N-CSR 1 simtcombined906.txt SEI INSTITUTIONAL MANAGED TRUST AR 0906 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 811-4878 SEI INSTITUTIONAL MANAGED TRUST (Exact name of registrant as specified in charter) -------- c/o CT Corporation 101 Federal St. Boston, MA 02110 (Address of principal executive offices) (Zip code) 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, 2006 DATE OF REPORTING PERIOD: SEPTEMBER 30, 2006 ITEM 1. REPORTS TO STOCKHOLDERS. [SEI LOGO OMITTED] SEI New ways. New answers.(R) -------------------------------------------------------------------------------- SEI Institutional Managed Trust -------------------------------------------------------------------------------- Annual Report as of September 30, 2006 -------------------------------------------------------------------------------- Large Cap Diversified Alpha Fund Tax-Managed Large Cap Fund Large Cap Value Fund Large Cap Growth Fund Tax-Managed Small Cap Fund Small Cap Value Fund Small Cap Growth Fund Mid-Cap Fund U.S. Managed Volatility Fund Global Managed Volatility Fund Real Estate Fund Enhanced Income Fund Core Fixed Income Fund High Yield Bond Fund -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- Management's Discussion and Analysis of Fund Performance 2 -------------------------------------------------------------------------------- Schedules of Investments 23 -------------------------------------------------------------------------------- Statements of Assets and Liabilities 164 -------------------------------------------------------------------------------- Statements of Operations 168 -------------------------------------------------------------------------------- Statements of Changes in Net Assets 172 -------------------------------------------------------------------------------- Financial Highlights 176 -------------------------------------------------------------------------------- Notes to Financial Statements 178 -------------------------------------------------------------------------------- Report of Independent Registered Public Accounting Firm 190 -------------------------------------------------------------------------------- Trustees and Officers of the Trust 191 -------------------------------------------------------------------------------- Disclosure of Fund Expenses 194 -------------------------------------------------------------------------------- Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements 196 -------------------------------------------------------------------------------- Notice to Shareholders 199 -------------------------------------------------------------------------------- The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission ("Commission") for the first and third quarters of each fiscal year on Form N-Q within sixty days after period end. The Trust's Form N-Q is available on the Commission's website at http://www.sec.gov, and may be reviewed and copied at the Commission's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities, as well as information relating to how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, is available (i) without charge, upon request, by calling 1-800-DIAL-SEI; and (ii) on the Commission's website at http://www.sec.gov. -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 1 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2006 Large Cap Diversified Alpha Fund Objective The investment objective of the Large Cap Diversified Alpha Fund (the "Fund") is long-term growth of capital and income by investing in the equity securities of large companies and in portfolio strategies designed to correlate to a portfolio composed of large cap equity securities. While the Fund is expected to have an absolute return and risk profile similar to the broad U.S. large cap equity market, returns may be derived in part from investing significant portions of the Fund in securities outside of the large cap market. Strategy The Fund uses a multi-manager approach under the general supervision of SEI Investments Management Corporation ("SIMC"), allocating the assets among multiple sub-advisers that use different investment strategies to seek to achieve returns in excess of the performance of a broad U.S. large cap benchmark. This allocation among investment strategies aims to diversify the sources from which sub-advisers seek to achieve excess returns (i.e., returns in excess of a benchmark index), and thereby diversify the relative risk of the Fund. Some sub-advisers may engage in short sales up to 20% of the value of their Fund allocation and use the proceeds from the sale to purchase long positions in additional equity securities. Some sub-advisers may also use portfolio strategies that are designed to correlate with a portfolio of large cap equity securities, but which are composed of derivative instruments backed by other types of securities. Aronson + Johnson + Ortiz, Analytic Investors, and Quantitative Management Associates seek to overweight stocks with attractive fundamental and/or technical characteristics and underweight or even short stocks with unattractive fundamental and/or technical characteristics. Enhanced Investment Technologies (INTECH) employs a volatility capture strategy, Delaware Management Company seeks to identify stocks with underappreciated growth characteristics, while Smith Breeden Associates seeks to generate alpha within the U.S. fixed income market and transports it to the equity market. Analysis The Large Cap Diversified Alpha Fund, Class A gained 4.44% for the period December 14, 2005 through September 30, 2006, which represents the inception date of the Fund's Class A Shares through the fiscal year-end. The Russell 1000 Index returned 10.25% for the fiscal year ended September 30, 2006. The U.S. Equity market returned just over 6% for the six-month period ending September 30, 2006. Energy prices regained their strength at the start of 2006, but healthy employment gains and strong corporate profits gave a boost to equity markets through April 2006. The equity market turned negative in May when Federal Reserve Board ("Fed") Chairman Ben Bernanke expressed he was more concerned about keeping inflation at bay rather than promoting growth. The market took this to mean that there were more interest rate hikes to come. Bernanke's comments sent stocks with high growth expectations and longer durations tumbling as interest rates rose. Sentiment turned again in July as the Fed stopped raising interest rates and the markets bet that this would be a full stop in rate hikes rather than a pause. Sharply falling energy prices towards the end of the fiscal year only served to solidify the market's view, and interest rates continued to fall across the yield curve. Lower interest rates and energy prices gave a boost to equities, which staged a strong rally in the last two months of the fiscal year. The strategy had positive contributions from Aronson + Johnson + Ortiz, Analytic Investors, and Quantitative Management Associates. Their emphasis on value related factors in their model helped to drive performance, and they also benefited from the added flexibility of shorting stocks. Smith Breeden Associates also positively contributed to performance as it added value in the U.S. fixed income markets and transported that to the Fund. INTECH lagged as individual stock volatility remained low and correlations amongst stocks were somewhat higher than history. Finally, Delaware Management Company significantly underperformed as the market shunned stocks with high expected growth rates and a handful of negative stock events dragged down performance. -------------------------------------------------------------------------------- 2 SEI Institutional Managed Trust / Annual Report / September 30, 2006 Large Cap Diversified Alpha Fund: AVERAGE ANNUAL TOTAL RETURN 1 -------------------------------------------------------------------------------- Cumulative Inception to Date -------------------------------------------------------------------------------- Large Cap Diversified Alpha Fund, Class A 4.44% -------------------------------------------------------------------------------- Large Cap Diversified Alpha Fund, Class I 4.44% -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the Large Cap Diversified Alpha Fund, Class A and Class I, versus the Russell 1000 Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] Large Cap Large Cap Diversified Alpha Diversified Alpha Russell Fund, Class A Fund, Class I 1000 Index 12/14/05 $100,000 $100,000 $100,000 9/30/06 $104,451 $104,451 $106,486 1 For the period ended 9/30/06. Past performance is no indication of future performance. Class I Shares performance for the period prior to 9/14/06 is performance derived from the performance of the Class A Shares. The performance of the Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 12/14/05 and Class I Shares were offered beginning 9/14/06. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 3 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2006 Tax-Managed Large Cap Fund Objective The investment objective of the Tax-Managed Large Cap Fund (the "Fund") is capital appreciation by investing in the equity securities of large companies. The Fund attempts to maximize after-tax returns to investors through lower turnover and tax management techniques. Strategy With respect to this Fund, SEI Investments Management Corporation ("SIMC") employs a multi-manager structure to gain exposure to the entire U.S. large cap market, seeking to add value through stock selection in a tax-aware framework while minimizing risk in the form of capitalization, valuation and economic sector exposures. Assets of the Fund are strategically allocated among its sub-advisers, each of which has responsibility for stock selection for its respective assets under management. Through various investment approaches, each sub-adviser contributes a unique expertise to the Fund. Goldman Sachs Asset Management, Delaware Management Company, and Montag & Caldwell focus on stocks that have growth characteristics. Alliance Capital Management, LSV Asset Management and Aronson + Johnson + Ortiz focus on selecting stocks that have value-oriented characteristics. Parametric Portfolio Associates invests in both value and growth large-cap stocks through a quantitative process which aggressively harvests tax-losses in the portfolio. Analysis The Tax-Managed Large Cap Fund, Class A returned 8.58% for the fiscal year ended September 30, 2006, lagging behind the broad market. The Russell 1000 Index returned 10.25% for the fiscal year ended September 30, 2006. The U.S. Equity market returned just over 10% for the fiscal year ending September 30, 2006. Energy prices regained their strength at the start of 2006, but healthy employment gains and strong corporate profits gave a boost to equity markets through April 2006. The equity market turned negative in May when Federal Reserve Board ("Fed") Chairman Ben Bernanke expressed he was more concerned about keeping inflation at bay rather than promoting growth. The market took this to mean that there were more interest rate hikes to come. Bernanke's comments sent stocks with high growth expectations and longer durations tumbling as interest rates rose. Sentiment turned again in July as the Fed stopped raising interest rates and the markets bet that this would be a full stop in rate hikes rather than a pause. Sharply falling energy prices towards the end of the fiscal year only served to solidify the market's view, and interest rates continued to fall across the yield curve. Lower interest rates and energy prices gave a boost to equities, which staged a strong rally in the last two months of the fiscal year. The portfolio suffered from negative stock selection within the technology and media sectors. During the period, investors shunned the high growth, long duration positions that our growth managers tend to favor within these sectors. On the positive side, strong stock selection within the energy equipment and services industry as well as financials contributed to portfolio relative performance. Delaware Management Company was the notable laggard for the period as the manager reversed much of the strong performance from the prior fiscal year. Delaware Management Company had the greatest concentration of these high growth positions. Montag & Caldwell also trailed the benchmark due to sector positioning and negative stock selection within healthcare. Goldman Sachs Asset Management outpaced the growth index but lagged the broad benchmark. Given the strong performance of the value style during the fiscal year, the three value managers performed much better than the broad market. Relative to the value index, LSV Asset Management was ahead, while Alliance Capital Management and Aronson + Johnson + Ortiz lagged. During the fiscal year, SIMC concentrated the manager line-up, terminating both Peregrine Capital Management and Franklin Portfolio Associates. -------------------------------------------------------------------------------- 4 SEI Institutional Managed Trust / Annual Report / September 30, 2006 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 8.58% 12.31% 6.89% 3.61% -------------------------------------------------------------------------------- Tax-Managed Large Cap Fund, Class Y 8.83% 12.64% 7.17% 3.77% -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the Tax-Managed Large Cap Fund, Class A and Class Y, versus the Russell 1000 Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] Tax-Managed Tax-Managed Large Cap Fund, Large Cap Fund, Russell 1000 Class A Class Y Index 3/5/98 $100,000 $100,000 $100,000 9/30/98 96,177 96,177 96,849 9/30/99 127,530 127,530 122,970 9/30/00 138,574 138,574 144,871 9/30/01 97,113 97,113 103,698 9/30/02 77,263 77,321 83,467 9/30/03 95,683 96,079 104,450 9/30/04 109,126 109,925 118,969 9/30/05 124,840 126,171 135,934 9/30/06 135,551 137,312 149,867 1 For the period ended 9/30/06. Past performance is no indication of future performance. Class Y Shares performance for the period prior to 4/8/02 is performance derived from the performance of the Class A Shares. The performance of Class Y Shares may be different from the performance of Class A Shares because of different distribution fees paid by Class Y shareholders. Class A Shares were offered beginning 3/5/98 and Class Y Shares were offered beginning 4/8/02. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 5 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2006 Large Cap Value Fund Objective The investment objective of the Large Cap Value Fund (the "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 ("SIMC") employs a multi-manager structure to gain exposure to the entire large cap value sector, adding value through stock selection while managing risk in the form of capitalization, valuation and economic sector exposures. Assets of the Fund are strategically allocated among its four sub-advisers, each of whom has responsibility for stock selection for its respective assets under management. Through various investment approaches, each sub-adviser contributes a unique expertise or sub-style to the Fund. Aronson + Johnson + Ortiz invests in asset-rich companies selling at relatively low multiples of earnings which have earnings and price momentum. LSV Asset Management invests in companies trading at deep discounts to their intrinsic value, while Enhanced Investment Technologies (INTECH) employs a volatility capture strategy. Alliance Capital Management incorporates intensive fundamental research to invest in undervalued stocks where there is a relationship between the current price, its future earnings power and dividend producing capability. Analysis The Large Cap Value Fund, Class A gained 13.42% for the fiscal year ended September 30, 2006, falling behind the value portion of the U.S. large cap market. The Russell 1000 Value Index returned 14.62% for the fiscal year ended September 30, 2006. The U.S. Equity market returned just over 10% for the fiscal year ending September 30, 2006. Energy prices regained their strength at the start of 2006, but healthy employment gains and strong corporate profits gave a boost to equity markets through April 2006. The equity market turned negative in May when Federal Reserve Board ("Fed") Chairman Ben Bernanke expressed he was more concerned about keeping inflation at bay rather than promoting growth. The market took this to mean that there were more interest rate hikes to come. Bernanke's comments sent stocks with high growth expectations and longer durations tumbling as interest rates rose. Sentiment turned again in July as the Fed stopped raising interest rates and the markets bet that this would be a full stop in rate hikes rather than a pause. Sharply falling energy prices towards the end of the fiscal year only served to solidify the market's view, and interest rates continued to fall across the yield curve. Lower interest rates and energy prices gave a boost to equities, which staged a strong rally in the last two months of the fiscal year. The Fund's sector and industry positioning generated mixed results for the fiscal year. The negative impact of the Fund's underweight to real estate investment trusts was offset by the benefit of being underweight in utilities for the period. Security selection within consumer discretionary, industrials and telecommunications contributed positively to returns, while security selection within technology and financials detracted from results. From an individual manager perspective, there were no significant outliers for the period. LSV Asset Management and Aronson + Johnson + Ortiz contributed while Alliance Capital Management and INTECH (partial period) detracted. During the fiscal year, SIMC replaced Franklin Portfolio Associates with INTECH. -------------------------------------------------------------------------------- 6 SEI Institutional Managed Trust / Annual Report / September 30, 2006 Large Cap Value Fund: AVERAGE ANNUAL TOTAL RETURN 1 -------------------------------------------------------------------------------- Annualized Annualized Annualized Annualized One Year 3 Year 5 Year 10 Year Inception Return Return Return Return to Date -------------------------------------------------------------------------------- Large Cap Value Fund, Class A 13.42% 16.29% 9.57% 10.06% 12.07% -------------------------------------------------------------------------------- Large Cap Value Fund, Class I 13.16% 16.00% 9.29% 9.92% 11.95% -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the Large Cap Value Fund, Class A and Class I, versus the Russell 1000 Value Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] Large Cap Large Cap Russell 1000 Value Fund, Value Fund, Value Class A Class I Index 9/30/96 $100,000 $100,000 $100,000 9/30/97 144,120 144,120 142,310 9/30/98 142,102 142,102 147,419 9/30/99 166,444 166,444 175,016 9/30/00 173,885 173,885 190,610 9/30/01 165,051 165,051 173,626 9/30/02 135,243 134,946 144,197 9/30/03 165,740 164,863 179,337 9/30/04 198,325 196,731 216,137 9/30/05 229,799 227,441 252,211 9/30/06 260,638 257,463 289,084 1 For the period ended 9/30/06. 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. -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 7 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2006 Large Cap Growth Fund The investment objective of the Large Cap Growth Fund (the "Fund") is capital appreciation by investing in the equity securities of large companies. The Fund invests in the securities of issuers believed to possess significant growth potential that is underappreciated by the market. Strategy With respect to this Fund, SEI Investments Management Corporation ("SIMC") employs a multi-manager structure to gain exposure to the entire large cap growth sector, adding value through stock selection while managing risk in the form of capitalization, valuation and economic sector exposures. Assets of the Fund are strategically allocated among its sub-advisers, each of which has responsibility for stock selection for its respective assets under management. Through various investment approaches, each sub-adviser contributes a unique expertise to the Fund. Goldman Sachs Asset Management invests in companies with strong business franchises that are attractively priced relative to their discounted cash flows. Quantitative Management Associates favors large cap stocks that have positive news flow and attractive valuation characteristics. Montag & Caldwell invests in large cap stocks that exhibit accelerating earnings, are trading at a discount to fair value, and are financially stable. Enhanced Investment Technologies (INTECH) employs a volatility capture strategy, while Delaware Management Company invests in stocks that are attractively valued from a cash flow basis and have strong prospects for organic growth in the future. Analysis The Large Cap Growth Fund, Class A returned 3.92% for the fiscal year ended September 30, 2006, lagging behind the growth area of the market for the period. The Russell 1000 Growth Index returned 6.04% for the fiscal year ended September 30, 2006. The large cap U.S. Equity market returned just over 10% for the fiscal year ending September 30, 2006. Energy prices regained their strength at the start of 2006, but healthy employment gains and strong corporate profits gave a boost to equity markets through April 2006. The equity market turned negative in May when Federal Reserve Board ("Fed") Chairman Ben Bernanke expressed he was more concerned about keeping inflation at bay rather than promoting growth. The market took this to mean that there were more interest rates hikes to come. Bernanke's comments sent stocks with high growth expectations and longer durations tumbling as interest rates rose. Sentiment turned again in July as the Fed stopped raising interest rates and the markets bet that this would be a full stop in rate hikes rather than a pause. Sharply falling energy prices towards the end of the fiscal year only served to solidify the market's view, and interest rates continued to fall across the yield curve. Lower interest rates and energy prices gave a boost to equities, which staged a strong rally in the last two months of the fiscal year. The portfolio suffered from negative sector and industry positioning during the fiscal year, in particular an underweight to the rallying aerospace and defense industry and overweight to the underperforming internet software industry. Negative stock selection within both media and technology also weighed on performance during the period. Investors shunned the high growth, long duration positions that our managers tend to favor within these sectors. Delaware Management Company had the greatest concentration of these high growth positions. On the positive side strong stock selection within the energy equipment and services industry as well as diversified financials contributed to portfolio relative performance. Delaware Management Company was the notable laggard for the period as the manager reversed much of the strong performance from the prior fiscal year. Montag & Caldwell also trailed the benchmark due to sector positioning and negative stock selection within healthcare. On the positive side, Goldman Sachs Asset Management and Quantitative Management Associates contributed to performance as did INTECH. During the fiscal year, SIMC removed Peregrine Capital Management and added INTECH. -------------------------------------------------------------------------------- 8 SEI Institutional Managed Trust / Annual Report / September 30, 2006 Large 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 -------------------------------------------------------------------------------- Large Cap Growth Fund, Class A 3.92% 8.37% 3.72% 5.16% 8.31% -------------------------------------------------------------------------------- Large Cap Growth Fund, Class I 3.73% 8.13% 3.47% 5.02% 8.19% -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the Large Cap Growth Fund, Class A and Class I, versus the Russell 1000 Growth Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] Large Cap Large Cap Russell 1000 Growth Fund, Growth Fund, Growth Class A Class I Index 9/30/96 $100,000 $100,000 $100,000 9/30/97 144,350 144,350 136,300 9/30/98 156,403 156,403 151,429 9/30/99 215,430 215,430 204,202 9/30/00 281,502 281,502 252,047 9/30/01 137,711 137,655 137,013 9/30/02 106,767 106,366 106,171 9/30/03 129,893 129,096 133,691 9/30/04 141,090 139,966 143,731 9/30/05 159,079 157,350 160,404 9/30/06 165,315 163,219 170,092 1 For the period ended 9/30/06. Past performance is no indication of future performance. Class I Shares performance for the period prior to 8/6/01 is the performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 12/20/94 and Class I Shares were offered beginning 8/6/01. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 9 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2006 Tax-Managed Small Cap Fund Objective The investment objective of the Tax-Managed Small Cap Fund (the "Fund") is capital appreciation by investing in the equity securities of small companies. The Fund attempts to maximize after-tax returns to investors through investing in undervalued securities, selling stocks with the highest tax cost first and offsetting losses with gains where possible. Strategy With respect to this Fund, SEI Investments Management Corporation ("SIMC") employs a multi-manager structure to gain exposure to the entire small/mid cap universe, adding value through stock selection while minimizing risk in the form of capitalization, valuation and economic sector exposures. The Fund is jointly sub-advised by seven investment managers. Assets of the Fund are strategically allocated among the 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. BlackRock Advisors ("BlackRock") focuses on attractively valued companies with a near-term business catalyst. David J. Greene and Company ("DJ Greene") looks for undervalued securities that are misunderstood by the marketplace. Delaware Management Company ("Delaware") focuses on sustainable business models at attractive valuations. LSV Asset Management's ("LSV") disciplined proprietary screening model ranks stocks based on price to book, price to cash flow, past sales performance, and likelihood of near-term appreciation. Mazama Capital Management ("Mazama") invests primarily in stocks entering extended periods of growth not yet understood by the market. McKinley Capital Management ("McKinley") emphasizes acceleration of the growth rate of companies relative to the market's expectations, and companies with positive earnings surprises. Parametric Portfolio Associates ("Parametric") invests in both value and growth small-cap stocks through a quantitative process which aggressively harvests tax-losses in the portfolio. Analysis The Russell 2500 Index gained 8.80% during the fiscal year ended September 30, 2006, with its value components outperforming growth. Financials were the biggest contributor to the performance of the Index over the past year, as real estate securities continued to rise despite concerns of rich valuation. Contribution from the industrials sector, especially regarding capital goods and transportation, slowed recently but was positive overall due to government spending after 2005's hurricane season. Energy was the only sector posting a negative return, as the lessening of both political turmoil and supply concerns in the third quarter of 2006 mitigated returns previously generated during the period. Health care also lagged the benchmark due to disappointing FDA outcomes for many pharmaceutical and biotech companies. The Tax-Managed Small Cap Fund, Class A gained 5.50% for the fiscal year ended September 30, 2006. The Fund's underweight to energy, overweight to information technology, and stock selection in both sectors added to returns. However, positioning in the consumer discretionary sector and financials holdings detracted from performance. Most of Mazama's outperformance came from the information technology sector. The other growth managers, Delaware and McKinley, underperformed, and were hurt in the health care sector but benefited from energy holdings. Value managers struggled by having underweights to the REIT industry which detracted from returns. Stock selection troubles came in the industrials and materials sectors for BlackRock and LSV, respectively. DJ Greene posted positive returns in information technology, but was hurt by holdings in the consumer discretionary sector. -------------------------------------------------------------------------------- 10 SEI Institutional Managed Trust / Annual Report / September 30, 2006 Tax-Managed Small Cap Fund: AVERAGE ANNUAL TOTAL RETURN 1 -------------------------------------------------------------------------------- Annualized Annualized Annualized One Year 3 Year 5 Year Inception Return Return Return to Date -------------------------------------------------------------------------------- Tax-Managed Small Cap Fund, Class A 5.50% 14.02% 12.71% 6.89% -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the Tax-Managed Small Cap Fund, Class A, versus the Russell 2500 Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] Tax-Managed Russell 2500 Small Cap Fund Index 10/31/00 $100,000 $100,000 09/30/01 81,561 83,511 09/30/02 75,460 77,290 09/30/03 100,083 104,797 9/30/04 116,396 124,195 9/30/05 140,607 150,636 9/30/06 148,340 163,892 1 For the period ended 9/30/06. Past performance is no indication of future performance. Fund shares were offered beginning 10/31/00. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 11 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2006 Small Cap Value Fund Objective The investment objective of the Small Cap Value Fund (the "Fund") is capital appreciation by investing in equity securities of smaller companies. The Fund invests in the stocks of companies it believes are undervalued in light of such fundamental characteristics as earnings, book value or return on equity. Strategy With respect to this Fund, SEI Investments Management Corporation ("SIMC") employs a multi-manager structure to gain exposure to the entire small cap value sector, adding value through stock selection while minimizing risk in the form of capitalization, valuation and economic sector exposures. The Fund is jointly sub-advised by 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 ("Artisan") seeks to identify companies which are currently trading below the intrinsic value of the businesses that have little 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 and near term earnings visibility. Martingale Asset Management ("Martingale") employs a systematic approach focused on relative valuation, sustainable growth, and management quality. Wellington Management Company ("WMC") utilizes a unique risk/reward relative valuation assessment to identify attractive real estate investments. Each of the aforementioned sub-styles assumes a different importance in determining overall style risk and must therefore be weighted accordingly. Analysis The Russell 2000 Value Index yielded 14.01% for the fiscal year ended September 30, 2006. Financials were the biggest contributor to the performance of the Index over the past year, as real estate securities continued to rise despite concerns of rich valuation. Contribution from the industrials sector, especially capital goods and transportation, slowed recently but was positive overall due to government spending after 2005's hurricane season. Energy was the only sector posting a negative return, as the lessening of both political turmoil and supply concerns in the third quarter of 2006 mitigated returns previously generated during the period. The Small Cap Value Fund, Class A gained 10.34% for the fiscal year ended September 30, 2006. The benchmark was difficult for active managers to beat this period, and of the Fund's managers, only Lee Munder led the Russell 2000 Value Index. Positive stock selection in the financials sector and a strategic underweight to utilities could not overcome the Fund's relative underperformance in the capital goods and retailing areas. On a manager level, Lee Munder boosted returns through Capital Goods and Energy holdings. Artisan was hurt from a large overweight to energy, but made up some ground in the consumer staples area. Consumer discretionary stocks detracted from DJ Greene's performance, though the manager had positive stock selection in the information technology sector; the opposite was true for BlackRock. Most of LSV's underperformance came via information technology and consumer discretionary securities. Martingale was hurt on a broad basis from the market's lack of focus on stocks with strong value or growth characteristics. Finally, WMC's outperformance versus the WRESI Index was due to strong and broad stock selection within REIT securities. -------------------------------------------------------------------------------- 12 SEI Institutional Managed Trust / Annual Report / September 30, 2006 Small Cap Value Fund: AVERAGE ANNUAL TOTAL RETURN 1 -------------------------------------------------------------------------------- Annualized Annualized Annualized Annualized One Year 3 Year 5 Year 10 Year Inception Return Return Return Return to Date -------------------------------------------------------------------------------- Small Cap Value Fund, Class A 10.34% 18.89% 16.27% 12.90% 13.75% -------------------------------------------------------------------------------- Small Cap Value Fund, Class I 10.11% 18.59% 16.01% 12.77% 13.64% -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the Small Cap Value Fund, Class A and Class I, versus the Russell 2000 Value Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] Small Cap Small Cap Russell 2000 Value Fund, Value Fund, Value Class A Class I Index 9/30/96 $100,000 $100,000 $100,000 9/30/97 147,160 147,160 142,650 9/30/98 127,029 127,029 124,405 9/30/99 132,707 132,707 131,658 9/30/00 153,595 153,595 151,881 9/30/01 158,387 158,387 160,401 9/30/02 154,902 154,776 158,059 9/30/03 200,258 199,521 208,101 9/30/04 251,664 249,980 261,499 9/30/05 305,042 302,176 307,915 9/30/06 336,583 332,726 351,054 1 For the period ended 9/30/06. Past performance is no indication of future performance. Class I Shares performance for the period prior to 2/11/02 is performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 12/20/94 and Class I Shares were offered beginning 2/11/02. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 13 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2006 Small Cap Growth Fund Objective The investment objective of the Small Cap Growth Fund (the "Fund") is long-term capital appreciation by investing in equity securities of smaller companies. The Fund invests in the stocks of companies that have significant growth potential in light of such characteristics as revenue and earnings growth and positive earnings surprises. Strategy With respect to this Fund, SEI Investments Management Corporation ("SIMC") employs a multi-manager structure to gain exposure to the entire universe of small cap growth stocks, adding value through stock selection while minimizing risk in the form of capitalization, valuation and economic sector exposures. The Fund is jointly sub-advised by 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. Wellington Management Company ("WMC") focuses on companies that demonstrate growth at reasonable prices. Delaware Management Company ("Delaware") focuses on companies with sustainable growth models that are attractively valued. 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. Martingale Asset Management ("Martingale") employs a systematic approach focused on relative valuation, sustainable growth, and management quality. Each of the aforementioned sub-styles assumes a different importance in determining overall style risk and must therefore be weighted accordingly. Analysis For the 12 months ended September 30, 2006, the Russell 2000 Growth Index gained 5.88%. The information technology and Financials sectors were the biggest contributors to the performance of the Index over the past year. Real estate securities continued to rise despite concerns of rich valuation, and increased corporate capital expenditures on software and services boosted returns. Contribution from the industrials sector, especially regarding capital goods and transportation, slowed recently but was positive overall due to government spending after 2005's hurricane season. Energy was one of two sectors posting a negative return, as the lessening of both political turmoil and supply concerns in the third quarter of 2006 mitigated returns previously generated during the period. Health care also lagged the benchmark due to disappointing FDA outcomes for many pharmaceutical and biotech companies. The Small Cap Growth Fund, Class A posted a 3.92% for the fiscal year ended September 30, 2006. Positive stock selection in the information technology and energy sectors was mitigated by securities in the health care and retailing areas. Three of the growth managers, Mazama, WMC and McKinley, outperformed the broad market. Stock selection greatly helped all three managers, coming in the information technology sector for Mazama, the financials sector for WMC, and the energy sector for McKinley. Part of those managers' returns was mitigated by securities in the health care area. Delaware countered some of its poor stock selection in pharmaceuticals & biotech with its positioning and holdings in the energy sector. Lee Munder was hurt in the information technology sector, but made up some ground in industrials stocks. Systematic manager Martingale was hurt on a broad basis from the market unrewarding stocks with strong value or growth characteristics. -------------------------------------------------------------------------------- 14 SEI Institutional Managed Trust / Annual Report / September 30, 2006 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 3.92% 9.57% 8.49% 5.94% 11.32% -------------------------------------------------------------------------------- Small Cap Growth Fund, Class I 3.68% 9.30% 8.21% 5.80% 11.22% -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the Small Cap Growth Fund, Class A and Class I, versus the Russell 2000 Growth Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] Small Cap Small Cap Russell 2000 Growth Fund, Growth Fund, Growth Class A Class I Index 9/30/96 $100,000 $100,000 $100,000 9/30/97 117,230 117,230 123,350 9/30/98 86,129 86,129 92,722 9/30/99 133,500 133,500 122,977 9/30/00 207,298 207,298 159,453 9/30/01 118,513 118,513 91,542 9/30/02 92,309 92,025 74,918 9/30/03 135,390 134,633 106,173 9/30/04 145,274 144,138 118,829 9/30/05 171,379 169,563 140,183 9/30/06 178,097 175,803 148,426 1 For the period ended 9/30/06. Past performance is no indication of future performance. Class I Shares performance for the period prior to 8/6/01 is performance derived from the performance of the Class A Shares. The performance of Class I Shares may be lower than the performance of Class A Shares because of different distribution fees paid by Class I shareholders. Class A Shares were offered beginning 4/20/92 and Class I Shares were offered beginning 8/6/01. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 15 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2006 Mid-Cap Fund Objective The investment objective of the Mid-Cap Fund (the "Fund") is long-term capital appreciation by investing primarily in equity securities of mid-sized companies in a core style. Strategy Martingale Asset Management ("Martingale") employs a systematic approach focused on valuation, relative performance and management quality. They select stocks of companies that have low price-earnings ratios and price-book ratios, but that also have high sustainable growth levels and the probability of high positive earnings revisions. Analysis The Russell Mid-Cap Index continued its upward track, gaining 9.57% for the fiscal year ended September 30, 2006. Energy was the only sector posting a negative return, as the lessening of both political turmoil and supply concerns in the third calendar quarter of 2006 mitigated returns previously generated during the period. Financials were the biggest contributor to the performance of the Index over the past year, as real estate securities continued to rise despite concerns of a housing bubble. Contribution from the industrials sector, especially capital goods and transportation, slowed recently but was positive overall due to government spending after 2005's hurricane season. In addition, the materials and telecommunication sectors outperformed, while utilities lagged the benchmark. The Mid-Cap Fund, Class A posted a return of 8.50% for the fiscal year ended September 30, 2006. The Fund benefited from positive stock selection across several areas, including information technology, consumer discretionary, and capital goods. An underweight to energy, the worst performing sector for the period, also boosted returns. Specific securities in the health care & equipment and materials industries hurt the Fund. Martingale's focus on relative valuation and management quality were beneficial as investors generally migrated toward value stocks over this period. However, Martingale's focus on sustainable growth and momentum detracted from the portfolio. Going forward, the portfolio will continue to be broadly diversified across all sectors and will provide exposure to mid-cap stocks in the domestic equity stock market. 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 8.50% 19.34% 16.19% 11.81% 12.08% -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the Mid-Cap Fund, Class A, versus the Russell Mid-Cap Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] Mid-Cap Fund Russell Mid-Cap Index 9/30/96 $100,000 $100,000 9/30/97 143,130 135,060 9/30/98 121,074 126,943 9/30/99 141,087 151,633 9/30/00 179,378 199,580 9/30/01 144,238 154,954 9/30/02 139,420 141,039 9/30/03 179,741 187,060 9/30/04 219,697 225,501 9/30/05 281,542 282,101 9/30/06 305,473 309,098 1 For the period ended 9/30/06. 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. -------------------------------------------------------------------------------- 16 SEI Institutional Managed Trust / Annual Report / September 30, 2006 U.S. Managed Volatility Fund Objective The investment objective of the U.S. Managed Volatility Fund (the "Fund") is to invest in common stocks and other equity securities and employs a broad range of investment strategies intended to generate capital appreciation, but with a lower level of volatility than the broad U.S. equity markets. Strategy The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund's portfolio under the general supervision of SEI Investments Management Corporation ("SIMC"). Each sub-adviser, in managing its portion of the Fund's assets, employs various investment strategies intended to achieve returns similar to that of the broad U.S. equity markets, but with a lower level of volatility over the long-term. The Fund seeks to achieve lower volatility by constructing a portfolio of securities that effectively weights securities based on their total expected risk and return, without regard to market capitalization, industry or tracking error targets relative to the broad market. As such, the Fund is expected to have meaningful differentiations in terms of sector weights and short-term performance relative to broad market indices. The Fund utilizes Aronson + Johnson + Ortiz and Analytic Investors as sub-advisers, each brings a differentiated investment and risk model. Analysis The U.S. Managed Volatility Fund, Class A gained 7.64% for the fiscal year ended September 30, 2006. The S&P 500 Composite Index returned 10.79% for the fiscal year ended September 30, 2006. The U.S. Equity market returned just over 10% for the fiscal year ending September 30, 2006. During the fourth quarter of 2005, energy prices eased after running up sharply during Hurricane Katrina. While energy prices regained their strength at the start of 2006, healthy employment gains and strong corporate profits gave a boost to equity markets through April 2006. Things turned negative in May when Federal Reserve Board ("Fed") Chairman Ben Bernanke expressed he was more concerned about keeping inflation at bay rather than promoting growth. The market took this to mean that there were more interest rate hikes to come. The comments sent stocks with high growth expectations and longer durations tumbling as interest rates rose. Sentiments turned again in July 2006 as the Fed stopped raising interest rates and the markets bet that this would be a full stop in rate hikes rather than a pause. Sharply falling energy prices towards the end of the fiscal year only served to solidify the market's view, and interest rates continued to fall across the yield curve. Lower interest rates and energy prices gave a boost to equities, which staged a strong rally in the last two months of the fiscal year. Given the Fund is not managed against a specific benchmark, SIMC would expect it to vary significantly from the broad market performance on a shorter-term basis. In particular, the Fund generally favors stocks with relatively low beta to the overall equity market, such as utilities and consumer staples, and largely avoids stocks with high beta, such as information technology. For the fiscal period, an underweight to information technology and energy helped performance, but an overweight to utilities dampened relative results. In addition, the Fund did not own some of the largest banks in the Index, which held back relative returns as that industry performed particularly well during the fiscal year. There were no sub-adviser changes during the fiscal year. U.S. Managed Volatility Fund: AVERAGE ANNUAL TOTAL RETURN 1 -------------------------------------------------------------------------------- Annualized One Year Inception Return to Date -------------------------------------------------------------------------------- U.S. Managed Volatility Fund, Class A 7.64% 11.69% -------------------------------------------------------------------------------- Comparison of Change in the Value of a $150,000 Investment in the U.S. Managed Volatility Fund, Class A, versus the S&P 500 Composite Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] U.S. Managed Volatility S&P 500 Composite Fund Index 10/28/04 $150,000 $150,000 9/30/05 172,385 166,245 9/30/06 185,555 184,183 1 For the period ended 9/30/06. Past performance is no indication of future performance. Fund shares were offered beginning 10/28/04. 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, 2006 17 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2006 Real Estate Fund Objective The investment objective of the Real Estate Fund (the "Fund") is total return including current income and capital appreciation by investing in real estate securities. Strategy With respect to this Fund, SEI Investments Management Corporation ("SIMC") employs a multi-manager structure to gain exposure to the entire real estate sector in the United States. The Fund is non-diversified and expects to hold a small number of securities, thus increasing the importance of each holding. The Fund will invest at least 80% of its net assets in equity securities of real estate investment companies and real estate operating companies. The Fund is jointly sub-advised by two investment managers. Assets of the Fund are strategically allocated among its two sub-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. Security Capital Research and Management ("Security Capital") integrates research on real estate sub-market analysis with fundamental company analysis to find attractively priced securities. Wellington Management Company ("WMC") utilizes a unique risk/reward relative valuation assessment to identify attractive real estate investments. Analysis The Wilshire Real Estate Securities (Full Cap) Index rose 28.23% for the year ended September 30, 2006. The continued rally in the real estate segment of the market was broad-based with all real estate industries posting positive returns. One of the largest contributors to the Index's performance during the period was the apartment industry, while the manufactured homes industry was one of the worst. Apartment REITs benefited from the slowdown in the new home building and single family reseller markets. Commercial real estate fundamentals remained strong as the financial health of corporations remains intact. The Real Estate Fund, Class A returned 30.44% for the fiscal year ended September 30, 2006. Security Capital had substantial influence on the Fund, as its stock selection in office and regional mall holdings drove the Fund's return. Security Capital's overweight to the outperforming apartments industry also boosted performance. WMC positively contributed to the Fund's returns as well, due to specific holdings in strip centers and hotels. However, an overweight to the underperforming regional mall industry mitigated some of the WMC's gain. Real Estate Fund: AVERAGE ANNUAL TOTAL RETURN 1 -------------------------------------------------------------------------------- Annualized One Year Inception Return to Date -------------------------------------------------------------------------------- Real Estate Fund, Class A 30.44% 28.26% -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the Real Estate Fund, Class A, versus the Wilshire Real Estate Securities (Full Cap) Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] Wilshire Real Estate Real Estate Fund, Securities (Full Cap) Class A Index 11/13/03 $100,000 $100,000 9/30/04 120,812 120,299 9/30/05 157,019 155,234 9/30/06 204,815 199,057 1 For the period ended 9/30/06. Past performance is no indication of future performance. Fund shares were offered beginning 11/13/03. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. -------------------------------------------------------------------------------- 18 SEI Institutional Managed Trust / Annual Report / September 30, 2006 Core Fixed Income Fund Objective The investment objective of the Core Fixed Income Fund (the "Fund") is current income and preservation of capital. Strategy The Fund's investment strategy focuses on sector rotation, both among and within sectors, and issue selection. Risk is principally controlled by explicitly limiting fund interest rate exposure relative to the Lehman Aggregate Bond Index. The Fund's sub-advisers focus on four key areas in determining portfolio structure: duration weighting, term structure, sector allocation and issue selection. While the duration and term structure decision underlie the implementation process, the sub-advisers primarily concentrate on sector and issue selection to add value. In addition, the sub-advisers may use derivatives (including forward currency contracts) for tactical hedging purposes and to enhance the Fund's return. Analysis The U.S. investment grade bond market returned 3.47% for the fiscal year ended September 30, 2006 as measured by the Lehman Aggregate Bond Index. The Core Fixed Income Fund, Class A posted a 3.60% return for the same period. The majority of the return was generated in the third quarter of 2006, when bond prices soared in reaction to the Federal Reserve's decision not to raise interest rates at their August and September meetings. This marked change in monetary policy followed two years of restrictive policy during which the Federal Reserve Board ("Fed") gradually raised the Fed Funds rate from 1.00% to the current 5.25% in an attempt to slow formidable Gross Domestic Product ("GDP") growth while restraining inflation. While short term interest rates climbed about 0.50% over the fiscal year, long term interest rates rose only 0.20%. This change in the shape of the yield curve to a flatter structure indicated that investors were convinced that the Fed, led by the new chairman, Dr. Benjamin Bernanke, would attain their long term goal of price stability. Investors maintained their resolve in the market, even in the face of escalating commodity prices and decelerating home prices and geopolitical forces. The spread sectors of the market enjoyed strong results as well due to continued strong corporate fundamentals and favorable domestic and foreign demand for the asset class. All of the spread sectors experienced positive absolute and excess returns for the year while the commercial mortgage-backed sector was the star performer. On a quality basis, AA rated and BBB rated securities did the best while the financial and utility sectors outperformed industrial bonds due to their lessened exposure to leveraging transactions. Various strategies in the Fund allowed it to exceed the market return, with security selection being the primary driver of excess returns. Holdings in the automotive sector significantly rebounded on announced turnaround strategies by General Motors and Ford Motor Company, and energy holdings performed well in the higher commodity price environment. Performance was also enhanced by superior security selection in the mortgage (MBS), asset-backed (ABS) and commercial mortgage-backed (CMBS) sectors. Identifying, analyzing and capitalizing on relative value opportunities in and between these high quality collateralized securities greatly contributed to performance. Sector rotation also proved to be a positive for the Fund, through higher than benchmark allocations to MBS, ABS and CMBS. One strategy that did not work well in 2006 was the Fund's interest rate strategy. The tactical duration positioning of the Fund detracted from performance as did the yield curve strategy. While tactical throughout the period, the Fund generally maintained a longer than benchmark duration for the first half of 2006 on the expectation that the Fed would soon stop raising rates. Instead, interest rates rose during that timeframe, negatively impacting performance. -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 19 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2006 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 3.60% 3.60% 4.66% 6.28% 7.02% -------------------------------------------------------------------------------- Core Fixed Income, Class I 3.44% 3.34% 4.38% 6.15% 6.95% -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the Core Fixed Income Fund, Class A and Class I, versus the Lehman Aggregate Bond Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] Core Fixed Core Fixed Lehman Income Fund, Income Fund, Aggregate Class A Class I Bond Index 9/30/96 $100,000 $100,000 $100,000 9/30/97 109,800 109,790 109,740 9/30/98 122,339 122,328 122,360 9/30/99 121,165 121,154 121,907 9/30/00 129,610 129,598 130,429 9/30/01 146,459 146,550 147,319 9/30/02 155,086 154,654 159,989 9/30/03 165,368 164,505 168,628 9/30/04 172,611 171,283 174,834 9/30/05 177,496 175,531 179,729 9/30/06 183,886 181,569 186,325 1 For the period ended 9/30/06. 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. -------------------------------------------------------------------------------- 20 SEI Institutional Managed Trust / Annual Report / September 30, 2006 High Yield Bond Fund Objective The investment objective of the High Yield Bond Fund (the "Fund") is to maximize total return by investing primarily in a diversified portfolio of higher yielding, lower rated fixed income securities. The strategy seeks to achieve a high level of total return through sector rotation and security selection. Strategy Fund strategy is to identify high yield market sectors and securities that offer investment opportunities through the analysis of 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 Merrill Lynch U.S. High Yield Master II Constrained Index posted a 7.22% return during the 12-month period ended September 30, 2006, as strong corporate fundamentals and low default rates continued to support the market. Air transportation was the top performing sector as a combination of more fare-paying passengers and fewer empty seats resulted in marked improvement for the airlines. After entering the high yield arena in mid-2005 as two of the largest issuers in the Index, General Motors and Ford Motor Company, continued to set the tone for most of the fiscal year as the market observed the company's moves to rebound from recent struggles such as soaring employee-related costs and shrinking market share. The healthcare sector was the worst performing sector as diagnostic imaging companies came under pressure due to concerns about Medicare reimbursement cuts and the announcement of the Healthcare Corporation of America (HCA) leverage buyout. Moody's U.S. issuer-based default rate continued to trend toward historical lows. The trailing twelve month reading of 1.92% was the lowest rate during the current economic cycle. The most notable defaults occurred during the first quarter of the fiscal year as auto supplier Delphi, air carriers Delta and Northwest, and power generator Calpine all filed for bankruptcy. The market is anticipating default rates to bottom in the coming quarters and to slowly increase by the end of 2007. The High Yield Bond Fund, Class A trailed the index with a 6.51% return for the fiscal year ended September 30, 2006. The Fund's underweight to General Motors was a negative for the period as their bonds were up sharply due to a reduction in the workforce, an agreement to sell a majority stake in GMAC, and optimism over a potential alliance with Nissan/Renault. The Fund's underweights to Qwest Communications and Charter Communications were a negative as these were two of the top contributors to the Index return. In the case of Charter, the company gathered more subscribers with their triple-play offering of cable, phone, and internet services. Qwest bonds benefited from the company continuing its recent trend of notable operational and financial improvements. The Fund's underweight to HCA was a positive as this company was one of the worst performers in the Index as it was the subject of a massive leveraged buyout. The Fund's exposure to structured credit, such as collateralized debt obligations, was a slight positive as well. -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 21 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL MANAGED TRUST -- SEPTEMBER 30, 2006 High Yield Bond Fund: AVERAGE ANNUAL TOTAL RETURN 1 -------------------------------------------------------------------------------- Annualized Annualized Annualized Annualized One Year 3 Year 5 Year 10 Year Inception Return Return Return Return to Date -------------------------------------------------------------------------------- High Yield Bond Fund, Class A 6.51% 8.00% 9.75% 6.34% 7.76% -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the High Yield Bond Fund, Class A, versus the CS First Boston High Yield Index and the Merrill Lynch U.S. High Yield Master II Constrained Index. 2* [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] Merrill Lynch High Yield U.S. High Yield Bond Fund, CS First Boston Master II Class A High Yield Index Constrained Index 2* 9/30/96 $100,000 $100,000 $100,000 9/30/97 115,300 115,720 115,300 9/30/98 117,894 115,118 118,159 9/30/99 122,032 119,665 122,720 9/30/00 121,923 121,963 123,825 9/30/01 116,119 115,950 116,234 9/30/02 122,447 119,255 114,979 9/30/03 146,790 152,706 148,093 9/30/04 162,702 173,046 166,353 9/30/05 173,619 183,965 177,316 9/30/06 184,922 198,204 190,118 1 For the period ended 9/30/06. 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. 