, Cl M 6.950%, 07/15/21 $ 2,107 $ 2,119 FHLMC CMO, Ser 2277, Cl B 7.500%, 01/15/31 5,922 6,063 FHLMC CMO, Ser 2332, Cl ZH 7.000%, 07/15/31 13,377 14,352 FHLMC CMO, Ser 2544, Cl IW, IO 5.500%, 03/15/26 7,039 1,102 FHLMC CMO, Ser 2690, Cl PV 5.000%, 10/01/32 3,250 3,189 FHLMC, Ser 1683, Cl D 6.500%, 05/15/21 5,675 5,758 FHLMC, Ser 1983, Cl Z 6.500%, 12/15/23 8,710 8,761 FHLMC, Ser 2389, Cl CD 6.000%, 03/15/16 11,518 12,311 FHLMC, Ser 2410, Cl PD 6.500%, 10/15/30 13,500 14,189 FHLMC, Ser 2480, Cl QJ 6.000%, 02/15/30 10,193 10,467 FHLMC, Ser 2579, Cl PI, IO 5.500%, 03/15/27 10,718 842 FHLMC, Ser 2625, Cl IO, IO 5.000%, 12/15/31 4,459 696 FHLMC, Ser 2631, Cl IJ, IO 5.000%, 10/15/26 3,780 706 FNMA 7.250%, 01/15/10 (K) 8,890 10,684 7.125%, 06/15/10 (K) 18,050 21,615 6.625%, 10/15/07 to 11/15/10 (K) 18,370 21,257 6.125%, 03/15/12 9,600 10,923 6.000%, 05/15/08 to 05/15/11 (K) 18,395 20,765 5.750%, 02/15/08 (K) 4,985 5,563 4.375%, 07/17/13 (K) 5,205 5,087 3.250%, 08/15/08 (K) 690 694 2.449%, 11/19/03 (I) (L) 10,928 10,912 1.750%, 06/16/06 (K) 5,800 5,737 1.230%, 10/22/03 (C) (I)(K) 18,275 18,264 1.075%, 01/07/04 (I) 2,010 2,005 1.060%, 10/15/03 (I) 1,565 1,565 1.040%, 10/29/03 (I) 10,635 10,626 1.030%, 11/19/03 (I) 11,615 11,599 FNMA CMO, Ser 2003-16, Cl KA 6.000%, 04/25/30 4,528 4,645 FNMA CMO, Ser 1990-58, Cl J 7.000%, 05/25/20 1,089 1,182 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- FNMA CMO, Ser 1990-93, Cl G 5.500%, 08/25/20 $ 522 $ 541 FNMA CMO, Ser 1991-156, Cl A 7.500%, 10/25/21 225 229 FNMA CMO, Ser 1996-45, Cl K 7.000%, 09/25/21 625 674 FNMA CMO, Ser 1999-11, Cl Z 5.500%, 03/25/29 9,002 8,921 FNMA CMO, Ser 1999-T2, Cl A1 7.500%, 01/19/39 1,076 1,179 FNMA CMO, Ser 2001-T2, Cl B 6.022%, 11/25/10 4,500 5,070 FNMA CMO, Ser 2002-65, Cl TP 7.000%, 03/25/31 5,879 6,109 FNMA CMO, Ser G92-30, Cl Z 7.000%, 06/25/22 1,050 1,126 FNMA STRIPS, Ser 329, Cl 1, PO (I) 6.680%, 01/01/33 7,116 5,742 FNMA STRIPS, Ser 333, Cl 1, PO (I) 5.000%, 03/01/33 9,566 7,622 FNMA STRIPS, Ser 334, Cl 3, IO 5.500%, 02/01/33 7,082 1,466 FNMA STRIPS, Ser 339, Cl 8, IO 5.500%, 07/01/33 9,627 1,852 FNMA, Ser 2002-22, Cl PE 6.500%, 11/25/30 8,800 9,053 FNMA, Ser 2002-94, Cl BJ, IO 5.500%, 04/25/16 4,700 269 GNMA CMO, Ser 2001-18, Cl WH (A) 27.440%, 04/20/31 2,734 3,279 GNMA CMO, Ser 2002-51, Cl SG (A) 27.646%, 04/20/31 2,284 2,711 GNMA, Ser 2003-58, Cl LG, IO 5.500%, 05/17/29 4,036 961 SLMA (I) 1.065%, 01/13/04 1,000 997 SLMA, Ser 2003-3, Cl A2 (A) 1.160%, 06/15/10 7,975 7,982 Small Business Administration, Ser 2003-P10A, Cl 1 4.524%, 02/10/13 7,687 7,549 TVA 7.125%, 05/01/30 4,950 6,158 ---------- Total U.S. Government Agency Obligations (Cost $501,889) ($ Thousands) 503,973 ---------- - -------------------------------------------------------------------------------- 74 SEI Institutional Managed Trust / Annual Report / September 30, 2003 - ------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Commercial Paper (I) -- 5.3% CONSUMER STAPLES -- 0.0% Kraft Foods 1.940%, 02/26/04 $ 2,070 $ 2,070 ---------- FINANCIALS -- 5.1% Amstel Funding (L) 1.136%, 03/15/04 10,928 10,872 1.111%, 11/05/03 10,928 10,917 CIT Group 1.070%, 10/09/03 18,500 18,495 Concord Minutemen Capital (L) 1.084%, 01/21/04 10,928 10,892 1.060%, 10/02/03 10,236 10,236 Crown Point Capital (L) 1.061%, 11/03/03 7,858 7,851 GECC 1.050%, 10/21/03 14,690 14,681 JP Morgan Chase (L) 1.099%, 01/23/04 21,857 21,781 Lexington Parker Capital (L) 1.114%, 01/26/04 10,928 10,889 Mitten (L) 1.142%, 11/24/03 7,431 7,419 1.140%, 10/14/03 8,743 8,739 1.120%, 10/15/03 10,928 10,924 Park Granada (L) 1.102%, 12/11/03 15,355 15,321 Scaldis Capital (L) 1.104%, 02/06/04 4,397 4,380 Tannehill Capital (L) 1.165%, 02/23/04 16,393 16,316 1.074%, 01/23/04 5,496 5,477 White Pine Finance (L) 1.165%, 02/09/04 2,199 2,190 1.165%, 02/17/04 6,593 6,563 ---------- 193,943 ---------- HEALTH CARE -- 0.2% Abbott Laboratories (L) 1.121%, 10/21/03 7,650 7,645 ---------- Total Commercial Paper (Cost $203,659) ($ Thousands) 203,658 ---------- Cash Equivalents -- 0.6% Fidelity Institutional Domestic Portfolio, Cl I 17,115,234 17,115 AIMInvesco Treasurer's Money Market Reserve Fund (L) 5,464,229 5,464 ---------- Total Cash Equivalents (Cost $22,579) ($ Thousands) 22,579 ---------- - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Municipal BondS -- 0.4% California State, Department of Water, Ser E, RB 3.975%, 05/01/05 $ 1,750 $ 1,787 Illinois State, GO 5.100%, 06/01/33 11,500 10,709 Los Angeles County, California Taxable Pension Obligation, Ser D, RB, MBIA (G) 7.725%, 06/30/10 3,850 2,859 ---------- Total Municipal Bonds (Cost $15,559) ($ Thousands) 15,355 ---------- Repurchase Agreements -- 17.4% ABN Amro (D) 1.090%, dated 09/30/03, to be repurchased on 10/01/03, repurchase price $163,382,278 (collateralized by U.S. Government Agency obligations, total market value: $166,645,516) 163,377 163,377 ABN Amro (D) 1.050%, dated 09/30/03, to be repurchased on 10/01/03, repurchase price $70,002,042 (collateralized by U.S. Government Agency obligations, total market value: $71,400,800) 70,000 70,000 Barclays (L) 1.080%, dated 09/30/03, to be repurchased on 10/01/03, repurchase price $21,944,126 (collateralized by U.S. Government Agency obligations, total market value: $22,382,547) 21,943 21,943 Deutsche Bank (L) 1.080%, dated 09/30/03, to be repurchased on 10/01/03, repurchase price $71,315,739 (collateralized by U.S. Treasury obligations, total market value: $75,487,570) 74,314 74,314 Lehman Brothers (L) 1.080%, dated 09/30/03, to be repurchased on 10/01/03, repurchase price $12,021,664 (collateralized by U.S. Government Agency obligations, total market value: $12,262,281) 12,021 12,021 Merrill Lynch (D) 1.080%, dated 09/30/03, to be repurchased on 10/01/03, repurchase price $325,933,778 (collateralized by U.S. Government Agency obligations, total market value: $332,446,934) 325,924 325,924 ---------- Total Repurchase Agreements (Cost $667,579) ($ Thousands) 667,579 ---------- Total Investments -- 131.4% (Cost $4,950,721) ($ Thousands) $5,031,826 ========== - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 75 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Concluded) September 30, 2003 - ------------------------------------------------------------- Market Value Description Shares ($ Thousands) - ------------------------------------------------------------- WRITTEN Options -- (0.1)% December 2003 Treasury Bond Future Put CBT, Expires 11/22/03, Strike Price $102 (190) $ (41) December 2003 Ten Year Treasury Note Put CBT, Expires 11/22/03, Strike Price $109.5 (125) (14) March 2004 Ten Year Treasury Note Call CBT, Expires 02/21/04, Strike Price $114 (290) (652) December 2003 Ten Year Treasury Note Put CBT, Expires 11/22/03, Strike Price $112 (199) (131) December 2003 Ten Year Treasury Note Put CBT, Expires 11/22/03, Strike Price $115 (65) (112) December 2003 Ten Year Treasury Note Put CBT, Expires 11/22/03, Strike Price $107 (129) (16) December 2003 Ten Year Treasury Note Call CBT, Expires 11/22/03, Strike Price $115 (291) (391) December 2003 Treasury Bond Future Put CBT, Expires 11/22/03, Strike Price $106 (231) (133) March 2004 Treasury Bond Future Call CBT, Expires 02/21/04, Strike Price $116 (105) (189) December 2003 Treasury Bond Future Call CBT, Expires 11/22/03, Strike Price $110 (106) (388) December 2003 Treasury Bond Future Call CBT, Expires 11/22/03, Strike Price $109 (134) (584) December 2003 Treasury Bond Future Call CBT, Expires 11/22/03, Strike Price $111 (258) (782) December 2003 Treasury Bond Future Put CBT, Expires 11/22/03, Strike Price $103 (389) (103) ---------- Total Written Options (Premium Received $(2,677)) ($ Thousands) $ (3,536) ========== - -------------------------------------------------------------------------------- Description - -------------------------------------------------------------------------------- Percentages are based on Net Assets of $3,829,359,747. (A) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2003. (B) 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, unless otherwise indicated, under guidelines established by the Board of Trustees. (C) Security or a partial position of this security have been pledged as collateral on open futures and written option contracts. (D) Tri-Party Repurchase Agreement. (E) Treasury Inflation Index Notes (F) 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 September 30, 2003 was $4,095,000. (G) Zero-coupon security. The rate reported is the effective yield at the date of purchase. (H) In default on interest payments. (I) The rate reported is the effective yield at time of purchase. (J) Securities considered illiquid. The total value of such securities as of September 30, 2003 was $27,697,794. (K) This security or a partial position of this security is on loan at September 30, 2003 (see Note 8). The total value of securities on loan at September 30, 2003 was $538,397,180. (L) This security was purchased with cash collateral held from securities lending (see Note 8). The total value of such securities as of September 30, 2003 was $ 559,347,113. CBT -- Chicago Board of Trade Cl -- Class CMO -- Collateralized Mortgage Obligation FHLB -- Federal Home Loan Bank FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GNMA -- Government National Mortgage Association GO -- General Obligation IO -- Interest Only Security MBIA -- Municipal Bond Insurance Association MTN -- Medium Term Note PLC -- Public Limited Company PO -- Principal Only Security RB -- Revenue Bond Ser -- Series SLMA -- Student Loan Marketing Association STRIPS -- Separate Trading of Registered Interest and Principal of Securities TBA -- To Be Announced TVA -- Tennessee Valley Authority The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 76 SEI Institutional Managed Trust / Annual Report / September 30, 2003 STATEMENT OF NET ASSETS High Yield Bond Fund September 30, 2003 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Corporate Obligations -- 97.4% CONSUMER DISCRETIONARY -- 34.5% AMC Entertainment 9.500%, 03/15/09 $ 250 $ 259 9.500%, 02/01/11 250 262 Advanced Accessory (A) 10.750%, 06/15/11 1,875 2,016 Advanstar Communications (A) 10.750%, 08/15/10 2,225 2,298 Alderwoods Group 12.250%, 01/02/09 750 831 Alliance Atlantis Communications 13.000%, 12/15/09 4,260 4,888 American Color Graphics (A) 10.000%, 06/15/10 1,500 1,586 American Media Operation 8.875%, 01/15/11 400 428 American Media Operation, Ser B 10.250%, 05/01/09 3,450 3,687 American Tower Escrow (E) 10.310%, 08/01/08 1,475 981 Amerigas Partner, Ser B 8.875%, 05/20/11 800 858 Ameristar Casinos 10.750%, 02/15/09 3,585 4,078 Amscan Holdings 9.875%, 12/15/07 500 511 Argosy Gaming 10.750%, 06/01/09 5,155 5,651 9.000%, 09/01/11 2,700 2,936 Asbury Automotive 9.000%, 06/15/12 1,750 1,750 Aviall (A) 7.625%, 07/01/11 2,500 2,562 Aztar 8.875%, 05/15/07 460 482 Bally Total Fitness Holding (A) 10.500%, 07/15/11 4,685 4,931 Bally Total Fitness Holding, Ser D 9.875%, 10/15/07 3,620 3,475 Buffets 11.250%, 07/15/10 1,500 1,560 Buhrmann US (G) 12.250%, 11/01/09 3,500 3,885 CBD Media (A) 8.625%, 06/01/11 1,350 1,434 CSC Holdings 9.875%, 02/15/13 2,500 2,603 7.250%, 07/15/08 2,815 2,808 CSC Holdings, Ser B 8.125%, 08/15/09 500 515 7.625%, 04/01/11 2,675 2,668 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- CSK Auto 12.000%, 06/15/06 $4,310 $ 4,816 Central Garden & Pet 9.125%, 02/01/13 5,765 6,284 Charter Communications Holdings 13.850%, 01/15/11 (B) (G) 1,750 1,094 10.750%, 10/01/09 9,710 7,938 10.250%, 09/15/10 (A) 500 504 10.000%, 04/01/09 1,900 1,501 10.000%, 05/15/11 (G) 1,375 1,048 9.625%, 11/15/09 1,075 830 Chattem, Ser B 8.875%, 04/01/08 750 750 Collins & Aikman Floorcovering, Ser B 9.750%, 02/15/10 1,350 1,424 Corus Entertainment 8.750%, 03/01/12 1,500 1,635 Dana (G) 9.000%, 08/15/11 1,050 1,150 Dex Media East 12.125%, 11/15/12 1,350 1,630 Dex Media West (A) 9.875%, 08/15/13 3,160 3,571 Direct TV Holdings/Finance (A) 8.375%, 03/15/13 1,655 1,866 Dura Operating, Ser B 8.625%, 04/15/12 2,000 2,075 Dura Operating, Ser D (G) 9.000%, 05/01/09 1,075 1,000 Echostar DBS 9.375%, 02/01/09 4,975 5,305 6.375%, 10/01/11 (A) 1,450 1,450 Elizabeth Arden, Ser B 11.750%, 02/01/11 700 798 Entravision Communications (G) 8.125%, 03/15/09 1,725 1,807 Granite Broadcasting 8.875%, 05/15/08 1,575 1,514 Group 1 Automotive (A) (G) 8.250%, 08/15/13 2,420 2,608 Hasbro 8.500%, 03/15/06 2,860 3,132 Herbst Gaming, Ser B 10.750%, 09/01/08 1,000 1,111 Hollywood Casino Shreveport (C) 13.000%, 08/01/06 2,525 1,846 Hollywood Entertainment 9.625%, 03/15/11 5,615 6,106 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 77 STATEMENT OF NET ASSETS High Yield Bond Fund (Continued) September 30, 2003 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Home Interior & Gifts 10.125%, 06/01/08 $2,225 $ 2,258 Houghton Mifflin 10.500%, 10/15/13 (A) (B) 1,350 769 9.875%, 02/01/13 2,800 2,968 Interface, Ser B 9.500%, 11/15/05 1,530 1,400 Intrawest 10.500%, 02/01/10 2,000 2,207 Isle of Capri Casinos 9.000%, 03/15/12 2,175 2,365 JC Penney 7.600%, 04/01/07 2,660 2,873 Jack In the Box 8.375%, 04/15/08 2,705 2,800 Jacobs Entertainment 11.875%, 02/01/09 3,350 3,584 Jafra Cosmetics (A) 10.750%, 05/15/11 1,000 1,085 Jo-Ann Stores 10.375%, 05/01/07 1,085 1,139 John Q Hammons Hotels, Ser B 8.875%, 05/15/12 2,300 2,490 Juno Lighting 11.875%, 07/01/09 925 1,013 Kerzner International 8.875%, 08/15/11 2,550 2,764 Lamar Media 8.625%, 09/15/07 500 516 7.250%, 01/01/13 750 784 Le-Natures (A) 9.000%, 06/15/13 1,000 1,045 Levi Strauss (G) 12.250%, 12/15/12 2,350 1,880 Liberty Group Operating 9.375%, 02/01/08 1,000 995 Lodgenet Entertainment 9.500%, 06/15/13 3,850 4,081 MGM Mirage 8.500%, 09/15/10 575 647 Mediacom LLC 9.500%, 01/15/13 500 474 Meritage (A) 9.750%, 06/01/11 600 657 Michaels Stores 9.250%, 07/01/09 6,485 7,101 Mobile Mini (A) 9.500%, 07/01/13 1,500 1,605 Mothers Work 11.250%, 08/01/10 2,190 2,420 Nebraska Book 8.750%, 02/15/08 2,350 2,432 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Nexstar Holdings LLC (B) 10.480%, 04/01/13 $2,575 $ 1,802 Nextmedia Operating 10.750%, 07/01/11 4,500 5,040 Oxford Industries (A) 8.875%, 06/01/11 3,700 3,940 Paxson Communications (B) 11.530%, 01/15/09 2,950 2,338 Penn National Gaming 8.875%, 03/15/10 2,710 2,917 Penn National Gaming, Ser B 11.125%, 03/01/08 5,575 6,251 Perry Ellis International (A) 8.875%, 09/15/13 1,000 1,020 Phillips Van-Heusen 9.500%, 05/01/08 1,940 1,998 8.125%, 05/01/13 (A) 2,235 2,341 Pinnacle Entertainment (G) 8.750%, 10/01/13 4,075 4,034 Pinnacle Entertainment, Ser B 9.250%, 02/15/07 250 255 Prime Hospitality, Ser B 8.375%, 05/01/12 1,150 1,133 Primedia 8.875%, 05/15/11 1,400 1,452 8.000%, 05/15/13 (A) 2,825 2,853 Quebecor Media 11.125%, 07/15/11 3,575 4,075 RH Donnelley 10.875%, 12/15/12 (A) 3,025 3,570 10.875%, 12/15/12 (G) 2,000 2,360 8.875%, 12/15/10 (A) 500 560 Rayovac (A) 8.500%, 10/01/13 1,100 1,133 Rent-A-Center, Ser B 7.500%, 05/01/10 2,750 2,891 Rexnord (G) 10.125%, 12/15/12 300 333 Royal Caribbean Cruises 8.750%, 02/02/11 4,815 5,248 8.000%, 05/15/10 500 528 7.250%, 03/15/18 500 463 Salem Communications Holding, Ser B 9.000%, 07/01/11 3,440 3,702 Salton 12.250%, 04/15/08 2,800 2,737 10.750%, 12/15/05 565 555 Simmons, Ser B 10.250%, 03/15/09 3,055 3,246 Sinclair Broadcast Group 8.750%, 12/15/11 3,725 4,051 4.875%, 07/15/18 (A) 850 781 - -------------------------------------------------------------------------------- 78 SEI Institutional Managed Trust / Annual Report / September 30, 2003 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Six Flags 9.750%, 06/15/07 $1,905 $ 1,872 Spanish Broadcasting 9.625%, 11/01/09 4,285 4,531 Speedway Motorsports (A) 6.750%, 06/01/13 350 354 Sun Media 7.625%, 02/15/13 1,550 1,628 Susquehanna Media 8.500%, 05/15/09 1,350 1,418 7.375%, 04/15/13 1,250 1,294 TRW Automotive (A) 9.375%, 02/15/13 2,200 2,475 Tenneco Automotive (A) 10.250%, 07/15/13 1,400 1,519 Town Sports International 9.625%, 04/15/11 4,025 4,287 Travelcenters of America 12.750%, 05/01/09 2,500 2,850 Trump Holdings & Funding 