2 The performance of the Merrill Lynch U.S. High Yield Master II Constrained Index is shown on the line graph beginning from 9/30/97, with an initial value of $115,300, which equals the value at the point in time of the original $100,000 investment in the Fund. The Merrill Lynch U.S. High Yield Master II Constrained Index was first established on 12/31/96. * Previously the Fund's return had been compared to the CS First Boston High Yield Index, but the sub-advisers believe that the Merrill Lynch U.S. High Yield Master II Constrained Index is more representative of the Fund's investment universe. -------------------------------------------------------------------------------- 22 SEI Institutional Managed Trust / Annual Report / September 30, 2006 SCHEDULE OF INVESTMENTS Large Cap Diversified Alpha Fund September 30, 2006 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS# (UNAUDITED): [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 16.8% Financials 13.8% Information Technology 10.8% Health Care 10.6% Consumer Discretionary 9.1% Industrials 8.3% Asset-Backed Securities 6.3% Consumer Staples 5.7% Energy 5.2% Short-Term Investments 4.7% U.S. Government Mortgage-Backed Obligations 2.8% Materials 2.1% Telecommunication Services 1.8% Utilities 1.2% U.S. Government Agency Obligations 0.8% U.S. Treasury Obligations 0.0% Options #Percentages based on total investments -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- COMMON STOCK -- 88.3% CONSUMER DISCRETIONARY -- 11.8% Abercrombie & Fitch, Cl A (D) 10,400 $ 723 Advance Auto Parts 1,695 56 Amazon.com* 800 26 American Eagle Outfitters 40,889 1,792 AnnTaylor Stores* 30,700 1,285 Apollo Group, Cl A* 91,300 4,496 Autoliv 31,200 1,719 Autonation* 10,645 222 Autozone* 2,083 215 Best Buy (D) 15,600 836 Black & Decker 295 23 BorgWarner 2,000 114 Bright Horizons Family Solutions* 4,100 171 Brinker International (D) 58,763 2,356 Cablevision Systems, Cl A 106,321 2,415 Carmax* 2,100 88 CBS, Cl B (D) 42,983 1,211 Cheesecake Factory* 642 17 Chico's FAS* 24,700 532 Choice Hotels International 2,400 98 Circuit City Stores 12,800 321 Claire's Stores 8,700 254 Clear Channel Communications 7,480 216 Coach (D)* 35,495 1,221 Comcast, Cl A (D)* 135,234 4,983 Corinthian Colleges* 10,700 116 Darden Restaurants 43,804 1,860 Dillard's, Cl A 33,900 1,110 DIRECTV Group (D)* 371,803 7,317 Discovery Holding, Cl A* 5,600 81 Dollar Tree Stores* 7,900 245 Dover Downs Gaming & Entertainment 18,750 228 Dow Jones 4,500 151 DSW, Cl A* 1,100 35 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- E.W. Scripps, Cl A 1,371 $ 66 Eastman Kodak 23,800 533 EchoStar Communications, Cl A* 106,187 3,477 Expedia* 14,800 232 Family Dollar Stores 9,700 284 Federated Department Stores 22,424 969 Foot Locker 12,100 306 Ford Motor 25,696 208 Fortune Brands 377 28 GameStop, Cl A* 800 37 Gannett (D) 17,846 1,014 General Motors 72,044 2,396 Genuine Parts 9,963 430 Goodyear Tire & Rubber* 39,643 575 Gymboree* 9,100 384 Harley-Davidson 14,933 937 Harman International Industries 3,100 259 Harrah's Entertainment 710 47 Hasbro 69,796 1,588 Hilton Hotels 1,724 48 Home Depot (D) 92,858 3,368 IAC/InterActive (D)* 39,609 1,139 International Game Technology 178,921 7,425 ITT Educational Services* 35,900 2,380 J.C. Penney (D) 31,083 2,126 Jackson Hewitt Tax Service 6,300 189 Jarden* 18,400 607 Johnson Controls 20,977 1,505 Jones Apparel Group (D) 74,044 2,402 Kohl's (D)* 46,456 3,016 Lamar Advertising, Cl A* 4,035 215 Las Vegas Sands* 600 41 Liberty Global, Cl A* 6,304 162 Liberty Media Holding-Capital, Ser A* 5,845 488 Liberty Media Holding-Interactive, Cl A* 14,829 302 Limited Brands (D) 4,600 122 Liz Claiborne 5,800 229 Lowe's (D) 73,230 2,055 Marriott International, Cl A 66,408 2,566 Mattel 50,800 1,001 McDonald's (D) 38,042 1,488 McGraw-Hill (D) 37,848 2,196 Men's Wearhouse 3,400 126 Meredith 4,000 197 Meritage Homes* 5,200 216 MGM Mirage* 135,000 5,331 Michaels Stores 900 39 Newell Rubbermaid 18,502 524 News, Cl A* 89,077 1,750 Nike, Cl B 1,562 137 Nordstrom 38,263 1,618 NTL 1,949 50 Nutri/System* 2,100 131 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 23 SCHEDULE OF INVESTMENTS Large Cap Diversified Alpha Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Office Depot (D)* 50,898 $ 2,021 OfficeMax 5,600 228 Omnicom Group 4,224 395 Panera Bread, Cl A* 630 37 Polo Ralph Lauren 3,100 201 Pool (D) 24,100 928 Rent-A-Center* 3,100 91 Ross Stores 22,400 569 Sears Holdings* 5,109 808 Select Comfort* 16,499 361 Shaw Communications, Cl B (D) 43,600 1,309 Sherwin-Williams 5,380 300 Snap-On 5,165 230 Sonic* 30,400 687 Staples 266,374 6,481 Starbucks* 19,759 673 Starwood Hotels & Resorts Worldwide 503 29 Station Casinos 4,000 231 Steven Madden 4,200 165 Target 3,645 201 Thor Industries 3,600 148 Tiffany 4,700 156 Time Warner (D) 160,967 2,934 TJX 27,751 778 Univision Communications, Cl A* 10,100 347 VF 1,218 89 Viacom, Cl B* 2,384 89 Walt Disney 92,621 2,863 Warner Music Group 1,600 41 Weight Watchers International 95,000 4,212 Wendy's International 2,797 187 Whirlpool 3,794 319 Wynn Resorts* 1,900 129 XM Satellite Radio Holdings, Cl A* 163,200 2,104 Yum! Brands (D) 27,755 1,445 -------------- 127,278 -------------- CONSUMER STAPLES -- 7.1% Alberto-Culver 1,500 76 Altria Group (D) 36,552 2,798 Anheuser-Busch (D) 34,873 1,657 Archer-Daniels-Midland (D) 124,665 4,722 Avon Products 1,300 40 BJ's Wholesale Club* 3,400 99 Brown-Forman, Cl B 25,732 1,972 Campbell Soup 6,871 251 Chattem* 14,200 499 Chiquita Brands International 59,200 792 Church & Dwight 4,600 180 Clorox 5,136 324 Coca-Cola (D) 61,705 2,757 Coca-Cola Enterprises 42,475 885 Colgate-Palmolive 12,412 771 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- ConAgra Foods 3,400 $ 83 Corn Products International 27,600 898 Costco Wholesale (D) 105,426 5,238 CVS 1,400 45 Dean Foods* 25,853 1,086 Del Monte Foods 16,548 173 Energizer Holdings* 24,161 1,739 Estee Lauder, Cl A 14,211 573 General Mills 6,700 379 Hansen Natural* 4,700 153 Herbalife* 13,600 515 Hershey 786 42 HJ Heinz 4,774 200 Hormel Foods 4,727 170 JM Smucker 13,900 667 Kellogg 6,175 306 Kimberly-Clark (D) 21,735 1,421 Kraft Foods, Cl A 10,420 372 Kroger (D)* 159,854 3,699 Loews - Carolina (D) 64,746 3,586 McCormick 5,653 215 Molson Coors Brewing, Cl B 2,400 165 Pepsi Bottling Group (D) 46,898 1,665 PepsiAmericas 5,164 110 PepsiCo (D) 50,847 3,318 Procter & Gamble (D) 149,949 9,294 Reynolds American 38,490 2,385 Safeway (D) 76,806 2,331 Smithfield Foods* 23,446 634 Supervalu 12,555 372 Sysco 1,355 45 USANA Health Sciences* 2,700 120 UST 3,800 208 Wal-Mart Stores (D) 219,288 10,815 Walgreen 132,319 5,874 Whole Foods Market 2,442 145 WM Wrigley Jr. 2,003 92 -------------- 76,956 -------------- ENERGY -- 6.4% Anadarko Petroleum 16,924 742 Apache 522 33 Arch Coal 8,848 256 Baker Hughes (D) 25,330 1,728 BJ Services 40,018 1,206 Cameron International* 7,288 352 Chesapeake Energy (D) 38,856 1,126 Chevron (D) 77,503 5,027 Cimarex Energy 1,000 35 CNX Gas* 1,700 39 ConocoPhillips (D) 63,972 3,808 Consol Energy 10,950 347 Devon Energy (D) 33,522 2,117 -------------------------------------------------------------------------------- 24 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Diamond Offshore Drilling 606 $ 44 EnCana (D) 33,100 1,545 EOG Resources 954 62 Exxon Mobil (D) 394,902 26,498 FMC Technologies* 5,900 317 Frontier Oil 2,700 72 Grant Prideco* 68 3 Halliburton 23,241 661 Helix Energy Solutions Group* 1,100 37 Helmerich & Payne 30,632 705 Hess (D) 56,813 2,353 Holly (D) 30,600 1,326 Kinder Morgan 2,665 279 Marathon Oil (D) 67,757 5,211 Nabors Industries* 45,568 1,356 Occidental Petroleum 7,250 349 Oceaneering International* 3,100 96 Overseas Shipholding Group 800 49 Patterson-UTI Energy 39,300 934 Petro-Canada (D)* 26,100 1,053 Pogo Producing 254 10 Schlumberger 3,876 240 SEACOR Holdings* 3,900 322 Smith International 874 34 Sunoco (D) 30,463 1,895 Superior Energy Services* 1,600 42 Talisman Energy (D) 39,700 650 Tesoro 8,600 499 Tetra Technologies* 1,300 31 Tidewater 45,842 2,026 Unit (D)* 24,694 1,135 Valero Energy 15,630 804 XTO Energy 31,033 1,307 -------------- 68,761 -------------- FINANCIALS -- 18.2% A.G. Edwards 44,986 2,397 Affiliated Managers Group* 3,168 317 Affordable Residential Communities+* 6,700 65 Aflac 14,316 655 Allied Capital 9,092 275 Allstate (D) 48,032 3,013 AMB Property+ 800 44 AMBAC Financial Group (D) 20,300 1,680 American Capital Strategies 4,906 194 American Express 46,001 2,580 American Financial Group 25,918 1,216 American Home Mortgage Investment+ 9,700 338 American International Group 36,450 2,415 AmeriCredit* 36,900 922 Ameriprise Financial 15,088 708 AmerUs Group 2,100 143 AmSouth Bancorp 20,495 595 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Annaly Mortgage Management+ 38,800 $ 510 Anthracite Capital+ 1,004 13 AON 71,614 2,426 Apartment Investment & Management, Cl A + 1,141 62 Archstone-Smith Trust+ 2,630 143 Arthur J Gallagher 8,020 214 Assurant (D) 16,474 880 Astoria Financial 1,735 53 AvalonBay Communities+ 3,347 403 Bank of America (D) 141,280 7,568 Bank of Hawaii 1,041 50 Bank of New York 16,500 582 BB&T 16,239 711 Bear Stearns (D) 11,972 1,677 BlackRock, Cl A 2,147 320 Boston Properties+ 1,056 109 Brandywine Realty Trust+ 1,100 36 BRE Properties, Cl A+ 5,200 311 Brown & Brown 11,188 342 Camden Property Trust+ 2,274 173 Capital One Financial 11,789 927 CapitalSource+ 10,800 279 CB Richard Ellis Group, Cl A (D)* 76,700 1,887 Charles Schwab 15,281 274 Chicago Mercantile Holdings 12,874 6,157 Chubb 10,218 531 Cincinnati Financial 2,400 115 CIT Group 30,038 1,461 Citigroup (D) 263,649 13,095 City National 194 13 CNA Financial* 3,800 137 Colonial BancGroup 13,300 326 Comerica 34,945 1,989 Commerce Bancorp 8,487 312 Commerce Bancshares 6,420 325 Compass Bancshares 3,274 187 Conseco* 9,765 205 Countrywide Financial (D) 77,614 2,720 Credicorp 21,700 911 Cullen/Frost Bankers 6,200 358 Duke Realty+ 6,800 254 E*Trade Financial* 5,000 120 East West Bancorp 6,200 246 Eaton Vance 5,100 147 Equity Office Properties Trust+ 250 10 Equity Residential+ 8,441 427 Erie Indemnity, Cl A 1,994 104 Essex Property Trust+ 2,100 255 Fannie Mae 1,647 92 Federal Realty Investment Trust+ 1,309 97 Federated Investors, Cl B 8,495 287 Fidelity National Financial 5,601 233 Fifth Third Bancorp 900 34 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 25 SCHEDULE OF INVESTMENTS Large Cap Diversified Alpha Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- First American 25,114 $ 1,063 First Cash Financial Services* 20,100 414 First Horizon National 1,321 50 First Marblehead 22,700 1,572 Forest City Enterprises, Cl A 5,630 306 Franklin Resources 12,681 1,341 Freddie Mac 4,135 274 Fulton Financial 2,368 38 Genworth Financial, Cl A 10,600 371 Golden West Financial 3,420 264 Goldman Sachs Group (D) 34,224 5,790 Hanover Insurance Group 11,274 503 Hartford Financial Services Group 27,349 2,372 HCC Insurance Holdings 7,451 245 Horace Mann Educators 6,500 125 Hospitality Properties Trust+ 6,287 297 Host Hotels & Resorts+ (D) 130,186 2,985 Hudson City Bancorp 33,200 440 Huntington Bancshares 1,100 26 IndyMac Bancorp 30,700 1,264 Investment Technology Group* 1,600 72 Investors Financial Services 2,700 116 iStar Financial+ 15,500 646 Jefferies Group 11,300 322 JER Investors Trust+ 7,400 127 Jones Lang LaSalle 26,100 2,231 JPMorgan Chase (D) 270,983 12,725 Keycorp (D) 35,278 1,321 Kilroy Realty+ 900 68 KKR Financial+* 1,300 32 LandAmerica Financial Group 1,100 72 Legg Mason 4,895 494 Lehman Brothers Holdings (D) 76,615 5,659 Leucadia National 18,900 495 Lincoln National 2,674 166 Loews 129,443 4,906 M&T Bank 4,024 483 Macerich+ 509 39 Markel* 929 381 Marsh & McLennan 20,297 571 Marshall & Ilsley 1,735 84 MBIA 1,200 74 Mellon Financial 18,200 712 Mercantile Bankshares 8,515 309 Mercury General 1,000 50 Merrill Lynch (D) 73,104 5,718 Metlife 96,917 5,493 MGIC Investment 17,253 1,035 Moody's 103,218 6,748 Morgan Stanley (D) 76,022 5,543 Nasdaq Stock Market* 1,200 36 National City (D) 43,802 1,603 Nationwide Financial Services, Cl A 2,200 106 New Century Financial+ 11,900 468 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- New York Community Bancorp 21,560 $ 353 Newcastle Investment+ 8,600 236 North Fork Bancorporation 5,000 143 Northern Trust 8,462 494 Nuveen Investments, Cl A 6,600 338 NYSE Group* 600 45 Old Republic International 27,600 611 Peoples Bank 747 30 Philadelphia Consolidated Holding* 1,000 40 Plum Creek Timber+ 521 18 PMI Group (D) 50,100 2,195 PNC Financial Services Group 54,912 3,978 Principal Financial Group (D) 22,400 1,216 Progressive 39,104 960 Prologis+ 2,335 133 Protective Life 347 16 Prudential Financial 4,600 351 Public Storage+ 3,313 285 Radian Group (D) 45,677 2,741 Ramco-Gershenson Properties+ 7,200 230 Raymond James Financial 10,000 292 Rayonier+ 46,113 1,743 Reckson Associates Realty+ 6,500 278 Regency Centers+ 483 33 Regions Financial 13,754 506 Reinsurance Group of America 3,200 166 Safeco (D) 41,789 2,463 Simon Property Group+ 329 30 SL Green Realty+ 2,820 315 SLM 9,024 469 St. Paul Travelers (D) 48,168 2,259 Stancorp Financial Group 6,800 303 State Street 32,603 2,034 SunTrust Banks 13,770 1,064 Synovus Financial 5,659 166 T Rowe Price Group 8,554 409 Taubman Centers+ 5,374 239 TCF Financial 9,100 239 TD Ameritrade Holding 5,391 102 TD Banknorth 1,559 45 Torchmark 6,371 402 Transatlantic Holdings 1,164 70 Trizec Properties+ 4,300 124 UnionBanCal (D) 19,200 1,169 United Dominion Realty Trust+ 424 13 UnumProvident 2,550 49 US Bancorp (D) 129,023 4,286 Valley National Bancorp 10,800 276 Vornado Realty Trust+ 1,162 127 Wachovia (D) 76,632 4,276 Washington Federal 5,400 121 Washington Mutual (D) 99,502 4,325 Wells Fargo (D) 136,618 4,943 Whitney Holding 3,500 125 -------------------------------------------------------------------------------- 26 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Wilmington Trust 4,883 $ 218 WR Berkley (D) 37,135 1,314 Zions Bancorporation 5,015 400 -------------- 197,106 -------------- HEALTH CARE -- 11.9% Abbott Laboratories 17,175 834 Advanced Medical Optics* 17,000 672 Aetna (D) 29,876 1,182 Allergan 60,397 6,801 AmerisourceBergen (D) 88,617 4,006 Amgen (D)* 84,600 6,051 Amylin Pharmaceuticals* 3,200 141 Applera - Applied Biosystems Group 16,324 541 Barr Pharmaceuticals* 10,530 547 Baxter International (D) 30,970 1,408 Becton Dickinson (D) 22,548 1,594 Biogen Idec* 16,278 727 Biomet 900 29 Biosite* 2,800 129 Boston Scientific* 31,400 464 Bristol-Myers Squibb 11,367 283 C.R. Bard 600 45 Cardinal Health (D) 111,077 7,302 Caremark Rx (D) 51,386 2,912 Celgene* 10,306 446 Cephalon* 6,297 389 Cerner* 12,188 553 Cigna (D) 8,864 1,031 CNS 1,744 49 Community Health Systems* 786 29 Covance* 1,512 100 Coventry Health Care (D)* 20,562 1,059 Cytyc* 27,800 681 Dade Behring Holdings (D) 23,215 932 DaVita* 1,710 99 Dentsply International 3,800 114 Eli Lilly (D) 26,789 1,527 Emdeon* 132,900 1,556 Endo Pharmaceuticals Holdings* 1,756 57 Express Scripts* 17,150 1,295 Fisher Scientific International* 1,409 110 Forest Laboratories (D)* 40,722 2,061 Genentech* 108,663 8,986 Gilead Sciences* 6,300 433 HCA 2,899 145 Health Management Associates, Cl A 957 20 Health Net* 66,683 2,902 Henry Schein* 30,592 1,534 Hillenbrand Industries 3,100 177 Hospira* 8,012 307 Humana* 13,958 923 Idexx Laboratories* 23,077 2,103 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- ImClone Systems* 14,000 $ 397 IMS Health 5,750 153 Intuitive Surgical* 500 53 Invitrogen* 433 27 Johnson & Johnson (D) 145,419 9,444 Kinetic Concepts* 1,100 35 King Pharmaceuticals* 62,298 1,061 Laboratory of America Holdings* 23,475 1,539 Lincare Holdings* 29,942 1,037 Manor Care 26,383 1,379 McKesson (D) 102,870 5,423 Medco Health Solutions (D)* 91,380 5,493 Medimmune* 9,441 276 Medtronic 26,592 1,235 Merck (D) 54,336 2,277 Millennium Pharmaceuticals* 88,800 884 Millipore* 1,962 120 Mylan Laboratories 85,992 1,731 Omnicare 8,636 372 Pediatrix Medical Group* 700 32 PerkinElmer 13,400 254 Pfizer (D) 268,717 7,621 Pharmaceutical Product Development 6,118 218 Quest Diagnostics 8,704 532 Resmed* 4,012 162 Schering-Plough 10,696 236 Sierra Health Services* 19,400 734 St. Jude Medical* 3,439 121 Stryker 504 25 Techne* 5,586 284 Tenet Healthcare* 33,511 273 Thermo Electron* 21,294 838 UnitedHealth Group 174,972 8,609 Universal Health Services, Cl B 1,239 74 Varian Medical Systems* 5,583 298 VCA Antech* 7,400 267 Vertex Pharmaceuticals* 1,300 44 Waters (D)* 18,063 818 Watson Pharmaceuticals* 3,713 97 WellCare Health Plans* 3,200 181 WellPoint* 9,345 720 West Pharmaceutical Services 349 14 Wyeth (D) 60,073 3,054 Zimmer Holdings* 82,600 5,576 -------------- 129,304 -------------- INDUSTRIALS -- 10.2% 3M 6,445 480 Acuity Brands 5,500 250 AGCO* 1,100 28 Allied Waste Industries* 7,900 89 Ametek 903 39 AMR* 109,441 2,532 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 27 SCHEDULE OF INVESTMENTS Large Cap Diversified Alpha Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Applied Industrial Technologies (D) 4,950 $ 121 Aramark, Cl B 10,074 331 Armor Holdings* 8,531 489 Avery Dennison 2,430 146 Avis Budget Group 33,800 618 Belden CDT 1,300 50 Boeing (D) 85,740 6,761 Brink's 5,500 292 Builders FirstSource* 1,500 23 Burlington Northern Santa Fe 16,928 1,243 Canadian National Railway (D) 33,300 1,397 Carlisle 9,600 807 Caterpillar 60,372 3,972 CH Robinson Worldwide 21,677 966 ChoicePoint* 4,974 178 Cintas 800 33 Con-way 19,440 871 Continental Airlines, Cl B* 3,000 85 Corporate Executive Board 5,321 478 Corrections of America* 4,500 195 Covanta Holding* 1,800 39 Crane 4,800 201 CSX 26,252 862 Cummins (D) 23,400 2,790 Danaher 3,545 243 Deere 2,300 193 Donaldson 2,600 96 Dover 12,900 612 Dun & Bradstreet (D)* 21,374 1,603 Eaton 12,175 838 Emerson Electric (D) 22,078 1,851 Equifax 3,857 142 Expeditors International Washington 122,848 5,477 Fastenal 9,300 359 FedEx 11,700 1,272 Flowserve* 17,025 861 Fluor 31,029 2,386 Gardner Denver* 21,100 698 General Dynamics 6,082 436 General Electric (D) 231,144 8,159 Genlyte Group* 300 21 Graco 1,600 62 H&E Equipment Services* 12,800 312 Harsco 1,800 140 Herman Miller (D) 30,772 1,053 HNI 5,183 216 Honeywell International (D) 132,921 5,436 Hubbell, Cl B 700 34 Illinois Tool Works (D) 24,500 1,100 Ingersoll-Rand, Cl A (D) 46,254 1,757 ITT Industries 3,318 170 Jacobs Engineering Group* 20,510 1,533 JB Hunt Transport Services 25,100 521 John H. Harland 1,400 51 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Kennametal 2,000 $ 113 L-3 Communications Holdings 7,774 609 Laidlaw International (D) 38,600 1,055 Landstar System 2,500 107 Lennox International 1,511 35 Lincoln Electric Holdings 600 33 Lockheed Martin (D) 28,637 2,465 Manitowoc 2,900 130 Manpower 5,700 349 Masco 29,400 806 MSC Industrial Direct, Cl A 3,100 126 Norfolk Southern 9,877 435 Northrop Grumman (D) 48,983 3,334 Oshkosh Truck 5,300 267 Paccar (D) 43,814 2,498 Parker Hannifin 25,201 1,959 Pitney Bowes 974 43 Precision Castparts 6,280 397 Raytheon (D) 43,312 2,079 Republic Services 1,603 64 Robert Half International 11,100 377 Rockwell Automation 8,300 482 Rockwell Collins 2,154 118 Roper Industries 1,038 46 RR Donnelley & Sons 14,065 464 Ryder System 34,100 1,762 Southwest Airlines (D) 89,188 1,486 Spherion* 4,600 33 SPX 1,494 80 Stericycle* 2,935 205 Swift Transportation* 26,349 625 Teleflex 10,200 568 Terex* 50,252 2,272 Textron 6,200 543 Thomas & Betts* 26,649 1,271 Timken 43,680 1,301 Toro 1,700 72 Trinity Industries 20,300 653 Tyco International 95,434 2,671 UAL* 19,298 513 Union Pacific 33,017 2,905 United Parcel Service, Cl B 101,359 7,292 United Rentals* 9,111 212 United Technologies 11,004 697 US Airways Group* 700 31 US Xpress Enterprises, Cl A* 3,200 74 USG* 6,701 315 Waste Management 13,200 484 WESCO International* 15,532 901 West* 1,265 61 WW Grainger 5,267 353 YRC Worldwide* 6,500 241 -------------- 110,010 -------------- -------------------------------------------------------------------------------- 28 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- INFORMATION TECHNOLOGY -- 15.4% Acxiom 28,200 $ 695 ADC Telecommunications* 9,700 145 Adobe Systems* 6,800 255 Advanced Energy Industries* 12,700 216 Affiliated Computer Services, Cl A* 1,400 73 Agere Systems* 100,416 1,499 Agilent Technologies (D)* 41,182 1,346 Akamai Technologies* 7,256 363 Alliance Data Systems* 5,500 304 Amphenol, Cl A 2,024 125 Analog Devices 18,800 553 Anixter International 18,500 1,045 Apple Computer* 6,448 497 Applied Materials 94,095 1,668 Ariba* 4,600 34 Arrow Electronics* 100,677 2,762 Atmel* 147,700 892 ATMI* 17,800 517 Autodesk* 1,736 60 Automatic Data Processing 9,701 459 Avaya* 11,774 135 Avnet* 110,335 2,165 Avocent* 16,700 503 BEA Systems* 9,700 147 BMC Software* 66,295 1,805 Broadcom, Cl A* 3,458 105 Cadence Design Systems (D)* 63,182 1,072 CDW 18,077 1,115 Ceridian* 16,300 364 CheckFree* 17,610 728 Cisco Systems (D)* 217,430 5,001 Citrix Systems* 6,715 243 Cognizant Technology Solutions, Cl A* 2,300 170 Computer Sciences* 30,076 1,477 Convergys* 44,600 921 DealerTrack Holdings* 300 7 Dell (D)* 53,080 1,212 Diebold 1,300 57 DST Systems* 14,221 877 eBay* 278,700 7,904 Electronic Data Systems (D) 152,086 3,729 Factset Research Systems 800 39 Fair Isaac (D) 23,627 864 Fidelity National Information Services 8,574 317 First Data 154,756 6,500 Fiserv (D)* 50,505 2,378 Freescale Semiconductor, Cl B* 40,344 1,533 Global Payments 10,365 456 Google, Cl A* 17,700 7,114 Harris 10,923 486 Hewlett-Packard (D) 294,463 10,804 Ingram Micro, Cl A* 83,683 1,603 Integrated Device Technology* 10,100 162 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Intel (D) 107,733 $ 2,216 International Business Machines (D) 134,499 11,021 Intersil, Cl A 4,582 112 Intuit* 243,772 7,823 Iron Mountain* 6,594 283 Itron* 5,800 324 Jabil Circuit* 5,093 146 Kla-Tencor 641 28 Lam Research* 9,892 448 Lexmark International, Cl A* 34,300 1,978 Linear Technology 7,389 230 Mastercard, Cl A 6,800 478 McAfee* 33,400 817 MEMC Electronic Materials (D)* 29,374 1,076 Mettler Toledo International* 3,562 236 Microchip Technology 1,047 34 Micron Technology* 11,700 204 Microsoft (D) 418,620 11,441 MicroStrategy, Cl A (D)* 10,122 1,031 Molex 9,100 355 MoneyGram International 38,400 1,116 Motorola (D) 83,896 2,097 National Instruments 3,500 96 National Semiconductor 2,036 48 NAVTEQ* 83,100 2,170 NCR* 42,528 1,679 Network Appliance* 8,065 298 Novellus Systems* 36,003 996 Nvidia* 724 21 Online Resources* 6,800 83 Oracle* 99,108 1,758 Paychex 159,641 5,883 Perficient* 4,500 71 QLogic* 57,208 1,081 Qualcomm (D) 281,129 10,219 RealNetworks* 4,600 49 Red Hat* 12,042 254 Reynolds & Reynolds, Cl A 3,200 126 Sabre Holdings, Cl A 24,147 565 SanDisk* 111,994 5,996 Seagate Technology 255,000 5,888 SonicWALL* 12,600 138 Sybase* 2,231 54 Symantec* 5,456 116 Symbol Technologies 3,600 53 Synopsys (D)* 65,486 1,291 Tech Data* 30,732 1,123 Tektronix 9,200 266 Texas Instruments (D) 102,364 3,404 Trimble Navigation* 1,000 47 VeriSign* 3,700 75 Vishay Intertechnology* 58,400 820 Websense* 17,800 385 Western Digital* 53,045 960 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 29 SCHEDULE OF INVESTMENTS Large Cap Diversified Alpha Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Xerox* 52,388 $ 815 Xilinx 37,200 817 Yahoo!* 986 25 -------------- 166,665 -------------- MATERIALS -- 3.1% Air Products & Chemicals 1,400 93 Airgas 3,300 119 Albemarle 3,500 190 Alcoa 40,600 1,138 Allegheny Technologies 2,500 156 Ball 900 36 Bemis 7,800 256 Cabot 2,200 82 Carpenter Technology 700 75 Celanese, Ser A 86,283 1,544 Chaparral Steel* 1,800 61 Commercial Metals 2,200 45 Crown Holdings* 12,447 232 Cytec Industries 3,700 206 Dow Chemical (D) 29,894 1,165 E.I. du Pont de Nemours 3,000 129 Eagle Materials 34,479 1,161 Ecolab 10,698 458 Freeport-McMoRan Copper & Gold, Cl B 2,600 139 Hercules* 43,236 682 Huntsman* 98,144 1,786 International Flavors & Fragrances 2,100 83 International Paper 8,400 291 IPSCO (D) 10,800 936 Lubrizol 159 7 Lyondell Chemical 12,200 310 Martin Marietta Materials (D) 11,762 995 Methanex 24,200 589 Monsanto 1,212 57 Nalco Holding* 293 5 Newmont Mining (D) 37,600 1,607 Nucor 6,100 302 OM Group* 20,300 892 Owens-Illinois* 79,573 1,227 Pactiv* 58,686 1,668 Phelps Dodge (D) 17,600 1,491 PPG Industries 700 47 Praxair 101,315 5,994 Reliance Steel & Aluminum 27,601 887 Rohm & Haas 4,500 213 RPM International 2,300 44 Scotts Miracle-Gro, Cl A 2,018 90 Sealed Air 2,309 125 Sigma-Aldrich 847 64 Smurfit-Stone Container* 17,600 197 Sonoco Products 6,277 211 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Steel Dynamics 23,700 $ 1,196 Temple-Inland 23,371 937 Titanium Metals* 1,300 33 United States Steel 26,300 1,517 Valspar 1,500 40 Vulcan Materials 25,335 1,982 Weyerhaeuser 415 26 Wheeling-Pittsburgh* 2,600 45 -------------- 33,861 -------------- TELECOMMUNICATION SERVICES -- 2.3% Alltel (D) 24,013 1,333 American Tower, Cl A* 4,559 166 AT&T (D) 109,487 3,565 BCE* 26,077 706 Bell Aliant Regional Communications Income Fund (Canada) (H)* 2,066 65 BellSouth 41,555 1,776 CenturyTel 36,094 1,432 Citizens Communications 131,711 1,849 Crown Castle International* 10,715 378 Embarq 4,523 219 Leap Wireless International* 800 39 Qwest Communications International* 133,395 1,163 Rogers Communications, Cl B 28,200 1,547 Sprint Nextel (D) 199,387 3,420 Telephone & Data Systems 29,145 1,227 US Cellular* 36,384 2,172 Verizon Communications (D) 94,645 3,514 Windstream 5,752 76 -------------- 24,647 -------------- UTILITIES -- 1.9% AES* 23,544 480 Allegheny Energy* 3,121 125 Alliant Energy 15,100 540 American Electric Power 25,343 922 Aqua America 2,076 46 CenterPoint Energy 2,888 41 CMS Energy* 301 4 Consolidated Edison 1,392 64 Dominion Resources 5,197 397 DPL 9,922 269 DTE Energy 1,045 43 Duke Energy 1,178 36 Edison International (D) 116,146 4,836 Energen 44,962 1,883 Energy East 2,600 62 Entergy 13,600 1,064 Equitable Resources 621 22 Exelon 4,074 247 FirstEnergy (D) 14,965 836 -------------------------------------------------------------------------------- 30 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Shares/Contracts/Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- FPL Group 145 $ 7 Hawaiian Electric Industries 1,100 30 KeySpan 4,400 181 MDU Resources Group 15,196 339 Mirant* 3,900 106 National Fuel Gas 15,500 563 Northeast Utilities 2,000 47 NRG Energy* 15,700 711 OGE Energy 2,100 76 Oneok 1,100 42 Pepco Holdings 2,400 58 PG&E (D) 28,036 1,168 Pinnacle West Capital 300 13 PPL 562 18 Public Service Enterprise Group 11,330 693 Puget Energy 2,424 55 Questar 1,571 128 Reliant Energy* 4,000 49 SCANA 739 30 Sempra Energy 22,525 1,132 Sierra Pacific Resources* 2,500 36 Southern 1,827 63 Southern Union 10,100 267 TXU (D) 32,631 2,040 UGI 13,300 325 Wisconsin Energy 10,400 449 WPS Resources 2,700 134 Xcel Energy 5,071 105 -------------- 20,782 -------------- Total Common Stock (Cost $921,800) ($ Thousands) 955,370 -------------- PURCHASED OPTIONS -- 0.0% December 2006 120 Day Euro Futures Call, Expires 12/16/06, Strike Price $95* 98 70 October 2006 90 Day Euro Futures Put, Expires 10/14/06, Strike Price $94.375* 33 -- -------------- Total Purchased Options (Cost $79) ($ Thousands) 70 -------------- ASSET-BACKED SECURITIES -- 9.3% MORTGAGE RELATED SECURITIES -- 9.3% ABSC NIM Trust, Ser 2005-HE6, Cl A1 (E) 5.050%, 08/27/35 $ 141 140 ACE Securities, Ser 2005-HE3, Cl A2A (C) 5.430%, 05/25/35 253 253 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Ace Securities, Ser 2003-OP1, Cl M1 (C) 6.030%, 10/26/06 $ 500 $ 503 Aegis Asset-Backed Securities Trust, Ser 2003-3, Cl M1 (C) 6.030%, 10/25/06 129 129 American Home Mortgage Assets, Ser 2006-3, Cl M5 (C) 5.330%, 10/25/46 250 250 American Home Mortgage Investment Trust, Ser 2005-1, Cl 6A (C) 5.294%, 10/25/06 5,519 5,457 American Home Mortgage Investment Trust, Ser 2006-1, Cl 2A3 (C) 5.100%, 10/25/06 1,435 1,422 Ameriquest Mortgage Securities, Ser 2003-2, Cl M1 (C) 6.230%, 10/25/06 427 428 Ameriquest Mortgage Securities, Ser 2004-FR1, Cl A4 3.243%, 05/25/34 538 532 Argent Securities, Ser 2003-W5, Cl M1 (C) 6.030%, 10/25/06 250 253 Argent Securities, Ser 2003-W9, Cl M1 (C) 6.020%, 10/26/06 400 402 Asset-Backed Funding Certificates, Ser 2005-AQ1, Cl A2 (G) 4.300%, 06/25/35 1,000 987 Asset-Backed Funding NIM Trust, Ser 2005-WMC1, Cl N1 (E) 5.900%, 07/26/35 68 68 Asset-Backed Securities Home Equity Loan Trust, Ser 2003-HE5, Cl M1 (C) 6.080%, 10/15/06 547 550 Asset-Backed Securities Home Equity, Ser 2003-HE5, Cl M2 (C) 7.230%, 10/15/06 275 278 Asset-Backed Securities Home Equity, Ser 2003-HE7, Cl M2 (C) 7.080%, 10/15/06 215 219 Bear Stearns Asset-Backed Securities, Ser 2005-AQ2N, Cl A1 (E) 5.500%, 09/25/35 31 31 Bear Stearns Asset-Backed Securities, Ser 2005-HE11, Cl A1 (E) 5.500%, 11/25/35 249 248 Bear Stearns Asset-Backed Securities, Ser 06-PC1N, Cl A1 (E) 5.500%, 12/25/35 88 88 Centex Home Equity, Ser 2004-B, Cl AF3 (G) 2.946%, 05/25/28 165 164 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 31 SCHEDULE OF INVESTMENTS Large Cap Diversified Alpha Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Chase Funding Mortgage Loan, Ser 2003-1, Cl 2M2 (C) 6.830%, 10/25/06 $ 173 $ 174 Chase Funding Mortgage Loan, Ser 2003-6, Cl 1A3 3.340%, 05/25/26 737 724 Conseco Finance, Ser 2001-C, Cl A4 6.190%, 03/15/30 1,255 1,256 Countrywide Alternative Loan Trust, Ser 2005-69, Cl M3 (C) 6.480%, 10/27/06 235 238 Countrywide Alternative Loan Trust, Ser 2005-IM1, Cl M3 (C) 7.330%, 10/27/06 375 375 Countrywide Alternative Loan Trust, Ser 2006-OA11, Cl M3 (C) 5.760%, 10/30/06 500 500 Countrywide Alternative Loan Trust, Ser 2006-OA16, Cl M5 (C) 5.880%, 08/25/36 225 225 Countrywide Asset-Backed Certificates, Ser 2003-5, Cl MV2 (C) 6.930%, 01/25/34 235 237 Countrywide Asset-Backed Certificates, Ser 2004-9, Cl AF3 (C) 3.854%, 10/25/30 427 424 Countrywide Asset-Backed Certificates, Ser 2005-7, Cl MV8 (C) 6.780%, 10/27/06 250 254 Countrywide Asset-Backed Certificates, Ser 2006-S1, Cl A2 5.549%, 08/25/21 1,600 1,597 Countrywide Home Equity Loan Trust, Ser 2006-D, Cl 2A (C) 5.530%, 10/30/06 2,249 2,249 Countrywide Home Loans, Ser 2004-22, Cl A1 (C) 5.092%, 10/01/06 518 515 Countrywide Home Loans, Ser 2006-OA4, Cl M4 (C) 6.150%, 10/27/06 285 290 Countrywide Home Loans, Ser 2006-OA4, Cl M5 (C) 6.200%, 10/27/06 195 197 Countrywide Home Loans, Ser 2006-OA5, Cl 1M4 (C) 6.380%, 10/27/06 275 276 DSLA Mortgage Loan Trust, Ser 2004-AR4, Cl B1 (C) 5.930%, 10/19/06 350 354 FBR Securitization Trust, Ser 2005-2, Cl M10 (C) 7.580%, 10/28/06 100 83 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- FBR Securitization Trust, Ser 2005-4, Cl M11 (C) 7.330%, 10/27/06 $ 210 $ 199 FBR Securitization Trust, Ser 2005-4, Cl M12 (C) 7.330%, 10/27/06 102 101 FBR Securitization Trust, Ser 2005-5, Cl M12 (C) 7.580%, 10/27/06 146 145 First Franklin Mortgage Loan Asset, Ser 2005-FFH4, Cl N1 (E) 5.682%, 12/25/35 95 95 First Franklin Mortgage Loan, Ser 2003-FF5, Cl M6 (C) 8.830%, 10/25/06 345 348 First Franklin Mortgage Loan, Ser 2005-FF4, Cl 2A3 (C) 5.550%, 10/25/06 1,400 1,401 GE-WMC Mortgage Securities NIM Trust, Ser 2005-2A, Cl N1 (E) 5.500%, 01/25/36 208 207 GMAC Mortgage Loan Trust, Ser 2004-HE2, Cl A2 (C) 2.880%, 10/25/06 751 744 GMAC Mortgage Loan Trust, Ser 2006-HE1, Cl A (C) 5.540%, 10/25/06 3,900 3,902 GS Mortgage Securities, Ser 2006-GG6, Cl AM 5.622%, 04/10/38 3,800 3,863 GSAA Home Equity Trust, Ser 2006-3N, Cl N1 (E) 5.750%, 03/25/36 76 76 Greenwich Capital Commercial Funding, Ser 2006-GG7, Cl AM (C) 6.110%, 07/10/38 2,100 2,192 Hasco NIM Trust, Ser 2006-OP2A, Cl A (E) 5.856%, 01/26/36 149 148 Holmes Financing, Ser 2006-10A, Cl 1C (C) (E) 5.738%, 10/16/06 600 600 Home Equity Asset Trust, Ser 2003-4, Cl M2 (C) 7.230%, 10/25/06 370 372 Home Equity Asset Trust, Ser 2005-4, Cl 2A1 (C) 5.420%, 10/25/06 114 114 Home Equity Asset Trust, Ser 2005-7N, Cl A (E) 6.500%, 02/27/36 463 461 Home Equity Asset Trust, Ser 2005-9N, Cl A (E) 6.500%, 05/27/36 210 210 -------------------------------------------------------------------------------- 32 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Home Equity Asset Trust, Ser 2006-1N, Cl 1A (E) 6.500%, 05/27/36 $ 140 $ 140 IMPAC CMB Trust, Ser 2004-10, Cl 4M1 (C) 5.930%, 03/25/35 461 463 IMPAC NIM Trust, Ser 2006-1, Cl N (E) 6.000%, 03/25/36 127 127 IMPAC Secured Assets, Ser 2006-3, Cl A4 (C) 5.420%, 10/27/06 3,250 3,250 Indymac Index Mortgage Loan Trust, Ser 2006-AR12, Cl M2 (C) 5.880%, 09/25/46 235 234 Indymac Index Mortgage Loan Trust, Ser 2006-AR2, Cl M6 (C) 7.080%, 04/25/46 240 243 Indymac Index Mortgage Loan Trust, Ser 2006-AR2, Cl M9 (C) 7.080%, 10/25/06 200 169 Indymac Index Mortgage Loan Trust, Ser 2006-AR4, Cl M4 (C) 6.030%, 10/25/06 165 166 JP Morgan Chase Commercial Mortgage, Ser 2006-LDP7, Cl AM (C) 6.066%, 10/01/06 2,700 2,810 JP Morgan Mortgage Acquisition, Ser 2006-RM1, Cl A2 (C) 5.480%, 10/27/06 1,000 1,000 Lehman XS Trust, Ser 2005-5N, Cl M3 (C) 6.330%, 10/25/06 600 607 Lehman XS Trust, Ser 2005-5N, Cl M4 (C) 7.080%, 10/31/06 725 706 Lehman XS Trust, Ser 2005-7N, Cl M51 (C) 6.580%, 12/25/35 150 152 Lehman XS Trust, Ser 2005-7N, Cl M7I (C) 7.080%, 10/27/06 325 313 Lehman XS Trust, Ser 2005-9N, Cl M4 (C) 6.730%, 10/30/06 225 230 Lehman XS Trust, Ser 2005-9N, Cl M6 (C) 7.080%, 10/30/06 415 418 Lehman XS Trust, Ser 2006-11, Cl M10 (C) 7.330%, 10/25/06 210 177 Lehman XS Trust, Ser 2006-12N, Cl M4 (C) 5.880%, 08/25/46 270 269 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Lehman XS Trust, Ser 2006-12N, Cl M5 (C) 5.930%, 08/25/46 $ 150 $ 150 Lehman XS Trust, Ser 2006-2N, Cl M5 (C) 6.480%, 10/27/06 240 244 Long Beach Asset Holdings, Ser 2006-2, Cl N1 (E) 5.780%, 04/25/46 94 93 Long Beach Mortgage Loan Trust, Ser 2006-WL1, Cl 1A3 (C) 5.660%, 10/27/06 919 922 Master Asset-Backed Securities NIM Trust, Ser 2006-CI13, Cl N1 (E) 7.000%, 12/25/35 335 333 Master Asset-Backed Securities NIM Trust, Ser 2006-CI14, Cl N1 (E) 6.000%, 07/26/35 198 197 Master Asset-Backed Securities Trust, Ser 2002-OPT1, Cl M1 (C) 6.480%, 10/27/06 161 161 Merrill Lynch Mortgage Investors, Ser 2005-FF6, Cl N1 (E) 4.500%, 05/25/36 112 111 Merrill Lynch Mortgage Investors, Ser 2005-FM1N, Cl N1 (E) 4.500%, 05/25/36 170 168 Merrill Lynch Mortgage Investors, Ser 2006-1, Cl 1A (C) 5.350%, 02/25/36 2,284 2,265 Merrill Lynch Mortgage Investors, Ser 2006-MLN1, Cl A2A (C) 5.394%, 10/29/06 1,000 1,000 Merrill Lynch Mortgage Investors, Ser 2006-RM4, Cl A2A (C) 5.406%, 10/27/06 1,500 1,500 Morgan Stanley Capital I, Ser 2003-NC10, Cl M1 (C) 6.010%, 10/27/06 583 585 Morgan Stanley Capital I, Ser 2003-NC10, Cl M2 (C) 7.130%, 10/26/06 515 519 Morgan Stanley Dean Witter Capital I, Ser 2003-NC1, Cl M2 (C) 7.380%, 10/27/06 414 415 New Century Home Equity Loan Trust, Ser 2003-B, Cl M1 (C) 5.980%, 10/27/06 650 654 New Century Home Equity Loan Trust, Ser 2004-A, Cl AII3 (C) 4.450%, 10/01/06 965 958 New Century Home Equity Loan Trust, Ser 2005-A, Cl A2 (G) 4.461%, 10/25/06 2,229 2,208 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 33 SCHEDULE OF INVESTMENTS Large Cap Diversified Alpha Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Option One Mortgage Loan Trust, Ser 2003-4, Cl M2 (C) 6.980%, 07/25/33 $ 205 $ 207 Option One Mortgage Loan Trust, Ser 2003-5, Cl M1 (C) 5.980%, 10/23/06 350 351 Option One Mortgage Loan Trust, Ser 2006-1, Cl M10 (C) (E) 7.830%, 10/27/06 100 87 Option One Mortgage Loan Trust, Ser 2006-1, Cl M11 (C) (E) 7.830%, 10/27/06 190 181 Ownit Mortgage Loan Asset-Backed Securities Trust, Ser 2006-1, Cl AF1 (G) 5.424%, 12/25/36 2,653 2,639 Ownit Mortgage Loan NIM Trust, Ser 2005-5A, Cl N1 (E) 5.500%, 10/25/36 90 90 People's Financial Realty Mortgage Security, Ser 2006-1, Cl B1 (C) 7.868%, 10/03/06 243 240 Residential Accredit Loans, Ser 2006-Q01, Cl 2A3 (C) 5.730%, 10/27/06 590 592 Residential Accredit Loans, Ser 2006-Q04, Cl N1 (E) 6.048%, 04/25/46 459 458 Residential Accredit Loans, Ser 2006-Q06, Cl M5 (C) 5.830%, 10/29/06 350 349 Residential Accredit Loans, Ser 2006-QO3, Cl M4 (C) 6.050%, 10/25/06 250 250 Residential Accredit Loans, Ser 2006-QO3, Cl M5 (C) 6.110%, 10/25/06 250 250 Residential Asset Mortgage Products, Ser 2003-RS10, Cl AI5 4.910%, 01/25/31 600 597 Residential Asset Mortgage Products, Ser 2006-RZ4, Cl A1 (C) 5.420%, 10/25/06 2,500 2,500 Residential Asset Mortgage Products, Ser 2006-RZ4, Cl M9 (C) 7.830%, 10/25/06 115 100 Residential Asset Securities, Ser KS9, Cl AI3 3.250%, 12/25/28 718 715 Residential Asset Securitization Trust, Ser 2004-IP2, Cl 3A1 (C) 5.276%, 10/25/06 1,951 1,950 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Resmae Mortgage Loan Trust, Ser 2006-1, Cl A2A (C) (E) 5.430%, 10/25/06 $ 1,350 $ 1,350 Resmae Mortgage Loan Trust, Ser 2006-1, Cl A2B (C) (E) 5.480%, 10/25/06 1,000 1,000 SB Finance NIM Trust, Ser 2005-HE3, Cl N1 (E) 4.750%, 09/25/35 197 196 SB Finance NIM Trust, Ser 2006-KS4N, Cl N1 (E) 7.500%, 06/25/36 136 136 SLM Student Loan Trust, Ser 2006-C, Cl C (C) 5.877%, 12/28/06 1,000 991 Saco I Trust, Ser 2005-10, Cl 2A1 (C) 5.590%, 10/30/06 2,888 2,893 Sail NIM Notes, Ser 2005-11A, Cl A (E) 7.500%, 01/27/36 322 318 Sail NIM Notes, Ser 2006-BC1A, Cl A (E) 7.000%, 03/27/36 217 216 Sharps SP I LLC NIM Trust, Ser 2005-HE3N, Cl N (E) 5.000%, 05/25/35 275 275 Soundview NIM Trust, Ser 2005-OPT4, Cl N1 (E) 5.682%, 12/25/35 52 52 Structured Adjustable Rate Mortgage Loan, Ser 2005-16XS, Cl M2 (C) 6.230%, 10/25/06 505 508 Structured Asset Investment Loan, Ser 2005-4, Cl M11 (C) 7.830%, 10/25/06 250 235 Structured Asset Mortgage Investments, Ser 2006-AR1, Cl B4 (C) 6.280%, 10/27/06 191 193 Structured Asset Mortgage Investments, Ser 2006-AR1, Cl B5 (C) 6.380%, 10/27/06 121 123 Structured Asset Securities, Ser 2005-NC1, Cl A2 (G) 3.920%, 02/25/35 505 501 Structured Asset Securities, Ser 2005-S1, Cl B3 (C) (E) 7.830%, 10/27/06 350 341 Terwin Mortgage Trust, Ser 2006-2HGS, Cl A1 (C) (E) 4.500%, 03/25/37 4,252 4,209 Terwin Mortgage Trust, Ser 2006-2HGS, Cl AX, IO (C) (E) 13.000%, 03/25/37 695 112 Terwin Mortgage Trust, Ser 2006-2HGS, Cl B1 (C) (E) 6.110%, 10/25/06 300 302 -------------------------------------------------------------------------------- 34 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Terwin Mortgage Trust, Ser 2006-4SL, Cl A1 (C) (E) 4.500%, 05/25/37 $ 4,494 $ 4,451 Terwin Mortgage Trust, Ser 2006-4SL, Cl AX (C) (E) 20.000%, 05/25/37 776 90 Terwin Mortgage Trust, Ser 2006-6, Cl A1 (C) 4.500%, 07/25/37 1,738 1,720 Terwin Mortgage Trust, Ser 2006-HF1, Cl A1A (C) (E) 4.500%, 02/25/37 1,508 1,498 Wachovia Student Loan Trust, Ser 2006-1, Cl B (C) (E) 5.689%, 04/25/40 3,200 3,185 Wells Fargo Home Equity Trust, Ser 2004-2, Cl A12 (C) 3.450%, 06/25/19 2,371 2,355 Wells Fargo Home Equity Trust, Ser 2004-2, Cl M8A (C) (E) 8.330%, 10/28/06 300 297 -------------- Total Asset-Backed Securities (Cost $100,204) ($ Thousands) 100,608 -------------- U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 5.3% FHLMC (C) 5.572%, 10/01/35 845 847 FNMA 5.500%, 11/01/20 986 985 5.500%, 12/01/20 1,960 1,960 5.500%, 01/01/21 2,959 2,959 5.500%, 02/01/21 984 983 5.500%, 03/01/21 8,815 8,811 5.500%, 06/01/21 6 6 FNMA ARM 5.581%, 05/01/36 1,956 1,963 5.524%, 01/01/36 860 861 5.504%, 05/01/36 999 1,001 FNMA TBA 6.000%, 10/20/19 3,000 3,045 5.500%, 10/15/21 14,000 13,991 5.500%, 10/01/34 11,100 10,933 5.000%, 10/01/20 4,300 4,225 GNMA 5.000%, 02/20/35 486 488 4.500%, 06/20/36 493 490 4.000%, 06/20/34 676 673 4.000%, 07/20/35 411 409 4.000%, 01/20/36 480 475 3.750%, 03/20/34 539 530 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- GNMA ARM 5.500%, 10/30/06 $ 648 $ 648 4.500%, 08/20/34 772 770 4.500%, 01/20/36 469 468 -------------- Total U.S. Government Mortgage-Backed Obligations (Cost $57,130) ($ Thousands) 57,521 -------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 1.4% FHLMC (F) 5.370%, 01/16/07 100 98 FHLMC CMO STRIPS, Ser 232, Cl IO, IO 9.953%, 08/01/35 455 111 FHLMC CMO STRIPS, Ser 233, Cl 12, IO 11.564%, 09/15/35 1,211 280 FNMA (F) 5.145%, 03/30/07 (A) 1,100 1,072 4.657%, 12/01/06 8,000 7,933 FNMA CMO STRIPS, Ser 359, Cl 6, IO 11.852%, 11/01/35 441 105 FNMA CMO STRIPS, Ser 360, Cl 2, IO 9.966%, 08/01/35 20,843 5,080 -------------- Total U.S. Government Agency Obligations (Cost $14,811) ($ Thousands) 14,679 -------------- CORPORATE OBLIGATIONS -- 1.0% CONSUMER DISCRETIONARY -- 0.1% COX Communications 4.625%, 06/01/13 375 349 Comcast 5.300%, 01/15/14 470 458 Omnicon Group 5.900%, 04/15/16 210 213 Time Warner 6.875%, 05/01/12 375 396 -------------- 1,416 -------------- ENERGY -- 0.0% Kinder Morgan Energy Partners 5.000%, 12/15/13 375 356 -------------- FINANCIALS -- 0.6% Cit Group 5.000%, 02/13/14 500 483 Credit Suisse First Boston 6.500%, 01/15/12 250 263 Genworth Financial 5.750%, 06/15/14 375 382 Goldman Sachs Group 5.500%, 11/15/14 750 747 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 35 SCHEDULE OF INVESTMENTS Large Cap Diversified Alpha Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Household Finance 6.375%, 10/15/11 $ 375 $ 392 Istar Financial, Ser 1 5.875%, 03/15/16 250 249 JPMorgan Chase 5.125%, 09/15/14 375 368 Lehman Brothers MTN 5.500%, 04/04/16 375 374 Merrill Lynch 6.050%, 05/16/16 375 388 Morgan Stanley 4.750%, 04/01/14 375 357 Residential Capital 6.500%, 04/17/13 630 640 Shinsei Finance Cayman (C) (E) 6.418%, 01/29/49 400 397 Simon Property Group+ 5.750%, 12/01/15 250 252 5.600%, 09/01/11 210 211 Wachovia 4.875%, 02/15/14 250 242 Washington Mutual Preferred Funding (C) (E) 6.534%, 03/15/49 400 393 Western Union (E) 5.930%, 10/01/16 250 252 -------------- 6,390 -------------- HEALTH CARE -- 0.1% Aetna 5.750%, 06/15/11 375 381 Teva Pharmaceutical Finance LLC 5.550%, 02/01/16 375 368 Wellpoint 6.800%, 08/01/12 250 267 -------------- 1,016 -------------- INDUSTRIALS -- 0.1% Harrahs Operating 5.500%, 07/01/10 375 369 Lafarge 6.150%, 07/15/11 230 235 -------------- 604 -------------- TELECOMMUNICATION SERVICES -- 0.0% Embarq 6.738%, 06/01/13 375 386 -------------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)/Shares ($ Thousands) -------------------------------------------------------------------------------- UTILITIES -- 0.1% Dominion Resources 4.750%, 12/15/10 $ 250 $ 244 Exelon Generation LLC 6.950%, 06/15/11 375 398 -------------- 642 -------------- Total Corporate Obligations (Cost $10,538) ($ Thousands) 10,810 -------------- CASH EQUIVALENT -- 5.8% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.330%**++ 62,490,946 62,491 -------------- Total Cash Equivalent (Cost $62,491) ($ Thousands) 62,491 -------------- U.S. TREASURY OBLIGATIONS (B) -- 0.9% U.S. Treasury Bill 4.942%, 11/24/06 1,946 1,933 U.S. Treasury Bond 2.375%, 04/15/11 5,433 5,439 U.S. Treasury Note 5.125%, 05/15/16 2,583 2,679 -------------- Total U.S. Treasury Obligations (Cost $9,927) ($ Thousands) 10,051 -------------- Total Investments -- 112.0% (Cost $1,176,980) ($ Thousands) $ 1,211,600 ============== COMMON STOCK SOLD SHORT -- (9.6)% CONSUMER DISCRETIONARY -- (3.0)% Amazon.com* (64,400) (2,069) CBS, Cl B (14,467) (408) Clear Channel Outdoor Holdings, Cl A* (3,700) (75) Discovery Holding, Cl A* (205,441) (2,971) DR Horton (2,800) (67) Eastman Kodak (95,100) (2,130) Four Seasons Hotels (17,400) (1,111) Gamestop, Cl A* (17,900) (828) Gentex (212,512) (3,020) Hearst-Argyle Television (9,905) (227) Hilton Hotels (10,400) (290) International Game Technology (6,300) (261) -------------------------------------------------------------------------------- 36 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- International Speedway, Cl A (14,332) $ (714) Interpublic Group* (96,700) (957) Laureate Education* (14,200) (680) Lennar, Cl A (12,700) (575) Liberty Media Holding-Capital, Ser A* (21,731) (1,816) McClatchy Company, Cl A (5,432) (229) MDC Holdings (10,155) (472) NTL (76,531) (1,946) O'Reilly Automotive* (28,300) (940) OSI Restaurant Partners (42,100) (1,335) Quiksilver* (60,000) (729) RH Donnelley (24,241) (1,282) Scientific Games, Cl A* (51,200) (1,628) Sirius Satellite Radio* (140,079) (548) Standard Pacific (2,276) (53) Tiffany (26,143) (868) Urban Outfitters* (102,700) (1,817) Wynn Resorts* (10,268) (698) XM Satellite Radio, Cl A* (131,546) (1,696) -------------- (32,440) -------------- CONSUMER STAPLES -- (0.1)% Hansen Natural* (9,141) (297) J.M. Smucker (362) (17) WM Wrigley Jr. (16,495) (760) WM Wrigley Jr., Cl B (1,168) (54) -------------- (1,128) -------------- ENERGY -- (1.2)% Cameco (32,300) (1,181) Cheniere Energy* (22,800) (677) Dresser-Rand Group* (44,200) (902) Enbridge (42,700) (1,378) Foundation Coal Holdings (7,000) (227) Massey Energy (45,300) (949) Overseas Shipholding Group (20,564) (1,270) Quicksilver Resources* (55,408) (1,768) Rowan (25,200) (797) Southwestern Energy* (66,300) (1,980) Tetra Technologies* (38,900) (940) Todco* (23,800) (823) -------------- (12,892) -------------- FINANCIALS -- (1.2)% Alleghany* (55) (16) American Capital Strategies (56,169) (2,217) Arthur J. Gallegher (25,300) (675) -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Astoria Financial (5,100) $ (157) Commerce Bancorp (40,200) (1,476) Equity Residential+ (1,700) (86) Hudson City Bancorp (213,464) (2,828) Legg Mason (3,300) (333) Marsh & McLennan (3,700) (104) Moody's (3,987) (261) New Century Financial+ (5,216) (205) Peoples Bank (40,800) (1,616) Popular (67,100) (1,304) T Rowe Price Group (9,500) (455) Valley National Bancorp (22,700) (580) Vornado Realty Trust+ (3,600) (392) -------------- (12,705) -------------- HEALTH CARE -- (1.1)% Affymetrix* (61,300) (1,322) Allergan (2,400) (270) Amylin Pharmaceticals* (48,155) (2,122) Bausch & Lomb (45,304) (2,271) Cooper (17,000) (910) Davita* (11,500) (666) Endo Pharmaceutical Holdings* (27,600) (898) Kinetic Concepts* (20,800) (654) Omnicare (8,500) (366) Patterson* (39,400) (1,324) PDL BioPharma* (4,199) (81) St Jude Medical* (2,500) (88) Vertex Pharmaceuticals* (26,200) (882) Zimmer Holdings* (7,300) (493) -------------- (12,347) -------------- INDUSTRIALS -- (1.1)% American Power Conversion (35,700) (784) Chicago Bridge & Iron- New York Shares (46,700) (1,124) Copart* (1,448) (41) Corporate Executive Board (8,400) (755) Covanta Holdings* (56,900) (1,225) DRS Technologies (14,919) (652) Expeditors International Washington (4,600) (205) Fastenal (17,200) (663) Jetblue Airways* (63,500) (589) Pall (61,200) (1,886) Southwest Airlines (80,608) (1,343) Stericycle* (9,136) (638) UTI Worldwide (41,000) (1,147) Walter Industries (11,900) (508) -------------- (11,560) -------------- -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 37 SCHEDULE OF INVESTMENTS Large Cap Diversified Alpha Fund (Concluded) September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- INFORMATION TECHNOLOGY -- (1.6)% Activision* (62,700) $ (947) Advanced Micro Devices* (33,700) (837) Alliance Data Systems* (14,500) (800) Apple Computer* (2,900) (223) Autodesk* (10,600) (369) Avid Technology* (22,800) (830) Broadcom, Cl A* (10,600) (322) CACI International, Cl A* (16,400) (902) Ciena* (1,352) (37) Citrix Systems* (21,800) (789) eBay* (22,400) (635) F5 Networks* (4,389) (236) Fair Isaac (8,912) (326) Jabil Circuit (15,700) (449) JDS Uniphase* (4,618) (10) Juniper Networks* (74,525) (1,288) Linear Technology (1,800) (56) NAVTEQ* (30,800) (804) Novell* (90,600) (554) PMC - Sierra* (166,525) (989) Rambus* (54,258) (946) Red Hat* (15,833) (334) Salesforce.com* (66,086) (2,371) SanDisk* (7,780) (417) Silicon Laboratories* (22,353) (693) Symantec* (17,061) (363) Symbol Technologies (33,100) (492) Teradyne* (2,252) (30) Unisys* (136,000) (770) -------------- (17,819) -------------- MATERIALS -- (0.2)% Cabot (10,600) (394) Freeport-McMoRan Copper & Gold, Cl B (4,400) (234) Ivanhoe Mines* (116,700) (731) Louisiana-Pacific (43,597) (818) Sigma-Aldrich (500) (38) -------------- (2,215) -------------- TELECOMMUNICATION SERVICES -- (0.0)% NeuStar, Cl A* (14,000) (389) SBA Communications, Cl A* (2,329) (57) -------------- (446) -------------- UTILITIES -- (0.1)% Aqua America (22,800) (500) -------------- Total Common Stock Sold Short (Proceeds $(107,744)) ($ Thousands) (104,052) -------------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)/Contracts ($ Thousands) -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATION SOLD SHORT -- (0.2)% U.S. Treasury Bond 5.125%, 05/15/16 $ (2,583) $ (2,679) -------------- Total U.S. Treasury Obligation Sold Short (Proceeds $(2,563)) ($ Thousands) (2,679) -------------- WRITTEN OPTIONS -- (0.0)% December 2006 120 Day Euro Futures Call, Expires 12/15/06, Strike Price $95* (98) (58) October 2006 Euro 1-Year Futures Put, Expires 10/14/06, Strike Price $94.50* (33) -- -------------- Total Written Options (Premiums Received $(71)) ($ Thousands) (58) -------------- Futures -- A summary of the open futures contracts held by the Fund at September 30, 2006, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED APPRECIATION TYPE OF NUMBER OF EXPIRATION (DEPRECIATION) CONTRACT CONTRACTS DATE ($ THOUSANDS) -------------------------------------------------------------------------------- 90-Day Euro$ (66) Mar-2007 $ (15) 90-Day Euro$ (66) Mar-2008 (66) 90-Day Euro$ (47) Mar-2009 (39) 90-Day Euro$ (46) Mar-2010 (34) 90-Day Euro$ (15) Mar-2011 (9) 90-Day Euro$ (5) Jun-2007 (3) 90-Day Euro$ (56) Jun-2008 (56) 90-Day Euro$ (47) Jun-2009 (38) 90-Day Euro$ (42) Jun-2010 (29) 90-Day Euro$ (1) Jun-2011 (2) 90-Day Euro$ (48) Sep-2007 (26) 90-Day Euro$ (47) Sep-2008 (41) 90-Day Euro$ (47) Sep-2009 (38) 90-Day Euro$ (26) Sep-2010 (11) 90-Day Euro$ 163 Dec-2006 26 90-Day Euro$ (66) Dec-2007 (62) 90-Day Euro$ (47) Dec-2008 (41) 90-Day Euro$ (47) Dec-2009 (36) 90-Day Euro$ (26) Dec-2010 (11) Euro-Bund (22) Dec-2006 (22) S&P 500 Index 642 Dec-2006 5,269 U.S. 2-Year Note 57 Dec-2006 27 U.S. 5-Year Note 32 Dec-2006 17 U.S. 10-Year Note (45) Dec-2006 (46) U.S. Long Treasury Bond 17 Dec-2006 25 ------- $4,739 ======= -------------------------------------------------------------------------------- 38 SEI Institutional Managed Trust / Annual Report / September 30, 2006 Swaps -- At September 30, 2006, the following Total Return Swap agreements were outstanding (see Note 2 in Notes to Financial Statements):
------------------------------------------------------------------------------------------------ NOTIONAL NET UNREALIZED EXPIRATION AMOUNT APPRECIATION DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) ------------------------------------------------------------------------------------------------ The Fund receives payment on the monthly reset spread from Bank of America - CMBS BBB Index times the notional amount. The Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Bank of America) 10/31/06 $ 4,000 $ 9 The Fund receives payment on the monthly reset spread from Bank of America - CMBS AAA10Yr Index plus 15 basis points times the notional amount. The Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment. (Counterparty: JP Morgan Chase) 01/01/07 35,000 32 The Fund receives payment on the monthly reset spread from Bank of America - CMBS BBB Index times the notional amount. The Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Bank of America) 10/31/06 7,000 15 The Fund receives payment on the monthly reset spread from Bank of America - CMBS AAA 10Yr Index times the notional amount. The Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Bank of America) 07/01/07 7,000 5 --- $61 ===
Percentages are based on Net Assets of $1,082,122 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of September 30, 2006. + Real Estate Investment Trust. ++ Pursuant to an exemptive order issued by the Securities and Exchange Commission, the Fund may invest in the SEI money market funds, provided that investments in the money market funds do not exceed 25% of the Fund's total assets. (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. (B) The rate reported is the effective yield at time of purchase. (C) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2006. The date reported on the Schedule of Investments is the next reset date. (D) All or a portion of this security is held as collateral for securities sold short. The total value of collateral for securities sold short at September 30, 2006 was $245,172 ($Thousands). (E) This security was sold within the terms of a private placement memorandum, except from registration under Section 3A-4, 4(2) or 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (F) Zero Coupon Bond -- The rate reported on the Schedule of Investments is the effective yield at time of purchase. (G) Step Bonds -- The rate reflected on the Schedule of Investments is the rate in effect as of September 30, 2006. The coupon on a step bond changes on a specific date. (H) This security is traded on a foreign stock exchange. The total value of the security as of September 30, 2006 was $65 and represents 0.01% of Net Assets. ARM -- Adjustable Rate Mortgage Cl -- Class CMBS -- Commercial Mortgage-Backed Securities CMO -- Collateralized Mortgage Obligation FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GNMA -- Government National Mortgage Association IO -- Interest Only Security-face amount represents notional amount. LLC -- Limited Liability Company MTN -- Medium Term Note NIM -- Net Interest Margin Ser -- Series STRIPS -- Separately Traded Registered Interest and Principal Securities TBA -- To Be Announced Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 39 SCHEDULE OF INVESTMENTS Tax-Managed Large Cap Fund September 30, 2006 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS# (UNAUDITED): [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 29.5% Financials 14.2% Information Technology 10.9% Health Care 10.2% Consumer Discretionary 9.0% Energy 7.9% Consumer Staples 6.3% Industrials 3.2% Telecommunication Services 2.7% Materials 2.7% Utilities 2.4% Short-Term Investments 1.0% Asset-Backed Securities 0.0% U.S. Treasury Obligations 0.0% Warrants #Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7). -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- COMMON STOCK -- 98.4% CONSUMER DISCRETIONARY -- 11.5% Abercrombie & Fitch, Cl A 4,600 $ 320 Amazon.com (B)* 10,200 328 American Eagle Outfitters 31,100 1,363 American Greetings, Cl A (B) 5,000 116 Apollo Group, Cl A (B)* 186,450 9,181 Autoliv 63,500 3,499 Autonation* 18,800 393 Autozone* 3,200 331 Barnes & Noble 22,100 838 Beazer Homes USA 1,300 51 Bed Bath & Beyond* 11,400 436 Best Buy (B) 15,375 823 Big Lots (B)* 6,400 127 Black & Decker (B) 16,300 1,293 Borders Group 39,400 804 BorgWarner 24,500 1,401 Brinker International 39,100 1,568 Brunswick 2,700 84 Cablevision Systems, Cl A 19,800 450 Carmax (B)* 4,080 170 Cavco Industries* 260 8 CBRL Group (B) 5,000 202 CBS, Cl B 116,169 3,272 CEC Entertainment* 3,000 95 Centex 5,200 274 Cheesecake Factory (B)* 2,250 61 Clear Channel Communications 9,100 263 Clear Channel Outdoor Holdings, Cl A* 19,800 404 Coach* 7,200 248 Comcast, Cl A (B)* 193,483 7,130 Comcast, Special Cl A (B)* 9,400 346 DaimlerChrysler 7,500 375 Darden Restaurants (B) 55,600 2,361 DeVry* 2,042 43 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Dick's Sporting Goods (B)* 3,000 $ 137 Dillard's, Cl A (B) 4,800 157 DIRECTV Group (B)* 134,865 2,654 Discovery Holding, Cl A* 9,560 138 Dollar Tree Stores (B)* 6,300 195 Dow Jones (B) 900 30 DR Horton 11,300 271 DreamWorks Animation SKG, Cl A* 11,200 279 Eastman Kodak (B) 58,500 1,310 EchoStar Communications, Cl A (B)* 10,700 350 Ethan Allen Interiors (B) 30,500 1,057 Expedia* 3,070 48 Federated Department Stores 29,184 1,261 Foot Locker 10,700 270 Ford Motor (B) 129,400 1,047 Fortune Brands (B) 86,622 6,506 Furniture Brands International (B) 1,800 34 GameStop, Cl A* 2,900 134 GameStop, Cl B* 722 32 Gannett (B) 58,100 3,302 Gap 69,300 1,313 General Motors (B) 16,500 549 Gentex 9,000 128 Genuine Parts 9,900 427 Getty Images* 1,200 60 Goodyear Tire & Rubber (B)* 61,700 895 H&R Block 13,600 296 Harley-Davidson 12,500 784 Harrah's Entertainment (B) 78,869 5,239 Hasbro 116,100 2,641 Hearst-Argyle Television 1,400 32 Hilton Hotels 16,500 460 Home Depot 76,500 2,775 IAC/InterActive (B)* 6,870 198 International Game Technology (B) 387,400 16,077 Interpublic Group (B)* 6,100 60 ITT Educational Services* 1,200 80 J.C. Penney (B) 59,100 4,042 Johnson Controls 26,000 1,865 Jones Apparel Group 44,600 1,447 KB Home (B) 13,300 583 Kohl's (B)* 59,380 3,855 Lamar Advertising, Cl A (B)* 64,109 3,424 Las Vegas Sands (B)* 3,700 253 Lear (B) 20,100 416 Leggett & Platt (B) 68,800 1,722 Lennar, Cl A 5,200 235 Lennar, Cl B 520 22 Liberty Global, Cl A* 4,341 112 Liberty Global, Ser C* 4,403 110 Liberty Media Holding-Capital, Ser A* 4,780 399 Liberty Media Holding-Interactive, Cl A* 23,900 487 Limited Brands 63,100 1,672 Live Nation* 7,720 158 -------------------------------------------------------------------------------- 40 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Liz Claiborne 3,400 $ 134 Lowe's 292,704 8,213 Marriott International, Cl A 115,378 4,458 Mattel 165,400 3,258 McClatchy, Cl A 8,328 351 McDonald's 281,662 11,019 McGraw-Hill 281,041 16,309 MDC Holdings 2,300 107 MGM Mirage (B)* 288,000 11,373 Mohawk Industries (B)* 1,900 141 Newell Rubbermaid 3,800 108 News, Cl A* 128,088 2,517 Nike, Cl B 5,200 456 Nordstrom 9,800 415 NTL 4,300 109 NVR* 1,200 642 O'Reilly Automotive (B)* 3,600 120 Office Depot* 72,100 2,862 OfficeMax 1,200 49 Omnicom Group 10,000 936 OSI Restaurant Partners 1,900 60 PetSmart 3,400 94 Pulte Homes 20,000 637 RadioShack 2,800 54 Regal Entertainment Group, Cl A (B) 7,100 141 Ross Stores 5,200 132 Ruby Tuesday 2,600 73 Ryland Group (B) 2,500 108 Saks (B)* 50,300 869 Sears Holdings* 5,381 851 ServiceMaster 14,400 161 Shaw Communications, Cl B 42,300 1,270 Sherwin-Williams 45,100 2,516 Sirius Satellite Radio (B)* 55,514 217 Snap-On 3,900 174 Standard-Pacific 4,900 115 Stanley Works (B) 12,600 628 Staples 681,050 16,570 Starbucks (B)* 222,600 7,580 Starwood Hotels & Resorts Worldwide 6,300 360 Target 181,240 10,013 Tempur-Pedic International (B)* 7,100 122 Tiffany 2,600 86 Time Warner 1,033,919 18,848 TJX 24,000 673 Toll Brothers (B)* 6,000 168 Tribune (B) 39,400 1,289 Univision Communications, Cl A (B)* 7,160 246 Urban Outfitters* 3,300 58 VF 48,700 3,553 Viacom, Cl B* 139,029 5,169 Walt Disney (B) 135,900 4,201 Washington Post, Cl B 200 147 Weight Watchers International 220,000 9,755 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Wendy's International 18,600 $ 1,246 Whirlpool (B) 25,184 2,118 Williams-Sonoma (B) 48,340 1,566 Wyndham Worldwide* 15,160 424 Wynn Resorts (B)* 2,200 150 XM Satellite Radio Holdings, Cl A (B)* 540,790 6,971 Yum! Brands 9,600 500 -------------- 274,176 -------------- CONSUMER STAPLES -- 8.9% Altria Group 219,500 16,803 Anheuser-Busch 32,200 1,530 Archer-Daniels-Midland 45,257 1,714 Avon Products 22,400 687 BJ's Wholesale Club* 9,000 263 Brown-Forman, Cl B 2,400 184 Campbell Soup (B) 11,300 412 Clorox 29,900 1,884 Coca-Cola 142,301 6,358 Coca-Cola Enterprises 88,200 1,837 Colgate-Palmolive 133,672 8,301 ConAgra Foods 32,100 786 Constellation Brands, Cl A* 6,000 173 Costco Wholesale (B) 119,869 5,955 CVS 29,800 957 Dean Foods* 42,021 1,766 Del Monte Foods 121,900 1,274 Energizer Holdings (B)* 38,900 2,800 Estee Lauder, Cl A (B) 105,587 4,258 General Mills 86,600 4,902 Hershey (B) 70,790 3,784 HJ Heinz 3,500 147 Hormel Foods 4,000 144 Kellogg 12,500 619 Kimberly-Clark 66,800 4,366 Kraft Foods, Cl A (B) 59,500 2,122 Kroger* 117,100 2,710 Loews - Carolina 5,300 294 McCormick 4,200 159 Molson Coors Brewing, Cl B (B) 10,900 751 Pepsi Bottling Group 33,200 1,179 PepsiAmericas (B) 38,200 815 PepsiCo 382,247 24,945 Procter & Gamble 656,736 40,704 Reynolds American (B) 110,800 6,866 Safeway 91,934 2,790 Smithfield Foods* 2,700 73 Supervalu 53,820 1,596 Sysco 26,900 900 TreeHouse Foods* 564 13 Tyson Foods, Cl A 54,645 868 UST (B) 10,000 548 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 41 SCHEDULE OF INVESTMENTS Tax-Managed Large Cap Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Wal-Mart Stores 499,988 $ 24,659 Walgreen 512,000 22,728 Whole Foods Market 5,000 297 WM Wrigley Jr. (B) 111,732 5,146 -------------- 212,067 -------------- ENERGY -- 10.2% Anadarko Petroleum 62,800 2,753 Apache 6,342 401 Baker Hughes 260,230 17,748 BJ Services 20,000 603 Cabot Oil & Gas 1,000 48 Cameron International* 900 43 Cheniere Energy (B)* 1,800 53 Chesapeake Energy (B) 63,850 1,850 Chevron 388,962 25,228 Cimarex Energy 2,285 80 ConocoPhillips 278,988 16,608 Consol Energy 5,600 178 Cross Timbers Royalty Trust 105 5 Devon Energy 105,290 6,649 Dresser-Rand Group* 2,300 47 El Paso 39,600 540 EnCana 51,900 2,423 ENSCO International 6,000 263 EOG Resources 600 39 Exxon Mobil 1,154,082 77,439 Forest Oil* 2,300 73 Foundation Coal Holdings 4,100 133 Global Industries* 3,200 50 GlobalSantaFe 9,400 470 Grant Prideco* 9,100 346 Halliburton (B) 338,616 9,634 Helmerich & Payne 8,600 198 Hess (B) 65,400 2,709 Holly (B) 30,600 1,326 Hugoton Royalty Trust 1,417 37 Kinder Morgan 4,500 472 Marathon Oil 116,467 8,956 Mariner Energy* 1,861 34 Massey Energy 4,200 88 Murphy Oil 15,600 742 Nabors Industries (B)* 15,800 470 National Oilwell Varco* 10,430 611 Newfield Exploration* 10,200 393 Noble Energy 20,400 930 Occidental Petroleum 255,200 12,278 Patterson-UTI Energy 14,000 333 Peabody Energy (B) 8,800 324 Petro-Canada* 27,000 1,089 Pioneer Natural Resources 9,900 387 Plains Exploration & Production* 1,100 47 Pogo Producing (B) 6,900 283 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Quicksilver Resources* 2,100 $ 67 Rowan (B) 11,200 354 Schlumberger 382,626 23,734 Smith International 14,400 559 Southwestern Energy* 2,600 78 St. Mary Land & Exploration 1,400 51 Suncor Energy 161,144 11,610 Sunoco 27,500 1,710 Tetra Technologies (B)* 12,000 290 Tidewater (B) 1,900 84 Unit* 9,600 441 Valero Energy 69,330 3,568 W&T Offshore 1,500 44 Weatherford International* 64,990 2,711 Williams 11,700 279 XTO Energy 23,776 1,002 -------------- 241,993 -------------- FINANCIALS -- 22.8% 21st Century Insurance Group 9,000 135 A.G. Edwards (B) 46,600 2,483 Affiliated Managers Group (B)* 1,350 135 Aflac 19,300 883 Allstate 182,300 11,436 AMB Property+ 3,400 187 AMBAC Financial Group 33,900 2,805 American Express 287,109 16,101 American International Group 403,197 26,716 AmeriCredit (B)* 5,700 142 Ameriprise Financial 10,100 474 AmerUs Group 1,200 82 AmSouth Bancorp 122,100 3,546 Annaly Mortgage Management+ 11,600 152 AON 47,000 1,592 Archstone-Smith Trust+ 9,100 495 Arthur J Gallagher 1,900 51 Assurant 6,100 326 Astoria Financial 78,900 2,432 Axis Capital Holdings 20,250 702 Bank of America 864,525 46,313 Bank of Hawaii 100 5 Bank of New York (B) 57,600 2,031 BB&T (B) 90,800 3,975 Bear Stearns 20,000 2,802 Boston Properties+ 3,200 331 Brookfield Asset Management 52,000 2,306 Capital One Financial (B) 8,144 641 CapitalSource+ 5,800 150 CB Richard Ellis Group, Cl A* 77,300 1,902 Charles Schwab 482,393 8,635 Chicago Mercantile Holdings 30,000 14,347 Chubb 83,900 4,359 Cincinnati Financial 44,004 2,115 -------------------------------------------------------------------------------- 42 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- CIT Group 58,700 $ 2,855 Citigroup 1,056,662 52,484 Citizens Banking 1,800 47 Colonial Properties Trust+ 5,000 239 Comerica 92,100 5,242 Commerce Bancorp (B) 1,600 59 Compass Bancshares 4,000 228 Countrywide Financial 88,998 3,118 Credicorp 1,500 63 Crescent Real Estate Equities+ 2,000 44 Developers Diversified Realty+ 900 50 Duke Realty+ 11,100 415 E*Trade Financial* 5,000 120 Equity Office Properties Trust+ 51,800 2,060 Equity Residential+ 17,900 905 Erie Indemnity, Cl A 7,000 367 Fannie Mae 107,581 6,015 Fidelity National Financial (B) 9,543 397 Fidelity National Title Group, Cl A (B) 11,070 232 Fifth Third Bancorp 11,200 426 First American 38,500 1,630 First Horizon National 32,300 1,228 First Marblehead (B) 1,700 118 FirstMerit 5,200 120 Franklin Resources 12,800 1,354 Freddie Mac 265,337 17,600 General Growth Properties+ 4,200 200 Genworth Financial, Cl A 45,700 1,600 Golden West Financial 16,800 1,298 Goldman Sachs Group 31,000 5,244 Greater Bay Bancorp 3,700 104 Hanover Insurance Group 45,100 2,013 Hartford Financial Services Group 52,900 4,589 HCC Insurance Holdings 3,000 99 Health Care+ 1,300 52 Highwoods Properties+ (B) 1,500 56 Host Hotels & Resorts+ 33,465 767 HRPT Properties Trust+ 14,500 173 Huntington Bancshares 121,500 2,907 IndyMac Bancorp (B) 61,800 2,544 IntercontinentalExchange* 8,000 601 Investment Technology Group* 6,900 309 iStar Financial+ 5,400 225 Janus Capital Group (B) 61,300 1,209 Jones Lang LaSalle 14,700 1,257 JPMorgan Chase 726,120 34,099 Keycorp 190,400 7,129 Kilroy Realty+ 1,200 90 Kimco Realty+ 3,200 137 Legg Mason 61,120 6,165 Lehman Brothers Holdings 88,338 6,525 Liberty Property Trust+ 3,300 158 Lincoln National 70,128 4,353 Loews 96,600 3,661 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- M&T Bank 3,500 $ 420 Macerich+ 1,300 99 Mack-Cali Realty+ 4,800 249 Manulife Financial 18,490 596 Marsh & McLennan (B) 8,907 251 Marshall & Ilsley 9,200 443 MBIA 28,100 1,726 Mellon Financial 25,100 981 Mercantile Bankshares 1,950 71 Merrill Lynch 320,500 25,069 Metlife (B) 65,000 3,684 MGIC Investment (B) 29,200 1,751 Moody's 215,000 14,057 Morgan Stanley 234,900 17,127 Nasdaq Stock Market* 2,400 73 National City (B) 236,600 8,660 Nationwide Financial Services, Cl A 39,400 1,895 Nelnet, Cl A* 3,800 117 New York Community Bancorp 4,474 73 North Fork Bancorporation 54,528 1,562 Northern Trust 5,700 333 Nuveen Investments, Cl A 2,400 123 NYSE Group (B)* 800 60 Old Republic International 42,937 951 Peoples Bank 4,500 178 Phoenix 22,400 314 Piper Jaffray* 732 44 Plum Creek Timber+ 7,800 265 PMI Group (B) 53,800 2,357 PNC Financial Services Group 91,700 6,643 Popular 31,000 603 Principal Financial Group (B) 91,800 4,983 Progressive (B) 82,000 2,012 Prologis+ 13,854 790 Protective Life 4,000 183 Prudential Financial (B) 68,700 5,238 Public Storage+ 4,100 353 Radian Group (B) 32,300 1,938 Raymond James Financial 4,050 118 Realogy (B)* 18,950 430 Realty Income+ 2,100 52 Regency Centers+ 1,700 117 Regions Financial (B) 128,779 4,738 Reinsurance Group of America (B) 55,700 2,892 Safeco 80,100 4,720 Simon Property Group+ 7,100 643 SL Green Realty+ 1,500 168 SLM 21,900 1,138 Sovereign Bancorp 16,380 352 St. Joe (B) 3,500 192 St. Paul Travelers 216,607 10,157 State Street 4,510 281 SunTrust Banks 86,300 6,669 SVB Financial Group (B)* 3,100 138 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 43 SCHEDULE OF INVESTMENTS Tax-Managed Large Cap Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Synovus Financial 1,800 $ 53 T Rowe Price Group 10,000 478 Taubman Centers+ 4,700 209 TCF Financial 4,400 116 TD Ameritrade Holding 8,700 164 TD Banknorth 2,254 65 Torchmark 4,900 309 Toronto-Dominion Bank 1,081 64 UnionBanCal 25,100 1,529 Unitrin 1,100 49 UnumProvident 52,200 1,012 US Bancorp 456,561 15,167 Ventas+ 1,500 58 Vornado Realty Trust+ 3,000 327 Wachovia (B) 332,392 18,547 Waddell & Reed Financial, Cl A 7,800 193 Washington Mutual 223,175 9,701 Weingarten Realty Investors+ 1,400 60 Wells Fargo 226,400 8,191 Whitney Holding 2,400 86 XL Capital, Cl A 8,200 563 Zions Bancorporation 1,600 128 -------------- 541,913 -------------- HEALTH CARE -- 12.3% Abbott Laboratories 119,500 5,803 Advanced Medical Optics* 2,444 97 Aetna 48,600 1,922 Alcon 3,800 435 Allergan 133,908 15,079 AmerisourceBergen 98,476 4,451 Amgen* 256,118 18,320 AMN Healthcare Services* 7,200 171 Applera - Applied Biosystems Group 22,300 738 Barr Pharmaceuticals* 3,300 171 Bausch & Lomb 1,500 75 Baxter International 22,100 1,005 Beckman Coulter 1,200 69 Becton Dickinson 16,650 1,177 Biogen Idec* 10,440 466 Biomet 10,050 324 Boston Scientific* 57,414 849 Bristol-Myers Squibb 57,400 1,430 C.R. Bard 3,800 285 Cardinal Health 32,930 2,165 Caremark Rx 258,338 14,640 Celgene (B)* 45,810 1,984 Cephalon* 800 49 Cigna 20,700 2,408 Cooper 1,200 64 Coventry Health Care* 2,848 147 Cytyc* 6,000 147 Dade Behring Holdings 27,800 1,116 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- DaVita* 4,650 $ 269 Dentsply International 1,800 54 Eli Lilly 152,176 8,674 Emdeon* 20,600 241 Express Scripts* 3,000 227 Fisher Scientific International (B)* 73,803 5,774 Forest Laboratories* 13,600 688 Genentech (B)* 330,991 27,373 Genzyme* 8,700 587 Gilead Sciences* 24,000 1,649 HCA 40,600 2,026 Health Management Associates, Cl A 14,000 293 Health Net* 3,200 139 Hospira* 4,710 180 Humana* 8,600 568 ICOS* 2,300 58 ImClone Systems* 1,300 37 IMS Health 3,944 105 Intuitive Surgical* 700 74 Invitrogen (B)* 2,700 171 Johnson & Johnson 148,230 9,626 King Pharmaceuticals (B)* 133,500 2,274 Laboratory of America Holdings (B)* 5,300 348 Lincare Holdings (B)* 3,500 121 Manor Care 3,700 193 McKesson 39,552 2,085 Medco Health Solutions* 82,539 4,961 Medicis Pharmaceutical, Cl A 2,000 65 Medimmune (B)* 226,260 6,609 Medtronic 199,729 9,275 Merck 424,135 17,771 Millennium Pharmaceuticals* 7,900 79 Millipore* 1,400 86 Mylan Laboratories 91,000 1,832 Omnicare 2,544 110 Patterson* 4,200 141 PDL BioPharma* 4,300 83 PerkinElmer 23,900 452 Pfizer 1,240,433 35,179 Pharmaceutical Product Development 8,600 307 Quest Diagnostics 4,800 294 Schering-Plough 52,462 1,159 Sepracor (B)* 2,500 121 St. Jude Medical* 236,050 8,330 STERIS 5,400 130 Stryker (B) 252,423 12,518 Tenet Healthcare (B)* 93,200 759 Thermo Electron* 7,000 275 UnitedHealth Group 396,892 19,527 Universal Health Services, Cl B 1,600 96 Valeant Pharmaceuticals International (B) 12,000 237 Varian Medical Systems (B)* 1,600 85 Vertex Pharmaceuticals* 1,900 64 -------------------------------------------------------------------------------- 44 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Waters* 5,800 $ 263 Watson Pharmaceuticals* 3,100 81 WellCare Health Plans* 1,200 68 WellPoint* 22,348 1,722 Wyeth 244,625 12,437 Zimmer Holdings (B)* 269,121 18,166 -------------- 292,703 -------------- INDUSTRIALS -- 7.1% 3M 76,524 5,695 ACCO Brands* 963 21 AGCO (B)* 3,000 76 Allied Waste Industries (B)* 13,709 154 American Power Conversion 7,400 163 American Standard 7,200 302 AMR* 11,500 266 Armor Holdings* 900 52 Avery Dennison 2,400 144 Avis Budget Group 5,200 95 Boeing 42,203 3,328 Brink's 1,300 69 Burlington Northern Santa Fe 12,500 918 Caterpillar 91,000 5,988 CH Robinson Worldwide (B) 6,400 285 ChoicePoint* 2,600 93 Continental Airlines, Cl B* 4,900 139 Covanta Holding* 2,300 50 Crane 1,700 71 CSX 125,600 4,123 Cummins (B) 24,500 2,921 Danaher 10,200 700 Deere (B) 35,200 2,954 Dover 6,100 289 DRS Technologies 1,500 66 Dun & Bradstreet* 1,600 120 Eaton 37,700 2,596 Emerson Electric 40,000 3,354 Equifax 7,600 279 Expeditors International Washington (B) 306,800 13,677 Fastenal 5,600 216 FedEx 13,400 1,456 Flowserve* 12,000 607 Fluor (B) 1,500 115 Gardner Denver* 4,700 155 GATX 3,200 132 General Dynamics 31,900 2,286 General Electric 1,078,267 38,063 Goodrich 7,900 320 Harsco 2,300 179 Herman Miller 1,900 65 Honeywell International 152,700 6,245 Hubbell, Cl B 16,200 776 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Hudson Highland Group* 1,500 $ 15 IKON Office Solutions 5,300 71 Illinois Tool Works 47,200 2,119 Ingersoll-Rand, Cl A 53,000 2,013 ITT Industries 8,000 410 Jacobs Engineering Group* 1,040 78 JLG Industries 4,500 89 Joy Global 3,600 135 Kansas City Southern* 2,000 55 Kirby* 4,200 132 Lockheed Martin 56,000 4,819 Manitowoc 1,300 58 Manpower 2,200 135 Masco (B) 126,000 3,455 Monster Worldwide* 10,000 362 MSC Industrial Direct, Cl A 4,000 163 Navistar International (B)* 31,900 824 Norfolk Southern 50,100 2,207 Northrop Grumman 107,134 7,293 Paccar 12,712 725 Pall (B) 9,500 293 Parker Hannifin 12,600 979 Pentair 4,800 126 PHH* 1,915 52 Pitney Bowes 8,900 395 Quanta Services (B)* 16,200 273 Raytheon 80,700 3,874 Republic Services 6,400 257 Robert Half International 5,800 197 Rockwell Automation 6,000 349 Rockwell Collins 18,300 1,004 RR Donnelley & Sons 77,200 2,545 Ryder System 19,800 1,023 Shaw Group* 3,100 73 Skywest 8,800 216 Southwest Airlines 37,900 631 SPX 29,600 1,582 Steelcase, Cl A 8,900 140 Swift Transportation (B)* 4,200 100 Terex* 1,100 50 Textron 8,000 700 Timken (B) 27,500 819 UAL* 1,800 48 Union Pacific 13,500 1,188 United Parcel Service, Cl B (B) 249,923 17,979 United Rentals (B)* 43,200 1,004 United Technologies 111,012 7,033 URS* 1,800 70 US Airways Group (B)* 2,200 98 USG* 1,000 47 Viad 850 30 Walter Industries (B) 1,900 81 Waste Management 21,200 778 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 45 SCHEDULE OF INVESTMENTS Tax-Managed Large Cap Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- West* 2,600 $ 126 WW Grainger 4,800 322 -------------- 169,243 -------------- INFORMATION TECHNOLOGY -- 16.0% 3Com* 12,800 56 Acxiom 2,400 59 ADC Telecommunications* 6,400 96 Adobe Systems* 30,012 1,124 Advanced Micro Devices (B)* 15,900 395 Advent Software* 2,800 101 Affiliated Computer Services, Cl A* 4,200 218 Agere Systems* 43,300 646 Agilent Technologies* 14,100 461 Akamai Technologies (B)* 12,800 640 Altera* 12,800 235 Amkor Technology (B)* 16,800 87 Amphenol, Cl A 2,200 136 Analog Devices 22,100 649 Andrew* 18,500 171 Apple Computer* 110,800 8,535 Applied Materials 43,416 770 Arrow Electronics* 53,900 1,478 Atmel* 9,200 56 Autodesk* 8,200 285 Automatic Data Processing 26,200 1,240 Avaya* 15,100 173 Avnet* 80,900 1,587 AVX 9,900 175 BEA Systems* 19,700 299 BearingPoint (B)* 12,900 101 BMC Software (B)* 8,900 242 Broadcom, Cl A (B)* 24,300 737 CA 24,600 583 Cadence Design Systems (B)* 14,800 251 CDW (B) 3,590 221 Ceridian* 2,963 66 CheckFree (B)* 3,200 132 Ciena* 3,000 82 Cisco Systems* 629,933 14,488 Citrix Systems* 28,500 1,032 Cognizant Technology Solutions, Cl A* 4,456 330 Computer Sciences (B)* 31,100 1,528 Compuware* 7,524 59 Comverse Technology* 21,100 452 Convergys* 112,700 2,327 Corning* 51,400 1,255 CSG Systems International (B)* 8,100 214 Cypress Semiconductor (B)* 12,500 222 Dell* 140,313 3,205 Diebold 5,800 252 Dolby Laboratories, Cl A* 9,200 183 DST Systems* 1,700 105 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- eBay (B)* 688,668 $ 19,531 Electronic Arts* 139,642 7,775 Electronic Data Systems (B) 56,700 1,390 EMC* 440,270 5,274 F5 Networks (B)* 2,100 113 Fair Isaac (B) 25,750 942 Fairchild Semiconductor International (B)* 3,400 64 Fidelity National Information Services 1,400 52 First Data 679,199 28,526 Fiserv* 25,950 1,222 Freescale Semiconductor, Cl B* 62,034 2,358 Global Payments 4,000 176 Google, Cl A* 83,055 33,380 Harris 6,000 267 Hewlett-Packard 596,938 21,902 Ingram Micro, Cl A* 132,300 2,535 Integrated Device Technology* 9,200 148 Intel 256,500 5,276 International Business Machines 87,897 7,202 International Rectifier* 1,900 66 Intersil, Cl A 5,500 135 Intuit (B)* 500,600 16,064 Iron Mountain* 6,300 271 Jabil Circuit (B)* 5,300 151 Juniper Networks (B)* 25,700 444 Kemet* 12,000 97 Kla-Tencor (B) 6,100 271 Lam Research (B)* 2,600 118 Lexmark International, Cl A (B)* 57,400 3,310 Linear Technology (B) 194,081 6,040 LSI Logic (B)* 106,512 876 Maxim Integrated Products 9,800 275 McAfee* 8,800 215 MEMC Electronic Materials (B)* 1,600 59 Mettler Toledo International* 2,300 152 Microchip Technology 7,300 237 Micron Technology (B)* 12,800 223 Microsoft 724,154 19,791 MKS Instruments* 3,500 71 Molex 1,400 55 MoneyGram International 3,400 99 Motorola 318,860 7,971 National Semiconductor 29,200 687 NAVTEQ (B)* 211,600 5,525 Network Appliance (B)* 12,400 459 Novell* 7,000 43 Novellus Systems (B)* 10,600 293 Nvidia* 61,700 1,826 Oracle* 175,683 3,117 Paychex (B) 541,500 19,954 Perot Systems, Cl A* 13,400 185 PMC - Sierra (B)* 17,900 106 Polycom (B)* 11,200 275 -------------------------------------------------------------------------------- 46 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- QLogic* 8,600 $ 163 Qualcomm 1,019,632 37,064 Rambus* 3,200 56 Red Hat (B)* 7,600 160 Research In Motion* 159,550 16,379 Reynolds & Reynolds, Cl A 3,400 134 Sabre Holdings, Cl A 49,600 1,160 Salesforce.com* 3,000 108 SanDisk (B)* 276,300 14,793 Sanmina-SCI* 19,200 72 Seagate Technology 625,000 14,431 Semtech (B)* 11,500 147 Silicon Laboratories* 1,600 50 Solectron* 143,300 467 Sun Microsystems (B)* 145,000 721 Sybase (B)* 2,400 58 Symantec (B)* 38,727 824 Symbol Technologies 7,600 113 Synopsys* 5,577 110 Tech Data (B)* 16,886 617 Tektronix 3,200 93 Tellabs* 71,400 783 Teradyne (B)* 18,800 247 Texas Instruments 58,700 1,952 Unisys* 12,400 70 VeriSign (B)* 14,900 301 Vishay Intertechnology (B)* 116,500 1,636 Western Digital* 37,100 671 Xerox* 164,700 2,563 Xilinx 22,000 483 Yahoo! (B)* 363,343 9,185 Zebra Technologies, Cl A* 900 32 -------------- 380,976 -------------- MATERIALS -- 3.0% Air Products & Chemicals 9,900 657 Alcan 10,900 435 Alcoa 177,300 4,971 Allegheny Technologies 5,710 355 Ashland (B) 17,700 1,129 Ball 1,400 57 Bemis 27,800 913 Carpenter Technology 900 97 Chemtura 8,700 75 Crown Holdings (B)* 6,000 112 Dow Chemical 146,256 5,701 E.I. du Pont de Nemours (B) 123,900 5,308 Eagle Materials 1,506 51 Eastman Chemical 43,400 2,344 Ecolab 11,200 480 Florida Rock Industries 1,800 70 Freeport-McMoRan Copper & Gold, Cl B 5,100 272 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Hercules* 26,700 $ 421 Huntsman* 3,200 58 International Flavors & Fragrances 6,200 245 International Paper 23,800 824 IPSCO 2,800 243 Louisiana-Pacific 35,600 668 Lubrizol 58,900 2,693 Martin Marietta Materials 1,100 93 MeadWestvaco 60,300 1,599 Methanex 58,300 1,419 Monsanto 24,876 1,169 Newmont Mining 16,200 693 Nucor 75,400 3,732 OM Group (B)* 20,900 918 Owens-Illinois* 5,500 85 Pactiv* 63,700 1,810 Phelps Dodge 5,600 474 PPG Industries 76,800 5,152 Praxair 253,440 14,994 Quanex 30,750 933 Reliance Steel & Aluminum 2,400 77 Rohm & Haas 34,600 1,638 RPM International 3,000 57 Sealed Air 10,500 568 Sigma-Aldrich 2,700 204 Smurfit-Stone Container (B)* 49,800 558 Sonoco Products 18,600 626 Steel Dynamics 30,200 1,524 Temple-Inland 2,200 88 Titanium