11.625%, 03/15/10 2,125 1,899 Tuesday Morning, Ser B 11.000%, 12/15/07 3,350 3,455 Turning Stone Casino Entertainment (A) 9.125%, 12/15/10 3,400 3,651 United Auto Group 9.625%, 03/15/12 6,925 7,566 United Components (A) 9.375%, 06/15/13 2,700 2,808 United Rentals (A) 10.750%, 04/15/08 1,500 1,661 United Rentals, Ser B 10.750%, 04/15/08 1,500 1,661 9.500%, 06/01/08 4,850 5,020 8.800%, 08/15/08 300 308 Vail Resorts 8.750%, 05/15/09 1,500 1,577 Venetian Casino/LV Sands 11.000%, 06/15/10 1,250 1,425 Vertis (A) 9.750%, 04/01/09 1,000 1,053 Vertis, Ser B 10.875%, 06/15/09 1,250 1,284 Vivendi Universal (A) 9.250%, 04/15/10 555 638 Von Hoffman 10.250%, 03/15/09 1,000 1,068 Warnaco (A) 8.875%, 06/15/13 1,620 1,737 William Carter, Ser B 10.875%, 08/15/11 4,000 4,460 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Williams Scotsman 9.875%, 06/01/07 $ 500 $ 493 Worldspan Finance (A) 9.625%, 06/15/11 4,575 4,792 Wynn Las Vegas LLC 12.000%, 11/01/10 5,800 6,612 XM Satellite Radio (A) 12.000%, 06/15/10 4,000 4,330 Yell Finance 11.700%, 08/01/11 (B) 2,665 2,372 10.750%, 08/01/11 1,300 1,492 Yum! Brands 8.875%, 04/15/11 935 1,089 ---------- 337,374 ---------- CONSUMER STAPLES -- 5.1% American Seafood 10.125%, 04/15/10 1,100 1,287 Burns Philp Capital (A) 10.750%, 02/15/11 1,300 1,358 9.750%, 07/15/12 (G) 2,900 2,900 9.500%, 11/15/10 225 235 Commonwealth Brands (A) 10.625%, 09/01/08 2,650 2,835 Del Monte (A) 8.625%, 12/15/12 1,950 2,130 Del Monte, Ser B 9.250%, 05/15/11 1,000 1,097 Delhaize America 8.125%, 04/15/11 500 550 Dole Foods 8.875%, 03/15/11 1,000 1,065 7.250%, 06/15/10 500 502 Dominos (A) 8.250%, 07/01/11 2,150 2,271 Fleming (C) (G) 10.125%, 04/01/08 2,175 359 9.250%, 06/15/10 400 66 Hines Nurseries (A) 10.250%, 10/01/11 500 523 Jarden 9.750%, 05/01/12 365 393 Johnsondiversey (A) (B) 9.820%, 05/15/13 3,175 2,207 Johnsondiversey, Ser B 9.625%, 05/15/12 675 732 Merisant (A) (G) 9.500%, 07/15/13 1,750 1,873 National Beef Packing (A) 10.500%, 08/01/11 750 818 New World Pasta 9.250%, 02/15/09 400 106 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 79 STATEMENT OF NET ASSETS High Yield Bond Fund (Continued) September 30, 2003 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Pathmark Stores 8.750%, 02/01/12 $ 750 $ 769 8.750%, 02/01/12 (A) 500 510 Petco Animal Supplies 10.750%, 11/01/11 6,325 7,274 Premier International Foods PLC 12.000%, 09/01/09 1,800 1,971 Rite Aid 11.250%, 07/01/08 4,715 5,281 9.500%, 02/15/11 (G) 1,200 1,356 9.250%, 06/01/13 (A) (G) 4,125 4,373 8.125%, 05/01/10 (A) 1,250 1,331 7.700%, 02/15/27 1,050 908 6.875%, 08/15/13 400 374 Stater Brother Holdings 10.750%, 08/15/06 2,000 2,095 ---------- 49,549 ---------- ENERGY -- 3.3% Baytex Energy 9.625%, 07/15/10 2,425 2,537 Chesepeake Energy 7.750%, 01/15/15 1,000 1,055 7.500%, 09/15/13 (A) 1,200 1,260 Citgo Petroleum (A) 11.375%, 02/01/11 2,000 2,260 Clark R&M 8.875%, 11/15/07 485 495 Compton Petroleum 9.900%, 05/15/09 2,875 3,105 Encore Acquisition 8.375%, 06/15/12 2,000 2,100 Energy Partners (A) 8.750%, 08/01/10 2,890 2,962 Giant Industries 11.000%, 05/15/12 2,100 2,069 Grant Prideco 9.000%, 12/15/09 675 727 Houston Exploration (A) 7.000%, 06/15/13 350 349 Magnum Hunter 9.600%, 03/15/12 1,250 1,363 Mission Resources, Ser C 10.875%, 04/01/07 900 675 Nuevo Energy, Ser B 9.500%, 06/01/08 883 928 9.375%, 10/01/10 300 325 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Parker Drilling, Ser D 9.750%, 11/15/06 $ 100 $ 102 Plains E&P, Ser B 8.750%, 07/01/12 500 535 Premcor Refining Group 9.500%, 02/01/13 2,260 2,486 7.500%, 06/15/15 625 623 Pride International 9.375%, 05/01/07 537 553 Sesi LLC (G) 8.875%, 05/15/11 2,000 2,120 Stone Energy 8.250%, 12/15/11 2,000 2,120 Tesoro Petroleum, Ser B 9.000%, 07/01/08 350 341 Tom Brown 7.250%, 09/15/13 900 932 ---------- 32,022 ---------- FINANCIALS -- 6.0% American Express Credit (D) (H) 1.170%, 12/17/03 1,974 1,974 1.110%, 01/13/04 658 658 American Honda Finance (D) (H) 1.340%, 11/10/03 526 527 1.305%, 03/15/04 1,645 1,647 CB Richard Ellis Service 11.250%, 06/15/11 3,650 3,950 CBRE Escrow (A) 9.750%, 05/15/10 725 785 CCN Bluegrass (D) (H) 1.190%, 08/18/04 1,974 1,974 CIT Group (D) (H) 2.360%, 01/09/04 421 422 1.888%, 05/03/04 263 263 1.860%, 04/08/04 1,553 1,553 1.346%, 12/05/03 1,027 1,026 Citigroup (D) (H) 1.444%, 05/04/04 616 617 1.350%, 03/09/04 1,316 1,318 Concord Minutemen Capital, Ser B (D) (H) 1.370%, 10/09/03 1,790 1,790 Countrywide Home Loans (D) (H) 1.390%, 12/10/03 869 869 1.360%, 01/13/04 1,087 1,087 1.280%, 05/14/04 658 658 1.265%, 09/24/04 921 921 Felcor Lodging 9.000%, 06/01/11 750 799 Forest City Enterprises 7.625%, 06/01/15 2,225 2,314 - -------------------------------------------------------------------------------- 80 SEI Institutional Managed Trust / Annual Report / September 30, 2003 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Goldman Sachs Group (D) (H) 1.340%, 05/04/04 $1,316 $ 1,316 1.160%, 12/17/03 1,316 1,316 HBOS Treasury Services (D) (H) 1.150%, 07/19/04 342 342 Harwood (D) (H) 1.180%, 06/20/06 658 658 Household Finance (D) (H) 2.390%, 03/11/04 1,231 1,237 1.860%, 04/23/04 132 132 IOS Capital LLC 7.250%, 06/30/08 600 582 International Lease Finance (D) (H) 1.985%, 10/03/03 263 263 JP Morgan Chase (A) 8.000%, 06/20/08 4,924 4,998 La Quinta Properties (A) 8.875%, 03/15/11 1,570 1,702 Liberty Light US Capital (D) (H) 1.095%, 01/21/04 1,316 1,316 1.090%, 05/17/04 790 790 Meristar Hospitality 10.500%, 06/15/09 1,150 1,242 9.125%, 01/15/11 85 89 Merrill Lynch (D) (H) 1.080%, 04/13/04 1,316 1,316 Nexstar Finance LLC 12.000%, 04/01/08 1,900 2,128 Qwest Tranche A Loan (D) 6.500%, 06/30/07 2,300 2,355 Qwest Tranche B Loan (D) 6.950%, 06/30/10 2,050 2,001 Senior Housing 7.875%, 04/15/15 2,025 2,126 Sovereign Bancorp 10.500%, 11/15/06 1,500 1,785 Tango (D) (H) 1.380%, 08/13/04 1,316 1,316 Thornburg Mortgage 8.000%, 05/15/13 3,230 3,311 USA Education (D) (H) 1.290%, 01/23/04 469 469 Volkswagen Credit (D) (H) 1.290%, 01/22/04 263 263 ---------- 58,205 ---------- HEALTH CARE -- 6.6% Aaipharma (G) 11.000%, 04/01/10 6,625 7,387 Alaris Medical 7.250%, 07/01/11 1,000 1,005 Alliance Imaging 10.375%, 04/15/11 750 780 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Alpharma (A) 8.625%, 05/01/11 $2,920 $ 2,935 Ameripath 10.500%, 04/01/13 300 321 Ardent Health Services (A) 10.000%, 08/15/13 850 890 Beverly Enterprises 9.000%, 02/15/06 435 442 Concentra Operating 13.000%, 08/15/09 2,175 2,414 9.500%, 08/15/10 (A) (G) 400 418 Extendicare Health Services 9.350%, 12/15/07 5,170 5,325 Hanger Orthopedic Group 11.250%, 06/15/09 1,865 2,084 10.375%, 02/15/09 5,010 5,592 Iasis Healthcare 8.500%, 10/15/09 575 595 Icon Health & Fitness, Ser B 11.250%, 04/01/12 750 804 Kinetic Concepts (A) 7.375%, 05/15/13 1,375 1,403 Medex (A) 8.875%, 05/15/13 1,500 1,586 Medquest, Ser B 11.875%, 08/15/12 1,150 1,213 NBTY, Ser B 8.625%, 09/15/07 1,750 1,803 Ndchealth 10.500%, 12/01/12 1,925 2,089 Norcross Safety Products (A) 9.875%, 08/15/11 1,650 1,741 Province Healthcare 7.500%, 06/01/13 1,340 1,333 Psychiatric Solutions (A) 10.625%, 06/15/13 1,700 1,857 Select Medical 9.500%, 06/15/09 4,155 4,560 Sybron Dental Specialties 8.125%, 06/15/12 2,100 2,237 Tenet Healthcare (G) 7.375%, 02/01/13 4,275 4,307 Triad Hospitals Holdings, Ser B 11.000%, 05/15/09 1,510 1,661 Vicar Operating 9.875%, 12/01/09 6,910 7,670 ---------- 64,452 ---------- INDUSTRIALS -- 14.4% Ainsworth Lumber 12.500%, 07/15/07 2,300 2,633 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 81 STATEMENT OF NET ASSETS High Yield Bond Fund (Continued) September 30, 2003 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Alliant Techsystems 8.500%, 05/15/11 $ 985 $ 1,074 Allied Holdings, Ser B 8.625%, 10/01/07 950 885 Allied Waste North America, Ser B 10.000%, 08/01/09 9,110 9,873 American Achievement, Ser B 11.625%, 01/01/07 3,000 3,345 Amsted Industries (A) 10.250%, 10/15/11 2,275 2,448 Armor Holdings (A) 8.250%, 08/15/13 500 529 Associated Materials 9.750%, 04/15/12 2,000 2,115 Atrium, Ser B 10.500%, 05/01/09 1,000 1,070 BE Aerospace 9.500%, 11/01/08 1,000 910 BE Aerospace, Ser B (G) 8.875%, 05/01/11 1,750 1,514 Brand Services 12.000%, 10/15/12 500 552 Brickman Group, Ser B 11.750%, 12/15/09 2,600 2,925 Case New Holland (A) 9.250%, 08/01/11 6,270 6,740 Casella Waste Systems 9.750%, 02/01/13 1,000 1,085 Caterpillar (D) (H) 1.306%, 03/05/04 605 606 1.290%, 05/28/04 658 659 1.260%, 04/08/04 790 790 1.210%, 07/09/04 1,316 1,316 Coinmach 9.000%, 02/01/10 3,325 3,541 Continental Airlines 8.000%, 12/15/05 4,825 4,427 Corrections of America 9.875%, 05/01/09 1,500 1,684 Delta Airlines 7.900%, 12/15/09 3,085 2,291 7.700%, 12/15/05 1,870 1,664 Esterline Technologies (A) 7.750%, 06/15/13 500 530 Evergreen International Aviation (A) 12.000%, 05/15/10 500 455 General Binding 9.375%, 06/01/08 1,000 1,000 General Electric (D) (H) 1.120%, 01/28/04 658 658 Grey Wolf 8.875%, 07/01/07 341 348 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Gulfmark Offshore 8.750%, 06/01/08 $ 650 $ 660 HLI Operating (A) 10.500%, 06/15/10 3,345 3,646 Holmes Group, Ser B 9.875%, 11/15/07 1,500 1,432 Hornbeck 10.625%, 08/01/08 2,575 2,826 Huntsman Materials (A) 11.000%, 07/15/10 1,000 1,040 IESI 10.250%, 06/15/12 1,000 1,085 Integrated Electric Services, Ser C 9.375%, 02/01/09 1,760 1,813 Integrated Electrical Services, Ser B 9.375%, 02/01/09 750 772 Interface 10.375%, 02/01/10 2,315 2,321 Interline Brands (A) 11.500%, 05/15/11 1,950 2,096 Iron Mountain 8.625%, 04/01/13 2,000 2,130 8.125%, 05/15/08 133 138 7.750%, 01/15/15 1,000 1,033 JSG Funding PLC 9.625%, 10/01/12 2,000 2,190 Jacuzzi Brands (A) 9.625%, 07/01/10 4,150 4,306 K. Hovnanian 9.125%, 05/01/09 175 186 8.875%, 04/01/12 (G) 1,000 1,070 7.750%, 05/15/13 (A) (G) 875 901 Meritage 9.750%, 06/01/11 2,225 2,436 NMHG Holding 10.000%, 05/15/09 1,000 1,100 National Waterworks, Ser B 10.500%, 12/01/12 2,300 2,513 Nortek Holdings, Ser B 9.875%, 06/15/11 1,375 1,454 9.250%, 03/15/07 500 515 8.875%, 08/01/08 250 259 North American Van Lines 13.375%, 12/01/09 1,000 1,125 Offshore Logistic 6.125%, 06/15/13 600 573 PCA Finance 11.875%, 08/01/09 1,000 1,090 Reddy Ice Group (A) 8.875%, 08/01/11 1,000 1,046 - -------------------------------------------------------------------------------- 82 SEI Institutional Managed Trust / Annual Report / September 30, 2003 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- SCG Holding & Semiconductor (G) 12.000%, 08/01/09 $ 675 $ 704 Samsonite 10.750%, 06/15/08 6,125 6,401 Seabulk International (A) 9.500%, 08/15/13 1,450 1,455 Sequa 9.000%, 08/01/09 1,000 1,095 Southern Star Cent (A) 8.500%, 08/01/10 1,000 1,060 Standard Pacific 9.500%, 09/15/10 1,840 2,033 7.750%, 03/15/13 (G) 550 561 Stericycle, Ser B 12.375%, 11/15/09 210 242 Synargo Technologies 9.500%, 04/01/09 2,000 2,190 TD Funding (A) (G) 8.375%, 07/15/11 2,600 2,795 Tech Olympic USA 10.375%, 07/01/12 675 726 9.000%, 07/01/10 1,550 1,635 Tempur-Pedic (A) (G) 10.250%, 08/15/10 1,800 1,953 Terex 9.250%, 07/15/11 1,000 1,095 Titan (A) 8.000%, 05/15/11 500 585 URS, Ser B 12.250%, 05/01/09 1,550 1,589 Universal City Development (A) 11.750%, 04/01/10 1,900 2,138 Wackenhut Corrections (A) 8.250%, 07/15/13 450 469 Westinghouse Air Brake (A) 6.875%, 07/31/13 1,000 1,013 Xerox 9.750%, 01/15/09 2,090 2,320 7.625%, 06/15/13 2,805 2,766 Xerox Capital 8.000%, 02/01/27 7,275 6,147 ---------- 140,395 ---------- INFORMATION TECHNOLOGY -- 3.0% AMI Semiconductor 10.750%, 02/01/13 2,000 2,260 Amkor Technologies (G) 10.500%, 05/01/09 5,035 5,362 7.750%, 05/15/13 (A) 2,900 2,914 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Cooperative Computing (A) 10.500%, 06/15/11 $ 725 $ 783 Fairchild Semiconductor 10.500%, 02/01/09 4,300 4,784 Fisher Scientific International (A) 8.000%, 09/01/13 245 259 Flextronics International (A) 6.500%, 05/15/13 825 819 On Semiconductor 13.000%, 05/15/08 750 855 12.000%, 03/15/10 (G) 1,250 1,466 Rhythms Netconnections (C) (F) 12.750%, 04/15/09 1,137 -- Sanmina-SCI 10.375%, 01/15/10 4,200 4,925 Stoneridge 11.500%, 05/01/12 2,515 2,873 Unisys 8.125%, 06/01/06 1,855 2,013 ---------- 29,313 ---------- MATERIALS -- 8.2% AEP Industries 9.875%, 11/15/07 250 245 AK Steel 7.750%, 06/15/12 2,050 1,414 Anchor Glass Container 11.000%, 02/15/13 225 252 BWay (A) 10.000%, 10/15/10 2,725 2,943 Berry Plastics 10.750%, 07/15/12 1,000 1,115 Buckeye Technologies 9.250%, 09/15/08 4,355 4,377 8.500%, 10/01/13 (A) 1,600 1,648 Cascades (A) 7.250%, 02/15/13 1,275 1,300 Constar International 11.000%, 12/01/12 1,225 1,029 Crown Euro Holdings (A) 10.875%, 03/01/13 (G) 3,550 3,914 9.500%, 03/01/11 1,650 1,774 Equistar Chemical 10.625%, 05/01/11 (A) (G) 4,975 4,925 10.125%, 09/01/08 525 520 Fastentech (A) 11.500%, 05/01/11 1,675 1,750 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 83 STATEMENT OF NET ASSETS High Yield Bond Fund (Continued) September 30, 2003 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Foamex (G) 10.750%, 04/01/09 $ 225 $ 201 9.875%, 06/15/07 2,750 1,787 Georgia-Pacific 9.375%, 02/01/13 6,710 7,490 8.875%, 05/15/31 950 955 7.700%, 06/15/15 850 829 Graham Packaging (A) 8.750%, 01/15/08 750 767 Graphic Packaging International (A) 9.500%, 08/15/13 1,500 1,646 HMP Equity Holdings (E) 15.430%, 05/15/08 2,000 970 Hexcel 9.750%, 01/15/09 500 521 Huntsman ICI Chemicals (G) 10.125%, 07/01/09 2,825 2,684 Huntsman International LLC 15.470%, 12/31/09 (E) (G) 300 118 9.875%, 03/01/09 100 105 9.875%, 03/01/09 (A) 925 971 IMC Global, Ser B 11.250%, 06/01/11 1,050 1,092 Jarden 9.750%, 05/01/12 5,890 6,339 Koppers (A) 9.875%, 10/15/13 1,700 1,700 Lyondell Chemical 11.125%, 07/15/12 200 196 10.500%, 06/01/13 1,575 1,504 Lyondell Chemical, Ser A 9.625%, 05/01/07 1,200 1,140 Oregon Steel Mills (G) 10.000%, 07/15/09 775 635 Owens-Brockway Glass 8.750%, 11/15/12 275 295 8.250%, 05/15/13 (A) 275 280 Owens-Illinois 8.100%, 05/15/07 3,070 3,151 Plastipak Holdings 10.750%, 09/01/11 1,000 1,095 Pliant 13.000%, 06/01/10 1,775 1,651 11.125%, 09/01/09 (A) 1,100 1,183 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Resolution Performance 13.500%, 11/15/10 $1,550 $ 1,387 9.500%, 04/15/10 600 612 Rockwood Specialties (A) 10.625%, 05/15/11 2,000 2,130 Scotts 8.625%, 01/15/09 500 528 Seminis Vegetable Seeds (A) 10.250%, 10/01/13 875 934 Silgan Holdings 9.000%, 06/01/09 950 983 Stone Container 9.750%, 02/01/11 1,000 1,090 8.375%, 07/01/12 1,000 1,050 Trimas 9.875%, 06/15/12 1,000 1,015 US Can (A) 10.875%, 07/15/10 1,000 1,013 United Industries, Ser D 9.875%, 04/01/09 775 798 United States Steel LLC 9.750%, 05/15/10 750 769 Weslake Chemical (A) 8.750%, 07/15/11 1,400 1,453 ---------- 80,273 ---------- TELECOMMUNICATION SERVICES -- 10.6% ACC Escrow (A) 10.000%, 08/01/11 3,000 3,225 American Tower (G) 9.375%, 02/01/09 10,670 10,883 Avaya 11.125%, 04/01/09 525 608 Block Communications 9.250%, 04/15/09 2,000 2,140 Centennial Cell (A) 10.125%, 06/15/13 2,325 2,395 Cincinnati Bell (A) 7.250%, 07/15/13 5,325 5,272 Crown Castle International 10.750%, 08/01/11 5,745 6,377 10.160%, 05/15/11 (B) (G) 2,450 2,462 9.000%, 05/15/11 (G) 1,000 1,032 8.480%, 08/01/11 (B) 1,000 995 - -------------------------------------------------------------------------------- 84 SEI Institutional Managed Trust / Annual Report / September 30, 2003 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Dobson Communications (A) 8.875%, 10/01/13 $2,450 $ 2,478 Fairpoint Communications 12.500%, 05/01/10 1,000 1,065 11.875%, 03/01/10 (G) 925 1,054 GCI (F) 9.750%, 08/01/07 470 476 Insight Midwest (G) 10.500%, 11/01/10 575 601 Level 3 Financing (A) 10.750%, 10/15/11 2,225 2,214 Nextel Communications 12.000%, 11/01/08 4,800 5,130 9.500%, 02/01/11 250 276 9.375%, 11/15/09 2,300 2,495 7.375%, 08/01/15 5,150 5,201 Nextel Partners 11.000%, 03/15/10 4,560 4,982 8.125%, 07/01/11 (A) 1,750 1,706 Nortel Networks 6.125%, 02/15/06 5,385 5,412 Panamsat 8.500%, 02/01/12 1,500 1,571 Primus Telecommunications Group 12.750%, 10/15/09 1,175 1,245 11.250%, 01/15/09 300 310 Primus Telecommunications Group, Ser B 9.875%, 05/15/08 125 122 Qwest Capital Funding 7.000%, 08/03/09 1,000 893 5.875%, 08/03/04 2,000 1,980 Qwest Services (A) (G) 13.500%, 12/15/10 3,835 4,468 Rural Cellular 9.875%, 02/01/10 (A) 3,225 3,185 9.750%, 01/15/10 (G) 1,050 956 Spectrasite (A) 8.250%, 05/15/10 3,745 3,951 Time Warner Telecommunications LLC 10.125%, 02/01/11 2,750 2,743 9.750%, 07/15/08 3,050 3,004 Triton PCS 9.375%, 02/01/11 4,375 4,452 8.750%, 11/15/11 500 499 Western Wireless (A) (G) 9.250%, 07/15/13 4,000 4,080 WorldCom (C) (G) 8.250%, 05/15/10 2,500 825 8.250%, 05/15/31 3,850 1,271 ---------- 104,034 ---------- - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- UTILITIES -- 5.7% AES 10.000%, 07/15/05 (A) (G) $1,250 $ 1,287 9.500%, 06/01/09 5,190 5,346 9.000%, 05/15/15 (A) 2,000 2,115 8.750%, 05/15/13 (A) 2,000 2,100 Airgas 9.125%, 10/01/11 2,500 2,775 CMS Energy (A) 7.750%, 08/01/10 225 223 Calpine 8.625%, 08/15/10 275 194 8.500%, 02/15/11 (G) 8,865 6,250 Calpine Canada Energy 8.500%, 05/01/08 2,350 1,692 Dynegy Holdings 10.125%, 07/15/13 (A) 250 264 9.875%, 07/15/10 (A) 350 365 8.750%, 02/15/12 (G) 2,125 1,944 6.875%, 04/01/11 (G) 2,675 2,240 El Paso (G) 7.875%, 06/15/12 350 294 7.750%, 06/01/13 (A) 1,925 1,829 Fimep 10.500%, 02/15/13 2,200 2,486 Gulfterra Energy Partners, Ser B 8.500%, 06/01/10 825 889 Northwest Pipeline 8.125%, 03/01/10 425 461 Reliant Resources (A) 9.500%, 07/15/13 700 630 Semco Energy (A) 7.750%, 05/15/13 1,000 1,007 7.125%, 05/15/08 500 503 Sonat (G) 7.625%, 07/15/11 10,455 8,625 Southern Natural Gas 8.875%, 03/15/10 725 776 Star Gas Partner 10.250%, 02/15/13 2,000 2,130 Teco Energy 7.500%, 06/15/10 250 253 Tennessee Gas Pipeline 7.500%, 04/01/17 500 478 Transmontaigne (A) 9.125%, 06/01/10 850 905 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 85 STATEMENT OF NET ASSETS High Yield Bond Fund (Concluded) September 30, 2003 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Williams 9.250%, 03/15/04 $6,300 $ 6,426 8.625%, 06/01/10 325 345 7.750%, 06/15/31 1,300 1,177 ---------- 56,009 ---------- Total Corporate Obligations (Cost $914,433) ($ Thousands) 951,626 ---------- Commercial Paper (J) -- 2.2% FINANCIALS -- 2.1% Amstel Funding (H) 1.136%, 03/15/04 1,316 1,309 1.111%, 11/05/03 1,316 1,315 Concord Minutemen Capital (H) 1.084%, 01/21/04 1,316 1,312 1.060%, 10/02/03 1,233 1,233 Crown Point Capital (H) 1.061%, 11/03/03 946 945 GE Capital 0.900%, 10/01/03 770 770 JP Morgan Chase (H) 1.099%, 01/23/04 2,632 2,623 Lexington Parker Capital (H) 1.114%, 01/26/04 1,316 1,311 Mitten (H) 1.142%, 11/24/03 895 893 1.140%, 10/14/03 1,053 1,052 1.120%, 10/15/03 1,316 1,316 Park Granada (H) 1.102%, 12/11/03 1,849 1,845 Scaldis Capital (H) 1.104%, 02/06/04 530 527 Tannehill Capital (H) 1.165%, 02/23/04 1,974 1,965 1.074%, 01/23/04 662 660 White Pine Finance (H) 1.165%, 02/09/04 265 264 1.165%, 02/17/04 794 790 ---------- 20,130 ---------- HEALTH CARE -- 0.1% Abbott Laboratories (H) 1.121%, 10/21/03 921 921 ---------- Total Commercial Paper (Cost $21,051) ($ Thousands) 21,051 ---------- U.S. Government Agency Obligation -- 0.1% FNMA (H) (J) 2.449%, 11/19/03 1,316 1,314 ---------- Total U.S. Government Agency Obligation (Cost $1,314) ($ Thousands) 1,314 ---------- - ------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Convertible Bonds -- 0.2% Lamar Advertising, CV to 19.4148 shares 2.875%, 12/31/10 $ 625 $ 573 Nextel Communications, CV to 13.44 shares 5.250%, 01/15/10 1,000 933 Province Healthcare, CV to 36.0972 shares 4.250%, 10/10/08 500 457 ---------- Total Convertible Bonds (Cost $2,052) ($ Thousands) 1,963 ---------- Preferred/Convertible Stocks -- 1.4% Calpine Capital Trust 20,000 910 Crown Castle International PIK* 1,032 1,117 Crown Castle, CV to 1.3559 shares* 50,000 1,950 CSC Holdings, Ser M 28,750 3,004 Granite* 19,500 1,423 Paxson Communications PIK* 19,326 1,739 Pegasus Satellite, Ser A1 PIK* 14 1 Primedia, Ser D (G) 26,500 2,544 Primedia, Ser G 6,000 545 ---------- Total Preferred/Convertible Stocks (Cost $12,688) ($ Thousands) 13,233 ---------- Warrants -- 0.0% American Tower, Expires 08/01/08 1,475 181 Horizon PCS, Expires 10/01/10 (F) 3,100 -- IPCS, Expires 07/15/10 (F) 1,250 -- Iwo Holdings, Expires 01/15/11 (F) 1,850 -- Leap Wireless International, Expires 04/15/10 (F) 4,700 -- Pegasus Communications, Expires 01/01/07 250 -- Travelcenters of America, Expires 05/01/09 (F) 10,000 100 ---------- Total Warrants (Cost $22) ($ Thousands) 281 ---------- Cash Equivalents -- 1.4% Evergreen Select Money Market Fund 12,974,652 12,975 AIMInvesco Treasurer's Money Market Reserve Fund (H) 658,031 658 ---------- Total Cash Equivalents (Cost $13,633) ($ Thousands) 13,633 ---------- - -------------------------------------------------------------------------------- 86 SEI Institutional Managed Trust / Annual Report / September 30, 2003 - ------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------------------- Repurchase Agreements -- 1.5% Barclays (H) 1.080%, dated 09/30/03, to be repurchased on 10/01/03, repurchase price $2,642,628 (collateralized by U.S. Government Agency obligations, total market value: $2,695,425) $2,643 $ 2,643 Deutsche Bank (H) 1.080%, dated 09/30/03, to be repurchased on 10/01/03, repurchase price $8,949,496 (collateralized by U.S. Treasury obligations, total market value: $9,090,614) 8,949 8,949 Lehman Brothers (H) 1.080%, dated 09/30/03, to be repurchased on 10/01/03, repurchase price $1,447,713 (collateralized by U.S. Government Agency obligations, total market value: $1,476,689) 1,448 1,448 Morgan Stanley (I) 1.010%, dated 09/30/03, to be repurchased on 10/01/03, repurchase price $1,481,289 (collateralized by U.S. Government Agency obligations, total market value: $1,510,873) 1,481 1,481 ---------- Total Repurchase Agreements (Cost $14,521) ($ Thousands) 14,521 ---------- Total Investments -- 104.2% (Cost $979,714) ($ Thousands) 1,017,622 ---------- OTHER ASSETS AND LIABILITIES -- (4.2)% Payable Upon Return on Securities Loaned (67,360) Investment Advisory Fees Payable (340) Administration Fees Payable (278) Shareholder Servicing Fees Payable (35) Other Assets and Liabilities, Net 27,050 Total Other Assets & Liabilities (40,963) ---------- - ------------------------------------------------------------ Value Description ($ Thousands) - ------------------------------------------------------------ NET ASSETS: Paid-in-Capital -- Class A (unlimited authorization -- no par value) based on 116,662,763 outstanding shares of beneficial interest $1,138,445 Distributions in excess of net investment income (4) Accumulated net realized loss on investments (199,690) Net unrealized appreciation on investments 37,908 Total Net Assets -- 100.0% $ 976,659 ========== Net Asset Value, Offering and Redemption Price Per Share -- Class A $8.37 ===== * Non-income producing security. (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 Statement of Net Assets is the effective yield on September 30, 2003. The coupon on a step bond changes on a specified date. (C) In default on interest payments. (D) Variable Rate Security -- The rate reported on the Statement of Net Assets is the rate in effect as of September 30, 2003. (E) Zero-coupon security. The rate reported is the effective yield at the date of purchase. (F) Security considered illiquid. The total value of such security as of September 30, 2003 was $576,051. (G) This security or a partial position of this security is on loan at September 30, 2003 (see Note 8). The total value of securities on loan at September 30, 2003 was $64,128,581. (H) This security was purchased with cash collateral held from securities lending (see Note 8). The total value of such securities as of September 30, 2003 was $67,359,547. (I) Tri-Party Repurchase Agreement. (J) The rate reported is the effective yield at time of purchase. CV -- Convertible Security FNMA -- Federal National Mortgage Association LLC -- Limited Liability Company PIK -- Payment-in-Kind PLC -- Public Limited Company Ser -- Series Amounts designated as "--" are zero or have been rounded to zero. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 87 This page intentionally left blank. Statement of Assets and Liabilities ($ Thousands) September 30, 2003 - ------------------------------------------------------------------------------- CORE FIXED INCOME FUND - ------------------------------------------------------------------------------- ASSETS: Investments at value (Cost $4,283,142) $4,364,247 Repurchase agreements (Cost $667,579) 667,579 Receivable for investment securities sold 558,712 Interest receivable 27,907 Receivable for capital shares sold 3,882 Variation margin receivable 728 - ------------------------------------------------------------------------------- Total Assets 5,623,055 - ------------------------------------------------------------------------------- LIABILITIES: Options written, at value (premium received $2,677) 3,536 Payable for investment securities purchased 1,220,002 Payable for portfolio shares redeemed 7,329 Income distribution payable 1,072 Bank overdraft 293 Payable upon return on securities loaned 559,347 Investment advisory fees payable 753 Administration fees payable 874 Shareholder servicing fees payable 149 Administration servicing fees payable 1 Accrued expense payable 339 - ------------------------------------------------------------------------------- Total Liabilities 1,793,695 - ------------------------------------------------------------------------------- Total Net Assets $3,829,360 =============================================================================== NET ASSETS: Paid-in-Capital -- Class A (unlimited authorization -- no par value) based on 357,064,989 outstanding shares of beneficial interest $3,700,443 Paid-in-Capital -- Class I (unlimited authorization -- no par value) based on 554,013 outstanding shares of beneficial interest 5,852 Undistributed net investment income 129 Accumulated net realized gain on investments 41,252 Net unrealized appreciation on investments and option contracts 80,246 Net unrealized appreciation on futures contracts 1,438 - -------------------------------------------------------------------------------- Total Net Assets -- 100.0% $3,829,360 =============================================================================== Net Asset Value, Offering and Redemption Price Per Share -- Class A ($3,823,428,650 / 357,064,989 shares) $10.71 - -------------------------------------------------------------------------------- Net Asset Value, Offering and Redemption Price Per Share -- Class I ($5,931,097 / 554,013 shares) $10.71 =============================================================================== The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 89 Statements of Operations ($ Thousands) For the year ended September 30, 2003
- --------------------------------------------------------------------------------------------------------------------------- TAX-MANAGED LARGE CAP LARGE CAP TAX-MANAGED LARGE CAP VALUE GROWTH SMALL CAP FUND FUND FUND FUND - --------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME: Dividends $ 26,855 $ 80,967 $ 27,418 $ 1,187 Interest 624 1,177 1,625 108 Income from Securities Lending 173 465 621 49 Less: Foreign Taxes Withheld (48) (74) (160) (2) - --------------------------------------------------------------------------------------------------------------------------- Total Investment Income 27,604 82,535 29,504 1,342 - --------------------------------------------------------------------------------------------------------------------------- EXPENSES: Investment Advisory Fees 6,387 11,733 13,598 984 Administration Fees 5,582 11,733 11,898 530 Shareholder Servicing Fees -- Class A 3,984 8,361 8,473 378 Shareholder Servicing Fees -- Class I -- 20 26 -- Shareholder Servicing Fees -- Class Y 5 -- -- -- Administration Servicing Fees -- Class I -- 20 26 -- Custodian/Wire Agent Fees 166 349 350 14 Printing Fees 88 180 187 8 Professional Fees 27 54 57 3 Registration Fees 16 34 36 5 Trustee Fees 16 32 33 1 Litigation Fees (See Note 10) -- -- -- -- Other Expenses 32 62 57 5 - --------------------------------------------------------------------------------------------------------------------------- Total Expenses 16,303 32,578 34,741 1,928 - --------------------------------------------------------------------------------------------------------------------------- Less, Waiver of: Investment Advisory Fees (1,013) (3,266) (1,870) (163) Shareholder Servicing Fees (1,727) (798) (3,966) (101) - --------------------------------------------------------------------------------------------------------------------------- Net Expenses 13,563 28,514 28,905 1,664 - --------------------------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME (LOSS) 14,041 54,021 599 (322) =========================================================================================================================== NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net Realized Gain (Loss) on: Investments (77,910) (90,241) (35,331) 5,422 Futures Contracts 12,326 13,656 14,280 2,229 Written Options -- -- -- -- Net Change in Unrealized Appreciation (Depreciation) on: Investments 423,997 686,917 655,072 38,973 Futures Contracts 1,134 960 (316) (78) Written Options -- -- -- -- - --------------------------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $373,588 $665,313 $634,304 $46,224 ===========================================================================================================================
Amounts designated as "--" are zero or have been rounded to zero. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 90 SEI Institutional Managed Trust / Annual Report / September 30, 2003
- ----------------------------------------------------------------------------------------------------------------------------------- SMALL SMALL CAP VALUE CAP GROWTH MID-CAP CORE FIXED HIGH YIELD FUND FUND FUND INCOME FUND BOND FUND - ----------------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME: Dividends $ 11,223 $ 1,587 $ 617 $ -- $ 328 Interest 268 1,128 10 158,964 82,601 Income from Securities Lending 118 526 5 816 87 Less: Foreign Taxes Withheld (12) (3) -- -- -- - ----------------------------------------------------------------------------------------------------------------------------------- Total Investment Income 11,597 3,238 632 159,780 83,016 - ----------------------------------------------------------------------------------------------------------------------------------- EXPENSES: Investment Advisory Fees 4,647 4,793 136 10,041 4,326 Administration Fees 2,502 2,581 119 10,224 3,106 Shareholder Servicing Fees -- Class A 1,784 1,835 85 9,113 2,218 Shareholder Servicing Fees -- Class I 4 8 -- 16 -- Shareholder Servicing Fees -- Class Y -- -- -- -- -- Administration Servicing Fees -- Class I 4 8 -- 16 -- Custodian/Wire Agent Fees 74 72 3 388 88 Printing Fees 39 38 1 209 50 Professional Fees 11 11 1 70 17 Registration Fees 8 7 1 48 15 Trustee Fees 7 7 -- 36 8 Litigation Fees (See Note 10) -- -- -- 129 -- Other Expenses 17 17 4 452 71 - ----------------------------------------------------------------------------------------------------------------------------------- Total Expenses 9,097 9,377 350 30,742 9,899 - ----------------------------------------------------------------------------------------------------------------------------------- Less, Waiver of: Investment Advisory Fees (177) (205) -- (1,233) (538) Shareholder Servicing Fees (1,051) (1,053) (10) (7,454) (1,819) - ----------------------------------------------------------------------------------------------------------------------------------- Net Expenses 7,869 8,119 340 22,055 7,542 - ----------------------------------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME (LOSS) 3,728 (4,881) 292 137,725 75,474 =================================================================================================================================== NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net Realized Gain (Loss) on: Investments 33,829 28,384 569 83,792 20,228 Futures Contracts 5,311 10,340 91 (15,753) -- Written Options -- -- -- 7,997 -- Net Change in Unrealized Appreciation (Depreciation) on: Investments 143,526 257,095 8,036 8,015 66,579 Futures Contracts (223) 555 12 6,753 -- Written Options -- -- -- 1,338 -- - ----------------------------------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $186,171 $291,493 $9,000 $229,867 $162,281 ====================================================================================================================================