Metals* 2,900 73 Tronox, Cl B 1,310 17 United States Steel 22,937 1,323 Valspar 52,300 1,391 Weyerhaeuser (B) 39,514 2,431 -------------- 71,825 -------------- TELECOMMUNICATION SERVICES -- 3.6% Alltel 16,100 894 American Tower, Cl A (B)* 147,634 5,389 AT&T (B) 618,419 20,136 BellSouth 306,700 13,111 CenturyTel (B) 68,000 2,698 Citizens Communications (B) 171,100 2,402 Crown Castle International (B)* 213,112 7,510 Embarq 27,689 1,339 Level 3 Communications (B)* 28,800 154 Qwest Communications International (B)* 52,061 454 SBA Communications, Cl A* 5,100 124 Sprint Nextel 283,512 4,862 Telephone & Data Systems 5,200 219 Telephone & Data Systems, Special Shares 5,200 212 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 47 SCHEDULE OF INVESTMENTS Tax-Managed Large Cap Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- US Cellular (B)* 11,000 $ 657 Verizon Communications 655,143 24,324 Windstream 16,646 220 -------------- 84,705 -------------- UTILITIES -- 3.0% AES* 9,500 194 Allegheny Energy (B)* 12,800 514 Alliant Energy 71,600 2,558 Ameren 5,600 296 American Electric Power 164,700 5,990 Aqua America 2,666 59 CenterPoint Energy (B) 38,600 553 CMS Energy (B)* 50,000 722 Consolidated Edison (B) 9,400 434 Constellation Energy Group 33,800 2,001 Dominion Resources 21,900 1,675 DTE Energy (B) 86,340 3,584 Duke Energy 167,988 5,073 Dynegy, Cl A* 13,600 75 Edison International 47,100 1,961 Energen 33,300 1,394 Energy East 2,500 59 Entergy 68,700 5,374 Equitable Resources 1,800 63 Exelon (B) 28,600 1,732 FirstEnergy 86,600 4,838 FPL Group (B) 13,800 621 Great Plains Energy 7,100 220 Idacorp 2,900 110 KeySpan 2,000 82 Nicor 4,700 201 NiSource 6,500 141 Northeast Utilities 10,800 251 OGE Energy (B) 7,500 271 Pepco Holdings 126,200 3,050 PG&E (B) 102,500 4,269 Pinnacle West Capital 80,900 3,645 PPL (B) 50,800 1,671 Progress Energy (B) 59,000 2,677 Public Service Enterprise Group 5,100 312 Puget Energy 11,900 271 Questar 4,200 344 Reliant Energy* 7,762 96 Sempra Energy 44,100 2,215 Southern (B) 27,600 951 TECO Energy (B) 97,000 1,518 TXU 54,600 3,414 Wisconsin Energy 69,000 2,977 Xcel Energy 129,800 2,680 -------------- 71,136 -------------- Total Common Stock (Cost $1,851,965) ($ Thousands) 2,340,737 -------------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Number of Warrants ----------- WARRANTS -- 0.0% Lucent Technologies, Expires 12/10/07* 9,748 $ 2 -------------- Total Warrants (Cost $--) ($ Thousands) 2 -------------- CORPORATE OBLIGATIONS (C) -- 7.2% FINANCIALS -- 7.2% Allstate Life Global Funding II MTN (E) (F) 5.370%, 10/16/06 $ 2,622 2,622 American General Finance (E) (F) 5.360%, 10/16/06 8,266 8,265 Bear Stearns EXL (E) 5.370%, 10/16/06 10,147 10,147 Countrywide Financial MTN (E) 5.448%, 12/27/06 3,420 3,420 Countrywide Financial MTN, Ser A (E) 5.548%, 11/03/06 5,986 5,986 Dekabank (E) (F) 5.490%, 10/19/06 10,546 10,545 Glitner Banki (E) (F) 5.380%, 10/10/06 8,551 8,551 Irish Life & Permanent MTN, Ser X (E) (F) 5.370%, 10/23/06 7,582 7,581 Islandsbanki (E) (F) 5.380%, 10/23/06 4,846 4,846 Jackson National Life Funding (E) (F) 5.330%, 10/02/06 12,541 12,541 Kaupthing Bank MTN (E) (F) 5.390%, 10/20/06 14,251 14,251 Lakeside Funding (E) 5.330%, 10/10/06 3,408 3,408 Landsbanki Islands (E) (F) 5.410%, 10/16/06 10,831 10,831 Morgan Stanley EXL (E) 5.390%, 10/04/06 1,995 1,995 Morgan Stanley EXL, Ser S (E) 5.350%, 10/03/06 2,850 2,850 Natexis Banques (E) (F) 5.310%, 10/16/06 5,558 5,558 Nationwide Building Society (E) (F) 5.424%, 12/28/06 3,135 3,135 5.360%, 10/10/06 5,701 5,701 Nordbank (E) (F) 5.360%, 10/23/06 9,691 9,690 Northern Rock (E) (F) 5.370%, 10/03/06 5,872 5,872 -------------------------------------------------------------------------------- 48 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Pacific Life Global Funding (E) (F) 5.380%, 10/13/06 $ 4,275 $ 4,275 Premium Asset Trust, Ser 2004-10 (E) (F) 5.370%, 10/16/06 7,981 7,981 SLM EXL, Ser S (E) (F) 5.330%, 10/16/06 6,271 6,271 Sigma Finance MTN (F) 4.745%, 11/09/06 3,078 3,078 Skandinav Enskilda Bank (E) (F) 5.320%, 10/18/06 6,271 6,270 Stanfield Victoria MTN (F) 5.445%, 06/11/07 5,701 5,701 -------------- Total Corporate Obligations (Cost $171,371) ($ Thousands) 171,371 -------------- COMMERCIAL PAPER (C) (D) -- 2.1% Broadhollow Funding 5.502%, 10/02/06 11,401 11,398 Citius I Funding 5.313%, 10/17/06 2,850 2,843 Elysian Funding LLC 5.427%, 11/27/06 5,116 5,072 5.401%, 11/20/06 4,575 4,540 5.390%, 11/06/06 5,701 5,669 Georgetown Funding 5.349%, 10/24/06 1,468 1,463 Mica Funding LLC 5.299%, 10/12/06 5,701 5,690 Ocala Funding 5.321%, 10/20/06 2,850 2,842 5.318%, 10/10/06 6,500 6,491 Rhineland Funding Capital 5.470%, 10/12/06 2,850 2,845 5.378%, 12/12/06 1,876 1,856 -------------- Total Commercial Paper (Cost $50,709) ($ Thousands) 50,709 -------------- ASSET-BACKED SECURITIES (C) (E) (F) -- 1.2% MORTGAGE RELATED SECURITIES -- 1.2% Cheyne High Grade, Ser 2004-1A, Cl AM1 5.466%, 11/10/06 2,850 2,850 Commodore, Ser 2003-2A, Cl A1MM 5.470%, 12/12/06 2,622 2,622 Duke Funding, Ser 2004-6B, Cl A1S1 5.577%, 10/10/06 4,275 4,275 Newcastle CDO, Ser 2005-6A, Cl IM1 5.350%, 10/24/06 1,140 1,140 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)/Shares ($ Thousands) -------------------------------------------------------------------------------- Park Place Securities NIM Trust, Ser 2004-MM1, Cl AM6 5.360%, 10/25/06 $ 2,533 $ 2,533 Saturn Ventures II 5.390%, 10/10/06 4,591 4,591 TIAA Real Estate CDO, Ser 2003 1A, Cl A1MM 5.354%, 10/30/06 4,239 4,239 Whitehawk CDO Funding, Ser 2004-1A 5.340%, 10/16/06 4,920 4,920 -------------- Total Asset-Backed Securities (Cost $27,170) ($ Thousands) 27,170 -------------- CASH EQUIVALENTS -- 1.3% Merrill Lynch EBP Master 5.220%** 1,904,821 1,905 SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.330%**++ 27,964,629 27,965 -------------- Total Cash Equivalents (Cost $29,870) ($ Thousands) 29,870 -------------- MASTER NOTE (C) -- 0.6% Bank of America 5.445%, 10/02/06 14,251 14,251 -------------- Total Master Note (Cost $14,251) ($ Thousands) 14,251 -------------- CERTIFICATES OF DEPOSIT (C) -- 0.5% Barclays Bank (E) 5.440%, 06/11/07 2,850 2,850 CC USA MTN (F) 5.520%, 06/18/07 5,701 5,701 U.S. Trust of New York (E) 5.370%, 10/13/06 2,280 2,280 -------------- Total Certificates of Deposit (Cost $10,831) ($ Thousands) 10,831 -------------- U.S. TREASURY OBLIGATIONS (A) (D) -- 0.0% U.S. Treasury Bills 5.105%, 12/14/06 100 99 4.983%, 11/24/06 883 877 -------------- Total U.S. Treasury Obligations (Cost $976) ($ Thousands) 976 -------------- -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 49 SCHEDULE OF INVESTMENTS Tax-Managed Large Cap Fund (Concluded) September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS (C) (G) -- 1.4% Barclays 5.350%, dated 09/29/06, to be repurchased on 10/02/06, repurchase price $7,922,489 (collateralized by a U.S. Government Obligation, par value $7,563,359, 6.000%, 05/15/11; with total market value $8,077,390) $ 7,919 $ 7,919 Deutsche Bank 5.330%, dated 09/29,06, to be repurchased on 10/02/06, repurchase price $11,406,139 (collateralized by various U.S. Government Obligations, ranging in par value $98,619- $3,336,696, 3.750%-5.300%, 02/21/08-04/25/14; with total market value $11,629,132) 11,401 11,401 Lehman Brothers 5.330%, dated 09/29/06, to be repurchased on 10/02/06, repurchase price $14,257,673 (collateralized by various U.S. Government Obligations, ranging in par value $983,913- $1,753,485, 2.500%-5.705%, 01/30/07-05/18/16; with total market value $14,536,532) 14,251 14,251 -------------- Total Repurchase Agreements (Cost $33,571) ($ Thousands) 33,571 -------------- Total Investments -- 112.7% (Cost $2,190,714) ($ Thousands) $ 2,679,488 ============== Futures -- A summary of the open futures contracts held by the fund at September 30, 2006, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED TYPE OF NUMBER OF EXPIRATION APPRECIATION CONTRACT CONTRACTS DATE ($ THOUSANDS) -------------------------------------------------------------------------------- S&P 500 Composite Index 53 Dec-2006 $503 S&P 400 Index E-MINI 32 Dec-2006 42 ---- $545 ==== Percentages are based on Net Assets of $2,378,065 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of September 30, 2006. + Real Estate Investment Trust. ++ Pursuant to an exemptive order issued by the Securities and Exchange Commission, the Fund may invest in the SEI money market funds, provided that investments in the money market funds do not exceed 25% of the Fund's total assets. (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. (B) This security or a partial position of this security is on loan at September 30, 2006 (see Note 7). The total value of securities on loan at September 30, 2006 was $297,902 ($ Thousands). (C) This security was purchased with cash collateral held from securities on loan (see Note 7). The total value of such securities as of September 30, 2006 was $307,903 ($ Thousands). (D) The rate reported is the effective yield at time of purchase. (E) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2006. The date reported on the Schedule of Investments is the next reset date. (F) This security was sold within the terms of a private placement memorandum, exempt from registration under Section 3A-4, 4(2) or 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. (G) Tri-Party Repurchase Agreement. CDO -- Collateralized Debt Obligation Cl -- Class EXL -- Extendable Maturity LLC -- Limited Liability Company MTN -- Medium Term Note NIM -- Net Interest Margin Ser -- Series Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 50 SEI Institutional Managed Trust / Annual Report / September 30, 2006 Large Cap Value Fund September 30, 2006 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS# (UNAUDITED): [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 40.9% Financials 11.3% Energy 8.0% Consumer Discretionary 6.9% Health Care 6.4% Industrials 6.4% Consumer Staples 5.2% Telecommunication Services 4.4% Utilities 3.6% Information Technology 3.5% Materials 2.4% Short-Term Investments 0.9% Asset-Backed Securities 0.1% U.S. Treasury Obligation #Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7). -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- COMMON STOCK -- 98.5%+++ CONSUMER DISCRETIONARY -- 8.9% AnnTaylor Stores* 5,400 $ 226 Autoliv 262,700 14,477 Autonation* 20,500 428 Barnes & Noble 94,200 3,574 Black & Decker (B) 53,100 4,213 Borders Group 175,000 3,570 BorgWarner (B) 136,700 7,815 Brinker International 40,500 1,624 Cablevision Systems, Cl A 28,600 649 CBS, Cl B (B) 466,800 13,150 Circuit City Stores 10,600 266 Clear Channel Communications 7,100 205 Comcast, Cl A (B)* 463,600 17,084 DaimlerChrysler 28,100 1,404 Darden Restaurants (B) 136,300 5,789 Dillard's, Cl A (B) 168,400 5,512 DIRECTV Group* 240,400 4,731 Dollar Tree Stores* 38,600 1,195 Eastman Kodak (B) 167,400 3,750 Family Dollar Stores 35,000 1,023 Federated Department Stores 8,300 359 Foot Locker 52,100 1,316 Ford Motor (B) 943,000 7,629 Gannett (B) 108,900 6,189 Gap 191,600 3,631 General Motors (B) 206,400 6,865 Genuine Parts 34,200 1,475 Goodyear Tire & Rubber (B)* 280,400 4,066 Harrah's Entertainment 3,200 213 Hasbro (B) 434,800 9,892 IAC/InterActive* 2,000 58 Interpublic Group (B)* 103,400 1,024 J.C. Penney (B) 73,800 5,047 Johnson Controls 59,900 4,297 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Jones Apparel Group 197,500 $ 6,407 KB Home (B) 50,500 2,212 Kohl's* 27,500 1,785 Lennar, Cl A (B) 44,400 2,009 Liberty Global, Cl A* 3,600 93 Liberty Media Holding-Capital, Ser A* 19,300 1,613 Liberty Media Holding-Interactive, Cl A* 6,800 139 Limited Brands (B) 210,800 5,584 Mattel 575,100 11,329 McDonald's 614,800 24,051 McGraw-Hill 120,200 6,975 Newell Rubbermaid 50,100 1,419 News, Cl A* 385,000 7,565 NTL 14,100 359 NVR* 2,000 1,070 Office Depot* 105,400 4,184 OfficeMax 133,002 5,418 Pulte Homes 102,200 3,256 Saks (B)* 169,000 2,920 Sears Holdings* 1,400 221 Shaw Communications, Cl B 221,200 6,640 Sherwin-Williams 3,400 190 Snap-On 28,600 1,274 Stanley Works 39,397 1,964 Starwood Hotels & Resorts Worldwide 900 51 Target 39,900 2,204 Tiffany 12,500 415 Time Warner 2,684,800 48,944 Toyota Motor ADR 9,400 1,024 Tribune (B) 117,600 3,848 Univision Communications, Cl A* 42,000 1,442 VF 185,000 13,496 Viacom, Cl B* 109,000 4,053 Walt Disney (B) 293,800 9,081 Warner Music Group 22,600 586 Wendy's International 50,300 3,370 Whirlpool (B) 87,500 7,360 Wyndham Worldwide* 39,060 1,092 -------------- 338,389 -------------- CONSUMER STAPLES -- 7.1% Alberto-Culver 6,200 314 Altria Group 609,100 46,627 Anheuser-Busch 10,100 480 Archer-Daniels-Midland 297,700 11,277 BJ's Wholesale Club* 54,900 1,602 Campbell Soup 43,100 1,573 Clorox 26,300 1,657 Coca-Cola 176,600 7,890 Coca-Cola Enterprises 266,300 5,547 Colgate-Palmolive 121,300 7,533 ConAgra Foods (B) 53,400 1,307 Corn Products International 38,000 1,237 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 51 SCHEDULE OF INVESTMENTS Large Cap Value Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Costco Wholesale 44,300 $ 2,201 CVS 10,400 334 Dean Foods* 156,200 6,564 Del Monte Foods 441,300 4,612 Energizer Holdings (B)* 125,600 9,042 Estee Lauder, Cl A (B) 164,200 6,622 General Mills 113,100 6,401 HJ Heinz 21,900 918 Hormel Foods 38,100 1,371 JM Smucker 2,300 110 Kellogg 15,100 748 Kimberly-Clark 149,200 9,752 Kraft Foods, Cl A (B) 217,600 7,760 Kroger* 535,800 12,398 Loews - Carolina 52,000 2,880 McCormick 14,700 558 Molson Coors Brewing, Cl B (B) 87,000 5,994 Pepsi Bottling Group 151,600 5,382 PepsiAmericas 170,100 3,630 PepsiCo 108,100 7,055 Procter & Gamble 746,700 46,280 Reynolds American (B) 315,600 19,558 Safeway (B) 231,827 7,036 Smithfield Foods* 4,200 113 Supervalu 226,185 6,706 Tyson Foods, Cl A 250,100 3,972 UST 24,500 1,343 Walgreen 58,300 2,588 -------------- 268,972 -------------- ENERGY -- 12.7% Anadarko Petroleum 170,200 7,460 BJ Services (B) 68,600 2,067 Chesapeake Energy 4,500 130 Chevron 1,206,100 78,228 ConocoPhillips 897,993 53,458 Devon Energy 293,800 18,553 EnCana 86,800 4,053 Exxon Mobil 3,434,900 230,482 Frontier Oil 25,000 665 GlobalSantaFe (B) 45,600 2,280 Hess (B) 255,100 10,566 Holly 96,200 4,168 Marathon Oil (B) 431,800 33,205 Murphy Oil 7,400 352 Nabors Industries (B)* 44,000 1,309 National Oilwell Varco* 1,300 76 Noble Energy (B) 100,600 4,586 Occidental Petroleum 240,500 11,570 Overseas Shipholding Group 5,400 334 Pride International* 1,200 33 SEACOR Holdings* 1,700 140 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Sunoco 57,500 $ 3,576 Unit* 42,500 1,954 Valero Energy 225,900 11,627 -------------- 480,872 -------------- FINANCIALS -- 36.2% A.G. Edwards 181,400 9,665 ACE 49,100 2,687 Allied Capital 47,400 1,432 Allstate (B) 497,500 31,208 AMB Property+ 9,400 518 AMBAC Financial Group 123,700 10,236 American Capital Strategies 16,300 643 American Financial Group 29,600 1,389 American International Group 896,400 59,395 AmeriCredit* 2,000 50 Ameriprise Financial 30,700 1,440 AmerUs Group 13,800 939 AmSouth Bancorp 285,900 8,303 AON 282,400 9,565 Apartment Investment & Management, Cl A 17,400 947 Archstone-Smith Trust+ 26,100 1,421 Arthur J Gallagher 9,300 248 Assurant 128,700 6,874 Astoria Financial 263,300 8,115 AvalonBay Communities+ 23,700 2,853 BancorpSouth 11,000 305 Bank of America 2,546,050 136,392 Bank of Hawaii 14,800 713 Bank of New York 65,000 2,292 BB&T (B) 354,400 15,516 Bear Stearns 38,600 5,408 Boston Properties+ 13,800 1,426 Brandywine Realty Trust+ 3,700 120 BRE Properties, Cl A+ 33,000 1,971 Brookfield Asset Management 166,800 7,396 Camden Property Trust+ 22,900 1,741 Capital One Financial 14,400 1,133 CapitalSource+ 20,700 534 CB Richard Ellis Group, Cl A* 249,000 6,125 Chicago Mercantile Holdings 5,700 2,726 Chubb 249,900 12,985 Cincinnati Financial 18,500 889 CIT Group 239,900 11,666 Citigroup 3,168,500 157,379 City National 1,100 74 Colonial BancGroup 71,900 1,762 Colonial Properties Trust+ 1,200 57 Comerica (B) 331,200 18,852 Commerce Bancshares 28,700 1,451 Compass Bancshares 24,700 1,407 -------------------------------------------------------------------------------- 52 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Conseco* 47,200 $ 991 Countrywide Financial 227,700 7,979 Credicorp 6,600 277 Cullen/Frost Bankers 24,900 1,440 Duke Realty+ 34,800 1,300 E*Trade Financial* 22,000 526 Equity Office Properties Trust+ 179,400 7,133 Equity Residential+ 43,400 2,195 Erie Indemnity, Cl A 12,000 628 Essex Property Trust+ 9,000 1,093 Fannie Mae 315,000 17,612 Federal Realty Investment Trust+ 6,600 490 Fidelity National Financial 41,100 1,712 First American 162,700 6,889 First Horizon National 156,200 5,937 Franklin Resources 24,700 2,612 Freddie Mac 117,000 7,761 Friedman Billings Ramsey Group, Cl A+ (B) 274,800 2,207 Fulton Financial 1,650 27 Genworth Financial, Cl A 197,300 6,907 Golden West Financial 19,300 1,491 Goldman Sachs Group (B) 120,800 20,436 Hanover Insurance Group 100,000 4,463 Hartford Financial Services Group 248,800 21,583 HCC Insurance Holdings 30,800 1,013 Hospitality Properties Trust+ 2,800 132 Host Hotels & Resorts+ 70,260 1,611 Hudson City Bancorp 63,400 840 Huntington Bancshares 136,000 3,255 IndyMac Bancorp (B) 197,900 8,146 iStar Financial+ 3,100 129 Janus Capital Group (B) 173,600 3,423 Jefferies Group 66,900 1,907 Jones Lang LaSalle (B) 47,700 4,077 JPMorgan Chase 2,265,228 106,375 Keycorp 597,300 22,363 Kimco Realty+ 8,100 347 Lehman Brothers Holdings 327,200 24,167 Leucadia National 113,000 2,957 Lincoln National 299,767 18,610 Loews 667,900 25,313 M&T Bank 19,000 2,279 Mack-Cali Realty+ 5,600 290 Markel* 200 82 Marsh & McLennan 60,500 1,703 Marshall & Ilsley 1,900 92 MBIA (B) 112,900 6,937 Mellon Financial 28,000 1,095 Mercantile Bankshares 25,400 921 Mercury General 2,800 139 Merrill Lynch 701,700 54,887 Metlife (B) 190,200 10,781 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- MGIC Investment (B) 79,600 $ 4,774 Morgan Stanley 492,900 35,937 National City (B) 754,400 27,611 Nationwide Financial Services, Cl A 121,200 5,830 New Century Financial+ 7,400 291 New York Community Bancorp 59,200 970 North Fork Bancorporation 149,100 4,270 Northern Trust 10,000 584 NYSE Group* 2,100 157 Old Republic International 247,137 5,474 Pan Pacific Retail Properties+ 1,400 97 Philadelphia Consolidated Holding* 3,300 131 PMI Group 193,900 8,495 PNC Financial Services Group 210,500 15,249 Popular 111,000 2,158 Principal Financial Group (B) 118,300 6,421 Progressive 33,200 815 Prologis+ 18,400 1,050 Protective Life 5,700 261 Prudential Financial (B) 95,100 7,251 Public Storage+ 1,400 120 Radian Group 180,900 10,854 Raymond James Financial 64,450 1,885 Rayonier+ 20,700 782 Realogy* 48,825 1,107 Reckson Associates Realty+ 43,000 1,840 Regions Financial (B) 418,914 15,412 Reinsurance Group of America 18,100 940 Safeco (B) 237,600 14,002 Sovereign Bancorp (B) 57,015 1,226 St. Paul Travelers 595,100 27,904 Stancorp Financial Group 39,600 1,767 State Street 14,200 886 SunTrust Banks 311,100 24,042 Synovus Financial 3,300 97 Taubman Centers+ 3,100 138 TCF Financial 4,800 126 TD Banknorth 10,300 297 Torchmark 15,200 959 Transatlantic Holdings 900 54 Trizec Properties+ 47,100 1,362 UnionBanCal 123,600 7,527 UnumProvident (B) 220,400 4,274 US Bancorp 1,305,800 43,379 Valley National Bancorp 63,180 1,616 Ventas+ 3,200 123 Vornado Realty Trust+ 10,100 1,101 Wachovia (B) 766,412 42,766 Washington Federal 17,600 395 Washington Mutual 696,900 30,294 Wells Fargo 712,000 25,760 Whitney Holding 29,600 1,059 Wilmington Trust 33,800 1,506 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 53 SCHEDULE OF INVESTMENTS Large Cap Value Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- WR Berkley 54,350 $ 1,923 XL Capital, Cl A 28,700 1,972 Zions Bancorporation 28,300 2,259 -------------- 1,375,388 -------------- HEALTH CARE -- 7.8% Abbott Laboratories 7,800 379 Aetna 116,700 4,616 Alcon 16,700 1,912 AmerisourceBergen 260,800 11,788 Applera - Applied Biosystems Group 24,400 808 Becton Dickinson (B) 40,300 2,848 Bristol-Myers Squibb 23,600 588 Cardinal Health 73,200 4,812 Caremark Rx 166,700 9,447 Cigna 33,200 3,862 Dade Behring Holdings 126,400 5,076 Eli Lilly 71,900 4,098 Fisher Scientific International* 3,800 297 Genentech* 29,000 2,398 Gilead Sciences* 41,700 2,865 HCA (B) 89,700 4,475 Health Net* 6,900 300 Hillenbrand Industries 14,800 843 IMS Health 9,200 245 Johnson & Johnson 95,600 6,208 King Pharmaceuticals (B)* 638,600 10,875 Laboratory of America Holdings (B)* 65,200 4,275 McKesson 35,100 1,851 Medco Health Solutions* 26,200 1,575 Medimmune (B)* 74,400 2,173 Merck 1,279,100 53,594 Omnicare 21,200 914 Pfizer 4,386,900 124,413 Tenet Healthcare (B)* 396,700 3,229 Thermo Electron* 49,700 1,955 UnitedHealth Group 74,900 3,685 Universal Health Services, Cl B 8,100 486 Watson Pharmaceuticals* 5,500 144 WellPoint* 17,300 1,333 Wyeth 323,000 16,421 -------------- 294,788 -------------- INDUSTRIALS -- 7.1% AGCO* 6,600 167 Allied Waste Industries* 37,400 421 AMR* 28,300 655 Armor Holdings* 7,300 419 Avis Budget Group 19,530 357 Boeing 29,600 2,334 Brink's 8,500 451 Carlisle 2,800 235 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Corrections of America* 13,200 $ 571 Crane 29,000 1,212 CSX 376,200 12,351 Cummins (B) 101,400 12,090 Deere 100,800 8,458 Dover 15,100 716 Dun & Bradstreet* 63,600 4,769 Eaton 156,700 10,789 Emerson Electric 41,600 3,489 Equifax 2,800 103 Flowserve* 6,300 319 General Dynamics 29,100 2,086 General Electric 2,227,800 78,641 Honeywell International 184,400 7,542 Hubbell, Cl B 2,200 105 Ingersoll-Rand, Cl A 182,400 6,928 Kennametal 8,100 459 L-3 Communications Holdings 1,800 141 Laidlaw International 78,000 2,132 Lockheed Martin 152,400 13,116 Manpower 8,600 527 Masco (B) 345,300 9,468 Navistar International (B)* 118,500 3,060 Norfolk Southern 137,400 6,052 Northrop Grumman 395,000 26,888 Paccar 82,850 4,724 Parker Hannifin 22,400 1,741 Raytheon 285,500 13,707 Republic Services 4,700 189 Rockwell Collins 47,000 2,577 RR Donnelley & Sons 123,800 4,080 Ryder System 125,400 6,481 Southwest Airlines 114,000 1,899 SPX 8,200 438 Swift Transportation (B)* 73,900 1,753 Terex* 33,900 1,533 Textron 46,600 4,078 UAL* 8,100 215 Union Pacific 57,500 5,060 United Rentals (B)* 101,100 2,351 United Technologies 15,800 1,001 USG* 600 28 Waste Management 40,300 1,478 WW Grainger 12,800 858 -------------- 271,242 -------------- INFORMATION TECHNOLOGY -- 4.0% Affiliated Computer Services, Cl A* 4,100 213 Agere Systems (B)* 176,200 2,631 Apple Computer* 38,200 2,943 Arrow Electronics (B)* 94,400 2,589 Avaya* 9,100 104 Avnet* 124,600 2,445 -------------------------------------------------------------------------------- 54 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Broadcom, Cl A (B)* 53,100 $ 1,611 Cadence Design Systems* 10,000 170 Ceridian* 10,400 233 Cisco Systems* 161,400 3,712 Computer Sciences (B)* 152,000 7,466 Convergys* 320,800 6,625 Electronic Arts* 39,400 2,194 Electronic Data Systems 262,000 6,424 Fair Isaac 96,600 3,533 Fidelity National Information Services 7,100 263 Fiserv* 94,100 4,431 Freescale Semiconductor, Cl B* 52,100 1,980 Google, Cl A* 6,000 2,411 Hewlett-Packard 964,400 35,384 Ingram Micro, Cl A (B)* 218,500 4,186 Integrated Device Technology* 54,000 867 Intel 334,900 6,889 International Business Machines 172,200 14,110 Intersil, Cl A 14,700 361 Lexmark International, Cl A (B)* 89,100 5,138 LSI Logic (B)* 223,900 1,840 Micron Technology* 43,400 755 Microsoft 163,200 4,460 Motorola 2,700 68 NCR* 10,900 430 Novellus Systems* 5,100 141 Nvidia* 83,600 2,474 Reynolds & Reynolds, Cl A 9,800 387 Sabre Holdings, Cl A 234,900 5,494 Sanmina-SCI* 249,400 933 Solectron* 596,600 1,945 Symbol Technologies 8,700 129 Synopsys* 50,000 986 Tech Data (B)* 79,800 2,915 Tektronix 17,800 515 Tellabs* 22,300 244 Vishay Intertechnology (B)* 343,800 4,827 Western Digital* 149,200 2,701 Yahoo! (B)* 60,400 1,527 -------------- 151,684 -------------- MATERIALS -- 4.0% Air Products & Chemicals 6,500 431 Airgas 2,500 90 Albemarle 21,900 1,190 Alcan 49,500 1,974 Alcoa 410,000 11,496 Ashland (B) 50,400 3,215 Bemis 119,400 3,923 Cabot 8,000 298 Commercial Metals 17,100 348 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Cytec Industries 17,900 $ 995 Dow Chemical 403,400 15,725 E.I. du Pont de Nemours 105,100 4,502 Eastman Chemical 85,800 4,635 Freeport-McMoRan Copper & Gold, Cl B 4,800 256 Hercules* 153,100 2,414 International Flavors & Fragrances 10,800 427 International Paper 208,400 7,217 IPSCO 7,800 676 Louisiana-Pacific 150,100 2,817 Lubrizol 230,600 10,545 MeadWestvaco 184,300 4,886 Methanex 207,800 5,058 Newmont Mining 18,900 808 Nucor 245,500 12,150 Pactiv* 175,200 4,979 Phelps Dodge 32,500 2,753 PPG Industries 209,600 14,060 Reliance Steel & Aluminum 16,600 534 Rohm & Haas (B) 126,100 5,971 Scotts Miracle-Gro, Cl A 5,800 258 Sealed Air 2,800 152 Sigma-Aldrich 6,700 507 Smurfit-Stone Container (B)* 263,600 2,952 Sonoco Products (B) 98,300 3,307 Steel Dynamics 56,600 2,855 Temple-Inland 4,800 192 United States Steel 73,500 4,239 Valspar 180,600 4,804 Weyerhaeuser (B) 110,200 6,781 -------------- 150,420 -------------- TELECOMMUNICATION SERVICES -- 5.8% Alltel 13,300 738 AT&T (B) 2,169,900 70,652 BellSouth 1,169,800 50,009 CenturyTel (B) 273,200 10,838 Citizens Communications 80,300 1,127 Crown Castle International* 16,000 564 Embarq (B) 96,292 4,658 Leap Wireless International* 16,500 800 Sprint Nextel 715,050 12,263 Verizon Communications (B) 1,810,300 67,216 Windstream 14,626 193 -------------- 219,058 -------------- UTILITIES -- 4.9% AGL Resources 4,500 164 Alliant Energy 321,600 11,491 American Electric Power 336,000 12,220 Aqua America 10,500 230 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 55 SCHEDULE OF INVESTMENTS Large Cap Value Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- CMS Energy (B)* 227,600 $ 3,287 Consolidated Edison 1,100 51 Constellation Energy Group 187,400 11,094 Dominion Resources 54,900 4,199 DPL 12,500 339 DTE Energy (B) 187,500 7,783 Duke Energy (B) 298,948 9,028 Edison International 154,800 6,446 Energen 98,500 4,124 Energy East 181,900 4,315 Entergy 173,100 13,542 Exelon (B) 118,300 7,162 FirstEnergy 270,800 15,127 KeySpan 23,600 971 MDU Resources Group 82,300 1,839 Mirant* 25,200 688 National Fuel Gas 31,300 1,138 Northeast Utilities (B) 121,285 2,822 NRG Energy* 59,800 2,709 NSTAR 6,400 213 OGE Energy 22,600 816 Oneok 6,900 261 Pepco Holdings 5,500 133 PG&E (B) 267,400 11,137 Pinnacle West Capital (B) 291,900 13,150 PPL 110,300 3,629 Progress Energy (B) 242,500 11,005 Public Service Enterprise Group 48,000 2,937 Puget Energy 600 14 Questar 4,500 368 Reliant Energy* 10,100 124 SCANA (B) 121,800 4,905 Sempra Energy 21,300 1,070 Southern 14,800 510 TXU 71,400 4,464 Wisconsin Energy 87,600 3,779 Xcel Energy (B) 308,400 6,368 -------------- 185,652 -------------- Total Common Stock (Cost $2,969,786) ($ Thousands) 3,736,465 -------------- CORPORATE OBLIGATIONS (C) -- 6.6% FINANCIALS -- 6.6% Allstate Life Global Funding II MTN (E) (F) 5.370%, 10/16/06 $ 3,807 3,807 American General Finance (E) (F) 5.360%, 10/16/06 12,000 11,999 Bear Stearns EXL (E) 5.370%, 10/16/06 14,730 14,730 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Countrywide Financial MTN (E) 5.448%, 12/27/06 $ 4,965 $ 4,965 Countrywide Financial MTN, Ser A (E) 5.548%, 11/03/06 8,689 8,689 Dekabank (E) (F) 5.490%, 10/19/06 15,310 15,309 Glitner Banki (E) (F) 5.380%, 10/10/06 12,413 12,413 Irish Life & Permanent MTN, Ser X (E) (F) 5.370%, 10/23/06 11,007 11,006 Islandsbanki (E) (F) 5.380%, 10/23/06 7,034 7,034 Jackson National Life Funding (E) (F) 5.330%, 10/02/06 18,206 18,206 Kaupthing Bank MTN (E) (F) 5.390%, 10/20/06 20,689 20,689 Lakeside Funding (E) 5.330%, 10/10/06 4,947 4,947 Landsbanki Islands (E) (F) 5.410%, 10/16/06 15,724 15,724 Morgan Stanley EXL (E) 5.390%, 10/04/06 2,896 2,896 Morgan Stanley EXL, Ser S (E) 5.350%, 10/03/06 4,138 4,138 Natexis Banques (E) (F) 5.310%, 10/16/06 8,069 8,068 Nationwide Building Society (E) (F) 5.424%, 12/28/06 4,552 4,552 5.360%, 10/10/06 8,276 8,276 Nordbank (E) (F) 5.360%, 10/23/06 14,069 14,067 Northern Rock (E) (F) 5.370%, 10/03/06 8,524 8,524 Pacific Life Global Funding (E) (F) 5.380%, 10/13/06 6,207 6,207 Premium Asset Trust, Ser 2004-10 (E) (F) 5.370%, 10/16/06 11,586 11,586 SLM EXL, Ser S (E) (F) 5.330%, 10/16/06 9,103 9,103 Sigma Finance MTN (F) 4.745%, 11/09/06 4,469 4,469 Skandinav Enskilda Bank (E) (F) 5.320%, 10/18/06 9,103 9,103 Stanfield Victoria MTN (E) (F) 5.445%, 06/11/07 8,276 8,275 -------------- Total Corporate Obligations (Cost $248,782) ($ Thousands) 248,782 -------------- -------------------------------------------------------------------------------- 56 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- COMMERCIAL PAPER (C) (D) -- 1.9% Broadhollow Funding 5.502%, 10/02/06 $ 16,551 $ 16,546 Citius I Funding 5.313%, 10/17/06 4,138 4,127 Elysian Funding LLC 5.427%, 11/27/06 7,427 7,363 5.401%, 11/20/06 6,641 6,591 5.390%, 11/06/06 8,276 8,230 Georgetown Funding 5.349%, 10/24/06 2,130 2,123 Mica Funding LLC 5.299%, 10/12/06 8,276 8,261 Ocala Funding 5.321%, 10/20/06 4,138 4,126 5.318%, 10/10/06 9,437 9,422 Rhineland Funding Capital 5.470%, 10/12/06 4,138 4,130 5.378%, 12/12/06 2,724 2,695 -------------- Total Commercial Paper (Cost $73,614) ($ Thousands) 73,614 -------------- ASSET-BACKED SECURITIES (C) (E) (F) -- 1.0% MORTGAGE RELATED SECURITIES -- 1.0% Cheyne High Grade, Ser 2004-1A,Cl AM1 5.466%, 11/10/06 4,138 4,138 Commodore, Ser 2003-2A, Cl A1MM 5.470%, 12/12/06 3,807 3,807 Duke Funding, Ser 2004-6B, Cl A1S1 5.577%, 10/10/06 6,206 6,206 Newcastle CDO, Ser 2005-6A, Cl IM1 5.350%, 10/24/06 1,655 1,655 Park Place Securities NIM Trust, Ser 2004-MM1, Cl AM6 5.360%, 10/25/06 3,678 3,678 Saturn Ventures II 5.390%, 10/10/06 6,664 6,664 TIAA Real Estate CDO, Ser 2003 1A,Cl A1MM 5.354%, 10/30/06 6,154 6,154 Whitehawk CDO Funding, Ser 2004-1A 5.340%, 10/16/06 7,142 7,142 -------------- Total Asset-Backed Securities (Cost $39,444) ($ Thousands) 39,444 -------------- -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- CASH EQUIVALENT -- 1.4% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.330%**++ 53,153,296 $ 53,153 -------------- Total Cash Equivalent (Cost $53,153) ($ Thousands) 53,153 -------------- MASTER NOTE (C) -- 0.5% Bank of America 5.445%, 10/02/06 $ 20,689 20,689 -------------- Total Master Note (Cost $20,689) ($ Thousands) 20,689 -------------- CERTIFICATES OF DEPOSIT (C) -- 0.4% Barclays Bank (E) 5.440%, 06/11/07 4,138 4,138 CC USA MTN (F) 5.520%, 06/18/07 8,276 8,276 U.S. Trust of New York (E) 5.370%, 10/13/06 3,310 3,310 -------------- Total Certificates of Deposit (Cost $15,724) ($ Thousands) 15,724 -------------- U.S. TREASURY OBLIGATION (A) (D) -- 0.1% U.S. Treasury Bill 5.011%, 11/24/06 1,945 1,932 -------------- Total U.S. Treasury Obligation (Cost $1,931) ($ Thousands) 1,932 -------------- REPURCHASE AGREEMENTS (C) (G) -- 1.3% Barclays 5.350%, dated 09/29/06, to be repurchased on 10/02/06, repurchase price $11,501,261 (collateralized by a U.S. Government Obligation, par value $10,797,903, 6.000%, 05/15/11; with total market value $11,726,134) 11,496 11,496 Deutsche Bank 5.330%, dated 09/29,06, to be repurchased on 10/02/06, repurchase price $16,558,556 (collateralized by various U.S. Government Obligations, ranging in par value $143,168- 4,843,958, 3.750%-5.300%, 02/21/08-04/25/14; with total market value $16,882,280) 16,551 16,551 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 57 SCHEDULE OF INVESTMENTS Large Cap Value Fund (Concluded) September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Lehman Brothers 5.330%, dated 09/29/06, to be repurchased on 10/02/06, repurchase price $20,698,195 (collateralized by various U.S. Government Obligations, ranging in par value $1,428,369- 2,545,575, 2.500%-5.705%, 01/30/07-05/18/16; with total market value $21,103,020) $ 20,689 $ 20,689 -------------- Total Repurchase Agreements (Cost $48,736) ($ Thousands) 48,736 -------------- Total Investments -- 111.7% (Cost $3,471,859) ($ Thousands) $ 4,238,539 ============= Futures -- A summary of the open futures contracts held by the Fund at September 30, 2006, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED TYPE OF NUMBER OF EXPIRATION APPRECIATION CONTRACT CONTRACTS DATE ($ THOUSANDS) -------------------------------------------------------------------------------- S&P 500 Composite Index 120 Dec-2006 $1,177 ====== Percentages are based on Net Assets of $3,793,409 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of September 30, 2006. +++ Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. + Real Estate Investment Trust. ++ Pursuant to an exemptive order issued by the Securities and Exchange Commission, the Fund may invest in the SEI money market funds, provided that investments in the money market funds do not exceed 25% of the Fund's total assets. (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. (B) This security or a partial position of this security is on loan at September 30, 2006 (see Note 7). The total value of securities on loan at September 30, 2006 was $432,010 ($ Thousands). (C) This security was purchased with cash collateral held from securities on loan (see Note 7). The total value of such securities as of September 30, 2006 was $446,989 ($ Thousands). (D) The rate reported is the effective yield at time of purchase. (E) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2006. The date reported on the Schedule of Investments is the next reset date. (F) This security was sold within the terms of a private placement memorandum, exempt from registration under Section 3A-4, 4(2) or 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. (G) Tri-Party Repurchase Agreement. ADR -- American Depositary Receipt CDO -- Collateralized Debt Obligation Cl -- Class EXL -- Extendable Maturity LLC -- Limited Liability Company MTN -- Medium Term Note NIM -- Net Interest Margin Ser -- Series The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 58 SEI Institutional Managed Trust / Annual Report / September 30, 2006 Large Cap Growth Fund September 30, 2006 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS# (UNAUDITED): [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 24.4% Information Technology 16.5% Health Care 16.3% Financials 12.7% Consumer Discretionary 9.7% Consumer Staples 9.1% Industrials 5.3% Energy 2.5% Short-Term Investments 1.7% Materials 0.8% Telecommunication Services 0.8% Asset-Backed Securities 0.2% Utilities 0.0% U.S. Treasury Obligation #Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7). -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- COMMON STOCK -- 98.2%+++ CONSUMER DISCRETIONARY -- 14.0% Advance Auto Parts 6,673 $ 220 Amazon.com* 3,200 103 American Eagle Outfitters 46,692 2,046 AnnTaylor Stores* 39,896 1,670 Apollo Group, Cl A (B)* 500,000 24,620 Autozone* 1,469 152 Best Buy (B) 117,500 6,293 BorgWarner 2,300 131 Brinker International 108,158 4,336 Brunswick 2,670 83 Cablevision Systems, Cl A 16,846 383 Carmax* 15,300 638 CBS, Cl B 14,663 413 Chico's FAS* 40,800 878 Choice Hotels International 14,700 601 Circuit City Stores 77,700 1,951 Claire's Stores 55,200 1,610 Coach* 140,541 4,835 Coldwater Creek* 5,200 150 Comcast, Cl A (B)* 228,090 8,405 Corinthian Colleges (B)* 13,700 148 Darden Restaurants 83,121 3,530 Dick's Sporting Goods* 3,100 141 DIRECTV Group* 361,700 7,118 Discovery Holding, Cl A* 19,700 285 Dollar General 5,664 77 Dollar Tree Stores (B)* 20,589 637 Dow Jones 18,500 620 EchoStar Communications, Cl A* 5,200 170 Expedia* 23,600 370 Family Dollar Stores 63,800 1,865 Federated Department Stores 3,600 156 Foot Locker 12,700 321 Fortune Brands 176,100 13,227 GameStop, Cl A* 5,900 273 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Gymboree (B)* 14,500 $ 612 Harley-Davidson 18,031 1,131 Harman International Industries 21,100 1,761 Harrah's Entertainment (B) 146,500 9,732 Hilton Hotels 9,817 273 Home Depot 356,277 12,922 IAC/InterActive* 132,367 3,807 International Game Technology 963,400 39,981 ITT Educational Services (B)* 52,180 3,460 J.C. Penney (B) 76,634 5,241 Jarden (B)* 44,300 1,461 Johnson Controls 47,900 3,436 Kohl's (B)* 197,010 12,790 Lamar Advertising, Cl A (B)* 154,854 8,271 Las Vegas Sands* 9,400 642 Laureate Education* 2,773 133 Leggett & Platt 8,000 200 Liberty Global, Cl A* 11,182 288 Liberty Media Holding-Interactive, Cl A* 76,793 1,565 Limited Brands 37,000 980 Lowe's 863,042 24,217 Marriott International, Cl A 230,094 8,891 McDonald's 265,500 10,386 McGraw-Hill 589,273 34,196 Men's Wearhouse 16,200 603 Meredith 23,700 1,169 MGM Mirage (B)* 800,000 31,592 Michaels Stores 7,500 327 Newell Rubbermaid 12,536 355 News, Cl A* 79,084 1,554 Nike, Cl B 1,800 158 Nutri/System* 17,100 1,065 O'Reilly Automotive* 9,522 316 Office Depot* 47,400 1,882 Omnicom Group 19,764 1,850 Panera Bread, Cl A* 3,096 180 Polo Ralph Lauren 2,621 170 Pool (B) 69,100 2,660 Rent-A-Center (B)* 12,729 373 Ross Stores 71,400 1,814 Scientific Games, Cl A* 5,000 159 Sherwin-Williams 42,867 2,391 Sonic (B)* 16,600 375 Staples 1,712,095 41,655 Starbucks (B)* 594,100 20,229 Steven Madden 3,050 120 Target 405,369 22,397 Thor Industries 22,000 906 Tiffany 6,500 216 Time Warner 12,938 236 TJX 53,500 1,500 Univision Communications, Cl A* 59,100 2,029 Viacom, Cl B* 240,791 8,953 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 59 SCHEDULE OF INVESTMENTS Large Cap Growth Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Walt Disney 72,283 $ 2,234 Warner Music Group 21,300 553 Weight Watchers International (B) 525,000 23,278 Wendy's International 22,598 1,514 Williams-Sonoma 94,480 3,060 Wynn Resorts* 17,300 1,177 XM Satellite Radio Holdings,Cl A (B)* 1,307,820 16,858 Yum! Brands 111,154 5,786 -------------- 476,526 -------------- CONSUMER STAPLES -- 10.7% Alberto-Culver 6,400 324 Altria Group 146,140 11,187 Anheuser-Busch 80,252 3,813 Archer-Daniels-Midland 3,800 144 Avon Products 5,000 153 Brown-Forman, Cl B 41,042 3,146 Campbell Soup (B) 60,601 2,212 Chattem (B)* 22,600 794 Chiquita Brands International 85,100 1,139 Coca-Cola 322,417 14,406 Colgate-Palmolive 307,767 19,112 Costco Wholesale (B) 283,900 14,104 CVS 7,800 251 Energizer Holdings (B)* 22,342 1,608 Estee Lauder, Cl A (B) 168,400 6,792 General Mills 14,500 821 Hansen Natural* 35,300 1,147 Hershey (B) 135,584 7,247 HJ Heinz 33,400 1,400 Kellogg 7,881 390 Kimberly-Clark 44,402 2,902 Kroger* 7,800 180 McCormick 21,500 817 Pepsi Bottling Group 79,253 2,813 PepsiCo 924,674 60,344 Procter & Gamble 1,182,205 73,273 Reynolds American (B) 25,300 1,568 Sysco 7,395 247 UST 25,500 1,398 Wal-Mart Stores 1,363,381 67,242 Walgreen 1,225,553 54,402 Whole Foods Market 3,050 181 WM Wrigley Jr. 212,975 9,810 -------------- 365,367 -------------- ENERGY -- 5.8% Arch Coal 10,366 300 Baker Hughes 667,121 45,498 BJ Services 153,999 4,640 Cameron International* 35,552 1,717 Chesapeake Energy (B) 249,354 7,226 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Chevron 28,422 $ 1,843 Consol Energy 4,078 129 Diamond Offshore Drilling 6,408 464 El Paso 56,600 772 EOG Resources 4,013 261 Exxon Mobil 32,100 2,154 FMC Technologies* 34,200 1,837 Frontier Oil 13,500 359 Global Industries* 9,300 145 Grant Prideco* 7,053 268 Halliburton (B) 680,088 19,348 Helmerich & Payne 135,846 3,129 Holly 19,500 845 Kinder Morgan 8,827 925 Nabors Industries (B)* 46,800 1,392 Occidental Petroleum 201,900 9,713 Oceaneering International* 18,900 582 Parker Drilling* 5,200 37 Patterson-UTI Energy (B) 65,300 1,552 Peabody Energy 5,818 214 Pride International* 4,300 118 Schlumberger 843,912 52,348 SEACOR Holdings* 2,200 181 Suncor Energy 343,000 24,713 Sunoco 38,046 2,366 Superior Energy Services* 12,100 318 Tetra Technologies* 27,100 655 Tidewater (B) 37,200 1,644 Unit* 60,850 2,797 Valero Energy 186 10 Weatherford International* 138,510 5,779 XTO Energy 34,309 1,445 -------------- 197,724 -------------- FINANCIALS -- 9.6% Affiliated Managers Group* 20,470 2,049 Aflac 38,534 1,763 AMBAC Financial Group 8,100 670 American Express 606,846 34,032 American Home Mortgage Investment+ 15,700 548 American International Group 335,903 22,257 AmeriCredit (B)* 30,700 767 Ameriprise Financial 31,741 1,489 Arthur J Gallagher 17,200 459 Bank of New York 11,900 420 Bear Stearns 3,700 518 BlackRock, Cl A 15,005 2,236 Brown & Brown 73,800 2,255 Capital One Financial (B) 27,954 2,199 CapitalSource+ 48,800 1,260 CB Richard Ellis Group, Cl A* 173,174 4,260 Charles Schwab 1,101,399 19,715 Chicago Mercantile Holdings 85,177 40,736 -------------------------------------------------------------------------------- 60 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Commerce Bancorp 23,442 $ 861 Countrywide Financial 34,800 1,219 Cullen/Frost Bankers 7,500 434 Developers Diversified Realty+ 3,500 195 E*Trade Financial* 23,800 569 East West Bancorp 41,100 1,628 Eaton Vance 20,800 600 Essex Property Trust+ 3,700 449 Federal Realty Investment Trust+ 3,394 252 Federated Investors, Cl B 47,500 1,606 First Cash Financial Services* 21,500 443 First Marblehead 15,000 1,039 Forest City Enterprises, Cl A 38,904 2,113 Franklin Resources 35,212 3,724 Freddie Mac 547,810 36,336 General Growth Properties+ 1,594 76 Golden West Financial 9,100 703 Goldman Sachs Group 81,896 13,854 HCC Insurance Holdings 18,108 595 Hudson City Bancorp 181,700 2,408 IntercontinentalExchange* 12,800 961 Investment Technology Group* 14,500 649 Investors Financial Services 21,200 913 JER Investors Trust+ 7,000 120 Jones Lang LaSalle 27,800 2,376 Keycorp 11,147 417 Kilroy Realty+ 8,100 610 Legg Mason 144,716 14,596 Lehman Brothers Holdings 69,800 5,156 Mellon Financial 25,600 1,001 Merrill Lynch 255,900 20,017 MGIC Investment 4,318 259 Moody's 673,908 44,060 Morgan Stanley 73,672 5,371 Northern Trust 39,518 2,309 Nuveen Investments, Cl A 41,500 2,126 Peoples Bank 3,100 123 Philadelphia Consolidated Holding* 4,300 171 Principal Financial Group 2,900 157 Progressive 105,692 2,594 Prudential Financial 15,600 1,190 Public Storage+ 3,653 314 Radian Group 10,521 631 Ramco-Gershenson Properties+ 6,000 192 SL Green Realty+ 18,400 2,055 SLM 56,718 2,948 Spirit Finance+ 5,400 63 State Street 41,150 2,568 Synovus Financial 4,253 125 T Rowe Price Group 28,424 1,360 TCF Financial 28,200 741 TD Ameritrade Holding 21,966 414 United Dominion Realty Trust+ 8,100 245 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- US Bancorp 72,087 $ 2,395 Ventas+ 1,900 73 Wells Fargo 39,638 1,434 WR Berkley 33,284 1,178 -------------- 328,649 -------------- HEALTH CARE -- 18.2% Abbott Laboratories 282,116 13,700 Advanced Medical Optics (B)* 24,300 961 Aetna 2,254 89 Allergan (B) 392,329 44,180 AmerisourceBergen 4,200 190 Amgen* 699,107 50,007 Amylin Pharmaceuticals* 23,400 1,031 Applera - Applied Biosystems Group 49,600 1,642 Barr Pharmaceuticals* 64,381 3,344 Baxter International 166,229 7,557 Becton Dickinson 98,525 6,963 Biogen Idec* 73,590 3,288 Boston Scientific* 218,281 3,228 Bristol-Myers Squibb 5,400 135 C.R. Bard 4,200 315 Cardinal Health 64,988 4,272 Caremark Rx 541,074 30,663 Celgene* 160,860 6,965 Cephalon* 40,700 2,513 Cerner (B)* 46,350 2,104 Cigna 8,707 1,013 Community Health Systems* 3,362 126 Covance* 12,656 840 Coventry Health Care* 38,089 1,962 Cytyc (B)* 23,300 570 Dade Behring Holdings 4,136 166 DaVita* 11,051 640 Dentsply International 18,900 569 Edwards Lifesciences* 2,800 130 Eli Lilly (B) 425,420 24,249 Emdeon* 324,500 3,800 Endo Pharmaceuticals Holdings* 11,877 387 Express Scripts* 94,740 7,152 Fisher Scientific International (B)* 156,030 12,208 Forest Laboratories* 30,429 1,540 Genentech* 837,738 69,281 Gilead Sciences* 41,084 2,822 HCA 1,632 81 Health Net* 85,036 3,701 Henry Schein* 18,166 911 Hillenbrand Industries 13,500 769 Hospira* 25,415 973 Humana* 25,172 1,664 Idexx Laboratories* 27,894 2,542 ImClone Systems (B)* 48,600 1,376 IMS Health 20,900 557 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 61 SCHEDULE OF INVESTMENTS Large Cap Growth Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Intuitive Surgical* 2,300 $ 243 Johnson & Johnson 466,322 30,283 Kinetic Concepts* 4,800 151 Laboratory of America Holdings (B)* 74,304 4,872 LifePoint Hospitals (B)* 2,900 102 Lincare Holdings* 81,090 2,809 Manor Care 33,753 1,765 McKesson 48,512 2,558 Medco Health Solutions* 224,741 13,509 Medimmune (B)* 460,997 13,466 Medtronic 582,790 27,065 Merck 237,221 9,940 Millennium Pharmaceuticals (B)* 160,300 1,595 Millipore* 13,577 832 Mylan Laboratories 61,396 1,236 Pediatrix Medical Group* 4,400 201 Pharmaceutical Product Development 52,004 1,856 Quest Diagnostics (B) 37,683 2,305 Resmed* 38,090 1,533 Schering-Plough 39,391 870 Sierra Health Services (B)* 49,608 1,877 St. Jude Medical (B)* 469,410 16,565 Stryker (B) 541,670 26,861 Techne* 8,469 431 Thermo Electron* 41,000 1,613 UnitedHealth Group 1,107,920 54,510 Universal Health Services, Cl B 4,500 270 Varian Medical Systems* 26,709 1,426 VCA Antech (B)* 62,628 2,258 Vertex Pharmaceuticals* 4,300 145 Waters* 66,949 3,031 WellCare Health Plans* 24,200 1,370 WellPoint* 67,233 5,180 Wyeth 414,028 21,049 Zimmer Holdings (B)* 676,420 45,658 -------------- 622,611 -------------- INDUSTRIALS -- 10.0% 3M 130,322 9,699 Acuity Brands 4,600 209 Alliant Techsystems (B)* 10,786 874 Allied Waste Industries* 11,200 126 AMR* 73,247 1,695 Applied Industrial Technologies 2,250 55 Aramark, Cl B 45,504 1,495 Avery Dennison 2,000 120 Avis Budget Group 1,224 22 Boeing 78,616 6,199 Brink's 27,900 1,480 Burlington Northern Santa Fe 96,900 7,116 Carlisle 21,300 1,791 Caterpillar 280,272 18,442 Ceradyne (B)* 14,000 575 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- CH Robinson Worldwide 94,066 $ 4,193 ChoicePoint* 19,300 691 Con-way 66,809 2,994 Continental Airlines, Cl B* 37,500 1,062 Copart* 6,500 183 Corporate Executive Board 32,675 2,938 Corrections of America* 23,750 1,027 Covanta Holding* 20,400 439 CSX 44,700 1,468 Cummins (B) 46,500 5,544 Danaher 6,400 440 Donaldson 13,600 502 Dover 67,600 3,207 Dun & Bradstreet* 4,300 322 Emerson Electric 168,854 14,160 Equifax 7,152 263 Expeditors International Washington (B) 879,400 39,204 Fastenal 55,500 2,141 FedEx 65,020 7,066 Fluor 3,400 261 Gardner Denver* 61,900 2,048 General Electric 1,468,344 51,833 Goodrich 12,400 502 Graco 14,600 570 Harsco 12,900 1,002 Herman Miller 67,571 2,312 HNI 13,495 561 Honeywell International 49,100 2,008 Hubbell, Cl B 10,600 508 Illinois Tool Works 38,408 1,725 Ingersoll-Rand, Cl A 72,679 2,760 ITT Industries 2,456 126 Jacobs Engineering Group* 15,070 1,126 JB Hunt Transport Services 15,600 324 John H. Harland (B) 4,200 153 Joy Global 6,707 252 Kirby* 5,000 157 L-3 Communications Holdings 22,100 1,731 Landstar System 13,400 572 Lincoln Electric Holdings 10,900 594 Lockheed Martin 107,415 9,244 Manitowoc 21,600 968 Manpower 33,200 2,034 Monster Worldwide* 3,900 141 MSC Industrial Direct, Cl A 20,800 847 Norfolk Southern 59,800 2,634 Northrop Grumman 47,548 3,237 Oshkosh Truck 33,500 1,691 Paccar 88,950 5,072 Parker Hannifin 48,000 3,731 Pitney Bowes (B) 18,049 801 Precision Castparts 18,421 1,164 Raytheon 51,100 2,453 -------------------------------------------------------------------------------- 62 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Republic Services 14,100 $ 567 Robert Half International 76,900 2,612 Rockwell Automation 43,500 2,527 Rockwell Collins 12,147 666 Roper Industries 2,750 123 Southwest Airlines 304,700 5,076 Stericycle* 20,795 1,451 Swift Transportation (B)* 24,400 579 Terex* 13,400 606 Textron 17,600 1,540 Thomas & Betts* 91,772 4,378 Toro 14,300 603 Trinity Industries (B) 65,100 2,094 Union Pacific 31,200 2,746 United Parcel Service, Cl B 708,475 50,968 United Technologies 264,100 16,731 US Airways Group* 5,500 244 Walter Industries 1,400 60 Waste Management 101,800 3,734 WESCO International* 12,800 743 WW Grainger 3,400 228 -------------- 341,160 -------------- INFORMATION TECHNOLOGY -- 26.9% Acxiom 29,400 725 Adobe Systems* 55,426 2,076 Affiliated Computer Services, Cl A* 4,800 249 Agere Systems* 60,596 905 Agilent Technologies (B)* 212,605 6,950 Akamai Technologies* 65,004 3,250 Alliance Data Systems* 32,700 1,805 Amphenol, Cl A 17,461 1,081 Analog Devices (B) 86,400 2,539 Apple Computer* 257,639 19,846 Applied Materials 422,305 7,487 Ariba* 15,900 119 ATMI* 25,000 727 Autodesk* 3,493 121 Automatic Data Processing 54,750 2,592 Avaya* 19,600 224 Avocent* 26,400 795 BEA Systems* 63,500 965 BMC Software (B)* 80,832 2,200 Broadcom, Cl A* 14,070 427 Cadence Design Systems (B)* 255,455 4,332 CDW (B) 18,572 1,146 Ceridian* 57,408 1,284 Cisco Systems* 1,687,456 38,811 Citrix Systems* 48,167 1,744 Cognizant Technology Solutions,Cl A* 17,401 1,289 Corning* 4,825 118 Dell (B)* 608,276 13,893 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Diebold 7,000 $ 305 DST Systems (B)* 49,300 3,040 eBay (B)* 1,705,500 48,368 Electronic Arts (B)* 260,310 14,494 Electronic Data Systems 52,600 1,290 EMC* 793,473 9,506 Factset Research Systems 8,000 389 Fair Isaac 27,806 1,017 Fidelity National Information Services 15,900 588 First Data 1,593,914 66,944 Fiserv* 99,874 4,703 Freescale Semiconductor, Cl B* 3,022 115 Global Payments 71,040 3,126 Google, Cl A (B)* 205,571 82,619 Harris 51,427 2,288 Hewlett-Packard 798,700 29,304 Integrated Device Technology* 51,200 822 Intel 672,187 13,827 International Business Machines 253,039 20,734 Intersil, Cl A 16,682 410 Intuit* 1,168,500 37,497 Iron Mountain* 41,608 1,787 Itron (B)* 6,900 385 Jabil Circuit* 4,749 136 Lam Research* 45,090 2,044 Lexmark International, Cl A (B)* 44,407 2,560 Linear Technology (B) 392,660 12,220 Mastercard, Cl A (B) 7,100 499 McAfee* 48,800 1,194 MEMC Electronic Materials (B)* 138,559 5,075 Mettler Toledo International* 14,300 946 Micron Technology* 69,400 1,208 Microsoft 2,425,528 66,290 MicroStrategy, Cl A (B)* 17,120 1,743 Molex 62,600 2,440 MoneyGram International 39,800 1,157 Motorola 757,181 18,930 National Instruments 29,400 804 National Semiconductor 12,019 283 NAVTEQ (B)* 503,600 13,149 NCR* 15,700 620 Netratings* 12,100 172 Network Appliance* 32,100 1,188 Novellus Systems* 2,400 66 Nvidia* 25,118 743 Oracle* 466,565 8,277 Paychex 1,458,668 53,752 QLogic* 234,480 4,432 Qualcomm 2,715,488 98,708 Rambus* 6,200 108 RealNetworks* 7,000 74 Red Hat* 92,603 1,952 Research In Motion* 355,280 36,473 Reynolds & Reynolds, Cl A 20,200 798 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 63 SCHEDULE OF INVESTMENTS Large Cap Growth Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- SanDisk (B)* 693,124 $ 37,110 Seagate Technology 1,650,000 38,098 Silicon Laboratories* 4,500 140 Symbol Technologies 27,200 404 Synopsys* 192,136 3,789 Tektronix 40,800 1,180 Texas Instruments 334,015 11,106 Trimble Navigation* 9,300 438 VeriSign* 11,300 228 Vishay Intertechnology (B)* 216,200 3,035 Websense* 39,400 851 Western Digital* 159,556 2,888 Xerox* 10,700 166 Xilinx (B) 113,700 2,496 Yahoo! (B)* 679,580 17,180 -------------- 918,408 -------------- MATERIALS -- 1.8% Air Products & Chemicals 8,100 538 Alcoa 156,900 4,400 Allegheny Technologies 28,000 1,741 Carpenter Technology 6,500 699 Chaparral Steel* 20,900 712 E.I. du Pont de Nemours 18,700 801 Eagle Materials 89,970 3,030 Ecolab 32,000 1,370 Freeport-McMoRan Copper & Gold, Cl B 10,200 543 International Flavors & Fragrances 11,700 463 Martin Marietta Materials 1,847 156 Monsanto 14,714 692 Newmont Mining 133,400 5,703 Packaging of America 12,400 288 Pactiv* 55,200 1,569 Phelps Dodge 12,400 1,050 PPG Industries 4,300 288 Praxair 603,183 35,684 Rohm & Haas 16,600 786 Scotts Miracle-Gro, Cl A 1,840 82 Sealed Air 1,250 68 Sigma-Aldrich 5,700 431 Titanium Metals* 33,500 847 -------------- 61,941 -------------- TELECOMMUNICATION SERVICES -- 0.9% American Tower, Cl A (B)* 327,278 11,946 Crown Castle International (B)* 495,642 17,466 Leap Wireless International* 8,900 432 NeuStar, Cl A* 800 22 NII Holdings* 5,370 334 SBA Communications, Cl A* 9,100 221 ------------- 30,421 ------------- -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- UTILITIES -- 0.3% AES* 44,660 $ 911 Allegheny Energy* 32,900 1,322 DPL 4,800 130 Equitable Resources 1,817 63 Exelon 52,000 3,148 NRG Energy* 4,500 204 TXU 82,528 5,160 -------------- 10,938 -------------- Total Common Stock (Cost $2,909,551) ($ Thousands) 3,353,745 -------------- CORPORATE OBLIGATIONS (C) -- 5.8% FINANCIALS -- 5.8% Allstate Life Global Funding II MTN (E) (F) 5.370%, 10/16/06 $ 3,024 3,024 American General Finance (E) (F) 5.360%, 10/16/06 9,532 9,532 Bear Stearns EXL (E) 5.370%, 10/16/06 11,701 11,701 Countrywide Financial MTN (E) 5.448%, 12/27/06 3,944 3,944 Countrywide Financial MTN, Ser A (E) 5.548%, 11/03/06 6,903 6,903 Dekabank (E) (F) 5.490%, 10/19/06 12,162 12,161 Glitner Banki (E) (F) 5.380%, 10/10/06 9,861 9,861 Irish Life & Permanent MTN, Ser X (E) (F) 5.370%, 10/23/06 8,743 8,743 Islandsbanki (E) (F) 5.380%, 10/23/06 5,588 5,588 Jackson National Life Funding (E) (F) 5.330%, 10/02/06 14,462 14,462 Kaupthing Bank MTN (E) (F) 5.390%, 10/20/06 16,435 16,435 Lakeside Funding (E) 5.330%, 10/10/06 3,930 3,930 Landsbanki Islands (E) (F) 5.410%, 10/16/06 12,490 12,490 Morgan Stanley EXL (E) 5.390%, 10/04/06 2,301 2,301 Morgan Stanley EXL, Ser S (E) 5.350%, 10/03/06 3,287 3,287 Natexis Banques (E) (F) 5.310%, 10/16/06 6,410 6,409 Nationwide Building Society (E) (F) 5.424%, 12/28/06 3,616 3,616 5.360%, 10/10/06 6,574 6,574 -------------------------------------------------------------------------------- 64 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Nordbank (E) (F) 5.360%, 10/23/06 $ 11,176 $ 11,174 Northern Rock (E) (F) 5.370%, 10/03/06 6,771 6,771 Pacific Life Global Funding (E) (F) 5.380%, 10/13/06 4,930 4,930 Premium Asset Trust, Ser 2004-10 (E) (F) 5.370%, 10/16/06 9,203 9,203 SLM EXL, Ser S (E) (F) 5.330%, 10/16/06 7,231 7,231 Sigma Finance MTN (F) 4.745%, 11/09/06 3,550 3,550 Skandinav Enskilda Bank (E) (F) 5.320%, 10/18/06 7,231 7,231 Stanfield Victoria MTN (E) (F) 5.445%, 06/11/07 6,574 6,573 -------------- Total Corporate Obligations (Cost $197,624) ($ Thousands) 197,624 -------------- COMMERCIAL PAPER (C) (D) -- 1.7% Broadhollow Funding 5.502%, 10/02/06 13,148 13,144 Citius I Funding 5.313%, 10/17/06 3,287 3,279 Elysian Funding LLC 5.427%, 11/27/06 5,900 5,849 5.401%, 11/20/06 5,276 5,235 5.390%, 11/06/06 6,574 6,538 Georgetown Funding 5.349%, 10/24/06 1,692 1,686 Mica Funding LLC 5.299%, 10/12/06 6,574 6,562 Ocala Funding 5.321%, 10/20/06 3,287 3,277 5.318%, 10/10/06 7,496 7,485 Rhineland Funding Capital 5.470%, 10/12/06 3,287 3,281 5.378%, 12/12/06 2,164 2,141 -------------- Total Commercial Paper (Cost $58,477) ($ Thousands) 58,477 -------------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)/Shares ($ Thousands) -------------------------------------------------------------------------------- ASSET-BACKED SECURITIES (C) (E) (F) -- 0.9% MORTGAGE RELATED SECURITIES -- 0.9% Cheyne High Grade, Ser 2004-1A, Cl AM1 5.466%, 11/10/06 $ 3,287 $ 3,287 Commodore, Ser 2003-2A, Cl A1MM 5.470%, 12/12/06 3,024 3,024 Duke Funding, Ser 2004-6B, Cl A1S1 5.577%, 10/10/06 4,930 4,930 Newcastle CDO, Ser 2005-6A, Cl IM1 5.350%, 10/24/06 1,315 1,314 Park Place Securities NIM Trust, Ser 2004-MM1, Cl AM6 5.360%, 10/25/06 2,922 2,922 Saturn Ventures II 5.390%, 10/10/06 5,294 5,294 TIAA Real Estate CDO, Ser 2003 1A, Cl A1MM 5.354%, 10/30/06 4,889 4,889 Whitehawk CDO Funding, Ser 2004-1A 5.340%, 10/16/06 5,673 5,673 -------------- Total Asset-Backed Securities (Cost $31,333) ($ Thousands) 31,333 -------------- CASH EQUIVALENTS -- 1.6% Merrill Lynch EBP Master, 5.220%** 5,382,767 5,383 SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.330%**++ 50,021,630 50,022 -------------- Total Cash Equivalents (Cost $55,405) ($ Thousands) 55,405 -------------- MASTER NOTE (C) -- 0.5% Bank of America 5.445%, 10/02/06 16,435 16,435 -------------- Total Master Note (Cost $16,435) ($ Thousands) 16,435 -------------- CERTIFICATES OF DEPOSIT (C) -- 0.4% Barclays Bank (E) 5.440%, 06/11/07 3,287 3,287 CC USA MTN (F) 5.520%, 06/18/07 6,574 6,574 U.S. Trust of New York (E) 5.370%, 10/13/06 2,629 2,629 -------------- Total Certificates of Deposit (Cost $12,490) ($ Thousands) 12,490 -------------- -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 65 SCHEDULE OF INVESTMENTS Large Cap Growth Fund (Concluded) September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATION (A) (D) -- 0.0% U.S. Treasury Bill 4.990%, 11/24/06 $ 1,274 $ 1,265 ------------- Total U.S. Treasury Obligation (Cost $1,264) ($ Thousands) 1,265 ------------- REPURCHASE AGREEMENTS (C) (G) -- 1.1% Barclays 5.350%, dated 09/29/06, to be repurchased on 10/02/06, repurchase price $9,136,244 (collateralized by a U.S. Government Obligation, par value $8,722,094, 6.000%, 05/15/11; with total market value $9,314,876) 9,132 9,132 Deutsche Bank 5.330%, dated 09/29,06, to be repurchased on 10/02/06, repurchase price $13,153,602 (collateralized by various U.S. Government Obligations, ranging in par value $113,728- $3,847,890, 3.750%-5.300%, 02/21/08-04/25/14; with total market value $13,410,758) 13,148 13,148 Lehman Brothers 5.330%, dated 09/29/06, to be repurchased on 10/02/06, repurchase price $16,442,002 (collateralized by various U.S. Government Obligations, ranging in par value $1,134,652- $2,022,126, 2.500%-5.705%, 01/30/07-05/18/16; with total market value $16,763,582) 16,435 16,435 ------------- Total Repurchase Agreements (Cost $38,715) ($ Thousands) 38,715 ------------- Total Investments -- 110.2% (Cost $3,321,294) ($ Thousands) $ 3,765,489 ============== Futures -- A summary of the open futures contracts held by the Fund at September 30, 2006, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED TYPE OF NUMBER OF EXPIRATION APPRECIATION CONTRACT CONTRACTS DATE ($ THOUSANDS) -------------------------------------------------------------------------------- S&P 500 Composite Index 79 Dec-2006 $775 ==== Percentages are based on Net Assets of $3,415,529 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of September 30, 2006. +++ Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. + Real Estate Investment Trust. ++ Pursuant to an exemptive order issued by the Securities and Exchange Commission, the Fund may invest in the SEI money market funds, provided that investments in the money market funds do not exceed 25% of the Fund's total assets. (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. (B) This security or a partial position of this security is on loan at September 30, 2006 (see Note 7). The total value of securities on loan at September 30, 2006 was $343,450 ($ Thousands). (C) This security was purchased with cash collateral held from securities on loan (see Note 7). The total value of such securities as of September 30, 2006 was $355,074 ($ Thousands). (D) The rate reported is the effective yield at time of purchase. (E) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2006. The date reported on the Schedule of Investments is the next reset date. (F) This Security was sold within the terms of a private placement memorandum, exempt from registration under Section 3A-4, 4(2) or 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. (G) Tri-Party Repurchase Agreement. CDO -- Collateralized Debt Obligation Cl -- Class EXL -- Extendable Maturity LLC -- Limited Liability Company MTN -- Medium Term Note NIM -- Net Interest Margin Ser -- Series The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 66 SEI Institutional Managed Trust / Annual Report / September 30, 2006 Tax-Managed Small Cap Fund September 30, 2006 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS# (UNAUDITED): [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 31.4% Financials 14.7% Short-Term Investments 14.5% Information Technology 10.4% Consumer Discretionary 8.7% Industrials 7.9% Health Care 3.6% Energy 3.3% Materials 2.8% Utilities 1.7% Consumer Staples 0.5% Telecommunication Services 0.4% Asset-Backed Security 0.1% U.S. Treasury Obligation 0.0% Warrants #Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7). -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- COMMON STOCK -- 94.4% CONSUMER DISCRETIONARY -- 14.8% 99 Cents Only Stores* 3,500 $ 41 Aaron Rents 1,200 28 Abercrombie & Fitch, Cl A 3,265 227 Advance Auto Parts 5,500 181 Aeropostale* 1,000 29 America's Car-Mart (B)* 1,400 23 American Eagle Outfitters 1,900 83 American Greetings, Cl A (B) 19,200 444 AnnTaylor Stores (B)* 7,850 329 Applebee's International 1,900 41 Arbitron 800 30 ArvinMeritor (B) 43,400 618 Autoliv 17,900 986 Autonation* 10,115 211 Bally Technologies (B)* 19,600 345 Bandag (B) 6,900 283 Barnes & Noble 23,000 873 Beazer Homes USA (B) 6,900 269 Bebe Stores 1,700 42 Belo, Cl A 15,000 237 Big Lots (B)* 10,800 214 Blyth 2,700 66 Bob Evans Farms 800 24 Borders Group 17,600 359 BorgWarner (B) 16,600 949 Boyd Gaming 10,200 392 Bright Horizons Family Solutions (B)* 15,200 634 Brunswick 19,400 605 Build-A-Bear Workshop (B)* 1,300 30 Cabela's, Cl A (B)* 2,400 52 Callaway Golf 2,200 29 Carmax* 10,030 418 Carter's (B)* 19,600 517 Catalina Marketing 1,300 36 Cato, Cl A (B) 30,950 678 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- CBRL Group 800 $ 32 CEC Entertainment* 900 28 Champion Enterprises* 4,000 28 Charming Shoppes* 1,700 24 Cherokee 900 33 Chipotle Mexican Grill, Cl A (B)* 10,700 531 Circuit City Stores 16,000 402 Citadel Broadcasting 4,300 40 CKX (B)* 21,900 273 Claire's Stores (B) 2,600 76 Coach* 21,700 746 Coldwater Creek* 1,350 39 Columbia Sportswear* 1,300 73 Corinthian Colleges (B)* 28,100 304 Cosi* 5,500 29 CROCS (B)* 26,500 900 Crown Media Holdings, Cl A* 7,100 32 Dana 89,500 93 Dick's Sporting Goods (B)* 800 36 Dollar Tree Stores* 4,700 146 Domino's Pizza (B) 5,600 144 Dover Motorsports 19,800 107 DSW, Cl A (B)* 1,600 50 Entercom Communications 1,100 28 Ethan Allen Interiors (B) 700 24 Finish Line, Cl A 23,100 292 Fisher Communications* 600 25 Foot Locker 11,339 286 Fossil* 1,300 28 Four Seasons Hotels 6,600 421 GameStop, Cl A (B)* 4,503 208 Gaylord Entertainment* 8,700 381 Gemstar-TV Guide International* 8,500 28 Getty Images (B)* 300 15 Goodyear Tire & Rubber (B)* 36,400 528 Great Wolf Resorts* 2,400 29 GSI Commerce* 2,700 40 Guess?* 5,460 265 Guitar Center* 700 31 Gymboree* 27,815 1,173 Handleman 13,300 101 Harman International Industries (B) 12,000 1,001 Hasbro 11,372 259 Haverty Furniture 2,000 32 Hibbett Sporting Goods (B)* 26,200 686 Hooker Furniture 1,800 26 Hovnanian Enterprises, Cl A* 1,000 29 IHOP 1,900 88 Interactive Data* 900 18 ITT Educational Services* 5,210 345 Jakks Pacific* 16,800 300 Jarden (B)* 17,700 584 Jo-Ann Stores (B)* 26,000 435 Jones Apparel Group (B) 23,022 747 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 67 SCHEDULE OF INVESTMENTS Tax-Managed Small Cap Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- K-Swiss, Cl A 1,100 $ 33 KB Home (B) 600 26 Kellwood 1,000 29 Kimball International, Cl B 1,600 31 Lamar Advertising, Cl A (B)* 1,400 75 Landry's Restaurants (B) 35,982 1,085 Laureate Education* 9,100 436 Leapfrog Enterprises (B)* 26,300 209 Lee Enterprises 1,100 28 Levitt, Cl A (B) 1,000 12 Life Time Fitness* 9,000 417 Live Nation* 1,300 27 LKQ (B)* 12,375 272 Lodgenet Entertainment* 800 15 Lodgian* 2,300 31 Martha Stewart Living Omnimedia, Cl A (B)* 13,600 242 Mattel 15,800 311 Matthews International, Cl A 3,400 125 McClatchy, Cl A 1,900 80 Media General, Cl A 700 26 Meredith 1,700 84 Meritage Homes (B)* 8,100 337 Mestek Inc* 2,100 30 Modine Manufacturing 1,200 29 Morningstar* 3,800 140 NetFlix (B)* 1,100 25 New York* 2,900 38 Nutri/System (B)* 5,855 365 NVR (B)* 1,600 856 O'Reilly Automotive* 1,600 53 Orient-Express Hotels, Cl A 10,200 381 Oxford Industries 800 34 Palm Harbor Homes (B)* 1,800 27 Panera Bread, Cl A (B)* 7,400 431 Pantry (B)* 8,955 505 Payless Shoesource* 11,700 291 Penn National Gaming* 13,600 497 Petco Animal Supplies* 2,200 63 PetSmart (B) 6,600 183 PF Chang's China Bistro (B)* 11,200 389 Phillips-Van Heusen 10,320 431 Pier 1 Imports (B) 54,300 403 Polaris Industries (B) 700 29 Polo Ralph Lauren (B) 12,600 815 Pool 500 19 Pre-Paid Legal Services (B) 800 32 Priceline.com (B)* 9,635 354 ProQuest (B)* 17,400 227 Quiksilver (B)* 130,400 1,584 RadioShack (B) 30,100 581 Rare Hospitality International* 700 21 RC2* 1,000 34 RCN* 8,600 243 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Reader's Digest Association 2,200 $ 29 Regal Entertainment Group, Cl A (B) 1,300 26 Rent-A-Center* 3,700 108 Ross Stores 900 23 Ruby Tuesday 800 23 Ryland Group (B) 8,200 354 Saks (B)* 34,640 599 Salem Communications, Cl A* 2,600 29 Sauer-Danfoss 900 22 Scholastic (B)* 13,300 414 Scientific Games, Cl A* 700 22 Select Comfort (B)* 1,350 30 Service International 3,400 32 Sharper Image (B)* 2,300 24 Shuffle Master (B)* 1,000 27 Six Flags (B)* 5,200 27 Skyline 600 23 Snap-On 5,700 254 Sonic (B)* 35,815 810 Sonic Automotive 13,900 321 Sotheby's Holdings, Cl A* 11,990 387 Stage Stores 2,600 76 Standard-Pacific (B) 1,200 28 Station Casinos (B) 2,400 139 Stein Mart 2,400 36 Strayer Education 300 32 Stride Rite (B) 38,900 543 Sun-Times Media Group, Cl A (B) 4,700 31 Sunterra* 24,135 273 Talbots 15,596 425 Technical Olympic USA 6,450 63 Tempur-Pedic International (B)* 2,300 39 Texas Roadhouse, Cl A (B)* 2,400 29 Thor Industries 600 25 Tiffany 1,000 33 Toll Brothers* 1,100 31 Tractor Supply* 400 19 Triarc, Cl A (B) 6,300 105 Triarc, Cl B 1,200 18 Tuesday Morning (B) 3,400 47 Under Armour, Cl A (B)* 29,825 1,194 Unifi* 6,900 17 United Auto Group 600 14 Vail Resorts* 1,400 56 Valassis Communications (B)* 12,500 221 VF 3,700 270 Visteon (B)* 32,800 267 Volcom (B)* 13,000 293 Weight Watchers International (B) 23,500 1,042 Wet Seal, Cl A (B)* 28,900 177 Whirlpool (B) 8,500 715 Williams-Sonoma (B) 1,500 49 Winnebago Industries (B) 900 28 WMS Industries* 1,500 44 -------------------------------------------------------------------------------- 68 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- World Wrestling Entertainment 1,700 $ 28 Wynn Resorts (B)* 6,100 415 Xerium Technologies 2,600 29 XM Satellite Radio Holdings, Cl A (B)* 5,800 75 Yankee Candle 1,100 32 Zale* 1,000 28 -------------- 46,553 -------------- CONSUMER STAPLES -- 2.5% American Italian Pasta, Cl A (B) 6,300 49 BJ's Wholesale Club* 10,200 298 Boston Beer, Cl A (B)* 800 26 Casey's General Stores 900 20 Chattem* 1,400 49 Church & Dwight (B) 4,600 180 Dean Foods* 14,700 618 Delta & Pine Land 2,100 85 Diamond Foods 1,900 27 Gold Kist* 4,200 88 Hain Celestial Group* 39,090 999 Lance 1,800 40 Molson Coors Brewing, Cl B 15,900 1,095 Nash Finch (B) 11,300 266 NBTY* 1,200 35 Pathmark Stores* 23,300 232 PepsiAmericas (B) 30,100 642 Pilgrim's Pride 16,900 462 Playtex Products* 3,500 47 Prestige Brands Holdings* 4,600 51 Ralcorp Holdings* 1,100 53 Rite Aid (B)* 6,700 30 Supervalu (B) 47,100 1,397 TreeHouse Foods* 1,400 33 Tyson Foods, Cl A 2,400 38 United Natural Foods (B)* 15,165 470 Universal 6,600 241 Village Super Market 1,700 114 WD-40 900 32 Weis Markets 500 20 Wild Oats Markets* 1,800 29 -------------- 7,766 -------------- ENERGY -- 5.2% Arch Coal (B) 1,600 46 ATP Oil & Gas* 800 29 Atwood Oceanics (B)* 600 27 Berry Petroleum, Cl A 3,400 96 Bristow Group* 1,800 62 Cameron International (B)* 14,100 681 Cheniere Energy* 1,100 33 Consol Energy 7,600 241 Core Laboratories* 4,400 281 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Delek US Holdings* 1,800 $ 33 Delta Petroleum (B)* 2,000 45 Denbury Resources* 1,000 29 Dresser-Rand Group* 14,800 302 Dril-Quip (B)* 6,960 471 Energy Partners (B)* 2,400 59 EOG Resources 800 52 EXCO Resources* 36,700 455 FMC Technologies* 12,590 676 Forest Oil* 1,700 54 Foundation Coal Holdings (B) 3,800 123 General Maritime (B) 700 26 Global Industries (B)* 48,000 747 Grant Prideco (B)* 19,500 742 Grey Wolf (B)* 2,400 16 Gulf Island Fabrication 1,200 31 Gulfmark Offshore* 1,000 32 Hanover Compressor (B)* 1,700 31 Harvest Natural Resources (B)* 2,600 27 Helix Energy Solutions Group (B)* 29,700 992 Helmerich & Payne 1,300 30 Hercules Offshore* 900 28 Hess (B) 25,800 1,069 Holly (B) 6,130 266 Hornbeck Offshore Services* 700 23 Houston Exploration* 6,000 331 Hydril* 600 34 Input/Output (B)* 41,400 411 Lone Star Technologies* 500 24 Mariner Energy* 1,374 25 Maverick Tube* 1,400 91 National Oilwell Varco (B)* 2,100 123 Newfield Exploration* 7,200 277 NS Group (B)* 18,880 1,219 Occidental Petroleum 2,856 137 Oceaneering International* 1,000 31 Oil States International* 700 19 Parker Drilling* 2,500 18 Patterson-UTI Energy 13,200 314 Peabody Energy 2,400 88 PetroHawk Energy* 2,800 29 Petroleum Development* 800 32 Plains Exploration & Production* 1,600 69 Range Resources 17,700 447 RPC 2,250 41 Southwestern Energy* 16,100 481 Stone Energy* 12,100 490 Superior Energy Services* 1,100 29 Swift Energy (B)* 23,300 974 Tesoro 16,300 945 Tetra Technologies* 14,600 353 Ultra Petroleum* 900 43 Universal Compression Holdings* 500 27 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 69 SCHEDULE OF INVESTMENTS Tax-Managed Small Cap Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Veritas DGC (B)* 14,000 $ 921 W-H Energy Services* 900 37 Whiting Petroleum* 1,000 40 World Fuel Services 8,735 353 -------------- 16,308 -------------- FINANCIALS -- 18.0% 1st Source 440 13 A.G. Edwards 2,900 155 Acadia Realty Trust+ 1,200 31 Accredited Home Lenders Holding (B)* 13,600 489 Advance America Cash Advance Centers 2,000 29 Affiliated Managers Group (B)* 31,130 3,116 Agree Realty+ 1,700 56 Alexander's+* 100 31 Alexandria Real Estate Equities+ 4,900 460 Alfa 1,200 21 AllianceBernstein Holding 1,232 85 Allied Capital (B) 800 24 AMB Property+ (B) 3,900 215 AmCOMP* 45,900 446 Amcore Financial 1,600 48 American Capital Strategies (B) 700 28 American Financial Group (B) 22,200 1,042 American Financial Realty Trust+ 2,600 29 American Home Mortgage Investment+ (B) 800 28 American National Insurance 500 58 AmeriCredit* 14,200 355 AmerUs Group (B) 10,400 707 Amvescap ADR 26,700 585 Annaly Mortgage Management+ (B) 3,400 45 Anthracite Capital+ 2,300 30 Apartment Investment & Management, Cl A+ 300 16 Arrow Financial 637 16 Ashford Hospitality Trust+ 1,600 19 Aspen Insurance Holdings 18,400 475 Astoria Financial (B) 24,300 749 BancFirst 700 33 BancorpSouth (B) 23,200 644 Bank Mutual 1,700 21 Bank of Hawaii 6,300 303 BankAtlantic Bancorp, Cl A 1,900 27 Bankunited Financial, Cl A 9,020 235 Bear Stearns (B) 7,000 981 BioMed Realty Trust+ 7,200 218 Boston Private Financial Holdings 14,200 396 Brandywine Realty Trust+ 3,183 104 BRE Properties, Cl A+ 400 24 Calamos Asset Management, Cl A 3,200 94 Capital Lease Funding+ 2,500 28 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Capital One Financial 1,210 $ 95 Capital Trust, Cl A+ 500 20 CapitalSource+ (B) 22,962 593 Capitol Federal Financial (B) 300 11 Cathay General Bancorp 500 18 CB Richard Ellis Group, Cl A (B)* 23,010 566 CentraCore Properties Trust+ 2,200 70 Central Pacific Financial 7,800 285 Charter Financial (B) 1,100 44 Chemical Financial (B) 900 27 CIT Group 7,300 355 City National 12,000 805 Clifton Savings Bancorp (B) 9,700 109 Colonial BancGroup (B) 56,800 1,392 Colonial Properties Trust+ (B) 400 19 Columbia Equity Trust+ 1,600 27 Commerce Bancorp (B) 700 26 Commerce Bancshares (B) 13,792 697 Community Banks (B) 735 20 CompuCredit (B)* 3,000 91 Corporate Office Properties Trust+ 10,900 488 Cousins Properties+ 4,100 140 Crawford, Cl B 16,500 112 Crescent Real Estate Equities+ (B) 1,000 22 Cullen/Frost Bankers 4,800 278 Deerfield Triarc Capital+ 3,200 42 Delphi Financial Group, Cl A 600 24 DiamondRock Hospitality+ 1,600 27 Downey Financial 500 33 Duke Realty+ 900 34 E*Trade Financial* 78,600 1,880 East West Bancorp (B) 11,100 440 EastGroup Properties+ 400 20 Eaton Vance (B) 17,100 494 Education Realty Trust+ 2,400 35 Endurance Specialty Holdings 15,577 549 Entertainment Properties Trust+ 800 39 Equity Lifestyle Properties+ 700 32 Evercore Partners, Cl A* 11,000 317 Extra Space Storage+ (B) 3,600 62 Federal Agricultural Mortgage, Cl C (B) 17,000 450 Federal Realty Investment Trust+ 300 22 Financial Federal 1,000 27 Financial Institutions 2,200 51 First American (B) 20,800 881 First Bancorp Puerto Rico 3,100 34 First Busey (B) 900 20 First Cash Financial Services* 32,000 659 First Charter (B) 3,100 75 First Commonwealth Financial (B) 4,800 63 First Financial Bancorp 4,200 67 First Financial Bankshares (B) 1,500 57 -------------------------------------------------------------------------------- 70 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- First Horizon National 700 $ 27 First Marblehead (B) 1,300 90 First Midwest Bancorp 6,400 242 First Niagara Financial Group 53,300 777 First Potomac Realty Trust+ 800 24 FNB 8,300 138 FNB (Virginia) 400 14 Franklin Street Properties+ (B) 2,400 48 Fulton Financial 9,450 153 Getty Realty+ 4,400 129 GFI Group* 5,100 282 Glacier Bancorp 900 31 Gladstone Capital (B) 1,200 26 Glenborough Realty Trust+ 1,500 39 Glimcher Realty Trust+ (B) 4,900 121 Global Signal+ 200 10 GMH Communities Trust+ 2,500 32 Gramercy Capital+ 1,000 25 Greenhill (B) 14,200 952 Hancock Holding 500 27 Hanover Insurance Group (B) 29,900 1,334 Harleysville Group 400 14 Hersha Hospitality Trust+ 2,900 28 Highland Hospitality+ 3,100 44 Highwoods Properties+ 600 22 Home Bancshares 13,100 289 Horace Mann Educators 3,500 67 Hospitality Properties Trust+ (B) 11,100 524 Host Hotels & Resorts+ (B) 28,400 651 Housevalues (B)* 5,300 31 Hudson City Bancorp (B) 5,600 74 Huntington Bancshares 33,000 790 IndyMac Bancorp (B) 2,600 107 Inland Real Estate+ 7,000 123 Innkeepers USA Trust+ 13,600 222 International Bancshares 4,100 122 Investment Technology Group* 6,010 269 Investors Financial Services (B) 4,300 185 Irwin Financial (B) 3,600 70 Janus Capital Group 1,800 35 Jefferies Group (B) 25,700 732 JER Investors Trust+ 1,800 31 Kilroy Realty+ 400 30 Knight Capital Group, Cl A* 2,300 42 Lakeland Bancorp (B) 1,213 17 LandAmerica Financial Group (B) 13,800 908 LaSalle Hotel Properties+ 700 30 Lazard, Cl A (B) 2,500 100 Leucadia National 1,000 26 Lexington Corporate Properties Trust+ (B) 3,800 80 Luminent Mortgage Capital+ 3,800 39 Macerich+ 5,500 420 MAF Bancorp 600 25 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Maguire Properties+ 600 $ 24 Markel* 500 205 Marshall & Ilsley 2,145 103 Max Re Capital 2,000 46 MFA Mortgage Investments+ 4,000 30 MGIC Investment 5,700 342 Mid-America Apartment Communities+ 1,300 80 Mid-State Bancshares 900 25 Move* 102,200 502 Nara Bancorp 900 16 Nasdaq Stock Market (B)* 3,200 97 National Financial Partners 10,251 421 National Health Investors+ 1,300 37 National Health Realty+ 1,600 32 National Penn Bancshares (B) 3,605 71 National Retail Properties+ 1,200 26 Nationwide Financial Services, Cl A 19,500 938 Nationwide Health Properties+ 400 11 Navigators Group* 800 38 NBT Bancorp 3,100 72 New Century Financial+ (B) 13,300 523 New Plan Excel Realty Trust+ 13,700 371 Newcastle Investment+ (B) 1,400 38 NorthStar Realty Finance+ 10,300 131 Northwest Bancorp 1,100 28 Nuveen Investments, Cl A (B) 25,400 1,301 OceanFirst Financial 1,700 36 Old National Bancorp (B) 14,200 271 Old Republic International 31,875 706 One Liberty Properties+ (B) 1,500 34 optionsXpress Holdings (B)* 1,200 33 Parkway Properties+ 600 28 PartnerRe 700 47 Piper Jaffray* 16,300 988 Platinum Underwriters Holdings 17,000 524 Popular (B) 23,100 449 Portfolio Recovery Associates* 4,500 197 Post Properties+ 600 29 ProAssurance (B)* 3,700 182 PS Business Parks+ 1,400 84 Public Storage+ 984 85 R & G Financial, Cl B 4,000 30 Radian Group 17,400 1,044 RAIT Investment Trust+ 1,100 32 Ramco-Gershenson Properties+ 1,000 32 Rayonier+ 2,850 108 Realty Income+ 7,400 183 Republic Bancorp 10,600 141 S&T Bancorp 900 29 Saul Centers+ 1,300 59 Saxon Capital+ 2,500 35 Seacoast Banking of Florida 900 27 South Financial Group 400 10 Sovereign Bancorp (B) 3,345 72 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 71 SCHEDULE OF INVESTMENTS Tax-Managed Small Cap Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Sovran Self Storage+ (B) 1,100 $ 61 Spirit Finance+ 3,300 38 St. Joe (B) 600 33 Stancorp Financial Group 8,800 393 Sterling Bancshares 1,500 30 Sterling Financial, Washington Shares 15,802 512 Stewart Information Services 9,000 313 Strategic Hotels & Resorts+ (B) 46,800 930 Sun Communities+ (B) 3,900 125 Sunstone Hotel Investors+ (B) 5,300 158 SVB Financial Group (B)* 18,300 817 Tanger Factory Outlet Centers+ 900 32 TCF Financial (B) 35,300 928 TD Banknorth (B) 5,895 170 Technology Investment Capital (B) 4,500 66 Tejon Ranch* 2,100 89 Texas Regional Bancshares, Cl A 330 13 Toronto-Dominion Bank 1,494 88 Triad Guaranty* 600 31 Trizec Properties+ 7,000 202 Trustmark 700 22 Trustreet Properties+ (B) 2,400 30 U-Store-It Trust+ (B) 6,100 131 Umpqua Holdings (B) 8,300 237 UnionBanCal 14,300 871 United Bankshares (B) 13,100 488 United Community Banks 700 21 United Dominion Realty Trust+ 700 21 Universal American Financial* 15,100 243 Universal Health Realty Income Trust+ 300 11 UnumProvident (B) 39,200 760 Valley National Bancorp 4,620 118 Ventas+ 1,400 54 Virginia Financial Group (B) 750 21 Waddell & Reed Financial, Cl A 1,000 25 Washington Federal 1,800 40 Washington Mutual 2,762 120 Washington Real Estate Investment Trust+ 1,600 64 Webster Financial (B) 8,500 400 WesBanco 1,500 44 Westfield Financial (B) 800 25 Whitney Holding 1,200 43 Wilmington Trust 1,900 85 Wilshire Bancorp 700 13 Winston Hotels+ 26,500 326 Wintrust Financial 8,900 446 Zions Bancorporation 250 20 -------------- 56,632 -------------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- HEALTH CARE -- 11.3% Abaxis* 2,200 $ 51 Accelrys (B)* 41,200 259 Adolor* 1,700 24 Affymetrix (B)* 36,500 787 Albany Molecular Research* 3,100 29 Align Technology (B)* 4,700 53 Alkermes* 32,700 518 Allscripts Healthcare Solutions (B)* 1,700 38 Alpharma, Cl A (B) 23,100 540 American Medical Systems Holdings (B)* 6,000 111 Amylin Pharmaceuticals (B)* 2,400 106 Anadys Pharmaceuticals* 10,800 31 Analogic 500 26 Andrx* 1,500 37 Applera - Applied Biosystems Group 3,700 122 Applera - Celera Genomics Group (B)* 35,600 496 Apria Healthcare Group (B)* 20,700 409 Arrow International 600 19 Arthrocare* 6,035 283 Axcan Pharma (B)* 22,308 305 Barr Pharmaceuticals* 12,400 644 Beckman Coulter 500 29 Bruker BioSciences* 4,400 31 Cambrex (B) 22,600 468 Cardiome Pharma* 17,300 200 Cephalon (B)* 29,600 1,828 Cerner (B)* 400 18 Chemed 2,100 68 Coley Pharmaceutical Group* 2,500 29 Community Health Systems (B)* 15,000 560 Conmed* 1,300 27 Cooper (B) 17,500 936 Covance* 500 33 Cubist Pharmaceuticals (B)* 64,320 1,398 CV Therapeutics (B)* 70,500 785 Cytyc* 1,500 37 Dade Behring Holdings (B) 15,200 610 Dendreon (B)* 35,900 160 Depomed (B)* 44,000 180 Dionex* 500 25 Discovery Laboratories (B)* 26,400 56 Diversa (B)* 10,400 83 DJO* 15,900 660 Edwards Lifesciences (B)* 4,000 186 Emdeon* 9,900 116 Endo Pharmaceuticals Holdings* 26,100 850 Enzon Pharmaceuticals* 2,600 21 eResearch Technology (B)* 51,000 414 -------------------------------------------------------------------------------- 72 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- ev3 (B)* 2,795 $ 48 Exelixis* 2,800 24 Express Scripts (B)* 10,100 762 Fisher Scientific International (B)* 1,400 110 Flamel Technologies ADR (B)* 8,900 167 Foxhollow Technologies (B)* 1,400 48 Gen-Probe* 700 33 Geron (B)* 4,200 26 Health Net (B)* 5,300 231 HealthSpring (B)* 15,200 293 Healthways (B)* 9,075 405 Henry Schein* 300 15 Hillenbrand Industries 600 34 Hologic (B)* 20,435 889 Human Genome Sciences* 2,500 29 Humana* 300 20 ICOS (B)* 1,400 35 ICU Medical* 700 32 Idenix Pharmaceuticals (B)* 3,200 31 Idexx Laboratories* 3,700 337 Immucor (B)* 25,075 562 Integra LifeSciences Holdings* 600 22 Intermagnetics General (B)* 3,900 105 Intralase* 1,700 34 Intuitive Surgical* 500 53 Invacare 1,300 31 inVentiv Health* 9,415 302 Inverness Medical Innovations (B)* 1,000 35 Invitrogen (B)* 13,300 843 Kendle International* 8,315 266 King Pharmaceuticals* 22,600 385 Kos Pharmaceuticals* 6,300 311 KV Pharmaceutical, Cl A (B)* 1,900 45 Kyphon* 700 26 Lifecell* 3,200 103 LifePoint Hospitals* 800 28 Ligand Pharmaceuticals, Cl B (B)* 5,500 55 Lincare Holdings* 3,900 135 Magellan Health Services* 11,000 469 Manor Care (B) 4,400 230 Medarex (B)* 115,600 1,242 Medicines* 2,900 65 Merit Medical Systems* 2,500 34 Metabasis Therapuetics* 5,299 30 MGI Pharma (B)* 29,800 513 Micrus Endovascular* 40,900 530 Millennium Pharmaceuticals* 3,700 37 Millipore (B)* 400 25 Mylan Laboratories 1,100 22 Myriad Genetics (B)* 22,500 555 Nastech Pharmaceutical (B)* 48,800 745 Nektar Therapeutics (B)* 1,600 23 Neurocrine Biosciences (B)* 13,600 146 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- NPS Pharmaceuticals* 6,200 $ 24 NuVasive* 1,600 32 Nuvelo (B)* 2,300 42 Odyssey HealthCare* 1,800 26 Omnicare 4,000 172 OSI Pharmaceuticals (B)* 1,318 49 Owens & Minor 700 23 Par Pharmaceutical* 2,100 38 Parexel International (B)* 4,400 146 Patterson 900 30 PDL BioPharma (B)* 32,600 626 Pediatrix Medical Group (B)* 6,580 300 Per-Se Technologies (B)* 13,000 296 PerkinElmer 2,800 53 Perrigo 1,300 22 Pharmaceutical Product Development 12,225 436 Pharmacopeia Drug Discovery* 21,850 83 Pharmion* 1,700 37 PolyMedica 1,300 56 PRA International* 600 16 PSS World Medical* 19,165 383 Psychiatric Solutions (B)* 20,930 713 Radiation Therapy Services (B)* 13,387 391 Replidyne* 10,100 95 Resmed* 600 24 Rigel Pharmaceuticals (B)* 33,500 344 Sciele Pharma (B)* 37,300 703 Stereotaxis (B)* 1,900 20 SurModics (B)* 1,725 61 Symmetry Medical* 3,700 56 Tanox* 1,400 17 Telik (B)* 71,800 1,277 Tenet Healthcare* 5,100 42 Thermo Electron (B)* 800 31 Trimeris (B)* 12,900 114 Trizetto Group* 2,800 42 United Therapeutics* 16,500 867 Universal Health Services, Cl B (B) 15,400 923 Valeant Pharmaceuticals International 1,500 30 Varian* 700 32 Varian Medical Systems (B)* 1,000 53 VCA Antech* 800 29 Ventana Medical Systems* 6,040 247 Vertex Pharmaceuticals (B)* 1,100 37 Viasys Healthcare* 1,400 38 Viropharma* 2,300 28 Vital Signs 1,000 57 Vnus Medical Technologies* 4,400 29 Watson Pharmaceuticals* 1,100 29 Wright Medical Group* 2,900 70 Zoll Medical* 900 32 -------------- 35,593 -------------- -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 73 SCHEDULE OF INVESTMENTS Tax-Managed Small Cap Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- INDUSTRIALS -- 12.4% AAON 1,000 $ 23 ACCO Brands* 1,400 31 Actuant, Cl A (B)* 1,500 75 Adesa (B) 24,500 566 Advisory Board* 1,200 61 Airtran Holdings* 1,800 18 Alaska Air Group* 14,500 552 Albany International, Cl A (B) 17,600 560 Alliant Techsystems* 300 24 Allied Waste Industries (B)* 46,600 525 American Commercial Lines* 5,020 298 American Superconductor (B)* 2,800 26 American Woodmark (B) 800 27 Ametek 500 22 AMR (B)* 1,800 42 Angelica 1,400 24 AO Smith 10,300 406 Applied Industrial Technologies 1,050 26 Arkansas Best (B) 7,800 336 Armor Holdings* 400 23 Baldor Electric 2,100 65 Banta (B) 15,900 757 BE Aerospace (B)* 25,905 546 Beacon Roofing Supply* 1,400 28 Briggs & Stratton 8,900 245 Brink's (B) 20,800 1,104 CNH Global 13,800 320 Coinstar* 1,200 35 Compx International 7,200 112 Continental Airlines, Cl B (B)* 17,250 488 Copart* 12,100 341 Corporate Executive Board 1,000 90 Covenant Transport, Cl A* 1,500 18 Crane 100 4 Cubic (B) 13,800 270 Cummins (B) 11,600 1,383 Curtiss-Wright 1,100 33 Deluxe 18,700 320 Dollar Thrifty Automotive Group* 1,200 53 Donaldson 600 22 Dun & Bradstreet* 500 37 Dynamic Materials (B) 20,200 655 EGL* 900 33 Energy Conversion Devices (B)* 2,600 96 EnPro Industries* 800 24 ESCO Technologies* 1,800 83 Fastenal 1,200 46 Flowserve (B)* 9,200 465 Forward Air 900 30 Franklin Electric 700 37 Gardner Denver (B)* 13,725 454 GATX (B) 3,600 149 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Genlyte Group (B)* 4,125 $ 294 Global Cash Access* 29,300 442 Goodman Global* 7,500 100 Goodrich 27,700 1,122 Gorman-Rupp 800 26 Graco 500 20 Granite Construction 3,200 171 Grupo TMM ADR, Cl A* 30,100 87 Harsco 5,500 427 Heartland Express 1,800 28 Herman Miller (B) 18,800 643 HUB Group, Cl A* 13,250 302 Hubbell, Cl B 600 29 Huron Consulting Group* 3,000 118 Infrasource Services* 1,600 28 Insituform Technologies, Cl A* 1,500 36 Jacuzzi Brands* 13,700 137 JB Hunt Transport Services 17,000 353 JetBlue Airways (B)* 2,600 24 John H. Harland 200 7 Joy Global 25,901 974 Kansas City Southern (B)* 19,100 522 Kaydon 700 26 Kirby* 10,400 326 Knoll 34,600 699 Laidlaw International (B) 8,700 238 Lamson & Sessions (B)* 10,880 259 Landstar System 3,300 141 Lennox International 3,800 87 Lincoln Electric Holdings 500 27 MAIR Holdings* 5,300 30 Manitowoc 7,800 349 Manpower 700 43 McDermott International* 5,902 247 Mesa Air Group* 3,600 28 Milacron (B)* 67,360 59 Monster Worldwide (B)* 13,700 496 Moog, Cl A* 2,300 80 MSC Industrial Direct, Cl A (B) 15,800 644 MTC Technologies* 1,300 31 Mueller Industries (B) 24,300 855 Navistar International (B)* 46,400 1,198 NCI Building Systems* 4,190 244 Nordson 800 32 Old Dominion Freight Line* 1,050 32 Orbital Sciences (B)* 7,700 145 Oshkosh Truck (B) 9,800 495 Pacer International 800 22 Pall (B) 33,300 1,026 PAM Transportation Services (B)* 1,500 38 PGT (B)* 2,500 35 PHH* 1,200 33 Quanta Services (B)* 25,725 434 -------------------------------------------------------------------------------- 74 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- RBC Bearings* 11,715 $ 283 Regal-Beloit (B) 10,800 470 Republic Airways Holdings* 2,900 45 Resources Connection (B)* 1,900 51 Robbins & Myers (B) 9,600 297 Robert Half International 1,900 65 Roper Industries 5,900 264 RR Donnelley & Sons 1,500 49 Ryder System 28,600 1,478 School Specialty* 900 32 Skywest 1,000 24 SPX 8,000 427 Stericycle* 500 35 Taser International (B)* 4,000 31 Tecumseh Products, Cl A (B)* 23,200 353 Teledyne Technologies (B)* 12,800 507 TeleTech Holdings* 2,300 36 Tetra Tech* 1,300 23 Thomas & Betts (B)* 6,730 321 Timken 8,700 259 Toro 1,400 59 TurboChef Technologies (B)* 2,800 39 United Rentals (B)* 25,500 593 Universal Forest Products (B) 12,700 623 URS* 700 27 US Airways Group* 600 27 USG (B)* 6,800 320 UTI Worldwide 19,000 531 Viad 1,200 42 Wabtec (B) 40,055 1,087 Walter Industries (B) 9,700 414 Washington Group International (B)* 11,400 671 Waste Industries USA 1,800 49 Waste Services (B)* 2,900 26 Watson Wyatt Worldwide, Cl A 14,325 586 Watts Water Technologies, Cl A 1,000 32 WESCO International (B)* 8,900 516 Williams Scotsman International* 38,460 821 Woodward Governor 16,800 563 YRC Worldwide* 17,300 641 -------------- 39,014 -------------- INFORMATION TECHNOLOGY -- 20.7% 24/7 Real Media (B)* 31,300 267 3Com* 31,900 141 Activision (B)* 65,200 985 Acxiom 1,100 27 Adaptec* 5,800 26 ADC Telecommunications* 2,900 44 Adobe Systems* 966 36 Adtran (B) 2,700 64 Advent Software* 15,700 568 Aeroflex* 2,100 22 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Agere Systems* 19,300 $ 288 Akamai Technologies* 32,430 1,621 Alliance Semiconductor (B)* 29,600 99 Altera (B)* 106,100 1,950 Amdocs (B)* 37,700 1,493 AMIS Holdings* 7,400 70 Amphenol, Cl A 6,200 384 Andrew* 3,400 31 Ansys (B)* 2,100 93 aQuantive (B)* 40,700 961 Ariba* 2,900 22 Arris Group (B)* 27,800 319 Arrow Electronics* 1,000 27 Aspen Technology* 23,580 257 Atheros Communications (B)* 2,200 40 Atmel* 5,200 31 Autodesk* 1,000 35 Avanex (B)* 72,200 125 Avaya (B)* 150,300 1,719 Avnet* 12,000 235 Avocent* 1,600 48 AVX 4,600 81 Axcelis Technologies* 5,300 37 BEA Systems* 3,400 52 BearingPoint (B)* 27,200 214 Bel Fuse, Cl B 600 19 BISYS Group* 2,700 29 Black Box 6,200 241 Blackboard (B)* 12,100 321 BMC Software* 4,800 131 Brightpoint (B)* 17,550 250 Brocade Communications Systems (B)* 109,600 774 Brooks Automation (B)* 80,900 1,056 Cabot Microelectronics (B)* 3,100 89 CACI International, Cl A* 3,000 165 Cadence Design Systems (B)* 2,600 44 Ceridian* 4,500 101 CheckFree (B)* 17,800 735 Citrix Systems* 15,000 543 CNET Networks (B)* 77,500 742 Cogent (B)* 2,500 34 Cognizant Technology Solutions, Cl A (B)* 3,700 274 Coherent* 400 14 CommScope (B)* 18,605 611 Comtech Telecommunications* 1,000 33 Comverse Technology* 1,900 41 Convergys* 22,500 465 Cree (B)* 27,800 559 CSG Systems International (B)* 3,400 90 Cymer (B)* 9,700 426 Cypress Semiconductor* 3,500 62 Diebold 800 35 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 75 SCHEDULE OF INVESTMENTS Tax-Managed Small Cap Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Digimarc* 15,700 $ 122 Digital Insight* 3,000 88 Digital River (B)* 800 41 Digitas* 5,800 56 Ditech Networks* 3,800 29 DSP Group* 2,300 53 DST Systems* 800 49 Earthlink (B)* 107,100 779 Echelon (B)* 2,600 21 eFunds* 1,400 34 Electro Scientific Industries* 1,000 21 Electronics for Imaging* 20,100 460 Emcore (B)* 3,800 22 Emulex* 13,500 245 Entegris* 3,600 39 Equinix (B)* 500 30 Euronet Worldwide* 1,100 27 F5 Networks (B)* 1,000 54 Factset Research Systems 8,700 423 Fairchild Semiconductor International (B)* 27,100 507 FEI (B)* 4,800 101 Fidelity National Information Services (B) 900 33 Filenet* 700 24 Flextronics International* 83,300 1,053 Flir Systems (B)* 15,100 410 Formfactor (B)* 9,065 382 Forrester Research* 900 24 Foundry Networks (B)* 78,900 1,038 Gartner* 2,600 46 Global Payments (B) 800 35 Greenfield Online (B)* 4,400 46 Harris 800 36 Hewitt Associates, Cl A* 9,100 221 Hyperion Solutions* 1,950 67 Imation 5,800 233 InFocus (B)* 34,000 97 Informatica (B)* 47,200 641 Ingram Micro, Cl A* 1,200 23 Integrated Device Technology* 29,118 468 Interdigital Communications* 6,500 222 Internet Security Systems* 1,700 47 Intersil, Cl A (B) 29,800 732 Intervideo* 2,200 28 Intevac* 13,860 233 Iron Mountain* 800 34 Itron* 600 33 Ixia* 4,400 39 Jack Henry & Associates 14,200 309 Kanbay International* 4,800 99 Keane* 4,200 61 Kemet* 28,755 232 Keynote Systems (B)* 31,700 334 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Kopin* 8,800 $ 29 Kronos* 1,000 34 L-1 Identity Solutions (B)* 12,723 166 Lam Research (B)* 1,600 73 Lattice Semiconductor (B)* 196,900 1,343 Lawson Software (B)* 3,400 25 Lexmark International, Cl A* 9,000 519 Littelfuse* 800 28 LSI Logic* 99,100 815 Macrovision* 1,200 28 Manhattan Associates* 10,600 256 Mantech International, Cl A* 900 30 MEMC Electronic Materials* 1,700 62 Mentor Graphics (B)* 31,200 439 Methode Electronics 33,500 319 Mettler Toledo International* 400 26 Micrel* 2,700 26 Microsemi (B)* 38,500 726 MicroStrategy, Cl A* 300 31 Midway Games (B)* 3,800 33 MoneyGram International 10,015 291 MPS Group* 1,700 26 Multi-Fineline Electronix (B)* 1,600 41 National Instruments 1,300 36 NAVTEQ* 1,100 29 Ness Technologies* 2,600 35 Net 1 UEPS Technologies (B)* 1,300 30 Netgear* 1,300 27 Netlogic Microsystems (B)* 13,585 345 Newport* 1,300 21 NIC* 3,700 19 Novell* 4,200 26 Novellus Systems (B)* 21,500 595 ON Semiconductor* 4,000 24 Openwave Systems* 3,600 34 Opsware* 3,500 32 Palm (B)* 1,200 17 Parametric Technology (B)* 22,400 391 Pericom Semiconductor* 2,100 20 Perot Systems, Cl A (B)* 47,300 652 Photronics* 2,800 40 Pixelworks* 98,100 289 Plantronics 1,600 28 Plexus* 1,200 23 PMC - Sierra* 26,600 158 Polycom (B)* 128,000 3,140 PowerDsine* 24,300 231 Powerwave Technologies* 4,200 32 Presstek* 3,500 19 Progress Software* 1,200 31 QLogic* 1,800 34 Quantum (B)* 128,400 280 Quest Software* 1,300 19 Rackable Systems (B)* 25,885 708 -------------------------------------------------------------------------------- 76 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- RADWARE* 10,200 $ 138 Rambus (B)* 2,500 44 RealNetworks* 3,700 39 Red Hat (B)* 26,800 565 Redback Networks (B)* 4,900 68 Renaissance Learning 2,000 29 RF Micro Devices (B)* 171,600 1,301 Riverbed Technology* 1,100 21 Rofin-Sinar Technologies* 500 30 S1* 3,900 18 Sabre Holdings, Cl A 15,700 367 SafeNet* 1,500 27 Salesforce.com (B)* 16,300 585 Sanmina-SCI* 12,900 48 Sapient* 5,700 31 Satyam Computer Services ADR (B) 18,900 731 Scansource* 1,200 36 Seachange International (B)* 38,500 342 Seagate Technology 21,659 500 Semtech* 4,000 51 Silicon Image* 3,800 48 Silicon Laboratories* 700 22 Sirf Technology Holdings* 1,200 29 SkillSoft ADR* 36,495 233 Skyworks Solutions (B)* 227,600 1,181 Solectron* 258,200 842 Sonic Solutions* 15,000 229 Sonus Networks* 6,500 34 Startek 5,200 65 Supertex (B)* 900 35 Sybase (B)* 22,900 555 Sycamore Networks* 11,300 43 SYKES Enterprises* 11,665 237 Symbol Technologies 2,500 37 Synaptics* 1,300 32 Synopsys* 39,300 775 Syntel 2,100 48 Take-Two Interactive Software (B)* 2,600 37 Talx 1,300 32 Tech Data* 1,900 69 Technitrol 1,200 36 Tekelec (B)* 39,700 515 Tektronix 800 23 Tellabs* 48,100 527 Teradyne (B)* 54,000 711 Tessera Technologies* 900 31 THQ (B)* 34,100 995 TIBCO Software (B)* 215,700 1,937 Transaction Systems Architects* 700 24 Trident Microsystems (B)* 40,800 949 Trimble Navigation* 6,945 327 Triquint Semiconductor* 5,800 30 Ultratech (B)* 16,400 218 Unisys (B)* 95,300 539 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- United Online 29,300 $ 357 Utstarcom (B)* 43,900 389 Valueclick* 1,400 26 Varian Semiconductor Equipment Associates* 1,450 53 Veeco Instruments* 1,600 32 VeriFone Holdings (B)* 15,990 457 Verint Systems* 1,000 30 Viasat* 900 23 Vishay Intertechnology* 55,500 779 WatchGuard Technologies* 7,600 32 Wavecom ADR* 14,900 188 WebEx Communications* 8,760 342 Websense* 1,500 32 Western Digital (B)* 50,500 914 Wind River Systems (B)* 100,700 1,079 Wright Express* 9,445 227 Zoran (B)* 5,900 95 -------------- 64,979 -------------- MATERIALS -- 4.7% Airgas 17,500 633 Albemarle 2,400 130 Allegheny Technologies (B) 13,300 827 Aptargroup (B) 7,400 377 Balchem 19,400 384 Ball 16,900 684 Cabot 1,400 52 Carpenter Technology 3,270 352 Chesapeake 2,500 36 Coeur d'Alene Mines (B)* 5,200 25 Commercial Metals 9,900 201 Compass Minerals International (B) 1,100 31 Constar International (B)* 20,900 125 Crown Holdings* 41,500 772 Cytec Industries (B) 17,700 984 Deltic Timber 700 33 Eagle Materials 800 27 Eastman Chemical (B) 8,500 459 Florida Rock Industries 900 35 FMC (B) 16,400 1,051 Glatfelter 2,300 31 Greif, Cl A 600 48 H.B. Fuller 1,600 38 Headwaters (B)* 600 14 Hercules (B)* 42,500 670 International Flavors & Fragrances 500 20 Louisiana-Pacific 12,000 225 Lubrizol (B) 14,300 654 MacDermid 900 29 Martin Marietta Materials (B) 6,040 511 MeadWestvaco (B) 14,800 392 Metal Management 700 20 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 77 SCHEDULE OF INVESTMENTS Tax-Managed Small Cap Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Mosaic (B)* 6,500 $ 110 Neenah Paper 800 27 NL Industries 2,700 27 NN 2,200 26 Owens-Illinois* 18,500 285 Packaging of America 900 21 PolyOne* 37,100 309 Quanex (B) 19,125 580 Reliance Steel & Aluminum (B) 10,810 347 Rinker Group ADR 1,200 62 Rock-Tenn, Cl A (B) 31,200 618 Royal Gold (B) 900 24 Schnitzer Steel Industries, Cl A (B) 300 9 Schweitzer-Mauduit International 1,500 29 Scotts Miracle-Gro, Cl A (B) 12,400 552 Sealed Air 600 33 Sensient Technologies 2,500 49 Sigma-Aldrich (B) 2,900 219 Silgan Holdings 800 30 Smurfit-Stone Container* 2,800 31 Steel Dynamics 6,900 348 Stillwater Mining* 4,200 35 Symyx Technologies* 26,100 553 Terra Industries (B)* 11,800 91 United States Steel 6,400 369 Valhi 1,400 33 Wausau Paper 4,400 59 -------------- 14,746 -------------- TELECOMMUNICATION SERVICES -- 0.8% Alaska Communications Systems Group 2,300 31 American Tower, Cl A* 5,315 194 Broadwing (B)* 4,200 53 Cbeyond* 1,500 41 CenturyTel 19,200 762 Commonwealth Telephone Enterprises 3,100 128 Crown Castle International* 2,700 95 CT Communications 2,000 44 Fairpoint Communications 1,900 33 General Communication, Cl A* 1,800 22 IDT, Cl B* 2,100 30 Iowa Telecommunications Services 1,600 32 Level 3 Communications* 5,500 29 NII Holdings* 800 50 North Pittsburgh Systems 1,200 30 Orckit Communications (B)* 22,500 197 Price Communications* 3,800 73 SBA Communications, Cl A* 21,375 520 Windstream (B) 2,200 29 -------------- 2,393 -------------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- UTILITIES -- 4.0% AGL Resources 11,300 $ 413 Allegheny Energy (B)* 1,500 60 Allete (B) 8,000 348 Avista (B) 26,200 621 Black Hills 6,100 205 Cascade Natural Gas 4,900 128 CenterPoint Energy (B) 44,900 643 CH Energy Group 1,700 88 Cleco (B) 14,800 374 CMS Energy (B)* 48,600 702 Constellation Energy Group 7,700 456 DPL 2,300 62 Duquesne Light Holdings 2,300 45 Dynegy, Cl A* 4,200 23 El Paso Electric 2,000 45 Empire District Electric (B) 1,100 25 Energen (B) 4,800 201 EnergySouth 800 27 ITC Holdings 1,000 31 Laclede Group 1,500 48 MDU Resources Group (B) 55,075 1,230 MGE Energy 2,200 71 National Fuel Gas 2,400 87 New Jersey Resources 900 44 Nicor (B) 7,200 308 Northeast Utilities (B) 4,000 93 Northwest Natural Gas 1,300 51 NorthWestern (B) 4,600 161 NRG Energy* 9,500 430 Ormat Technologies (B) 4,900 160 Otter Tail 2,200 64 Peoples Energy (B) 600 24 Pepco Holdings 11,700 283 Pinnacle West Capital (B) 12,700 572 PNM Resources 15,200 419 PPL 18,200 599 Puget Energy 16,000 364 Reliant Energy* 8,300 102 Sempra Energy (B) 15,100 759 Southern Union (B) 29,700 784 Southwest Gas 1,000 33 TECO Energy (B) 31,100 487 UGI (B) 34,500 844 UIL Holdings 833 31 Vectren 700 19 Wisconsin Energy 4,100 177 -------------- 12,741 -------------- Total Common Stock (Cost $252,059) ($ Thousands) 296,725 -------------- -------------------------------------------------------------------------------- 78 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Number of Warrants ----------- WARRANTS -- 0.0% Washington Mutual (D)* 116,700 $ 13 -------------- Total Warrants (Cost $27) ($ Thousands) 13 -------------- COMMERCIAL PAPER (C) (E) -- 18.1% ASAP Funding 5.290%, 10/19/06 $ 5,000 4,987 ATLAS Capital Funding 5.310%, 02/12/07 4,000 4,000 Bavaria TRR 5.300%, 10/25/06 4,000 3,986 Brahms Funding 5.295%, 10/23/06 5,000 4,984 5.290%, 10/10/06 1,000 999 Citius Funding 5.280%, 10/25/06 5,000 4,982 GIRO Balanced Funding 5.290%, 10/16/06 5,000 4,989 Harwood 5.290%, 10/04/06 3,500 3,498 Mica Funding 5.290%, 10/04/06 4,500 4,498 Mint II 5.300%, 10/20/06 5,000 4,986 Shefield Receivables 5.275%, 10/03/06 5,000 4,999 Ticonderoga Funding 5.280%, 10/25/06 5,000 4,982 Von Karman 5.350%, 10/13/06 5,000 4,991 -------------- Total Commercial Paper (Cost $56,881) ($ Thousands) 56,881 -------------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)/Shares ($ Thousands) -------------------------------------------------------------------------------- CORPORATE OBLIGATIONS (C) (F) -- 8.8% FINANCIALS -- 8.8% Banco Santander (G) 5.330%, 08/22/11 $ 2,000 $ 2,000 Beta Finance MTN (G) 5.403%, 05/10/07 3,000 3,000 Cheyne Finance LLC MTN (G) 5.405%, 04/16/07 4,000 3,999 K2 LLC MTN (G) 5.340%, 04/18/07 1,000 1,000 Liberty Lighthouse US Capital MTN (G) 5.290%, 03/01/07 5,000 5,000 Links Finance LLC MTN (G) 5.415%, 05/21/07 3,000 3,000 Premier Asset Collateralization LLC 5.310%, 04/25/07 3,500 3,500 Sigma Finance MTN (G) 5.340%, 04/18/07 4,000 4,000 Wachovia Bank 5.425%, 05/22/07 2,000 2,000 -------------- Total Corporate Obligations (Cost $27,499) ($ Thousands) 27,499 -------------- ASSET-BACKED SECURITY (C) (F) (G) -- 0.6% MORTGAGE RELATED SECURITY -- 0.6% Lothian Mortgages Master Issue Trust, Ser 2006-1A, Cl A1 5.300%, 01/24/28 1,813 1,813 -------------- Total Asset-Backed Security (Cost $1,813) ($ Thousands) 1,813 -------------- CASH EQUIVALENTS -- 6.4% Barclays Global Investors Funds, Prime Money Market Fund, 5.193%** (C) 5,000 5 SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.330%**++ 17,660,724 17,661 The Reserve Funds, Primary Fund, Cl 8, 5.207%** (C) 2,533,148 2,533 -------------- Total Cash Equivalents (Cost $20,199) ($ Thousands) 20,199 -------------- U.S. TREASURY OBLIGATION (A) (E) -- 0.2% U.S. Treasury Bill 4.973%, 11/24/06 614 610 -------------- Total U.S. Treasury Obligation (Cost $610) ($ Thousands) 610 -------------- -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 79 SCHEDULE OF INVESTMENTS Tax-Managed Small Cap Fund (Concluded) September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS (C) (H) -- 14.6% Bank of America 5.350%, dated 09/29/06, to be repurchased on 10/02/06, repurchase price $9,004,013 (collateralized by a U.S. Government Obligation, par value $9,089,409, 6.000%, 09/01/36; with total market value $9,180,000) $ 9,000 $ 9,000 Deutsche Bank 5.350%, dated 09/29/06, to be repurchased on 10/02/06, repurchase price $14,006,242 (collateralized by various U.S. Government Obligations, ranging in par value $3,414,854-$16,878,901, 5.000%, 09/01/19-04/01/34; with total market value $14,280,000) 14,000 14,000 Goldman Sachs 5.380%, dated 09/29/06, to be repurchased on 10/02/06, repurchase price $7,003,138 (collateralized by various U.S. Government Obligations, ranging in par value $2,689,544-$10,000,000, 4.944%-6.500%, 01/15/28-07/15/36; with total market value $7,350,000) 7,000 7,000 Lehman Brothers 5.380%, dated 09/29/06, to be repurchased on 10/02/06, repurchase price $8,003,587 (collateralized by various U.S. Government Obligations, ranging in par value $271,353- $8,932,436, 4.500%-6.500%, 03/01/18-03/01/20; with total market value $8,161,210) 8,000 8,000 Merrill Lynch 5.350%, dated 09/29/06, to be repurchased on 10/02/06, repurchase price $8,003,567 (collateralized by a U.S. Government Obligation, par value $8,235,000, 0.000%, 05/01/16; with total market value $8,162,159) 8,000 8,000 -------------- Total Repurchase Agreements (Cost $46,000) ($ Thousands) 46,000 -------------- Total Investments -- 143.1% (Cost $405,088) ($ Thousands) $ 449,740 ============== Futures -- A summary of the open futures contracts held by the Fund at September 30, 2006, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED TYPE OF NUMBER OF EXPIRATION APPRECIATION CONTRACT CONTRACTS DATE ($ THOUSANDS) -------------------------------------------------------------------------------- Russell 2000 Index E-MINI 119 Dec-2006 $185 S&P 400 Index E-MINI 100 Dec-2006 114 ---- $299 ==== Percentages are based on Net Assets of $314,333 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of September 30, 2006. + Real Estate Investment Trust. ++ Pursuant to an exemptive order issued by the Securities and Exchange Commission, the Fund may invest in the SEI money market funds, provided that investments in the money market funds do not exceed 25% of the Fund's total assets. (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. (B) This security or a partial position of this security is on loan at September 30, 2006 (see Note 7). The total value of securities on loan at September 30, 2006 was $126,837 ($ Thousands). (C) This security was purchased with cash collateral held from securities on loan (see Note 7). The total value of such securities as of September 30, 2006 was $134,731 ($ Thousands). (D) This warrant represents a potential distribution settlement in a legal claim and does not have a strike price or expiration date. (E) The rate reported is the effective yield at time of purchase. (F) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2006. The date reported on the Schedule of Investments is the next reset date. (G) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (H) Tri-Party Repurchase Agreement. ADR -- American Depositary Receipt Cl -- Class LLC -- Limited Liability Company MTN -- Medium Term Note Ser -- Series The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 80 SEI Institutional Managed Trust / Annual Report / September 30, 2006 Small Cap Value Fund September 30, 2006 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS# (UNAUDITED): [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 38.1% Financials 12.3% Information Technology 11.8% Consumer Discretionary 10.3% Industrials 5.5% Short-Term Investments 4.8% Health Care 4.6% Materials 4.4% Energy 3.0% Utilities 2.5% Consumer Staples 1.8% Asset-Backed Securities 0.5% Telecommunication Services 0.3% Exchange Traded Funds 0.1% U.S. Treasury Obligation 0.0% Warrants #Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7). -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- COMMON STOCK -- 95.6%+++ CONSUMER DISCRETIONARY -- 14.8% 1-800 Contacts (B)* 72,000 $ 1,079 Advance Auto Parts 29,300 965 Aftermarket Technology* 130,564 2,319 America's Car-Mart (B)* 20,100 331 American Axle & Manufacturing Holdings (B) 44,850 749 American Greetings, Cl A (B) 78,671 1,819 Applebee's International (B) 187,068 4,024 Arctic Cat 76,400 1,268 ArvinMeritor (B) 365,100 5,199 Bally Technologies (B)* 173,649 3,056 Bandag (B) 11,300 464 Bare Escentuals 3,300 90 Belo, Cl A (B) 69,988 1,107 Big 5 Sporting Goods 48,100 1,097 Bob Evans Farms 4,300 130 Books-A-Million (B) 18,169 324 Brinker International 25,424 1,019 Brown Shoe 118,300 4,240 Building Material Holding (B) 38,900 1,012 Cato, Cl A 69,000 1,512 CBRL Group 53,800 2,175 Citadel Broadcasting 30,400 286 Claire's Stores 39,760 1,159 Cooper Tire & Rubber (B) 64,354 647 Core-Mark Holding* 5,500 172 Corinthian Colleges (B)* 178,100 1,925 Courier 30,148 1,120 Cox Radio, Cl A* 25,500 391 CSK Auto (B)* 171,423 2,417 Cumulus Media, Cl A (B)* 90,900 869 Dana (B) 561,300 584 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Deckers Outdoor* 3,200 $ 151 Directed Electronics (B)* 118,407 1,788 Ethan Allen Interiors (B) 107,600 3,729 Finish Line, Cl A 138,238 1,745 FTD Group* 15,500 239 Furniture Brands International (B) 212,100 4,038 Gaylord Entertainment (B)* 39,600 1,736 Genesco* 25,900 893 Group 1 Automotive 67,100 3,348 Guitar Center* 23,600 1,054 Handleman 51,600 392 Haverty Furniture 18,300 292 HOT Topic (B)* 87,121 971 Interface, Cl A* 112,281 1,446 Jack in the Box (B)* 23,300 1,216 Jackson Hewitt Tax Service 39,700 1,191 Jakks Pacific (B)* 107,600 1,919 Jarden (B)* 77,650 2,560 Jo-Ann Stores (B)* 163,600 2,735 Journal Communications, Cl A 79,500 896 Journal Register (B) 99,600 565 K2* 107,900 1,266 Kellwood (B) 135,500 3,906 Kimball International, Cl B 35,700 689 La-Z-Boy (B) 98,700 1,378 Landry's Restaurants (B) 77,403 2,334 Leapfrog Enterprises (B)* 177,900 1,411 Lodgian (B)* 12,500 166 Lone Star Steakhouse & Saloon 1,400 39 M/I Homes (B) 2,300 81 MarineMax (B)* 30,200 769 Marvel Entertainment (B)* 173,700 4,193 Media General, Cl A 20,500 773 Men's Wearhouse 24,399 908 Modine Manufacturing (B) 21,300 518 Movie Gallery (B)* 36,700 72 Orient-Express Hotels, Cl A 62,300 2,329 Outdoor Channel Holdings (B)* 84,000 915 Pacific Sunwear of California* 48,624 733 Perry Ellis International* 12,200 377 Phillips-Van Heusen 46,900 1,959 Pier 1 Imports (B) 311,000 2,308 Pinnacle Entertainment (B)* 68,700 1,932 Progressive Gaming International (B)* 102,600 841 ProQuest* 110,500 1,439 Quiksilver (B)* 225,800 2,743 RadioShack (B) 191,900 3,704 RC2* 18,447 619 Regal Entertainment Group, Cl A (B) 105,100 2,083 Regis 61,508 2,205 Rent-A-Center (B)* 114,800 3,362 Ryan's Restaurant Group* 72,200 1,146 Ryland Group (B) 19,800 856 Saks (B)* 107,200 1,852 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 81 SCHEDULE OF INVESTMENTS Small Cap Value Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Scholastic* 119,000 $ 3,707 Shuffle Master (B)* 34,600 935 Sinclair Broadcast Group, Cl A 63,200 496 Sonic Automotive 131,300 3,032 Starwood Hotels & Resorts Worldwide 150,400 8,601 Steinway Musical Instruments* 11,600 325 Sunterra* 24,889 282 Superior Industries International (B) 90,000 1,511 Talbots (B) 97,085 2,646 Tempur-Pedic International (B)* 46,800 804 Tenneco (B)* 107,500 2,514 Trans World Entertainment* 58,300 353 Tuesday Morning (B) 114,700 1,592 Tupperware Brands 42,400 825 Unifirst 58,800 1,837 United Auto Group 4,600 108 Vail Resorts (B)* 74,700 2,990 Valassis Communications (B)* 163,337 2,883 Vertrue* 8,300 326 Visteon (B)* 207,900 1,694 Warnaco Group (B)* 49,016 948 WCI Communities (B)* 68,600 1,196 Westwood One (B) 71,800 508 World Wrestling Entertainment 86,200 1,416 Xerium Technologies 26,100 289 Zale (B)* 209,000 5,798 -------------- 173,975 -------------- CONSUMER STAPLES -- 3.2% BJ's Wholesale Club* 52,600 1,535 Casey's General Stores 58,213 1,296 Chattem* 46,400 1,630 Chiquita Brands International 48,700 652 Corn Products International 66,721 2,171 Delta & Pine Land 14,600 591 Gold Kist* 106,800 2,226 Hain Celestial Group* 114,600 2,929 JM Smucker 28,369 1,360 Lancaster Colony 30,300 1,356 Longs Drug Stores 10,400 478 Molson Coors Brewing, Cl B (B) 60,900 4,196 NBTY* 73,700 2,157 Nu Skin Enterprises, Cl A 59,000 1,034 Pathmark Stores* 130,400 1,297 Performance Food Group (B)* 38,260 1,075 Pilgrim's Pride 43,200 1,182 Prestige Brands Holdings* 1,900 21 Ralcorp Holdings* 54,882 2,647 Sanderson Farms (B) 123,000 3,980 Spartan Stores 86,600 1,464 Universal (B) 26,300 961 Weis Markets (B) 24,500 975 -------------- 37,213 -------------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- ENERGY -- 5.5% Atlas America (B)* 32,099 $ 1,370 Atwood Oceanics (B)* 17,300 778 Berry Petroleum, Cl A 68,377 1,925 Bois d'Arc Energy* 4,900 75 Cabot Oil & Gas 18,400 882 Callon Petroleum* 56,300 763 CARBO Ceramics (B) 12,300 443 Cimarex Energy (B) 111,300 3,917 Comstock Resources (B)* 133,400 3,622 Dresser-Rand Group* 83,000 1,693 Energy Partners (B)* 50,600 1,247 Forest Oil* 63,650 2,011 Global Industries (B)* 191,200 2,975 Goodrich Petroleum (B)* 64,001 1,928 Hercules Offshore* 47,601 1,478 Holly (B) 8,900 386 Hornbeck Offshore Services* 36,300 1,216 Input/Output (B)* 268,600 2,667 Lone Star Technologies* 64,400 3,116 Mariner Energy* 129,020 2,370 Maverick Tube (B)* 12,700 823 Oceaneering International* 48,800 1,503 OMI (B) 63,300 1,374 Plains Exploration & Production (B)* 23,819 1,022 Rosetta Resources (B)* 100,600 1,727 RPC 121,500 2,226 SEACOR Holdings (B)* 30,600 2,525 St. Mary Land & Exploration (B) 132,600 4,868 Stone Energy* 94,900 3,842 Superior Energy Services* 39,900 1,048 Swift Energy (B)* 132,930 5,559 Tesoro 8,800 510 Universal Compression Holdings* 22,000 1,176 W-H Energy Services* 46,042 1,909 -------------- 64,974 -------------- FINANCIALS -- 27.5% Acadia Realty Trust+ 58,700 1,497 Advanta, Cl B (B) 21,800 804 Affirmative Insurance Holdings 27,900 409 AMB Property+ 37,800 2,083 Amcore Financial 44,045 1,334 American Equity Investment Life Holding (B) 87,967 1,079 American Home Mortgage Investment+ (B) 56,100 1,956 American Physicians Capital* 6,400 310 Ameris Bancorp 1,700 46 AmerUs Group 23,500 1,598 Anchor Bancorp Wisconsin (B) 26,600 760 Annaly Mortgage Management+ 192,800 2,533 Anthracite Capital+ 221,400 2,847 -------------------------------------------------------------------------------- 82 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Arbor Realty Trust+ 59,370 $ 1,518 Archstone-Smith Trust+ 134,800 7,339 Argonaut Group* 1,500 47 Ashford Hospitality Trust+ (B) 9,800 117 Aspen Insurance Holdings (B) 120,200 3,105 Assured Guaranty 96,900 2,513 AvalonBay Communities+ 32,400 3,901 BancFirst 14,200 663 BancorpSouth 103,438 2,871 Bank Mutual 152,828 1,854 BankAtlantic Bancorp, Cl A (B) 140,688 2,001 Bankunited Financial, Cl A (B) 93,400 2,435 BioMed Realty Trust+ 58,800 1,784 Boston Private Financial Holdings 89,200 2,487 Boston Properties+ 65,200 6,738 British Land (United Kingdom) (H) 20,638 526 Capital Southwest (B) 8,100 965 Capital Trust, Cl A+ 14,200 578 Capitol Bancorp 6,900 307 Cardinal Financial 95,245 1,044 Cash America International 68,700 2,685 Cathay General Bancorp (B) 62,000 2,238 Central Pacific Financial 46,300 1,694 Chemical Financial 30,400 902 Citizens Banking (B) 42,800 1,124 City Bank 2,000 94 City Holding 13,800 550 Clark 15,300 172 CNA Surety* 18,600 376 Columbia Bancorp 6,000 148 Columbia Banking System 23,100 739 Commerce Group 47,200 1,418 Community Bancorp* 5,800 177 Community Bank System 23,400 519 Community Trust Bancorp 7,290 275 Compass Diversified Trust* 16,100 246 CompuCredit (B)* 16,900 511 Corporate Office Properties Trust+ 50,300 2,251 Corus Bankshares (B) 99,200 2,218 Cousins Properties+ 32,500 1,112 Crawford, Cl B 15,200 103 Delphi Financial Group, Cl A (B) 53,700 2,142 DiamondRock Hospitality+ 44,300 736 Direct General 23,500 316 Eagle Hospitality Properties Trust+ 94,700 881 Education Realty Trust+ 219,216 3,236 Endurance Specialty Holdings 47,157 1,663 Entertainment Properties Trust+ 15,800 779 Equity Inns+ 79,000 1,258 Equity Office Properties Trust+ 86,800 3,451 Equity One+ (B) 91,283 2,188 Equity Residential+ 140,400 7,101 Farmers Capital Bank 2,700 91 FBL Financial Group, Cl A 16,900 566 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Federal Agricultural Mortgage, Cl C 40,400 $ 1,069 FelCor Lodging Trust+ 138,500 2,777 First American 85,100 3,603 First Community Bancorp 21,600 1,209 First Financial Bancorp 122,925 1,956 First Financial Bankshares 7,300 279 First Industrial Realty Trust+ (B) 56,200 2,473 First Merchants 20,100 475 First Midwest Bancorp 73,900 2,800 First Niagara Financial Group 156,300 2,279 FirstFed Financial (B)* 42,700 2,422 FirstMerit 74,500 1,726 Flagstar Bancorp 40,900 595 Flushing Financial 30,600 536 Fpic Insurance Group* 25,800 1,022 Frontier Financial (B) 14,550 377 GAMCO Investors, Cl A 41,400 1,576 General Growth Properties+ 182,770 8,709 GFI Group* 35,800 1,979 Gramercy Capital+ 21,500 542 Great Southern Bancorp 2,200 62 Greater Bay Bancorp 97,200 2,742 Greene County Bancshares 3,900 143 Hammerson (United Kingdom) (H) 46,774 1,146 Hancock Holding 31,200 1,671 Hanmi Financial 68,600 1,345 Hanover Insurance Group 75,400 3,365 Harleysville Group 6,900 241 Heritage Commerce* 8,100 187 Highland Hospitality+ 93,800 1,344 Hilb Rogal & Hobbs 154,700 6,598 Horace Mann Educators 84,037 1,616 Horizon Financial 4,200 125 Host Hotels & Resorts+ (B) 472,555 10,836 Housevalues (B)* 32,100 187 HRPT Properties Trust+ 99,500 1,189 Hub International 82,900 2,398 Independent Bank 5,942 144 Innkeepers USA Trust+ 330,716 5,387 Intervest Bancshares (B)* 22,800 993 IPC Holdings 42,700 1,299 Irwin Financial 31,000 606 ITLA Capital 7,500 403 Kimco Realty+ (B) 212,300 9,101 Lakeland Financial 5,100 120 Land Securities Group (United Kingdom) (H) 30,100 1,107 LandAmerica Financial Group (B) 14,900 980 LaSalle Hotel Properties+ 28,100 1,218 Liberty Property Trust+ 41,300 1,974 LTC Properties+ 38,300 929 Luminent Mortgage Capital+ 106,800 1,099 Macerich+ 26,600 2,031 MAF Bancorp (B) 21,400 884 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 83 SCHEDULE OF INVESTMENTS Small Cap Value Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Max Re Capital 56,800 $ 1,304 Mercantile Bank 5,265 208 MetroCorp Bancshares 2,700 61 Mid-State Bancshares 6,200 170 National Financial Partners 49,044 2,012 National Health Investors+ 20,100 569 National Retail Properties+ 44,400 959 NBT Bancorp 48,900 1,137 Novastar Financial+ (B) 34,600 1,010 Ocwen Financial (B)* 3,700 55 Odyssey Re Holdings (B) 30,600 1,034 Ohio Casualty 46,500 1,203 Old National Bancorp (B) 37,500 716 Omega Healthcare Investors+ 40,700 611 Oriental Financial Group (B) 48,700 581 Pacific Capital Bancorp 18,166 490 Pennsylvania Real Estate Investment Trust+ 41,500 1,767 PFF Bancorp 17,750 657 Pico Holdings* 63,400 2,064 Piper Jaffray* 83,100 5,038 Platinum Underwriters Holdings 162,668 5,015 PMI Group 32,700 1,433 Preferred Bank 16,400 984 Premierwest Bancorp 8,400 134 Presidential Life 32,900 736 ProAssurance* 52,695 2,597 Prologis+ 9,800 559 Prosperity Bancshares 27,800 946 Provident Bankshares 25,200 934 Provident Financial Holdings 700 21 PS Business Parks+ (B) 64,600 3,895 Public Storage+ 45,100 3,878 Rainier Pacific Financial Group 34,726 632 RAIT Investment Trust+ 30,600 883 Regency Centers+ 41,100 2,826 RenaissanceRe Holdings 40,100 2,230 Republic Bancorp 110,900 1,478 Safety Insurance Group 4,000 195 Saul Centers+ 27,200 1,224 Security Capital Assurance* 57,600 1,380 Selective Insurance Group 10,500 552 Senior Housing Properties Trust+ 23,400 499 Shore Bancshares 3,900 112 Signature Bank (B)* 57,083 1,766 Simmons First National, Cl A 4,800 139 Simon Property Group+ (B) 116,300 10,539 South Financial Group 66,351 1,727 Southwest Bancorp 15,300 395 Spirit Finance+ 30,700 356 Sterling Financial, Pennsylvania Shares 12,325 271 Sterling Financial, Washington Shares 110,468 3,583 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Stewart Information Services 154,400 $ 5,369 Strategic Hotels & Resorts+ 105,300 2,093 Susquehanna Bancshares 51,800 1,266 Taylor Capital Group 53,700 1,587 Thomas Properties Group 59,200 761 TierOne 15,100 512 Tompkins Trustco 988 45 TradeStation Group (B)* 77,300 1,165 Trico Bancshares 6,800 168 UMB Financial 77,698 2,841 Umpqua Holdings 89,217 2,552 Unibail (France) (H) 14,298 3,001 United Bankshares 15,000 558 Ventas+ 105,400 4,062 Virginia Financial Group 4,950 136 Vornado Realty Trust+ (B) 53,100 5,788 Washington Federal 29,370 659 WesBanco 22,900 669 West Coast Bancorp 9,600 293 Winston Hotels+ 96,544 1,189 Wintrust Financial 35,900 1,800 World Acceptance (B)* 20,000 880 WR Berkley 61,837 2,188 WSFS Financial 19,089 1,187 Zenith National Insurance 64,750 2,583 ------------- 322,800 ------------- HEALTH CARE -- 6.0% Accelrys* 296,500 1,865 Albany Molecular Research* 37,600 352 Alpharma, Cl A 107,800 2,522 America Service Group* 62,200 809 AMN Healthcare Services* 135,800 3,225 Analogic 26,600 1,365 Applera - Celera Genomics Group* 188,200 2,620 Apria Healthcare Group* 29,100 574 Axcan Pharma* 104,347 1,425 Bio-Rad Laboratories, Cl A* 12,500 884 Biosite (B)* 2,000 93 Bradley Pharmaceuticals* 39,500 629 Cambrex 129,000 2,672 CNS 45,272 1,278 Community Health Systems* 61,800 2,308 Conmed (B)* 184,900 3,903 Cooper (B) 76,900 4,114 Cross Country Healthcare* 215,500 3,664 Datascope 53,200 1,781 Discovery Laboratories (B)* 157,200 335 DJO* 119,105 4,946 Enzon Pharmaceuticals* 58,100 479 Flamel Technologies ADR (B)* 44,000 825 Greatbatch (B)* 74,100 1,676 HealthTronics (B)* 86,500 534 -------------------------------------------------------------------------------- 84 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Hologic* 26,000 $ 1,132 Invacare 7,700 181 Magellan Health Services* 40,800 1,738 Medical Staffing Network Holdings* 169,300 1,053 Molecular Devices* 23,600 436 Myriad Genetics (B)* 104,300 2,571 National Dentex* 68,013 1,337 Neurocrine Biosciences (B)* 69,800 750 New River Pharmaceuticals (B)* 15,400 396 Orthofix International* 23,124 1,052 Owens & Minor 40,257 1,324 Per-Se Technologies (B)* 109,100 2,485 Perrigo (B) 37,000 628 Pharmacopeia Drug Discovery* 142,250 539 PolyMedica (B) 30,700 1,314 PRA International (B)* 46,286 1,235 Radiation Therapy Services (B)* 63,791 1,865 Res-Care (B)* 71,850 1,444 Sciele Pharma (B)* 56,700 1,068 Triad Hospitals* 23,438 1,032 Universal Health Services, Cl B 14,349 860 Viropharma* 51,300 624 Zoll Medical (B)* 29,200 1,048 -------------- 70,990 -------------- INDUSTRIALS -- 13.0% ABX Air* 600 3 ACCO Brands* 57,100 1,271 Accuride* 60,600 667 Acuity Brands 22,477 1,020 Adesa 123,700 2,859 AGCO (B)* 62,000 1,572 Alaska Air Group* 50,300 1,913 Albany International, Cl A 55,600 1,769 Amerco* 20,600 1,527 AO Smith (B) 82,300 3,245 Apogee Enterprises (B) 79,290 1,206 Applied Industrial Technologies 19,125 467 Arkansas Best (B) 16,300 701 Banta 35,434 1,687 Belden CDT 78,790 3,012 BlueLinx Holdings 48,700 464 Brink's 76,800 4,075 Builders FirstSource (B)* 61,200 932 CDI (B) 24,700 511 CIRCOR International 61,610 1,882 Clean Harbors (B)* 22,858 995 CNH Global 41,360 960 Commercial Vehicle Group* 73,900 1,423 Consolidated Graphics* 25,400 1,528 Copart* 62,800 1,770 Cubic 84,300 1,651 Deluxe 98,000 1,676 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Diamond Management & Technology Consultants* 215,600 $ 2,402 EnPro Industries (B)* 27,200 818 Federal Signal (B) 108,281 1,651 Flanders (B)* 191,770 1,642 Flowserve (B)* 39,300 1,988 Freightcar America 13,900 737 GATX 19,400 803 Goodman Global* 43,000 574 Granite Construction 28,600 1,526 Griffon (B)* 85,699 2,046 Grupo TMM ADR, Cl A* 190,100 551 Hudson Highland Group* 111,800 1,096 IKON Office Solutions (B) 112,700 1,515 Insituform Technologies, Cl A (B)* 49,844 1,210 John H. Harland (B) 85,200 3,106 K&F Industries Holdings* 56,800 1,067 Kadant* 76,695 1,884 Kansas City Southern* 157,608 4,304 Kaydon 135,930 5,032 Kirby* 58,000 1,817 Korn/Ferry International (B)* 91,900 1,924 Mesa Air Group (B)* 58,800 456 Milacron (B)* 427,835 376 Mueller Industries (B) 10,200 359 Navistar International (B)* 215,000 5,551 Orbital Sciences* 103,300 1,939 Pall 168,400 5,188 PAM Transportation Services* 15,700 393 PGT* 15,000 211 Pike Electric* 108,300 1,614 Power-One* 110,300 799 Regal-Beloit 28,000 1,218 Robbins & Myers 110,220 3,408 Ryder System 76,100 3,933 Saia* 9,200 300 School Specialty (B)* 65,856 2,324 Simpson Manufacturing (B) 35,700 965 Skywest (B) 33,800 829 Spherion* 103,600 741 Standard Parking* 5,100 160 TAL International Group 13,100 278 Tecumseh Products, Cl A (B)* 148,000 2,251 Teledyne Technologies* 97,383 3,856 Tetra Tech (B)* 264,610 4,609 United Rentals (B)* 18,700 435 United Stationers* 40,300 1,874 Universal Forest Products (B) 64,900 3,183 US Xpress Enterprises, Cl A* 41,200 954 Volt Information Sciences (B)* 1,900 68 Wabash National 159,500 2,184 Walter Industries (B) 15,300 653 Washington Group International* 72,400 4,261 Waste Connections* 69,900 2,650 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 85 SCHEDULE OF INVESTMENTS Small Cap Value Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Waste Industries USA 7,900 $ 214 Watson Wyatt Worldwide, Cl A 289,828 11,860 WESCO International* 19,190 1,114 Woodward Governor 42,000 1,409 YRC Worldwide (B)* 25,900 959 ------------- 152,055 ------------- INFORMATION TECHNOLOGY -- 15.4% Actel* 106,200 1,651 ADC Telecommunications (B)* 40,900 614 Advanced Energy Industries* 105,800 1,803 Aeroflex* 239,239 2,459 Agilysys 40,400 567 Alliance Semiconductor* 326,000 1,095 Altiris* 84,200 1,776 Amkor Technology (B)* 121,600 627 Arris Group* 157,192 1,801 Aspen Technology (B)* 47,900 523 Asyst Technologies* 106,300 719 Avanex (B)* 457,800 792 Avnet* 101,320 1,988 Avocent* 60,286 1,816 BearingPoint (B)* 173,400 1,363 Bel Fuse, Cl B 8,000 257 BISYS Group (B)* 103,582 1,125 Black Box 76,772 2,988 Borland Software* 82,900 475 Brocade Communications Systems (B)* 879,700 6,211 CACI International, Cl A* 26,900 1,480 Ciber* 276,400 1,833 Coherent (B)* 75,509 2,617 Conexant Systems (B)* 96,200 192 CSG Systems International (B)* 180,200 4,763 CTS 44,000 606 Dycom Industries (B)* 174,500 3,752 Earthlink (B)* 704,800 5,124 Electronics for Imaging* 103,900 2,377 Emulex* 60,000 1,090 Entegris (B)* 70,700 771 Fairchild Semiconductor International (B)* 130,200 2,435 Flir Systems (B)* 88,300 2,398 Foundry Networks* 252,600 3,322 Gevity HR 31,300 713 Global Imaging Systems* 53,400 1,179 Hyperion Solutions* 53,200 1,834 i2 Technologies (B)* 9,400 176 Imation 54,400 2,184 InFocus* 214,700 614 Keane* 194,800 2,807 Keynote Systems* 173,200 1,824 Komag (B)* 66,100 2,113 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Lawson Software* 783,800 $ 5,683 LeCroy* 40,400 557 Lightbridge* 29,800 349 Littelfuse (B)* 98,947 3,433 LoJack* 49,679 973 LTX (B)* 382,600 1,917 Magma Design Automation (B)* 127,600 1,161 Manhattan Associates* 157,400 3,800 Mattson Technology* 72,300 600 McData, Cl A* 127,600 642 Mentor Graphics* 78,700 1,108 Methode Electronics 98,200 934 Mettler Toledo International* 34,874 2,307 MKS Instruments (B)* 80,300 1,631 MTS Systems 34,100 1,103 ON Semiconductor* 106,400 626 Open Text* 100,400 1,797 Orbotech* 131,100 3,107 Palm (B)* 38,700 563 Parametric Technology* 164,627 2,874 Paxar* 76,698 1,532 Perot Systems, Cl A (B)* 118,908 1,640 Photronics (B)* 66,800 944 Plantronics (B) 41,682 731 Plexus* 11,700 225 PMC - Sierra (B)* 208,300 1,237 Polycom (B)* 174,500 4,280 PowerDsine* 154,500 1,469 Powerwave Technologies (B)* 170,379 1,295 Quantum (B)* 1,218,700 2,657 RADWARE* 64,300 873 RealNetworks (B)* 89,800 953 RF Micro Devices (B)* 105,500 800 Richardson Electronics 95,419 862 Seachange International* 243,000 2,160 Seagate Technology 94,684 2,186 Skyworks Solutions* 987,700 5,126 Solectron* 881,100 2,872 Standard Microsystems* 83,700 2,379 Startek 29,700 370 Sybase (B)* 126,996 3,078 SYNNEX* 42,000 966 Synopsys* 81,842 1,614 Technitrol 15,500 463 Tekelec (B)* 251,300 3,257 THQ (B)* 45,730 1,334 TIBCO Software* 872,600 7,836 Trident Microsystems (B)* 43,500 1,012 Ultratech (B)* 102,200 1,361 Unisys (B)* 603,100 3,414 United Online (B) 298,800 3,639 Utstarcom (B)* 254,000 2,253 Varian Semiconductor Equipment Associates* 23,900 877 -------------------------------------------------------------------------------- 86 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Veeco Instruments* 46,300 $ 933 Wavecom ADR (B)* 85,400 1,079 Zoran (B)* 37,400 601 Zygo* 58,000 740 ------------- 181,067 ------------- MATERIALS -- 5.8% Albemarle 37,900 2,059 Aptargroup 87,200 4,437 Arch Chemicals 62,540 1,779 Bemis 42,603 1,400 Buckeye Technologies* 60,000 510 Century Aluminum* 18,341 617 Constar International* 139,500 833 Crown Holdings (B)* 86,000 1,600 Cytec Industries 83,300 4,631 Ferro 60,636 1,078 FMC 28,571 1,831 Greif, Cl A 28,500 2,283 H.B. Fuller 33,800 792 Hercules* 280,900 4,430 MacDermid (B) 79,600 2,597 Metal Management 62,900 1,751 Myers Industries 48,600 826 Neenah Paper 52,992 1,814 NewMarket 22,600 1,314 NN 9,400 111 Olin 105,489 1,620 Olympic Steel 13,100 326 OM Group (B)* 77,600 3,410 PolyOne* 160,100 1,334 Quanex 123,650 3,753 Rock-Tenn, Cl A 95,200 1,885 Rockwood Holdings* 25,700 513 Ryerson 38,300 838 Schnitzer Steel Industries, Cl A 81,900 2,583 Schweitzer-Mauduit International 61,050 1,159 Sensient Technologies 80,300 1,571 Silgan Holdings 91,600 3,440 Spartech 76,900 2,059 Steel Dynamics 32,900 1,660 Texas Industries (B) 91,700 4,774 Wellman (B) 68,200 272 ------------- 67,890 ------------- TELECOMMUNICATION SERVICES -- 0.6% Atlantic Tele-Network 4,900 91 Centennial Communications* 30,500 163 Commonwealth Telephone Enterprises (B) 29,165 1,202 Golden Telecom 33,900 1,026 IDT* 58,500 827 IDT, Cl B (B)* 59,600 859 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Orckit Communications* 137,000 $ 1,197 Syniverse Holdings* 52,600 789 USA Mobility 58,900 1,345 ------------- 7,499 ------------- UTILITIES -- 3.8% AGL Resources 69,192 2,526 Allete (B) 37,000 1,608 Avista (B) 63,300 1,499 Black Hills 46,900 1,576 Cascade Natural Gas 44,255 1,155 CenterPoint Energy (B) 227,900 3,264 Cleco 30,900 780 CMS Energy (B)* 215,100 3,106 El Paso Electric 69,335 1,548 Empire District Electric (B) 50,787 1,137 Idacorp 37,996 1,437 ITC Holdings (B) 26,000 811 Laclede Group 46,600 1,495 New Jersey Resources 60,500 2,983 Oneok 16,900 639 Ormat Technologies 31,000 1,014 PNM Resources (B) 94,500 2,605 Portland General Electric 81,000 1,977 SEMCO Energy (B)* 165,100 931 Southern Union 136,300 3,600 Southwest Gas 40,500 1,349 UIL Holdings 40,333 1,512 Unisource Energy 23,200 773 Westar Energy 111,305 2,617 WGL Holdings (B) 50,676 1,588 Wisconsin Energy 28,705 1,238 ------------- 44,768 ------------- Total Common Stock (Cost $960,550) ($ Thousands) 1,123,231 ------------- EXCHANGE TRADED FUNDS (B) -- 0.4% iShares Russell 2000 Index Fund 63,052 4,540 iShares S&P SmallCap 600 Value Index Fund 3,580 250 ------------- Total Exchange Traded Funds (Cost $4,206) ($ Thousands) 4,790 ------------- Number of Warrants ----------- WARRANTS -- 0.0% Washington Mutual (D)* 373,442 42 ------------- Total Warrants (Cost $54) ($ Thousands) 42 ------------- -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 87 SCHEDULE OF INVESTMENTS Small Cap Value Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- CORPORATE OBLIGATIONS (C) -- 14.2% FINANCIALS -- 14.2% Allstate Life Global Funding II MTN (F) (G) 5.370%, 10/16/06 $ 2,543 $ 2,543 American General Finance (F) (G) 5.360%, 10/16/06 8,015 8,014 Bear Stearns EXL (F) 5.370%, 10/16/06 9,839 9,839 Countrywide Financial MTN (F) 5.448%, 12/27/06 3,316 3,316 Countrywide Financial MTN, Ser A (F) 5.548%, 11/03/06 5,804 5,804 Dekabank (F) (G) 5.490%, 10/19/06 10,225 10,225 Glitner Banki (F) (G) 5.380%, 10/10/06 8,291 8,291 Irish Life & Permanent MTN, Ser X (F) (G) 5.370%, 10/23/06 7,351 7,351 Islandsbanki (F) (G) 5.380%, 10/23/06 4,698 4,698 Jackson National Life Funding (F) (G) 5.330%, 10/02/06 12,160 12,160 Kaupthing Bank MTN (F) (G) 5.390%, 10/20/06 13,818 13,818 Lakeside Funding (F) 5.330%, 10/10/06 3,304 3,304 Landsbanki Islands (F) (G) 5.410%, 10/16/06 10,502 10,502 Morgan Stanley EXL (F) 5.390%, 10/04/06 1,934 1,934 Morgan Stanley EXL, Ser S (F) 5.350%, 10/03/06 2,764 2,764 Natexis Banques (F) (G) 5.310%, 10/16/06 5,389 5,388 Nationwide Building Society (F) (G) 5.424%, 12/28/06 3,040 3,040 5.360%, 10/10/06 5,527 5,527 Nordbank (F) (G) 5.360%, 10/23/06 9,396 9,395 Northern Rock (F) (G) 5.370%, 10/03/06 5,693 5,693 Pacific Life Global Funding (F) (G) 5.380%, 10/13/06 4,145 4,145 Premium Asset Trust, Ser 2004-10 (F) (G) 5.370%, 10/16/06 7,738 7,738 SLM EXL, Ser S (F) (G) 5.330%, 10/16/06 6,080 6,080 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Sigma Finance MTN (G) 4.745%, 11/09/06 $ 2,985 $ 2,985 Skandinav Enskilda Bank (F) (G) 5.320%, 10/18/06 6,080 6,080 Stanfield Victoria MTN (F) (G) 5.445%, 06/11/07 5,527 5,527 ------------- Total Corporate Obligations (Cost $166,161) ($ Thousands) 166,161 ------------- COMMERCIAL PAPER (C) (E) -- 4.2% Broadhollow Funding 5.502%, 10/02/06 11,055 11,051 Citius I Funding 5.313%, 10/17/06 2,764 2,757 Elysian Funding LLC 5.427%, 11/27/06 4,961 4,918 5.401%, 11/20/06 4,436 4,402 5.390%, 11/06/06 5,527 5,498 Georgetown Funding 5.349%, 10/24/06 1,423 1,418 Mica Funding LLC 5.299%, 10/12/06 5,527 5,517 Ocala Funding 5.321%, 10/20/06 2,764 2,755 5.318%, 10/10/06 6,302 6,293 Rhineland Funding Capital 5.470%, 10/12/06 2,764 2,759 5.378%, 12/12/06 1,819 1,800 ------------- Total Commercial Paper (Cost $49,168) ($ Thousands) 49,168 ------------- ASSET-BACKED SECURITIES (C) (F) (G) -- 2.2% MORTGAGE RELATED SECURITIES -- 2.2% Cheyne High Grade, Ser 2004-1A, Cl AM1 5.466%, 11/10/06 2,764 2,764 Commodore, Ser 2003-2A, Cl A1MM 5.470%, 12/12/06 2,543 2,543 Duke Funding, Ser 2004-6B, Cl A1S1 5.577%, 10/10/06 4,145 4,145 Newcastle CDO, Ser 2005-6A, Cl IM1 5.350%, 10/24/06 1,105 1,105 Park Place Securities NIM Trust, Ser 2004-MM1, Cl AM6 5.360%, 10/25/06 2,456 2,456 Saturn Ventures II 5.390%, 10/10/06 4,451 4,451 -------------------------------------------------------------------------------- 88 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)/Shares ($ Thousands) -------------------------------------------------------------------------------- TIAA Real Estate CDO, Ser 2003 1A, Cl A1MM 5.354%, 10/30/06 $ 4,110 $ 4,110 Whitehawk CDO Funding, Ser 2004-1A 5.340%, 10/16/06 4,770 4,770 ------------- Total Asset-Backed Securities (Cost $26,344) ($ Thousands) 26,344 ------------- CASH EQUIVALENTS -- 4.1% Merrill Lynch EBP Master, 5.220%** 1,203,642 1,204 SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.330%**++ 46,757,818 46,758 ------------- Total Cash Equivalents (Cost $47,962) ($ Thousands) 47,962 ------------- MASTER NOTE (C) -- 1.2% Bank of America 5.445%, 10/02/06 13,818 13,818 ------------- Total Master Note (Cost $13,818) ($ Thousands) 13,818 ------------- CERTIFICATES OF DEPOSIT (C) -- 0.9% Barclays Bank (F) 5.440%, 06/11/07 2,764 2,764 CC USA MTN (G) 5.520%, 06/18/07 5,527 5,527 U.S. Trust of New York (F) 5.370%, 10/13/06 2,211 2,211 ------------- Total Certificates of Deposit (Cost $10,502) ($ Thousands) 10,502 ------------- U.S. TREASURY OBLIGATION (A) (E) -- 0.1% U.S. Treasury Bill 5.010%, 11/24/06 1,197 1,189 ------------- Total U.S. Treasury Obligation (Cost $1,188) ($ Thousands) 1,189 ------------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS (C) (I) -- 2.8% Barclays 5.350%, dated 09/29/06, to be repurchased on 10/02/06, repurchase price $7,681,695 (collateralized by a U.S. Government Obligation, par value $7,333,480, 6.000%, 05/15/11; with total market value $7,831,888) $ 7,678 $ 7,678 Deutsche Bank 5.330%, dated 09/29,06, to be repurchased on 10/02/06, repurchase price $11,059,464 (collateralized by various U.S. Government Obligations, ranging in par value $95,622- $3,235,281, 3.750%-5.300%, 02/21/08-04/25/14; with total market value $11,275,679) 11,055 11,055 Lehman Brothers 5.330%, dated 09/29/06, to be repurchased on 10/02/06, repurchase price $13,824,329 (collateralized by various U.S. Government Obligations, ranging in par value $954,008- $1,700,190, 2.500%-5.705%, 01/30/07-05/18/16; with total market value $14,094,712) 13,818 13,818 ------------- Total Repurchase Agreements (Cost $32,551) ($ Thousands) 32,551 ------------- Total Investments -- 125.7% (Cost $1,312,504) ($ Thousands) $ 1,475,758 ============= -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 89 SCHEDULE OF INVESTMENTS Small Cap Value Fund (Concluded) September 30, 2006 Futures -- A summary of the open futures contracts held by the Fund at September 30, 2006, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED TYPE OF NUMBER OF EXPIRATION APPRECIATION CONTRACT CONTRACTS DATE ($ THOUSANDS) -------------------------------------------------------------------------------- Russell 2000 Index E-MINI 435 Dec-2006 $742 ==== Percentages are based on Net Assets of $1,174,471 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of September 30, 2006. +++ Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. + Real Estate Investment Trust. ++ Pursuant to an exemptive order issued by the Securities and Exchange Commission, the Fund may invest in the SEI money market funds, provided that investments in the money market funds do not exceed 25% of the Fund's total assets. (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. (B) This security or a partial position of this security is on loan at September 30, 2006 (see Note 7). The total value of securities on loan at September 30, 2006 was $284,278 ($ Thousands). (C) This security was purchased with cash collateral held from securities on loan (see Note 7). The total value of such securities as of September 30, 2006 was $298,544 ($ Thousands). (D) This warrant represents a potential distribution settlement in a legal claim and does not have a strike price or expiration date. (E) The rate reported is the effective yield at time of purchase. (F) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2006. The date reported on the Schedule of Investments is the next reset date. (G) This security was sold within the terms of a private placement memorandum, except from registration under Section 3A-4, 4(2) or 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (H) This security is traded on a foreign stock exchange. The total value of such securities as of September 30, 2006 was $5,780 and represents 0.49% of Net Assets. (I) Tri-Party Repurchase Agreement. ADR -- American Depository Receipt CDO -- Collateralized Debt Obligation Cl -- Class EXL -- Extendable Maturity LLC -- Limited Liability Company MTN -- Medium Term Note NIM -- Net Interest Margin Ser -- Series The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 90 SEI Institutional Managed Trust / Annual Report / September 30, 2006 Small Cap Growth Fund September 30, 2006 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS# (UNAUDITED): [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 28.2% Financials 21.0% Information Technology 12.7% Health Care 10.3% Consumer Discretionary 9.8% Industrials 5.8% Energy 5.2% Short-Term Investments 2.3% Materials 2.2% Asset-Backed Securities 1.0% Consumer Staples 1.0% Telecommunication Services 0.4% Utilities 0.1% U.S. Treasury Obligation 0.0% Warrants #Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7). -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- COMMON STOCK -- 96.4%+++ CONSUMER DISCRETIONARY -- 13.8% Ambassadors Group 7,500 $ 212 Bally Technologies (B)* 8,800 155 BJ's Restaurants* 4,500 99 BJ's Restaurants (D) (G)* 85,800 1,888 Blount International (B)* 135,200 1,355 Blue Nile (B)* 41,200 1,498 Bright Horizons Family Solutions* 15,137 632 Brown Shoe 67,200 2,408 Carter's (B)* 66,800 1,763 Charlotte Russe Holding* 27,500 757 Charming Shoppes (B)* 226,700 3,237 Chipotle Mexican Grill, Cl A (B)* 41,300 2,051 Coach* 114,800 3,949 Conn's (B)* 24,600 513 Cosi* 108,621 582 CROCS (B)* 129,800 4,407 CSK Auto* 224,900 3,171 Ctrip.com International ADR (B)* 36,225 1,628 Deckers Outdoor (B)* 22,300 1,055 Dick's Sporting Goods (B)* 14,769 672 Directed Electronics* 14,900 225 Dover Downs Gaming & Entertainment 40,950 498 Dress Barn (B)* 123,700 2,699 Eddie Bauer Holdings* 323,600 3,479 Focus Media Holding ADR* 18,196 1,054 FTD Group* 17,300 267 Gaiam, Cl A* 142,300 1,837 GameStop, Cl A (B)* 56,400 2,610 Gildan Activewear* 59,500 2,883 Golf Galaxy (B)* 45,400 590 Gray Television 375,000 2,404 GSI Commerce* 217,946 3,234 Guess?