- -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 91 Statements of Changes in Net Assets ($ Thousands) For the years ended September 30,
- ----------------------------------------------------------------------------------------------------------------------------- TAX-MANAGED LARGE CAP LARGE CAP LARGE CAP FUND VALUE FUND GROWTH FUND - ----------------------------------------------------------------------------------------------------------------------------- 2003 2002 2003 2002 2003 2002 - ----------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income (Loss) $ 14,041 $ 11,464 $ 54,021 $ 46,806 $ 599 $ (7,718) Net Realized Gain (Loss) from Investment Transactions and Futures Contracts (65,584) (224,721) (76,585) (110,501)(2) (21,051) (654,855)(3) Net Change in Unrealized Appreciation (Depreciation) of Investments and Futures Contracts 425,131 (173,861) 687,877 (592,982) 654,756 (209,720) - ----------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations 373,588 (387,118) 665,313 (656,677) 634,304 (872,293) - ----------------------------------------------------------------------------------------------------------------------------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income Class A (14,152) (11,226) (52,235) (46,169) (599) -- Class I -- -- (101) (26) -- -- Class Y (38) (7) -- -- -- -- Net Capital Gains: Class A -- -- -- (40,190) -- -- Class I -- -- -- (2) -- -- Return of Capital Class A -- -- -- -- (1,355) -- - ----------------------------------------------------------------------------------------------------------------------------- Total Dividends and Distributions (14,190) (11,233) (52,336) (86,387) (1,954) -- - ----------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS(1): Class A: Proceeds from Shares Issued 930,527 1,490,088(4) 1,392,381 1,892,579 1,437,280 2,190,545 Reinvestment of Dividends and Distributions 13,340 10,468 48,783 80,977 1,833 -- Cost of Shares Redeemed (981,727) (1,324,858) (1,422,012) (1,925,539)(5) (1,409,894) (1,903,757)(5) - ----------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Class A Transactions (37,860) 175,698 19,152 48,017 29,219 286,788 - ----------------------------------------------------------------------------------------------------------------------------- Class I: Proceeds from Shares Issued -- -- 3,905 9,669 4,943 13,070 Reinvestment of Dividends and Distributions -- -- 96 28 -- -- Cost of Shares Redeemed -- -- (2,510) (1,844) (2,438) (2,052) - ----------------------------------------------------------------------------------------------------------------------------- Increase in Net Assets Derived from Class I Transactions -- -- 1,491 7,853 2,505 11,018 - ----------------------------------------------------------------------------------------------------------------------------- Class Y: Proceeds from Shares Issued 1,059 3,825 -- -- -- -- Reinvestment of Dividends and Distributions 38 7 -- -- -- -- Cost of Shares Redeemed (607) (178) -- -- -- -- - ----------------------------------------------------------------------------------------------------------------------------- Increase in Net Assets Derived from Class Y Transactions 490 3,654 -- -- -- -- - ----------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Capital Share Transactions (37,370) 179,352 20,643 55,870 31,724 297,806 - ----------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets 322,028 (218,999) 633,620 (687,194) 664,074 (574,487) - ----------------------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF YEAR 1,439,098 1,658,097 2,903,152 3,590,346 2,912,736 3,487,223 - ----------------------------------------------------------------------------------------------------------------------------- END OF YEAR $1,761,126 $1,439,098 $3,536,772 $ 2,903,152 $3,576,810 $ 2,912,736 =============================================================================================================================
Amounts designated as "--" are zero or have been rounded to zero. (1) See Note 4 in the notes to financial statements for additional information. (2) Includes realized loss of $19,307 due to in-kind redemption (see note 7). (3) Includes realized loss of $48,448 due to in-kind redemption (see note 7). (4) Includes subscriptions as a result of in-kind transfer of securities (see note 7). (5) Includes redemptions as a result of in-kind transfer of securities (see note 7). The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 92 SEI Institional Managed Trust / Annual Report / September 30, 2003
- ----------------------------------------------------------------------------------------------------------------------------- TAX-MANAGED SMALL CAP SMALL CAP SMALL CAP FUND VALUE FUND GROWTH FUND - ----------------------------------------------------------------------------------------------------------------------------- 2003 2002 2003 2002 2003 2002 - ----------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income (Loss) $ (322) $ (345) $ 3,728 $ 4,118 $ (4,881) $ (5,961) Net Realized Gain (Loss) from Investment Transactions and Futures Contracts 7,651 (6,593) 39,140 34,765 38,724 (104,691) Net Change in Unrealized Appreciation (Depreciation) of Investments and Futures Contracts 38,895 (9,499) 143,303 (41,919) 257,650 (55,873) - ----------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations 46,224 (16,437) 186,171 (3,036) 291,493 (166,525) - ----------------------------------------------------------------------------------------------------------------------------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income Class A -- -- (4,148) (4,698) -- -- Class I -- -- (4) (1) -- -- Class Y -- -- -- -- -- -- Net Capital Gains: Class A -- -- (22,063) (74,378) -- -- Class I -- -- (26) -- -- -- Return of Capital Class A -- -- -- -- -- -- - ----------------------------------------------------------------------------------------------------------------------------- Total Dividends and Distributions -- -- (26,241) (79,077) -- -- - ----------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS(1): Class A: Proceeds from Shares Issued 90,648 148,756 272,198 595,128 342,445 467,324 Reinvestment of Dividends and Distributions -- -- 23,540 71,313 -- -- Cost of Shares Redeemed (98,863) (113,684) (351,441) (686,945) (363,755) (515,629) - ----------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Class A Transactions (8,215) 35,072 (55,703) (20,504) (21,310) (48,305) - ----------------------------------------------------------------------------------------------------------------------------- Class I: Proceeds from Shares Issued -- -- 2,077 1,615 3,204 2,642 Reinvestment of Dividends and Distributions -- -- 24 1 -- -- Cost of Shares Redeemed -- -- (650) (713) (1,020) (371) - ----------------------------------------------------------------------------------------------------------------------------- Increase in Net Assets Derived from Class I Transactions -- -- 1,451 903 2,184 2,271 - ----------------------------------------------------------------------------------------------------------------------------- Class Y: Proceeds from Shares Issued -- -- -- -- -- -- Reinvestment of Dividends and Distributions -- -- -- -- -- -- Cost of Shares Redeemed -- -- -- -- -- -- - ----------------------------------------------------------------------------------------------------------------------------- Increase in Net Assets Derived from Class Y Transactions -- -- -- -- -- -- - ----------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Capital Share Transactions (8,215) 35,072 (54,252) (19,601) (19,126) (46,034) Net Increase (Decrease) in Net Assets 38,009 18,635 105,678 (101,714) 272,367 (212,559) - ----------------------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF YEAR 143,764 125,129 692,395 794,109 608,878 821,437 - ----------------------------------------------------------------------------------------------------------------------------- END OF YEAR $181,773 $ 143,764 $ 798,073 $ 692,395 $ 881,245 $ 608,878 =============================================================================================================================
- -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 93 Statements of Changes in Net Assets ($ Thousands) For the years ended September 30,
- ----------------------------------------------------------------------------------------------------------------------------- CORE HIGH YIELD MID-CAP FUND FIXED INCOME FUND BOND FUND - ----------------------------------------------------------------------------------------------------------------------------- 2003 2002 2003 2002 2003 2002 - ----------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income $ 292 $ 184 $ 137,725 $ 178,659 $ 75,474 $ 67,443 Net Realized Gain (Loss) from Investment Transactions, Futures Contracts and Written Options 660 3,243 76,036 92,617 20,228 (89,095) Net Change in Unrealized Appreciation (Depreciation) of Investments, Futures Contracts and Written Options 8,048 (2,532) 16,106 (60,374) 66,579 61,586 - ----------------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets Resulting from Operations 9,000 895 229,867 210,902 162,281 39,934 - ----------------------------------------------------------------------------------------------------------------------------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (217) (165) (144,439) (178,337) (75,605) (67,313) Class I -- -- (232) (100) -- -- Net Capital Gains: Class A (165) -- (72,339) (52,227) -- -- Class I -- -- (101) (2) -- -- - ----------------------------------------------------------------------------------------------------------------------------- Total Dividends and Distributions (382) (165) (217,111) (230,666) (75,605) (67,313) - ----------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS(1): Class A: Proceeds from Shares Issued 25,669 60,590 1,652,509 1,631,065 561,162 364,174 Reinvestment of Dividends and Distributions 323 139 197,586 212,027 70,711 64,439 Cost of Shares Redeemed (18,607) (68,936) (1,726,377) (1,655,330) (487,415) (377,023) - ----------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Class A Transactions 7,385 (8,207) 123,718 187,762 144,458 51,590 - ----------------------------------------------------------------------------------------------------------------------------- Class I: Proceeds from Shares Issued -- -- 6,795 4,858 -- -- Reinvestment of Dividends and Distributions -- -- 310 92 -- -- Cost of Shares Redeemed -- -- (5,433) (881) -- -- - ----------------------------------------------------------------------------------------------------------------------------- Increase in Net Assets Derived from Class I Transactions -- -- 1,672 4,069 -- -- - ----------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Capital Share Transactions 7,385 (8,207) 125,390 191,831 144,458 51,590 - ----------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets 16,003 (7,477) 138,146 172,067 231,134 24,211 - ----------------------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF YEAR 25,499 32,976 3,691,214 3,519,147 745,525 721,314 - ----------------------------------------------------------------------------------------------------------------------------- END OF YEAR $ 41,502 $ 25,499 $ 3,829,360 $ 3,691,214 $ 976,659 $ 745,525 - -----------------------------------------------------------------------------------------------------------------------------
Amounts designated as "--" are zero or have been rounded to zero. (1) See Note 5 in the notes to financial statements for additional information. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 94 SEI Institutional Managed Trust / Annual Report / September 30, 2003 This page intentionally left blank. Financial Highlights For the periods ended September 30, For a Share Outstanding Throughout the Periods
- ----------------------------------------------------------------------------------------------------------------------------- Net Realized and Distributions Net Asset Net Unrealized Dividends from Total Value, Investment Gains from Net Realized Dividends Net Asset Beginning Income (Losses) on Total from Investment Capital and Value, End of Period (Loss) Securities Operations Income Gains Distributions of Period - ------------------------------------------------------------------------------------------------------------------------------ TAX-MANAGED LARGE CAP FUND Class A 2003 $ 7.50 $ 0.08(6) $ 1.70(6) $ 1.78 $(0.08) $ -- $(0.08) $ 9.20 2002 9.49 0.06 (1.98) (1.92) (0.07) -- (0.07) 7.50 2001 13.62 0.07 (4.13) (4.06) (0.07) -- (0.07) 9.49 2000 12.65 0.09 1.00 1.09 (0.09) (0.03) (0.12) 13.62 1999 9.61 0.08 3.04 3.12 (0.08) -- (0.08) 12.65 Class Y 2003 $ 7.50 $ 0.10(6) $ 1.71(6) $ 1.81 $(0.10) $ -- $(0.10) $ 9.21 2002(1) 10.45 0.05 (2.98) (2.93) (0.02) -- (0.02) 7.50 LARGE CAP VALUE FUND Class A 2003 $13.94 $ 0.25(6) $ 2.86(6) $ 3.11 $(0.24) $ -- $(0.24) $16.81 2002 17.39 0.21 (3.26) (3.05) (0.21) (0.19) (0.40) 13.94 2001 18.70 0.21 (1.14) (0.93) (0.22) (0.16) (0.38) 17.39 2000 18.97 0.27 0.56 0.83 (0.26) (0.84) (1.10) 18.70 1999 17.31 0.24 2.67 2.91 (0.24) (1.01) (1.25) 18.97 Class I 2003 $13.94 $ 0.21(6) $ 2.86(6) $ 3.07 $(0.21) $ -- $(0.21) $16.80 2002 17.39 0.19 (3.28) (3.09) (0.17) (0.19) (0.36) 13.94 2001(2) 19.38 0.03 (2.02) (1.99) -- -- -- 17.39 LARGE CAP GROWTH FUND Class A 2003 $12.97 $ --(6) $ 2.81(6) $ 2.81 $(0.01)(8) $ -- $(0.01)(8) $15.77 2002 16.73 (0.04)(6) (3.72)(6) (3.76) -- -- -- 12.97 2001 36.24 (0.06) (17.75) (17.81) -- (1.70) (1.70) 16.73 2000 28.58 (0.04) 8.67 8.63 -- (0.97) (0.97) 36.24 1999 21.01 (0.05) 7.92 7.87 -- (0.30) (0.30) 28.58 Class I 2003 $12.92 $(0.03)(6) $ 2.79(6) $ 2.76 $ --* $ -- $ --* $15.68 2002 16.72 (0.07)(6) (3.73)(6) (3.80) -- -- -- 12.92 2001(2) 20.60 (0.01) (3.87) (3.88) -- -- -- 16.72 TAX-MANAGED SMALL CAP FUND Class A 2003 $ 7.54 $(0.02)(6) $ 2.48(6) $ 2.46 $ -- $ -- $ -- $10.00 2002 8.15 (0.01) (0.60) (0.61) -- -- -- 7.54 2001(3) 10.00 -- (1.84) (1.84) (0.01)(5) -- (0.01)(5) 8.15 SMALL CAP VALUE FUND Class A 2003 $13.99 $ 0.08(6) $ 3.91(6) $ 3.99 $(0.09) $(0.44) $(0.53) $17.45 2002 15.66 0.08 (0.21) (0.13) (0.09) (1.45) (1.54) 13.99 2001 16.13 0.13 0.36 (0.49) (0.14) (0.82) (0.96) 15.66 2000 14.06 0.15 2.05 (2.20) (0.13) -- (0.13) 16.13 1999 13.67 0.05 0.57 (0.62) (0.05) (0.18) (0.23) 14.06 Class I 2003 $13.99 $ 0.04(6) $ 3.90(6) $ 3.94 $(0.05) $(0.44) $(0.49) $17.44 2002(4) 16.47 0.02 (2.49) (2.47) (0.01) -- (0.01) 13.99
- ---------------------------------------------------------------------------------------------------- Ratio of Net Ratio of Investment Expenses Ratio of Income to Average Net Assets Expenses (Loss) Net Assets Portfolio Total End of Period to Average to Average (Excluding Turnover Return+ ($Thousands) Net Assets Net Assets Waivers) Rate - ----------------------------------------------------------------------------------------------------- TAX-MANAGED LARGE CAP FUND Class A 2003 23.84% $ 1,757,292 0.85% 0.88% 1.02% 99% 2002 (20.44) 1,436,467 0.85 0.65 1.03 80 2001 (29.92) 1,658,097 0.85 0.60 1.01 84 2000 8.66 1,969,302 0.85 0.69 1.06 47 1999 32.60 710,136 0.85 0.71 0.90 21 Class Y 2003 24.26% $ 3,834 0.55% 1.17% 0.72% 99% 2002(1) (28.05) 2,631 0.55 1.03 0.72 80 LARGE CAP VALUE FUND Class A 2003 22.55% $ 3,527,686 0.85% 1.61% 0.97% 106% 2002 (18.06) 2,896,977 0.85 1.23 0.97 41 2001 (5.08) 3,590,194 0.85 1.11 0.97 89 2000 4.47 3,548,830 0.85 1.55 0.97 70 1999 17.13 2,452,540 0.85 1.26 0.85 49 Class I 2003 22.17% $ 9,086 1.10% 1.36% 1.22% 106% 2002 (18.24) 6,175 1.10 1.01 1.22 41 2001(2) (10.27) 152 1.10 1.09 1.22 89 LARGE CAP GROWTH FUND Class A 2003 21.66% $ 3,564,487 0.85% 0.02% 1.02% 72% 2002 (22.47) 2,904,802 0.85 (0.21) 1.02 62 2001 (51.08) 3,487,142 0.85 (0.29) 1.03 112 2000 30.67 4,898,050 0.85 (0.32) 1.02 69 1999 37.74 2,626,807 0.85 (0.24) 0.90 45 Class I 2003 21.37% $ 12,323 1.10% (0.24)% 1.27% 72% 2002 (22.73) 7,934 1.10 (0.41) 1.27 62 2001(2) (18.83) 81 1.10 (0.45) 1.28 112 TAX-MANAGED SMALL CAP FUND Class A 2003 32.63% $ 181,773 1.10% (0.21)% 1.27% 142% 2002 (7.48) 143,764 1.10 (0.21) 1.26 86 2001(3) (18.46) 125,129 1.10 (0.04) 1.30 82 SMALL CAP VALUE FUND Class A 2003 29.28% $ 795,501 1.10% 0.52% 1.27% 99% 2002 (2.20) 691,668 1.10 0.46 1.27 48 2001 3.12 794,109 1.10 0.78 1.26 99 2000 15.74 897,276 1.10 1.03 1.28 119 1999 4.47 572,125 1.10 0.38 1.10 130 Class I 2003 28.91% $ 2,572 1.35% 0.23% 1.52% 99% 2002(4) (14.99) 727 1.35 0.21 1.52 48