* 49,250 2,390 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Guitar Center* 59,500 $ 2,659 Gymboree* 133,755 5,642 Hibbett Sporting Goods (B)* 157,039 4,111 HOT Topic (B)* 194,350 2,165 Interface, Cl A* 50,900 656 INVESTools* 28,800 306 Jack in the Box (B)* 49,700 2,593 Jackson Hewitt Tax Service 28,400 852 Laureate Education* 30,685 1,469 Life Time Fitness (B)* 44,100 2,041 Lin TV, Cl A (B)* 211,500 1,646 LKQ (B)* 93,555 2,055 Lodgenet Entertainment* 41,000 774 Maidenform Brands* 43,900 847 Marvel Entertainment (B)* 211,950 5,117 McCormick & Schmick's Seafood Restaurants* 96,600 2,173 Meritage Homes (B)* 40,800 1,698 Monarch Casino & Resort* 29,800 578 NetFlix (B)* 1,400 32 New Oriental Education & Technology Group* 6,157 149 Nutri/System (B)* 81,170 5,056 Outdoor Channel Holdings* 151,500 1,650 Pantry (B)* 81,050 4,569 PetMed Express* 59,800 624 PF Chang's China Bistro* 12,604 438 Phillips-Van Heusen 60,415 2,524 Pool (B) 23,349 899 Priceline.com (B)* 87,245 3,210 Quiksilver (B)* 479,000 5,820 RCN* 75,500 2,137 Red Robin Gourmet Burgers (B)* 40,005 1,845 Regis 38,100 1,366 Select Comfort (B)* 75,100 1,643 Shutterfly* 54,800 852 Sonic (B)* 160,565 3,630 Sotheby's Holdings, Cl A (B)* 54,880 1,769 Stamps.com (B)* 9,900 189 Standard-Pacific 68,000 1,598 Strayer Education 7,700 833 Tempur-Pedic International* 24,700 424 Tenneco* 37,100 868 Texas Roadhouse, Cl A* 47,104 578 Timberland, Cl A* 90,300 2,598 Tractor Supply* 32,600 1,573 Tupperware Brands 28,600 557 Tween Brands (B)* 55,100 2,072 Under Armour, Cl A (B)* 123,420 4,939 VistaPrint (B)* 60,347 1,565 Volcom* 50,300 1,134 WMS Industries* 60,100 1,756 Yankee Candle (B) 92,500 2,708 -------------- 155,189 -------------- -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 91 SCHEDULE OF INVESTMENTS Small Cap Growth Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- CONSUMER STAPLES -- 1.3% Chattem (B)* 48,500 $ 1,703 Hain Celestial Group* 53,245 1,361 Lance 89,500 1,971 Longs Drug Stores 36,500 1,679 Manatech 20,300 360 MGP Ingredients (B) 33,400 710 NBTY* 154,200 4,514 Spartan Stores 47,200 798 United Natural Foods (B)* 46,530 1,442 -------------- 14,538 -------------- ENERGY -- 7.7% Allis-Chalmers Energy* 33,600 492 Arlington Tankers 92,500 2,087 Atwood Oceanics* 49,400 2,222 BA Energy (Canada) (I) (J)* 145,000 1,235 Basic Energy Services* 199,400 4,865 Bronco Drilling (B)* 143,200 2,518 Cabot Oil & Gas 45,800 2,195 Callon Petroleum (B)* 30,800 418 CanWest Petroleum (B)* 471,700 2,005 CARBO Ceramics (B) 46,000 1,657 Clayton Williams Energy (B)* 31,200 945 Complete Production Services* 171,400 3,383 Compton Petroleum (Canada) (J)* 80,000 800 Comstock Resources* 81,600 2,215 Core Laboratories* 22,350 1,426 Delek US Holdings* 68,100 1,260 Denbury Resources* 29,302 847 Dril-Quip (B)* 31,830 2,154 Encore Acquisition* 113,000 2,750 Evergreen Energy* 147,000 1,545 EXCO Resources* 63,353 786 Foundation Coal Holdings 52,000 1,683 Helix Energy Solutions Group (B)* 46,626 1,557 Hercules Offshore (B)* 109,000 3,384 Hydril (B)* 24,600 1,379 Infinity Bio-Energy (I)* 484,123 2,701 Input/Output (B)* 230,100 2,285 Lufkin Industries 2,700 143 Maritrans 77,300 2,829 Matrix Service (B)* 54,700 716 North American Oil Sands (Canada) (D) (G) (I) (J)* 300,000 3,227 Natural Gas Services Group (B)* 99,900 1,289 NS Group* 19,780 1,277 Rentech (B)* 576,500 2,669 SEACOR Holdings* 35,300 2,912 St. Mary Land & Exploration (B) 35,600 1,307 Superior Energy Services* 48,180 1,265 Synenco Energy (Canada) (D) (G) (H) (J)* 37,852 513 Synenco Energy (Canada) (J)* 31,600 428 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Synenco Energy, Cl A (Canada) (J)* 124,100 $ 1,681 Tetra Technologies (B)* 63,239 1,528 Union Drilling* 99,300 1,092 Vaalco Energy (B)* 314,900 2,261 VeraSun Energy (B)* 158,600 2,546 Veritas DGC* 26,175 1,723 W-H Energy Services (B)* 56,326 2,336 Western Refining 82,800 1,924 World Fuel Services 56,365 2,280 -------------- 86,740 -------------- FINANCIALS -- 11.0% Acadia Realty Trust+ 97,500 2,486 Accredited Home Lenders Holding* 61,600 2,214 Advance America Cash Advance Centers 31,700 457 Affiliated Managers Group (B)* 39,086 3,913 American Equity Investment Life Holding (B) 78,600 964 American Home Mortgage Investment+ (B) 86,700 3,023 Amerisafe* 135,400 1,327 Asta Funding 33,200 1,245 Bank of the Ozarks (B) 13,300 450 Bankunited Financial, Cl A 45,335 1,182 Calamos Asset Management, Cl A 20,400 598 Canaccord Capital (Canada) (J) 173,700 2,662 Cascade Bancorp (B) 23,550 884 Cash America International 19,500 762 Center Financial 51,000 1,213 Cohen & Steers (B) 52,100 1,686 CompuCredit (B)* 55,100 1,665 Corus Bankshares (B) 78,500 1,755 Cowen Group* 83,364 1,318 Delphi Financial Group, Cl A (B) 72,625 2,896 DiamondRock Hospitality+ 127,600 2,119 Dollar Financial* 90,800 1,981 Dundee (Canada) + (J) 79,000 2,449 Dundee Wealth Management (Canada) (J) 196,991 2,119 Ezcorp, Cl A (B)* 37,100 1,435 Federated Investors, Cl B (B) 53,000 1,792 FelCor Lodging Trust+ 130,100 2,609 First Cash Financial Services (B)* 150,900 3,107 First Regional Bancorp* 15,600 531 First Republic Bank 63,700 2,711 FirstFed Financial (B)* 32,600 1,849 Glacier Bancorp 42,312 1,446 Gluskin Sheff + Associates (Canada) (J)* 36,300 488 Gluskin Sheff + Associates (Canada) (H) (J)* 105,000 1,413 Greenhill (B) 70,200 4,705 Grubb & Ellis Realty Advisors* 354,300 2,321 -------------------------------------------------------------------------------- 92 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Hanmi Financial 6,800 $ 133 HCC Insurance Holdings 77,400 2,545 Hersha Hospitality Trust+ 269,900 2,591 Highbury Financial* 49,400 276 Highbury Financial Units* 123,000 898 Intervest Bancshares (B)* 14,400 627 Investment Technology Group* 92,110 4,122 Kansas City Life Insurance 27,400 1,248 Medical Properties Trust+ 169,000 2,263 MFA Mortgage Investments+ (B) 275,000 2,049 Midwest Banc Holdings (B) 82,600 2,017 Move* 479,300 2,353 Nara Bancorp 55,000 1,006 Nasdaq Stock Market* 94,500 2,858 NorthStar Realty Finance+ 31,800 404 optionsXpress Holdings* 17,300 482 PFF Bancorp 64,960 2,406 Platinum Underwriters Holdings 74,860 2,308 Portfolio Recovery Associates (B)* 74,000 3,246 Preferred Bank 9,800 588 Premierwest Bancorp 6,195 99 RAIT Investment Trust+ 78,400 2,262 Sierra Bancorp 2,000 63 Signature Bank (B)* 57,500 1,778 Smithtown Bancorp (B) 8,400 227 Sterling Financial, Washington Shares 34,800 1,129 Strategic Hotels & Resorts+ 112,200 2,231 SVB Financial Group (B)* 107,100 4,781 Thomas Weisel Partners Group (B)* 160,300 2,573 Tower Group 53,350 1,779 TradeStation Group* 79,300 1,195 UCBH Holdings 49,500 864 United Fire & Casualty 52,200 1,634 United PanAm Financial* 41,200 638 Vineyard National Bancorp 26,000 675 Wilshire Bancorp 46,800 891 World Acceptance (B)* 18,700 822 -------------- 123,836 -------------- HEALTH CARE -- 16.9% Adams Respiratory Therapeutics (B)* 11,577 424 Affymetrix (B)* 195,776 4,221 Alexion Pharmaceuticals* 11,272 383 Align Technology (B)* 113,000 1,286 Alkermes* 327,022 5,183 Alliance Imaging* 305,600 2,387 Alnylam Pharmaceuticals (B)* 50,777 732 Alpharma, Cl A (B) 78,100 1,827 American Medical Systems Holdings* 30,591 564 AMN Healthcare Services* 64,750 1,538 Amsurg (B)* 105,500 2,348 Anadys Pharmaceuticals* 42,100 122 Applera - Celera Genomics Group* 140,300 1,953 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Arena Pharmaceuticals (B)* 93,900 $ 1,125 Ariad Pharmaceuticals (B)* 407,900 1,778 Array Biopharma* 255,300 2,175 Arthrocare (B)* 47,785 2,239 Aspreva Pharmaceuticals* 45,180 1,172 BioMarin Pharmaceuticals* 31,570 449 Biosite (B)* 82,000 3,791 Candela* 81,100 885 Caraco Pharmaceutical Laboratories* 14,400 146 Cardiome Pharma* 67,200 776 Cell Genesys (B)* 390,600 1,785 Cephalon (B)* 147,400 9,102 Chemed 10,200 329 Coley Pharmaceutical Group (B)* 25,800 295 Combinatorx (B)* 56,000 349 Conceptus (B)* 121,300 2,146 Conor Medsystems (B)* 58,300 1,374 Cubist Pharmaceuticals (B)* 328,785 7,148 Cutera* 34,714 923 CV Therapeutics (B)* 626,100 6,975 Cyberonics (B)* 40,700 713 Cynosure* 80,216 1,163 Cypress Bioscience* 67,087 490 deCODE genetics* 78,400 431 Digene (B)* 117,590 5,074 Diversa* 36,500 293 DJO (B)* 26,759 1,111 Emisphere Technologies (B)* 67,700 572 Encysive Pharmaceuticals (B)* 384,500 1,653 Endo Pharmaceuticals Holdings* 87,200 2,838 Enzon Pharmaceuticals* 77,900 643 Exelixis* 318,921 2,778 Five Star Quality Care* 160,100 1,723 Greatbatch (B)* 73,300 1,658 Haemonetics* 10,674 500 HealthTronics (B)* 68,300 421 Healthways (B)* 31,460 1,403 Hologic (B)* 42,600 1,854 Home Diagnostics* 138,600 1,814 Human Genome Sciences (B)* 258,002 2,977 ICOS* 32,100 804 Illumina (B)* 43,947 1,452 Immucor* 111,172 2,491 Incyte (B)* 446,600 1,889 InterMune (B)* 18,879 310 inVentiv Health (B)* 84,465 2,705 Ista Pharmaceuticals (B)* 219,200 1,300 Kendle International* 38,145 1,221 Keryx Biopharmaceuticals (B)* 120,900 1,430 KV Pharmaceutical, Cl A (B)* 21,200 502 Kyphon (B)* 40,900 1,530 Lifecell (B)* 44,946 1,448 Luminex* 37,900 691 Medarex (B)* 638,100 6,853 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 93 SCHEDULE OF INVESTMENTS Small Cap Growth Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Medicines* 19,788 $ 446 Medicis Pharmaceutical, Cl A 10,098 327 Mentor 39,400 1,985 MGI Pharma (B)* 126,300 2,174 Micrus Endovascular* 145,500 1,887 Molecular Devices* 51,500 952 Myogen* 20,607 723 Myriad Genetics (B)* 81,130 2,000 Nastech Pharmaceutical (B)* 189,700 2,895 Nektar Therapeutics (B)* 57,000 821 Neurocrine Biosciences (B)* 10,100 109 New River Pharmaceuticals (B)* 24,400 628 Noven Pharmaceuticals* 23,500 567 NuVasive (B)* 28,192 567 Odyssey HealthCare* 208,900 2,962 Option Care (B) 20,300 272 OraSure Technologies (B)* 88,200 709 OSI Pharmaceuticals (B)* 6,600 248 Pain Therapeutics (B)* 167,400 1,443 Palomar Medical Technologies (B)* 17,800 751 Par Pharmaceutical* 60,400 1,102 PDL BioPharma (B)* 116,600 2,239 Penwest Pharmaceuticals (B)* 24,365 406 Phase Forward* 71,228 850 PolyMedica 69,200 2,962 Progenics Pharmaceuticals* 29,500 692 PSS World Medical* 112,495 2,249 Psychiatric Solutions* 81,970 2,794 Quidel* 9,400 133 Regeneron Pharmaceuticals (B)* 51,600 810 Renovis* 12,100 167 Rigel Pharmaceuticals (B)* 132,300 1,359 Salix Pharmaceuticals* 8,100 110 Sciele Pharma (B)* 92,700 1,746 Senomyx* 30,132 463 Somanetics* 18,513 370 SurModics (B)* 61,551 2,162 Symbion (B)* 128,900 2,367 Taro Pharmaceuticals Industries* 151,800 2,019 Telik* 314,200 5,590 Tercica (B)* 174,800 932 Theravance* 19,283 521 Trimeris* 41,600 366 United Surgical Partners International (B)* 17,500 435 United Therapeutics* 91,744 4,820 Valeant Pharmaceuticals International (B) 18,139 359 Ventana Medical Systems (B)* 41,837 1,708 Viropharma* 61,600 750 West Pharmaceutical Services 77,185 3,031 Xenoport* 7,300 149 Zoll Medical (B)* 18,100 650 -------------- 189,442 -------------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- INDUSTRIALS -- 13.0% ABX Air (B)* 115,900 $ 651 Abyara Planejamento Imobilia (Brazil) (J)* 30,000 359 Active Power (B)* 187,000 468 Advisory Board* 68,424 3,457 Amerco* 27,200 2,017 American Commercial Lines (B)* 47,200 2,806 American Reprographics* 36,405 1,167 American Science & Engineering (B)* 30,500 1,480 American Woodmark (B) 63,200 2,129 Apogee Enterprises 57,193 870 Applied Industrial Technologies 25,800 630 Aries Maritime Transport 163,500 1,700 Armor Holdings (B)* 37,600 2,156 Atlas Air Worldwide Holdings* 14,000 609 Badger Meter (B) 26,231 661 Basin Water (B)* 90,900 744 BE Aerospace (B)* 130,000 2,742 Builders FirstSource (B)* 69,900 1,065 Ceradyne (B)* 52,550 2,159 Chart Industries* 42,400 522 Chicago Bridge & Iron 31,863 767 Coinstar* 20,144 580 Comfort Systems USA 29,200 335 COMSYS IT Partners* 32,000 550 Consolidated Graphics* 39,900 2,401 Continental Airlines, Cl B (B)* 114,770 3,249 CRA International* 33,433 1,593 Dynamic Materials (B) 82,900 2,688 DynCorp International, Cl A (B)* 122,200 1,539 ESCO Technologies (B)* 43,700 2,012 ExpressJet Holdings* 60,800 402 Freightcar America (B) 40,800 2,162 Gardner Denver* 107,861 3,568 General Cable* 133,427 5,098 Genlyte Group* 38,410 2,735 GrafTech International (B)* 410,300 2,396 Granite Construction 39,800 2,123 Grupo Aeroportuario del Sureste ADR 66,500 2,481 H&E Equipment Services (B)* 67,400 1,644 Heico 30,358 882 Herman Miller (B) 83,200 2,846 Hexcel (B)* 113,200 1,602 HUB Group, Cl A (B)* 122,645 2,794 ICT Group* 11,000 346 IHS, Cl A* 20,912 671 Innerworkings* 42,466 499 Insteel Industries 44,400 882 JLG Industries 147,500 2,922 John H. Harland (B) 45,000 1,640 Kenexa (B)* 95,309 2,404 Kennametal 17,499 991 Kforce* 33,200 396 Knight Transportation 114,925 1,948 -------------------------------------------------------------------------------- 94 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Knoll 204,331 $ 4,128 Labor Ready* 51,400 819 Lamson & Sessions (B)* 188,905 4,500 Lincoln Electric Holdings 60,700 3,305 McGrath Rentcorp 17,200 440 Navigant Consulting* 68,200 1,368 NCI Building Systems (B)* 132,030 7,680 Nordson 15,000 598 PAM Transportation Services* 17,500 439 PW Eagle (B)* 47,500 1,425 Quanta Services* 81,860 1,380 Railpower Technologies (Canada) (H) (J)* 185,700 296 Railpower Technologies (Canada) (H) (J)* 244,900 391 RBC Bearings* 59,365 1,434 Regal-Beloit 43,035 1,872 Sherritt International (Canada) (J)* 222,600 1,945 Simpson Manufacturing (B) 91,200 2,465 Standard Parking* 12,200 383 Sun Hydraulics 35,300 724 Superior Essex* 41,870 1,434 TAL International Group 149,400 3,169 Taleo, Cl A* 71,581 724 Terex* 50,600 2,288 United Industrial 34,400 1,840 United Rentals (B)* 85,700 1,993 Universal Forest Products (B) 49,300 2,418 Universal Truckload Services* 41,400 1,075 Wabtec 79,660 2,161 Waste Industries USA 5,300 143 Watson Wyatt Worldwide, Cl A 49,530 2,027 WESCO International (B)* 22,700 1,317 Williams Scotsman International* 121,670 2,599 -------------- 146,318 -------------- INFORMATION TECHNOLOGY -- 27.9% 24/7 Real Media (B)* 361,200 3,085 Adaptec* 636,100 2,805 Advanced Energy Industries* 161,900 2,759 Advent Software* 57,000 2,064 Aeroflex* 50,500 519 Akamai Technologies* 69,600 3,479 Altera (B)* 546,000 10,036 Amkor Technology (B)* 194,700 1,005 Anadigics* 91,210 653 Ansoft* 36,691 914 aQuantive (B)* 191,400 4,521 Arris Group* 205,300 2,353 Art Technology Group (B)* 327,338 838 Aspen Technology (B)* 143,675 1,569 Asyst Technologies* 344,300 2,327 ATMI (B)* 57,399 1,669 Avid Technology (B)* 21,937 799 BISYS Group* 53,400 580 Blackbaud 107,094 2,355 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Brightpoint (B)* 87,853 $ 1,249 Brooks Automation (B)* 377,700 4,929 CNET Networks (B)* 399,700 3,829 Cogent (B)* 216,600 2,974 CommScope* 101,015 3,319 Commvault Systems (B)* 120,100 2,162 Comtech Group (B)* 96,930 1,451 Concur Technologies (B)* 44,587 649 Covansys* 12,000 206 CPI International* 8,100 107 Cree (B)* 135,000 2,715 CSG Systems International (B)* 121,300 3,206 Cymer (B)* 100,259 4,402 DealerTrack Holdings* 17,575 389 Digimarc* 205,800 1,595 Digital Insight (B)* 92,000 2,697 Digital River (B)* 15,600 797 Diodes (B)* 88,398 3,816 Eagle Test Systems* 32,300 534 EFJ* 166,300 1,234 Emergis (Canada) (J)* 285,800 1,371 Emulex* 92,700 1,684 Euronet Worldwide (B)* 111,000 2,725 F5 Networks* 16,714 898 Factset Research Systems 29,200 1,418 Finisar (B)* 497,200 1,805 Formfactor* 41,825 1,762 Harmonic* 90,400 664 Heartland Payment Systems (B)* 21,200 551 Hittite Microwave (B)* 30,080 1,339 Hutchinson Technology (B)* 146,500 3,081 i2 Technologies (B)* 141,574 2,652 i2 Technologies* 4,229 79 Imation 67,500 2,710 Immersion* 582,200 4,163 Informatica (B)* 217,300 2,953 infoUSA 77,900 647 Interdigital Communications (B)* 110,600 3,771 Internap Network Services (B)* 47,758 727 International DisplayWorks (B)* 447,600 2,851 Intevac* 71,825 1,207 Itron (B)* 76,235 4,254 IXYS* 13,300 112 j2 Global Communications (B)* 57,475 1,562 JDA Software Group* 174,900 2,697 Jupitermedia (B)* 505,800 4,380 Kemet* 128,555 1,037 Knot* 48,100 1,064 Komag (B)* 86,100 2,752 Lattice Semiconductor* 1,090,000 7,434 Lightbridge* 73,400 860 Lionbridge Technologies* 444,500 3,392 Liquidity Services* 15,200 237 Littelfuse* 38,600 1,339 LoJack (B)* 54,500 1,068 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 95 SCHEDULE OF INVESTMENTS Small Cap Growth Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- LoopNet* 62,086 $ 786 LTX* 157,600 790 Marchex, Cl B (B)* 363,952 5,583 Mastec* 167,800 1,858 Mattson Technology* 79,500 660 MAXIMUS 61,000 1,592 Mentor Graphics* 47,400 667 Micrel (B)* 93,600 898 Micros Systems (B)* 28,750 1,406 Microsemi (B)* 142,602 2,688 MicroStrategy, Cl A (B)* 32,300 3,289 MTS Systems 30,400 983 Net 1 UEPS Technologies* 36,287 830 Netlogic Microsystems (B)* 95,606 2,426 Nuance Communications (B)* 413,160 3,376 Omnivision Technologies (B)* 181,500 2,590 ON Semiconductor (B)* 479,300 2,818 Online Resources* 65,219 799 Opsware (B)* 117,500 1,059 OPTI (Canada) (J)* 207,000 3,321 OSI Systems (B)* 139,000 2,724 Packeteer* 42,200 363 Parametric Technology* 35,100 613 Parkervision (B)* 223,000 1,621 Perot Systems, Cl A* 52,600 725 Pixelworks* 553,050 1,632 Plexus* 49,800 956 PLX Technology* 328,499 3,407 PMC - Sierra (B)* 248,500 1,476 Polycom (B)* 546,800 13,413 Powerwave Technologies* 114,100 867 Presstek (B)* 145,529 784 Quality Systems (B)* 17,683 686 Rackable Systems (B)* 163,763 4,482 Radyne* 75,900 929 RealNetworks (B)* 255,700 2,713 Redback Networks (B)* 32,800 455 RF Micro Devices (B)* 819,700 6,213 Rudolph Technologies* 124,300 2,278 SAVVIS (B)* 28,000 798 Seachange International (B)* 227,500 2,023 Secure Computing* 60,400 382 Sigma Designs (B)* 46,420 694 Sina (B)* 10,143 255 Sirenza Microdevices* 39,300 310 Sirf Technology Holdings (B)* 85,100 2,042 Skyworks Solutions* 543,300 2,820 Solectron* 983,400 3,206 Spatialight (B)* 267,200 558 Spatialight (D) (G)* 100,000 209 Spatialight PIPE (I)* 8,667 16 Spatialight PIPE (I)* 110,000 207 STATS ChipPAC ADR (B)* 164,082 986 Stratasys (B)* 41,845 1,105 SYKES Enterprises* 95,985 1,953 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Symmetricom (B)* 221,300 $ 1,786 Synaptics* 15,400 375 Tessera Technologies (B)* 52,300 1,819 THQ (B)* 194,513 5,674 TIBCO Software* 237,900 2,136 Trident Microsystems (B)* 224,190 5,215 Triquint Semiconductor (B)* 921,800 4,793 TTM Technologies* 62,100 727 Ultra Clean Holdings* 164,200 1,754 United Online 185,600 2,261 Valueclick* 75,980 1,409 Varian Semiconductor Equipment Associates (B)* 87,061 3,195 Vasco Data Security International (B)* 71,881 745 Veeco Instruments* 66,700 1,344 VeriFone Holdings (B)* 200,205 5,716 Verigy Ltd* 21,000 341 WebEx Communications (B)* 101,524 3,961 Websense* 66,700 1,441 Wind River Systems* 495,000 5,301 Wright Express (B)* 126,865 3,052 -------------- 313,201 -------------- MATERIALS -- 3.0% ADA-ES (B)* 24,300 316 AK Steel Holding* 165,000 2,003 Brush Engineered Materials* 53,575 1,332 Carpenter Technology (B) 23,600 2,537 Cleveland-Cliffs (B) 85,400 3,255 First Quantum Minerals (Canada) (J) 67,400 3,156 Grande Cache Coal (Canada) (J)* 429,000 377 Greif, Cl A 21,275 1,704 Hercules* 169,700 2,676 Myers Industries 12,800 218 Oregon Steel Mills* 600 29 Reliance Steel & Aluminum 52,765 1,696 Schnitzer Steel Industries, Cl A 83,200 2,624 Steel Dynamics 37,200 1,877 Symyx Technologies (B)* 118,300 2,507 TAC Acquisition* 354,500 2,240 Texas Industries (B) 61,000 3,176 Wheeling-Pittsburgh* 123,500 2,113 -------------- 33,836 -------------- TELECOMMUNICATION SERVICES -- 1.3% Cbeyond (B)* 45,832 1,258 Centennial Communications* 89,900 479 Fairpoint Communications 253,000 4,402 NeuStar, Cl A* 27,591 766 SBA Communications, Cl A (B)* 208,628 5,076 Syniverse Holdings* 99,500 1,492 Time Warner Telecom, Cl A (B)* 45,328 862 -------------- 14,335 -------------- -------------------------------------------------------------------------------- 96 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- UTILITIES -- 0.5% New Jersey Resources 33,200 $ 1,637 Ormat Technologies 121,800 3,985 -------------- 5,622 -------------- Total Common Stock (Cost $1,039,447) ($ Thousands) 1,083,057 -------------- Number of Warrants ----------- WARRANTS -- 0.0% Infinity Bio-Energy, Expires 05/23/10 (I)* 968,246 561 Parkervision (D) (G) (I)* 17,500 33 -------------- Total Warrants (Cost $502) ($ Thousands) 594 -------------- CORPORATE OBLIGATIONS (C) -- 18.3% FINANCIALS -- 18.3% Allstate Life Global Funding II MTN (F) (H) 5.370%, 10/16/06 $ 3,143 3,143 American General Finance (F) (H) 5.360%, 10/16/06 9,907 9,906 Bear Stearns EXL (F) 5.370%, 10/16/06 12,162 12,162 Countrywide Financial MTN (F) 5.448%, 12/27/06 4,099 4,099 Countrywide Financial MTN, Ser A (F) 5.548%, 11/03/06 7,174 7,174 Dekabank (F) (H) 5.490%, 10/19/06 12,640 12,639 Glitner Banki (F) (H) 5.380%, 10/10/06 10,249 10,249 Irish Life & Permanent MTN, Ser X (F) (H) 5.370%, 10/23/06 9,087 9,086 Islandsbanki (F) (H) 5.380%, 10/23/06 5,808 5,808 Jackson National Life Funding (F) (H) 5.330%, 10/02/06 15,031 15,031 Kaupthing Bank MTN (F) (H) 5.390%, 10/20/06 17,081 17,081 Lakeside Funding (F) 5.330%, 10/10/06 4,085 4,085 Landsbanki Islands (F) (H) 5.410%, 10/16/06 12,982 12,982 Morgan Stanley EXL (F) 5.390%, 10/04/06 2,391 2,391 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Morgan Stanley EXL, Ser S (F) 5.350%, 10/03/06 $ 3,416 $ 3,416 Natexis Banques (F) (H) 5.310%, 10/16/06 6,662 6,661 Nationwide Building Society (F) (H) 5.424%, 12/28/06 3,758 3,758 5.360%, 10/10/06 6,832 6,832 Nordbank (F) (H) 5.360%, 10/23/06 11,615 11,614 Northern Rock (F) (H) 5.370%, 10/03/06 7,037 7,037 Pacific Life Global Funding (F) (H) 5.380%, 10/13/06 5,124 5,124 Premium Asset Trust, Ser 2004-10 (F) (H) 5.370%, 10/16/06 9,565 9,565 SLM EXL, Ser S (F) (H) 5.330%, 10/16/06 7,516 7,516 Sigma Finance MTN (H) 4.745%, 11/09/06 3,690 3,690 Skandinav Enskilda Bank (F) (H) 5.320%, 10/18/06 7,516 7,515 Stanfield Victoria MTN (F) (H) 5.445%, 06/11/07 6,832 6,832 -------------- Total Corporate Obligations (Cost $205,396) ($ Thousands) 205,396 -------------- COMMERCIAL PAPER (C) (E) -- 5.4% Broadhollow Funding 5.502%, 10/02/06 13,665 13,660 Citius I Funding 5.313%, 10/17/06 3,416 3,408 Elysian Funding LLC 5.427%, 11/27/06 6,132 6,079 5.401%, 11/20/06 5,483 5,441 5.390%, 11/06/06 6,832 6,795 Georgetown Funding 5.349%, 10/24/06 1,759 1,753 Mica Funding LLC 5.299%, 10/12/06 6,832 6,820 Ocala Funding 5.321%, 10/20/06 3,416 3,406 5.318%, 10/10/06 7,791 7,779 Rhineland Funding Capital 5.470%, 10/12/06 3,416 3,410 5.378%, 12/12/06 2,249 2,225 -------------- Total Commercial Paper (Cost $60,777) ($ Thousands) 60,776 -------------- -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 97 SCHEDULE OF INVESTMENTS Small Cap Growth Fund (Concluded) September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)/Shares ($ Thousands) -------------------------------------------------------------------------------- ASSET-BACKED SECURITIES (C) (F) (H) -- 2.9% MORTGAGE RELATED SECURITIES -- 2.9% Cheyne High Grade, Ser 2004-1A, Cl AM1 5.466%, 11/10/06 $ 3,416 $ 3,416 Commodore, Ser 2003-2A, Cl A1MM 5.470%, 12/12/06 3,143 3,143 Duke Funding, Ser 2004-6B, Cl A1S1 5.577%, 10/10/06 5,124 5,124 Newcastle CDO, Ser 2005-6A, Cl IM1 5.350%, 10/24/06 1,366 1,366 Park Place Securities NIM Trust, Ser 2004-MM1, Cl AM6 5.360%, 10/25/06 3,036 3,036 Saturn Ventures II 5.390%, 10/10/06 5,502 5,502 TIAA Real Estate CDO, Ser 2003 1A, Cl A1MM 5.354%, 10/30/06 5,081 5,081 Whitehawk CDO Funding, Ser 2004-1A 5.340%, 10/16/06 5,897 5,897 -------------- Total Asset-Backed Securities (Cost $32,565) ($ Thousands) 32,565 -------------- CASH EQUIVALENTS -- 3.3% Merrill Lynch EBP Master 5.220%** 4,602,287 4,602 SEI Daily Income Trust, Prime Obligation Fund, Cl A, 32,332,861 32,333 5.330%**++ -------------- Total Cash Equivalents (Cost $36,935) ($ Thousands) 36,935 -------------- MASTER NOTE (C) -- 1.5% Bank of America 5.445%, 10/02/06 17,081 17,081 -------------- Total Master Note (Cost $17,081) ($ Thousands) 17,081 -------------- CERTIFICATES OF DEPOSIT (C) -- 1.2% Barclays Bank (F) 5.440%, 06/11/07 3,416 3,416 CC USA MTN (H) 5.520%, 06/18/07 6,833 6,833 U.S. Trust of New York (F) 5.370%, 10/13/06 2,733 2,733 -------------- Total Certificates of Deposit (Cost $12,982) ($ Thousands) 12,982 -------------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATION (A) (E) -- 0.2% U.S. Treasury Bill 4.983%, 11/24/06 $ 2,290 $ 2,274 -------------- Total U.S. Treasury Obligation (Cost $2,273) ($ Thousands) 2,274 -------------- REPURCHASE AGREEMENTS (C) (K) -- 3.6% Barclays 5.350%, dated 09/29/06, to be repurchased on 10/02/06, repurchase price $9,495,502 (collateralized by a U.S. Government Obligation, par value $9,065,066, 6.000%, 05/15/11; with total market value $9,681,158) 9,491 9,491 Deutsche Bank 5.330%, dated 09/29,06, to be repurchased on 10/02/06, repurchase price $13,670,831 (collateralized by various U.S. Government Obligations, ranging in par value $118,200- $3,999,197, 3.750%-5.300%, 02/21/08-04/25/14; with total market value $13,938,100) 13,665 13,665 Lehman Brothers 5.330%, dated 09/29/06, to be repurchased on 10/02/06, repurchase price $17,088,952 (collateralized by various U.S. Government Obligations, ranging in par value $1,179,269- $2,101,640, 2.500%-5.705%, 01/30/07-05/18/16; with total market value $17,422,765) 17,081 17,081 -------------- Total Repurchase Agreements (Cost $40,237) ($ Thousands) 40,237 -------------- Total Investments -- 132.8% (Cost $1,448,195) ($ Thousands) $ 1,491,897 ============== -------------------------------------------------------------------------------- 98 SEI Institutional Managed Trust / Annual Report / September 30, 2006 Futures -- A summary of the open futures contracts held by the Fund at September 30, 2006, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED TYPE OF NUMBER OF EXPIRATION APPRECIATION CONTRACT CONTRACTS DATE ($ THOUSANDS) -------------------------------------------------------------------------------- Russell 2000 Index E-MINI 312 Dec-2006 $533 ==== Percentages are based on Net Assets of $1,123,239 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of September 30, 2006. +++ Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. + Real Estate Investment Trust. ++ Pursuant to an exemptive order issued by the Securities and Exchange Commission, the Fund may invest in the SEI money market funds, provided that investments in the money market funds do not exceed 25% of the Fund's total assets. (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. (B) This security or a partial position of this security is on loan at September 30, 2006 (see Note 7). The total value of securities on loan at September 30, 2006 was $352,968 ($ Thousands). (C) This security was purchased with cash collateral held from securities on loan (see Note 7). The total value of such securities as of September 30, 2006 was $369,037 ($ Thousands). (D) This security considered restricted. The total value of such securities as of September 30, 2006 was $5,870 ($ thousands) and represented 0.52% of Net Assets. (E) The rate reported is the effective yield at time of purchase. (F) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2006. The date reported on the Schedule of Investments is the next reset date. (G) Securities considered illiquid. The total value of such securities as of September 30, 2006 was $5,870 ($Thousands) and represents 0.52% of Net Assets. (H) This security was sold within the terms of a private placement memorandum, exempt from registration under Section 3A-4, 4(2) or 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (I) Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total value of such securities as of September 30, 2006 was $7,980 ($ Thousands) and represented 0.71% of Net Assets. (J) This security is traded on a foreign stock exchange. The total value of such securities as of September 30, 2006 was $28,231 and represents 2.51% of Net Assets. (K) Tri-Party Repurchase Agreement. ADR -- American Depository Receipt CDO -- Collateralized Debt Obligation Cl -- Class EXL -- Extendable Maturity LLC -- Limited Liability Company MTN -- Medium Term Note NIM -- Net Interest Margin PIPE -- Private Investment, Public Entity Ser -- Series The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 99 SCHEDULE OF INVESTMENTS Mid-Cap Fund September 30, 2006 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS# (UNAUDITED): [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 24.9% Financials 14.4% Information Technology 13.4% Consumer Discretionary 10.1% Health Care 9.9% Industrials 6.8% Materials 5.5% Utilities 4.9% Energy 4.6% Consumer Staples 3.7% Short-Term Investments 1.0% Asset-Backed Securities 0.7% Telecommunication Services 0.1% U.S. Treasury Obligation #Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7). -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- COMMON STOCK -- 97.1% CONSUMER DISCRETIONARY -- 15.0% Abercrombie & Fitch, Cl A 2,700 $ 188 AnnTaylor Stores (B)* 19,600 820 Brinker International 26,000 1,042 Darden Restaurants 21,800 926 Dollar Tree Stores (B)* 33,200 1,028 EchoStar Communications, Cl A (B)* 32,300 1,058 Goodyear Tire & Rubber (B)* 14,300 207 Harley-Davidson 21,300 1,337 J.C. Penney 6,300 431 Jarden* 11,600 382 Liberty Media Holding-Capital, Ser A* 4,800 401 MGM Mirage* 27,300 1,078 Nordstrom 4,500 190 Office Depot* 33,600 1,334 OfficeMax 22,500 917 Rent-A-Center (B)* 12,150 356 TRW Automotive Holdings* 26,800 645 Whirlpool 13,900 1,169 -------------- 13,509 -------------- CONSUMER STAPLES -- 5.1% HJ Heinz 10,600 445 Hormel Foods 1,300 47 Kroger 63,800 1,476 Loews - Carolina 19,100 1,058 Pepsi Bottling Group 44,800 1,590 -------------- 4,616 -------------- ENERGY -- 5.5% Plains Exploration & Production (B)* 26,600 1,141 SEACOR Holdings* 13,400 1,106 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- St. Mary Land & Exploration 22,800 $ 837 Sunoco 2,200 137 Tesoro 6,500 377 Tidewater 11,000 486 Unit* 18,200 837 W&T Offshore 2,000 58 -------------- 4,979 -------------- FINANCIALS -- 18.2% American Financial Group 34,000 1,596 AmeriCredit (B)* 5,100 127 Apartment Investment & Management, Cl A 1,000 54 Assurant 6,400 342 Bank of Hawaii 18,500 891 CapitalSource+ 44,100 1,139 CB Richard Ellis Group, Cl A* 16,900 416 CNA Financial* 16,900 609 Comerica 18,600 1,059 Cullen/Frost Bankers 12,900 746 E*Trade Financial* 22,800 545 East West Bancorp 19,800 784 Hospitality Properties Trust+ (B) 34,200 1,614 Host Hotels & Resorts+ 37,800 867 Investment Technology Group* 20,400 913 iStar Financial+ (B) 28,700 1,197 Nationwide Financial Services, Cl A 30,700 1,477 New Century Financial+ (B) 24,100 947 Philadelphia Consolidated Holding* 11,200 445 WR Berkley 17,550 621 -------------- 16,389 -------------- HEALTH CARE -- 11.4% Advanced Medical Optics* 18,100 716 Applera - Applied Biosystems Group 8,800 291 Celgene (B)* 12,300 533 Cephalon (B)* 5,300 327 Cerner (B)* 6,200 281 Community Health Systems* 14,500 541 Coventry Health Care* 4,700 242 Cytyc* 32,800 803 Dade Behring Holdings 17,000 683 Emdeon* 87,100 1,020 Endo Pharmaceuticals Holdings* 14,700 478 Hospira* 1,900 73 Kinetic Concepts* 17,000 535 King Pharmaceuticals* 50,200 855 McKesson 20,800 1,097 Mylan Laboratories 10,000 201 PDL BioPharma (B)* 12,600 242 Sierra Health Services* 23,000 870 -------------------------------------------------------------------------------- 100 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Techne (B)* 5,400 $ 275 WellCare Health Plans* 3,600 204 -------------- 10,267 -------------- INDUSTRIALS -- 11.1% American Standard 23,200 974 Carlisle 4,200 353 Continental Airlines, Cl B* 29,800 844 CSX 10,400 341 Cummins 13,400 1,598 Eaton 8,600 592 Flowserve* 10,300 521 Parker Hannifin 14,500 1,127 Republic Services 23,600 949 Roper Industries 8,600 385 RR Donnelley & Sons 5,100 168 Ryder System 18,600 961 Swift Transportation* 10,000 237 Thomas & Betts* 11,300 539 Timken 11,100 331 WESCO International* 2,400 139 -------------- 10,059 -------------- INFORMATION TECHNOLOGY -- 16.2% Amphenol, Cl A 2,800 173 Autodesk* 7,700 268 AVX 7,100 126 BMC Software (B)* 62,600 1,704 Cadence Design Systems (B)* 25,900 439 Ceridian* 54,000 1,207 Computer Sciences* 22,600 1,110 Fair Isaac 24,300 889 Freescale Semiconductor, Cl B* 40,200 1,528 Global Payments 8,900 392 Harris 21,500 957 Lam Research (B)* 25,000 1,133 Lexmark International, Cl A (B)* 18,200 1,049 LSI Logic (B)* 71,200 585 MEMC Electronic Materials* 11,400 418 Mettler Toledo International* 17,100 1,131 National Semiconductor 19,800 466 Teradyne* 23,100 304 Western Digital* 38,200 691 -------------- 14,570 -------------- MATERIALS -- 7.6% Albemarle 4,900 266 Celanese, Ser A 45,500 815 Eagle Materials (B) 26,300 886 -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- FMC 23,500 $ 1,506 Lyondell Chemical 21,200 538 Martin Marietta Materials 17,900 1,515 Phelps Dodge 3,500 296 Temple-Inland 22,500 902 United States Steel 2,400 138 -------------- 6,862 -------------- TELECOMMUNICATION SERVICES -- 0.8% Leap Wireless International* 11,300 548 Qwest Communications International* 19,900 174 -------------- 722 -------------- UTILITIES -- 6.2% AES* 59,200 1,207 Alliant Energy 27,500 982 National Fuel Gas 21,200 771 Pepco Holdings 49,400 1,194 PG&E (B) 23,600 983 PPL 14,000 461 -------------- 5,598 -------------- Total Common Stock (Cost $79,695) ($ Thousands) 87,571 -------------- CORPORATE OBLIGATIONS (C) -- 6.8% FINANCIALS -- 6.8% Allstate Life Global Funding II MTN (E) (F) 5.370%, 10/16/06 $ 94 94 American General Finance (E) (F) 5.360%, 10/16/06 296 296 Bear Stearns EXL (E) 5.370%, 10/16/06 364 364 Countrywide Financial MTN (E) 5.448%, 12/27/06 123 123 Countrywide Financial MTN, Ser A (E) 5.548%, 11/03/06 215 215 Dekabank (E) (F) 5.490%, 10/19/06 378 378 Glitner Banki (E) (F) 5.380%, 10/10/06 306 306 Irish Life & Permanent MTN, Ser X (E) (F) 5.370%, 10/23/06 272 272 Islandsbanki (E) (F) 5.380%, 10/23/06 174 174 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 101 SCHEDULE OF INVESTMENTS Mid-Cap Fund (Concluded) September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Jackson National Life Funding (E) (F) 5.330%, 10/02/06 $ 450 $ 450 Kaupthing Bank MTN (E) (F) 5.390%, 10/20/06 511 511 Lakeside Funding (E) 5.330%, 10/10/06 122 122 Landsbanki Islands (E) (F) 5.410%, 10/16/06 388 388 Morgan Stanley EXL (E) 5.390%, 10/04/06 72 72 Morgan Stanley EXL, Ser S (E) 5.350%, 10/03/06 102 102 Natexis Banques (E) (F) 5.310%, 10/16/06 199 199 Nationwide Building Society (E) (F) 5.424%, 12/28/06 112 112 5.360%, 10/10/06 204 204 Nordbank (E) (F) 5.360%, 10/23/06 347 347 Northern Rock (E) (F) 5.370%, 10/03/06 210 210 Pacific Life Global Funding (E) (F) 5.380%, 10/13/06 153 153 Premium Asset Trust, Ser 2004-10 (E) (F) 5.370%, 10/16/06 286 286 SLM EXL, Ser S (E) (F) 5.330%, 10/16/06 225 225 Sigma Finance MTN (F) 4.745%, 11/09/06 110 110 Skandinav Enskilda Bank (E) (F) 5.320%, 10/18/06 225 225 Stanfield Victoria MTN (E) (F) 5.445%, 06/11/07 204 204 -------------- Total Corporate Obligations (Cost $6,142) ($ Thousands) 6,142 -------------- COMMERCIAL PAPER (C) (D) -- 2.0% Broadhollow Funding 5.502%, 10/02/06 409 408 Citius I Funding 5.313%, 10/17/06 102 102 Elysian Funding LLC 5.427%, 11/27/06 183 182 5.401%, 11/20/06 164 163 5.390%, 11/06/06 204 203 Georgetown Funding 5.349%, 10/24/06 53 52 Mica Funding LLC 5.299%, 10/12/06 204 204 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)/Shares ($ Thousands) -------------------------------------------------------------------------------- Ocala Funding 5.321%, 10/20/06 $ 102 $ 102 5.318%, 10/10/06 233 233 Rhineland Funding Capital 5.470%, 10/12/06 102 102 5.378%, 12/12/06 67 66 -------------- Total Commercial Paper (Cost $1,817) ($ Thousands) 1,817 -------------- ASSET-BACKED SECURITIES (C) (E) (F) -- 1.1% MORTGAGE RELATED SECURITIES -- 1.1% Cheyne High Grade, Ser 2004-1A, Cl AM1 5.466%, 11/10/06 102 102 Commodore, Ser 2003-2A, Cl A1MM 5.470%, 12/12/06 94 94 Duke Funding, Ser 2004-6B, Cl A1S1 5.577%, 10/10/06 153 153 Newcastle CDO, Ser 2005-6A, Cl IM1 5.350%, 10/24/06 41 41 Park Place Securities NIM Trust, Ser 2004-MM1, Cl AM6 5.360%, 10/25/06 91 91 Saturn Ventures II 5.390%, 10/10/06 165 165 TIAA Real Estate CDO, Ser 2003 1A, Cl A1MM 5.354%, 10/30/06 152 152 Whitehawk CDO Funding, Ser 2004-1A 5.340%, 10/16/06 176 176 -------------- Total Asset-Backed Securities (Cost $974) ($ Thousands) 974 -------------- CASH EQUIVALENT -- 2.8% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.330%**++ 2,521,409 2,521 -------------- Total Cash Equivalent (Cost $2,521) ($ Thousands) 2,521 -------------- MASTER NOTE (C) -- 0.6% Bank of America 5.445%, 10/02/06 511 511 -------------- Total Master Note (Cost $511) ($ Thousands) 511 -------------- -------------------------------------------------------------------------------- 102 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- CERTIFICATES OF DEPOSIT (C) -- 0.4% Barclays Bank (E) 5.440%, 06/11/07 $ 102 $ 102 CC USA MTN (F) 5.520%, 06/18/07 204 204 U.S. Trust of New York (E) 5.370%, 10/13/06 82 82 -------------- Total Certificates of Deposit (Cost $388) ($ Thousands) 388 -------------- U.S. TREASURY OBLIGATION (A) (D) -- 0.1% U.S. Treasury Bill 4.892%, 12/14/06 100 99 -------------- Total U.S. Treasury Obligation (Cost $99) ($ Thousands) 99 -------------- REPURCHASE AGREEMENTS (C) (G) -- 1.3% Barclays 5.350%, dated 09/29/06, to be repurchased on 10/02/06, repurchase price $283,961 (collateralized by a U.S. Government Obligation, par value $271,089, 6.000%, 05/15/11; with total market value $289,513) 284 284 Deutsche Bank 5.330%, dated 09/29,06, to be repurchased on 10/02/06, repurchase price $408,823 (collateralized by various U.S. Government Obligations, ranging in par value $3,535-$119,595, 3.750%-5.300%, 02/21/08-04/25/14; with total market value $416,815) 409 409 Lehman Brothers 5.330%, dated 09/29/06, to be repurchased on 10/02/06, repurchase price $511,028 (collateralized by various U.S. Government Obligations, ranging in par value $35,266-$62,849, 2.500%-5.705%, 01/30/07-05/18/16; with total market value $521,023) 511 511 -------------- Total Repurchase Agreements (Cost $1,204) ($ Thousands) 1,204 -------------- Total Investments -- 112.2% (Cost $93,351) ($ Thousands) $ 101,227 ============== Futures -- A summary of the open futures contracts held by the Fund at September 30, 2006, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED TYPE OF NUMBER OF EXPIRATION DEPRECIATION CONTRACT CONTRACTS DATE ($ THOUSANDS) -------------------------------------------------------------------------------- S&P 400 Index E-MINI 32 Dec-2006 $(4) === Percentages are based on Net Assets of $90,208 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of September 30, 2006. + Real Estate Investment Trust. ++ Pursuant to an exemptive order issued by the Securities and Exchange Commission, the Fund may invest in the SEI money market funds, provided that investments in the money market funds do not exceed 25% of the Fund's total assets. (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. (B) This security or a partial position of this security is on loan at September 30, 2006 (see Note 7). The total value of securities on loan at September 30, 2006 was $10,618 ($ Thousands). (C) This security was purchased with cash collateral held from securities on loan (see Note 7). The total value of such securities as of September 30, 2006 was $11,036 ($ Thousands). (D) The rate reported is the effective yield at time of purchase. (E) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2006. The date reported on the Schedule of Investments is the next reset date. (F) This security was sold within the terms of a private placement memorandum, exempt from registration under Section 3A-4, 4(2) or 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. (G) Tri-Party Repurchase Agreement. CDO -- Collateralized Debt Obligation Cl -- Class EXL -- Extendable Maturity LLC -- Limited Liability Company MTN -- Medium Term Note NIM -- Net Interest Margin Ser -- Series The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 103 SCHEDULE OF INVESTMENTS U.S. Managed Volatility Fund September 30, 2006 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS# (UNAUDITED): [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 19.8% Financials 14.0% Consumer Staples 12.1% Health Care 10.8% Utilities 9.5% Short-Term Investments 7.7% Industrials 6.4% Information Technology 5.8% Consumer Discretionary 5.0% Energy 4.5% Telecommunication Services 3.9% Materials 0.5% U.S. Treasury Obligation #Percentages based on total investments. -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- COMMON STOCK -- 89.5% CONSUMER DISCRETIONARY -- 5.8% Autoliv 22,000 $ 1,212 Belo, Cl A 16,100 255 Choice Hotels International 14,800 605 Clear Channel Outdoor Holdings, Cl A* 11,403 233 Dillard's, Cl A 29,600 969 DIRECTV Group* 63,400 1,248 Gildan Activewear* 10,700 519 Harte-Hanks 28,900 761 Hearst-Argyle Television 31,170 715 ITT Educational Services* 16,200 1,074 J.C. Penney 16,300 1,115 John Wiley & Sons, Cl A 16,800 605 Lamar Advertising, Cl A* 21,600 1,154 Pacific Sunwear of California* 24,700 372 Panera Bread, Cl A* 8,400 489 Polaris Industries 13,300 547 Shaw Communications, Cl B 37,000 1,111 TRW Automotive Holdings* 36,600 881 Valassis Communications* 12,800 226 Washington Post, Cl B 2,528 1,863 Weight Watchers International 21,700 962 Yum! Brands 12,300 640 -------------- 17,556 -------------- CONSUMER STAPLES -- 13.9% Anheuser-Busch 95,569 4,540 Brown-Forman, Cl B 44,767 3,431 Church & Dwight 23,700 927 Clorox 11,500 725 Coca-Cola Enterprises 90,678 1,889 Colgate-Palmolive 1,916 119 Costco Wholesale 24,278 1,206 Dean Foods* 90,963 3,822 General Mills 32,332 1,830 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Hershey 31,872 $ 1,704 HJ Heinz 14,100 591 Hormel Foods 121,926 4,387 JM Smucker 20,900 1,002 Kellogg 69,730 3,453 Kimberly-Clark 11,762 769 Loews - Carolina 19,775 1,095 McCormick 73,407 2,788 Pepsi Bottling Group 73,743 2,618 PepsiAmericas 106,958 2,283 PepsiCo 11,393 744 Smithfield Foods* 88,393 2,388 -------------- 42,311 -------------- ENERGY -- 4.9% Cameco 33,200 1,214 Chevron 54,831 3,556 Enbridge 37,300 1,204 Exxon Mobil 50,207 3,369 Holly 19,100 828 Imperial Oil 28,800 966 Murphy Oil 25,457 1,210 Nexen 12,600 674 Teekay Shipping 23,900 983 Transcanada 31,400 987 -------------- 14,991 -------------- FINANCIALS -- 19.7% Alleghany* 3,029 875 American Financial Group 46,181 2,167 American National Insurance 3,510 407 AvalonBay Communities+ 16,548 1,992 BancorpSouth 34,700 963 BOK Financial 40,832 2,148 Brookfield Asset Management 27,900 1,237 Cincinnati Financial 89,355 4,294 CNA Financial* 75,399 2,716 Commerce Bancshares 63,353 3,204 Credicorp 26,300 1,104 East West Bancorp 23,200 919 Erie Indemnity, Cl A 21,668 1,135 Federal Realty Investment Trust+ 17,035 1,266 Federated Investors, Cl B 34,400 1,163 Fidelity National Title Group, Cl A 6,155 129 First Citizens Bancshares, Cl A 6,429 1,229 Fulton Financial 69,400 1,124 Jones Lang LaSalle 11,200 957 Liberty Property Trust+ 45,590 2,179 Loews 88,729 3,363 Mack-Cali Realty+ 24,814 1,285 Markel* 9,016 3,702 Mercury General 51,278 2,544 -------------------------------------------------------------------------------- 104 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- PMI Group 20,200 $ 885 Reinsurance Group of America 61,438 3,190 RenaissanceRe Holdings 22,400 1,245 Safeco 58,553 3,451 Stancorp Financial Group 20,000 893 Student Loan 609 117 Transatlantic Holdings 5,759 348 Unitrin 6,156 272 Valley National Bancorp 44,700 1,143 Ventas+ 5,657 218 Washington Federal 7,829 176 Washington Mutual 25,481 1,108 Webster Financial 71,132 3,351 Wesco Financial 614 268 Whitney Holding 24,600 880 -------------- 59,647 -------------- HEALTH CARE -- 12.0% Alcon 10,800 1,237 AmerisourceBergen 45,309 2,048 Barr Pharmaceuticals* 12,200 634 Cardinal Health 24,528 1,612 Celgene* 18,200 788 Charles River Laboratories International* 25,900 1,124 Community Health Systems* 74,912 2,798 Dade Behring Holdings 9,000 361 Dentsply International 32,600 982 Edwards Lifesciences* 22,700 1,058 Emdeon* 97,000 1,136 Endo Pharmaceuticals Holdings* 32,500 1,058 Henry Schein* 67,900 3,404 Hillenbrand Industries 67,542 3,849 Hologic* 15,200 661 Idexx Laboratories* 11,883 1,083 ImClone Systems* 9,000 255 Johnson & Johnson 8,462 550 King Pharmaceuticals* 55,900 952 Laboratory of America Holdings* 17,000 1,115 McKesson 23,900 1,260 Medco Health Solutions* 30,790 1,851 Merck 6,900 289 Patterson* 29,700 998 Quest Diagnostics 4,200 257 Schering-Plough 61,500 1,359 Techne* 13,100 666 Triad Hospitals* 20,600 907 VCA Antech* 29,900 1,078 WellPoint* 13,751 1,059 -------------- 36,429 -------------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- INDUSTRIALS -- 7.7% Alexander & Baldwin 8,700 $ 386 Alliant Techsystems* 24,052 1,950 Amerco* 6,200 460 CH Robinson Worldwide 26,100 1,163 Dun & Bradstreet* 40,448 3,033 GATX 12,500 517 Granite Construction 19,900 1,062 JetBlue Airways* 49,500 459 Landstar System 21,000 897 Lincoln Electric Holdings 16,700 909 Northrop Grumman 49,466 3,367 Pitney Bowes 77,156 3,423 Republic Services 44,359 1,784 Robert Half International 3,600 122 Union Pacific 15,900 1,399 UTI Worldwide 18,900 529 Waste Management 25,098 921 West* 19,238 929 -------------- 23,310 -------------- INFORMATION TECHNOLOGY -- 6.4% Acxiom 39,800 981 Adtran 20,900 498 Affiliated Computer Services, Cl A* 14,400 747 ATI Technologies* 24,500 526 Electronic Data Systems 708 17 Factset Research Systems 20,100 976 Fair Isaac 28,500 1,042 Flir Systems* 16,200 440 Freescale Semiconductor, Cl B* 37,400 1,422 Harris 10,200 454 Hewitt Associates, Cl A* 7,500 182 Ingram Micro, Cl A* 118,339 2,267 Lexmark International, Cl A* 16,600 957 MoneyGram International 33,800 982 Qualcomm 12,000 436 Silicon Laboratories* 17,800 552 Sybase* 44,700 1,084 Tech Data* 61,196 2,236 Tektronix 10,500 304 Total System Services 49,100 1,121 Xerox* 80,600 1,254 Zebra Technologies, Cl A* 26,100 933 -------------- 19,411 -------------- MATERIALS -- 3.9% Agrium 30,900 834 Bemis 34,100 1,121 Eagle Materials 19,400 653 Martin Marietta Materials 12,000 1,015 Methanex 45,900 1,117 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 105 SCHEDULE OF INVESTMENTS U.S. Managed Volatility Fund (Concluded) September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Newmont Mining 35,398 $ 1,513 Nova Chemicals 32,800 1,007 Packaging of America 42,500 986 Pactiv* 37,400 1,063 Steel Dynamics 23,700 1,196 Valhi 4,676 109 Vulcan Materials 15,100 1,182 -------------- 11,796 -------------- TELECOMMUNICATION SERVICES -- 4.4% BCE 51,500 1,395 CenturyTel 24,500 972 Citizens Communications 65,500 919 Embarq 9,969 482 Leap Wireless International* 6,537 317 Telephone & Data Systems 107,435 4,523 US Cellular* 56,882 3,396 Verizon Communications 37,700 1,400 -------------- 13,404 -------------- UTILITIES -- 10.8% AGL Resources 29,600 1,080 Alliant Energy 26,600 950 Ameren 17,013 898 Atmos Energy 19,921 569 Consolidated Edison 22,500 1,040 Constellation Energy Group 13,700 811 DPL 36,100 979 DTE Energy 25,400 1,054 Edison International 28,700 1,195 Energen 23,400 980 Energy East 39,300 932 Entergy 5,526 432 Great Plains Energy 32,100 996 Hawaiian Electric Industries 79,158 2,142 MDU Resources Group 52,600 1,175 National Fuel Gas 26,991 981 NSTAR 35,800 1,194 OGE Energy 81,854 2,956 Pepco Holdings 44,000 1,064 PG&E 23,500 979 Puget Energy 110,489 2,511 SCANA 57,297 2,307 TECO Energy 59,700 934 TXU 22,400 1,401 Vectren 43,307 1,163 Westar Energy 40,900 962 Wisconsin Energy 22,600 975 -------------- 32,660 -------------- Total Common Stock (Cost $255,193) ($ Thousands) 271,515 -------------- -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- CASH EQUIVALENT -- 9.4% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.330%**++ 28,596,572 $ 28,597 -------------- Total Cash Equivalent (Cost $28,597) ($ Thousands) 28,597 -------------- U.S. TREASURY OBLIGATION (A) -- 0.5% U.S. Treasury Bill 4.982%, 11/24/06 $ 1,601 1,590 -------------- Total U.S. Treasury Obligation (Cost $1,589) ($ Thousands) 1,590 -------------- Total Investments -- 99.4% (Cost $285,379) ($ Thousands) $ 301,702 ============== Futures -- A summary of the open futures contracts held by the Fund at September 30, 2006, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED TYPE OF NUMBER OF EXPIRATION APPRECIATION CONTRACT CONTRACTS DATE ($ THOUSANDS) -------------------------------------------------------------------------------- S&P 500 Index E-MINI 283 Dec-2006 $237 ==== Percentages are based on Net Assets of $303,523 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of September 30, 2006. + Real Estate Investment Trust. ++ Pursuant to an exemptive order issued by the Securities and Exchange Commission, the Fund may invest in the SEI money market funds, provided that investments in the money market funds do not exceed 25% of the Fund's total assets. (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. The rate reported is the effective yield at time of purchase. Cl -- Class The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 106 SEI Institutional Managed Trust / Annual Report / September 30, 2006 Global Managed Volatility Fund September 30, 2006 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS# (UNAUDITED): [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 18.4% Financials 16.1% Health Care 11.8% Consumer Staples 11.0% Utilities 8.3% Industrials 8.2% Consumer Discretionary 7.5% Information Technology 5.5% Energy 4.8% Short-Term Investments 4.1% Materials 4.1% Telecommunication Services 0.2% U.S. Treasury Obligation 0.0% Asset-Backed Securities #Percentages based on total investments. -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- COMMON STOCK -- 93.6% AUSTRALIA -- 6.6% Allco Finance Group 3,077 $ 24 Australia & New Zealand Banking Group 10,654 214 Australia Gas & Light 8,691 139 Brambles Industries 18,230 173 Centro Properties Group 14,808 89 CFS Retail Property Trust 333,814 503 Commonwealth Bank of Australia 6,089 208 DB RREEF Trust 553,034 660 GPT Group 284,385 997 Leighton Holdings 2,789 40 Macquarie Goodman Group 33,080 161 Mirvac Group 18,919 67 Multiplex Group 158,666 417 Promina Group 15,991 71 Rio Tinto 14,403 753 Seek 4,570 17 Stockland 170,365 941 Telstra 91,628 254 Toll Holdings 9,376 108 Westfield Group 15,137 213 Woolworths 15,709 238 -------------- 6,287 -------------- AUSTRIA -- 1.9% Immoeast Immobilien Anlagen* 4,489 55 IMMOFINANZ Immobilien Anlagen* 79,131 952 Meinl European Land* 24,296 529 Telekom Austria 9,964 251 Wiener Staedtische Versicherung 545 34 -------------- 1,821 -------------- BELGIUM -- 1.6% AGFA-Gevaert 5,494 130 Belgacom 3,959 154 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Cofinimmo 983 $ 186 Colruyt 2,120 362 D'ieteren 207 69 InBev 4,607 253 KBC Groep 1,976 208 Mobistar 726 60 Umicore 531 79 -------------- 1,501 -------------- BERMUDA -- 0.4% Arch Capital Group* 862 55 PartnerRe 1,181 80 RenaissanceRe Holdings 4,557 253 -------------- 388 -------------- CANADA -- 2.3% Bank of Montreal* 4,200 254 BCE* 1,300 35 BCE 38,700 1,052 CGI Group, Cl A* 10,800 71 Cott* 11,800 202 Jean Coutu Group, Cl A 24,600 262 Quebecor World 17,900 187 Thomson 1,700 69 -------------- 2,132 -------------- CHINA -- 0.2% Foxconn International Holdings* 50,000 154 -------------- DENMARK -- 0.1% Jyske Bank* 600 34 Sydbank 1,600 59 Topdanmark* 275 38 -------------- 131 -------------- FINLAND -- 1.1% Fortum* 9,600 255 Kesko, Cl B* 5,609 236 Outokumpu* 9,800 250 Rautaruukki* 2,500 72 Sampo, Cl A* 9,300 194 -------------- 1,007 -------------- FRANCE -- 1.1% CNP Assurances 1,233 119 L'Oreal 2,077 211 Pernod-Ricard* 1,150 239 Sanofi-Aventis* 2,050 182 Vinci* 2,237 249 -------------- 1,000 -------------- -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 107 SCHEDULE OF INVESTMENTS Global Managed Volatility Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- GERMANY -- 0.5% Beiersdorf* 739 $ 39 Deutsche Boerse* 1,472 221 Deutsche Lufthansa* 8,434 179 H&R WASAG* 249 14 -------------- 453 -------------- HONG KONG -- 1.4% CLP Holdings 148,500 900 Esprit Holdings 10,000 91 Hang Seng Bank 11,400 144 Hong Kong & China Gas 56,000 131 HongKong Electric Holdings 21,000 98 -------------- 1,364 -------------- ITALY -- 1.9% Banca Carige 12,204 62 Banca Popolare dell'Emilia Romagna 518 12 Banche Popolari Unite 25,412 683 Banco Popolare di Verona e Novara 7,366 203 Davide Campari-Milano 2,441 22 Enel 23,527 215 ENI - Ente Nazionale Idrocarburi 6,911 205 Telecom Italia 60,622 172 UniCredito Italiano 29,533 245 -------------- 1,819 -------------- JAPAN -- 15.1% Brother Industries 8,000 101 Canon 5,000 261 Casio Computer 9,200 185 Central Japan Railway 78 832 Chiba Bank 27,000 241 Chubu Electric Power 26,800 697 Chugai Pharmaceutical 14,900 321 Daiichi Sankyo 7,300 207 Daito Trust Construction 11,100 603 Diamond Lease 800 39 East Japan Railway 34 238 Eisai 4,500 218 Glory 26,600 516 Gunma Bank 8,000 59 IBJ Leasing 400 10 Japan Airlines 35,000 68 Japan Prime Realty Investment 22 66 Kansai Electric Power 10,400 240 Katokichi 73,300 599 KDDI 32 200 Kikkoman 11,000 128 Komatsu 4,000 69 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Kyowa Hakko Kogyo 16,000 $ 113 Kyushu Electric Power 10,300 243 Mabuchi Motor 8,400 514 Makita 3,200 94 Meiji Dairies 74,000 500 Nippon Building Fund 7 71 Nippon Meat Packers 25,000 281 Nippon Suisan Kaisha 12,400 68 Nippon Telegraph & Telephone 130 639 Nissin Food Products 21,300 678 NOK 7,100 175 NTT DoCoMo 436 672 Odakyu Electric Railway 89,000 566 Okumura 17,000 93 Pioneer 8,000 141 Resona Holdings 41 123 Rinnai 10,500 301 Sega Sammy Holdings 200 6 Seiko Epson 2,600 71 Shinko Electric Industries 900 25 Sumisho Lease 900 51 Suzuken 4,800 180 Takeda Pharmaceutical 3,800 237 Toda 86,000 403 Tokyo Electric Power 43,800 1,261 Tokyo Style 8,000 96 Tsumura 1,000 23 Uni-Charm 11,600 645 Wacoal Holdings 6,000 76 Yamaha Motor 4,700 125 -------------- 14,369 -------------- NETHERLANDS -- 1.1% CSM 1,363 43 DSM 4,215 185 Heineken 5,329 243 Hunter Douglas 151 11 Royal Dutch Shell, Cl A 6,025 198 Royal KPN 19,403 247 Unilever 4,306 106 -------------- 1,033 -------------- NEW ZEALAND -- 0.6% Fletcher Building 6,586 37 Telecom of New Zealand 60,082 170 Warehouse Group 88,092 370 -------------- 577 -------------- NORWAY -- 0.4% Telenor 31,100 406 -------------- -------------------------------------------------------------------------------- 108 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- PORTUGAL -- 0.9% Banco Espirito Santo 37,633 $ 575 Cimpor Cimentos de Portugal 39,423 282 -------------- 857 -------------- SINGAPORE -- 0.4% SembCorp Marine* 12,000 25 Singapore Telecommunications* 156,500 241 UOL Group* 64,000 141 -------------- 407 -------------- SPAIN -- 2.4% Acciona 708 108 ACS Actividades Construcciones y Servicios 5,209 247 Altadis 4,309 204 Antena 3 de Television 4,485 92 Banco Espanol de Credito 3,456 71 Banco Popular Espanol 13,822 226 Banco Sabadell 3,704 133 Cia Espanola de Petroleos 463 35 Fomento de Construcciones y Contratas 1,922 153 Gestevision Telecinco 8,341 212 Iberdrola 6,586 295 Inditex 5,438 253 Repsol 7,185 214 -------------- 2,243 -------------- SWEDEN -- 1.4% Lundin Petroleum* 6,600 70 Sandvik* 20,200 231 Skandinaviska Enskilda Banken, Cl A* 8,800 237 Ssab Svenskt Stal, Cl A* 7,400 138 Svenska Handelsbanken, Cl A* 8,200 221 Swedish Match* 25,400 413 -------------- 1,310 -------------- SWITZERLAND -- 2.4% Alcon 1,313 150 Geberit* 51 62 Givaudan* 1,090 870 Nestle* 706 246 Swisscom* 2,821 936 -------------- 2,264 -------------- UNITED KINGDOM -- 5.9% Alliance Boots 78,317 1,134 Antofagasta 26,539 227 AstraZeneca 6,316 394 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- CSR* 4,862 $ 77 Firstgroup 13,054 120 Gallaher Group 11,304 184 GlaxoSmithKline 9,888 263 Imperial Tobacco Group 6,303 210 Inchcape 10,425 102 Intercontinental Hotels Group 14,752 258 Kelda Group 11,695 186 London Stock Exchange Group 7,541 174 Man Group 26,772 224 Marks & Spencer Group 22,022 264 National Grid 20,450 255 Next 7,352 260 Scottish & Newcastle 18,218 194 Scottish & Southern Energy 10,522 259 Scottish Power 18,641 227 Tate & Lyle 18,119 243 Tesco 32,889 221 Willis Group Holdings 3,792 144 -------------- 5,620 -------------- UNITED STATES -- 43.9% 3M 1,800 134 Abbott Laboratories 4,900 238 Aflac 4,500 206 Alliant Techsystems* 2,500 203 Allstate 3,500 220 AMERIGROUP* 3,400 100 AmerisourceBergen 5,400 244 Amgen* 3,000 215 Anheuser-Busch 23,400 1,112 Annaly Capital Management 10,900 143 Apache 3,900 246 Apollo Group, Cl A* 15,600 768 Arkansas Best 2,300 99 AvalonBay Communities 1,400 169 Avis Budget Group 34,600 633 Avon Products 25,400 779 Bank of America 21,500 1,152 Bankunited Financial, Cl A 7,400 193 Barr Pharmaceuticals* 4,300 223 BB&T 1,900 83 Beckman Coulter 2,600 150 Biogen Idec* 9,400 420 Biomet 16,100 518 BlackRock 700 104 Books-A-Million 1,300 23 Brown & Brown 2,600 79 Brown-Forman, Cl B 800 61 Burlington Northern Santa Fe 1,400 103 Cardinal Health 3,000 197 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 109 SCHEDULE OF INVESTMENTS Global Managed Volatility Fund (Concluded) September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Celadon Group* 3,200 $ 53 CH Robinson Worldwide 2,800 125 Chattem* 700 25 Chevron 3,000 195 Chubb 2,900 151 Cincinnati Financial 22,100 1,062 Coca-Cola 20,600 920 Coca-Cola Enterprises 11,000 229 Colgate-Palmolive 3,900 242 Colonial BancGroup 23,900 586 Community Health Systems* 12,700 474 Compass Bancshares 3,000 171 ConAgra Foods 17,000 416 ConocoPhillips 3,000 179 Consolidated Edison 4,300 199 Constellation Brands, Cl A* 5,800 167 Costco Wholesale 3,200 159 Coventry Health Care* 300 15 Dean Foods* 6,100 256 Dentsply International 12,200 367 DRS Technologies 1,900 83 East West Bancorp 700 28 Energy Transfer Partners 600 28 Entergy 2,600 203 Essex Property Trust 900 109 Express Scripts* 2,900 219 Exxon Mobil 3,100 208 Family Dollar Stores 7,400 216 FedEx 1,500 163 Fifth Third Bancorp 21,700 826 FirstEnergy 12,100 676 Forest Laboratories* 5,000 253 Frontier Oil 6,100 162 Fulton Financial 1,300 21 Gannett 2,500 142 General Dynamics 2,900 208 General Electric 7,000 247 General Mills 16,200 917 H&R Block 3,200 70 Hancock Holding 900 48 Harris 2,600 116 HCC Insurance Holdings 2,200 72 Health Net* 3,700 161 Hess 3,800 157 Hilb Rogal & Hobbs 700 30 Hillenbrand Industries 1,400 80 HJ Heinz 4,800 201 Home Properties of New York 1,300 74 Hormel Foods 1,300 47 Interstate Hotels & Resorts* 1,800 19 ITT 4,200 215 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- John H Harland 1,000 $ 36 Johnson & Johnson 15,400 1,000 Johnson Controls 1,000 72 Kellogg 20,300 1,005 Kraft Foods, Cl A 26,100 931 L-3 Communications Holdings 2,700 212 Laboratory Corp of America Holdings* 3,500 230 Lexmark International* 5,300 306 Lockheed Martin 5,900 508 Magellan Health Services* 4,700 200 Manpower 5,400 331 Marathon Oil 2,300 177 Markel* 100 41 Mattel 7,100 140 McClatchy, Cl A 14,400 608 McCormick 3,500 133 McGraw-Hill 4,300 250 McKesson 4,000 211 Medtronic 9,900 460 Merck 7,500 314 Mid-America Apartment Communities 800 49 Moody's 4,000 262 Murphy Oil 2,500 119 National Fuel Gas 2,300 84 New York Times, Cl A 23,000 529 Newmont Mining 5,000 214 Nike, Cl B 2,500 219 Northrop Grumman 10,400 708 Occidental Petroleum 4,000 192 OGE Energy 2,300 83 Old Dominion Freight Line* 2,700 81 Patterson* 29,200 981 PepsiCo 18,100 1,181 Pfizer 8,700 247 Pioneer Natural Resources 8,400 329 Principal Financial Group 4,600 250 Procter & Gamble 3,900 242 Progressive 8,200 201 Regions Financial 5,600 206 Reliance Steel & Aluminum 2,000 64 Ryder System 3,800 196 Sierra Health Services* 5,900 223 Southern 10,100 348 Steel Dynamics 500 25 STERIS 3,200 77 SunTrust Banks 14,400 1,113 Tenet Healthcare* 35,100 286 Triad Hospitals* 5,200 229 Tribune 32,900 1,076 TXU 3,700 231 Union Pacific 2,400 211 -------------------------------------------------------------------------------- 110 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- United Parcel Service, Cl B 2,800 $ 201 UnitedHealth Group 4,700 231 Universal Health Services, Cl B 4,100 246 Wachovia 3,800 212 Wal-Mart Stores 21,200 1,046 Walgreen 4,200 186 WellPoint* 3,100 239 Wells Fargo 6,900 250 WR Berkley 6,200 219 XTO Energy 4,600 194 Yum! Brands 4,400 229 Zimmer Holdings* 3,600 243 -------------- 41,722 -------------- Total Common Stock (Cost $86,761) ($ Thousands) 88,865 -------------- CASH EQUIVALENT -- 3.3% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.330%**+ 3,107,411 3,107 -------------- Total Cash Equivalent (Cost $3,107) ($ Thousands) 3,107 -------------- U.S. TREASURY OBLIGATION (A) -- 0.4% U.S. Treasury Bill 4.982%, 11/24/06 $ 400 397 -------------- Total U.S. Treasury Obligation (Cost $397) ($ Thousands) 397 -------------- Total Investments -- 97.3% (Cost $90,265) ($ Thousands) $ 92,369 ============== Futures -- A summary of the open futures contracts held by the Fund at September 30, 2006, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED TYPE OF NUMBER OF EXPIRATION APPRECIATION CONTRACT CONTRACTS DATE ($ THOUSANDS) -------------------------------------------------------------------------------- DJ Euro Stoxx 50 Index 17 Dec-2006 $19 FTSE 100 Index 3 Dec-2006 7 S&P 500 Index 6 Dec-2006 31 SPI 200 Index 2 Dec-2006 4 Topix Index 3 Dec-2006 8 --- $69 === Forward Foreign Currency Contracts -- A summary of the outstanding forward foreign currency contracts held by the Fund at September 30, 2006, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED CURRENCY CURRENCY APPRECIATION MATURITY TO DELIVER TO RECEIVE (DEPRECIATION) DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- 10/27/06 AUD 8,835 USD 6,631 $42 10/27/06 CAD 2,269 USD 2,033 (3) 10/27/06 EUR 13,077 USD 16,602 15 10/27/06 GBP 3,026 USD 5,733 80 10/27/06 JPY 1,824,299 USD 15,644 133 --- $267 ==== Percentages are based on Net Assets of $94,951 ($ Thousands). * Non-Income Producing Security. ** Rate shown is the 7-day effective yield as of September 30, 2006. + Pursuant to an exemptive order issued by the Securities and Exchange Commission, the Fund may invest in the SEI money market funds, provided that investments in the money market funds do not exceed 25% of the Fund's total assets. (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. The rate reported is the effective yield at time of purchase. AUD -- Australian Dollar CAD -- Canadian Dollar Cl -- Class EUR -- Euro GBP -- British Pound Sterling JPY -- Japanese Yen USD -- United States Dollar The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 111 SCHEDULE OF INVESTMENTS Real Estate Fund September 30, 2006 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS# (UNAUDITED): [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 87.9% Financials 6.9% Consumer Discretionary 4.9% Short-Term Investment 0.3% Exchange Traded Fund #Percentages based on total investments. -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- COMMON STOCK -- 87.2% CONSUMER DISCRETIONARY -- 6.4% Starwood Hotels & Resorts Worldwide 198,900 $ 11,375 WCI Communities* 51,300 895 -------------- 12,270 -------------- FINANCIALS -- 80.8% Acadia Realty Trust+ 34,300 875 AMB Property+ 72,600 4,001 Archstone-Smith Trust+ 178,950 9,742 AvalonBay Communities+ 70,000 8,428 Boston Properties+ 87,800 9,073 Brandywine Realty Trust+ 84,700 2,757 British Land (United Kingdom) (A) 17,295 441 Camden Property Trust+ 45,100 3,428 Corporate Office Properties Trust+ 81,800 3,661 Equity Office Properties Trust+ 200,400 7,968 Equity Residential+ 193,700 9,797 Essex Property Trust+ 19,900 2,416 Extra Space Storage+ 148,000 2,562 Federal Realty Investment Trust+ 40,000 2,972 General Growth Properties+ 136,010 6,481 Hammerson (United Kingdom) (A) 33,531 822 Host Hotels & Resorts+ 435,679 9,990 Kimco Realty+ 161,600 6,928 Land Securities Group (United Kingdom) (A) 21,578 793 Liberty Property Trust+ 30,600 1,462 Macerich+ 67,200 5,131 Mack-Cali Realty+ 79,300 4,108 Post Properties+ 69,950 3,324 Prologis+ 77,900 4,445 PS Business Parks+ 21,200 1,278 Public Storage+ 83,154 7,150 Regency Centers+ 29,500 2,028 Saul Centers+ 22,600 1,017 Simon Property Group+ 143,150 12,972 SL Green Realty+ 28,400 3,172 Strategic Hotels & Resorts+ 126,700 2,519 Taubman Centers+ 35,850 1,593 Thomas Properties Group+ 20,600 265 Unibail (France) (A) 10,249 2,151 Ventas+ 82,400 3,176 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Vornado Realty Trust+ 40,400 $ 4,404 Weingarten Realty Investors+ 54,200 2,332 -------------- 155,662 -------------- Total Common Stock (Cost $130,599) ($ Thousands) 167,932 -------------- EXCHANGE TRADED FUND -- 0.3% iShares Cohen & Steers Realty Majors Index Fund 6,000 551 -------------- Total Exchange Traded Fund (Cost $383) ($ Thousands) 551 -------------- CASH EQUIVALENT -- 4.5% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.330%**++ 8,697,436 8,697 -------------- Total Cash Equivalent (Cost $8,697) ($ Thousands) 8,697 -------------- Total Investments -- 92.0% (Cost $139,679) ($ Thousands) $ 177,180 ============== Percentages are based on Net Assets of $192,674 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of September 30, 2006. + Real Estate Investment Trust. ++ Pursuant to an exemptive order issued by the Securities and Exchange Commission, the Fund may invest in the SEI money market funds, provided that investments in the money market funds do not exceed 25% of the Fund's total assets. (A) This security is traded on a foreign stock exchange. The total value of such securities as of September 30, 2006 was $4,207 and represents 2.18% of Net Assets. Cl -- Class The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 112 SEI Institutional Managed Trust / Annual Report / September 30, 2006 Enhanced Income Fund September 30, 2006 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS* (UNAUDITED): [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 29.8% Asset-Backed Securities 25.0% Loan Participations 21.7% Short-Term Investments 15.7% Corporate Obligations 6.7% U.S. Government Mortgage-Backed Obligations 0.9% U.S. Government Agency Obligations 0.2% Certificates of Deposit *Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7). -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- ASSET-BACKED SECURITIES -- 32.4% AUTOMOTIVE -- 4.0% AESOP Funding II, Ser 2003-4A, Cl A2 (B) 2.860%, 08/20/09 $ 500 $ 481 AESOP Funding II, Ser 2003-5A, Cl A1 (B) 2.780%, 12/20/07 500 498 AmeriCredit Automobile Receivables Trust, Ser 2005-1, Cl B 4.480%, 11/06/09 840 833 Capital Auto Receivables Asset Trust, Ser 2006-SN1A, Cl A2A (B) 5.400%, 01/20/09 800 801 Ford Credit Auto Owner Trust, Ser 2006-B, Cl A2A 5.420%, 07/15/09 800 801 Harley-Davidson Motorcycle Trust, Ser 2006-1, Cl B (B) 5.240%, 11/15/13 1,000 1,001 Harley-Davidson Motorcycle Trust, Ser 2006-2, Cl A2 5.350%, 03/15/13 1,000 1,007 Harley-Davidson Motorcycle Trust, Ser 2006-3, Cl B 5.430%, 11/15/14 890 893 Nissan Auto Lease Trust, Ser 2005-A, Cl A2 4.610%, 01/15/08 1,423 1,421 Nissan Auto Receivables Owner Trust, Ser 2003-C, Cl A5 3.210%, 03/16/09 1,075 1,058 Onyx Acceptance Owner Trust, Ser 2004-C, Cl A4 3.500%, 12/15/11 650 639 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- WFS Financial Owner Trust, Ser 2005-3, Cl A2 4.110%, 06/17/08 $ 117 $ 117 -------------- 9,550 -------------- CREDIT CARDS -- 5.1% Advanta Business Card Master Trust, Ser 2004-C1, Cl C (C) 6.380%, 10/20/06 485 491 Advanta Business Card Master Trust, Ser 2005-C1, Cl C1 (C) 5.840%, 10/20/06 400 402 Advanta Business Card Master Trust, Ser 2006-B2, Cl B2 (C) 5.580%, 10/20/06 1,000 1,004 American Express Credit Account Master Trust, Ser 2004-C, Cl C (B) (C) 5.830%, 10/15/06 1,519 1,522 Bank One Issuance Trust, Ser 2004-B1, Cl B1 (C) 5.650%, 10/01/06 1,250 1,257 Capital One Multi-Asset Execution Trust, Ser 2004-C1, Cl C1 3.400%, 11/16/09 800 795 Citibank Credit Card Master Trust, Ser 1999-2, Cl A 5.875%, 03/10/11 675 688 Discover Card Mater Trust I, Ser 2005-1, Cl B (C) 5.480%, 10/18/06 1,500 1,501 Household Affinity Credit Card Master Trust, Ser 2003-1, Cl B (C) 5.880%, 10/15/06 1,250 1,257 Household Credit Card Master Note Trust I, Ser 2006-1, Cl B (C) 5.470%, 06/15/12 455 455 MBNA Credit Card Master Note Trust, Ser 2002-B1, Cl B1 5.150%, 07/15/09 500 500 Metris Master Trust, Ser 2004-2, Cl C (B) (C) 6.670%, 10/05/06 1,500 1,501 New Century Home Equity Loan Trust, Ser 2005-1, Cl A1MZ (C) 5.620%, 10/25/06 546 547 -------------- 11,920 -------------- -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 113 SCHEDULE OF INVESTMENTS Enhanced Income Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- MORTGAGE RELATED SECURITIES -- 23.3% Ace Securities, Ser 2006-HE1, Cl M2 (C) 5.730%, 10/27/06 $ 515 $ 516 Ace Securities, Ser 2006-NC1, Cl A2B (C) 5.480%, 10/25/06 1,148 1,149 Adjustable Rate Mortgage Trust, Ser 2005-12, Cl 2A1 (C) 5.729%, 03/25/36 1,353 1,357 Aicco Premium Finance Master Trust, Ser 2004-1, Cl A (C) 5.510%, 10/15/06 671 672 Ameriquest Mortgage Securities, Ser 2004-R12, Cl A3 (C) 5.610%, 10/08/06 445 446 Banc of America Funding, Ser 2005-F, Cl 4A1 (C) 5.387%, 10/01/06 1,199 1,200 Banc of America Mortgage Securities, Ser 2004-J, Cl 2A1 (C) 4.783%, 10/01/06 457 453 Banc of America Mortgage Securities, Ser 2005-C, Cl 2A2 (C) 4.711%, 10/01/06 1,230 1,213 Banc of America Mortgage Securities, Ser 2005-I, Cl 2A1 (C) 4.875%, 10/01/06 833 822 Bear Stearns Asset-Backed Securities, Ser 2005-HE11, Cl A1 (C) 5.450%, 10/25/06 454 454 Bear Sterns Adjustable Rate Mortgage Trust, Ser 2005-12, Cl 11A1 (C) 5.420%, 10/01/06 1,122 1,125 CapitalSource Commercial Loan Trust, Ser 2006-2A, Cl A1A (B) (C) 5.536%, 10/20/06 730 730 Citigroup Mortgage Loan Trust, Ser 2004-HYB3, Cl 1A (C) 3.914%, 10/01/06 688 687 Countrywide Asset-Backed Certificates, Ser 2005-13, Cl 3AV3 (C) 5.580%, 10/25/06 1,310 1,313 Countrywide Asset-Backed Certificates, Ser 2006-18, Cl M1 (C) 5.666%, 07/25/36 1,000 1,000 Countrywide Home Loans, Ser 2005-HY10, Cl 3A1A (C) 5.413%, 10/01/06 651 651 Countrywide Home Loans, Ser 2006-HYB1, Cl 1A1 (C) 5.401%, 10/20/06 1,329 1,325 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Credit Suisse First Boston Mortgage Securities, Ser 2004-TF2A, Cl A2 (B) (C) 5.530%, 10/15/06 $ 146 $ 146 Credit-Based Asset Servicing, Ser 2005-CB5, Cl AV1 (C) 5.440%, 10/25/06 142 142 Diversified Reit Trust, Ser 1999-1A, Cl A2 (B) 6.780%, 03/18/11 1,495 1,530 GE Business Loan Trust, Ser 2003-2A, Cl B (B) (C) 6.330%, 11/15/31 166 170 GE Commercial Equipment Financing, Ser 2004-1, Cl B (C) 5.530%, 10/20/06 591 593 GE Commercial Loan Trust, Ser 2006-3, Cl C (B) (C) 5.915%, 01/19/07 555 555 GE Corporate Aircraft Financing, Ser 2006-1A, Cl A2 (B) (C) 5.500%, 10/26/06 600 596 GMAC Commercial Mortgage Securities, Ser 1998-C2, Cl A2 6.420%, 05/15/35 1,146 1,165 GMAC Commercial Mortgage Securities, Ser 1999-CTL1, Cl A (B) 7.151%, 12/15/16 815 823 GMAC Mortgage Loan Trust, Ser 2005-AR6, Cl 2A1 (C) 5.228%, 10/01/06 1,317 1,313 GMAC Mortgage Loan Trust, Ser 2006-HE4, Cl A2 (C) (D) 5.470%, 10/25/06 1,150 1,150 GSR Mortgage Loan Trust, Ser 2005-AR2, Cl 1A2 (C) 4.602%, 10/01/06 1,000 1,001 Granite Master Issuer, Ser 2006-3, Cl M1 (C) 5.591%, 01/22/07 570 570 IMPAC CMB Trust, Ser 2005-1, Cl 1A1 5.590%, 10/25/06 797 797 IMPAC CMB Trust, Ser 2005-4, Cl 1M1 (C) 5.760%, 10/25/06 1,406 1,408 IXIS Real Estate Capital Trust, Ser 2006-HE3, Cl A2 (C) 5.428%, 10/25/06 1,250 1,250 JP Morgan Mortgage Acquisition, Ser 2006-WMC3, Cl A4 (C) 5.480%, 10/25/06 1,250 1,250 -------------------------------------------------------------------------------- 114 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- JP Morgan Mortgage Trust, Ser 2006-4, Cl 1A1 (C) 5.856%, 10/01/06 $ 3,108 $ 3,134 Katonah, Ser 2006-7A, Cl B (B) (C) 5.825%, 11/15/06 700 700 MLCC Mortgage Investors, Ser 2006-2, Cl 2A (C) 5.506%, 10/01/06 2,247 2,253 Master Adjustable Rate Mortgage, Ser 2004-12, Cl 5A1 (C) 4.466%, 10/01/06 323 325 Merrill Lynch Mortgage Investors, Ser 2005-A1, Cl 1A (C) 4.271%, 10/01/06 1,667 1,656 Merrill Lynch Mortgage Investors, Ser 2005-A9, Cl 2A1E (C) 5.171%, 12/25/35 2,780 2,759 Morgan Stanley Dean Witter Capital, Ser 2000-LIFE, Cl A2 7.570%, 11/15/36 960 1,017 Nationstar Home Equity Loan Trust, Ser 2006-B, Cl AV2 (C) 5.460%, 09/25/36 1,000 1,000 Option One Mortgage Loan Trust, Ser 2005-3, Cl M1 (C) 5.800%, 10/25/06 428 430 Prudential Commercial Mortgage Trust, Ser 2003-PWR1, Cl A1 3.669%, 02/11/36 1,340 1,288 Sequoia Mortgage Trust, Ser 2004-10, Cl A2 (C) 5.650%, 10/20/06 557 558 Sequoia Mortgage Trust, Ser 2004-11, Cl A1 (C) 5.630%, 10/20/06 406 407 Sequoia Mortgage Trust, Ser 2005-2, Cl A1 (C) 5.550%, 10/20/06 254 255 Wadsworth CDO, Ser 2006-1A, Cl B (B) (C) 5.876%, 11/05/46 315 315 Washington Mutual Master Note Trust, Ser 2006-C2A, Cl C2 (B) (C) 5.830%, 10/15/06 800 800 Washington Mutual, Ser 2003-AR10, Cl A6 (C) 4.063%, 10/01/06 1,500 1,468 Washington Mutual, Ser 2006-AR10, Cl 1A1 (C) 5.980%, 09/25/36 1,483 1,496 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Washington Mutual, Ser 2006-AR2, Cl 1A1 (C) 5.325%, 10/01/06 $ 887 $ 885 Wells Fargo Mortgage-Backed Securities, Ser 2003-J, Cl 2A4 (C) 4.450%, 10/25/33 582 570 Wells Fargo Mortgage-Backed Securities, Ser 2004-BB, Cl A2 (C) 4.560%, 10/01/06 943 926 Wells Fargo Mortgage-Backed Securities, Ser 2004-Z, Cl 2A1 (C) 4.577%, 10/01/06 826 816 Wells Fargo Mortgage-Backed Securities, Ser 2005-AR2, Cl 2A2 (C) 4.546%, 10/01/06 1,068 1,050 Wells Frago Mortgage-Backed Securities, Ser 2006-AR6, Cl 2A1 (C) 5.240%, 10/01/06 1,397 1,390 -------------- 55,070 -------------- Total Asset-Backed Securities (Cost $76,208) ($ Thousands) 76,540 -------------- LOAN PARTICIPATIONS (C) -- 27.1% Barrington 7.654%, 08/05/13 1,000 1,005 Burlington Coat Factory 7.530%, 05/28/13 1,995 1,932 Cequel Communications 7.739%, 11/05/13 2,000 1,981 Chiquita Brands 7.580%, 06/28/12 1,997 1,989 Data Transmission Network 8.517%, 03/10/13 1,000 1,000 Eastman Kodak 7.699%, 10/18/12 2,000 2,000 Eddie Bauer 9.580%, 06/21/11 1,995 1,987 Education Management 8.063%, 06/01/13 1,995 2,006 Ferro 8.580%, 06/06/12 1,111 1,108 8.682%, 06/06/12 (E) 889 -- Garden Fresh Restaurant 8.622%, 06/22/11 994 994 Global Petroleum 9.830%, 07/26/13 1,995 1,995 Graham Packaging 7.734%, 10/07/11 1,995 1,998 Ipayment 7.665%, 05/10/13 1,995 1,990 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 115 SCHEDULE OF INVESTMENTS Enhanced Income Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Jean Coutu Group 7.969%, 07/30/11 $ 1,994 $ 1,996 Keystone Automotive Operations 7.943%, 10/30/09 973 974 Kuilima Resort 8.150%, 09/30/10 1,589 1,569 Lake at Las Vegas Joint Venture 8.190%, 02/01/10 999 992 Land Investors 8.249%, 05/09/11 2,000 1,960 Lear 7.951%, 04/25/12 2,000 1,953 Lyondell Chemical 7.110%, 08/16/13 2,000 2,000 Movie Gallery 10.750%, 04/27/11 1,796 1,681 Northwest Airlines 7.900%, 08/21/08 1,000 1,000 Open Solutions 7.900%, 09/03/11 1,890 1,901 Orthofix Holding 7.120%, 09/22/13 1,500 1,501 Paramount Resources 9.860%, 08/25/12 1,000 1,010 Protection One Alarm Monitoring 7.808%, 03/31/12 1,995 1,999 Quintiles Transnational 7.500%, 03/31/13 1,995 1,991 Re Holding 8.402%, 12/09/08 2,000 1,996 Resorts International Holdings 9.500%, 04/26/12 2,000 2,008 Roofing Supply Group 8.580%, 06/30/13 1,000 990 Serena Software 7.410%, 03/10/13 2,000 1,997 Sirva Worldwide 11.410%, 12/01/10 1,830 1,723 Stratos Global 8.249%, 02/13/12 2,000 1,994 Sungard Data Systems 7.999%, 02/11/13 1,995 2,006 US Airways Group 8.999%, 03/31/11 2,000 2,011 VNU 8.190%, 08/01/13 1,000 996 Vanguard Car Rental USA Holding 8.319%, 06/14/13 1,870 1,870 Wideopenwest Finance 7.658%, 05/01/13 2,000 1,998 -------------- Total Loan Participations (Cost $64,466) ($ Thousands) 64,101 -------------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- CORPORATE OBLIGATIONS -- 17.1% CONSUMER DISCRETIONARY -- 3.4% CBS 7.700%, 07/30/10 $ 1,000 $ 1,077 COX Communications 4.625%, 01/15/10 1,000 973 Clear Channel Communications 6.250%, 03/15/11 1,000 1,003 Comcast Cable Communications 6.200%, 11/15/08 1,000 1,019 DaimlerChrysler 7.200%, 09/01/09 1,000 1,042 Federated Department Stores 6.300%, 04/01/09 1,000 1,017 Time Warner Entertainment 7.250%, 09/01/08 1,000 1,033 Univision Communications 3.875%, 10/15/08 825 784 -------------- 7,948 -------------- CONSUMER STAPLES -- 1.1% Altria Group 7.000%, 11/04/13 1,000 1,090 General Mills 2.625%, 10/24/06 500 499 Miller Brewing (B) 4.250%, 08/15/08 1,000 981 -------------- 2,570 -------------- FINANCIALS -- 7.8% American General Financial MTN, Ser I 4.875%, 07/15/12 1,000 973 Ameriprise Financial 5.350%, 11/15/10 1,000 1,003 BTM (Curacao) Holding (B) (C) 4.760%, 07/21/15 1,000 980 Banco Santander Chile (B) (C) 5.740%, 12/09/06 1,750 1,754 CIT Group 3.375%, 04/01/09 1,000 958 Capital One Financial MTN 5.700%, 09/15/11 510 514 EOP Operating 4.650%, 10/01/10 1,000 970 Everest Reinsurance Holdings 8.750%, 03/15/10 1,545 1,694 Hartford Financial Services Group 7.900%, 06/15/10 1,000 1,083 Huntington National Bank 4.375%, 01/15/10 500 486 -------------------------------------------------------------------------------- 116 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- ILFC E-Capital Trust I (B) (C) 5.900%, 12/21/06 $ 1,000 $ 1,007 Liberty Property+ 7.250%, 03/15/11 1,000 1,065 Merrill Lynch (C) 6.151%, 12/12/06 700 699 RSHB Capital (B) 7.175%, 05/16/13 650 676 St. Paul 5.750%, 03/15/07 570 571 Textron Financial MTN 5.125%, 02/03/11 1,000 995 Union Planters 7.750%, 03/01/11 1,000 1,095 Unitrin 4.875%, 11/01/10 1,000 971 Willis North America 5.125%, 07/15/15 1,000 983 -------------- 18,477 -------------- HEALTH CARE -- 0.9% Quest Diagnostic 5.125%, 11/01/10 1,000 990 Wyeth 6.950%, 03/15/11 1,000 1,063 -------------- 2,053 -------------- INDUSTRIALS -- 1.3% American Airlines, Ser 2002-1 (C) 6.009%, 12/23/06 892 892 Continental Airlines, Ser 98-3 6.320%, 11/01/08 1,270 1,279 Harrahs Operating 5.500%, 07/01/10 1,000 985 -------------- 3,156 -------------- TELECOMMUNICATION SERVICES -- 0.8% Corning 6.050%, 06/15/15 1,000 1,007 Telecom Italia Capital (C) 6.108%, 10/18/06 1,000 992 -------------- 1,999 -------------- UTILITIES -- 1.8% Dominion Resources, Ser D (C) 5.664%, 12/28/06 1,675 1,676 Nisource Finance (C) 5.968%, 11/23/06 1,500 1,500 PSEG Power 3.750%, 04/01/09 1,000 963 -------------- 4,139 -------------- Total Corporate Obligations (Cost $40,024) ($ Thousands) 40,342 -------------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)/Shares ($ Thousands) -------------------------------------------------------------------------------- U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 7.3% FNMA 6.500%, 09/01/26 $ 893 $ 913 FNMA TBA 6.000%, 10/20/19 16,000 16,240 -------------- Total U.S. Government Mortgage-Backed Obligations (Cost $17,109) ($ Thousands) 17,153 -------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 1.0% FNMA (A) 5.115%, 10/25/06 250 249 FNMA, Ser 2003-8, Cl BN 4.500%, 03/25/16 2,201 2,169 -------------- Total U.S. Government Agency Obligations (Cost $2,407) ($ Thousands) 2,418 -------------- CASH EQUIVALENT -- 9.5% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.330%*++ 22,318,928 22,319 -------------- Total Cash Equivalent (Cost $22,319) ($ Thousands) 22,319 -------------- TIME DEPOSITS -- 5.6% Royal Bank of Scotland 5.320%, 12/19/06 6,250 6,250 UBS London 5.270%, 10/31/06 6,924 6,924 -------------- Total Time Deposits (Cost $13,174) ($ Thousands) 13,174 -------------- CERTIFICATE OF DEPOSIT -- 0.2% Sovereign Bank 4.000%, 02/01/08 400 393 -------------- Total Certificate of Deposit (Cost $391) ($ Thousands) 393 -------------- -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 117 SCHEDULE OF INVESTMENTS Enhanced Income Fund (Concluded) September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- REPURCHASE AGREEMENT (F) -- 8.5% Goldman Sachs 5.370%, dated 09/29/06, to be repurchased on 10/02/06, repurchase price $20,108,995 (collateralized by a U.S. Government Obligation, par value $23,573,237, 6.500%, 12/15/32; with total market value $20,502,000) $ 20,100 $ 20,100 -------------- Total Repurchase Agreement (Cost $20,100) ($ Thousands) 20,100 -------------- Total Investments -- 108.7% (Cost $256,198) ($ Thousands) $ 256,540 ============== Futures -- A summary of the open futures contracts held by the Fund at September 30, 2006, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED TYPE OF NUMBER OF EXPIRATION DEPRECIATION CONTRACT CONTRACTS DATE ($ THOUSANDS) -------------------------------------------------------------------------------- U.S. 2-Year Note 4 Dec-2006 $ -- U.S. 5-Year Note (156) Dec-2006 (103) U.S. 10-Year Note (148) Dec-2006 (112) ----- $(215) ===== Forward Foreign Currency Contracts -- A summary of the outstanding forward foreign currency contracts held by the Fund at September 30, 2006, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED CURRENCY CURRENCY APPRECIATION MATURITY TO DELIVER TO RECEIVE (DEPRECIATION) DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- 10/11/06 AUD 1,533 USD 1,175 $ 30 10/11/06 CAD 2,950 USD 2,645 1 10/11/06 CHF 711 EUR 451 4 12/12/06-3/12/07 CHF 11,500 GBP 4,984 36 12/12/06-3/12/07 CHF 14,100 USD 11,558 188 10/11/06 EUR 451 CHF 711 (4) 10/11/06 EUR 785 SEK 7,260 (3) 12/12/06-3/12/07 GBP 3,337 CHF 7,700 (27) 12/12/06-2/13/07 GBP 4,001 JPY 865,000 (46) 10/11/06 GBP 608 USD 1,148 13 11/10/06-2/13/07 JPY 1,237,000 GBP 5,735 93 11/10/06-3/12/07 JPY 862,000 NZD 11,876 302 12/12/06-3/12/07 JPY 740,000 USD 6,491 119 12/12/06-3/12/07 NZD 6,621 JPY 491,000 (63) 10/11/06 SEK 8,940 EUR 969 6 10/11/06 USD 1,169 AUD 1,534 (24) 10/11/06 USD 2,149 CAD 2,410 12 12/12/06-3/12/07 USD 7,436 CHF 9,000 (180) 10/11/06 USD 1,151 GBP 607 (16) 1/11/07-2/13/07 USD 2,171 JPY 248,000 (35) ---- $406 ==== Percentages are based on Net Assets of $235,981 ($ Thousands). * Rate shown is the 7-day effective yield as of September 30, 2006. + Real Estate Investment Trust. ++ Pursuant to an exemptive order issued by the Securities and Exchange Commission, the Fund may invest in the SEI money market funds, provided that investments in the money market funds do not exceed 25% of the Fund's total assets. (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. (B) Security sold within the terms of a private placement memorandum, exempt from registration under Section 3A-4, 4(2) or 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (C) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2006. The date reported on the Schedule of Investments is the next reset date. (D) Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total value of such securities as of September 30, 2006 was $1,150 ($ Thousands) and represented 0.49% of Net Assets. (E) As of September 30, 2006, this security is unfunded. (F) Tri-Party Repurchase Agreement. AUD -- Australian Dollar CAD -- Canadian Dollar CDO -- Collateralized Debt Obligation CHF -- Swiss Franc Cl -- Class EUR -- Euro FNMA -- Federal National Mortgage Association GBP -- British Pound Sterling JPY -- Japanese Yen MTN -- Medium Term Note NZD -- New Zealand Dollar SEK -- Swedish Krona Ser -- Series TBA -- To Be Announced USD -- United States Dollar Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 118 SEI Institutional Managed Trust / Annual Report / September 30, 2006 Core Fixed Income Fund September 30, 2006 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS# (UNAUDITED): [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 26.4% U.S. Government Mortgage-Backed Obligations 21.5% Asset-Backed Securities 17.8% Financials 10.9% Treasury Obligations 8.2% Short-Term Investments 6.0% U.S. Government Agency Obligations 1.8% Energy 1.6% Industrials 1.3% Consumer Discretionary 1.3% Utilities 0.9% Telecommunication Services 0.8% Sovereign 0.4% Health Care 0.4% Certificates of Deposit 0.3% Consumer Staples 0.2% Materials 0.2% Foreign Bonds 0.0% Information Technology 0.0% Purchase Options #Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7). -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 37.0% FHLMC 7.500%, 11/01/29 to 09/01/32 $ 3,089 $ 3,196 7.000%, 12/01/06 to 01/01/32 3,732 3,793 6.500%, 12/01/13 to 09/01/36 23,225 23,688 6.000%, 10/01/19 to 07/01/36 13,437 13,573 5.500%, 12/01/13 to 04/01/34 16,593 16,588 5.000%, 10/01/18 to 07/01/35 59,674 58,104 4.500%, 10/23/13 to 11/01/35 34,841 33,313 4.000%, 04/01/19 to 10/01/33 3,247 2,955 FHLMC ARM 5.815%, 02/01/36 4,463 4,484 5.601%, 05/01/36 7,635 7,681 5.150%, 01/01/36 8,983 8,865 5.095%, 02/01/36 5,905 5,837 FHLMC TBA 5.500%, 10/01/21 to 11/01/35 97,300 95,890 5.000%, 10/15/18 to 11/13/35 33,900 32,766 FNMA 8.000%, 10/01/15 29 31 7.000%, 09/01/26 to 04/01/32 5,132 5,285 6.500%, 05/01/17 to 12/01/34 9,580 9,790 6.000%, 03/01/33 to 07/01/36 22,292 22,433 5.928%, 09/01/36 4,647 4,700 5.500%, 06/01/14 to 02/01/35 140,059 139,007 5.000%, 01/01/20 to 12/01/34 74,430 72,742 4.653%, 10/01/12 705 689 4.508%, 04/01/09 1,728 1,704 4.500%, 09/01/33 to 08/01/35 16,867 15,774 4.330%, 11/01/11 848 818 4.000%, 08/01/20 2,889 2,728 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- FNMA ARM 6.564%, 11/01/35 $ 6,031 $ 6,177 6.562%, 11/01/35 3,104 3,179 6.558%, 11/01/35 2,964 3,035 6.444%, 07/01/36 2,631 2,692 6.288%, 11/01/35 3,110 3,185 6.286%, 10/01/35 14,676 15,029 6.283%, 10/01/35 9,018 9,235 6.279%, 11/01/35 6,140 6,288 5.829%, 07/01/36 5,458 5,510 5.662%, 06/01/36 1,249 1,261 5.635%, 02/01/36 916 917 5.504%, 06/01/36 517 518 5.298%, 04/01/36 1,484 1,483 5.070%, 07/01/35 1,780 1,760 4.868%, 09/01/35 872 850 FNMA TBA 6.500%, 10/01/32 to 10/25/36 80,043 81,494 6.000%, 10/20/19 to 10/01/36 93,692 94,232 5.500%, 10/15/21 to 10/01/34 299,763 295,446 5.000%, 10/01/20 to 10/01/36 263,450 253,392 4.500%, 10/20/18 to 10/14/34 13,500 12,916 GNMA 8.000%, 11/15/29 to 01/15/31 228 242 7.500%, 03/15/29 to 01/15/32 606 632 7.000%, 08/15/13 189 195 6.500%, 10/15/23 to 09/20/36 45,579 46,722 6.000%, 03/15/14 to 11/15/35 80,951 82,026 5.500%, 10/20/34 4,560 4,519 5.000%, 05/15/33 to 10/15/35 7,186 6,988 GNMA ARM 5.625%, 02/20/34 3,251 3,260 4.500%, 08/20/34 to 05/20/36 13,613 13,539 4.000%, 02/20/34 to 03/20/36 7,106 7,042 3.750%, 12/20/33 to 05/20/34 26,325 25,966 GNMA TBA 6.500%, 10/01/34 2,700 2,768 6.000%, 10/01/36 2,500 2,530 5.000%, 10/01/36 12,740 12,374 -------------- Total U.S. Government Mortgage-Backed Obligations (Cost $1,593,901) ($ Thousands) 1,593,836 -------------- CORPORATE OBLIGATIONS -- 32.2% CONSUMER DISCRETIONARY -- 1.8% American Achievement 8.250%, 04/01/12 900 909 Beazer Homes 8.625%, 05/15/11 500 504 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 119 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Boyd Gaming 7.125%, 02/01/16 $ 350 $ 339 6.750%, 04/15/14 (J) 570 557 CBS 5.625%, 08/15/12 705 697 COX Communications 7.875%, 08/15/09 750 795 4.625%, 06/01/13 805 748 CSC Holdings 7.625%, 07/15/18 80 82 Caesars Entertainment 8.125%, 05/15/11 540 570 Clear Channel Communications 6.250%, 03/15/11 (J) 2,230 2,237 4.250%, 05/15/09 990 957 Comcast 6.500%, 01/15/15 985 1,028 6.500%, 01/15/17 490 512 5.900%, 03/15/16 (J) 1,470 1,471 5.850%, 11/15/15 465 465 5.650%, 06/15/35 635 576 5.450%, 11/15/10 525 527 5.300%, 01/15/14 2,340 2,279 Comcast Cable Communications 8.375%, 03/15/13 1,070 1,221 6.750%, 01/30/11 7,430 7,806 Continental Cablevision 9.000%, 09/01/08 1,150 1,225 DaimlerChrysler 8.500%, 01/18/31 490 582 7.300%, 01/15/12 1,400 1,488 6.500%, 11/15/13 1,860 1,907 Daimlerchrysler MTN 5.750%, 09/08/11 1,855 1,846 Direct TV 8.375%, 03/15/13 350 363 Echostar DBS (C) 7.125%, 02/01/16 1,970 1,904 Entercom Radio 7.625%, 03/01/14 160 156 Ford Motor 9.980%, 02/15/47 3,800 3,306 9.215%, 09/15/21 1,000 880 7.500%, 08/01/26 1,900 1,425 7.450%, 07/16/31 (J) 2,940 2,271 General Motors (J) 8.250%, 07/15/23 3,100 2,685 Harrahs Operating 6.500%, 06/01/16 1,270 1,245 5.625%, 06/01/15 1,530 1,422 Hertz (C) 8.875%, 01/01/14 725 759 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Home Depot 5.400%, 03/01/16 $ 620 $ 616 Inn of the Mountain Gods (J) 12.000%, 11/15/10 1,010 1,058 Jacuzzi Brands 9.625%, 07/01/10 870 922 Kabel Deutschland (C) 10.625%, 07/01/14 545 585 Lamar Media (C) 6.625%, 08/15/15 720 690 MGM Mirage 8.500%, 09/15/10 160 170 Mandalay Resort Group 9.500%, 08/01/08 440 466 News America 6.400%, 12/15/35 995 976 6.200%, 12/15/34 395 377 Omnicon Group 5.900%, 04/15/16 2,165 2,197 Quebecor Media 7.750%, 03/15/16 470 471 Reader's Digest Association 6.500%, 03/01/11 390 371 River Rock Entertainment 9.750%, 11/01/11 930 988 Rogers Cable 7.875%, 05/01/12 550 587 6.750%, 03/15/15 1,015 1,025 5.500%, 03/15/14 1,155 1,086 Station Casinos 6.625%, 03/15/18 1,495 1,349 Time Warner 7.700%, 05/01/32 4,685 5,232 6.875%, 05/01/12 3,820 4,039 Time Warner Entertainment 8.375%, 07/15/33 620 731 Viacom (C) 6.875%, 04/30/36 500 494 6.250%, 04/30/16 (B) 265 263 5.750%, 04/30/11 (B) 3,980 3,972 Visteon (J) 8.250%, 08/01/10 530 517 -------------- 76,926 -------------- CONSUMER STAPLES -- 0.4% Altria Group 7.750%, 01/15/27 3,860 4,674 7.000%, 11/04/13 795 867 Anheuser-Busch 5.050%, 10/15/16 940 920 Diageo Capital 5.500%, 09/30/16 1,850 1,835 -------------------------------------------------------------------------------- 120 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- General Mills 6.000%, 02/15/12 $ 750 $ 772 Kellogg, Ser B 6.600%, 04/01/11 890 936 Kraft Foods 5.625%, 11/01/11 1,560 1,576 5.250%, 10/01/13 1,015 1,003 Mohawk 5.750%, 01/15/11 1,910 1,902 Philip Morris Capital 7.500%, 07/16/09 1,750 1,823 Sabmiller (C) 6.500%, 07/01/16 675 705 Wal-Mart Stores 5.250%, 09/01/35 700 655 -------------- 17,668 -------------- ENERGY -- 2.5% Amerada Hess 7.300%, 08/15/31 5,450 6,137 Amerigas 7.125%, 05/20/16 1,105 1,088 Anadarko Finance, Ser B 7.500%, 05/01/31 3,480 3,979 6.750%, 05/01/11 1,570 1,650 Anadarko Petroleum 6.450%, 09/15/36 6,240 6,374 5.790%, 12/15/06 (F) 4,000 4,005 Apache 6.250%, 04/15/12 685 715 Canadian National Resources 6.500%, 02/15/37 615 623 5.850%, 02/01/35 800 747 Chesapeake Energy 6.375%, 06/15/15 500 478 Conoco Funding 7.250%, 10/15/31 530 632 6.950%, 04/15/29 4,060 4,682 6.350%, 10/15/11 (J) 920 968 ConocoPhillips (J) 5.900%, 10/15/32 1,710 1,749 4.750%, 10/15/12 3,990 3,908 Devon Energy 7.950%, 04/15/32 3,820 4,717 Devon Financing 6.875%, 09/30/11 1,920 2,043 Duke Capital LLC 8.000%, 10/01/19 365 424 7.500%, 10/01/09 1,125 1,197 El Paso 7.750%, 07/15/11 (C) 5,470 5,620 6.950%, 06/01/28 6,750 6,345 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- El Paso MTN (J) 7.800%, 08/01/31 $ 2,280 $ 2,337 7.750%, 01/15/32 5,075 5,202 Encana 6.500%, 08/15/34 554 575 Energy Transfer Partners 5.650%, 08/01/12 945 936 Kansas Gas & Electric 5.647%, 03/29/21 1,505 1,457 Kerr-Mcgee 7.875%, 09/15/31 910 1,100 Kinder Morgan 6.500%, 09/01/12 925 926 Kinder Morgan Energy Partners 7.125%, 03/15/12 90 95 6.750%, 03/15/11 580 604 6.300%, 02/01/09 570 579 5.800%, 03/15/35 635 578 5.000%, 12/15/13 2,735 2,598 Pemex Project Funding Master Trust 7.375%, 12/15/14 525 568 6.625%, 06/15/35 (C) 1,775 1,744 Petrobras International Finance 6.125%, 10/06/16 2,420 2,409 Pogo Producing 6.875%, 10/01/17 1,000 954 Ras Laffan (C) 6.332%, 09/30/27 1,170 1,176 Semgroup (C) 8.750%, 11/15/15 110 111 Sonat 7.625%, 07/15/11 2,850 2,921 Suburban Propane Partners 6.875%, 12/15/13 735 709 Tosco 8.125%, 02/15/30 400 518 Vastar Resources 6.500%, 04/01/09 3,490 3,601 Vintage Petroleum 8.250%, 05/01/12 480 507 Western Oil Sands 8.375%, 05/01/12 1,195 1,282 Williams 8.750%, 03/15/32 7,050 7,720 7.750%, 06/15/31 1,880 1,880 Williams, Ser A (J) 7.500%, 01/15/31 1,490 1,471 XTO Energy 7.500%, 04/15/12 850 927 6.250%, 04/15/13 690 712 YPF Sociedad Anonima MTN, Ser A 7.750%, 08/27/07 5,000 5,077 -------------- 109,355 -------------- -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 121 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- FINANCIALS -- 20.3% ACE 6.700%, 05/15/36 $ 740 $ 778 ASIF Global Financing XIX (C) 4.900%, 01/17/13 390 381 Aiful (C) 5.000%, 08/10/10 1,420 1,381 Allied Capital 6.625%, 07/15/11 2,475 2,523 Allied World Assurance 7.500%, 08/01/16 2,500 2,648 Allstate Life Global Funding II MTN (C) (F) (K) 5.370%, 10/16/06 6,215 6,215 American Express 5.500%, 09/12/16 1,240 1,245 American General Finance (C) (F) (K) 5.360%, 10/16/06 19,591 19,591 American International Group 4.700%, 10/01/10 1,475 1,451 Arch Capital Group 7.350%, 05/01/34 1,317 1,457 Bank One 7.875%, 08/01/10 3,525 3,843 Bank of America 7.400%, 01/15/11 6,240 6,752 5.375%, 06/15/14 3,055 3,068 4.250%, 10/01/10 780 756 Banponce Trust I, Ser A 8.327%, 02/01/27 2,590 2,711 Bear Stearns 4.500%, 10/28/10 4,030 3,922 Bear Stearns EXL (F) (K) 5.370%, 10/16/06 24,049 24,049 Boeing Capital 6.500%, 02/15/12 465 493 5.800%, 01/15/13 425 439 Bunge Finance 4.375%, 12/15/08 425 415 CIT Group 5.000%, 02/01/15 2,015 1,935 4.250%, 02/01/10 1,595 1,546 CIT Group MTN 4.750%, 08/15/08 1,330 1,319 Capital One Bank 4.875%, 05/15/08 1,480 1,471 Capital One Financial 8.750%, 02/01/07 2,095 2,116 6.150%, 09/01/16 925 936 5.500%, 06/01/15 1,310 1,285 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- China Development Bank 5.000%, 10/15/15 $ 500 $ 483 Citigroup 5.875%, 02/22/33 2,680 2,671 5.850%, 08/02/16 1,265 1,307 5.100%, 09/29/11 1,230 1,226 5.000%, 09/15/14 3,175 3,093 3.625%, 02/09/09 3,150 3,049 Countrywide Financial MTN (F) (K) 5.448%, 12/27/06 8,107 8,107 Countrywide Financial MTN, Ser A (F) (K) 5.548%, 11/03/06 14,186 14,186 Countrywide Home Loans MTN, Ser L 2.875%, 02/15/07 3,320 3,290 Credit Suisse First Boston London (C) (F) (L) 0.000%, 03/24/10 8,663 7,827 0.000%, 03/24/10 2,387 2,157 Credit Suisse First Boston USA 5.850%, 08/16/16 495 508 5.500%, 08/16/11 2,165 2,184 4.875%, 08/15/10 2,210 2,184 Dekabank (C) (F) (K) 5.490%, 10/19/06 24,995 24,995 Deutsche Bank Capital Funding Trust (C) (F) 5.628%, 01/19/49 7,870 7,673 Developers Divers Realty+ 5.375%, 10/15/12 1,470 1,455 Developers Divers Realty MTN+ 7.000%, 03/19/07 1,300 1,309 Di Finance, Ser B 9.500%, 02/15/13 90 93 Dow Jones CDX HY, Ser 5-T1 (C) (J) 8.750%, 12/29/10 200 206 Dryden Investor Trust (C) (H) 7.157%, 07/23/08 3,383 3,439 EOP Operating 4.750%, 03/15/14 865 818 Equity One+ 3.875%, 04/15/09 7,480 7,186 Farmers Exchange Capital (C) 8.625%, 05/01/24 3,717 4,404 7.200%, 07/15/48 1,465 1,490 7.050%, 07/15/28 4,434 4,545 First Industrial 7.600%, 07/15/28 3,675 4,021 First Industrial MTN 7.500%, 12/01/17 1,800 1,997 -------------------------------------------------------------------------------- 122 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Ford Motor Credit 7.875%, 06/15/10 $ 7,405 $ 7,212 7.375%, 10/28/09 20,540 19,961 7.250%, 10/25/11 336 317 7.000%, 10/01/13 8,000 7,423 6.625%, 06/16/08 1,500 1,477 6.625%, 06/15/11 (C) (F) 3,863 4,036 Forest City Enterprises 7.625%, 06/01/15 500 510 6.500%, 02/01/17 270 254 GE Capital Franchise MTN+ 6.860%, 06/15/07 1,850 1,868 GE Global Insurance 7.500%, 06/15/10 105 113 7.000%, 02/15/26 705 773 General Electric Capital 4.875%, 03/04/15 865 842 General Electric Capital MTN, Ser A 6.750%, 03/15/32 2,285 2,612 6.000%, 06/15/12 3,740 3,886 3.750%, 12/15/09 2,041 1,962 General Motors Acceptance 8.000%, 11/01/31 4,150 4,339 7.750%, 01/19/10 2,430 2,490 7.600%, 10/25/06 (F) (J) 12,968 13,001 7.250%, 03/02/11 3,520 3,540 6.875%, 09/15/11 520 517 6.457%, 10/18/06 (F) 3,460 3,441 6.125%, 08/28/07 460 459 5.850%, 01/14/09 1,680 1,647 5.625%, 05/15/09 (J) 22,070 21,522 5.125%, 05/09/08 1,480 1,450 4.375%, 12/10/07 690 674 Genworth Financial 4.950%, 10/01/15 1,595 1,531 Glitner Banki (C) (F) (K) 5.380%, 10/10/06 20,266 20,266 Glitnir Bank (C) 6.693%, 06/15/16 (F) 3,960 4,050 6.330%, 07/28/11 1,980 2,021 Goldman Sachs Capital I 6.345%, 02/15/34 1,690 1,679 Goldman Sachs Group 6.875%, 01/15/11 3,775 4,001 6.450%, 05/01/36 1,440 1,470 5.350%, 01/15/16 925 908 5.250%, 10/15/13 (J) 3,565 3,518 5.125%, 01/15/15 2,270 2,201 HSBC Finance 8.000%, 07/15/10 3,475 3,796 7.000%, 05/15/12 1,505 1,627 6.375%, 11/27/12 585 614 4.750%, 04/15/10 (J) 4,060 4,006 4.625%, 09/15/10 650 637 4.125%, 12/15/08 1,000 978 4.125%, 11/16/09 2,155 2,090 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- HSBC Holdings 6.500%, 05/02/36 $ 885 $ 939 Hartford Financial Services Group 5.950%, 10/15/36 490 491 5.500%, 10/15/16 610 610 Hexion US Financial 9.000%, 07/15/14 250 255 Highwoods Realty+ 7.500%, 04/15/18 3,800 4,192 7.125%, 02/01/08 3,000 3,055 Host Marriott, Ser Q+ 6.750%, 06/01/16 455 449 ILFC E-Capital Trust I (C) (F) (J) 5.900%, 12/21/06 1,110 1,118 ILFC E-Capital Trust II (C) (F) 6.250%, 12/21/65 490 490 International Lease Finance 4.750%, 01/13/12 1,176 1,143 International Lease Finance MTN 5.620%, 11/24/06 (F) 955 957 5.450%, 03/24/11 1,990 2,002 Irish Life & Permanent MTN, Ser X (C) (F) (K) 5.370%, 10/23/06 17,969 17,968 Islandsbanki (C) (F) (K) 5.380%, 10/23/06 11,484 11,484 Istar Financial, Ser 1+ 5.875%, 03/15/16 795 791 JPMorgan Capital Trust II 7.950%, 02/01/27 580 605 JPMorgan Chase 5.750%, 01/02/13 6,435 6,581 5.600%, 06/01/11 (J) 4,355 4,428 5.125%, 09/15/14 765 750 JPMorgan Chase Capital XV (J) 5.875%, 03/15/35 1,645 1,577 Jackson National Life Funding (C) (F) (K) 5.330%, 10/02/06 29,724 29,724 Kaupthing Bank 7.125%, 05/19/16 (C) 1,350 1,419 5.750%, 10/04/11 (C) 670 666 5.740%, 10/12/06 6,070 6,071 Kaupthing Bank MTN (C) (F) (K) 5.390%, 10/20/06 33,777 33,777 Korea Development Bank 4.625%, 09/16/10 1,000 975 4.250%, 11/13/07 755 746 Lakeside Funding (F) (K) 5.330%, 10/10/06 8,077 8,077 Landsbanki Islands (C) 6.100%, 08/25/11 5,570 5,628 5.410%, 10/16/06 (F) (K) 25,671 25,671 Lazard Group 7.125%, 05/15/15 1,340 1,396 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 123 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Lehman Brothers 6.500%, 04/15/08 $ 695 $ 707 Lehman Brothers Holdings 7.000%, 02/01/08 3,395 3,466 Lehman Brothers Holdings MTN 5.750%, 07/18/11 2,650 2,699 5.750%, 05/17/13 1,860 1,893 Lehman Brothers Holdings MTN, (F) (M) 0.000%, 06/20/16 4,235 4,256 0.000%, 11/30/10 3,570 3,337 Lehman Brothers MTN 5.500%, 04/04/16 785 782 Liberty Mutual Group (C) 6.500%, 03/15/35 1,525 1,455 Liberty Mutual Insurance (C) 7.875%, 10/15/26 410 463 MUFG Capital Finance 1 (F) 6.346%, 07/29/49 1,670 1,684 Merrill Lynch 7.430%, 09/01/22 4 4 6.050%, 05/16/16 4,880 5,046 Merrill Lynch MTN, Ser B 3.375%, 09/14/07 2,100 2,063 Merrill Lynch MTN, Ser C 4.250%, 02/08/10 1,120 1,088 Merrill Lynch Mortgage Investors Trust, Ser 2005-SL3, Cl A1 (F) 5.560%, 10/10/06 4,823 4,825 Met Life Global Funding (C) 4.750%, 06/20/07 1,100 1,095 Monumental Global Funding (C) 5.200%, 01/30/07 625 625 Morgan Stanley 5.375%, 10/15/15 1,605 1,585 4.750%, 04/01/14 1,220 1,160 Morgan Stanley EXL (F) (K) 5.390%, 10/04/06 4,729 4,729 Morgan Stanley EXL, Ser S (F) (K) 5.350%, 10/03/06 6,755 6,755 Morgan Stanley MTN 6.250%, 08/09/26 620 642 5.625%, 01/09/12 1,555 1,575 NB Capital Trust IV 8.250%, 04/15/27 4,500 4,721 Natexis Banques (C) (F) (K) 5.310%, 10/16/06 13,173 13,172 National Capital Trust II (C) (F) 5.486%, 12/17/06 2,231 2,130 Nationwide Building Society (C) (F) (K) 5.424%, 12/28/06 7,431 7,431 5.360%, 10/10/06 13,511 13,511 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Nationwide Mutual Insurance (C) 8.250%, 12/01/31 $ 3,575 $ 4,344 6.600%, 04/15/34 3,590 3,536 Nordbank (C) (F) (K) 5.360%, 10/23/06 22,969 22,966 North Front Pass-Through Trust (C) (F) 5.810%, 12/15/06 1,975 1,940 Northern Rock (C) (F) (K) 5.370%, 10/03/06 13,916 13,916 Odyssey Re Holdings 6.875%, 05/01/15 2,400 2,302 PNC Funding 5.250%, 11/15/15 1,495 1,471 Pacific Life Global Funding (C) (F) (K) 5.380%, 10/13/06 10,133 10,133 Power Receivables Financial 6.290%, 01/01/12 4,145 4,214 6.290%, 01/01/12 (C) 340 343 Premium Asset Trust, Ser 2004-10 (C) (F) (K) 5.370%, 10/16/06 18,915 18,915 Prime Property Funding (C) 5.600%, 06/15/11 1,780 1,788 Prologis+ 5.500%, 04/01/12 1,295 1,292 5.250%, 11/15/10 460 457 Rabobank Capital Fund Trust II (C) (F) 5.260%, 12/29/49 200 196 Rabobank Capital Fund Trust III (C) (F) 5.254%, 12/31/06 420 405 Residential Capital 6.875%, 06/30/15 225 234 6.742%, 12/29/06 (F) 980 985 6.500%, 04/17/13 3,445 3,499 6.125%, 11/21/08 2,875 2,886 6.000%, 02/22/11 600 599 Resona Preferred Global Securities (C) (F) 7.191%, 07/30/49 580 600 Royal Bank of Scotland Group 5.000%, 10/01/14 1,240 1,208 SLM EXL, Ser S (C) (F) (K) 5.330%, 10/16/06 14,862 14,862 SLM MTN 5.665%, 10/25/06 2,180 2,180 SLM MTN, Ser A 5.000%, 10/01/13 1,595 1,553 SLM, Ser CPI (F) 5.440%, 10/01/06 5,580 5,360 Shinsei Finance Cayman (C) (F) 6.418%, 01/29/49 4,880 4,847 Sigma Finance MTN (C) (K) 4.745%, 11/09/06 7,296 7,296 -------------------------------------------------------------------------------- 124 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Simon Property Group+ 6.100%, 05/01/16 $ 825 $ 851 5.750%, 05/01/12 2,185 2,216 5.750%, 12/01/15 910 917 5.600%, 09/01/11 2,300 2,317 Skandinav Enskilda Bank (C) (F) (K) 5.320%, 10/18/06 14,862 14,861 St. Paul 5.750%, 03/15/07 525 526 Stanfield Victoria MTN (C) (F) (K) 5.445%, 06/11/07 13,511 13,510 Stingray Pass-Through Trust (C) 5.902%, 01/12/15 4,500 4,381 Sumitomo Mitsui Banking (C) (F) 5.625%, 10/15/15 2,620 2,550 TNK-BP Finance 7.500%, 07/18/16 3,320 3,468 Toyota Motor Credit 5.500%, 12/15/08 120 121 UBS Preferred Funding Trust V (F) (J) 6.243%, 05/15/49 2,450 2,532 US Bancorp MTN, Ser N 3.125%, 03/15/08 2,215 2,151 Ventas Realty+ 9.000%, 05/01/12 180 201 6.750%, 04/01/17 940 946 6.500%, 06/01/16 495 492 Wachovia 5.500%, 08/01/35 1,405 1,329 5.250%, 08/01/14 4,390 4,342 4.875%, 02/15/14 (J) 2,115 2,046 Wachovia Capital Trust III (F) 5.800%, 03/15/11 2,230 2,236 Washington Mutual 4.625%, 04/01/14 4,175 3,897 4.000%, 01/15/09 746 726 Washington Mutual Bank 5.650%, 08/15/14 1,210 1,212 Washington Mutual Preferred Funding (C) (F) (J) 6.534%, 03/15/49 1,600 1,572 Washington+ 5.350%, 05/01/15 687 672 Wells Fargo 5.375%, 02/07/35 2,085 1,980 Western Union (C) 5.930%, 10/01/16 795 802 Westfield Capital (C) 4.375%, 11/15/10 4,153 4,005 Westfield Group (C) 5.700%, 10/01/16 2,020 2,015 5.400%, 10/01/12 3,370 3,363 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Woodbourne Pass-Through Trust (C) (F) 6.468%, 10/08/06 $ 2,500 $ 2,515 XL Capital 6.375%, 11/15/24 825 848 ZFS Finance USA Trust II (C) (F) (J) 6.450%, 12/15/65 4,600 4,550 Zions Bancorp (J) 5.500%, 11/16/15 945 934 Zurich Capital Trust I (C) 8.376%, 06/01/37 7,362 7,747 -------------- 872,440 -------------- HEALTH CARE -- 0.5% Aetna 6.625%, 06/15/36 430 454 6.000%, 06/15/16 1,570 1,615 Baxter 5.900%, 09/01/16 930 955 Boston Scientific 7.000%, 11/15/35 645 638 6.400%, 06/15/16 320 323 6.000%, 06/15/11 950 956 Davita (J) 7.250%, 03/15/15 1,145 1,125 HCA 7.500%, 11/06/33 (J) 3,380 2,636 6.500%, 02/15/16 (J) 2,130 1,704 6.300%, 10/01/12 119 101 5.750%, 03/15/14 3,090 2,426 Omnicare 6.875%, 12/15/15 1,000 971 Tenet Healthcare (J) 7.375%, 02/01/13 336 303 Teva Pharmaceutical Finance LLC 6.150%, 02/01/36 1,440 1,386 5.550%, 02/01/16 475 466 Wellpoint 6.800%, 08/01/12 1,000 1,067 5.850%, 01/15/36 980 950 5.250%, 01/15/16 465 456 Wyeth (J) 5.500%, 02/15/16 2,410 2,408 -------------- 20,940 -------------- INDUSTRIALS -- 2.2% Air 2 US (C) 8.027%, 10/01/19 2,916 2,931 America West Airlines, Ser 1999-1 7.930%, 01/02/19 8,761 9,363 American Airlines, Ser 1999-1 (J) 7.024%, 10/15/09 4,630 4,752 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 125 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Burlington North Santa Fe 6.750%, 07/15/11 $ 1,610 $ 1,708 Canadian National Railway (J) 6.200%, 06/01/36 995 1,063 Cedar Brakes I LLC (C) 8.500%, 02/15/14 4,390 4,789 Cedar Brakes II LLC (C) 9.875%, 09/01/13 3,020 3,382 Continental Airlines, Ser 1999-2 7.256%, 03/15/20 1,769 1,875 Continental Airlines, Ser 971A 7.461%, 04/01/15 2,804 2,804 Continental Airlines, Ser 974A 6.900%, 01/02/18 7,732 7,959 Corning 5.250%, 08/15/36 680 724 DRS Technologies 6.625%, 02/01/16 505 496 Delta Air Lines, Ser 2000-1, Cl A2 (I) 7.570%, 11/18/10 1,739 1,741 Delta Air Lines, Ser 2001-1, Cl A-2 (I) 7.111%, 09/18/11 179 179 Eastman Kodak (J) 7.250%, 11/15/13 2,740 2,676 Electronic Data Systems 7.125%, 10/15/09 3,680 3,849 Federal Express, Ser A3 8.400%, 03/23/10 600 609 General Electric 5.000%, 02/01/13 1,160 1,147 Horizon Lines LLC 9.000%, 11/01/12 1,130 1,164 L-3 Communications, Cl B 6.375%, 10/15/15 520 506 Lafarge 6.150%, 07/15/11 770 787 Lockheed Martin 6.150%, 09/01/36 925 969 Norfolk Southern 7.050%, 05/01/37 1,005 1,172 Northrup Grumman 4.079%, 11/16/06 1,400 1,398 Northwest Airlines, Cl 1A-1 (I) (J) 7.041%, 04/01/22 1,512 1,502 OMI 7.625%, 12/01/13 600 606 Raytheon 6.000%, 12/15/10 24 25 5.500%, 11/15/12 55 55 Service (C) 7.625%, 10/01/18 205 206 7.375%, 10/01/14 135 136 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Systems 2001 Asset Trust (C) 6.664%, 09/15/13 $ 1,496 $ 1,575 Teekay Shipping 8.875%, 07/15/11 1,785 1,883 Terex 7.375%, 01/15/14 405 407 Tyco International Group 7.000%, 06/15/28 250 284 6.875%, 01/15/29 (J) 7,140 7,949 6.750%, 02/15/11 2,190 2,313 6.375%, 10/15/11 8,135 8,528 6.000%, 11/15/13 915 947 United Airlines, Ser A-3 (H) (I) 8.390%, 01/21/11 886 80 United Technologies 6.500%, 06/01/09 2,365 2,438 Waste Management 7.125%, 12/15/17 5,305 5,882 7.100%, 08/01/26 1,710 1,887 Xerox 6.750%, 02/01/17 330 335 6.400%, 03/15/16 1,340 1,333 -------------- 96,414 -------------- INFORMATION TECHNOLOGY -- 0.0% Compagnie Generale de Geophysique 7.500%, 05/15/15 550 544 Sungard Data Systems 10.250%, 08/15/15 725 747 -------------- 1,291 -------------- MATERIALS -- 0.3% Alcan 6.125%, 12/15/33 610 609 Celulosa Arauco y Constitucion 5.625%, 04/20/15 765 744 Codelco (C) 4.750%, 10/15/14 960 906 Georgia Gulf (C) 9.500%, 10/15/14 200 199 International Paper 5.850%, 10/30/12 1,970 2,013 Lyondell Chemical 8.250%, 09/15/16 125 127 8.000%, 09/15/14 220 223 Potash of Saskatchewan 4.875%, 03/01/13 1,220 1,174 Westlake Chemicals 6.625%, 01/15/16 610 579 Weyerhaeuser 6.750%, 03/15/12 4,540 4,745 -------------- 11,319 -------------- -------------------------------------------------------------------------------- 126 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- SOVEREIGN -- 1.2% Federal Republic of Brazil (J) 11.000%, 08/17/40 $ 4,926 $ 6,416 Province of Quebec 7.500%, 09/15/29 620 795 Republic of Colombia 11.750%, 02/25/20 673 942 7.375%, 09/18/37 (J) 1,390 1,407 Republic of Panama 9.375%, 04/01/29 453 584 6.700%, 01/26/36 1,457 1,443 Russian Federation Registered (G) 5.000%, 03/31/30 14,560 16,250 United Mexican States 5.625%, 01/15/17 8,663 8,559 United Mexican States MTN 8.300%, 08/15/31 2,290 2,856 United Mexican States MTN, Ser A 7.500%, 04/08/33 8,140 9,390 6.750%, 09/27/34 (J) 550 584 5.875%, 01/15/14 775 793 -------------- 50,019 -------------- TELECOMMUNICATION SERVICES -- 1.2% AT&T 7.300%, 10/15/06 730 791 6.800%, 05/15/36 635 667 6.450%, 06/15/34 625 628 6.150%, 09/15/34 810 784 5.100%, 09/15/14 5,170 4,995 4.125%, 09/15/09 (J) 795 770 America Movil 6.375%, 03/01/35 605 578 BellSouth 6.000%, 11/15/34 1,280 1,201 4.750%, 11/15/12 170 162 British Telecommunications PLC 8.875%, 12/15/30 1,095 1,461 8.375%, 12/15/10 1,250 1,401 Cincinnati Bell 7.000%, 02/15/15 500 490 Cingular Wireless 6.500%, 12/15/11 1,455 1,525 Deutsche Telekom International Finance 8.250%, 06/15/30 310 379 8.000%, 06/15/10 925 1,009 5.750%, 03/23/16 (J) 3,200 3,131 Embarq 7.995%, 06/01/36 487 516 7.082%, 06/01/16 1,410 1,438 Intelsat 6.500%, 11/01/13 160 128 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Intelsat Bermuda (C) 9.250%, 06/15/16 $ 325 $ 342 Koninklije 8.000%, 10/01/10 650 702 New Cingular Wireless Services 8.125%, 05/01/12 2,635 2,966 New Jersey Bell Telephone 7.850%, 11/15/29 1,135 1,245 Qwest 5.625%, 11/15/08 430 427 Qwest Communications International (F) 8.905%, 11/11/06 1,635 1,666 Sprint Capital 8.375%, 03/15/12 4,915 5,509 6.125%, 11/15/08 1,490 1,512 6.000%, 01/15/07 2,725 2,728 Telecom Italia Capital 7.200%, 07/18/36 310 319 6.000%, 09/30/34 745 666 5.250%, 11/15/13 790 748 5.250%, 10/01/15 90 83 4.950%, 09/30/14 1,250 1,148 Telefonica Emisiones Sau 5.984%, 06/20/11 1,475 1,503 Telefonica Europe 7.750%, 09/15/10 1,925 2,078 Verizon Communications 5.550%, 02/15/16 1,200 1,184 5.350%, 02/15/11 985 988 Verizon New Jersey, Ser A 5.875%, 01/17/12 2,175 2,197 Verizon Wireless Capital 5.375%, 12/15/06 1,665 1,664 Vodafone Group 5.500%, 06/15/11 1,425 1,428 Windstream (C) 8.625%, 08/01/16 190 203 -------------- 53,360 -------------- UTILITIES -- 1.8% Allegheny Energy Supply (B) (C) 8.250%, 04/15/12 885 965 Arizona Public Services 8.000%, 12/30/15 3,484 3,858 Cleveland Electric Illumination 5.650%, 12/15/13 500 500 Cogentrix Energy (C) 8.750%, 10/15/08 7,208 7,769 Commonwealth Edison 5.900%, 03/15/36 970 952 DPL 6.875%, 09/01/11 1,785 1,879 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 127 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Detroit Edison, Ser A 6.625%, 06/01/36 $ 990 $ 1,080 Dominion Resources 5.700%, 09/17/12 3,270 3,290 4.750%, 12/15/10 1,895 1,848 4.125%, 02/15/08 810 797 Dominion Resources, Ser B 5.950%, 06/15/35 610 592 Duke Energy 6.250%, 01/15/12 2,105 2,191 5.625%, 11/30/12 4,910 4,980 Exelon (J) 5.625%, 06/15/35 4,750 4,485 Exelon Generation LLC (C) 6.950%, 06/15/11 1,825 1,935 FPL Energy American Wind (C) 6.639%, 06/20/23 6,278 6,478 FirstEnergy, Ser A 5.500%, 11/15/06 2,168 2,168 FirstEnergy, Ser B (J) 6.450%, 11/15/11 1,405 1,466 FirstEnergy, Ser C 7.375%, 11/15/31 6,370 7,364 Midamerican Energy Holdings (B) (C) 6.125%, 04/01/36 645 652 NRG Energy (J) 7.250%, 02/01/14 1,610 1,598 Nevada Power (B) (C) 5.950%, 03/15/16 1,330 1,329 Oncor Electric Delivery 6.375%, 01/15/15 765 790 PSEG Power 7.750%, 04/15/11 1,075 1,166 5.000%, 04/01/14 620 591 Pacific Gas & Electric 6.050%, 03/01/34 2,610 2,625 Progress Energy 6.850%, 04/15/12 2,495 2,666 Public Service 7.875%, 10/01/12 1,350 1,524 Southern California Edison 6.000%, 01/15/34 1,505 1,538 Swepco Capital Trust I (F) 5.250%, 10/01/43 4,255 4,227 TXU Energy 7.000%, 03/15/13 780 819 TXU, Ser P 5.550%, 11/15/14 530 501 TXU, Ser R 6.550%, 11/15/34 4,510 4,248 -------------- 78,871 -------------- Total Corporate Obligations (Cost $1,366,393) ($ Thousands) 1,388,603 -------------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- ASSET-BACKED SECURITIES -- 30.2% AUTOMOTIVE -- 0.8% AmeriCredit Automobile Receivables Trust, Ser 2003-DM, Cl A4 2.840%, 08/06/10 $ 1,969 $ 1,941 Capital Auto Receivables Asset Trust, Ser 2004-1, Cl A3 2.000%, 11/15/07 300 299 Capital Auto Receivables Asset Trust, Ser 2004-2, Cl A2 3.350%, 02/15/08 584 581 Capital Auto Receivables Asset Trust, Ser 2006-1, Cl A3 5.030%, 10/15/09 1,313 1,310 Capital One Prime Auto Receivables Trust, Ser 2006-1, Cl A3 4.990%, 09/15/10 1,642 1,640 Carmax Auto Owner Trust, Ser 2006-2, Cl A3 5.150%, 02/15/11 2,476 2,480 Chase Manhattan Auto Owner Trust, Ser 2004-A, Cl A3 2.080%, 05/15/08 508 506 Ford Credit Auto Owner Trust, Ser 2005-A, Cl A3 3.480%, 11/15/08 2,102 2,085 Ford Credit Auto Owner Trust, Ser 2005-B, Cl A3 4.170%, 01/15/09 1,386 1,377 Ford Credit Auto Owner Trust, Ser 2006-B, Cl A4 5.250%, 09/15/11 2,112 2,122 Franklin Auto Trust, Ser 2005-1, Cl A2 4.840%, 09/22/08 292 292 Harley Davidson Motorcycle Trust, Ser 2006-2, Cl A2 5.350%, 03/15/13 650 655 Honda Auto Receivables Owner Trust, Ser 2004-2, Cl A3 3.300%, 06/16/08 1,935 1,922 Hyundai Auto Receivables Trust, Ser 2005-A, Cl A4 4.180%, 02/15/12 1,298 1,269 Nissan Auto Lease Trust, Ser 2005-A, Cl A2 4.610%, 01/15/08 517 517 Nissan Auto Receivables Owner Trust, Ser 2005-B, Cl A2 3.750%, 09/17/07 67 67 Nissan Auto Receivables Owner Trust, Ser 2006-B, Cl A3 5.160%, 02/15/10 705 705 -------------------------------------------------------------------------------- 128 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Triad Automobile Receivables Owner Trust, Ser 2003-B, Cl A4 3.200%, 12/13/10 $ 537 $ 527 USAA Auto Owner Trust, Ser 2004-3, Cl A3 3.160%, 02/17/09 599 594 USAA Auto Owner Trust, Ser 2005-1, Cl A3 3.900%, 07/15/09 337 334 USAA Auto Owner Trust, Ser 2005-3, Cl A2 4.520%, 06/16/08 713 711 USAA Auto Owner Trust, Ser 2006-3, Cl A4 5.360%, 06/15/12 1,046 1,057 Volkswagen Auto Lease Trust, Ser 2006-A, Cl A2 5.550%, 11/20/08 1,301 1,305 WFS Financial Owner Trust, Ser 2003-1, Cl A4 2.740%, 09/20/10 198 197 WFS Financial Owner Trust, Ser 2003-3, Cl A4 3.250%, 05/20/11 856 845 WFS Financial Owner Trust, Ser 2003-4, Cl A4 3.150%, 05/20/11 327 322 WFS Financial Owner Trust, Ser 2004-1, Cl A4 2.810%, 08/22/11 589 577 WFS Financial Owner Trust, Ser 2005-3, Cl A3A 4.250%, 06/17/10 444 440 Wachovia Auto Owner Trust, Ser 2004-A, Cl A4 3.660%, 10/29/06 2,436 2,401 Wachovia Auto Owner Trust, Ser 2005-B, Cl A2 4.820%, 02/20/09 1,289 1,286 Wachovia Auto Owner Trust, Ser 2006-1, Cl A3 5.100%, 07/20/11 1,315 1,315 -------------- 31,679 -------------- CREDIT CARDS -- 0.4% Chase Credit Card Master Trust, Ser 2003-3, Cl A (F) 5.440%, 10/15/06 1,590 1,593 Chase Issuance Trust, Ser 2004-A9, Cl A9 3.220%, 06/15/10 1,884 1,847 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Chase Issuance Trust, Ser 2006-A3, Cl A3 (F) 5.320%, 10/15/06 $ 3,684 $ 3,685 Citibank Credit Card Issuance Trust, Ser 2000-A3, Cl A3 6.875%, 11/16/09 795 809 Citibank Credit Card Issuance Trust, Ser 2004-A4, Cl A4 3.200%, 08/24/09 2,209 2,169 Citibank Credit Card Issuance Trust, Ser 2006-A4, Cl A4 5.450%, 05/10/13 1,919 1,948 GE Capital Credit Card Master Trust, Ser 2006-1, Cl A 5.080%, 09/15/12 2,034 2,043 Household Credit Card Master Trust, Ser 2006-1, Cl A 5.100%, 06/15/12 3,096 3,103 MBNA Master Credit Card Trust, Ser 2000-L, Cl A 6.500%, 04/15/10 1,232 1,251 -------------- 18,448 -------------- MORTGAGE RELATED SECURITIES -- 28.8% ABFS Mortgage Loan Trust, Ser 2002-1, Cl A5 (G) 6.510%, 12/15/32 2,117 2,136 ABS Home Equity Loan Trust, Ser 2001-HE3, Cl A1 (F) 5.870%, 10/15/06 833 834 AFC Home Equity Loan Trust, Ser 1998-1, Cl 1A2 (F) 5.600%, 10/01/06 162 163 AFC Home Equity Loan Trust, Ser 2000-1, Cl 2A (F) 5.570%, 10/25/06 6,757 6,772 Ace Securities, Ser 2003-OP1, Cl M1 (F) 6.030%, 10/26/06 1,000 1,005 Ace Securities, Ser 2005-HE4, Cl A2A (F) 5.440%, 10/25/06 261 261 Ace Securities, Ser 2005-HE7, Cl A1B2 (F) 5.630%, 10/27/06 1,771 1,772 Adjustable Rate Mortgage NIM Trust, Ser 2005-4, Cl A (C) 5.500%, 12/27/35 664 661 Adjustable Rate Mortgage Trust, Ser 2005-8, Cl 4A11 (F) 5.442%, 10/01/06 12,383 12,228 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 129 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Aegis Asset-Backed Securities Trust, Ser 2003-3, Cl M1 (F) 6.030%, 10/25/06 $ 361 $ 361 American Home Mortgage Investment Trust, Ser 2004-1, Cl 4A (F) 3.280%, 10/25/06 738 715 American Home Mortgage Investment Trust, Ser 2004-4, Cl 4A (F) 4.390%, 10/01/06 3,182 3,095 American Home Mortgage Investment Trust, Ser 2005-1, Cl 6A (F) 5.294%, 10/25/06 9,202 9,099 American Home Mortgage Investment Trust, Ser 2005-4, Cl 5A (F) 5.350%, 10/25/06 7,117 7,035 Ameriquest Mortgage Securities, Ser 2003-2, Cl M1 (F) 6.230%, 10/25/06 1,424 1,427 Ameriquest Mortgage Securities, Ser 2004-R12, Cl A3 (F) 5.610%, 10/08/06 1,106 1,107 Argent Securities, Ser 2003-W5, Cl M1 (F) 6.030%, 10/25/06 600 607 Argent Securities, Ser 2003-W9, Cl M1 (F) 6.020%, 10/26/06 1,500 1,509 Asset Securitization, Ser 1996-D2, Cl A1 6.920%, 02/14/29 626 627 Asset-Backed Funding Certificates, Ser 2003-WF1, Cl A2 (F) 6.125%, 10/25/06 2,506 2,526 Asset-Backed Funding Certificates, Ser 2005-AQ1, Cl A1B (G) 4.250%, 10/25/06 1,177 1,173 Asset-Backed Funding Certificates, Ser 2005-AQ1, Cl A2 (G) 4.300%, 06/25/35 3,500 3,455 Asset-Backed Securities Home Equity Loan Trust, Ser 2003-HE4, Cl M2 (F) 7.330%, 10/15/06 1,100 1,107 Asset-Backed Securities Home Equity Loan Trust, Ser 2003-HE5, Cl M1 (F) 6.080%, 10/15/06 1,733 1,743 Asset-Backed Securities Home Equity, Ser 2003-HE5, Cl M2 (F) 7.230%, 10/15/06 1,050 1,063 Banc of America Commercial Mortgage, Ser 2002-PB2, Cl B 6.309%, 06/11/35 659 692 Banc of America Commercial Mortgage, Ser 2003-1, Cl A2 4.648%, 10/01/06 723 700 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Banc of America Commercial Mortgage, Ser 2004-1, Cl A4 4.760%, 11/10/39 $ 794 $ 768 Banc of America Commercial Mortgage, Ser 2005-3, Cl A4 4.668%, 07/10/43 11,300 10,784 Banc of America Funding, Ser 2003-1, Cl A1 6.000%, 05/20/33 6 6 Banc of America Funding, Ser 2005-B, Cl 2A1 (F) 5.112%, 10/01/06 7,113 7,064 Banc of America Mortgage Securities, Ser 2003-1, Cl 2A4 5.000%, 02/25/18 6,475 6,326 Bear Stearns Asset-Backed Securities, Ser 2000-2, Cl M2 (G) 8.280%, 08/25/30 8,000 8,195 Bear Stearns Asset-Backed Securities, Ser 2003-1, Cl A1 (F) 5.830%, 10/25/06 4,926 4,940 Bear Stearns Asset-Backed Securities, Ser 2005-AQ2N, Cl A1 (C) 5.500%, 09/25/35 150 149 Bear Stearns Asset-Backed Securities, Ser 2005-FR1, Cl A1 (C) 5.000%, 06/25/35 115 115 Bear Stearns Asset-Backed Securities, Ser 2006-HE1, Cl 2A1 (F) 5.420%, 10/27/06 5,634 5,635 Bear Stearns Commercial Mortgage Securities, Ser 2003-T10, Cl A2 4.740%, 10/01/06 493 480 Bear Stearns Commercial Mortgage Securities, Ser 2004-ESA, Cl B (C) 4.888%, 05/14/16 370 368 Bear Stearns Commercial Mortgage Securities, Ser 2004-ESA, Cl C (C) 4.937%, 05/14/16 2,619 2,607 Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR8, Cl AAB 4.581%, 06/11/41 2,511 2,418 Bear Stearns Commercial Mortgage Securities, Ser 2006-T22, Cl AM (F) 5.634%, 04/12/38 1,597 1,621 CS First Boston Mortgage Securities, Ser 2004-C5, Cl A4 4.829%, 10/15/06 1,238 1,196 Capital One Multi-Asset Execution Trust, Ser 2003-C4, Cl C4 6.000%, 08/15/13 1,638 1,677 -------------------------------------------------------------------------------- 130 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Capital One Multi-Asset Execution Trust, Ser 2006-A10, Cl A10 5.150%, 06/16/14 $ 1,236 $ 1,244 Carrington Mortgage Loan Trust, Ser 2005-NC3, Cl A1B (F) 5.490%, 10/27/06 1,358 1,359 Centex Home Equity, Ser 2004-B, Cl AF3 (G) 2.946%, 05/25/28 314 312 Chase Commercial Mortgage Securities, Ser 2000-3, Cl A2 7.319%, 10/15/32 2,575 2,747 Chase Funding Mortgage Loan, Ser 2002-1, Cl 2A2 (F) 5.580%, 10/25/06 3,152 3,153 Chase Funding Mortgage Loan, Ser 2003-6, Cl 1A3 3.340%, 05/25/26 2,949 2,896 Chase Manhattan Commercial Mortgage Trust, Ser 99-C2, Cl A2 (F) 7.546%, 11/17/32 5,730 6,033 Chase Mortgage Finance, Ser 2005-A1, Cl 2A3 (F) 5.249%, 10/01/06 12,400 12,265 Cheyne High Grade, Ser 2004-1A, Cl AM1 (C) (F) (K) 5.466%, 11/10/06 6,755 6,755 Citicorp Residential Mortgage Securities, Ser 2006-1, Cl A2 (G) 5.682%, 07/25/36 1,236 1,240 Citigroup Mortgage Loan Trust, Ser 2005-HE4, Cl A2C (F) 5.600%, 10/27/06 4,800 4,808 Commercial Mortgage Pass-Through Certificate, Ser 1999-1, Cl E (F) 7.224%, 10/01/06 2,125 2,203 Commercial Mortgage Pass-Through Certificate, Ser 2000-C1, Cl C 7.706%, 08/15/33 391 423 Commercial Mortgage Pass-Through Certificate, Ser 2005-C6, Cl A3 (F) 5.144%, 10/10/06 12,000 11,906 Commodore, Ser 2003-2A, Cl A1MM (C) (F) (K) 5.470%, 12/12/06 6,215 6,215 Conseco Finance Home Loan Trust, Ser 2000-E, Cl M1 8.130%, 08/15/31 2,102 2,184 Conseco Finance Securitization, Ser 2000-4, Cl A6 8.310%, 05/01/32 1,500 1,257 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Conseco Finance, Ser 2001-D, Cl A5 (G) 6.190%, 11/15/32 $ 3,159 $ 3,201 Contimortgage Home Equity Loan Trust, Ser 1997-1, Cl A9 7.050%, 03/15/28 121 122 Contimortgage Home Equity Loan Trust, Ser 1997-2, Cl A9 7.090%, 04/15/28 172 171 Countrywide Alternative Loan Trust, Ser 2004-J1, Cl 1A1 6.000%, 02/25/34 1,451 1,447 Countrywide Alternative Loan Trust, Ser 2005-27, Cl 3A2 (F) 5.663%, 10/01/06 1,941 1,947 Countrywide Alternative Loan Trust, Ser 2005-56, Cl 4A1 (F) 5.640%, 10/25/06 14,684 14,727 Countrywide Alternative Loan Trust, Ser 2005-59, Cl 1A1 (F) 5.660%, 10/20/06 16,932 16,988 Countrywide Alternative Loan Trust, Ser 2005-59, Cl 2X, IO (E) 1.601%, 10/01/06 31,757 1,198 Countrywide Alternative Loan Trust, Ser 2005-J4, Cl 2A1B (F) 5.450%, 10/27/06 277 277 Countrywide Alternative Loan Trust, Ser 2006-0C8, Cl 2A1B (F) 5.410%, 10/25/36 1,839 1,839 Countrywide Alternative Loan Trust, Ser 2006-OA2, Cl X1P, IO (H) 6.460%, 05/20/46 49,870 2,520 Countrywide Asset-Backed Certificates, Ser 2003-2, Cl M2 (F) 6.976%, 10/26/06 360 362 Countrywide Asset-Backed Certificates, Ser 2003-C2, Cl 2A1 (F) 5.630%, 10/25/06 38 38 Countrywide Asset-Backed Certificates, Ser 2004-11, Cl A2 (F) 5.710%, 10/25/06 2,020 2,022 Countrywide Asset-Backed Certificates, Ser 2004-14, Cl A4 (F) 5.610%, 10/25/06 2,553 2,561 Countrywide Asset-Backed Certificates, Ser 2005-12, Cl 1A1 (F) 5.480%, 10/27/06 637 638 Countrywide Asset-Backed Certificates, Ser 2005-15, Cl 1AF1 (F) 5.470%, 10/25/06 13,921 13,924 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 131 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Countrywide Asset-Backed Certificates, Ser 2005-BC4, Cl 2A1 (F) 5.450%, 10/27/06 $ 354 $ 354 Countrywide Asset-Backed Certificates, Ser 2006-11, Cl 3AV1 (F) 5.390%, 10/25/06 1,677 1,677 Countrywide Asset-Backed Certificates, Ser 2006-13, Cl 3AV2 (F) 5.480%, 10/28/06 1,549 1,549 Countrywide Asset-Backed Certificates, Ser 2006-ABC1, Cl A1 (F) 5.360%, 10/25/06 1,510 1,510 Countrywide Asset-Backed Certificates, Ser 2006-IM1, Cl A1 (F) 5.420%, 10/27/06 6,227 6,228 Countrywide Asset-Backed Certificates, Ser 2006-S1, Cl A2 5.549%, 08/25/21 2,572 2,568 Countrywide Home Equity Loan Trust, Ser 2004-K, Cl A2 (F) 5.630%, 10/15/06 3,135 3,142 Countrywide Home Equity Loan Trust, Ser 2005-F, Cl 2A (F) 5.570%, 10/15/06 10,424 10,430 Countrywide Home Equity Loan Trust, Ser 2005-H, Cl 2A (F) 5.570%, 10/15/06 9,265 9,279 Countrywide Home Loans, Ser 2005-HY10, Cl 1A1 (F) 5.289%, 10/01/06 3,043 3,052 Countrywide Home Loans, Ser 2005-HYB9, Cl 1A1 (F) 5.150%, 10/01/06 1,879 1,867 Countrywide Home Loans, Ser 2005-HYB9, Cl 1A2 (F) 5.150%, 10/01/06 408 406 Countrywide Home Loans, Ser 2005-R3, Cl AF (C) (F) 5.730%, 10/25/06 8,869 8,919 Countrywide Home Loans, Ser 2006-HYB1, Cl 1A1 (F) 5.401%, 10/20/06 7,292 7,268 Credit Suisse First Boston Mortgage Securities, Ser 1998-C2, Cl A2 6.300%, 11/15/30 11,024 11,227 Credit Suisse First Boston Mortgage Securities, Ser 2001-CP4, Cl A4 6.180%, 12/15/35 2,909 3,021 Credit Suisse First Boston Mortgage Securities, Ser 2001-MH29, Cl A (G) 5.600%, 09/25/31 1,578 1,551 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Credit Suisse First Boston Mortgage Securities, Ser 2002-CKN2, Cl A3 6.133%, 04/15/37 $ 3,603 $ 3,750 Credit Suisse First Boston Mortgage Securities, Ser 2002-CKP1, Cl A3 6.439%, 12/15/35 1,304 1,377 Credit Suisse First Boston Mortgage Securities, Ser 2002-CKS4, Cl A2 5.183%, 11/15/36 16,786 16,767 Credit Suisse First Boston Mortgage Securities, Ser 2002-CP3, Cl A3 5.603%, 07/15/35 1,610 1,639 Credit Suisse First Boston Mortgage Securities, Ser 2003-AR24, Cl 2A4 (F) 4.028%, 10/01/06 12,000 11,837 Credit Suisse First Boston Mortgage Securities, Ser 2003-C4, Cl A4 (F) 5.137%, 08/15/36 1,339 1,328 Credit Suisse Mortgage Capital, Ser 2006-C4, Cl AM 5.509%, 09/15/39 1,722 1,734 Criimi Mae Commercial Mortgage, Ser 1998-C1, Cl A2 (C) 7.000%, 06/02/33 8,293 8,350 DLJ Commercial Mortgage, Ser 1999-CG1, Cl A1B 6.460%, 03/10/32 5,030 5,158 DSLA Mortgage Loan Trust, Ser 2004-AR2, Cl A2B (F) 5.730%, 10/19/06 7,475 7,507 DSLA Mortgage Loan Trust, Ser 2004-AR3, Cl B2 (F) 6.430%, 10/20/06 975 985 Duke Funding, Ser 2004-6B, Cl A1S1 (C) (F) (K) 5.577%, 10/10/06 10,133 10,133 EMC Mortgage Loan Trust, Ser 2002-AA, Cl A1 (C) (F) 5.800%, 10/25/06 2,524 2,536 EQCC Trust, Ser 2002-1, Cl 2A (F) 5.630%, 10/25/06 410 410 Equivantage Home Equity Loan Trust, Ser 1997-2, Cl A3 (G) 7.775%, 10/01/06 321 320 FFCA Secured Lending, Ser 1999-1A, IO (C) (F) (H) 1.468%, 10/01/06 11,026 582 First Franklin Mortgage Loan Asset-Backed Securities, Ser 2004-FF10, Cl A2 (F) 5.730%, 10/26/06 1,759 1,763 -------------------------------------------------------------------------------- 132 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- First Franklin Mortgage Loan Asset-Backed Securities, Ser 2004-FF11, Cl 1A2 (F) 5.680%, 10/25/06 $ 1,274 $ 1,277 First Franklin Mortgage Loan Asset-Backed Securities, Ser 2004-FFA, Cl A2A (F) 5.440%, 10/25/06 32 32 First Franklin Mortgage Loan Asset-Backed Securities, Ser 2004-FFH3, Cl 2A1 (F) 5.460%, 10/26/06 4,041 4,041 First Franklin Mortgage Loan Asset-Backed Securities, Ser 2005-FFH4, Cl N1 (C) 5.682%, 12/25/35 147 147 First Franklin Mortgage Loan Asset-Backed Securities, Ser 2005-FF10, Cl A4 (F) 5.650%, 10/25/06 8,400 8,421 First Franklin Mortgage Loan Asset-Backed Securities, Ser 2005-FF3, Cl A1 (F) 5.410%, 10/27/06 1,334 1,334 First Franklin Mortgage Loan Asset-Backed Securities, Ser 2005-FF9, Cl A3 (F) 5.610%, 10/25/06 9,500 9,522 First Horizon, Ser 2004-HE2, Cl A (F) 5.550%, 10/25/06 3,288 3,290 First Union National Bank, Ser 2001-C4, Cl B 6.417%, 12/12/33 809 852 Fleet Home Equity Trust, Ser 2001-1, Cl A (F) 5.540%, 10/01/06 285 285 Fund America Investors, Ser 1993-A, Cl A2 (F) 6.168%, 10/01/06 416 414 GE Capital Commercial Mortgage, Ser 2001-3, Cl A2 6.070%, 06/10/38 3,509 3,645 GE Capital Commercial Mortgage, Ser 2002-1A, Cl A3 6.269%, 12/10/35 5,610 5,880 GE Capital Commercial Mortgage, Ser 2002-2A, Cl A3 5.349%, 08/11/36 2,470 2,485 GE Capital Commercial Mortgage, Ser 2002-3A, Cl A2 4.996%, 12/10/37 13,880 13,746 GE Capital Commercial Mortgage, Ser 2003-C2, Cl A4 5.145%, 07/10/37 2,514 2,498 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- GE Capital Commercial Mortgage, Ser 2004-C3, Cl A4 (F) 5.189%, 10/01/06 $ 3,595 $ 3,568 GE Capital Commercial Mortgage, Ser 2005-C4, Cl A3A (F) 5.511%, 10/01/06 12,650 12,747 GE Capital Commercial Mortgage, Ser 2006-C1, Cl A3 (F) 5.519%, 10/01/06 2,455 2,463 GE Capital Mortgage Services, Ser 1997-HE3, Cl A6 6.720%, 10/25/27 267 266 GMAC Commercial Mortgage Securities, Ser 1998-C1, Cl A2 6.700%, 05/15/30 8,635 8,769 GMAC Commercial Mortgage Securities, Ser 1999-C2, Cl A2 6.945%, 09/15/33 100 103 GMAC Commercial Mortgage Securities, Ser 2002-C3, Cl A2 4.930%, 07/10/39 559 551 GMAC Commercial Mortgage Securities, Ser 2003-C2, Cl B 5.473%, 10/01/06 1,355 1,372 GMAC Commercial Mortgage Securities, Ser 2003-C3, Cl A4 5.023%, 04/10/40 3,624 3,569 GMAC Commercial Mortgage Securities, Ser 2004-C1, Cl A1 3.118%, 03/10/38 634 617 GMAC Commercial Mortgage Securities, Ser 2004-C2, Cl A1 3.896%, 08/10/38 211 207 GMAC Mortgage Loan Trust, Ser 2004-HE2, Cl A2 (F) 2.880%, 10/25/06 1,312 1,299 GMAC Mortgage Loan Trust, Ser 2004-HE4, Cl A1 (F) 5.604%, 10/25/06 9,754 9,768 GS Mortgage Securities, Ser 1998-1, Cl A (C) 8.000%, 09/19/27 109 114 GS Mortgage Securities, Ser 1998-GLII, Cl A2 6.562%, 04/13/31 4,363 4,430 GS Mortgage Securities, Ser 2005-GG4, Cl A4A 4.751%, 07/10/39 6,500 6,247 GS Mortgage Securities, Ser 2005-GG4, Cl AABA 4.680%, 07/10/39 350 340 GS Mortgage Securities, Ser 2006-C1, Cl B 6.970%, 10/18/30 1,189 1,224 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 133 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- GS Mortgage Securities, Ser 2006-GG6, Cl AM (F) 5.622%, 04/10/38 $ 4,300 $ 4,372 GSAA Home Equity Trust, Ser 2006-2, Cl 2A1 (F) 5.430%, 10/27/06 13,225 13,229 GSAMP Trust, Ser 2003-SEA, Cl A1 (F) 5.730%, 10/25/06 5,009 5,039 GSR Mortgage Loan Trust, Ser 2003-13, Cl 1A1 (F) 4.503%, 10/01/06 8,179 7,850 Green Tree Financial, Ser 1993-4, Cl A5 7.050%, 01/15/19 593 603 Green Tree Financial, Ser 1996-5, Cl A6 7.750%, 07/15/27 1,648 1,720 Green Tree Financial, Ser 1998-6, Cl A6 6.270%, 06/01/30 93 93 Greenwich Capital Commercial Funding, Ser 2005-GG3, Cl AAB (F) 4.619%, 08/10/42 6,305 6,098 HSI Asset Securitization Trust, Ser 2005-I1, Cl 2A3 (F) 5.620%, 10/27/06 8,000 8,021 HSI Asset Securitization Trust, Ser 2005-NC1, Cl 2A4 (F) 5.650%, 10/25/06 1,831 1,832 Harborview Mortgage Loan Trust, Ser 2005-01, Cl X, IO (E) 0.911%, 10/01/06 33,091 729 Harborview Mortgage Loan Trust, Ser 2005-10, Cl X, IO (F) (H) 1.431%, 10/01/06 41,901 1,152 Harborview Mortgage Loan Trust, Ser 2005-12, Cl X2B, IO (F) (H) 10.480%, 10/01/06 34,265 980 Heller Financial Commercial Mortgage, Ser 1999-PH1, Cl C (F) 7.054%, 10/15/06 250 260 Home Equity Asset Trust, Ser 2003-4, Cl M2 (F) 7.230%, 10/25/06 1,275 1,284 Home Equity Asset Trust, Ser 2005-5N, Cl A (C) 5.500%, 12/27/35 635 626 IMPAC CMB Trust, Ser 2003-12, Cl A1 (F) 6.090%, 10/25/06 2,684 2,685 IMPAC Secured Assets, Ser 2006-3, Cl A4 (F) 5.420%, 10/27/06 10,500 10,500 Indymac Index Mortgage Loan Trust, Ser 2004-AR12, Cl AX2, IO (E) (H) 0.930%, 10/01/06 30,977 760 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Indymac Index Mortgage Loan Trust, Ser 2005-AR2, Cl 1A1 (F) 4.918%, 10/01/06 $ 782 $ 786 Indymac Seconds Asset-Backed Trust, Ser 2006-6A, Cl A (F) 5.460%, 10/25/06 5,385 5,385 JPMorgan Chase Commercial Mortgage, Ser 2001-CIB2, Cl A3 6.429%, 04/15/35 5,170 5,422 JPMorgan Chase Commercial Mortgage, Ser 2003-CB7, Cl A4 (F) 4.879%, 10/12/06 2,257 2,206 JPMorgan Chase Commercial Mortgage, Ser 2003-ML1A, Cl A2 4.767%, 03/12/39 2,297 2,234 JPMorgan Chase Commercial Mortgage, Ser 2005-CB11, Cl A4 5.335%, 10/11/06 1,857 1,854 JPMorgan Chase Commercial Mortgage, Ser 2005-CB12, Cl A4 4.895%, 09/12/37 680 659 JPMorgan Chase Commercial Mortgage, Ser 2005-LDP4, Cl A4 (F) 4.918%, 10/01/06 3,700 3,587 JPMorgan Chase Commercial Mortgage, Ser 2006-CB16, Cl A4 5.817%, 05/12/45 1,547 1,570 JPMorgan Chase Commericial Mortgage, Ser 2006-LDP8, Cl ASB (F) 5.500%, 05/15/45 923 928 JPMorgan Mortgage Trust, Ser 2005-A3, Cl 11A2 (F) 4.511%, 10/25/06 12,385 11,673 JPMorgan Mortgage Trust, Ser 2006-A2, Cl 2A2 (F) 5.773%, 10/01/06 12,600 12,676 JPMorgan Mortgage Trust, Ser 2006-A3, Cl 3A4 (F) 5.768%, 10/01/06 13,560 13,665 LB Commercial Conduit Mortgage Trust, Ser 1999-C2, Cl A1 7.105%, 10/15/32 109 110 LB Commercial Conduit Mortgage Trust, Ser 1999-C2, Cl B 7.425%, 10/15/32 378 402 LB-UBS Commercial Mortgage Trust, Ser 2000-C5, Cl A2 5.594%, 06/15/31 5,000 5,091 LB-UBS Commercial Mortgage Trust, Ser 2003-C7, Cl A4 (F) 4.931%, 09/15/35 880 865 LB-UBS Commercial Mortgage Trust, Ser 2006-C6, Cl AM (F) 5.413%, 09/15/36 923 925 -------------------------------------------------------------------------------- 134 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Lehman Brothers Commercial Mortgage, Ser 1998-C2, Cl A2 6.560%, 11/18/35 $ 2,971 $ 3,012 Lehman XS Trust, Ser 2005-5N, Cl 1A1 (F) 5.630%, 10/01/06 11,843 11,875 Lehman XS Trust, Ser 2005-5N, Cl M4 (F) 7.080%, 10/31/06 1,800 1,754 Lehman XS Trust, Ser 2005-5N, Cl 3A3A (F) 5.520%, 10/25/06 2,426 2,428 Lehman XS Trust, Ser 2006-7, Cl 2A1 (F) 5.400%, 10/25/06 6,319 6,315 Long Beach Asset Holdings, Ser 2005-WL1, Cl N1 (C) 5.193%, 06/25/45 621 618 Long Beach Mortgage Loan Trust, Ser 2006-WL1, Cl 1A3 (F) 5.660%, 10/27/06 2,145 2,151 MLCC Mortgage Investors, Ser 2004-B, Cl A3 (F) 6.537%, 10/01/06 2,474 2,512 Master Asset-Backed Securities Trust, Ser 2002-OPT1, Cl M1 (F) 6.480%, 10/27/06 564 565 Master Asset-Backed Securities Trust, Ser 2004-OPT2, Cl A2 (F) 5.680%, 10/26/06 143 143 Master Asset-Backed Securities Trust, Ser 2005-AB1, Cl A1B (G) 5.143%, 10/01/06 934 929 Master Asset-Backed Securities Trust, Ser 2006-AB1, Cl A1 (F) 5.470%, 10/27/06 16,767 16,769 Master Reperforming Loan Trust, Ser 2005-1, Cl 1A1 (C) 6.000%, 08/25/34 5,892 5,910 Master Seasoned Securities Trust, Ser 2004-2, Cl A2 6.500%, 08/25/32 6,110 6,192 Merrill Lynch 6.220%, 09/15/26 755 768 Merrill Lynch Commericial Mortgage Trust, Ser 2006-3, Cl AM (F) 5.456%, 07/12/46 923 929 Merrill Lynch Mortgage Investors, Ser 2003-OPT1, Cl A3 (F) 5.690%, 07/25/34 1,874 1,878 Merrill Lynch Mortgage Investors, Ser 2004-A1, Cl 4A (F) 5.347%, 10/01/06 8,371 8,291 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Merrill Lynch Mortgage Investors, Ser 2005-HE2, Cl A2A (F) 5.440%, 10/27/06 $ 1,682 $ 1,682 Merrill Lynch Mortgage Investors, Ser 2005-SD1, Cl A1 (F) 5.510%, 10/25/06 480 480 Merrill Lynch Mortgage Investors, Ser 2006-WMC2, Cl A2D (G) 5.895%, 10/25/06 5,200 5,250 Merrill Lynch Mortgage Trust, Ser 2002-MW1, Cl A4 5.619%, 07/12/34 2,541 2,588 Merrill Lynch Mortgage Trust, Ser 2004-KEY2, Cl A4 (F) 4.864%, 08/12/39 1,859 1,800 Merrill Lynch Mortgage Trust, Ser 2005-MCP1, Cl A4 (F) 4.747%, 06/12/43 3,780 3,625 Mid-State Trust, Ser 11, Cl A1 4.864%, 07/15/38 5,811 5,588 Morgan Stanley Capital, Ser 2003-IQ5 Cl A4 5.010%, 10/01/06 2,161 2,130 Morgan Stanley Capital I, Ser 2003-NC8, Cl M1 (F) 6.030%, 10/27/06 2,200 2,206 Morgan Stanley Capital I, Ser 2003-NC8, Cl M3 (F) 7.430%, 10/25/06 401 404 Morgan Stanley Capital I, Ser 2003-NC10, Cl M2 (F) 7.130%, 10/26/06 1,065 1,073 Morgan Stanley Capital I, Ser 2003-T11, Cl A4 5.150%, 06/13/41 3,095 3,075 Morgan Stanley Capital I, Ser 2004-HQ4, Cl A2 3.920%, 04/14/40 890 875 Morgan Stanley Capital I, Ser 2004-WMC2, Cl A2 (F) 5.690%, 10/27/06 184 184 Morgan Stanley Capital I, Ser 2005-HQ5, Cl AAB 5.037%, 01/14/42 777 769 Morgan Stanley Capital I, Ser 2005-HQ6, Cl A4A 4.989%, 08/13/42 5,600 5,463 Morgan Stanley Capital I, Ser 2006-NC1, Cl A1 (F) 5.410%, 10/27/06 1,356 1,356 Morgan Stanley Dean Witter Capital, Ser 2000-LIFE, Cl A2 7.570%, 11/15/36 3,359 3,561 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 135 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Morgan Stanley Dean Witter Capital, Ser 2002-IQ3, Cl A4 5.080%, 10/01/06 $ 3,005 $ 2,979 Morgan Stanley Dean Witter Capital I, Ser 2003-NC4, Cl M2 (F) 7.330%, 10/25/06 730 733 Morgan Stanley Home Equity Loan Trust, Ser 2006-2, Cl A2 (F) 5.440%, 10/25/06 942 942 Mortgage Capital Funding, Ser 1998-MC2, Cl A2 6.423%, 06/18/30 4,954 5,011 New Century Home Equity Loan Trust, Ser 2003-B, Cl M1 (F) 5.980%, 10/27/06 2,200 2,213 New Century Home Equity Loan Trust, Ser 2004-A, Cl AII3 (F) 4.450%, 10/01/06 4,424 4,391 New Century Home Equity Loan Trust, Ser 2005-A, Cl A2 4.461%, 10/25/06 10,254 10,156 New Century Home Equity Loan Trust, Ser 2005-B, Cl A2A (F) 5.450%, 10/25/06 5,528 5,529 Newcastle CDO, Ser 2005-6A, Cl IM1 (F) (K) 5.350%, 10/24/06 2,702 2,702 Nomura Home Equity Loan, Ser 2006-WF1, Cl A1 (F) 5.450%, 10/25/06 1,374 1,375 Northstar Education Finance, Ser 2005-1, Cl A5 4.740%, 10/30/45 1,375 1,361 Novastar Home Equity Loan, Ser 1998-2, Cl A2 (F) 5.559%, 10/25/06 434 434 Novastar Home Equity Loan, Ser 2005-2, Cl A2B (F) 5.480%, 10/27/06 1,391 1,391 Oncor Electric Delivery Transition Bond, Ser 2003-1, Cl A2 4.030%, 02/15/12 5,000 4,906 Option One Mortgage Loan Trust, Ser 2001-4, Cl A (F) 5.930%, 10/25/06 883 883 Option One Mortgage Loan Trust, Ser 2003-5, Cl M1 (F) 5.980%, 10/23/06 1,425 1,431 Option One Mortgage Loan Trust, Ser 2006-1, Cl 2A1 (F) 5.400%, 10/27/06 1,140 1,140 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Option One Mortgage Loan Trust, Ser 2006-1, Cl M10 (C) (F) 7.830%, 10/27/06 $ 130 $ 113 Option One Mortgage Loan Trust, Ser 2006-1, Cl M11 (C) (F) 7.830%, 10/27/06 280 266 Option One Mortgage Securities, Ser 2005-3A, Cl N1 (C) 5.438%, 08/26/35 749 743 Orchid Structured Finance CDO, Ser 2003-1A, Cl A1MM (C) (F) 5.510%, 11/18/06 12,014 12,014 Ownit Mortgage Loan Asset-Backed Securities Trust, Ser 2006-1, Cl AF1 (G) 5.424%, 12/25/36 11,101 11,043 Ownit Mortgage Loan NIM Trust, Ser 2005-5A, Cl N1 (C) 5.500%, 10/25/36 155 154 Park Place Securities NIM Trust, Ser 2004-MM1, Cl AM6 (C) (F) (K) 5.360%, 10/25/06 6,004 6,004 Residential Accredit Loans, Ser 2006-Q01, Cl 2A3 (F) 5.730%, 10/27/06 1,335 1,338 Residential Asset Mortgage Products, Ser 2003-RS11, Cl MII1 (F) 6.060%, 10/25/06 700 705 Residential Asset Mortgage Products, Ser 2003-RS2, Cl AII (F) 5.670%, 10/25/06 181 182 Residential Asset Mortgage Products, Ser 2003-RS3, Cl AII (F) 5.690%, 10/25/06 271 271 Residential Asset Mortgage Products, Ser 2004-SL1, Cl A8 6.500%, 11/25/31 3,959 4,002 Residential Asset Securities, Ser 2002-KS7, Cl A2 (F) 5.700%, 10/25/06 3,310 3,310 Residential Asset Securities, Ser 2006-EMX2, Cl A1 (F) 5.404%, 10/27/06 7,064 7,065 Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1 (F) 5.242%, 10/01/06 5,152 5,147 Residential Funding Mortgage Securities, Ser 2000-HI1, Cl AI7 (F) 8.290%, 02/25/25 4,414 4,441 Residential Funding Mortgage Securities, Ser 2005-HS1, Cl AI1 (F) 5.450%, 10/25/06 9,308 9,286 -------------------------------------------------------------------------------- 136 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Resmae Mortgage Loan Trust, Ser 2006-1, Cl A2A (C) (F) 5.430%, 10/25/06 $ 6,172 $ 6,171 SB Finance NIM Trust, Ser 2005-HE3, Cl 2N1 (C) 5.000%, 06/25/35 1,602 1,589 SB Finance NIM Trust, Ser 2005-HE3, Cl N1 (C) 4.750%, 09/25/35 2,015 1,998 SLM Student Loan Trust, Ser 2004-1, Cl A2 (F) 5.625%, 10/25/06 1,359 1,365 SLM Student Loan Trust, Ser 2006-2, Cl B (F) 5.616%, 12/19/06 5,250 5,248 SLM Student Loan Trust, Ser 2006-C, Cl C 5.877%, 12/28/06 4,000 3,963 Saco I Trust, Ser 2005-9, Cl A1 (F) 5.580%, 10/27/06 1,692 1,692 Saco I Trust, Ser 2005-WM3, Cl A1 (F) 5.590%, 10/27/06 4,140 4,141 Saco I Trust, Ser 2006-6, Cl A (F) 5.460%, 10/25/06 7,090 7,090 Sail NIM Notes, Ser 2005-11A, Cl A (C) 7.500%, 01/27/36 403 397 Salomon Brothers Mortgage Securities VII, Ser 2001-C2, Cl A3 6.499%, 10/13/11 7,300 7,687 Sasco NIM Trust, Ser 2005-WF3A, Cl A (C) 4.750%, 07/27/35 210 209 Saturn Ventures II (F) (K) 5.390%, 10/10/06 10,880 10,880 Securitized Asset-Backed Receivables LLC, Ser 2005-FR4, Cl A3 (F) 5.530%, 10/25/06 3,913 3,916 Sharps SP I LLC NIM Trust, Ser 2005-HE5N, Cl A1 (C) 5.800%, 08/25/35 695 688 Sharps SP I LLC NIM Trust, Ser 2005-WF1N, Cl NA (C) 6.150%, 05/25/35 567 561 Soundview Home Equity Loan Trust, Ser 2005-OPT4, Cl M8 (F) 7.830%, 10/25/06 500 453 Start, Ser 2003-1, Cl X 4.130%, 10/21/06 6,440 6,408 Start, Ser 2003-2, Cl X 4.600%, 10/21/06 7,911 7,911 Structured Adjustable Rate Mortgage Loan, Ser 2005-19XS, Cl 1A1 (F) 5.650%, 10/26/06 4,507 4,526 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Structured Asset Investment Loan Trust, Ser 2005-11, Cl A4 (F) 5.420%, 10/25/06 $ 1,108 $ 1,109 Structured Asset Investment Loan Trust, Ser 2005-8, Cl A2 (F) 5.460%, 10/25/06 2,066 2,066 Structured Asset Investment Loan, Ser 2003-BC4, Cl M2 (F) 7.330%, 10/25/06 300 301 Structured Asset Securities, Ser 2004-19XS, Cl A2 (G) 4.370%, 10/01/06 2,000 1,980 Structured Asset Securities, Ser 2005-S1, Cl B3 (C) (F) 7.830%, 10/27/06 500 487 TIAA Real Estate CDO, Ser 2003 1A, Cl A1MM (C) (F) (K) 5.354%, 10/30/06 10,047 10,047 TMS SBA Loan Trust, Ser 1999-1, Cl A (F) 6.050%, 10/15/06 460 457 Terwin Mortgage Trust, Ser 2005-9HGS, Cl A1 (C) (F) 4.000%, 10/01/06 5,298 5,232 Terwin Mortgage Trust, Ser 2006-2HGS, Cl A1 (C) (F) 4.500%, 03/25/37 13,465 13,329 Terwin Mortgage Trust, Ser 2006-2HGS, Cl AX (C) (F) 