- -------------------------------------------------------------------------------- 96 SEI Institutional Managed Trust / Annual Report / September 30, 2003
- ----------------------------------------------------------------------------------------------------------------------------- Net Realized and Distributions Net Asset Net Unrealized Dividends from Total Value, Investment Gains from Net Realized Dividends Net Asset Beginning Income (Losses) on Total from Investment Capital and Value, End of Period (Loss) Securities Operations Income Gains Distributions of Period - ------------------------------------------------------------------------------------------------------------------------------ SMALL CAP GROWTH FUND Class A 2003 $ 9.62 $(0.08)(6) $4.57(6) $4.49 $ -- $ -- $ -- $14.11 2002 12.35 (0.09)(6) (2.64)(6) (2.73) -- -- -- 9.62 2001 30.57 (0.14) (10.81) (10.95) -- (7.27) (7.27) 12.35 2000 21.12 (0.01) 11.28 11.27 -- (1.82) (1.82) 30.57 1999 13.68 (0.12) 7.62 7.50 -- (0.06) (0.06) 21.12 Class I 2003 $ 9.59 $(0.11)(6) $4.55(6) $4.44 $ -- $ -- $ -- $14.03 2002 12.35 (0.08)(6) (2.68)(6) (2.76) -- -- -- 9.59 2001(2) 15.59 (0.02) (3.22) (3.24) -- -- -- 12.35 MID-CAP FUND Class A 2003 $11.74 $0.11(6) $3.25(6) $3.36 $(0.08) $(0.06) $(0.14) $14.96 2002 12.19 0.06 (0.46)(7) (0.40) (0.05) -- (0.05) 11.74 2001 17.42 0.07 (3.22) (3.15) (0.08) (2.00) (2.08) 12.19 2000 15.19 0.07 3.76 (3.83) (0.07) (1.53) (1.60) 17.42 1999 14.00 0.07 2.21 (2.28) (0.07) (1.02) (1.09) 15.19 CORE FIXED INCOME FUND Class A 2003 $10.67 $0.40(6) $0.28(6) $0.68 $(0.42) $(0.22) $(0.64) $10.71 2002 10.75 0.52 0.08 0.60 (0.52) (0.16) (0.68) 10.67 2001 10.08 0.61 0.67 1.28 (0.61) -- (0.61) 10.75 2000 10.03 0.62 0.05 0.67 (0.62) -- (0.62) 10.08 1999 10.92 0.56 (0.66) (0.10) (0.56) (0.23) (0.79) 10.03 Class I 2003 $10.67 $0.37(6) $0.28(6) $0.65 $(0.39) $(0.22) $(0.61) $10.71 2002 10.76 0.49 0.07 0.56 (0.49) (0.16) (0.65) 10.67 2001(2) 10.60 0.08 0.16 0.24 (0.08) -- (0.08) 10.76 HIGH YIELD BOND FUND Class A 2003 $ 7.60 $0.68(6) $0.77(6) $1.45 $(0.68) $ -- $(0.68) $ 8.37 2002 7.86 0.70 (0.26) 0.44 (0.70) -- (0.70) 7.60 2001 9.15 0.88 (1.29) (0.41) (0.88) -- (0.88) 7.86 2000 10.11 0.96 (0.96) -- (0.96) -- (0.96) 9.15 1999 10.81 1.02 (0.64) 0.38 (1.02) (0.06) (1.08) 10.11
- ---------------------------------------------------------------------------------------------------- Ratio of Net Ratio of Investment Expenses Ratio of Income to Average Net Assets Expenses (Loss) Net Assets Portfolio Total End of Period to Average to Average (Excluding Turnover Return+ ($Thousands) Net Assets Net Assets Waivers) Rate - ----------------------------------------------------------------------------------------------------- SMALL CAP GROWTH FUND Class A 2003 46.67% $ 875,906 1.10% (0.66)% 1.27% 166% 2002 (22.11) 606,999 1.10 (0.69) 1.27 156 2001 (42.83) 821,391 1.10 (0.80) 1.29 157 2000 55.28 1,575,462 1.10 (0.74) 1.27 182 1999 55.00 931,024 1.10 (0.72) 1.10 141 Class I 2003 46.30% $ 5,339 1.35% (0.91)% 1.52% 166% 2002 (22.35) 1,879 1.35 (0.71) 1.53 156 2001(2) (20.78) 46 1.35 (1.12) 1.54 157 MID-CAP FUND Class A 2003 28.92% $ 41,502 1.00% 0.86% 1.03% 109% 2002 (3.34) 25,499 1.00 0.39 1.02 222 2001 (19.59) 32,976 1.00 0.51 1.02 193 2000 27.14 42,148 1.00 0.48 1.05 170 1999 16.53 34,995 1.00 0.40 1.00 139 CORE FIXED INCOME FUND Class A 2003 6.63% $3,823,429 0.60% 3.77% 0.84% 470% 2002 5.89 3,686,946 0.60 4.96 0.84 379 2001 13.00 3,519,061 0.60 5.79 0.84 358 2000 6.97 3,113,103 0.60 6.27 0.83 265 1999 (0.96) 2,348,453 0.60 5.47 0.60 334 Class I 2003 6.37% $ 5,931 0.85% 3.46% 1.09% 470% 2002 5.53 4,268 0.85 4.52 1.09 379 2001(2) 2.28 86 0.85 5.01 1.09 358 HIGH YIELD BOND FUND Class A 2003 19.88% $ 976,659 0.85% 8.50% 1.12% 129% 2002 5.45 745,525 0.85 8.67 1.12 126 2001 (4.76) 721,314 0.85 10.27 1.12 105 2000 (0.09) 763,941 0.85 9.92 1.12 40 1999 3.51 507,218 0.85 9.62 0.89 17
+ Returns are for the period indicated and have not been annualized. * Amount represents less then $0.01. (1) Commenced operations on April 8, 2002. All ratios for the period have been annualized. (2) Commenced operations on August 6, 2001. All ratios for the period have been annualized. (3) Commenced operations on October 31, 2000. All ratios for the period have been annualized. (4) Commenced operations on February 11, 2002. All ratios for the period have been annualized. (5) Return of Capital. (6) Per share net investment income and net realized and unrealized gains/(losses) calculated using average shares. (7) 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. (8) Including Return of Capital of $0.01. Amounts designated as "--" are zero or have been rounded to zero. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 97 Notes to Financial Statements 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 9 diversified Funds: Tax-Managed Large Cap, Large Cap Value, Large Cap Growth, Tax-Managed Small Cap, Small Cap Value, Small Cap Growth, Mid-Cap, Core Fixed Income and High Yield Bond Fund (each a "Fund," collectively the "Funds"). The Trust is registered to offer Class A shares of the Tax-Managed Large Cap, Large Cap Value, Large Cap Growth, Tax-Managed Small Cap, Small Cap Value, Small Cap Growth, Mid-Cap, Core Fixed Income and High Yield Bond Funds, Class I shares of the Large Cap Value, Large Cap Growth, Small Cap Value, Small Cap Growth and Core Fixed Income 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' prospectus provides a description of each Fund's investment objective, policies, and strategies. Effective December 31, 2002, Capital Appreciation, Equity Income and Balanced Funds were liquidated. On August 20, 2003, the Board of Trustees of the Funds approved the launch of the Real Estate, Large Cap Disciplined Equity and Managed Volatility Funds. As of September 30, 2003 these Funds had 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 accounting principles generally accepted in the United States of America, requires management to make estimates and assumptions that affect the reported amount of net assets and liabilities and disclosure of contingent assets at the date of the financial statements, and the reported results of operations during the reporting period. Actual results could differ from those estimates. SECURITY VALUATION -- Investments in equity securities which are traded on a national securities exchange are stated at the last quoted sales price if readily available for such equity securities on each business day; other equity securities traded in the over-the-counter market, and listed equity securities for which no sale was reported on that date, are stated at the last quoted bid price. Securities that are quoted on a National Market System are valued at the official closing price. Debt obligations with remaining maturities in excess of sixty days are valued at the most recently quoted bid price. Debt obligations with remaining maturities of sixty days or less may be valued at their amortized cost, which approximates market value. Subject to the foregoing, other securities for which quotations are not readily available are valued in accordance with fair value procedures as determined in good faith by the Board of Trustees. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are recorded on 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. 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 agreement and procedures adopted by SEI Investments Fund Management and SEI Investments Management Corporation 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. COMPENSATING BALANCES -- Funds with cash overdrafts in excess of $100,000 are required to leave 112% in compensating balance with Wachovia Bank NA, 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 Wachovia Bank NA 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. FUTURES CONTRACTS -- The Tax-Managed Large Cap, Large Cap Value, Large Cap Growth and Mid-Cap Funds utilized S&P 500 Composite Index futures contracts; the Tax-Managed Small Cap, Small Cap Value, and Small Cap Growth Funds utilized the Russell 2000 Index futures contracts; and the Core Fixed Income Fund utilized U.S. Treasury 5 year notes, 10 year notes, 30 year bonds and Eurodollar futures contracts during the year ended September 30, 2003. The Funds' invest- - ------------------------------------------------------------------------------- 98 SEI Institutional Managed Trust / Annual Report / September 30, 2003 ments in S&P 500 Composite Index and Russell 2000 Index futures contracts are designed to enable the Funds to more closely approximate the performance of their benchmark indices. The Core Fixed Income Fund's use of futures contracts is primarily for tactical hedging purposes. 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 related to futures contracts include the possibility that there may not be a liquid market for the contracts, or that changes in the values of the contract may not directly correlate with changes in the values of the underlying securities. Futures contracts involve risk of loss in excess of the amounts recognized in the Statement of Net Assets and Statement of Assets and Liabilities to the extent of the contract amounts. The following Funds had Long (Short) futures contracts open as of September 30, 2003. - -------------------------------------------------------------------------------- Unrealized Contract Appreciation Contract Number of Value Expiration (Depreciation) Description Contracts ($Thousands) Date ($Thousands) - -------------------------------------------------------------------------------- TAX-MANAGED LARGE CAP FUND S&P 500 Composite Index 91 $22,616 12/18/03 $ (504) -------- LARGE CAP VALUE FUND S&P 500 Composite Index 87 21,622 12/18/03 (528) -------- LARGE CAP GROWTH FUND S&P 500 Composite Index 183 45,480 12/18/03 (1,116) -------- TAX-MANAGED SMALL CAP FUND Russell 2000 Index 27 6,586 12/21/03 (189) -------- SMALL CAP VALUE FUND Russell 2000 Index 105 25,612 12/21/03 (731) -------- SMALL CAP GROWTH FUND Russell 2000 Index 62 15,123 12/21/03 (431) -------- MID-CAP FUND S&P 500 Composite Index 4 994 12/18/03 (29) -------- CORE FIXED INCOME FUND U.S. Ten Year Note (246) (28,198) 12/21/03 (365) U.S. Five Year Note (CBT) (3,353) (380,461) 12/21/03 (8,248) U.S. Long Treasury Bond (CBT) 1,474 165,318 12/21/03 9,360 90 Day Eurodollar 325 79,930 09/13/04 691 -------- 1,438 -------- OPTION WRITING/PURCHASING -- Each Fund may invest in financial option contracts solely 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. When the Fund writes or purchases an option, 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 written or purchased. Premiums received or paid from writing or purchasing options which expire unexercised are treated by the Fund on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option is exercised, the premium paid or received is added to the cost of the purchase or proceeds from the sale in determining whether the Fund has realized a gain or a loss on investment transactions. The Core Fixed Income Fund had option contracts as of September 30, 2003 as disclosed in the Fund's Schedule of Investments. Written option transactions entered into during the year ended September 30, 2003 are summarized as follows: - -------------------------------------------------------------------------------- Core Fixed Income - -------------------------------------------------------------------------------- Premium # of Contracts ($ Thousands) - -------------------------------------------------------------------------------- Balance at the beginning of period 2,112 $ 2,529 Written 43,692,841 13,247 Expired (43,684,546) (4,077) Exercised -- -- Closing Buys (7,895) (9,022) - -------------------------------------------------------------------------------- Balance at the end of period 2,512 $ 2,677 ================================================================================ At September 30, 2003 the Core Fixed Income Fund had sufficient cash and/or securities at least equal to the value of written options. 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. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 99 NOTES TO FINANCIAL STATEMENTS (CONTINUED) ILLIQUID SECURITIES -- Valuations of illiquid securities may differ significantly from the values that would have been used had an active market value for these securities existed. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment income are declared and paid to shareholders quarterly for the Tax-Managed Large Cap, Large Cap Value, Large Cap Growth, Tax-Managed Small Cap, Small Cap Value, Small Cap Growth and Mid-Cap Funds; and declared daily and paid monthly for the Core Fixed Income and High Yield Bond Funds. Dividends and distributions are recorded on the ex-dividend date. The Small Cap Value, Mid-Cap and Core Fixed Income Funds utilized earnings and profits distributed to shareholders on redemption of shares as a part of the dividends paid deduction for income tax purposes. 3. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES ADMINISTRATION AGREEMENT -- The Trust and SEI Investments Fund Management (the "Administrator"), are parties to an amended and restated Administration and Transfer Agency Agreement dated September 16, 2002 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 Tax-Managed Large Cap Class I, Large Cap Value, Large Cap Growth, Tax-Managed Small Cap, Small Cap Value, Small Cap Growth, Mid-Cap, and High Yield Bond Funds; 0.15% of average daily net assets of the Tax-Managed Large Cap Class Y; 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 investment adviser, SIMC is entitled to a fee, which is calculated daily and paid monthly, at an annual rate of 0.35% of the Large Cap Value Fund's average daily net assets, at an annual rate of 0.40% of the Tax-Managed Large Cap, Large Cap Growth and Mid-Cap Funds' average daily net assets, at an annual rate of 0.65% of the Tax-Managed Small Cap, Small Cap Value and Small Cap Growth Funds' average daily net assets, at an annual rate of 0.275% of the Core Fixed Income Fund's average daily net assets, and at an annual rate of 0.4875% of the High Yield Bond Fund's average daily net assets. The Adviser has voluntarily agreed to waive a portion of its fee in an amount equal to 0.05% of the average daily net assets of the Tax-Managed Large Cap and Large Cap Growth Funds. SIMC has entered into investment sub-advisory agreements with the following parties: - -------------------------------------------------------------------------------- Currently Managing Date of a Portion of Fund Investment Sub-Adviser Agreement (Y/N) - -------------------------------------------------------------------------------- TAX-MANAGED LARGE CAP FUND Alliance Capital Management 10/02/00 Y Aronson + Johnson + Ortiz, LP 07/01/03 Y Franklin Portfolio Associates 07/01/03 Y LSV Asset Management 08/03/01 Y Montag and Caldwell, Inc. 03/12/02 Y Parametric Portfolio Associates 06/28/01 Y Peregrine Capital Management 02/16/01 Y Transamerica Investment Management, LLC 09/17/01 Y LARGE CAP VALUE FUND Alliance Capital Management 12/15/97 Y Aronson + Johnson + Ortiz, LP 07/01/03 Y Franklin Portfolio Associates 07/01/03 Y LSV Asset Management 03/31/95 Y LARGE CAP GROWTH FUND Goldman Sachs Asset Management 01/24/03 Y McKinley Capital Management, Inc. 06/26/02 Y Montag and Caldwell, Inc. 03/12/02 Y Peregrine Capital Management 12/07/00 Y Transamerica Investment Management, LLC 09/17/01 Y TAX-MANAGED SMALL CAP FUND BlackRock Advisors 07/01/03 Y David J. Green and Company, LLC 10/31/00 Y Delaware Investments 07/01/03 Y LSV Asset Management 08/14/00 Y Mazama Capital Management, LLC 12/09/02 Y McKinley Capital Management, Inc. 08/14/00 Y SMALL CAP VALUE FUND Artisan Partners Limited Partnership03/26/99 Y BlackRock Advisors 07/01/03 Y David J. Greene and Company, LLC 08/14/01 Y LSV Asset Management 06/11/97 Y Martingale Asset Management 12/09/02 Y Lee Munder Investments 07/01/03 Y Wellington Management Company 07/01/03 Y SMALL CAP GROWTH FUND Lee Munder Investments Ltd. 12/09/02 Y Mazama Capital Management LLC 12/13/99 Y McKinley Capital Management Inc. 10/30/00 N RS Investment Management 03/23/98 Y Delaware Investments 07/01/03 Y Wellington Management Co., LLP 03/14/02 Y MID-CAP FUND Martingale Asset Management, L.P. 09/26/95 Y CORE FIXED INCOME FUND BlackRock, Inc. 01/02/96 Y Metropolitan West Asset Management 06/26/02 Y Western Asset Management Company 11/13/95 Y - -------------------------------------------------------------------------------- 100 SEI Institutional Managed Trust / Annual Report / September 30, 2003 - -------------------------------------------------------------------------------- Currently Managing Date of a Portion of Fund Investment Sub-Adviser Agreement (Y/N) - -------------------------------------------------------------------------------- HIGH YIELD BOND FUND Nicholas Applegate Capital Management, Inc. 06/25/01 Y Nomura Corporate Research and Asset Management 09/22/99 Y Shenkman Capital Management 06/21/01 Y 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 SIMC, 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 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 and Class I shares and a shareholder servicing fee of up to 0.15% of average daily net assets attributable to 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. The SEC rules require that such commissions not exceed usual and customary commissions. Such commissions for the year ended September 30, 2003 were as follows ($ Thousands): Tax-Managed Large Cap Fund $1,109 Large Cap Value Fund 2,343 Large Cap Growth Fund 1,593 Tax-Managed Small Cap Fund 209 Small Cap Value Fund 831 Small Cap Growth Fund 752 ------ $6,837 ====== For the year ended September 30, 2003, the Funds paid commissions to affiliated broker-dealers as follows ($ Thousands): Tax-Managed Large Cap Fund $ 90 Large Cap Value Fund 373 Large Cap Growth Fund 486 Tax-Managed Small Cap Fund 3 Small Cap Value Fund 36 Small Cap Growth Fund 56 ------ $1,044 ====== Under both the Shareholder Servicing Plans and Administrative Service Plan, the Distributor may retain as profit any difference between the fee it receives and the amount it pays to third parties. For the year ended September 30, 2003, the Distributor retained 100% of the Shareholder Servicing fees less the waiver, and 97% of the Administration Servicing fees. Certain officers and/or trustees of the Trust are also officers of the Administrator. The Trust pays each unaffiliated Trustee an annual fee for attendance of quarterly, interim and committee meetings. Compensation of officers and affiliated Trustees of the Trust is paid by the Administrator. The Funds also used the Distributor as an agent in placing repurchase agreements. For the year ended September 30, 2003, the following Funds paid the Distributor through a reduction in the yield earned by the Funds on those repurchase agreements ($ Thousands): Tax-Managed Large Cap Fund $ 21 Large Cap Value Fund 42 Large Cap Growth Fund 63 Tax-Managed Small Cap Fund 4 Small Cap Value Fund 8 Small Cap Growth Fund 16 Mid-Cap Fund -- Core Fixed Income Fund 212 High Yield Bond Fund 7 ---- $373 ==== Amounts designated as "--" are zero or have been rounded to zero. LSV Asset Management (a partially-owned subsidiary of SIMC) serves as the sub-adviser to the Tax-Managed Large Cap, Large Cap Value, Tax-Managed Small Cap and Small Cap Value Funds. For this service LSV Asset Management is entitled to receive a fee from SIMC. Such fees for the year ended September 30, 2003 were as follows ($ Thousands): Tax-Managed Large Cap Fund $ 338 Large Cap Value Fund 906 Tax-Managed Small Cap Fund 146 Small Cap Value Fund 520 ------ $1,910 ====== - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 101 NOTES TO FINANCIAL STATEMENTS 4. CAPITAL SHARE TRANSACTIONS Capital Share Transactions for the Funds were as follows (Thousands): For the years ended September 30,
- --------------------------------------------------------------------------------------------------------------------------- TAX-MANAGED LARGE CAP LARGE CAP LARGE CAP FUND VALUE FUND GROWTH FUND - --------------------------------------------------------------------------------------------------------------------------- 2003 2002 2003 2002 2003 2002 - --------------------------------------------------------------------------------------------------------------------------- Class A: Shares Issued 116,040 149,295(1) 92,554 106,820 100,693 125,849 Shares Issued in Lieu of Dividends and Distributions 1,629 1,073 3,248 4,467 133 -- Shares Redeemed (118,161) (133,444) (93,727) (109,925)(2) (98,764) (110,301)(2) - -------------------------------------------------------------------------------------------------------------------------- Total Class A Transactions (492) 16,924 2,075 1,362 2,062 15,548 - --------------------------------------------------------------------------------------------------------------------------- Class I: Shares Issued -- -- 255 536 344 735 Shares Issued in Lieu of Dividends and Distributions -- -- 6 2 -- -- Shares Redeemed -- -- (164) (104) (172) (126) - --------------------------------------------------------------------------------------------------------------------------- Total Class I Transactions -- -- 97 434 172 609 - --------------------------------------------------------------------------------------------------------------------------- Class Y: Shares Issued 130 371 -- -- -- -- Shares Issued in Lieu of Dividends and Distributions 4 1 -- -- -- -- Shares Redeemed (69) (21) -- -- -- -- - --------------------------------------------------------------------------------------------------------------------------- Total Class Y Transactions 65 351 -- -- -- -- - --------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Capital Share Transactions (427) 17,275 2,172 1,796 2,234 16,157 =========================================================================================================================== - --------------------------------------------------------------------------------------------------------------------------- TAX-MANAGED SMALL CAP SMALL CAP SMALL CAP FUND VALUE FUND GROWTH FUND - --------------------------------------------------------------------------------------------------------------------------- 2003 2002 2003 2002 2003 2002 - --------------------------------------------------------------------------------------------------------------------------- Class A: Shares Issued 11,496 16,287 18,452 35,316 31,812 34,748 Shares Issued in Lieu of Dividends and Distributions -- -- 1,624 4,359 -- -- Shares Redeemed (12,382) (12,587) (23,929) (40,949) (32,809) (38,152) - --------------------------------------------------------------------------------------------------------------------------- Total Class A Transactions (886) 3,700 (3,853) (1,274) (997) (3,404) - --------------------------------------------------------------------------------------------------------------------------- Class I: Shares Issued -- -- 134 94 272 224 Shares Issued in Lieu of Dividends and Distributions -- -- 2 -- -- -- Shares Redeemed -- -- (41) (42) (88) (32) - --------------------------------------------------------------------------------------------------------------------------- Total Class I Transactions -- -- 95 52 184 192 - --------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Capital Share Transactions (886) 3,700 (3,758) (1,222) (813) (3,212) ===========================================================================================================================
Amounts designated as "--" are zero or have been rounded to zero. (1) Includes subscriptions as a result of in-kind transfers of securities (see note 7). (2) Includes redemptions as a result of in-kind transfers of securities (see note 7). - -------------------------------------------------------------------------------- 102 SEI Institutional Managed Trust / Annual Report / September 30, 2003 For the years ended September 30,
- -------------------------------------------------------------------------------------------------------------------------- CORE FIXED HIGH YIELD MID-CAP FUND INCOME FUND BOND FUND - -------------------------------------------------------------------------------------------------------------------------- 2003 2002 2003 2002 2003 2002 - -------------------------------------------------------------------------------------------------------------------------- Class A: Shares Issued 2,032 4,391 155,837 155,846 70,510 45,411 Shares Issued in Lieu of Dividends and Distributions 26 10 18,747 20,235 8,833 8,047 Shares Redeemed (1,457) (4,935) (162,967) (157,865) (60,797) (47,149) - -------------------------------------------------------------------------------------------------------------------------- Total Class A Transactions 601 (534) 11,617 18,216 18,546 6,309 - -------------------------------------------------------------------------------------------------------------------------- Class I: Shares Issued -- -- 642 468 -- -- Shares Issued in Lieu of Dividends and Distributions -- -- 29 9 -- -- Shares Redeemed -- -- (517) (85) -- -- - -------------------------------------------------------------------------------------------------------------------------- Total Class I Transactions -- -- 154 392 -- -- - -------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Capital Share Transactions 601 (534) 11,771 18,608 18,546 6,309 ==========================================================================================================================
Amounts designated as "--" are zero or have been rounded to zero. 5. INVESTMENT TRANSACTIONS The cost of security purchases and proceeds from the sale of securities, other than temporary cash investments and futures, during the year ended September 30, 2003, were as follows: - -------------------------------------------------------------------------------- U.S. Gov't Other Total ($ Thousands) ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- TAX-MANAGED LARGE CAP FUND Purchases $ -- $1,525,170 $ 1,525,170 Sales -- 1,555,524 1,555,524 LARGE CAP VALUE FUND Purchases -- 3,452,765 3,452,765 Sales -- 3,430,114 3,430,114 LARGE CAP GROWTH FUND Purchases -- 2,324,854 2,324,854 Sales -- 2,339,909 2,339,909 TAX-MANAGED SMALL CAP FUND Purchases -- 203,395 203,395 Sales -- 212,344 212,344 SMALL CAP VALUE FUND Purchases -- 687,607 687,607 Sales -- 783,988 783,988 SMALL CAP GROWTH FUND Purchases -- 1,160,981 1,160,981 Sales -- 1,172,036 1,172,036 MID-CAP FUND Purchases -- 42,557 42,557 Sales -- 35,832 35,832 CORE FIXED INCOME FUND Purchases 14,859,205 1,164,465 16,023,670 Sales 14,992,941 1,030,753 16,023,694 HIGH YIELD BOND FUND Purchases -- 1,209,823 1,209,823 Sales -- 1,085,687 1,085,687 6. FEDERAL TAX INFORMATION It is each Fund's intention to continue to qualify as a regulated investment company under Subchapter M of The Internal Revenue Code and distribute all of its taxable income (including net capital gains). Accordingly, no provision for Federal income taxes is required. Dividends from net investment income and distributions from net realized capital gains are determined in accordance with U.S. Federal income tax regulations, which may differ from those amounts determined under accounting principles generally accepted in the United States. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital, undistributed net investment income or accumulated net realized gain, as appropriate, in the period that the differences arise. Accordingly, the following permanent differences, primarily attributable to different treatment for gains and losses on paydowns of mortgage- and asset-backed securities for tax purposes, return of capital, and utilization of earnings and profits on shareholder redemptions and net operating losses have been reclassified to/from the following accounts as of September 30, 2003: - -------------------------------------------------------------------------------- Undistributed Accumulated Paid-in Net Investment Realized Capital Income (Loss) Gain (Loss) ($ Thousands) ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Large Cap Growth Fund $(1,355) $ 1,355 $ -- Tax-Managed Small Cap Fund (322) 322 -- Small Cap Value Fund 7,238 926 (8,164) Small Cap Growth Fund (4,881) 4,881 -- Mid-Cap Fund 293 44 (337) Core Fixed Income Fund 8,709 16,983 (25,692) - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 103 NOTES TO FINANCIAL STATEMENTS (CONTINUED) 6. FEDERAL TAX INFORMATION (CONTINUED) Capital Share Transactions for the Funds were as follows (Thousands): The tax character of dividends and distributions paid during the last two years were as follows:
- ---------------------------------------------------------------------------------------------------------- Ordinary Long-term Return of Income Capital Gain Capital Total ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) - ---------------------------------------------------------------------------------------------------------- Tax-Managed Large Cap Fund 2003 $ 14,190 $ -- $ -- $ 14,190 2002 11,233 -- -- 11,233 Large Cap Value Fund 2003 52,336 -- -- 52,336 2002 46,212 40,175 -- 86,387 Large Cap Growth Fund 2003 599 -- 1,355 1,954 2002 -- -- -- -- Small Cap Value Fund 2003 4,152 22,089 -- 26,241 2002 46,592 32,485 -- 79,077 Mid-Cap Fund 2003 217 165 -- 382 2002 165 -- -- 165 Core Fixed Income Fund 2003 166,770 50,341 -- 217,111 2002 213,321 17,345 -- 230,666 High Yield Bond Fund 2003 75,605 -- -- 75,605 2002 67,313 -- -- 67,313
As of September 30, 2003, the components of Distributable Earnings/(Accumulated Losses) were as follows:
- ----------------------------------------------------------------------------------------------------------------------------------- Undistributed Undistributed Capital Post Unrealized Other Total Ordinary Long-Term Loss October Appreciation Temporary Distributable Earnings/ Income Capital Gain Carryforwards Losses (Depreciation) Differences (Accumulated Losses) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) $ Thousands) ($ Thousands) - ----------------------------------------------------------------------------------------------------------------------------------- Tax-Managed Large Cap Fund $ 3,154 $ -- $ (558,285) $ (64,815) $ 12,057 -- (607,889) Large Cap Value Fund 13,769 -- (77,757) (100,906) (39,787) -- (204,681) Large Cap Growth Fund -- -- (1,529,541) (65,369) (265,694) -- (1,860,604) Tax-Managed Small Cap Fund -- -- (11,586) -- 20,743 -- 9,157 Small Cap Value Fund 14,732 18,540 -- -- 91,337 -- 124,609 Small Cap Growth Fund -- -- (309,132) (11,575) 28,506 -- (292,201) Mid-Cap Fund 803 -- -- (403) 4,104 -- 4,504 Core Fixed Income Fund 44,836 1,294 -- -- 77,776 (841) 123,065 High Yield Bond Fund 208 -- (198,174) -- 36,392 (212) (161,786)