20.000%, 03/25/37 4,170 670 Terwin Mortgage Trust, Ser 2006-4SL, Cl A1 (C) (F) 4.500%, 05/25/37 13,108 12,983 Terwin Mortgage Trust, Ser 2006-4SL, Cl AX (C) (F) 20.000%, 05/25/37 2,912 339 Terwin Mortgage Trust, Ser 2006-6, Cl A1 4.500%, 07/25/37 9,101 9,007 Terwin Mortgage Trust, Ser 2006-HF1, Cl A1A (C) (F) 4.500%, 02/25/37 6,892 6,848 Thornburg Mortgage Securities Trust, Ser 2005-3, Cl 2A1 (F) 5.570%, 10/25/06 14,656 14,653 Thornburg Mortgage Securities Trust, Ser 2006-1, Cl A3 (F) 5.500%, 10/01/06 24,249 24,207 Thornburg Mortgage Securities Trust, Ser 2006-3, Cl A2 (F) 5.435%, 10/25/06 16,189 16,158 Thornburg Mortgage Securities Trust, Ser 2006-3, Cl A3 (F) 5.440%, 10/25/06 16,241 16,201 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 137 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Vendee Mortgage Trust, Ser 1994-1, Cl 2ZB 6.500%, 10/01/06 $ 3,278 $ 3,399 Wachovia Bank Commercial Mortgage Trust, Ser 2002-C1A, Cl A4 6.287%, 04/15/34 1,543 1,619 Wachovia Bank Commercial Mortgage Trust, Ser 2002-C2, Cl A4 4.980%, 11/15/34 1,187 1,171 Wachovia Bank Commercial Mortgage Trust, Ser 2003-C20, Cl APB 5.090%, 10/01/06 3,096 3,059 Wachovia Bank Commercial Mortgage Trust, Ser 2003-C6, Cl A3 4.957%, 08/15/35 737 730 Wachovia Bank Commercial Mortgage Trust, Ser 2003-C6, Cl A4 5.125%, 08/15/35 1,247 1,236 Wachovia Bank Commercial Mortgage Trust, Ser 2003-C8, Cl A3 4.445%, 11/15/35 839 818 Wachovia Bank Commercial Mortgage Trust, Ser 2003-C9, Cl A4 5.012%, 12/15/35 566 557 Wachovia Bank Commercial Mortgage Trust, Ser 2004-C10, Cl A4 4.748%, 02/15/41 2,200 2,124 Wachovia Bank Commercial Mortgage Trust, Ser 2004-C14, Cl A4 (F) 5.088%, 10/01/06 2,205 2,169 Wachovia Bank Commercial Mortgage Trust, Ser 2004-C15, Cl A4 4.803%, 10/15/41 1,606 1,548 Wachovia Bank Commercial Mortgage Trust, Ser 2006-C23, Cl AM (F) 5.470%, 10/01/06 3,715 3,732 Wachovia Bank Commercial Mortgage Trust, Ser 2006-C26, Cl APB 5.997%, 06/15/45 2,205 2,293 Wachovia Mortgage Loan Trust, Ser 2006-AMN1, Cl A1 (F) 5.380%, 10/25/06 1,333 1,333 Washington Mutual Master Note Trust, Ser 2006-M1A, Cl M1 5.420%, 10/22/06 2,368 2,368 Washington Mutual Mortgage, Ser 2003-MS1, Cl 1A 5.000%, 02/25/18 2,644 2,578 Washington Mutual Mortgage, Ser 2003-MS2, Cl 3A1 5.000%, 03/25/18 7,646 7,464 Washington Mutual, Ser 2005-AR13, Cl A1A1 (F) 5.620%, 10/25/06 9,963 10,027 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Washington Mutual, Ser 2005-AR15, Cl A1A2 (F) 5.610%, 10/25/06 $ 14,418 $ 14,475 Washington Mutual, Ser 2005-AR16, Cl 1A4A (F) 5.121%, 10/25/06 12,955 12,844 Washington Mutual, Ser 2005-AR19, Cl A1A2 (F) 5.620%, 10/25/06 15,615 15,674 Wells Fargo Home Equity Trust, Ser 2004-2, Cl A12 (F) 3.450%, 06/25/19 8,668 8,608 Wells Fargo Home Equity Trust, Ser 2004-2, Cl M8B (C) (F) 5.000%, 10/01/06 590 553 Wells Fargo Mortgage Backed Securities Trust, Ser 2004-I, Cl B1 (F) 3.365%, 10/01/06 836 839 Wells Fargo Mortgage Backed Securities, Ser 2005-17, Cl 1A1 5.500%, 10/01/06 11,412 11,119 Wells Fargo, Ser 2004-H, Cl A-1 (F) 4.527%, 10/01/06 8,865 8,640 Whitehawk CDO Funding, Ser 2004-1A (F) (K) 5.340%, 10/16/06 11,660 11,660 Zuni Mortgage Loan Trust, Ser 2006-0A1, Cl A1 (F) 5.615%, 10/25/06 15,131 15,111 -------------- 1,242,346 -------------- OTHER ASSET-BACKED SECURITIES -- 0.2% Embarcadero Aircraft, Ser 2000-A, Cl A1 (C) (F) 5.810%, 10/15/06 4,300 3,386 Encore Credit Receivables Trust, Ser 2005-3, Cl 2A1 (F) 5.450%, 10/26/06 214 214 MSDWCC Heloc Trust, Ser 2005-1, Cl A (F) 5.520%, 10/25/06 1,127 1,128 PG&E Energy Recovery Funding, Ser 2005-2, Cl A2 5.030%, 03/25/14 1,767 1,768 Peco Energy Transition Trust, Ser 2001-A, Cl A1 6.520%, 12/31/10 1,035 1,084 -------------- 7,580 -------------- Total Asset-Backed Securities (Cost $1,308,396) ($ Thousands) 1,300,053 -------------- -------------------------------------------------------------------------------- 138 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- TREASURY OBLIGATIONS -- 15.3% Canada Treasury Bill (E) 5.244%, 12/15/06 $ 2,080 $ 2,055 U.S. Treasury Bill (A) (B) (D) 4.937%, 10/19/06 626 625 U.S. Treasury Bonds 10.375%, 11/15/12 (J) 7,950 8,419 8.875%, 02/15/19 (J) 4,397 6,071 8.125%, 08/15/19 (J) 879 1,159 7.500%, 11/15/16 (J) 6,546 8,019 6.250%, 08/15/23 to 05/15/30 (J) 30,444 35,670 5.375%, 02/15/31 (J) 9,580 10,347 5.250%, 02/15/29 (J) 2,670 2,823 4.500%, 02/15/36 (J) 81,413 78,010 3.875%, 04/15/29 (D) 4,493 5,806 3.625%, 04/15/28 (D) (J) 12,669 15,700 2.375%, 04/15/11 to 01/15/25 (D) (J) 56,777 57,232 2.000%, 01/15/26 (D) 656 629 U.S. Treasury Notes 5.125%, 05/15/16 (J) 27,116 28,129 5.125%, 06/30/08 195 196 4.875%, 08/15/16 9,946 10,134 4.875%, 05/15/09 to 02/15/12 (J) 127,813 129,252 4.625%, 08/31/11 (J) 1,975 1,977 4.500%, 11/15/10 to 11/15/15 (J) 34,895 34,714 4.375%, 12/15/10 (J) 11,550 11,454 4.250%, 10/15/10 to 08/15/15 (J) 40,536 39,587 4.000%, 04/15/10 (J) 14,750 14,466 3.875%, 09/15/10 2,420 2,358 3.875%, 05/15/10 to 02/15/13 (J) 7,700 7,483 3.750%, 05/15/08 (J) 1,070 1,053 3.500%, 11/15/09 to 02/15/10 (J) 29,336 28,388 3.375%, 10/15/09 (J) 13,640 13,165 3.375%, 01/15/12 (D) 355 374 3.125%, 09/15/08 600 583 3.125%, 10/15/08 (J) 3,890 3,773 2.000%, 07/15/14 (D) (J) 14,940 14,642 1.875%, 07/15/15 (D) (J) 25,651 24,837 U.S. Treasury STRIPS (E) (J) 4.977%, 11/15/21 43,310 20,800 4.316%, 08/15/09 47,237 41,435 -------------- Total U.S. Treasury Obligations (Cost $648,387) ($ Thousands) 661,365 -------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 8.4% FHLB 4.050%, 01/21/09 2,000 1,958 3.625%, 11/14/08 40 39 3.310%, 01/23/09 2,000 1,928 FHLB CMO, Ser 2015, Cl A 5.460%, 11/27/15 13,804 13,805 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- FHLMC 6.875%, 09/15/10 (J) $ 5,560 $ 5,950 6.625%, 09/15/09 829 867 5.625%, 03/15/11 to 11/23/35 (J) 10,190 10,234 5.250%, 01/16/07 375 369 5.120%, 10/24/06 (E) 1,015 1,012 5.101%, 10/23/06 (E) 75 75 4.625%, 05/28/13 3,750 3,626 FHLMC CMO STRIPS, Ser 232, Cl IO, IO 9.953%, 08/01/35 2,344 571 FHLMC CMO STRIPS, Ser 233, Cl 12, IO 11.564%, 09/15/35 3,844 887 FHLMC CMO STRIPS, Ser 233, Cl 6, IO 4.500%, 08/15/35 558 133 FHLMC CMO, Ser 1, Cl Z 9.300%, 04/15/19 246 259 FHLMC CMO, Ser 1611, Cl Z 6.500%, 11/15/23 13,212 13,566 FHLMC CMO, Ser 1983, Cl Z 6.500%, 12/15/23 2,152 2,226 FHLMC CMO, Ser 2043, Cl CJ 6.500%, 04/15/28 4,520 4,631 FHLMC CMO, Ser 2277, Cl B 7.500%, 01/15/31 1,030 1,058 FHLMC CMO, Ser 2389, Cl CD 6.000%, 03/15/16 5,510 5,544 FHLMC CMO, Ser 2399, Cl XG 6.500%, 01/15/32 9,043 9,300 FHLMC CMO, Ser 2544, Cl IW, IO 5.500%, 03/15/26 3,921 182 FHLMC CMO, Ser 2579, Cl PI, IO 5.500%, 03/15/27 1,363 46 FHLMC CMO, Ser 2631, Cl MT 3.500%, 01/15/22 218 215 FHLMC CMO, Ser 2645, Cl MK 3.500%, 07/15/22 1,779 1,746 FHLMC CMO, Ser 2733, Cl ME 5.000%, 01/15/34 5,995 5,611 FHLMC CMO, Ser 2736, Cl DB 3.300%, 11/15/26 3,842 3,707 FHLMC CMO, Ser 2809, Cl HX, IO 3.028%, 10/15/24 3,765 198 FHLMC CMO, Ser 2890, Cl AP 3.750%, 12/15/11 2,872 2,799 FHLMC CMO, Ser 2904, Cl CM 5.000%, 01/15/18 2,779 2,755 FHLMC CMO, Ser 2945, Cl SA (F) 2.700%, 03/15/20 7,256 6,532 FHLMC CMO, Ser 2975, Cl EA 5.000%, 05/15/18 1,244 1,233 FHLMC CMO, Ser 3014, Cl NA 4.500%, 11/15/25 4,714 4,644 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 139 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- FHLMC CMO, Ser 3017, Cl TA 4.500%, 08/15/35 $ 2,111 $ 2,041 FHLMC CMO, Ser 3020, Cl MA 5.500%, 04/15/27 2,714 2,721 FHLMC CMO, Ser 3026, Cl GJ 4.500%, 02/15/29 1,701 1,671 FHLMC CMO, Ser 3026, Cl PC 4.500%, 01/15/34 1,375 1,273 FHLMC CMO, Ser 3035, Cl DM 5.500%, 11/15/25 3,137 3,141 FHLMC CMO, Ser 3057, Cl MD 4.500%, 08/15/34 1,579 1,467 FHLMC CMO, Ser 3086, Cl PA 5.500%, 05/15/26 3,848 3,858 FHLMC CMO, Ser 3135, Cl JA 6.000%, 09/15/27 3,633 3,673 FHLMC CMO, Ser 3151, Cl LA 6.000%, 11/15/27 3,821 3,862 FHLMC CMO, Ser 3176, Cl HA 6.000%, 02/15/28 6,108 6,185 FHLMC CMO, Ser 3178, Cl MA 6.000%, 10/15/26 10,928 11,058 FHLMC CMO, Ser 3184, Cl LA 6.000%, 03/15/28 6,202 6,279 FHLMC CMO, Ser 3184, Cl PA 5.500%, 02/15/27 10,926 10,964 FHLMC CMO, Ser 3192, Cl GA 6.000%, 03/15/27 3,050 3,085 FHLMC, Ser 1663, Cl ZB 6.750%, 01/15/24 1,008 1,038 FHLMC, Ser 2708, Cl DG 5.500%, 07/15/32 3,368 3,307 FHLMC, Ser 2973, Cl PX 5.500%, 01/15/35 2,561 2,556 FHLMC, Ser 3132, Cl MA 5.500%, 12/15/23 74 74 FHLMC, Ser 3149, Cl PB 6.000%, 08/15/29 5,884 5,960 FHLMC, Ser 3159, Cl PA 6.000%, 05/15/27 4,220 4,269 FHLMC, Ser 3171, Cl MD 6.000%, 04/15/29 1,773 1,797 FHLMC, Ser 3172, Cl PA 6.000%, 04/15/27 4,403 4,456 FHLMC, Ser 3174, Cl CA 5.500%, 02/15/26 2,172 2,182 FHLMC, Ser 3174, Cl DB 6.000%, 09/15/29 922 934 FHLMC, Ser 3174, Cl PX 5.000%, 06/15/17 1,432 1,409 FHLMC, Ser 3179, Cl PD 5.750%, 12/15/18 4,237 4,266 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- FHLMC, Ser 3185, Cl PD 4.500%, 01/15/35 $ 1,027 $ 944 FHLMC, Ser 3200, Cl EB 5.000%, 05/15/26 2,555 2,537 FHLMC, Ser 3215, Cl QA 6.000%, 06/15/27 2,827 2,864 FHLMC, Ser 3216, Cl NA 6.000%, 05/15/28 4,462 4,517 FHLMC, Ser 3218, Cl BA 6.000%, 04/15/27 3,081 3,116 FNMA 7.250%, 01/15/10 (J) 5,800 6,208 7.125%, 06/15/10 (J) 6,400 6,876 6.250%, 02/01/11 (J) 8,000 8,364 5.145%, 03/30/07 (E) 900 877 1.265%, 06/25/07 (E) 3,890 3,747 FNMA CMO STRIPS, Ser 359, Cl 6, IO 11.852%, 11/01/35 1,512 359 FNMA CMO STRIPS, Ser 360, Cl 2, IO 9.966%, 08/01/35 39,709 9,679 FNMA CMO STRIPS, Ser 365, Cl 2, IO 5.000%, 02/01/36 1,405 340 FNMA CMO STRIPS, Ser 365, Cl 4, IO 3.719%, 04/01/36 1,512 364 FNMA CMO, Ser 1999-11, Cl Z 5.500%, 03/25/29 7,661 7,634 FNMA CMO, Ser 2001-T2, Cl B 6.022%, 11/25/10 4,500 4,660 FNMA CMO, Ser 2002-94, Cl BJ, IO 5.500%, 04/25/16 977 64 FNMA CMO, Ser 2002-T11, Cl A 4.768%, 04/25/12 233 231 FNMA CMO, Ser 2003-113, Cl PN 3.500%, 02/25/13 1,708 1,673 FNMA CMO, Ser 2003-76, Cl DE 4.000%, 09/25/31 6,515 6,158 FNMA CMO, Ser 2003-84, Cl GD 4.500%, 03/25/17 1,788 1,729 FNMA CMO, Ser 2003-T1, Cl A 3.807%, 11/25/12 715 690 FNMA CMO, Ser 2005-38, Cl CD 5.000%, 06/25/19 1,734 1,714 FNMA CMO, Ser 2005-57, Cl EG (F) 5.630%, 03/25/35 4,255 4,253 FNMA CMO, Ser 2005-63, Cl HA 5.000%, 04/25/23 2,057 2,032 FNMA CMO, Ser 2005-77, Cl BX 4.500%, 07/25/28 816 804 FNMA CMO, Ser 2005-92, Cl NM 3.500%, 04/25/13 2,061 2,022 -------------------------------------------------------------------------------- 140 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- FNMA CMO, Ser 2006-10, Cl FD (F) 5.680%, 03/25/36 $ 7,436 $ 7,406 FNMA CMO, Ser 2006-18, Cl PA 5.500%, 01/25/26 2,122 2,125 FNMA CMO, Ser 2006-29, Cl PA 5.500%, 08/25/26 4,728 4,735 FNMA CMO, Ser 2006-31, Cl FA (F) 5.530%, 02/25/33 3,194 3,195 FNMA CMO, Ser 2006-31, Cl PA 5.500%, 11/25/26 2,089 2,095 FNMA CMO, Ser 2006-41, Cl MA 5.500%, 04/25/24 893 894 FNMA CMO, Ser 2006-55, Cl PA 6.000%, 05/25/26 2,437 2,459 FNMA CMO, Ser 2006-99, Cl PA 5.500%, 09/29/36 6,241 6,241 FNMA CMO, Ser 34, Cl QJ 4.500%, 01/25/16 3,766 3,703 FNMA CMO, Ser HB 5.950%, 10/23/36 2,305 2,323 FNMA CMO, Ser HB, Cl 6 6.000%, 10/23/36 4,671 4,726 FNMA CMO, Ser HB, Cl 6.20 6.200%, 10/23/36 4,511 4,550 FNMA, Ser 2005-3, Cl HC 4.500%, 01/25/35 1,659 1,603 FNMA, Ser 2006-34, Cl PA 6.000%, 05/25/27 3,992 4,024 FNMA, Ser 2006-53, Cl PA 5.500%, 12/25/26 619 621 FNMA, Ser 2006-80, Cl PB 6.000%, 10/25/27 4,199 4,245 FNMA, Ser G93-39, Cl ZQ 6.500%, 12/25/23 1,079 1,110 FNMA, Ser G93-41, Cl Z 7.000%, 12/25/23 1,412 1,474 GNMA CMO, Ser 2001-18, Cl WH (F) 7.793%, 04/20/31 476 513 GNMA CMO, Ser 2002-51, Cl SG (F) 9.403%, 04/20/31 423 469 GNMA CMO, Ser 2003-58, Cl LG, IO 5.500%, 05/17/29 4,036 432 GNMA CMO, Ser 2003-86, Cl LC, IO 5.500%, 10/20/27 4,631 171 GNMA CMO, Ser 2004-80, Cl IP, IO 29.822%, 07/20/34 8,767 788 GNMA CMO, Ser 2006-3, Cl A 4.212%, 01/16/28 602 588 GNMA CMO, Ser 32, Cl A 5.079%, 01/16/30 1,442 1,437 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- GNMA CMO, Ser 8, Cl A 3.942%, 08/16/25 $ 923 $ 899 GNMA, Ser 2003-86, Cl ZK 5.000%, 10/20/33 8,675 7,744 Small Business Administration, Ser 2003-P10A, Cl 1 4.524%, 02/10/13 5,007 4,847 -------------- Total U.S. Government Agency Obligations (Cost $362,726) ($ Thousands) 361,105 -------------- COMMERCIAL PAPER (A) -- 4.8% Broadhollow Funding (K) 5.502%, 10/02/06 27,022 27,014 Citius I Funding (K) 5.313%, 10/17/06 6,755 6,739 Elysian Funding LLC (K) 5.427%, 11/27/06 12,126 12,021 5.401%, 11/20/06 10,842 10,760 5.390%, 11/06/06 13,511 13,436 General Electric Capital 5.285%, 10/12/06 10,675 10,658 Georgetown Funding (K) 5.349%, 10/24/06 3,478 3,466 Mica Funding LLC (K) 5.299%, 10/12/06 13,511 13,487 Morgan Stanley 5.260%, 10/10/06 30,000 29,960 Ocala Funding (K) 5.321%, 10/20/06 6,755 6,736 5.318%, 10/10/06 15,406 15,383 Park Avenue Receivables Funding 5.277%, 10/04/06 8,955 8,951 Rabusa 5.350%, 10/02/06 13,252 13,250 Rhineland Funding Capital (K) 5.470%, 10/12/06 6,755 6,743 5.378%, 12/12/06 4,447 4,399 Socnam 5.100%, 10/06/06 10,000 9,993 Ubsfin 5.340%, 10/02/06 13,252 13,250 -------------- Total Commercial Paper (Cost $206,246) ($ Thousands) 206,246 -------------- -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 141 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)/Shares/Contracts ($ Thousands) -------------------------------------------------------------------------------- FOREIGN BONDS -- 0.3% Canadian Government 4.000%, 12/01/31 $ 3,864 $ 5,112 Deutsche Bundesrepublik 3.750%, 01/04/15 6,320 8,048 -------------- Total Foreign Bonds (Cost $12,757) ($ Thousands) 13,160 -------------- CASH EQUIVALENT -- 2.5% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.330%**++ 106,105,495 106,105 -------------- Total Cash Equivalent (Cost $106,105) ($ Thousands) 106,105 -------------- MASTER NOTE (A) (K) -- 0.8% Bank of America 5.445%, 10/02/06 33,777 33,777 -------------- Total Master Note (Cost $33,777) ($ Thousands) 33,777 -------------- CERTIFICATES OF DEPOSIT (K) -- 0.6% Barclays Bank (F) 5.440%, 06/11/07 6,756 6,756 CC USA MTN (C) 5.520%, 06/18/07 13,511 13,511 U.S. Trust of New York (F) 5.370%, 10/13/06 5,404 5,404 -------------- Total Certificates of Deposit (Cost $25,671) ($ Thousands) 25,671 -------------- PURCHASED OPTIONS -- 0.0% December 2006 120 Day Euro Futures Call, Expires 12/16/06, Strike Price $95* 340 242 November 2006 U.S. Ten Year Treasury Put, Expires 11/21/06, Strike Price $106* 82 8 October 2006 90 Day Euro Futures Put, Expires 10/14/06, Strike Price $94.375* 136 1 -------------- Total Purchased Options (Cost $317) ($ Thousands) 251 -------------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS (N) -- 8.2% Barclays 5.350%, dated 09/29/06, to be repurchased on 10/02/06, repurchase price $18,777,160 (collateralized by a U.S. Government Obligation, par value $17,925,983, 6.000%, 05/15/11; with total market value $19,144,292) (K) $ 18,769 $ 18,769 Deutsche Bank 5.330%, dated 09/29/06, to be repurchased on 10/02/06, repurchase price $27,033,788 (collateralized by various U.S. Government Obligations, ranging in par value $233,738- $7,908,331, 3.750%-5.300%, 02/21/08-04/25/14; with total market value $27,562,307) (K) 27,022 27,022 Lehman Brothers 5.250%, dated 09/29/06, to be repurchased on 10/02/06, repurchase price $49,421,612 (collateralized by Agency Obligation, par value $158,740,000, 0.000%, 04/15/30; with total market value $50,387,251) 49,400 49,400 Lehman Brothers 5.330%, dated 09/29/06, to be repurchased on 10/02/06, repurchase price $33,792,236 (collateralized by various U.S. Government Obligations, ranging in par value $2,331,980- $4,155,951, 2.500%-5.705%, 01/30/07-05/18/16; with total market value $34,453,160) (K) 33,777 33,777 Merrill Lynch 5.270%, dated 09/29/06, to be repurchased on 10/02/06, repurchase price $225,098,812 (collateralized by various U.S. Government Obligations, ranging in par value $10,000,000- 50,000,000, 4.375%-5.125%, 04/18/08-10/15/15; with total market value $229,499,669) 225,000 225,000 -------------- Total Repurchase Agreements (Cost $353,968) ($ Thousands) 353,968 -------------- Total Investments -- 140.3% (Cost $6,018,644) ($ Thousands) $ 6,044,140 ============== -------------------------------------------------------------------------------- 142 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Market Value Description Contracts ($ Thousands) -------------------------------------------------------------------------------- WRITTEN OPTIONS -- 0.0% December 2006 120 Day Euro Futures Call, Expires 12/15/06, Strike Price $95* (340) $ (200) December 2006 90 Day Euro Futures Call, Expires 11/21/06, Strike Price $106* (126) (270) December 2006 U.S. Ten Year Treasury Note Call, Expires 11/21/06, Strike Price $105* (169) (520) December 2006 U.S. Ten Year Treasury Note Call, Expires 11/21/06, Strike Price $107* (169) (222) March 2007 U.S. Ten Year Treasury Note Call, Expires 03/23/07, Strike Price $110* (571) (267) October 2006 Euro 1-Year Futures Put, Expires 10/14/06, Strike Price $94.50* (136) -- -------------- Total Written Options (Premiums Received $(865)) ($ Thousands) (1,479) -------------- Futures -- A summary of the open futures contracts held by the Fund at September 30, 2006, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED APPRECIATION TYPE OF NUMBER OF EXPIRATION (DEPRECIATION) CONTRACT CONTRACTS DATE ($ THOUSANDS) -------------------------------------------------------------------------------- 90-Day Euro$ 1,051 Mar-2007 $ 335 90-Day Euro$ (342) Mar-2008 (486) 90-Day Euro$ 50 Mar-2009 50 90-Day Euro$ 45 Mar-2010 43 90-Day Euro$ (5) Mar-2011 (3) 90-Day Euro$ 211 Jun-2007 (9) 90-Day Euro$ 50 Jun-2008 54 90-Day Euro$ 50 Jun-2009 49 90-Day Euro$ 25 Jun-2010 22 90-Day Euro$ (5) Jun-2011 (3) 90-Day Euro$ 690 Sep-2007 296 90-Day Euro$ 50 Sep-2008 52 90-Day Euro$ 50 Sep-2009 48 90-Day Euro$ 3 Sep-2010 -- 90-Day Euro$ 1,814 Dec-2006 74 90-Day Euro$ (1,326) Dec-2007 (380) 90-Day Euro$ 50 Dec-2008 52 90-Day Euro$ 50 Dec-2009 48 90-Day Euro$ 11 Dec-2010 -- Euro-Bund (94) Dec-2006 (94) 10-Year Swap (2) Dec-2006 (3) U.S. 2-Year Note 483 Dec-2006 233 U.S. 5-Year Note 1,498 Dec-2006 1,170 U.S. 10-Year Note (632) Dec-2006 (368) U.S. Long Treasury Bond (48) Dec-2006 (94) ------ $1,086 ====== Forward Foreign Currency Contracts -- A summary of the outstanding forward foreign currency contracts held by the Fund at September 30, 2006, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED CURRENCY CURRENCY APPRECIATION MATURITY TO DELIVER TO RECEIVE (DEPRECIATION) DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- 11/7/06 AUD 11,084 USD 8,351 $ 90 11/7/06 CAD 19,090 JPY 1,981,542 (253) 11/7/06 CAD 5,776 USD 5,081 (103) 11/7/06 EUR 6,375 USD 8,102 9 11/7/06 USD 8,401 AUD 11,084 (140) 11/7/06 USD 17,168 CAD 19,090 (33) ----- $(430) ===== Swaps -- At September 30, 2006, the following Credit Default Swap agreements were outstanding (see Note 2 in Notes to Financial Statements):
--------------------------------------------------------------------------------------------- NOTIONAL UNREALIZED EXPIRATION AMOUNT DEPRECIATION DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) --------------------------------------------------------------------------------------------- Fund receives semi-annual payment of 0.950% (1.900% per annum) times notional amount of GSAMP Trust, Ser 2005-HE1, Cl B2, 5.014%, 11/25/34. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counterparty: Citibank) 11/25/34 $ 633 $ (9) Fund receives semi-annual payment of 0.950% (1.900% per annum) times notional amount of ACE Securities Corp., Ser 2004-RM2, Cl B1, 5.014%, 01/25/35. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counterparty: Citibank) 01/25/35 633 (9) Fund receives semi-annual payment of 1.675% (3.350% per annum) times notional amount of Aegis Asset Backed Securities Trust, Ser 2004-5, Cl B3, 6.814%, 12/25/34. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counterparty: Citibank) 12/25/34 633 (14) Fund receives semi-annual payment of 1.025% (2.050% per annum) times notional amount of Ameriquest Mortgage Securities Inc., Ser 2004-R6, Cl M3, 5.464%, 07/25/34. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counterparty: Citibank) 07/25/34 633 (8) Fund receives semi-annual payment of 0.975% (1.950% per annum) times notional amount of CDC Mortgage Capital Trust, Ser 2004- HE3, Cl B2, 5.264%, 11/25/34. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counterparty: Citibank) 11/25/34 633 (6) Fund receives semi-annual payment of 0.950% (1.900% per annum) times notional amount of Countrywide Asset-Backed Certificates, Ser 2004-12, Cl MV8, 5.114%, 11/25/34. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counterparty: Citibank) 05/25/34 633 (8) Fund receives semi-annual payment of 1.025% (2.050% per annum) times notional amount of Countrywide Asset-Backed Certificates, Ser 2004-6, Cl M8, 5.514%, 05/25/34. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counterparty: Citibank) 05/25/34 633 (9)
-------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 143 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Concluded) September 30, 2006
--------------------------------------------------------------------------------------------- NOTIONAL UNREALIZED EXPIRATION AMOUNT DEPRECIATION DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) --------------------------------------------------------------------------------------------- Fund receives semi-annual payment of 1.000% (2.000% per annum) times notional amount of Countrywide Asset-Backed Certificates, Ser 2004-ECC2, Cl M8, 5.464%, 06/25/34. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counterparty: Citibank) 06/25/34 $1,056 $ (12) Fund receives semi-annual payment of 1.500% (3.000% per annum) times notional amount of Countrywide Asset-Backed Certificates, Ser 2004-ECC1, Cl B, 4.814%, 01/25/34. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counterparty: Citibank) 02/25/34 1,056 (11) Fund receives semi-annual payment of 1.525% (3.050% per annum) times notional amount of Home Equity Asset Trust, Ser 2004-8, Cl B3, 6.414%, 03/25/35. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counterparty: Citibank) 03/25/35 633 (10) Fund receives semi-annual payment of 1.015% (2.030% per annum) times notional amount of Long Beach Mortgage Loan Trust, Ser 2004-2, Cl M5, 5.564%, 06/25/34. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counterparty: Citibank) 06/25/34 633 (8) Fund receives semi-annual payment of 1.050% (2.100% per annum) times notional amount of Masters Asset Backed Securities Trust, Ser 2004-WMC2, Cl M5, 5.714%, 06/25/34. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counterparty: Citibank) 06/25/34 633 (5) Fund receives semi-annual payment of 1.025% (2.050% per annum) times notional amount of Morgan Stanley ABS Equity I, Ser 2004- HE6, Cl B2, 5.264%, 08/25/34. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counterparty: Citibank) 08/25/34 633 (9) Fund receives semi-annual payment of 1.035% (2.070% per annum) times notional amount of Morgan Stanley ABS Equity I, Ser 2004- NC5, Cl B2, 5.564%, 05/25/34. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counterparty: Citibank) 05/25/34 633 (8) Fund receives semi-annual payment of 1.450% (2.900% per annum) times notional amount of New Century Home Equity Loan Trust, Ser 2004-4, Cl M9, 6.014%, 02/25/35. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counterparty: Citibank) 02/25/35 1,056 (15) Fund receives semi-annual payment of 0.950% (1.900% per annum) times notional amount of Residential Asset Securities Corporation, Ser 2004-KS10, Cl M5, 5.164%, 11/25/34. Upon a defined credit event Fund pays notional amount and takes receipt of a defined deliverable obligation. (Counterparty: Citibank) 11/25/34 633 (8) ----- $(149) =====
Swaps -- At September 30, 2006, the following Total Return Swap agreements were outstanding (see Note 2 in Notes to Financial Statements):
---------------------------------------------------------------------------------------------- UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) ---------------------------------------------------------------------------------------------- The Fund receives payment on the monthly reset spread from Lehman Brothers - CMBS AAA 8.5+ Index less 15 basis points times the notional amount. The Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Wachovia) 10/31/06 $15,000 $12 The Fund receives payment on the monthly reset spread from Lehman Brothers - CMBS AAA 8.5+ Index less 15 basis points times the notional amount. The Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Wachovia) 12/01/06 25,000 17 The Fund receives payment on the monthly reset spread from Lehman Brothers - CMBS AAA 8.5+ Index less 15 basis points times the notional amount. The Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Wachovia) 12/01/06 5,000 3 The Fund receives payment on the monthly reset spread from Bank of America - CMBS AAA 10Yr Index plus 15 basis points times the notional amount. The Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: JP Morgan Chase) 10/31/06 5,000 4 The Fund receives payment on the monthly reset spread from Banc of America - CMBS AAA 10Yr Index plus 15 basis points times the notional amount. The Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Bank of America) 02/02/07 20,000 16 The Fund receives payment on the monthly reset spread from Banc of America - CMBS AAA 10Yr Index plus 15 basis points times the notional amount. The Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Bank of America) 03/31/07 10,000 7 The Fund receives payment on the monthly reset spread from Banc of America - CMBS A Index plus 25 basis points times the notional amount. The Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Bank of America) 01/31/07 21,000 (14) ---- $45 ====
-------------------------------------------------------------------------------- 144 SEI Institutional Managed Trust / Annual Report / September 30, 2006 Percentages are based on Net Assets of $4,307,344 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of September 30, 2006. + Real Estate Investment Trust. ++ Pursuant to an exemptive order issued by the Securities and Exchange Commission, the Fund may invest in the SEI money market funds, provided that investments in the money market funds do not exceed 25% of the Fund's total assets. (A) The rate reported is the effective yield at time of purchase. (B) Security, or portion thereof, has been pledged as collateral on open futures contracts. (C) Security sold within the terms of a private placement memorandum, exempt from registration under section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (D) Treasury Inflation Index Notes. (E) Zero-coupon Bond -- The rate shown is the effective yield at the date of purchase. (F) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2006. The date reported on the Schedule of Investments is the next reset date. (G) Step Bonds -- The rate reflected on the Schedule of Investments is the effective yield on September 30, 2006. The coupon on a step bond changes on a specified date. (H) Securities considered illiquid. The total value of such securities as of September 30, 2006 was $9,513 ($ Thousands) and represented 0.22% of Net Assets. (I) Security in default on interest payments. (J) This security or a partial position of this security is on loan at September 30, 2006 (see Note 7). The total value of securities on loan at September 30, 2006 was $700,716 ($ Thousands). (K) This security was purchased with cash collateral held from securities lending (see Note 7). The total value of such securities as of September 30, 2006 was $729,763 ($ Thousands). (L) The note accrues 9.65% annual coupon for any day that the 3-year swap rate exceeds the 1-year swap rate by 22 or more basis points. (M) The note accrues 12.50% annual coupon for any day that the 5-year swap rate exceeds the 2-year swap rate by 30 or more basis points. (N) Tri-Party Repurchase Agreement. ARM -- Adjustable Rate Mortgage AUD -- Australian Dollar CAD -- Canadian Dollar CDO -- Collateralized Debt Obligation Cl -- Class CMBS -- Commercial Mortgage-Backed Security CMO -- Collateralized Mortgage Obligation EUR -- Euro EXL -- Extendable Maturity FHLB -- Federal Home Loan Bank FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GNMA -- Government National Mortgage Association IO -- Interest Only Security - face amount represents notional amount. JPY -- Japanese Yen LLC -- Limited Liability Company MTN -- Medium Term Note NIM -- Net Interest Margin PLC -- Public Limited Company Ser -- Series STRIPS -- Separately Traded Registered Interest and Principal Securities TBA -- To Be Announced USD -- United States Dollar Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 145 SCHEDULE OF INVESTMENTS High Yield Bond Fund September 30, 2006 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS# (UNAUDITED): [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 20.2% Consumer Discretionary 14.4% Financials 10.4% Industrials 9.7% Materials 8.2% Telecommunication Services 6.9% Energy 5.4% Collateralized Loan Obligations 4.4% Health Care 4.3% Short-Term Investments 4.0% Loan Participants 3.0% Utilities 2.4% Consumer Staples 2.3% Information Technology 1.6% Asset-Backed Securities 1.5% Collateralized Debt Obligations 0.7% Preferred Stocks 0.3% Certificates of Deposits 0.1% Common Stock 0.1% U.S. Treasury Obligations 0.1% Convertible Bond 0.0% U.S. Government Agency Obligation 0.0% Warrants #Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7). -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- CORPORATE OBLIGATIONS -- 84.6% CONSUMER DISCRETIONARY -- 21.7% 155 E Tropicana LLC 8.750%, 04/01/12 $ 926 $ 778 AEP Industries 7.875%, 03/15/13 715 715 AMC Entertainment 8.000%, 03/01/14 755 710 AMF Bowling Worldwide 10.000%, 03/01/10 830 861 Acco Brands 7.625%, 08/15/15 2,085 2,017 Adelphia Communications (C) 10.250%, 11/01/06 550 337 7.875%, 05/01/09 (G) 1,300 790 Adelphia Communications, Ser B (C) 8.375%, 02/01/08 775 479 7.750%, 01/15/09 450 278 Adesa 7.625%, 06/15/12 525 517 Alderwoods Group 7.750%, 09/15/12 275 296 American Greetings 7.375%, 06/01/16 550 558 Amscan Holdings 8.750%, 05/01/14 935 846 Arvinmeritor 8.750%, 03/01/12 780 747 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Asbury Automotive 9.000%, 06/15/12 $ 3,884 $ 3,976 Ashtead Capital (A) 9.000%, 08/15/16 990 1,030 Autonation (A) (D) 7.676%, 10/15/06 930 942 Avis (A) 7.905%, 11/15/06 (D) 1,420 1,392 7.750%, 05/15/16 1,475 1,427 7.625%, 05/15/14 250 243 Aztar 7.875%, 06/15/14 2,588 2,789 Barrington Broadcasting (A) 10.500%, 08/15/14 350 341 Boyd Gaming 7.750%, 12/15/12 675 693 7.125%, 02/01/16 2,050 1,983 Broder Brothers, Ser B 11.250%, 10/15/10 1,260 1,228 Brookstone 12.000%, 10/15/12 730 664 Brown Shoe 8.750%, 05/01/12 1,125 1,176 Burlington (A) (G) 11.125%, 04/15/14 900 868 CBD Media Holdings 9.250%, 07/15/12 (G) 500 492 8.625%, 06/01/11 250 246 CCH I Holdings LLC 19.130%, 01/15/14(B) 900 691 11.000%, 10/01/15 (G) 2,283 2,078 10.000%, 05/15/14 (G) 328 224 CCH II LLC 10.250%, 09/15/10 4,369 4,456 CCH II LLC, Ser B (G) 10.250%, 09/15/10 550 558 CCM Merger (A) (G) 8.000%, 08/01/13 2,225 2,136 CCO Holdings LLC 9.515%, 12/15/06 (D) 1,684 1,722 8.750%, 11/15/13 1,675 1,685 CSC Holdings 7.875%, 12/15/07 200 203 7.250%, 07/15/08 250 252 CSC Holdings, Ser B 8.125%, 08/15/09 275 285 Cablevision Systems, Ser B 9.620%, 10/03/06 (D) 1,510 1,606 8.000%, 04/15/12 (G) 1,830 1,853 -------------------------------------------------------------------------------- 146 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Caesars Entertainment 8.875%, 09/15/08 $ 190 $ 199 8.125%, 05/15/11 300 316 7.875%, 03/15/10 650 676 Canwest Media 8.000%, 09/15/12 475 469 Charter Communications Holdings (A) 8.375%, 04/30/14 898 913 Cinemark (B) 9.580%, 03/15/14 700 558 Collins & Aikman Floorcovering, Ser B 9.750%, 02/15/10 375 373 Cooper Standard Auto 8.375%, 12/15/14 600 441 Cornell 10.750%, 07/01/12 500 530 Corrections Corp of America 7.500%, 05/01/11 206 211 6.750%, 01/31/14 525 525 6.250%, 03/15/13 3,102 3,040 Couche-Tard US 7.500%, 12/15/13 125 127 Del Laboratories 10.489%, 10/28/06 (D) 480 497 8.000%, 02/01/12 1,065 935 Delphi (C) 6.500%, 05/01/09 625 556 Denny's (G) 10.000%, 10/01/12 650 673 Dex Media 8.640%, 11/15/13 (B) 2,200 1,853 8.000%, 11/15/13 375 372 Dex Media East 9.875%, 11/15/09 629 663 Dex Media West, Ser B 9.875%, 08/15/13 1,900 2,052 Directv Holdings 6.375%, 06/15/15 3,140 2,952 Dura Operating, Ser B 8.625%, 04/15/12 450 178 Echostar DBS 7.125%, 02/01/16 (A) 3,365 3,251 7.000%, 10/01/13 (A) 225 220 6.625%, 10/01/14 100 95 6.375%, 10/01/11 410 399 El Dorado Casino Shreveport PIK (G) 10.000%, 08/01/12 1,065 1,006 Elizabeth Arden 7.750%, 01/15/14 1,025 1,004 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Eye Care Centers of America 10.750%, 02/15/15 $ 350 $ 376 Federal-Mogul (C) 8.370%, 11/15/01 325 189 7.750%, 07/01/06 50 29 7.375%, 01/15/06 200 115 Festival Fun Park LLC 10.875%, 04/15/14 2,456 2,395 Ford Motor 9.500%, 09/15/11 (G) 275 267 9.215%, 09/15/21 350 308 8.900%, 01/15/32 500 449 8.875%, 01/15/22 50 43 7.450%, 07/16/31 (G) 1,416 1,094 French Lick Resorts (A) 10.750%, 04/15/14 3,808 3,456 Gamestop 9.383%, 10/01/06 (D) 1,566 1,629 8.000%, 10/01/12 (G) 1,103 1,136 General Motors 8.375%, 07/15/33 (G) 1,511 1,307 8.250%, 07/15/23 648 561 7.700%, 04/15/16 562 490 Goodyear Tire & Rubber (G) 7.857%, 08/15/11 1,450 1,410 Gregg Appliances 9.000%, 02/01/13 3,162 2,885 Group 1 Automotive 8.250%, 08/15/13 525 537 Harry & David Operations 9.000%, 03/01/13 3,255 3,035 Herbst Gaming 8.125%, 06/01/12 1,986 2,028 7.000%, 11/15/14 125 121 Hertz (A) 10.500%, 01/01/16 (G) 1,976 2,174 8.875%, 01/01/14 3,554 3,723 Houghton Mifflin 9.875%, 02/01/13 795 841 Hydrochem Industrial (A) 9.250%, 02/15/13 625 619 Inn of the Mountain Gods (G) 12.000%, 11/15/10 575 602 Intrawest 7.500%, 10/15/13 2,992 3,212 Isle of Capri Casinos 9.000%, 03/15/12 422 440 7.000%, 03/01/14 675 641 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 147 SCHEDULE OF INVESTMENTS High Yield Bond Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Jacobs Entertainment (A) 9.750%, 06/15/14 $ 200 $ 198 Jacuzzi Brands 9.625%, 07/01/10 1,350 1,431 Jo-Ann Stores (G) 7.500%, 03/01/12 325 283 Kabel Deutschland (A) 10.625%, 07/01/14 2,697 2,893 LBI Media (B) 9.860%, 10/15/13 675 570 Lamar Media 7.250%, 01/01/13 350 352 6.625%, 08/15/15 625 599 Las Vegas Sands 6.375%, 02/15/15 450 422 Lazydays RV Center 11.750%, 05/15/12 2,375 2,280 Leslie's Poolmart 7.750%, 02/01/13 150 148 Levi Strauss 12.250%, 12/15/12 2,165 2,414 10.258%, 10/01/06 (D) 1,100 1,133 8.875%, 04/01/16 418 416 Lin Television 6.500%, 05/15/13 250 233 Lin Televison, Ser B 6.500%, 05/15/13 1,250 1,166 Lodgenet Entertainment 9.500%, 06/15/13 690 738 MGM Mirage 8.375%, 02/01/11 2,250 2,346 6.875%, 04/01/16 700 675 6.750%, 09/01/12 620 611 6.750%, 04/01/13 1,915 1,881 5.875%, 02/27/14 1,875 1,737 Majestic Holdings (A) (B) 13.180%, 10/15/11 275 201 Majestic Star Casino LLC 9.500%, 10/15/10 1,250 1,278 Majestic Star II 9.750%, 01/15/11 1,550 1,509 Mandalay Resort Group 9.375%, 02/15/10 575 615 7.625%, 07/15/13 320 316 Mediacom Broadband LLC (A) 8.500%, 10/15/15 325 323 Mediacom LLC (G) 9.500%, 01/15/13 3,276 3,350 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Metaldyne (G) 11.000%, 06/15/12 $ 624 $ 562 10.000%, 11/01/13 927 936 Mohegan Tribal Gaming 7.125%, 08/15/14 100 100 6.875%, 02/15/15 1,150 1,121 6.125%, 02/15/13 375 367 NPC International (A) 9.500%, 05/01/14 200 197 Neiman Marcus Group 10.375%, 10/15/15 (G) 1,579 1,705 9.000%, 10/15/15 475 505 Nexstar Holdings LLC (B) 10.460%, 04/01/13 1,450 1,211 O'Charley's 9.000%, 11/01/13 375 390 Pantry 7.750%, 02/15/14 675 677 Penhall International (A) 12.000%, 08/01/14 1,390 1,456 Penn National Gaming 6.750%, 03/01/15 970 945 Perry Ellis International, Ser B 8.875%, 09/15/13 2,306 2,271 Petro Stopping Centers 9.000%, 02/15/12 250 253 Phillips Van-Heusen 8.125%, 05/01/13 375 391 7.250%, 02/15/11 75 76 Pinnacle Entertainment 8.250%, 03/15/12 2,872 2,908 Pokagon Gaming Authority (A) 10.375%, 06/15/14 600 640 Polypore International (B) (G) 12.930%, 10/01/12 475 342 Primedia 8.875%, 05/15/11 425 415 8.000%, 05/15/13 700 635 Quebecor Media 7.750%, 03/15/16 1,075 1,076 Quicksilver 6.875%, 04/15/15 275 261 RH Donnelley 10.875%, 12/15/12 800 880 6.875%, 01/15/13 375 340 RH Donnelley, Ser A-1 6.875%, 01/15/13 2,000 1,825 RH Donnelley, Ser A-2 6.875%, 01/15/13 2,565 2,341 RH Donnelley, Ser A-3 8.875%, 01/15/16 1,850 1,855 -------------------------------------------------------------------------------- 148 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- RJ Tower (C) (G) 12.000%, 06/01/13 $ 875 $ 166 Riddell Bell Holdings 8.375%, 10/01/12 1,485 1,455 SGS International 12.000%, 12/15/13 1,475 1,490 Sealy Mattress 8.250%, 06/15/14 1,926 1,965 Seneca Gaming, 7.250%, 05/01/12 175 175 Service 8.000%, 06/15/17 (A) 1,375 1,317 7.700%, 04/15/09 1,415 1,478 7.625%, 10/01/18 (A) 1,233 1,241 7.375%, 10/01/14 (A) 1,997 2,009 6.750%, 04/01/16 800 767 6.500%, 03/15/08 1,467 1,467 Simmons (B) 10.700%, 12/15/14 2,065 1,471 Sinclair Broadcast Group (A) (B) 4.880%, 07/15/18 450 400 Sonic Automotive, Ser B (G) 8.625%, 08/15/13 1,628 1,640 Spectrum Brands 7.375%, 02/01/15 1,518 1,214 Stanadyne Holdings (B) 13.170%, 02/15/15 1,575 1,039 Stanadyne, Ser 1 (G) 10.000%, 08/15/14 650 656 Starwood Hotel & Resorts 7.375%, 11/15/15 305 309 7.375%, 05/01/07 725 730 Station Casinos 7.750%, 08/15/16 350 363 6.875%, 03/01/16 3,700 3,469 6.625%, 03/15/18 2,800 2,527 6.500%, 02/01/14 125 117 Steinway Musical Instruments (A) 7.000%, 03/01/14 2,940 2,881 Stewart Enterprises 6.250%, 02/15/13 1,565 1,448 Sun Media 7.625%, 02/15/13 1,105 1,116 Superior Essex Com & Essex Group 9.000%, 04/15/12 654 664 Tenneco Automotive (G) 8.625%, 11/15/14 4,786 4,726 Town Sports International (B) 9.380%, 02/01/14 1,817 1,492 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Travelport (A) 11.875%, 09/01/16 (G) $ 3,160 $ 3,034 10.023%, 12/01/06 (D) 1,771 1,700 9.875%, 09/01/14 1,884 1,818 Turning Stone Casino Entertainment (A) 9.125%, 12/15/10 1,300 1,316 Turning Stone Repsort Casinos (A) 9.125%, 09/15/14 350 353 United Components 9.375%, 06/15/13 825 817 United Rentals North America 7.750%, 11/15/13 1,492 1,470 7.000%, 02/15/14 1,125 1,057 6.500%, 02/15/12 2,090 2,017 Universal City Florida (D) 10.239%, 11/01/06 5,647 5,802 Vail Resorts 6.750%, 02/15/14 1,215 1,188 Vertis 9.750%, 04/01/09 825 832 Vicorp Restaurants 10.500%, 04/15/11 450 426 Videotron 6.875%, 01/15/14 2,930 2,886 6.375%, 12/15/15 25 24 Visteon 7.000%, 03/10/14 325 291 Wynn Las Vegas LLC 6.625%, 12/01/14 2,316 2,247 -------------- 232,233 -------------- CONSUMER STAPLES -- 2.9% B&G Foods Holding 8.000%, 10/01/11 525 538 Carrols 9.000%, 01/15/13 1,195 1,219 Constellation Brands 7.250%, 09/01/16 2,140 2,164 Dean Foods 7.000%, 06/01/16 1,460 1,460 6.900%, 10/15/17 525 512 Del Monte 6.750%, 02/15/15 456 440 Dole Foods (G) 8.875%, 03/15/11 1,475 1,412 Fleming (C) 10.125%, 04/01/08 1,125 169 9.250%, 06/15/10 200 30 General Nutrition Center 8.500%, 12/01/10 600 582 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 149 SCHEDULE OF INVESTMENTS High Yield Bond Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Jean Coutu Group 7.625%, 08/01/12 $ 400 $ 420 Le-Natures (A) 10.000%, 06/15/13 3,210 3,306 NBTY 7.125%, 10/01/15 3,126 3,024 Natural Beef Pack 10.500%, 08/01/11 1,652 1,722 Playtex Products 9.375%, 06/01/11 1,825 1,907 Rite Aid 9.250%, 06/01/13 375 368 7.700%, 02/15/27 (G) 150 119 7.125%, 01/15/07 (G) 650 651 6.875%, 08/15/13 (G) 100 84 6.875%, 12/15/28 (G) 375 270 Stater Brothers Holdings 8.890%, 12/15/06 (D) (G) 2,526 2,551 8.125%, 06/15/12 1,543 1,551 UNIFI (A) 11.500%, 05/15/14 175 166 Visant Holding (A) (G) 9.250%, 12/01/13 (B) 3,896 3,214 8.750%, 12/01/13 2,225 2,239 Winn-Dixie Pass-Thru Trust (A) (C) (G) 8.181%, 09/01/24 570 478 7.803%, 09/01/17 358 300 -------------- 30,896 -------------- ENERGY -- 7.6% Allis-Chalmers Energy (A) 9.000%, 01/15/14 4,192 4,202 Atlas Pipeline Partners 8.125%, 12/15/15 1,320 1,343 Baytex Energy 9.625%, 07/15/10 550 573 Brigham Exploration (A) 9.625%, 05/01/14 175 171 Capano Energy LLC 8.125%, 03/01/16 1,428 1,446 Chaparral Energy 8.500%, 12/01/15 2,649 2,629 Chesapeake Energy 7.750%, 01/15/15 2,459 2,508 7.500%, 09/15/13 600 609 7.500%, 06/15/14 356 360 7.000%, 08/15/14 324 320 6.875%, 01/15/16 1,062 1,038 6.500%, 08/15/17 4,485 4,205 6.375%, 06/15/15 50 48 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Clayton William Energy 7.750%, 08/01/13 $ 2,044 $ 1,840 Colorado Interstate Gas 5.950%, 03/15/15 275 263 Compton Pet Finance 7.625%, 12/01/13 500 482 Comstock Resources 6.875%, 03/01/12 75 72 Denbury Resources 7.500%, 04/01/13 1,445 1,445 7.500%, 12/15/15 (G) 1,225 1,225 El Paso 9.625%, 05/15/12 91 101 7.750%, 07/15/11 (A) 725 745 7.625%, 08/16/07 320 324 7.625%, 09/01/08 (G) 309 316 7.420%, 02/15/37 775 744 7.000%, 05/15/11 (G) 625 629 6.750%, 05/15/09 325 327 El Paso MTN 8.050%, 10/15/30 475 494 7.800%, 08/01/31 150 154 7.375%, 12/15/12 425 432 El Paso Natural Gas 8.375%, 06/15/32 325 372 El Paso Production Holdings 7.750%, 06/01/13 3,885 3,972 Encore Acquisition 7.250%, 12/01/17 375 361 6.000%, 07/15/15 275 252 Energy Partners 8.750%, 08/01/10 844 867 Forest Oil 8.000%, 12/15/11 785 812 Giant Industries 8.000%, 05/15/14 575 622 Grant Prideco, Ser B 6.125%, 08/15/15 300 286 Hanover Compressor 9.000%, 06/01/14 1,305 1,383 7.500%, 04/15/13 625 625 Hanover Equipment Trust, Ser 2001 B 8.750%, 09/01/11 3,260 3,390 Hilcorp Energy (A) 10.500%, 09/01/10 3,685 3,966 9.000%, 06/01/16 1,350 1,394 Holly Energy Partners 6.250%, 03/01/15 625 579 Mariner Energy (A) (G) 7.500%, 04/15/13 850 812 -------------------------------------------------------------------------------- 150 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Markwest Energy (A) 8.500%, 07/15/16 $ 1,050 $ 1,058 Markwest Energy, Ser B 6.875%, 11/01/14 1,500 1,410 Massey Energy 6.875%, 12/15/13 587 531 6.625%, 11/15/10 (G) 3,922 3,824 Newfield Exploration 6.625%, 04/15/16 835 812 Pacific Energy Partners 7.125%, 06/15/14 225 230 6.250%, 09/15/15 100 99 Parker Drilling 10.150%, 12/01/06 (D) 2,778 2,837 9.625%, 10/01/13 236 257 Petrohawk Energy (A) 9.125%, 07/15/13 895 899 Pogo Producing 7.875%, 05/01/13 (A) (G) 750 764 6.875%, 10/01/17 175 167 Pogo Producing, Ser B 8.250%, 04/15/11 773 794 Pride International 7.375%, 07/15/14 859 885 Quicksilver Resources 7.125%, 04/01/16 1,450 1,374 Range Resources 7.500%, 05/15/16 525 528 6.375%, 03/15/15 350 332 SESI (A) 6.875%, 06/01/14 1,000 990 Sonat 7.625%, 07/15/11 3,335 3,418 7.000%, 02/01/18 400 388 Stone Energy 8.250%, 12/15/11 1,025 1,038 Teco Energy (D) 7.489%, 11/01/06 414 424 Tesoro (A) 6.625%, 11/01/15 500 481 United Refining (G) 10.500%, 08/15/12 4,337 4,554 Veneco 8.750%, 12/15/11 700 674 Whiting Petroleum 7.000%, 02/01/14 765 746 Williams 8.750%, 03/15/32 100 110 8.125%, 03/15/12 660 705 7.750%, 06/15/31 125 125 7.625%, 07/15/19 525 546 6.375%, 10/01/10 (A) 775 771 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Williams, Ser A 7.500%, 01/15/31 $ 425 $ 420 Williams Partners (A) 7.500%, 06/15/11 400 401 -------------- 81,330 -------------- FINANCIALS -- 12.3% AAC Group Holding (B) 9.620%, 10/01/12 560 465 AAC Group Holding PIK (A) (G) 12.750%, 10/01/12 250 263 Ace Cash Express (A) 10.250%, 10/01/14 575 582 Alamosa Delaware 8.500%, 01/31/12 2,195 2,338 Allstate Life Global Funding II MTN (A) (D) (H) 5.370%, 10/16/06 737 737 American General Finance (A) (D) (H) 5.360%, 10/16/06 2,323 2,323 Arch Western Finance 6.750%, 07/01/13 3,417 3,280 Bear Stearns EXL (D) (H) 5.370%, 10/16/06 2,852 2,852 Beazer Homes USA 6.875%, 07/15/15 2,520 2,281 CB Richard Ellis Service 9.750%, 05/15/10 321 343 Cardtronics (A) 9.250%, 08/15/13 150 154 Choctaw Resort Development Entity (A) 7.250%, 11/15/19 1,100 1,094 Countrywide Financial MTN (D) (H) 5.448%, 12/27/06 961 961 Countrywide Financial MTN, Ser A (D) (H) 5.548%, 11/03/06 1,682 1,682 Credit Suisse First Boston London (A) (D) (K) 0.000%, 12/24/06 3,849 3,478 0.000%, 12/24/06 2,611 2,359 Crystal US Holdings, Ser B (B) 8.630%, 10/01/14 625 507 Dekabank (A) (D) (H) 5.490%, 10/19/06 2,964 2,964 Dow Jones CDX HY, Ser 6-T1 (A) 8.625%, 06/29/11 4,000 4,050 FTI Consulting 7.750%, 10/01/16 (A) 1,017 1,027 7.625%, 06/15/13 350 354 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 151 SCHEDULE OF INVESTMENTS High Yield Bond Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Ford Motor Credit 9.957%, 10/17/06 (D) $ 2,835 $ 2,967 9.750%, 09/15/10 (A) 2,312 2,387 7.375%, 10/28/09 2,610 2,536 7.375%, 02/01/11 675 648 7.250%, 10/25/11 700 660 7.077%, 10/18/06 (D) 1,300 1,226 7.000%, 10/01/13 (G) 6,413 5,950 6.625%, 06/16/08 1,000 985 General Motors Acceptance 8.000%, 11/01/31 (G) 4,871 5,093 7.600%, 10/25/06 (D) 500 501 7.000%, 02/01/12 100 100 6.875%, 08/28/12 4,795 4,746 6.750%, 12/01/14 (G) 4,461 4,355 6.125%, 08/28/07 300 300 Glitner Banki (A) (D) (H) 5.380%, 10/10/06 2,403 2,403 H-Lines Finance Holding (B) 9.700%, 04/01/13 801 705 Host Marriott+ 7.125%, 11/01/13 750 759 Host Marriott, Ser M+ 7.000%, 08/15/12 400 405 Host Marriott, Ser O+ 6.375%, 03/15/15 475 461 Host Marriott, Ser Q+ 6.750%, 06/01/16 3,295 3,250 Hughes Network Systems (A) 9.500%, 04/15/14 1,954 2,013 Innophos Investments PIK (A) (G) 13.405%, 11/16/06 2,315 2,402 Ipayment (A) 9.750%, 05/15/14 425 434 Irish Life & Permanent MTN, Ser X (A) (D) (H) 5.370%, 10/23/06 2,131 2,131 Islandsbanki (A) (D) (H) 5.380%, 10/23/06 1,362 1,362 Jackson National Life Funding (A) (D) (H) 5.330%, 10/02/06 3,525 3,525 K&F Acquisition 7.750%, 11/15/14 500 501 Kaupthing Bank MTN (A) (D) (H) 5.390%, 10/20/06 4,006 4,006 Lakeside Funding (D) (H) 5.330%, 10/10/06 958 958 Landsbanki Islands (A) (D) (H) 5.410%, 10/16/06 3,044 3,044 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Morgan Stanley EXL (D) (H) 5.390%, 10/04/06 $ 561 $ 561 Morgan Stanley EXL, Ser S (D) (H) 5.350%, 10/03/06 801 801 Natexis Banques (A) (D) (H) 5.310%, 10/16/06 1,562 1,562 Nationwide Building Society (A) (D) (H) 5.424%, 12/28/06 881 881 5.360%, 10/10/06 1,602 1,602 Nielsen Finance LLC (A) 11.740%, 08/01/16 (B) 1,275 747 10.000%, 08/01/14 1,975 2,042 Noble Group (A) 6.625%, 03/17/15 1,050 929 Nordbank (A) (D) (H) 5.360%, 10/23/06 2,724 2,724 Northern Rock (A) (D) (H) 5.370%, 10/03/06 1,650 1,650 Omega Healthcare Investors+ 7.000%, 01/15/16 1,025 1,010 Pacific Life Global Funding (A) (D) (H) 5.380%, 10/13/06 1,202 1,202 Premium Asset Trust, Ser 2004-10 (A) (D) (H) 5.370%, 10/16/06 2,243 2,243 Residential Capital (A) (D) 7.337%, 04/17/09 1,000 1,005 Rouse+ (A) 6.750%, 05/01/13 2,565 2,563 SLM EXL, Ser S (A) (D) (H) 5.330%, 10/16/06 1,763 1,763 Senior Housing+ 7.875%, 04/15/15 671 691 Sigma Finance MTN (A) (H) 4.745%, 11/09/06 865 865 Skandinav Enskilda Bank (A) (D) (H) 5.320%, 10/18/06 1,763 1,762 Southern Star 6.750%, 03/01/16 175 172 Stanfield Victoria MTN (A) (H) 5.445%, 06/11/07 1,602 1,602 Stripes Acquisition/Susser Financial (A) 10.625%, 12/15/13 314 334 TFS Acquisition (A) (D) 12.902%, 11/01/06 425 424 Terra Capital 12.875%, 10/15/08 610 682 11.500%, 06/01/10 1,000 1,087 Trains HY, Ser 2006-1 (A) 7.548%, 05/01/16 2,100 2,101 -------------------------------------------------------------------------------- 152 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Trustreet Properties+ 7.500%, 04/01/15 $ 1,000 $ 993 Universal City Development 11.750%, 04/01/10 225 242 Ventas Realty+ 8.750%, 05/01/09 300 319 7.125%, 06/01/15 75 77 6.625%, 10/15/14 375 376 WMG Holdings (B) 9.050%, 12/15/14 2,760 2,056 -------------- 131,975 -------------- HEALTH CARE -- 4.7% Accellent 10.500%, 12/01/13 1,840 1,914 Bio-Rad Laboratories 7.500%, 08/15/13 100 102 6.125%, 12/15/14 725 685 Biovail 7.875%, 04/01/10 3,167 3,167 CRC Health 10.750%, 02/01/16 1,350 1,404 Concentra Operating 9.500%, 08/15/10 275 286 Extendicare Health Services 9.500%, 07/01/10 1,544 1,619 6.875%, 05/01/14 520 556 Fisher Scientific International 6.125%, 07/01/15 1,048 1,040 Fresenius Medical Capital Trust II 7.875%, 02/01/08 1,830 1,862 Fresenius Medical Capital Trust IV 7.875%, 06/15/11 310 318 Genesis Healthcare 8.000%, 10/15/13 1,300 1,349 HCA 8.750%, 09/01/10 485 490 6.950%, 05/01/12 760 666 6.750%, 07/15/13 635 537 6.500%, 02/15/16 (G) 5,863 4,690 6.250%, 02/15/13 373 312 5.500%, 12/01/09 270 270 Healthsouth (A) (G) 10.750%, 06/15/16 2,326 2,375 Iasis Healthcare 8.750%, 06/15/14 1,325 1,282 Insight Health Services (D) 10.739%, 12/22/06 600 508 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Insight Health Services, Ser B 9.875%, 11/01/11 $ 475 $ 163 Kinetic Concepts 7.375%, 05/15/13 293 296 Leiner Health Products 11.000%, 06/01/12 150 145 MQ Associates (B) (G) 30.410%, 08/15/12 701 249 Medcath Holdings 9.875%, 07/15/12 75 80 Medquest, Ser B 11.875%, 08/15/12 2,781 2,426 Norcross Safety Products, Ser B 9.875%, 08/15/11 1,315 1,381 Res-care 7.750%, 10/15/13 675 673 Select Medical 11.175%, 03/29/07 (D) 150 132 7.625%, 02/01/15 4,045 3,408 Tenet Healthcare 9.875%, 07/01/14 275 274 9.250%, 02/01/15 3,471 3,341 6.500%, 06/01/12 (G) 875 765 Triad Hospitals 7.000%, 11/15/13 2,175 2,113 US Oncology Holdings 10.750%, 08/15/14 6,624 7,253 10.675%, 03/15/07 (D) 2,532 2,583 9.000%, 08/15/12 125 129 -------------- 50,843 -------------- INDUSTRIALS -- 10.6% ALH Finance 8.500%, 01/15/13 2,500 2,444 Acih (A) (B) 15.100%, 12/15/12 1,300 865 Ahern Rentals 9.250%, 08/15/13 800 820 Ainsworth Lumber 9.117%, 12/30/06 (D) 3,240 2,673 7.250%, 10/01/12 1,479 1,094 6.750%, 03/15/14 2,665 1,866 Air 2 US (A) 8.027%, 10/01/19 631 634 Alliant Techsystems 6.750%, 04/01/16 575 566 Allied Waste North America 7.250%, 03/15/15 430 427 6.125%, 02/15/14 1,225 1,142 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 153 SCHEDULE OF INVESTMENTS High Yield Bond Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Allied Waste North America, Ser B 8.500%, 12/01/08 $ 3,675 $ 3,850 7.375%, 04/15/14 340 335 7.125%, 05/15/16 (G) 867 855 American Airlines 7.379%, 05/23/16 128 115 Ames True Temper (D) 9.507%, 10/15/06 1,210 1,216 Amsted Industries (A) 10.250%, 10/15/11 975 1,043 Armstrong Holdings (C) (G) 7.450%, 05/15/29 525 339 Associated Materials 16.730%, 03/01/14 (B) 1,125 619 9.750%, 04/15/12 (G) 475 474 Baker & Taylor (A) 11.500%, 07/01/13 1,100 1,084 Basell (A) (G) 8.375%, 08/15/15 1,065 1,057 Buhrmann US 8.250%, 07/01/14 1,750 1,728 7.875%, 03/01/15 625 602 Builders Firstsource (D) 9.655%, 11/16/06 3,375 3,308 Chart Industries (A) 9.125%, 10/15/15 325 336 Chukchansi Economic Development Authority (A) (D) 8.780%, 11/15/12 546 562 Continental Airlines, Ser 971A 7.461%, 04/01/15 952 952 Continental Airlines, Ser 982A 6.410%, 04/15/07 180 180 Continental Airlines, Ser RJ04 9.558%, 09/01/19 599 633 Covalence Specialty Mate (A) 10.250%, 03/01/16 610 592 D R Horton 5.625%, 09/15/14 1,930 1,820 DRS Technologies 7.625%, 02/01/18 (G) 1,260 1,279 6.875%, 11/01/13 150 148 6.625%, 02/01/16 1,000 983 Dayton Superior 13.000%, 06/15/09 1,687 1,586 10.750%, 09/15/08 1,331 1,371 Delta Air Lines, Ser 2000-1, Cl A2 (C) 7.570%, 11/18/10 3,936 3,941 Delta Air Lines, Ser 2001-1, Cl A-2 (C) 7.111%, 09/18/11 59 59 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Delta Air Lines, Ser 2002-1, Cl C (C) 7.779%, 01/02/12 $ 1,032 $ 988 Education Management (A) 10.250%, 06/01/16 2,225 2,275 8.750%, 06/01/14 125 126 Fastentech 11.500%, 05/01/11 1,826 1,899 Goodman Global Holdings 7.875%, 12/15/12 1,065 1,014 Greenbrier 8.375%, 05/15/15 1,152 1,169 Gulfmark Offshore 7.750%, 07/15/14 1,771 1,780 Harvest Operations 7.875%, 10/15/11 1,000 928 Hexion US Financial (D) 10.257%, 10/15/06 1,979 2,019 Horizon Lines LLC 9.000%, 11/01/12 855 881 Indalex Holding (A) 11.500%, 02/01/14 1,571 1,665 Interface 9.500%, 02/01/14 275 283 Interline Brands 8.125%, 06/15/14 540 547 Intermec 7.000%, 03/15/08 475 477 Iron Mountain 8.625%, 04/01/13 747 764 7.750%, 01/15/15 420 420 6.625%, 01/01/16 2,125 1,998 J.B. Poindexter 8.750%, 03/15/14 175 144 K Hovnanian Enterprises 6.250%, 01/15/16 525 462 L-3 Communications 6.125%, 07/15/13 352 342 5.875%, 01/15/15 5,331 5,064 L-3 Communications, Cl B 6.375%, 10/15/15 524 510 Language Line 11.125%, 06/15/12 100 97 Maax (G) 23.510%, 12/15/12 (B) 2,650 980 9.750%, 06/15/12 1,175 928 Meritage Homes 7.000%, 05/01/14 1,675 1,501 6.250%, 03/15/15 300 255 Millar Western Forest 7.750%, 11/15/13 2,205 1,830 -------------------------------------------------------------------------------- 154 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Mobile Services Group (A) 9.750%, 08/01/14 $ 350 $ 359 Monitronics International 11.750%, 09/01/10 1,809 1,750 NCL 10.625%, 01/15/07 575 556 Nebraska Book 8.625%, 03/15/12 250 234 Nortek 8.500%, 09/01/14 450 425 North American Energy Partner 8.750%, 12/01/11 400 399 Northwest Airlines (C) 8.875%, 06/01/06 550 298 7.875%, 03/15/08 375 206 Nutro Products (A) (D) 9.230%, 10/15/06 1,025 1,054 Owens Corning (C) 7.500%, 08/01/18 (G) 450 231 7.000%, 03/15/09 850 429 PHI (A) 7.125%, 04/15/13 125 118 Park-Ohio Industries 8.375%, 11/15/14 1,945 1,770 Ply Gem 9.000%, 02/15/12 1,155 921 Propex Frabics 10.000%, 12/01/12 350 318 Quality Distributors 9.000%, 11/15/10 825 790 Quebecor World Capital (A) 8.750%, 03/15/16 915 881 RBS Global & Rexnord (A) 11.750%, 08/01/16 1,000 1,030 Rainbow National Services LLC (A) 10.375%, 09/01/14 (G) 525 593 8.750%, 09/01/12 1,085 1,161 Ship Finance International MTN 8.500%, 12/15/13 2,341 2,259 Southern States Coop (A) 10.500%, 11/01/10 1,804 1,890 Spectrum Brands 8.500%, 10/01/13 1,000 865 Stanley-Martin 9.750%, 08/15/15 1,945 1,541 Sunstate Equipment (A) 10.500%, 04/01/13 1,095 1,136 TRW Automotive 9.375%, 02/15/13 1,846 1,966 Tech Olympic USA (G) 10.375%, 07/01/12 2,471 2,137 7.500%, 03/15/11 225 181 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Tembec Industries 8.625%, 06/30/09 $ 850 $ 472 Tempur Pedic 10.250%, 08/15/10 722 757 Terex 9.250%, 07/15/11 525 553 7.375%, 01/15/14 1,403 1,410 Thermadyne Holdings (G) 9.250%, 02/01/14 450 389 UCAR Finance 10.250%, 02/15/12 1,435 1,507 US Concrete 8.375%, 04/01/14 475 457 United Air Lines (C) 9.125%, 01/15/12 1,075 16 6.201%, 09/01/08 (G) 1,071 1,071 United Air Lines, Ser 95A1 (C) 9.125%, 04/19/12 570 339 United Air Lines, Ser 95A2 (C) 9.560%, 10/19/18 896 542 United Air Lines, Ser A (C) 10.670%, 05/01/04 525 8 Vanguard Health Holdings II 9.000%, 10/01/14 1,300 1,261 Visant 7.625%, 10/01/12 2,400 2,412 Xerox 6.750%, 02/01/17 515 523 6.400%, 03/15/16 775 771 -------------- 112,930 -------------- INFORMATION TECHNOLOGY -- 2.5% Activant Solutions (A) 9.500%, 05/01/16 2,900 2,683 Advanced Micro Devices 7.750%, 11/01/12 1,715 1,741 Amkor Technologies 7.750%, 05/15/13 325 298 Celestica 7.875%, 07/01/11 550 553 Compagnie Generale de Geophysique 7.500%, 05/15/15 975 965 Magnachip Semiconductor 8.640%, 12/15/06 (D) 1,222 1,033 6.875%, 12/15/11 475 380 SS&C Technologies (A) (G) 11.750%, 12/01/13 1,260 1,326 Seitel 11.750%, 07/15/11 425 505 Serena Sofware 10.375%, 03/15/16 640 670 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 155 SCHEDULE OF INVESTMENTS High Yield Bond Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Smart Modular (D) 11.008%, 10/01/06 $ 670 $ 710 Solutia (C) 11.250%, 07/15/09 925 925 Stoneridge 11.500%, 05/01/12 2,741 2,652 Sungard Data Systems 10.250%, 08/15/15 7,435 7,658 9.973%, 08/15/13 (A) 725 752 UGS 10.000%, 06/01/12 890 961 UGS Capital PIK (A) (D) 10.380%, 12/15/06 1,645 1,670 Unisys 8.000%, 10/15/12 570 533 Viasystems 10.500%, 01/15/11 450 442 -------------- 26,457 -------------- MATERIALS -- 10.1% AK Steel (G) 7.875%, 02/15/09 1,525 1,519 Abitibi Consolidated 8.850%, 08/01/30 225 189 8.550%, 08/01/10 1,571 1,559 8.375%, 04/01/15 (G) 2,500 2,275 6.000%, 06/20/13 500 406 Appleton Papers 8.125%, 06/15/11 425 425 Appleton Papers, Ser B 9.750%, 06/15/14 1,720 1,699 BCI US Finance (A) (D) 11.007%, 10/15/06 830 847 Ball 6.875%, 12/15/12 355 358 6.625%, 03/15/18 1,550 1,523 Berry Plastics (A) 9.265%, 12/15/06 (D) 343 345 8.875%, 09/15/14 2,618 2,631 Boise Cascade LLC (D) 8.382%, 10/15/06 610 613 Bowater 9.500%, 10/15/12 500 508 8.390%, 12/17/06 (D) (G) 806 817 Bowater Canada Finance (G) 7.950%, 11/15/11 1,200 1,146 Bway 10.000%, 10/15/10 674 708 Cascades 7.250%, 02/15/13 655 639 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Catalyst Paper 7.375%, 03/01/14 $ 455 $ 419 Catalyst Paper, Ser D 8.625%, 06/15/11 1,583 1,555 Consolidated Containers (B) (G) 9.000%, 06/15/09 525 504 Crown Americas 7.750%, 11/15/15 2,024 2,049 Crown Cork & Seal 8.000%, 04/15/23 1,850 1,767 Domtar 7.125%, 08/15/15 775 721 Equistar Chemical 10.625%, 05/01/11 1,773 1,902 10.125%, 09/01/08 2,122 2,247 FMG Finance (A) 10.625%, 09/01/16 (G) 3,040 2,918 10.000%, 09/01/13 400 380 Freeport-McMoRan 10.125%, 02/01/10 841 891 Georgia Gulf 9.500%, 10/15/14 (A) 400 397 7.125%, 12/15/13 (G) 300 273 Georgia-Pacific 8.125%, 05/15/11 665 682 8.000%, 01/15/24 775 763 7.700%, 06/15/15 2,175 2,164 Gibraltar Industries, Ser B 8.000%, 12/01/15 2,204 2,182 Graham Packaging 9.875%, 10/15/14 (G) 1,895 1,862 8.500%, 10/15/12 250 248 Huntsman 11.625%, 10/15/10 576 636 11.500%, 07/15/12 2,633 2,995 5.000%, 02/16/08 1 24 Huntsman International LLC 9.875%, 03/01/09 125 130 Ineos Group Holdings PLC (A) (G) 8.500%, 02/15/16 5,115 4,872 Innophos 9.625%, 08/15/14 550 546 Intertape Polymer 8.500%, 08/01/14 275 259 Ispat Inland 9.750%, 04/01/14 970 1,092 Jarden 9.750%, 05/01/12 1,445 1,524 Jefferson Smurfit 7.500%, 06/01/13 705 650 -------------------------------------------------------------------------------- 156 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Lyondell Chemical 10.875%, 05/01/09 $ 2,886 $ 2,951 10.500%, 06/01/13 1,990 2,189 8.250%, 09/15/16 3,305 3,355 8.000%, 09/15/14 1,933 1,957 Metals USA 11.125%, 12/01/15 2,582 2,827 Methanex 6.000%, 08/15/15 175 168 Nalco (G) 8.875%, 11/15/13 1,580 1,647 7.750%, 11/15/11 2,061 2,102 Newark Group 9.750%, 03/15/14 775 752 Nova Chemicals (D) 8.405%, 10/31/06 1,289 1,315 Novelis (A) 8.250%, 02/15/07 975 926 Owens-Brockway Glass 8.875%, 02/15/09 175 180 8.250%, 05/15/13 3,330 3,413 6.750%, 12/01/14 825 784 Owens-Illinois 7.350%, 05/15/08 2,500 2,519 P H Glatfelter (A) 7.125%, 05/01/16 1,705 1,663 PNA Group (A) 10.750%, 09/01/16 1,350 1,387 Packaging Dynamics (A) 10.000%, 05/01/16 2,295 2,318 Polyone 10.625%, 05/15/10 (G) 1,700 1,828 8.875%, 05/01/12 1,445 1,459 Reichold Industries 9.000%, 08/15/14 2,049 2,018 Rockwood Specialties Group (A) 7.500%, 11/15/14 710 699 Ryerson Tull 8.250%, 12/15/11 2,204 2,182 Smurfit-Stone Container 9.750%, 02/01/11 2,645 2,724 Solo Cup (G) 8.500%, 02/15/14 2,325 2,008 Steel Dynamics 9.500%, 03/15/09 2,183 2,255 Stelco (D) 10.870%, 03/31/16 425 446 Tronox Worldwide 9.500%, 12/01/12 175 180 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Verso Paper Holdings (A) 9.235%, 11/01/06 (D) $ 1,644 $ 1,660 9.125%, 08/01/14 (G) 2,587 2,603 -------------- 107,374 -------------- TELECOMMUNICATION SERVICES -- 8.8% Airgate PCS (D) 9.257%, 10/15/06 1,350 1,380 American Cellular, Ser B 10.000%, 08/01/11 1,925 2,016 American Tower 7.125%, 10/15/12 1,690 1,732 7.500%, 05/01/12 125 128 Centennial Communications 11.258%, 10/01/06 (D) 100 103 10.750%, 12/15/08 (G) 303 307 10.125%, 06/15/13 3,540 3,761 10.000%, 01/01/13 (G) 2,750 2,784 8.125%, 02/01/14 2,550 2,512 Cincinnati Bell 8.375%, 01/15/14 (G) 1,075 1,086 7.250%, 07/15/13 100 102 Citizens Communications 9.250%, 05/15/11 1,775 1,957 6.250%, 01/15/13 685 666 Consolidated Communication Holdings 9.750%, 04/01/12 1,693 1,786 Digicel (A) 9.250%, 09/01/12 2,000 2,075 Dobson Cellular Systems 9.875%, 11/01/12 360 386 Dobson Communications 9.757%, 10/15/06 (D) 840 857 8.875%, 10/01/13 (G) 2,090 2,072 Embarq 7.082%, 06/01/16 225 230 GCI 7.250%, 02/15/14 450 434 Hawaiian Telcom Communications (G) 12.500%, 05/01/15 550 578 Hawaiian Telecom Communications, Ser B (G) 9.750%, 05/01/13 625 642 Horizon PCS 11.375%, 07/15/12 1,250 1,403 IPCS 11.500%, 05/01/12 1,000 1,120 IWO Holdings (D) 9.257%, 01/15/12 1,250 1,284 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 157 SCHEDULE OF INVESTMENTS High Yield Bond Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Insight Communications (B) 12.250%, 02/15/11 $ 1,500 $ 1,590 Intelsat 7.625%, 04/15/12 625 547 6.500%, 11/01/13 1,025 817 Intelsat Bermuda (A) 11.250%, 06/15/16 3,655 3,884 9.250%, 06/15/16 (G) 578 608 Intelsat Sub Holdings 10.484%, 01/15/07 (D) (G) 3,370 3,416 8.625%, 01/15/15 700 716 Level 3 Financing 12.250%, 03/15/13 (G) 1,039 1,159 10.750%, 10/15/11 1,500 1,569 Lucent Technologies 6.450%, 03/15/29 1,000 890 NTL Cable PLC 9.125%, 08/15/16 900 929 8.750%, 04/15/14 525 545 Nordic Telephone (A) 8.875%, 05/01/16 2,295 2,413 Nortel Networks (A) (D) 9.730%, 10/15/06 600 620 Panamsat (A) 9.000%, 06/15/16 475 489 Primus Telecommunications (G) 8.000%, 01/15/14 875 547 Qwest 8.875%, 03/15/12 4,295 4,687 8.640%, 12/15/06 (D) 1,296 1,387 7.875%, 09/01/11 300 315 7.625%, 06/15/15 832 863 7.500%, 10/01/14 (A) 2,880 2,974 7.250%, 09/15/25 225 218 7.250%, 10/15/35 1,050 995 6.875%, 09/15/33 375 342 5.625%, 11/15/08 150 149 Qwest Communications International 8.905%, 11/11/06 (D) 3,864 3,937 7.250%, 02/15/11 125 125 Qwest Communications International, Ser B (G) 7.500%, 02/15/14 1,120 1,123 Rogers Wireless 8.515%, 12/15/06 (D) 1,651 1,680 8.000%, 12/15/12 750 797 7.250%, 12/15/12 250 262 6.375%, 03/01/14 3,200 3,188 Rural Cellular 9.875%, 02/01/10 100 104 8.250%, 03/15/12 1,165 1,200 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Securus Technologies (G) 11.000%, 09/01/11 $ 325 $ 278 Syniverse Technologies, Ser B 7.750%, 08/15/13 150 144 Telenet Group Holdings (A) (B) (G) 6.140%, 06/15/14 696 609 Triton (G) 8.500%, 06/01/13 2,625 2,435 US Lec (D) 13.620%, 10/01/06 675 717 US Unwired, Ser B 10.000%, 06/15/12 450 495 Ubiquitel 9.875%, 03/01/11 1,200 1,302 Valor Telecom Enterprises 7.750%, 02/15/15 250 266 Wind Acquisitions Finance (A) 10.750%, 12/01/15 2,770 3,057 Windstream (A) 8.625%, 08/01/16 4,619 4,942 8.125%, 08/01/13 758 804 Zeus Special Sub (A) (B) 8.720%, 02/01/15 3,355 2,432 -------------- 93,967 -------------- UTILITIES -- 3.4% AES 9.375%, 09/15/10 775 837 9.000%, 05/15/15 (A) 225 242 8.875%, 02/15/11 1,485 1,589 Airgas 9.125%, 10/01/11 419 438 Aquila 9.000%, 11/15/21 629 639 8.000%, 03/01/23 3,535 3,593 CMS Energy 7.750%, 08/01/10 125 131 7.500%, 01/15/09 625 644 Calpine Generating (C) 14.120%, 10/01/06 1,850 1,975 Edison Mission Energy 7.750%, 06/15/16 (A) (G) 995 1,007 7.730%, 06/15/09 500 514 Inergy Finance 8.250%, 03/01/16 485 502 6.875%, 12/15/14 805 771 Midwest Generation LLC 8.750%, 05/01/34 2,758 2,944 -------------------------------------------------------------------------------- 158 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Mirant Americas 9.125%, 05/01/31 (G) $ 1,353 $ 1,377 8.500%, 10/01/21 5,047 4,896 8.300%, 05/01/11 225 225 Mirant (C) 7.900%, 07/15/09 50 1 7.400%, 07/15/04 (G) 450 5 5.750%, 07/15/07 (G) 1,150 12 Mirant North America 7.375%, 12/31/13 3,370 3,374 Mission Energy Holding 13.500%, 07/15/08 1,189 1,327 NRG Energy 7.375%, 02/01/16 4,425 4,397 7.250%, 02/01/14 1,175 1,166 Northwest Pipeline 8.125%, 03/01/10 225 234 7.000%, 06/15/16 (A) 225 230 Sierra Pacific Resources 8.625%, 03/15/14 1,275 1,377 7.803%, 06/15/12 450 474 Southern Natural Gas 8.875%, 03/15/10 375 393 Tenaska Alabama (A) 7.000%, 06/30/21 858 841 Transcont Gas Pipeline (A) 6.400%, 04/15/16 175 173 -------------- 36,328 -------------- Total Corporate Obligations (Cost $910,036) ($ Thousands) 904,333 -------------- COLLATERALIZED LOAN OBLIGATIONS -- 5.7% FINANCIALS -- 5.7% Ares VR, Ser 2006-1A, Cl SUB (A) 0.000%, 02/24/18 7,000 6,580 Babson, Ser 2005-2A, Cl SUB (A) (D) 7.000%, 07/20/19 4,000 3,716 Capitalsource Advisors, Ser 2006-1A, Cl SUB (A) 0.000%, 08/27/20 3,200 3,040 De Meer Middle Market, Ser 2006-1A, Cl INC 0.000%, 10/20/18 2,300 2,254 Gleneagles, Ser AI (D) 0.000%, 11/01/17 13 12,500 ING Investment Management (A) (D) 0.000%, 12/01/17 13 12,125 ING Investment Management II (A) (D) 0.000%, 08/01/20 6 5,600 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Lightpoint, Ser 2006-4A, Cl IN (A) 0.000%, 04/15/18 $ 2,500 $ 2,300 Marathon, Ser 2005-2A, Cl INC (A) 0.000%, 12/20/19 3,000 3,000 Pamco, Ser 1998-1A, Cl B2 (A) (D) 6.839%, 11/01/06 2,500 2,394 Stanfield Bristol, Ser 2005-1A, Cl SUB (A) 0.000%, 10/15/19 6,300 5,481 Stanfield Vayron, Ser 2006-1A, Cl SUB 0.000%, 07/15/18 2,300 2,300 -------------- Total Collateralized Loan Obligations (Cost $60,791) ($ Thousands) 61,290 -------------- LOAN PARTICIPATIONS -- 4.3% FINANCIALS -- 4.3% American Cellular (L) 7.580%, 08/08/13 250 -- American Cellular, Tranche B 7.660%, 08/08/13 250 249 Amkor Technology 9.694%, 10/27/10 4,000 4,122 CCFC 11.330%, 08/26/09 2,079 2,192 Cebridge 11.150%, 05/05/14 3,030 2,876 Century Cable 10.250%, 06/30/09 575 558 Cooper Standard 7.875%, 12/23/11 2,233 2,234 Delphi 13.750%, 10/11/06 2,575 2,659 Frontiervision (M) 9.775%, 06/30/06 1,300 1,285 Georgia Pacific, Ser B 7.485%, 02/14/13 991 993 Georgia Pacific, Ser C 8.390%, 02/14/14 1,000 1,009 8.300%, 12/23/12 1,500 1,513 Kgen Partners 7.992%, 08/15/11 2,448 2,444 LSP General Finance 8.867%, 04/13/13 2,000 2,016 Level 3 8.398%, 12/01/11 1,500 1,512 Murray 14.085%, 01/31/11 3,930 4,127 NRG Energy (STRIPS) 7.367%, 02/01/13 1,247 1,253 -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 159 SCHEDULE OF INVESTMENTS High Yield Bond Fund (Continued) September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Neiman Marcus, Ser B 7.891%, 03/13/13 $ 1,797 $ 1,808 Nielsen Finance 5.450%, 08/09/13 750 749 Northwest Airlines 7.898%, 08/21/08 1,500 1,501 Targa Resources 7.619%, 10/05/07 2,000 2,000 United Airlines 9.125%, 02/01/12 562 569 8.625%, 02/01/12 1,306 1,323 United Airlines, Tranche B 9.250%, 02/01/12 2,625 2,658 Venoco 10.000%, 03/30/11 150 151 10.000%, 04/26/11 3,500 3,513 Wide Open West 10.400%, 04/28/13 500 504 -------------- Total Loan Participations (Cost $45,960) ($ Thousands) 45,818 -------------- COMMERCIAL PAPER (I) -- 3.2% Broadhollow Funding (H) 5.502%, 10/02/06 3,205 3,204 Citius I Funding (H) 5.313%, 10/17/06 801 799 Credit Suisse 5.283%, 10/19/06 1,425 1,421 DaimlerChrysler 5.384%, 10/06/06 4,865 4,861 Elysian Funding LLC (H) 5.427%, 11/27/06 1,438 1,426 5.401%, 11/20/06 1,286 1,276 5.390%, 11/06/06 1,602 1,593 Georgetown Funding (H) 5.349%, 10/24/06 412 411 Kitty Hawk Funding 5.283%, 10/20/06 3,465 3,456 Mica Funding LLC (H) 5.299%, 10/12/06 1,602 1,600 Natural Rural Utilities 5.277%, 10/10/06 2,850 2,846 Ocala Funding (H) 5.321%, 10/20/06 801 799 5.318%, 10/10/06 1,827 1,824 Preferred Receivable Funding 5.283%, 10/13/06 3,611 3,605 Rhineland Funding Capital (H) 5.470%, 10/12/06 801 800 5.378%, 12/12/06 527 522 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Yorktown Capital 5.277%, 10/18/06 $ 3,545 $ 3,536 -------------- Total Commercial Paper (Cost $33,978) ($ Thousands) 33,979 -------------- ASSET-BACKED SECURITIES -- 1.4% MORTGAGE RELATED SECURITIES -- 1.4% Chase Funding Mortgage Loan, Ser 2003-4, Cl 2A2 (D) 5.630%, 10/25/06 334 334 Cheyne High Grade, Ser 2004-1A, Cl AM1 (A) (D) (H) 5.466%, 11/10/06 801 801 Commodore, Ser 2003-2A, Cl A1MM (A) (D) (H) 5.470%, 12/12/06 737 737 Countrywide Alternative Loan Trust, Ser 2006-OA9, Cl X1P, IO (E) 9.220%, 07/20/46 30,000 1,602 Duke Funding, Ser 2004-6B, Cl A1S1 (A) (D) (H) 5.577%, 10/10/06 1,202 1,202 Harborview Mortgage Loan Trust, Ser 2005-01, Cl X, IO 1.263%, 10/01/06 14,056 310 Harborview Mortgage Loan Trust, Ser 2005-10, Cl X, IO (D) (F) 1.431%, 10/01/06 25,146 692 Harborview Mortgage Loan Trust, Ser 2005-12, Cl X2A, IO (D) 0.621%, 10/19/35 81,371 966 Indymac Index Mortgage Loan Trust, Ser 2004-AR12, Cl AX2, IO (F) 0.930%, 10/01/06 10,121 248 Newcastle CDO, Ser 2005-6A, Cl IM1 (A) (D) (H) 5.350%, 10/24/06 320 320 Park Place Securities NIM Trust, Ser 2004-MM1, Cl AM6 (A) (D) (H) 5.360%, 10/25/06 712 712 Residential Asset Mortgage Products, Ser 2003-RS1, Cl AII (D) 5.720%, 10/25/06 166 166 Saturn Ventures II (D) (H) 5.390%, 10/10/06 1,290 1,290 TIAA Real Estate CDO, Ser 2003 1A, Cl A1MM (A) (D) (H) 5.354%, 10/30/06 1,192 1,192 -------------------------------------------------------------------------------- 160 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Washington Mutual, Ser 2006-AR5, Cl X, IO 14.690%, 06/25/46 $ 164,682 $ 1,651 Washington Mutual, Ser 2006-AR9, Cl 1XPP, IO 9.850%, 08/25/46 127,072 1,245 Whitehawk CDO Funding, Ser 2004-1A (D) (H) 5.340%, 10/16/06 1,383 1,383 -------------- Total Asset-Backed Securities (Cost $15,380) ($ Thousands) 14,851 -------------- COLLATERALIZED DEBT OBLIGATIONS -- 2.3% FINANCIALS -- 2.3% Carlyle High Yield Partners, Ser 2006-8A, Cl N 0.000%, 05/21/21 3,700 3,515 Connecticut Valley Structured Credit, Ser 2006-3A, Cl NOTE, (A) 0.000%, 03/23/23 2,200 2,200 Peritus I, (F) 9.000%, 05/24/15 3,750 937 Peritus I, Ser 2005-1A, Cl C (A) (F) 9.000%, 05/24/15 14,605 13,700 Rockwall Investors, 0.000% (A) (D)* 4,000 4,000 -------------- Total Collateralized Debt Obligations (Cost $23,993) ($ Thousands) 24,352 -------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.0% FHLMC CMO, Ser 2596, Cl IJ, IO 15.892%, 01/15/17 1,919 188 FHLMC CMO, Ser 2696, Cl NI, IO 5.500%, 03/15/23 216 2 FNMA CMO, Ser 2003-37, Cl IG, IO 22.252%, 05/25/32 574 87 FNMA (E) 5.156%, 10/18/06 2 2 -------------- Total U.S. Government Agency Obligations (Cost $258) ($ Thousands) 279 -------------- CONVERTIBLE BONDS -- 0.0% Flextronics CV to 64.4122 1.000%, 08/01/10 500 512 Mirant CV to 14.7167 (C) (G) 2.500%, 06/15/21 2,200 22 -------------- Total Convertible Bonds (Cost $575) ($ Thousands) 534 -------------- -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- COMMON STOCK -- 0.1% Core-Mark Holding* 12,816 $ 402 Huntsman* 8,061 147 Mirant (G)* 12,132 331 Shreveport Gaming Holdings I, Private Company (G)* 13,948 139 UAL (G)* 10,547 280 -------------- Total Common Stock (Cost $762) ($ Thousands) 1,299 -------------- PREFERRED STOCK -- 0.4% CIFC Funding, Ser 2006-I, 0.000% (D)* 2,300,000 2,300 General Nutrition Center, Ser A PIK, 12.000%* 900 990 ION Media PIK, 14.250%* 1 5 Rural Cellular PIK, 12.250% (G)* 374 423 Rural Cellular, Ser B PIK, 11.375%* 350 425 -------------- Total Preferred Stock (Cost $3,668) ($ Thousands) 4,143 -------------- Number of Warrants ----------- WARRANTS -- 0.0% Grande Communications, Expires 04/01/11* 850 9 Pegasus Communications, Expires 01/01/07 (F)* 250 -- Travelcenters of America, Expires 11/14/10* 7,500 90 Travelcenters of America, Expires 05/01/09* 2,500 30 -------------- Total Warrants (Cost $31) ($ Thousands) 129 -------------- CASH EQUIVALENT -- 3.4% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.330%**++ 36,003,203 36,003 -------------- Total Cash Equivalent (Cost $36,003) ($ Thousands) 36,003 -------------- MASTER NOTE (D) (H) -- 0.4% Bank of America 5.445%, 10/02/06 $ 4,006 4,006 -------------- Total Master Note (Cost $4,006) ($ Thousands) 4,006 -------------- -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 161 SCHEDULE OF INVESTMENTS High Yield Bond Fund (Concluded) September 30, 2006 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- CERTIFICATES OF DEPOSIT (H) -- 0.3% Barclays Bank (D) 5.440%, 06/11/07 $ 801 $ 801 CC USA MTN (A) 5.520%, 06/18/07 1,602 1,602 U.S. Trust of New York (D) 5.370%, 10/13/06 641 641 -------------- Total Certificates of Deposit (Cost $3,044) ($ Thousands) 3,044 -------------- U.S. TREASURY OBLIGATION (I) -- 0.0% U.S. Treasury Bill 4.637%, 10/19/06 5 5 -------------- Total U.S. Treasury Obligation (Cost $4) ($ Thousands) 5 -------------- REPURCHASE AGREEMENTS (H) (J) -- 0.9% Barclays 5.350%, dated 09/29/06, to be repurchased on 10/02/06, repurchase price $2,226,831 (collateralized by a U.S. Government Obligation, par value $2,125,888, 6.000%, 05/15/11; with total market value $2,270,370) 2,226 2,226 Deutsche Bank 5.330%, dated 09/29,06, to be repurchased on 10/02/06, repurchase price $3,206,005 (collateralized by various U.S. Government Obligations, ranging in par value $27,720-$937,869, 3.750%-5.300%, 02/21/08-04/25/14; with total market value $3,268,684) 3,205 3,205 Lehman Brothers 5.330%, dated 09/29/06, to be repurchased on 10/02/06, repurchase price $4,007,507 (collateralized by various U.S. Government Obligations, ranging in par value $276,555- $492,865,2.500%-5.705%, 01/30/07-05/18/16; with total market value $4,085,887) 4,006 4,006 -------------- Total Repurchase Agreements (Cost $9,437) ($ Thousands) 9,437 -------------- Total Investments -- 107.0% (Cost $1,147,926) ($ Thousands) $ 1,143,502 ============== Swaps -- At September 30, 2006 the following Interest Rate Swap agreements were outstanding (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- NOTIONAL UNREALIZED EXPIRATION AMOUNT APPRECIATION DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- The Fund receives a fixed rate of 5.41875% and pays a floating rate based on 3-Month LIBOR. (Counterparty: Barclays Capital) 5/15/08 $ 28,700 $517 The Fund receives a fixed rate of 5.415% and pays a floating rate based on 3-Month LIBOR. (Counterparty: Lehman Brothers) 5/17/08 25,055 450 ---- $967 ==== Percentages are based on Net Assets of $1,068,711 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of September 30, 2006. + Real Estate Investment Trust. ++ Pursuant to an exemptive order issued by the Securities and Exchange Commission, the Fund may invest in the SEI money market funds, provided that investments in the money market funds do not exceed 25% of the Fund's total assets. (A) Securities sold within terms of a private placement memorandum, exempt from registration under Section 3A-4, 4(2) or 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (B) Step Bonds -- The rate reflected on the Schedule of Investments is the effective yield on September 30, 2006. The coupon on a step bond changes on a specified date. (C) Security in default on interest payments. (D) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2006. The date reported on the Schedule of Investments is the next reset date. (E) Zero-coupon Bond -- The rate shown is the effective yield at the date of purchase. (F) Security considered illiquid. The total value of such securities as of September 30, 2006 was $15,577 ($ Thousands) and represented 1.46% of Net Assets. (G) This security or a partial position of this security is on loan at September 30, 2006 (see Note 7). The total value of securities on loan at September 30, 2006 was $81,130 ($ Thousands). (H) This security was purchased with cash collateral held from securities on loan (see Note 7). The total value of such securities as of September 30, 2006 was $86,544 ($ Thousands). (I) The rate reported is the effective yield at time of purchase. (J) Tri-Party Repurchase Agreement. (K) The note accrues 9.65% annual coupon for any day that the 3-year swap rate exceeds the 1-year swap rate by 22 or more basis points. (L) As of September 31, 2006, this security is unfunded. (M) This is a distressed security. CDO -- Collateralized Debt Obligation Cl -- Class CMO -- Collateralized Mortgage Obligation CV -- Convertible Security DN -- Discount Note EXL -- Extendable Maturity FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association IO -- Interest Only Security-face amount represents notional amount. LLC -- Limited Liability Company MTN -- Medium Term Note NIM -- Net Interest Margin PCS -- Personal Communications Service PIK -- Payment-in-Kind PLC -- Public Limited Company Ser -- Series STRIPS -- Separately Traded Registered Interest and Principal Securities Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 162 SEI Institutional Managed Trust / Annual Report / September 30, 2006 This page intentionally left blank. Statements of Assets and Liabilities ($ Thousands) September 30, 2006