Post October losses represent losses realized on investment transactions from November 1, 2002 through September 30, 2003 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 2011 2010 2009 2008 2007 Carryforwards ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) - --------------------------------------------------------------------------------------------------------------------------- Tax-Managed Large Cap Fund $203,461 $316,235 $37,081 $1,508 $-- $ 558,285 Large Cap Value Fund 77,757 -- -- -- -- 77,757 Large Cap Growth Fund 625,971 903,570 -- -- -- 1,529,541 Tax-Managed Small Cap Fund -- 11,586 -- -- -- 11,586 Small Cap Growth Fund 37,340 218,424 53,368 -- -- 309,132 High Yield Bond Fund 57,114 129,196 8,141 3,715 8 198,174
During the year ended September 30, 2003 Tax-Managed Small Cap Fund utilized $5,318,246 of capital loss carryforwards to offset capital gains. - -------------------------------------------------------------------------------- 104 SEI Institutional Managed Trust / Annual Report / September 30, 2003 For Federal income tax purposes, the cost of securities owned at September 30, 2003, and the net realized gains or losses on securities sold for the period, were different from amounts reported for financial reporting purposes, primarily due to wash sales which cannot be used for Federal income tax purposes in the current year and have been deferred for use in future years. The Federal tax cost and aggregate gross unrealized appreciation and depreciation on investments held by the Funds at September 30, 2003, were as follows: - -------------------------------------------------------------------------------- Net Unrealized Federal Appreciated Depreciated Appreciation Tax Cost Securities Securities (Depreciation) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Tax-Managed Large Cap Fund $1,870,903 $168,812 $(156,755) $ 12,057 Large Cap Value Fund 3,800,295 283,234 (323,021) (39,787) Large Cap Growth Fund 4,245,941 252,193 (517,887) (265,694) Tax-Managed Small Cap Fund 180,231 29,432 (8,689) 20,743 Small Cap Value Fund 768,233 127,921 (36,584) 91,337 Small Cap Growth Fund 1,014,535 138,070 (109,564) 28,506 Mid-Cap Fund 41,382 5,419 (1,315) 4,104 Core Fixed Income Fund 4,954,050 119,421 (41,645) 77,776 High Yield Bond Fund 981,230 46,654 (10,262) 36,392 7. IN-KIND TRANSFERS During the year ended September 30, 2002, the Tax-Managed Large Cap, Large Cap Value and Large Cap Growth Funds issued (redeemed) shares of beneficial interest in exchange for portfolio assets. These securities were transferred at their current value on the date of transaction. - -------------------------------------------------------------------------------- Shares Issues (Redeemed) Value Loss - -------------------------------------------------------------------------------- Tax-Managed Large Cap Fund 2/5/02 25,845,942 $ 262,331,234 $ -- Large Cap Value Fund 2/5/02 (7,261,285) (128,524,741) (19,306,553) Large Cap Growth Fund 2/5/02 (7,372,259) (133,806,493) (48,447,623) 8. 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 331/3% 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 rates, commercial paper, and private placements with an average weighted maturity date not to exceed 60 days and a maturity date not to exceed 397 days. 9. CONCENTRATIONS/RISKS In the normal course of business, the Funds enter into contracts that provide general indemnifications. 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 Fund's 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. 10. LITIGATION The Core Fixed Income Fund along with other entities, are plaintiffs in an action relating to Duty Free International. Duty Free was a public company when it issued the Notes in 1994. In 1997, the British Airport Authority (BAA) purchased Duty Free. Plaintiffs contend that BAA thereafter assumed or guaranteed the Note obligation. The Core Fixed Income Fund will bear the cost of litigation over and above the expense caps established by SIMC for the Funds. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 105 This page intentionally left blank. Report of Independent Auditors To the Board of Trustees and Shareholders of SEI Institutional Managed Trust In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, of Core Fixed Income Fund, and the statements of net assets of Tax-Managed Large Cap Fund, Large Cap Value Fund, Large Cap Growth Fund, Tax-Managed Small Cap Fund, Small Cap Value Fund, Small Cap Growth Fund, Mid-Cap Fund and High Yield Bond Fund (nine Funds constituting SEI Institutional Managed Trust, hereafter referred to as the "Trust") and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, each Fund's financial position at September 30, 2003, the results of each of their operations for the year then ended, the changes in each of their net assets and the financial highlights for the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Trust's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2003 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania November 21, 2003 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 107 TRUSTEES AND OFFICERS OF THE TRUST (UNAUDITED) The following chart lists Trustees and Officers as of November 21, 2003. Set forth below are the name, age, position with the SEI Institutional Managed Funds (the "Trust"), length of term of office, the principal occupations for the last five years, number of portfolios in fund complex overseen by trustee, and other directorships outside fund complex of each of the persons currently serving as Trustees and Officers of the Trust. The Trust's Statement of Additional Information ("SAI") includes additional information about the Trustees and Officers. The SAI may be obtained without charge by calling [1-800-342-5734].
- ------------------------------------------------------------------------------------------------------------------------------------ TERM OF NUMBER OF OFFICE PORTFOLIOS AND PRINCIPAL IN FUND NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY AND AGE TRUSTS SERVED(1) FIVE YEARS BY TRUSTEE(2) TRUSTEE - ------------------------------------------------------------------------------------------------------------------------------------ INTERESTED TRUSTEES - ------------------- Robert A. Nesher Chairman since 1986 Currently performs various 54 Trustee of The Advisors' Inner One Freedom of the services on behalf of SEI Circle Fund, The Arbor Fund, Valley Drive, Board of Investments Company for Bishop Street Funds, and The Oaks, PA 19456 Trustees* which Mr. Nesher is Expedition Funds. 56 yrs. old compensated. - ------------------------------------------------------------------------------------------------------------------------------------ William M. Doran Trustee* since 1986 Partner, Morgan, Lewis & 54 Trustee of The Advisors' Inner 1701 Market Street Bockius LLP(law firm), Circle Fund, The Arbor Fund, Philadelphia, PA counsel to the Trusts, SEI and The Expedition Funds; 19103 Investments Company, the Director of SEI Investments 63 yrs. old Adviser, the Administrator since 1974. and the Distributor. - ------------------------------------------------------------------------------------------------------------------------------------ TRUSTEES - -------- F. Wendell Gooch Trustee since 1986 Retired 54 Trustee of STI Classic Funds One Freedom and STI Classic Variable Trust. Valley Drive, Oaks, PA 19456 70 yrs. old - ------------------------------------------------------------------------------------------------------------------------------------ James M. Storey Trustee since 1995 Retired, Partner, Dechert Price 54 Trustee of The Advisors' Inner One Freedom & Rhoads, September 1987- Circle Fund, The Arbor Fund, Valley Drive, December 1993. and The Expedition Funds. Oaks, PA 19456 72 yrs. old - ------------------------------------------------------------------------------------------------------------------------------------ George J. Sullivan, Jr. Trustee since 1996 Chief Executive Officer, 54 Trustee of The Advisors' Inner One Freedom Newfound Consultants Inc. since Circle Fund, The Arbor Fund, Valley Drive April 1997. Treasurer and Clerk, and The Expedition Funds; Oaks, PA 19456 Peak Asset Management, Inc., Trustee, Navigator Securities 60 yrs. old since 1991. Lending Trust, since 1995. - ------------------------------------------------------------------------------------------------------------------------------------ Rosemarie B. Greco Trustee since 1999 Principal, Grecoventures 54 Director, Sonoco, Inc.; Director, One Freedom (consulting firm) since August Exelon Energy; Director, Radian, Valley Drive 1997. President, Corestates Inc.; Trustee, Pennsylvania Oaks, PA 19456 Financial Corp., 1991-1997; Chief Real Estate Investment Trust. 57 yrs. old Executive Officer and President, Corestates Bank, N.A., 1991-1997. - ------------------------------------------------------------------------------------------------------------------------------------ Nina Lesavoy Trustee since 2003 Partner, Cue Capital since 2002, 54 No other directorships One Freedom Head of Sales Investorforce, Valley Drive, January 2002-December 2001; Oaks, PA 19456 Global Partner working for the 46 yrs. old CEO, Invesco Capital, January 1998-January 2000. Head of Sales and Client Services, Chancellor Capital and later LGT Asset Management, 1986-2000. - ------------------------------------------------------------------------------------------------------------------------------------ * MESSRS. NESHER AND DORAN ARE TRUSTEES WHO MAY BE DEEMED TO BE "INTERESTED" PERSONS OF THE TRUST AS THAT TERM IS DEFINED IN THE 1940 ACT BY VIRTUE OF THEIR AFFILIATION WITH THE TRUSTS' DISTRIBUTOR. 1 EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR UNTIL HE OR SHE SOONER DIES, RESIGNS OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S DECLARATION OF TRUST. 2 THE FUND COMPLEX INCLUDES THE FOLLOWING TRUSTS:SEI ASSET ALLOCATION TRUST, SEI DAILY INCOME TRUST, SEI INDEX FUNDS, SEI INSTITUTIONAL INVESTMENTS TRUST, SEI INSTITUTIONAL INTERNATIONAL TRUST, SEI INSTITUTIONAL MANAGED TRUST, SEI INSURANCE PRODUCTS TRUST, SEI LIQUID ASSET TRUST AND SEI TAX EXEMPT TRUST.
- ------------------------------------------------------------------------------- 108 SEI Institutional Managed Trust / Annual Report / September 30, 2003
- ----------------------------------------------------------------------------------------------------------------------------------- TERM OF NUMBER OF OFFICE PORTFOLIOS AND PRINCIPAL IN FUND NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY AND AGE TRUSTS SERVED(1) FIVE YEARS BY TRUSTEE(2) TRUSTEE - ----------------------------------------------------------------------------------------------------------------------------------- OFFICERS - -------- Edward D. Loughlin President since 1986 Executive Vice President and N/A N/A One Freedom & CEO President - Asset Management Valley Drive, Division of SEI Investments since Oaks, PA 19456 1993. Executive Vice President of 52 yrs. old the Adviser and the Administrator since 1994. Senior Vice President of the Distributor, 1986-1991; Vice President of the Distributor, 1981-1986. - ----------------------------------------------------------------------------------------------------------------------------------- Peter (Pedro) A. Controller and since 2003 Director, Funds Accounting, SEI N/A N/A Rodriguez Chief Investments Global Funds Services One Freedom Financial since September 2002 (and 1997-2002); Valley Drive, Officer Vice President, Fund Administration, Oaks, PA 19456 BlackRock Financial Management 41 yrs. old (April 2002 to September 2002). - ----------------------------------------------------------------------------------------------------------------------------------- Timothy D. Barto Vice since 1999 Employed by SEI Investments since N/A N/A One Freedom President October 1999. Vice President and Valley Drive and Assistant Secretary of the Adviser, Oaks, PA 19456 Assistant Administrator and Distributor since 35 yrs. old Secretary December 1999. Associate, Dechert Price & Rhoads (law firm), 1997-1999. Associate, Richter, Miller & Finn (law firm), 1993-1997. - ----------------------------------------------------------------------------------------------------------------------------------- Lydia A. Gavalis Vice since 1998 Vice President and Assistant N/A N/A One Freedom President Secretary of SEI Investments, Valley Drive and the Adviser, the Administrator Oaks, PA 19456 Assistant and the Distributor since 1998. 38 yrs. old Secretary Assistant General Counsel and Director of Arbitration, Philadelphia Stock Exchange, 1989-1998. - ----------------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 109 TRUSTEES AND OFFICERS OF THE TRUST (UNAUDITED) (CONCLUDED) - --------------------------------------------------------------------------------------------------------------------------- TERM OF NUMBER OF OFFICE PORTFOLIOS AND PRINCIPAL IN FUND NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY AND AGE TRUSTS SERVED(1) FIVE YEARS BY TRUSTEE(2) TRUSTEE - --------------------------------------------------------------------------------------------------------------------------- OFFICERS (CONTINUED) - -------------------- Christine M. Vice since 1999 Employed by SEI Investments since N/A N/A McCullough President November 1, 1999. Vice President One Freedom and and Assistant Secretary of the Valley Drive Assistant Adviser, the Administrator and the Oaks, PA 19456 Secretary Distributor since December 1999. 42 yrs. old Associate at White and Williams LLP, 1991-1999. Associate at Montgomery, McCracken, Walker & Rhoads, 1990-1991. - --------------------------------------------------------------------------------------------------------------------------- Sherry Kajdan Vice since 2001 Vice President and Assistant N/A N/A Vetterlein President Secretary of SEI Investments One Freedom and Mutual Funds Services since Valley Drive Assistant January 2001. Shareholder/Partner, Oaks, PA 19456 Secretary Buchanan Ingersoll Professional 40 yrs. old Corporation (1992-2000). - --------------------------------------------------------------------------------------------------------------------------- William E. Vice since 2001 Vice President and Assistant N/A N/A Zitelli, Jr. President Secretary of the Administrator and One Freedom and Distributor since August 2000. Valley Drive Assistant Vice President, Merrill Lynch & Co. Oaks, PA 19456 Secretary Asset Management Group (1998-2000). 34 yrs. old Associate at Pepper Hamilton LLP (1997-1998). Associate at Reboul, MacMurray, Hewitt, Maynard & Kristol (1994-1997). - --------------------------------------------------------------------------------------------------------------------------- Robert S. Ludwig Vice since 1985 Employed by SEI Investments N/A N/A One Freedom President since 1985. Senior Vice President Valley Drive and and Chief Investment Officer of SEI Oaks, PA 19456 Assistant Asset Management Group since 1995. 53 yrs. old Secretary Manager of Product Development for SEI's institutional mutual funds and repurchase trading desk from 1985-1995. Held various product management and development positions at Chase Econometrics and Interactive Data Corporation from 1974-1985. - --------------------------------------------------------------------------------------------------------------------------- John C. Munch Vice since 2002 Vice President and Assistant N/A N/A One Freedom President Secretary of the Administrator Valley Drive and and Distributor since November Oaks, PA 19456 Assistant 2001. Associate, Howard, Rice, 32 yrs. old Secretary Nemorvoski, Canady, Falk & Rabkin (law firm), 1998-2001. Associate, Seward & Kissel LLP (law firm), 1996-1998. - --------------------------------------------------------------------------------------------------------------------------- 1 EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR UNTIL HE OR SHE SOONER DIES, RESIGNS OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S DECLARATION OF TRUST. 2 THE FUND COMPLEX INCLUDES THE FOLLOWING TRUSTS:SEI ASSET ALLOCATION TRUST, SEI DAILY INCOME TRUST, SEI INDEX FUNDS, SEI INSTITUTIONAL INVESTMENTS TRUST, SEI INSTITUTIONAL INTERNATIONAL TRUST, SEI INSTITUTIONAL MANAGED TRUST, SEI INSURANCE PRODUCTS TRUST, SEI LIQUID ASSET TRUST AND SEI TAX EXEMPT TRUST.
- -------------------------------------------------------------------------------- 110 SEI Institutional Managed Trust / Annual Report / September 30, 2003 NOTICE TO SHAREHOLDERS (UNAUDITED) For shareholders who do not have a September 30, 2003, taxable year end, this notice is for informational purposes only. For shareholders with a September 30, 2003, taxable year end, please consult your tax adviser as to the pertinence of this notice. For the fiscal year ended September 30, 2003, the Funds of the SEI Institutional Managed Trust are designating long term and qualifying dividend income with regard to distributions paid during the year as follows:
- --------------------------------------------------------------------------------------------------------------------------- (A) (B) (C) LONG TERM QUALIFIED 15% RATE ORDINARY CAPITAL GAINS 5-YEAR GAIN LONG-TERM INCOME TOTAL DISTRIBUTIONS DISTRIBUTIONS CAPITAL GAIN DISTRIBUTIONS DISTRIBUTIONS PORTFOLIO (TAX BASIS) (TAX BASIS) DISTRIBUTION (TAX BASIS) (TAX BASIS) - --------------------------------------------------------------------------------------------------------------------------- Tax-Managed Large Cap Fund 0% 0% 0% 100% 100% Large Cap Value Fund 0% 0% 0% 100% 100% Large Cap Growth Fund 0% 0% 0% 100% 100% Tax-Managed Small Cap Fund 0% 0% 0% 0% 0% Small Cap Value Fund 67% 0% 6% 27% 100% Small Cap Growth Fund 0% 0% 0% 0% 0% Mid-Cap Fund 28% 0% 0% 72% 100% Core Fixed Income Fund 23% 0% 0% 77% 100% High Yield Bond Fund 0% 0% 0% 100% 100% - --------------------------------------------------------------------------------------------------------------------------- (D) DIVIDENDS QUALIFYING QUALIFYING FOR CORPORATE DIVIDEND INCOME (E) (F) DIVIDENDS REC. (15% TAX RATE TAX-EXEMPT FOREIGN PORTFOLIO DEDUCTION(1) FOR QDI)(2) INTEREST TAX CREDIT(3) - --------------------------------------------------------------------------------------------------------------------------- Tax-Managed Large Cap Fund 100% 77% 0% 0% Large Cap Value Fund 99% 77% 0% 0% Large Cap Growth Fund 100% 100% 0% 0% Tax-Managed Small Cap Fund 0% 0% 0% 0% Small Cap Value Fund 50% 20% 0% 0% Small Cap Growth Fund 0% 0% 0% 0% Mid-Cap Fund 57% 32% 0% 0% Core Fixed Income Fund 0% 0% 0% 0% High Yield Bond Fund 0% 0% 0% 0%
(1) Qualifying dividends represent dividends which qualify for the corporate dividends received deduction. (2) The percentage in this column represents the amount of "Qualifying Dividend Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of 2003 and is reflected as a percentage of "Ordinary Income Distributions". It is the intention of each of the aforementioned Funds to designate the maximum amount permitted by the law. The information reported herein may differ from the information and distributions taxable to the shareholders for the calendar year ending December 31, 2003. Complete information will be computed and reported in conjunction with your 2003 Form 1099-DIV. (3) Foreign tax credit pass thru represents the amount eligible for the foreign tax credit and is reflected as a percentage of "Ordinary Income Distributions". Items (A), (B) and (C) are based on the percentage of each Fund's total distribution. Items (D) and (F) are based on the percentage of ordinary income distributions of each fund. Item (E) is based on the percentage of gross income of each Fund. Please consult your tax adviser for proper treatment of this information. This notification should be kept with your permanent tax records. - ------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2003 111 Notes Notes Notes Notes Notes SEI INSTITUTIONAL MANAGED TRUST ANNUAL REPORT SEPTEMBER 30, 2003 Robert A. Nesher, CHAIRMAN TRUSTEES William M. Doran F. Wendell Gooch James M. Storey George J. Sullivan, Jr. Rosemarie B. Greco OFFICERS Edward D. Loughlin PRESIDENT AND CHIEF EXECUTIVE OFFICER Peter (Pedro) A. Rodriguez CONTROLLER AND CHIEF FINANCIAL OFFICER Timothy D. Barto VICE PRESIDENT, SECRETARY Lydia A. Gavalis VICE PRESIDENT, ASSISTANT SECRETARY Robert S. Ludwig VICE PRESIDENT, ASSISTANT SECRETARY Sherry K. Vetterlein VICE PRESIDENT, ASSISTANT SECRETARY William E. Zitelli, Jr. VICE PRESIDENT, ASSISTANT SECRETARY Christine M. McCullough VICE PRESIDENT, ASSISTANT SECRETARY John C. Munch VICE PRESIDENT, ASSISTANT SECRETARY INVESTMENT ADVISER SEI Investments Management Corporation ADMINISTRATOR SEI Investments Fund Management DISTRIBUTOR SEI Investments Distribution Co. LEGAL COUNSEL Morgan, Lewis & Bockius LLP INDEPENDENT AUDITORS PricewaterhouseCoopers 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) [BACKGROUND GRAPHIC OMITTED] [SEI INVESTMENTS LOGO OMITTED] SEI Investments Distribution Co. Oaks, PA 19456 1 800-DIAL-SEI (1 800 342 5734) SEI-F-087 (09/03) ITEM 2. CODE OF ETHICS. The registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, comptroller or principal accounting officer. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. (a)(1) The registrant's board of trustees has determined that the registrant has one audit committee financial expert serving on the audit committee, and any person who performs a similar function. (a)(2) The audit committee financial expert is George J. Sullivan, Jr. Mr. Sullivan is an independent as defined in Form N-CSR Item 3 (a) (2) ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable - only effective for annual reports with periods ending on or after December 15, 2003. ITEMS 5. AUDIT COMMITTEE OF LISTED REGISTRANTS Not applicable. ITEM 6. (RESERVED) ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 8. (RESERVED) ITEM 9. CONTROLS AND PROCEDURES. (a) The certifying officers, whose certifications are included herewith, have evaluated the registrant's disclosure controls and procedures within 90 days of the filing date of this report. In their opinion, based on their evaluation, the registrant's disclosure controls and procedures are adequately designed, and are operating effectively to ensure, that material information relating to the registrant, including its consolidated subsidiaries, is made known to them by others within those entities, particularly during the period in which this report is being prepared. Further, in their opinion, 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) At the date of filing this Form N-CSR, 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 has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting. ITEMS 10. EXHIBITS. (a)(1) Code of Ethics attached herto. (a)(2) A separate certification for the principal executive officer and the principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed herewith. (b) Officer certifications as required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing as an Exhibit. - -------------------------------------------------------------------------------- SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) SEI Institutional Managed Trust By (Signature and Title)* /s/ Edward D. Loughlin ---------------------- Edward D. Loughlin Chief Executive Officer Date: 11/26/03 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/ Edward D. Loughlin ---------------------- Edward D. Loughlin Chief Executive Officer Date: 11/26/03 By (Signature and Title)* /s/ Peter (Pedro) A. Rodriguez ------------------------------ Peter (Pedro) A. Rodriguez Chief Financial Officer Date: 11/26/03 * Print the name and title of each signing officer under his or her signature. EX-99.CERT 3 simt302certificationel.txt SIMT AR 302 CERTIFICATION EL 9-30-03 CERTIFICATION Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 I, Edward D. Loughlin, certify that: 1. I have reviewed this report on Form N-CSR of SEI Institutional Managed Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-2(c) under the Investment Company Act of 1940) for the registrant and have: a) designed such disclosure controls and procedures to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) evaluated the effectiveness of the registrant's disclosure controls and procedures as of a date within 90 days prior to the filing date of this report (the "Evaluation Date"); and c) presented in this report our conclusions about the effectiveness of the disclosure controls and procedures based on our evaluation as of the Evaluation Date; 5. The registrant's other certifying officers and I have disclosed, based on our most recent evaluation, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): a) all significant deficiencies in the design or operation of internal controls which could adversely affect the registrant's ability to record, process, summarize, and report financial data and have identified for the registrant's auditors any material weaknesses in internal controls; and b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal controls; and 6. The registrant's other certifying officers and I have indicated in this report whether or not there were significant changes in internal controls or in other factors that could significantly affect internal controls subsequent to the date of our most recent evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses. Date: November 26, 2003 /s/ Edward D. Loughlin - ---------------------- Edward D. Loughlin President and CEO EX-99.CERT 4 simt302certificationpr.txt SIMT AR 302 CERTIFICATION PR 9-30-03 CERTIFICATION Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 I, Peter (Pedro) A. Rodriguez, certify that: 1. I have reviewed this report on Form N-CSR of SEI Institutional Managed Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-2(c) under the Investment Company Act of 1940) for the registrant and have: a) designed such disclosure controls and procedures to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) evaluated the effectiveness of the registrant's disclosure controls and procedures as of a date within 90 days prior to the filing date of this report (the "Evaluation Date"); and c) presented in this report our conclusions about the effectiveness of the disclosure controls and procedures based on our evaluation as of the Evaluation Date; 5. The registrant's other certifying officers and I have disclosed, based on our most recent evaluation, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): a) all significant deficiencies in the design or operation of internal controls which could adversely affect the registrant's ability to record, process, summarize, and report financial data and have identified for the registrant's auditors any material weaknesses in internal controls; and b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal controls; and 6. The registrant's other certifying officers and I have indicated in this report whether or not there were significant changes in internal controls or in other factors that could significantly affect internal controls subsequent to the date of our most recent evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses. Date: November 26, 2003 /s/ Peter (Pedro) A. Rodriguez - ------------------------------ Peter (Pedro) A. Rodriguez Controller and CFO EX-99.906 5 simt906certificationel.txt SIMT AR 906 CERTIFICATION EL 9-30-03 CERTIFICATION Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 The undersigned, the Chief Executive Officer of SEI Institutional Managed Trust (the "Fund"), with respect to the Form N-CSR for the period ended May 31, 2003 as filed with the Securities and Exchange Commission, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, hereby certifies that, to the best of my knowledge: 1. such Form N-CSR fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. the information contained in such Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Fund. Dated: November 26, 2003 /s/ Edward D. Loughlin ---------------------- Edward D. Loughlin A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to SEI Institutional Investments Trust and will be retained by SEI Institutional Investments Trust and furnished to the Securities and Exchange Commission or its staff upon request. EX-99.906 6 simt906certificationpr.txt SIMT AR 906 CERTIFICATION PR 9-30-03 CERTIFICATION Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 The undersigned, the Chief Financial Officer of SEI Institutional Managed Trust (the "Fund"), with respect to the Form N-CSR for the period ended May 31, 2003 as filed with the Securities and Exchange Commission, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, hereby certifies that, to the best of my knowledge: 1. such Form N-CSR fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. the information contained in such Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Fund. Dated: November 26, 2003 /s/ Peter (Pedro) A. Rodriguez ------------------------------ Peter (Pedro) A. Rodriguez A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to SEI Institutional Investments Trust and will be retained by SEI Institutional Investments Trust and furnished to the Securities and Exchange Commission or its staff upon request. EX-99.P 7 simtcodeofethics.txt SIMT AR CODE OF ETHICS 9-30-03 SEI LIQUID ASSET TRUST SEI TAX EXEMPT TRUST SEI DAILY INCOME TRUST SEI INDEX FUNDS SEI INSTITUTIONAL MANAGED TRUST SEI INSTITUTIONAL INTERNATIONAL TRUST SEI ASSET ALLOCATION TRUST SEI INSTITUTIONAL INVESTMENTS TRUST SEI INSURANCE PRODUCTS TRUST FINANCIAL OFFICER CODE OF ETHICS I. INTRODUCTION The reputation and integrity of SEI Liquid Asset Trust, SEI Tax Exempt Trust, SEI Daily Income Trust, SEI Index Funds, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Asset Allocation Trust, SEI Institutional Investments Trust and SEI Insurance Products Trust (each a "Trust" and, collectively, the "Trusts") are valuable assets that are vital to the each Trust's success. The Trusts' senior financial officers ("SFOs") are responsible for conducting the Trusts' business in a manner that demonstrates a commitment to the highest standards of integrity. The Trusts' SFOs include the principal executive officer, the principal financial officer, comptroller or principal accounting officer, and any person who performs a similar function. The Sarbanes-Oxley Act of 2002 (the "Act") effected sweeping corporate disclosure and financial reporting reform on public companies, including mutual funds, to address corporate malfeasance and assure investors that the companies in which they invest are accurately and completely disclosing financial information. Under the Act, all public companies (including the Trusts) must either have a code of ethics for their SFOs, or disclose why they do not. The Act was intended to foster corporate environments which encourage employees to question and report unethical and potentially illegal business practices. Each Trust has chosen to adopt this Financial Officer Code of Ethics (the "Code") to encourage its SFOs to act in a manner consistent with the highest principles of ethical conduct. II. PURPOSES OF THE CODE The purposes of this Code are: o To promote honest and ethical conduct by each Trust's SFOs, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; o To assist each Trust's SFOs in recognizing and avoiding conflicts of interest, including disclosing to an appropriate person any material transaction or relationship that reasonably could be expected to give rise to such a conflict; 1 o To promote full, fair, accurate, timely, and understandable disclosure in reports and documents that the Trusts file with, or submit to, the SEC and in other public communications made by the Trusts; o To promote compliance with applicable laws, rules and regulations; o To encourage the prompt internal reporting to an appropriate person of violations of this Code; and o To establish accountability for adherence to this Code. III. QUESTIONS ABOUT THIS CODE Each Trust's compliance officer designated to oversee compliance with the Trust's Code of Ethics adopted pursuant to Rule 17j-1 shall serve as Compliance Officer for the implementation and administration of this Code. You should direct your questions about this Code to the Compliance Officer. IV. CONDUCT GUIDELINES Each Trust has adopted the following guidelines under which the Trust's SFOs must perform their official duties and conduct the business affairs of the Trust. 1. ETHICAL AND HONEST CONDUCT IS OF PARAMOUNT IMPORTANCE. Each Trust's SFOs must act with honesty and integrity and avoid violations of this Code, including the avoidance of actual or apparent conflicts of interest with the Trust in personal and professional relationships. 2. SFOS MUST DISCLOSE MATERIAL TRANSACTIONS OR RELATIONSHIPS. Each Trust's SFOs must disclose to the Compliance Officer any actual or apparent conflicts of interest the SFO may have with the Trust that reasonably could be expected to give rise to any violations of this Code. Such conflicts of interest may arise as a result of material transactions or business or personal relationships to which the SFO may be a party. If it is not possible to disclose the matter to the Compliance Officer, it should be disclosed to the Trust's Chief Financial Officer, Chief Executive Officer or another appropriate person. In addition to disclosing any actual or apparent conflicts of interest in which an SFO is personally involved, the Trusts' SFOs have an obligation to report any other actual or apparent conflicts which they discover or of which they otherwise become aware. If you are unsure whether a particular fact pattern gives rise to a conflict of interest, or whether a particular transaction or relationship is "material," you should bring the matter to the attention of the Compliance Officer. 3. STANDARDS FOR QUALITY OF INFORMATION SHARED WITH SERVICE PROVIDERS OF THE TRUSTS. Each Trust's SFOs must at all times seek to provide information to the Trust's service providers (adviser, administrator, outside auditor, outside counsel, 2 custodian, ETC.) that is accurate, complete, objective, relevant, timely, and understandable. 4. STANDARDS FOR QUALITY OF INFORMATION INCLUDED IN PERIODIC REPORTS. Each Trust's SFOs must at all times endeavor to ensure full, fair, timely, accurate, and understandable disclosure in the Trust's periodic reports. 5. COMPLIANCE WITH LAWS. Each Trust's SFOs must comply with the federal securities laws and other laws and rules applicable to the Trusts, such as the Internal Revenue Code. 6. STANDARD OF CARE. Each Trust's SFOs must at all times act in good faith and with due care, competence and diligence, without misrepresenting material facts or allowing your independent judgment to be subordinated. Each Trust's SFOs must conduct the affairs of the Trust in a responsible manner, consistent with this Code. 7. CONFIDENTIALITY OF INFORMATION. Each Trust's SFOs must respect and protect the confidentiality of information acquired in the course of their professional duties, except when authorized by the Trust to disclose it or where disclosure is otherwise legally mandated. You may not use confidential information acquired in the course of your work for personal advantage. 8. SHARING OF INFORMATION AND EDUCATIONAL STANDARDS. Each Trust's SFOs should share information with relevant parties to keep them informed of the business affairs of the Trust, as appropriate, and maintain skills important and relevant to the Trust's needs. 9. PROMOTE ETHICAL CONDUCT. Each Trust's SFOs should at all times proactively promote ethical behavior among peers in your work environment. 10. STANDARDS FOR RECORDKEEPING. Each Trust's SFOs must at all times endeavor to ensure that the Trust's financial books and records are thoroughly and accurately maintained to the best of their knowledge in a manner consistent with applicable laws and this Code. V. WAIVERS OF THIS CODE You may request a waiver of a provision of this Code by submitting your request in writing to the Compliance Officer for appropriate review. For example, if a family member works for a service provider that prepares a Trust's financial statements, you may have a potential conflict of interest in reviewing those statements and should seek a waiver of this Code to review the work. An executive officer of each Trust, or another appropriate person (such as a designated Board or Audit Committee member), will decide whether to grant a waiver. All waivers of this code must be disclosed to the applicable Trust's shareholders to the extent required by SEC rules. 3 VI. AFFIRMATION OF THE CODE Upon adoption of the Code, each Trust's SFOs must affirm in writing that they have received, read and understand the Code, and annually thereafter must affirm that they have complied with the requirements of the Code. To the extent necessary, each Trust's Compliance Officer will provide guidance on the conduct required by this Code and the manner in which violations or suspected violations must be reported and waivers must be requested. VII. REPORTING VIOLATIONS In the event that an SFO discovers or, in good faith, suspects a violation of this Code, the SFO must immediately report the violation or suspected violation to the Compliance Officer. The Compliance Officer may, in his or her discretion, consult with another member of the Trust's senior management or the Board in determining how to address the suspected violation. For example, a Code violation may occur when a periodic report or financial statement of a Trust omits a material fact, or is technically accurate but, in the view of the SFO, is written in a way that obscures its meaning. SFOs who report violations or suspected violations in good faith will not be subject to retaliation of any kind. Reported violations will be investigated and addressed promptly and will be treated as confidential to the extent possible. VIII. VIOLATIONS OF THE CODE Dishonest or unethical conduct or conduct that is illegal will constitute a violation of this Code, regardless of whether this Code specifically refers to such particular conduct. A violation of this Code may result in disciplinary action, up to and including removal as an SFO of the Trust. A variety of laws apply to the Trusts and their operations, including the Securities Act of 1933, the Investment Company Act of 1940, state laws relating to duties owed by Trust officers, and criminal laws. The Trusts will report any suspected criminal violations to the appropriate authorities, and will investigate, address and report, as appropriate, non-criminal violations. ADOPTED: JUNE 30, 2003 4 -----END PRIVACY-ENHANCED MESSAGE-----