----------------------------------------------------------------------------------------------------------------------------------- LARGE CAP TAX-MANAGED LARGE CAP DIVERSIFIED ALPHA LARGE CAP VALUE FUND FUND FUND ----------------------------------------------------------------------------------------------------------------------------------- ASSETS: Investments at value+ $ 1,149,109 $ 2,617,952* $ 4,136,650* Repurchase agreement++ -- 33,571 48,736 Affiliated investment, at value++ 62,491 27,965 53,153 Cash 101 999 -- Foreign currency, at value+++ -- -- -- Restricted cash held for securities sold short 1,405 -- -- Receivable for investment securities sold 16,358 13,694 14,494 Receivable for fund shares sold 13,369 789 1,671 Dividends and interest receivable 1,630 2,255 5,332 Receivable for variation margin 46 -- 4 Unrealized gain on swap contracts 61 -- -- ----------------------------------------------------------------------------------------------------------------------------------- Total Assets 1,244,570 2,697,225 4,260,040 ----------------------------------------------------------------------------------------------------------------------------------- LIABILITIES: Payable upon return on securities loaned -- 307,903 446,989 Payable for securities sold short+++++ 106,731 -- -- Payable for investment securities purchased 48,220 7,702 8,534 Payable for fund shares redeemed 6,199 1,808 8,246 Investment advisory fees payable 340 591 874 Payable for variation margin 312 39 57 Administration fees payable 302 675 1,083 Shareholder servicing fees payable Class A 175 338 744 Shareholder servicing fees payable Class I -- -- 6 Overdraft of Foreign currency, at value+++ 62 -- -- Options written, at value++++ 58 -- -- Administration servicing fees payable Class I -- -- 6 Payable to custodian -- -- 92 Accrued expense payable 49 104 -- ----------------------------------------------------------------------------------------------------------------------------------- Total Liabilities 162,448 319,160 466,631 ----------------------------------------------------------------------------------------------------------------------------------- Net Assets $ 1,082,122 $ 2,378,065 $ 3,793,409 ----------------------------------------------------------------------------------------------------------------------------------- + Cost of investments and repurchase agreements 1,114,489 2,162,749 3,418,706 ++ Cost of affiliated investments 62,491 27,965 53,153 +++ Cost of foreign currency (61) -- -- ++++ Premiums received (71) -- -- +++++ Proceeds from securities sold short (110,307) -- -- * Includes market value of securities on loan -- 297,902 432,010 NET ASSETS: Paid-in-Capital (unlimited authorization -- no par value) $ 1,044,055 $ 2,329,737 $ 2,752,457 Undistributed net investment income (Accumulated net investment loss) 3,146 5,081 15,171 Accumulated net realized gain (loss) on investments securities sold short, option contracts, futures, credit default swaps and foreign currency (8,086) (446,072) 257,924 Net unrealized appreciation on investments, securities sold short and option contracts 38,209 488,774 766,680 Net unrealized appreciation on futures contracts 4,739 545 1,177 Net unrealized appreciation on swaps 61 -- -- Net unrealized depreciation on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies (2) -- -- ----------------------------------------------------------------------------------------------------------------------------------- Net Assets $ 1,082,122 $ 2,378,065 $ 3,793,409 ----------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Offering and Redemption Price Per Share -- Class A $ 10.38 $ 12.68 $ 23.54 ($1,082,101,040 / ($2,373,507,457 / ($3,762,101,302 / 104,214,564 shares) 187,205,437 shares) 159,794,523 shares) ----------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Offering and Redemption Price Per Share -- Class I $ 10.38 N/A $ 23.52 ($20,828 / ($31,307,443 / 2,006 shares) 1,330,825 shares) ----------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Offering and Redemption Price Per Share -- Class Y N/A $ 12.79 N/A ($4,557,740 / 356,285 shares) -----------------------------------------------------------------------------------------------------------------------------------
Amounts designated as "-" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 164 SEI Institutional Managed Trust / Annual Report / September 30, 2006
------------------------------------------------------------------------------------------------------------------------------------ LARGE CAP TAX-MANAGED SMALL SMALL GROWTH SMALL CAP CAP VALUE CAP GROWTH FUND FUND FUND FUND ------------------------------------------------------------------------------------------------------------------------------------ ASSETS: Investments at value+ $3,676,752* $386,079* $1,396,449* $1,419,327* Repurchase agreement++ 38,715 46,000 32,551 40,237 Affiliated investment, at value++ 50,022 17,661 46,758 32,333 Cash 1 -- 353 -- Foreign currency, at value+++ -- -- -- 55 Restricted cash held for securities sold short -- -- -- -- Receivable for investment securities sold 52,031 3,310 13,765 14,471 Receivable for fund shares sold 1,432 201 1,809 2,084 Dividends and interest receivable 1,866 289 1,551 640 Receivable for variation margin -- -- 1 -- Unrealized gain on swap contracts -- -- -- -- ------------------------------------------------------------------------------------------------------------------------------------ Total Assets 3,820,819 453,540 1,493,237 1,509,147 ------------------------------------------------------------------------------------------------------------------------------------ LIABILITIES: Payable upon return on securities loaned 355,074 134,731 298,544 369,037 Payable for securities sold short+++++ -- -- -- -- Payable for investment securities purchased 40,593 3,771 15,453 13,280 Payable for fund shares redeemed 7,126 213 3,427 2,364 Investment advisory fees payable 958 128 624 586 Payable for variation margin 38 105 231 165 Administration fees payable 975 89 337 321 Shareholder servicing fees payable Class A 363 62 91 82 Shareholder servicing fees payable Class I 5 -- 3 2 Overdraft of Foreign currency, at value+++ -- -- -- -- Options written, at value++++ -- -- -- -- Administration servicing fees payable Class I 5 -- 3 2 Payable to custodian -- 92 -- 18 Accrued expense payable 153 16 53 51 ------------------------------------------------------------------------------------------------------------------------------------ Total Liabilities 405,290 139,207 318,766 385,908 ------------------------------------------------------------------------------------------------------------------------------------ Net Assets $3,415,529 $314,333 $1,174,471 $1,123,239 ------------------------------------------------------------------------------------------------------------------------------------ + Cost of investments and repurchase agreements 3,271,272 387,427 1,265,746 1,415,862 ++ Cost of affiliated investments 50,022 17,661 46,758 32,333 +++ Cost of foreign currency -- -- -- 54 ++++ Premiums received -- -- -- -- +++++ Proceeds from securities sold short -- -- -- -- * Includes market value of securities on loan 343,450 126,837 284,278 352,968 NET ASSETS: Paid-in-Capital (unlimited authorization -- no par value) $4,352,237 $251,117 $ 913,952 $1,129,530 Undistributed net investment income (Accumulated net investment loss) 840 298 1,155 (11) Accumulated net realized gain (loss) on investments securities sold short, option contracts, futures, credit default swaps and foreign currency (1,382,518) 17,967 95,368 (50,515) Net unrealized appreciation on investments, securities sold short and option contracts 444,195 44,652 163,254 43,702 Net unrealized appreciation on futures contracts 775 299 742 533 Net unrealized appreciation on swaps -- -- -- -- Net unrealized depreciation on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies -- -- -- -- ------------------------------------------------------------------------------------------------------------------------------------ Net Assets $3,415,529 $314,333 $1,174,471 $1,123,239 ------------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Offering and Redemption Price Per Share -- Class A $ 19.95 $ 13.10 $ 21.28 $ 18.56 ($3,387,749,267 / ($314,333,197 / ($1,160,178,016 / ($1,111,328,666 / 169,782,462 shares) 24,000,004 shares) 54,507,844 shares) 59,865,332 shares) ------------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Offering and Redemption Price Per Share -- Class I $ 19.75 N/A $ 21.21 $ 18.32 ($27,779,371 / ($14,293,469 / ($11,909,930 / 1,406,765 shares) 673,982 shares) 650,123 shares) ------------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Offering and Redemption Price Per Share -- Class Y N/A N/A N/A N/A ------------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 165 Statements of Assets and Liabilities ($ Thousands) September 30, 2006
------------------------------------------------------------------------------------------------------------------------------ U.S. MANAGED GLOBAL MANAGED MID-CAP VOLATILITY VOLATILITY FUND FUND FUND ------------------------------------------------------------------------------------------------------------------------------ ASSETS: Investments at value+ $97,502* $273,105 $89,262 Repurchase agreement+ 1,204 -- -- Affiliated investment, at value++ 2,521 28,597 3,107 Cash -- 19 3,143 Foreign currency, at value+++ -- -- 216 Receivable for shareholder servicing fees -- -- -- Receivable for investment securities sold -- -- -- Receivable for fund shares sold 35 1,861 1,439 Dividends and interest receivable 122 393 163 Receivable for variation margin -- -- 9 Unrealized gain on swap contracts -- -- -- Unrealized gain on forward foreign currency contracts -- -- 270 ------------------------------------------------------------------------------------------------------------------------------ Total Assets 101,384 303,975 97,609 ------------------------------------------------------------------------------------------------------------------------------ LIABILITIES: Payable upon return on securities loaned 11,036 -- -- Payable for investment securities purchased -- -- 2,548 Payable for fund shares redeemed 53 158 20 Payable for variation margin 13 27 3 Administration fees payable 26 82 26 Investment advisory fees payable 29 126 32 Shareholder servicing fees payable Class A 14 46 18 Shareholder servicing fees payable Class I -- -- -- Overdraft of foreign currency, at value+++ -- -- -- Options written, at value++++ -- -- -- Administration servicing fees payable Class I -- -- -- Payable to custodian -- -- -- Income distribution payable -- -- -- Unrealized loss on foreign currency contracts -- -- 3 Unrealized loss on foreign spot currency contracts -- -- 2 Unrealized loss on swap contracts -- -- -- Accrued expense payable 5 13 6 ------------------------------------------------------------------------------------------------------------------------------ Total Liabilities 11,176 452 2,658 ------------------------------------------------------------------------------------------------------------------------------ Net Assets $90,208 $303,523 $94,951 ------------------------------------------------------------------------------------------------------------------------------ + Cost of investments and repurchase agreements 90,830 256,782 87,158 ++ Cost of affiliated investments 2,521 28,597 3,107 +++ Cost of foreign currency -- -- 217 ++++ Premiums received -- -- -- * Includes market value of securities on loan 10,618 -- -- NET ASSETS: Paid-in-Capital (unlimited authorization -- no par value) $76,653 $279,777 $91,787 Undistributed (Distributions in excess of) net investment income 128 662 578 Accumulated net realized gain (loss) on investments, option contracts, futures, credit default swaps and foreign currency 5,555 6,524 148 Net unrealized appreciation (depreciation) on investments and option contracts 7,876 16,323 2,104 Net unrealized appreciation (depreciation) on futures contracts (4) 237 69 Net unrealized appreciation (depreciation) on swaps -- -- -- Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies -- -- 265 ------------------------------------------------------------------------------------------------------------------------------ Net Assets $90,208 $303,523 $94,951 ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Offering and Redemption Price Per Share -- Class A $ 20.40 $ 12.02 $ 10.37 ($90,208,058 / ($303,523,095 / ($94,950,746 / 4,422,367 shares) 25,248,034 shares) 9,157,230 shares) ------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Offering and Redemption Price Per Share -- Class I N/A N/A N/A ------------------------------------------------------------------------------------------------------------------------------
Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 166 SEI Institutional Managed Trust / Annual Report / September 30, 2006
---------------------------------------------------------------------------------------------------------------------------------- REAL ESTATE ENHANCED CORE FIXED HIGH YIELD FUND INCOME FUND INCOME FUND BOND FUND ---------------------------------------------------------------------------------------------------------------------------------- ASSETS: Investments at value+ $168,483 $214,121 $5,584,067* $1,098,062* Repurchase agreement+ -- 20,100 353,968 9,437 Affiliated investment, at value++ 8,697 22,319 106,105 36,003 Cash -- 122 -- -- Foreign currency, at value+++ -- -- -- -- Receivable for shareholder servicing fees -- 45 -- -- Receivable for investment securities sold 378 -- 496,883 8,324 Receivable for fund shares sold 20,675 2,040 6,529 4,167 Dividends and interest receivable 581 1,329 32,355 18,993 Receivable for variation margin -- 28 142 -- Unrealized gain on swap contracts -- -- -- 967 Unrealized gain on forward foreign currency contracts -- 804 99 -- ---------------------------------------------------------------------------------------------------------------------------------- Total Assets 198,814 260,908 6,580,148 1,175,953 ---------------------------------------------------------------------------------------------------------------------------------- LIABILITIES: Payable upon return on securities loaned -- -- 729,763 86,544 Payable for investment securities purchased 4,553 24,338 1,494,348 17,810 Payable for fund shares redeemed 138 22 12,296 1,151 Payable for variation margin -- -- 217 -- Administration fees payable 48 63 981 302 Investment advisory fees payable 82 72 922 352 Shareholder servicing fees payable Class A 27 -- 151 31 Shareholder servicing fees payable Class I -- -- 2 -- Overdraft of foreign currency, at value+++ -- -- 196 -- Options written, at value++++ -- -- 1,479 -- Administration servicing fees payable Class I -- -- 2 -- Payable to custodian 1,285 -- 30,582 376 Income distribution payable -- -- 921 599 Unrealized loss on foreign currency contracts -- 398 529 -- Unrealized loss on foreign spot currency contracts -- -- -- -- Unrealized loss on swap contracts -- -- 104 -- Accrued expense payable 7 34 311 77 ---------------------------------------------------------------------------------------------------------------------------------- Total Liabilities 6,140 24,927 2,272,804 107,242 ---------------------------------------------------------------------------------------------------------------------------------- Net Assets $192,674 $235,981 $4,307,344 $1,068,711 ---------------------------------------------------------------------------------------------------------------------------------- + Cost of investments and repurchase agreements 130,982 233,879 5,912,539 1,111,923 ++ Cost of affiliated investments 8,697 22,319 106,105 36,003 +++ Cost of foreign currency -- -- (197) -- ++++ Premiums received -- -- (865) -- * Includes market value of securities on loan -- -- 700,716 81,130 NET ASSETS: Paid-in-Capital (unlimited authorization -- no par value) $146,617 $233,661 $4,354,333 $1,241,420 Undistributed (Distributions in excess of) net investment income 571 2,050 (448) 215 Accumulated net realized gain (loss) on investments, option contracts, futures, credit default swaps and foreign currency 7,985 (263) (71,981) (169,467) Net unrealized appreciation (depreciation) on investments and option contracts 37,501 342 24,882 (4,424) Net unrealized appreciation (depreciation) on futures contracts -- (215) 1,086 -- Net unrealized appreciation (depreciation) on swaps -- -- (104) 967 Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies -- 406 (424) -- ---------------------------------------------------------------------------------------------------------------------------------- Net Assets $192,674 $235,981 $4,307,344 $1,068,711 ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Offering and Redemption Price Per Share -- Class A $ 18.43 $ 10.11 $ 10.29 $ 8.38 ($192,673,928 / ($235,981,449 / ($4,293,308,971 / ($1,068,710,650 / 10,453,595 shares) 23,338,508 shares) 417,222,101 shares) 127,477,429 shares) ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Offering and Redemption Price Per Share -- Class I N/A N/A $ 10.29 N/A ($14,034,550 / 1,364,431 shares) ----------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 167 Statements of Operations ($ Thousands) For the year or period ended September 30, 2006
--------------------------------------------------------------------------------------------------------------- LARGE CAP TAX-MANAGED LARGE CAP DIVERSIFIED ALPHA LARGE CAP VALUE FUND(1) FUND FUND --------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME: Dividends $ 9,218 $ 38,410 $ 93,837 Dividends from Affiliated Registered Investment Company* 2,148 1,408 3,088 Interest Income 5,692 184 172 Income from Securities Lending -- 306 482 Less: Foreign Taxes Withheld (12) (27) (72) --------------------------------------------------------------------------------------------------------------- Total Investment Income 17,046 40,281 97,507 --------------------------------------------------------------------------------------------------------------- EXPENSES: Investment Advisory Fees 2,987 9,115 13,486 Administration Fees 2,613 7,965 13,486 Shareholder Servicing Fees Class A 1,867 5,684 9,564 Shareholder Servicing Fees Class I -- -- 69 Shareholder Servicing Fees Class Y -- 7 -- Administration Servicing Fees Class I -- -- 69 Trustees' Fees 8 28 51 Dividend Expense 653 -- -- Interest Expense on Securities Sold Short 428 -- -- Printing Fees 52 115 160 Custodian/Wire Agent Fees 49 140 194 Professional Fees 36 96 107 Registration Fees 7 24 78 Other Expenses 2 48 81 --------------------------------------------------------------------------------------------------------------- Total Expenses 8,702 23,222 37,345 --------------------------------------------------------------------------------------------------------------- Less: Waiver of Investment Advisory Fees (101) (2,185) (2,702) Waiver of Shareholder Servicing Fees Class A (425) (1,315) (1,063) Waiver of Shareholder Servicing Fees Class I -- -- (9) Waiver of Shareholder Servicing Fees Class Y -- (3) -- Fees Paid Indirectly -- (138) (365) --------------------------------------------------------------------------------------------------------------- Net Expenses 8,176 19,581 33,206 --------------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME (LOSS) 8,870 20,700 64,301 --------------------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: NET REALIZED GAIN (LOSS) ON: Investments (8,455) 60,075 331,552 Securities Sold Short 149 -- -- Futures Contracts 443 169 11,391 Written Options (16) -- -- Swap Contracts 521 -- -- Foreign Currency Transactions (1) -- -- NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: Investments 34,620 105,293 77,594 Securities Sold Short 3,576 -- -- Futures Contracts 4,739 663 1,309 Written Options 13 -- -- Swap Contracts 61 -- -- Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency (2) -- -- --------------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM OPERATIONS $44,518 $186,900 $486,147 ---------------------------------------------------------------------------------------------------------------
Amounts designated as "--" are $0 or have been rounded to $0. * See Note 3 in Notes to Financial Statements. (1) The Large Cap Diversified Alpha Fund commenced operations on December 14, 2005. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 168 SEI Institutional Managed Trust / Annual Report / September 30, 2006
------------------------------------------------------------------------------------------------------------------ LARGE CAP TAX-MANAGED SMALL SMALL GROWTH SMALL CAP CAP VALUE CAP GROWTH FUND FUND FUND FUND ------------------------------------------------------------------------------------------------------------------ INVESTMENT INCOME: Dividends $ 34,565 $ 2,581 $ 13,603 $ 4,932 Dividends from Affiliated Registered Investment Company* 2,736 739 1,385 1,628 Interest Income 362 23 137 177 Income from Securities Lending 438 201 717 1,339 Less: Foreign Taxes Withheld (19) (3) (9) (58) ------------------------------------------------------------------------------------------------------------------ Total Investment Income 38,082 3,541 15,833 8,018 ------------------------------------------------------------------------------------------------------------------ EXPENSES: Investment Advisory Fees 14,683 1,917 7,267 7,323 Administration Fees 12,847 1,032 3,913 3,943 Shareholder Servicing Fees Class A 9,109 737 2,761 2,787 Shareholder Servicing Fees Class I 68 -- 34 30 Shareholder Servicing Fees Class Y -- -- -- -- Administration Servicing Fees Class I 68 -- 34 30 Trustees' Fees 49 4 14 14 Dividend Expense -- -- -- -- Interest Expense on Securities Sold Short -- -- -- -- Printing Fees 185 15 56 56 Custodian/Wire Agent Fees 244 18 69 78 Professional Fees 156 12 47 47 Registration Fees 47 1 12 11 Other Expenses 86 13 25 23 ------------------------------------------------------------------------------------------------------------------ Total Expenses 37,542 3,749 14,232 14,342 ------------------------------------------------------------------------------------------------------------------ Less: Waiver of Investment Advisory Fees (2,094) (371) (7) (126) Waiver of Shareholder Servicing Fees Class A (3,511) (3) (1,496) (1,475) Waiver of Shareholder Servicing Fees Class I (27) -- (18) (16) Waiver of Shareholder Servicing Fees Class Y -- -- -- -- Fees Paid Indirectly (289) (101) (267) (190) ------------------------------------------------------------------------------------------------------------------ Net Expenses 31,621 3,274 12,444 12,535 ------------------------------------------------------------------------------------------------------------------ NET INVESTMENT INCOME (LOSS) 6,461 267 3,389 (4,517) ------------------------------------------------------------------------------------------------------------------ NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: NET REALIZED GAIN (LOSS) ON: Investments 124,751 22,077 125,184 59,251 Securities Sold Short -- -- -- -- Futures Contracts 4,934 (67) (25) (807) Written Options -- -- -- -- Swap Contracts -- -- -- -- Foreign Currency Transactions -- -- (16) (12) NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: Investments 27,167 (7,494) (20,513) (16,185) Securities Sold Short -- -- -- -- Futures Contracts 863 297 878 654 Written Options -- -- -- -- Swap Contracts -- -- -- -- Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency -- -- -- -- ------------------------------------------------------------------------------------------------------------------ NET INCREASE IN NET ASSETS FROM OPERATIONS $164,176 $15,080 $108,897 $ 38,384 ------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 169 Statements of Operations ($ Thousands) For the year or period ended September 30, 2006
------------------------------------------------------------------------------------------------------------ U.S. MANAGED GLOBAL MANAGED MID-CAP VOLATILITY VOLATILITY FUND FUND FUND(1) ------------------------------------------------------------------------------------------------------------ INVESTMENT INCOME: Dividends $ 1,442 $ 3,887 $ 340 Dividends from Affiliated Registered Investment Company* 129 624 22 Interest Income 7 30 3 Income from Securities Lending 24 -- -- Less: Foreign Taxes Withheld -- (34) (18) ------------------------------------------------------------------------------------------------------------ Total Investment Income 1,602 4,507 347 ------------------------------------------------------------------------------------------------------------ EXPENSES: Investment Advisory Fees 382 1,453 97 Administration Fees 334 782 52 Shareholder Servicing Fees Class A 239 559 37 Shareholder Servicing Fees Class I -- -- -- Administration Servicing Fees Class I -- -- -- Trustees' Fees 1 2 -- Custodian/Wire Agent Fees 14 12 2 Printing Fees 5 12 2 Professional Fees 4 9 2 Registration Fees 1 1 1 Other Expenses 1 4 2 ------------------------------------------------------------------------------------------------------------ Total Expenses 981 2,834 195 ------------------------------------------------------------------------------------------------------------ Less: Waiver of Investment Advisory Fees (1) (246) (29) Waiver of Shareholder Servicing Fees Class A (16) (107) (1) Waiver of Shareholder Servicing Fees Class I -- -- -- Fees Paid Indirectly -- -- -- Payment by Affiliate* -- -- -- ------------------------------------------------------------------------------------------------------------ Net Expenses 964 2,481 165 ------------------------------------------------------------------------------------------------------------ NET INVESTMENT INCOME 638 2,026 182 ------------------------------------------------------------------------------------------------------------ NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: NET REALIZED GAIN (LOSS) ON: Investments 8,938 7,894 151 Payment by Affiliate* -- -- -- Futures Contracts 256 646 13 Written Options -- -- -- Swap Contracts -- -- -- Foreign Currency Transactions -- -- 380 NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: Investments (2,117) 7,854 2,104 Futures Contracts (16) 206 69 Written Options -- -- -- Swap Contracts -- -- -- Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency -- -- 265 ------------------------------------------------------------------------------------------------------------ NET INCREASE IN NET ASSETS FROM OPERATIONS $ 7,699 $18,626 $3,164 ------------------------------------------------------------------------------------------------------------
Amounts designated as "--" are $0 or have been rounded to $0. * See Note 3 in Notes to Financial Statements. (1) The Global Managed Volatility and Enhanced Income Funds commenced operations on July 27, 2006. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 170 SEI Institutional Managed Trust / Annual Report / September 30, 2006
------------------------------------------------------------------------------------------------------------------------- REAL ESTATE ENHANCED CORE FIXED HIGH YIELD FUND INCOME FUND(1) INCOME FUND BOND FUND ------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME: Dividends $ 3,064 $ -- $ -- $ 5,454 Dividends from Affiliated Registered Investment Company* 234 170 2,255 1,527 Interest Income -- 2,110 215,040 91,185 Income from Securities Lending 14 -- 1,368 713 Less: Foreign Taxes Withheld (1) -- (46) -- ------------------------------------------------------------------------------------------------------------------------- Total Investment Income 3,311 2,280 218,617 98,879 ------------------------------------------------------------------------------------------------------------------------- EXPENSES: Investment Advisory Fees 860 148 11,435 5,633 Administration Fees 463 130 11,643 4,044 Shareholder Servicing Fees Class A 331 93 10,364 2,889 Shareholder Servicing Fees Class I -- -- 31 -- Administration Servicing Fees Class I -- -- 31 -- Trustees' Fees 1 1 52 17 Custodian/Wire Agent Fees 6 2 282 83 Printing Fees 7 5 208 64 Professional Fees 5 4 177 52 Registration Fees 1 1 44 15 Other Expenses 1 23 548 147 ------------------------------------------------------------------------------------------------------------------------- Total Expenses 1,675 407 34,815 12,944 ------------------------------------------------------------------------------------------------------------------------- Less: Waiver of Investment Advisory Fees (59) -- (517) (880) Waiver of Shareholder Servicing Fees Class A (128) (184) (7,639) (2,128) Waiver of Shareholder Servicing Fees Class I -- -- (23) -- Fees Paid Indirectly (19) -- -- -- Payment by Affiliate* -- -- (239) -- ------------------------------------------------------------------------------------------------------------------------- Net Expenses 1,469 223 26,397 9,936 ------------------------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME 1,842 2,057 192,220 88,943 ------------------------------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: NET REALIZED GAIN (LOSS) ON: Investments 10,236 129 (57,259) (33,205) Payment by Affiliate* -- -- -- 3 Futures Contracts -- (399) (7,584) (1,345) Written Options -- -- 1,386 -- Swap Contracts -- -- (979) (705) Foreign Currency Transactions (11) -- (1,028) -- NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: Investments 23,191 342 25,251 13,043 Futures Contracts -- (215) (411) 181 Written Options -- -- (602) -- Swap Contracts -- -- 132 967 Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency -- 406 (434) -- ------------------------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM OPERATIONS $35,258 $2,320 $150,692 $ 67,882 -------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 171 Statements of Changes in Net Assets ($ Thousands) For the years or period ended September 30,
-------------------------------------------------------------------------------------------------------------------------- LARGE CAP DIVERSIFIED TAX-MANAGED LARGE CAP ALPHA FUND(4) LARGE CAP FUND VALUE FUND -------------------------------------------------------------------------------------------------------------------------- 2006 2006 2005 2006 2005 -------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income (Loss) $ 8,870 $ 20,700 $ 22,722 $ 64,301 $ 69,593 Net Realized Gain (Loss) from Investments, Securities Sold Short, Futures Contracts, Written Options and Swap Contracts (7,358) 60,244 95,780 342,943 272,404(2) Net Realized Loss on Foreign Currency Transactions (1) -- -- -- -- Net Change in Unrealized Appreciation (Depreciation) on Investments, Securities Sold Short, Futures Contracts, Written Options and Swap Contracts 43,009 105,956 160,927 78,903 283,473 Net Change in Unrealized Depreciation on Foreign Currencies and Translation of Other Assets and Liabilities Denominated in Foreign Currency (2) -- -- -- -- Payment by Affiliate* -- -- -- -- -- -------------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets from Operations 44,518 186,900 279,429 486,147 625,470 -------------------------------------------------------------------------------------------------------------------------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (5,836) (19,618) (22,704) (64,544) (68,972) Class I -- -- -- (381) (308) Class Y -- (46) (58) -- -- Net Realized Gains: Class A -- -- -- (246,892) (23,633) Class I -- -- -- (1,453) (119) -------------------------------------------------------------------------------------------------------------------------- Total Dividends and Distributions (5,836) (19,664) (22,762) (313,270) (93,032) -------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS(1): Class A: Proceeds from Shares Issued 1,157,412 412,756 380,056 590,885 713,922 Reinvestment of Dividends & Distributions 5,833 18,614 21,568 295,797 87,568 Cost of Shares Redeemed (119,826) (397,596) (462,655) (1,526,556) (1,253,909)(3) -------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Class A Transactions 1,043,419 33,774 (61,031) (639,874) (452,419) -------------------------------------------------------------------------------------------------------------------------- Class I: Proceeds from Shares Issued 21 -- -- 10,321 5,971 Reinvestment of Dividends & Distributions -- -- -- 1,775 415 Cost of Shares Redeemed -- -- -- (7,142) (4,608) -------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Class I Transactions 21 -- -- 4,954 1,778 -------------------------------------------------------------------------------------------------------------------------- Class Y: Proceeds from Shares Issued -- 161 7 -- -- Reinvestment of Dividends & Distributions -- 46 58 -- -- Cost of Shares Redeemed -- (1,104) (541) -- -- -------------------------------------------------------------------------------------------------------------------------- Decrease in Net Assets Derived from Class Y Transactions -- (897) (476) -- -- -------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Capital Share Transactions 1,043,440 32,877 (61,507) (634,920) (450,641) -------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets 1,082,122 200,113 195,160 (462,043) 81,797 -------------------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF YEAR/PERIOD -- 2,177,952 1,982,792 4,255,452 4,173,655 -------------------------------------------------------------------------------------------------------------------------- END OF YEAR/PERIOD $1,082,122 $2,378,065 $2,177,952 $ 3,793,409 $ 4,255,452 -------------------------------------------------------------------------------------------------------------------------- UNDISTRIBUTED NET INVESTMENT INCOME/ (ACCUMULATED NET INVESTMENT LOSS) INCLUDED IN NET ASSETS AT PERIOD END $ 3,146 $ 5,081 $ 4,006 $ 15,171 $ 15,715 --------------------------------------------------------------------------------------------------------------------------
* See Note 3 in Notes to Financial Statements. (1) See Note 4 in Notes to Financial Statements for additional information. (2) Includes realized gain of $306,542 due to in-kind redemption (see Note 9). (3) Includes redemptions as a result of in-kind transaction of securities (see Note 9). (4) The Large Cap Diversified Alpha Fund commenced operations on December 14, 2005. Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 172 SEI Institutional Managed Trust / Annual Report / September 30, 2006
------------------------------------------------------------------------------------------------------------------------------ LARGE CAP TAX-MANAGED GROWTH FUND SMALL CAP FUND ------------------------------------------------------------------------------------------------------------------------------ 2006 2005 2006 2005 ------------------------------------------------------------------------------------------------------------------------------ OPERATIONS: Net Investment Income (Loss) $ 6,461 $ 18,547 $ 267 $ (416) Net Realized Gain (Loss) from Investments, Securities Sold Short, Futures Contracts, Written Options and Swap Contracts 129,685 159,985 22,010 17,111 Net Realized Loss on Foreign Currency Transactions -- -- -- -- Net Change in Unrealized Appreciation (Depreciation) on Investments, Securities Sold Short, Futures Contracts, Written Options and Swap Contracts 28,030 297,342 (7,197) 28,494 Net Change in Unrealized Depreciation on Foreign Currencies and Translation of Other Assets and Liabilities Denominated in Foreign Currency -- -- -- -- Payment by Affiliate* -- 2 -- -- ------------------------------------------------------------------------------------------------------------------------------ Net Increase in Net Assets from Operations 164,176 475,876 15,080 45,189 ------------------------------------------------------------------------------------------------------------------------------ DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (6,263) (17,804) -- -- Class I -- (111) -- -- Class Y -- -- -- -- Net Realized Gains: Class A -- -- (15,044) (15,584) Class I -- -- -- -- ------------------------------------------------------------------------------------------------------------------------------ Total Dividends and Distributions (6,263) (17,915) (15,044) (15,584) ------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS(1): Class A: Proceeds from Shares Issued 645,544 678,539 79,945 58,769 Reinvestment of Dividends & Distributions 5,960 16,943 14,133 14,572 Cost of Shares Redeemed (1,425,125) (992,030) (49,300) (48,286) ------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets Derived from Class A Transactions (773,621) (296,548) 44,778 25,055 ------------------------------------------------------------------------------------------------------------------------------ Class I: Proceeds from Shares Issued 7,533 5,995 -- -- Reinvestment of Dividends & Distributions -- 109 -- -- Cost of Shares Redeemed (10,332) (8,152) -- -- ------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets Derived from Class I Transactions (2,799) (2,048) -- -- ------------------------------------------------------------------------------------------------------------------------------ Class Y: Proceeds from Shares Issued -- -- -- -- Reinvestment of Dividends & Distributions -- -- -- -- Cost of Shares Redeemed -- -- -- -- ------------------------------------------------------------------------------------------------------------------------------ Decrease in Net Assets Derived from Class Y Transactions -- -- -- -- ------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets Derived from Capital Share Transactions (776,420) (298,596) 44,778 25,055 ------------------------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Net Assets (618,507) 159,365 44,814 54,660 ------------------------------------------------------------------------------------------------------------------------------ NET ASSETS: BEGINNING OF YEAR/PERIOD 4,034,036 3,874,671 269,519 214,859 ------------------------------------------------------------------------------------------------------------------------------ END OF YEAR/PERIOD $ 3,415,529 $ 4,034,036 $314,333 $269,519 ------------------------------------------------------------------------------------------------------------------------------ UNDISTRIBUTED NET INVESTMENT INCOME/ (ACCUMULATED NET INVESTMENT LOSS) INCLUDED IN NET ASSETS AT PERIOD END $ 840 $ 632 $ 298 $ -- ------------------------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------------------------------ SMALL CAP SMALL CAP VALUE FUND GROWTH FUND ------------------------------------------------------------------------------------------------------------------------------ 2006 2005 2006 2005 ------------------------------------------------------------------------------------------------------------------------------ OPERATIONS: Net Investment Income (Loss) $ 3,389 $ 2,739 $ (4,517) $ (6,167) Net Realized Gain (Loss) from Investments, Securities Sold Short, Futures Contracts, Written Options and Swap Contracts 125,159 120,394 58,444 103,912 Net Realized Loss on Foreign Currency Transactions (16) -- (12) (112) Net Change in Unrealized Appreciation (Depreciation) on Investments, Securities Sold Short, Futures Contracts, Written Options and Swap Contracts (19,635) 72,742 (15,531) 74,132 Net Change in Unrealized Depreciation on Foreign Currencies and Translation of Other Assets and Liabilities Denominated in Foreign Currency -- -- -- -- Payment by Affiliate* -- -- -- -- ------------------------------------------------------------------------------------------------------------------------------ Net Increase in Net Assets from Operations 108,897 195,875 38,384 171,765 ------------------------------------------------------------------------------------------------------------------------------ DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (3,393) (2,588) -- -- Class I (17) (9) -- -- Class Y -- -- -- -- Net Realized Gains: Class A (110,921) (145,253) -- -- Class I (1,326) (1,314) -- -- ------------------------------------------------------------------------------------------------------------------------------ Total Dividends and Distributions (115,657) (149,164) -- -- ------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS(1): Class A: Proceeds from Shares Issued 294,921 249,447 383,822 281,272 Reinvestment of Dividends & Distributions 109,275 140,124 -- -- Cost of Shares Redeemed (303,550) (311,616) (368,970) (363,804) ------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets Derived from Class A Transactions 100,646 77,955 14,852 (82,532) ------------------------------------------------------------------------------------------------------------------------------ Class I: Proceeds from Shares Issued 5,461 6,593 4,279 5,104 Reinvestment of Dividends & Distributions 1,325 1,308 -- -- Cost of Shares Redeemed (5,103) (3,102) (3,766) (4,136) ------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets Derived from Class I Transactions 1,683 4,799 513 968 ------------------------------------------------------------------------------------------------------------------------------ Class Y: Proceeds from Shares Issued -- -- -- -- Reinvestment of Dividends & Distributions -- -- -- -- Cost of Shares Redeemed -- -- -- -- ------------------------------------------------------------------------------------------------------------------------------ Decrease in Net Assets Derived from Class Y Transactions -- -- -- -- ------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets Derived from Capital Share Transactions 102,329 82,754 15,365 (81,564) ------------------------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Net Assets 95,569 129,465 53,749 90,201 ------------------------------------------------------------------------------------------------------------------------------ NET ASSETS: BEGINNING OF YEAR/PERIOD 1,078,902 949,437 1,069,490 979,289 ------------------------------------------------------------------------------------------------------------------------------ END OF YEAR/PERIOD $1,174,471 $1,078,902 $1,123,239 $1,069,490 ------------------------------------------------------------------------------------------------------------------------------ UNDISTRIBUTED NET INVESTMENT INCOME/(ACCUMULATED NET INVESTMENT LOSS) INCLUDED IN NET ASSETS AT PERIOD END $ 1,155 $ 654 $ (11) $ (113) ------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 173 Statements of Changes in Net Assets ($ Thousands) For the years or period ended September 30,
----------------------------------------------------------------------------------------------------------------------------------- U.S. MANAGED GLOBAL MANAGED MID-CAP FUND VOLATILITY FUND(2) VOLATILITY FUND(4) ----------------------------------------------------------------------------------------------------------------------------------- 2006 2005 2006 2005 2006 ----------------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income $ 638 $ 176 $ 2,026 $ 909 $ 182 Net Realized Gain (Loss) on Investments, Options, Written Options, Futures Contracts and Swap Contracts 9,194 8,565 8,540 2,303 164 Net Realized Gain (Loss) on Foreign Currency Transactions -- -- -- -- 380 Net Change in Unrealized Appreciation (Depreciation) on Investments, Options, Written Options, Futures Contracts and Swap Contracts (2,133) 4,995 8,060 8,500 2,173 Net Change in Unrealized Appreciation (Depreciation) on Foreign Currencies and Translation of Other Assets and Liabilities Denominated in Foreign Currency -- -- -- -- 265 Payment by Affiliate* -- -- -- -- -- ----------------------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets from Operations 7,699 13,736 18,626 11,712 3,164 ----------------------------------------------------------------------------------------------------------------------------------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (598) (174) (1,689) (631) -- Class I -- -- -- -- -- Class Y -- -- -- -- -- Net Realized Gains: Class A (6,634) (5,707) (2,511) (10) -- Class I -- -- -- -- -- ----------------------------------------------------------------------------------------------------------------------------------- Total Dividends and Distributions (7,232) (5,881) (4,200) (641) -- ----------------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS(1): Class A: Proceeds from Shares Issued 79,066 51,196 203,861 164,307(3) 97,370 Reinvestment of Dividends & Distributions 6,635 5,126 4,138 634 -- Cost of Shares Redeemed (67,122) (46,657) (78,949) (15,965) (5,583) ----------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Class A Transactions 18,579 9,665 129,050 148,976 91,787 ----------------------------------------------------------------------------------------------------------------------------------- Class I: Proceeds from Shares Issued -- -- -- -- -- Reinvestment of Dividends & Distributions -- -- -- -- -- Cost of Shares Redeemed -- -- -- -- -- ----------------------------------------------------------------------------------------------------------------------------------- Increase in Net Assets Derived from Class I Transactions -- -- -- -- -- ----------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Capital Share Transactions 18,579 9,665 129,050 148,976 91,787 ----------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets 19,046 17,520 143,476 160,047 94,951 ----------------------------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF YEAR/PERIOD 71,162 53,642 160,047 -- -- ----------------------------------------------------------------------------------------------------------------------------------- END OF YEAR/PERIOD $ 90,208 $ 71,162 $303,523 $160,047 $94,951 ----------------------------------------------------------------------------------------------------------------------------------- UNDISTRIBUTED NET INVESTMENT INCOME/ (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME) INCLUDED IN NET ASSETS AT PERIOD END $ 128 $ 60 $ 662 $ 307 $ 578 -----------------------------------------------------------------------------------------------------------------------------------
* See Note 3 in Notes to Financial Statements. (1) See Note 4 in the Notes to Financial Statements for additional information. (2) The U.S. Managed Volatility Fund commenced operations on October 28, 2004. (3) Includes subscriptions as a result of in-kind transfers of securities (see Note 9). (4) The Global Managed Volatility and Enhanced Income Funds commenced operations on July 27, 2006. Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 174 SEI Institutional Managed Trust / Annual Report / September 30, 2006
------------------------------------------------------------------------------------------------------ REAL ESTATE ENHANCED FUND INCOME FUND(4) ------------------------------------------------------------------------------------------------------ 2006 2005 2006 ------------------------------------------------------------------------------------------------------ OPERATIONS: Net Investment Income $ 1,842 $ 1,299 $ 2,057 Net Realized Gain (Loss) on Investments, Options, Written Options, Futures Contracts and Swap Contracts 10,236 3,078 (270) Net Realized Gain (Loss) on Foreign Currency Transactions (11) -- -- Net Change in Unrealized Appreciation (Depreciation) on Investments, Options, Written Options, Futures Contracts and Swap Contracts 23,191 11,944 127 Net Change in Unrealized Appreciation (Depreciation) on Foreign Currencies and Translation of Other Assets and Liabilities Denominated in Foreign Currency -- -- 406 Payment by Affiliate* -- -- -- ------------------------------------------------------------------------------------------------------ Net Increase in Net Assets from Operations 35,258 16,321 2,320 ------------------------------------------------------------------------------------------------------ DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (2,763) (1,134) -- Class I -- -- -- Class Y -- -- -- Net Realized Gains: Class A (3,510) (1,045) -- Class I -- -- -- ------------------------------------------------------------------------------------------------------ Total Dividends and Distributions (6,273) (2,179) -- ------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS(1): Class A: Proceeds from Shares Issued 133,772 68,657 249,264 Reinvestment of Dividends & Distributions 6,040 2,109 -- Cost of Shares Redeemed (72,528) (23,511) (15,603) ------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets Derived from Class A Transactions 67,284 47,255 233,661 ------------------------------------------------------------------------------------------------------ Class I: Proceeds from Shares Issued -- -- -- Reinvestment of Dividends & Distributions -- -- -- Cost of Shares Redeemed -- -- -- ------------------------------------------------------------------------------------------------------ Increase in Net Assets Derived from Class I Transactions -- -- -- ------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets Derived from Capital Share Transactions 67,284 47,255 233,661 ------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Net Assets 96,269 61,397 235,981 ------------------------------------------------------------------------------------------------------ NET ASSETS: BEGINNING OF YEAR/PERIOD 96,405 35,008 -- ------------------------------------------------------------------------------------------------------ END OF YEAR/PERIOD $192,674 $ 96,405 $235,981 ------------------------------------------------------------------------------------------------------ UNDISTRIBUTED NET INVESTMENT INCOME/ (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME) INCLUDED IN NET ASSETS AT PERIOD END $ 571 $ 484 $ 2,050 ------------------------------------------------------------------------------------------------------ --------------------------------------------------------------------------------------------------------------------- CORE FIXED HIGH YIELD INCOME FUND BOND FUND --------------------------------------------------------------------------------------------------------------------- 2006 2005 2006 2005 --------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income $ 192,220 $ 156,497 $ 88,943 $ 100,497 Net Realized Gain (Loss) on Investments, Options, Written Options, Futures Contracts and Swap Contracts (64,436) 24,010 (35,255) 6,127 Net Realized Gain (Loss) on Foreign Currency Transactions (1,028) 469 -- -- Net Change in Unrealized Appreciation (Depreciation) on Investments, Options, Written Options, Futures Contracts and Swap Contracts 24,370 (68,716) 14,191 (21,064) Net Change in Unrealized Appreciation (Depreciation) on Foreign Currencies and Translation of Other Assets and Liabilities Denominated in Foreign Currency (434) 10 -- -- Payment by Affiliate* -- 3 -- --------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets from Operations 150,692 112,270 67,882 85,560 --------------------------------------------------------------------------------------------------------------------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (193,342) (159,782) (89,029) (100,331) Class I (551) (423) -- -- Class Y -- -- -- -- Net Realized Gains: Class A (13,424) (35,292) -- -- Class I (40) (93) -- -- --------------------------------------------------------------------------------------------------------------------- Total Dividends and Distributions (207,357) (195,590) (89,029) (100,331) --------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS(1): Class A: Proceeds from Shares Issued 1,114,502 921,351 483,558 717,406 Reinvestment of Dividends & Distributions 194,414 182,677 81,500 94,053 Cost of Shares Redeemed (1,053,127) (994,004) (1,075,121) (394,321) --------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Class A Transactions 255,789 110,024 (510,063) 417,138 --------------------------------------------------------------------------------------------------------------------- Class I: Proceeds from Shares Issued 6,246 5,179 -- -- Reinvestment of Dividends & Distributions 589 509 -- -- Cost of Shares Redeemed (5,605) (2,887) -- -- --------------------------------------------------------------------------------------------------------------------- Increase in Net Assets Derived from Class I Transactions 1,230 2,801 -- -- --------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Capital Share Transactions 257,019 112,825 (510,063) 417,138 --------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets 200,354 29,505 (531,210) 402,367 --------------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF YEAR/PERIOD 4,106,990 4,077,485 1,599,921 1,197,554 --------------------------------------------------------------------------------------------------------------------- END OF YEAR/PERIOD $ 4,307,344 $ 4,106,990 $ 1,068,711 $1,599,921 --------------------------------------------------------------------------------------------------------------------- UNDISTRIBUTED NET INVESTMENT INCOME/ (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME) INCLUDED IN NET ASSETS AT PERIOD END $ (448) $ 1,066 $ 215 $ 90 ---------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 175 Financial Highlights For the years or periods ended September 30, For a Share Outstanding Throughout the Periods --------------------------------------------------------------------------------
Net Realized and Distributions Total Net Asset Net Unrealized Dividends from Dividends, Value, Investment Gains from Net Realized Distributions Beginning Income (Losses) on Total from Investment Capital Return and Return of Period (Loss) Securities Operations Income Gains of Capital of Capital ------------------------------------------------------------------------------------------------------------------------------- LARGE CAP DIVERSIFIED ALPHA FUND Class A 2006(2) $10.00 $ 0.10(1) $ 0.34(1) $ 0.44 $(0.06) $ -- $ -- $(0.06) Class I 2006(3) $10.28 $ 0.01(1) $ 0.09(1) $ 0.10 $ -- $ -- $ -- $ -- TAX-MANAGED LARGE CAP FUND Class A 2006 $11.78 $ 0.11(1) $ 0.90(1) $ 1.01 $(0.11) $ -- $ -- $(0.11) 2005 10.41 0.12(1) 1.37(1) 1.49 (0.12) -- -- (0.12) 2004 9.20 0.08(1) 1.21(1) 1.29 (0.08) -- -- (0.08) 2003 7.50 0.08(1) 1.70(1) 1.78 (0.08) -- -- (0.08) 2002 9.49 0.06 (1.98) (1.92) (0.07) -- -- (0.07) Class Y 2006 $11.86 $ 0.15(1) $ 0.89(1) $ 1.04 $(0.11) $ -- $ -- $(0.11) 2005 10.45 0.16(1) 1.38(1) 1.54 (0.13) -- -- (0.13) 2004 9.21 0.12(1) 1.20(1) 1.32 (0.08) -- -- (0.08) 2003 7.50 0.10(1) 1.71(1) 1.81 (0.10) -- -- (0.10) 2002(4) 10.45 0.05 (2.98) (2.93) (0.02) -- -- (0.02) LARGE CAP VALUE FUND Class A 2006 $22.45 $ 0.37(1) $ 2.41(1) $ 2.78 $(0.37) $(1.32) $ -- $(1.69) 2005 19.80 0.35(1) 2.76(1) 3.11 (0.34) (0.12) -- (0.46) 2004 16.81 0.30(1) 2.99(1) 3.29 (0.30) -- -- (0.30) 2003 13.94 0.25(1) 2.86(1) 3.11 (0.24) -- -- (0.24) 2002 17.39 0.21 (3.26) (3.05) (0.21) (0.19) -- (0.40) Class I 2006 $22.43 $ 0.31(1) $ 2.42(1) $ 2.73 $(0.32) $(1.32) $ -- $(1.64) 2005 19.78 0.29(1) 2.77(1) 3.06 (0.29) (0.12) -- (0.41) 2004 16.80 0.25(1) 2.98(1) 3.23 (0.25) -- -- (0.25) 2003 13.94 0.21(1) 2.86(1) 3.07 (0.21) -- -- (0.21) 2002 17.39 0.19 (3.28) (3.09) (0.17) (0.19) -- (0.36) LARGE CAP GROWTH FUND Class A 2006 $19.23 $ 0.04(1) $ 0.71(1) $ 0.75 $(0.03) $ -- $ -- $(0.03) 2005 17.13 0.09(1) 2.09(1) 2.18 (0.08) -- -- (0.08) 2004 15.77 (0.01)(1) 1.37(1) 1.36 -- -- -- -- 2003 12.97 --(1) 2.81(1) 2.81 -- -- (0.01) (0.01) 2002 16.73 (0.04)(1) (3.72)(1) (3.76) -- -- -- -- Class I 2006 $19.04 $(0.01)(1) $ 0.72(1) $ 0.71 $ -- $ -- $ -- $ -- 2005 17.00 0.04(1) 2.07(1) 2.11 (0.07) -- -- (0.07) 2004 15.68 (0.05)(1) 1.37(1) 1.32 -- -- -- -- 2003 12.92 (0.03)(1) 2.79(1) 2.76 --* -- -- --* 2002 16.72 (0.07)(1) (3.73)(1) (3.80) -- -- -- -- TAX-MANAGED SMALL CAP FUND Class A 2006 $13.13 $ 0.01(1) $ 0.68(1) $ 0.69 $ -- $(0.72) $ -- $(0.72) 2005 11.63 (0.02)(1) 2.36(1) 2.34 -- (0.84) -- (0.84) 2004 10.00 (0.04)(1) 1.67(1) 1.63 -- -- -- -- 2003 7.54 (0.02)(1) 2.48(1) 2.46 -- -- -- -- 2002 8.15 (0.01) (0.60) (0.61) -- -- -- -- SMALL CAP VALUE FUND Class A 2006 $21.58 $ 0.05(1) $ 1.97(1) $ 2.02 $(0.06) $(2.26) $ -- $(2.32) 2005 20.74 0.06(1) 4.02(1) 4.08 (0.05) (3.19) -- (3.24) 2004 17.45 0.03(1) 4.32(1) 4.35 (0.06) (1.00) -- (1.06) 2003 13.99 0.08(1) 3.91(1) 3.99 (0.09) (0.44) -- (0.53) 2002 15.66 0.08 (0.21) (0.13) (0.09) (1.45) -- (1.54) Class I 2006 $21.52 $ --(1) $ 1.98(1) $ 1.98 $(0.03) $(2.26) $ -- $(2.29) 2005 20.71 (0.01)(1) 4.03(1) 4.02 (0.02) (3.19) -- (3.21) 2004 17.44 (0.02)(1) 4.31(1) 4.29 (0.02) (1.00) -- (1.02) 2003 13.99 0.04(1) 3.90(1) 3.94 (0.05) (0.44) -- (0.49) 2002(5) 16.47 0.02 (2.49) (2.47) (0.01) -- -- (0.01) Ratio of Ratio of Expenses Expenses to Average Ratio of Net to Average Net Assets Investment Ratio of Net Assets (Excluding Income Net Asset Net Assets Expenses (Excluding Fees Paid (Loss) Portfolio Value, End Total End of Period to Average Fees Paid Indirectly to Average Turnover of Period Return+ ($Thousands) Net Assets Indirectly) and Waivers) Net Assets Rate+ --------------------------------------------------------------------------------------------------------------------------------- LARGE CAP DIVERSIFIED ALPHA FUND Class A 2006(2) $10.38 4.44% $1,082,101 1.09%+++ 1.09%+++ 1.16% 1.18% 72% Class I 2006(3) $10.38 0.97% $ 21 1.08%+++ 1.08%+++ 1.15% 1.12% 72% TAX-MANAGED LARGE CAP FUND Class A 2006 $12.68 8.58% $2,373,507 0.86% 0.87% 1.02% 0.91% 65% 2005 11.78 14.40 2,172,885 0.86 0.86 1.02 1.08 31 2004 10.41 14.05 1,977,883 0.85 0.85 1.02 0.83 29 2003 9.20 23.84 1,757,292 0.85 0.85 1.02 0.85 99 2002 7.50 (20.44) 1,436,467 0.85 0.85 1.03 0.65 80 Class Y 2006 $12.79 8.83% $ 4,558 0.56% 0.57% 0.72% 1.21% 65% 2005 11.86 14.78 5,067 0.56 0.56 0.72 1.39 31 2004 10.45 14.41 4,909 0.55 0.55 0.72 1.13 29 2003 9.21 24.26 3,834 0.55 0.55 0.72 1.17 99 2002(4) 7.50 (28.05) 2,631 0.55 0.55 0.72 1.03 80 LARGE CAP VALUE FUND Class A 2006 $23.54 13.42% $3,762,101 0.86% 0.87% 0.97% 1.67% 58% 2005 22.45 15.87 4,230,717 0.86 0.86 0.97 1.63 44 2004 19.80 19.66 4,153,475 0.85 0.85 0.97 1.59 46 2003 16.81 22.55 3,527,686 0.85 0.85 0.97 1.61 106 2002 13.94 (18.06) 2,896,977 0.85 0.85 0.97 1.23 41 Class I 2006 $23.52 13.16% $ 31,308 1.11% 1.12% 1.22% 1.40% 58% 2005 22.43 15.61 24,735 1.11 1.11 1.22 1.37 44 2004 19.78 19.33 20,180 1.10 1.10 1.22 1.33 46 2003 16.80 22.17 9,086 1.10 1.10 1.22 1.36 106 2002 13.94 (18.24) 6,175 1.10 1.10 1.22 1.01 41 LARGE CAP GROWTH FUND Class A 2006 $19.95 3.92% $3,387,749 0.86% 0.87% 1.02% 0.18% 89% 2005 19.23 12.75 4,004,347 0.86 0.86 1.02 0.47 52 2004 17.13 8.62 3,846,240 0.85 0.85 1.02 (0.03) 36 2003 15.77 21.66 3,564,487 0.85 0.85 1.02 0.02 72 2002 12.97 (22.47) 2,904,802 0.85 0.85 1.02 (0.21) 62 Class I 2006 $19.75 3.73% $ 27,780 1.11% 1.12% 1.27% (0.07)% 89% 2005 19.04 12.42 29,689 1.11 1.11 1.27 0.22 52 2004 17.00 8.42 28,431 1.10 1.10 1.27 (0.28) 36 2003 15.68 21.37 12,323 1.10 1.10 1.27 (0.24) 72 2002 12.92 (22.73) 7,934 1.10 1.10 1.27 (0.41) 62 TAX-MANAGED SMALL CAP FUND Class A 2006 $13.10 5.50% $ 314,333 1.11% 1.14% 1.27% 0.09% 73% 2005 13.13 20.80 269,519 1.11 1.11 1.27 (0.17) 99 2004 11.63 16.30 214,859 1.10 1.10 1.27 (0.31) 86 2003 10.00 32.63 181,773 1.10 1.10 1.27 (0.21) 142 2002 7.54 (7.48) 143,764 1.10 1.10 1.26 (0.21) 86 SMALL CAP VALUE FUND Class A 2006 $21.28 10.34% $1,160,178 1.11% 1.13% 1.27% 0.31% 72% 2005 21.58 21.21 1,066,189 1.11 1.11 1.27 0.27 71 2004 20.74 25.67 942,037 1.10 1.10 1.27 0.17 89 2003 17.45 29.28 795,501 1.10 1.10 1.27 0.52 99 2002 13.99 (2.20) 691,668 1.10 1.10 1.27 0.46 48 Class I 2006 $21.21 10.11% $ 14,293 1.36% 1.38% 1.52% 0.06% 72% 2005 21.52 20.88 12,713 1.36 1.36 1.52 (0.03) 71 2004 20.71 25.29 7,400 1.35 1.35 1.52 (0.09) 89 2003 17.44 28.91 2,572 1.35 1.35 1.52 0.23 99 2002(5) 13.99 (14.99) 727 1.35 1.35 1.52 0.21 48
-------------------------------------------------------------------------------- 176 SEI Institutional Managed Trust / Annual Report / September 30, 2006
--------------------------------------------------------------------------------------------------------------------------------- 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 Total of Period (Loss) Securities Operations Income Gains Distributions of Period Return+ --------------------------------------------------------------------------------------------------------------------------------- SMALL CAP GROWTH FUND Class A 2006 $17.86 $(0.07)(1) $ 0.77(1) $ 0.70 $ -- $ -- $ -- $18.56 3.92% 2005 15.14 (0.10)(1) 2.82(1) 2.72 -- -- -- 17.86 17.97 2004 14.11 (0.10)(1) 1.13(1) 1.03 -- -- -- 15.14 7.30 2003 9.62 (0.08)(1) 4.57(1) 4.49 -- -- -- 14.11 46.67 2002 12.35 (0.09)(1) (2.64)(1) (2.73) -- -- -- 9.62 (22.11) Class I 2006 $17.67 $(0.12)(1) $ 0.77(1) $ 0.65 $ -- $ -- $ -- $18.32 3.68% 2005 15.02 (0.14)(1) 2.79(1) 2.65 -- -- -- 17.67 17.64 2004 14.03 (0.14)(1) 1.13(1) 0.99 -- -- -- 15.02 7.06 2003 9.59 (0.11)(1) 4.55(1) 4.44 -- -- -- 14.03 46.30 2002 12.35 (0.08)(1) (2.68)(1) (2.76) -- -- -- 9.59 (22.35) MID-CAP FUND Class A 2006 $20.29 $ 0.14(1) $ 1.49(1) $ 1.63 $(0.12) $(1.40) $(1.52) $20.40 8.50% 2005 17.84 0.06(1) 4.61(1) 4.67 (0.06) (2.16) (2.22) 20.29 28.15 2004 14.96 0.09(1) 3.19(1) 3.28 (0.11) (0.29) (0.40) 17.84 22.23 2003 11.74 0.11(1) 3.25(1) 3.36 (0.08) (0.06) (0.14) 14.96 28.92 2002 12.19 0.06 (0.46)(9) (0.40) (0.05) -- (0.05) 11.74 (3.34) U.S. MANAGED VOLATILITY FUND Class A 2006 $11.41 $ 0.10(1) $ 0.75(1) $ 0.85 $(0.09) $(0.15) $(0.24) $12.02 7.64% 2005(6) 10.00 0.10(1) 1.39(1) 1.49 (0.08) --* (0.08) 11.41 14.94 GLOBAL MANAGED VOLATILITY FUND Class A 2006(7) $10.00 $ 0.02(1) $ 0.35(1) $ 0.37 $ -- $ -- $ -- $10.37 3.70% REAL ESTATE FUND Class A 2006 $14.86 $ 0.23(1) $ 4.15(1) $ 4.38 $(0.36) $(0.45) $(0.81) $18.43 30.44% 2005 11.89 0.27(1) 3.22(1) 3.49 (0.26) (0.26) (0.52) 14.86 29.97 2004(8) 10.00 0.21(1) 1.85(1) 2.06 (0.17) -- (0.17) 11.89 20.82 ENHANCED INCOME FUND Class A 2006(7) $10.00 $ 0.10(1) $ 0.01(1) $ 0.11 $ -- $ -- $ -- $10.11 1.10% CORE FIXED INCOME FUND Class A 2006 $10.44 $ 0.47(1) $(0.11)(1) $ 0.36 $(0.48) $(0.03) $(0.51) $10.29 3.60% 2005 10.65 0.40(1) (0.11)(1) 0.29 (0.41) (0.09) (0.50) 10.44 2.83 2004 10.71 0.37(1) 0.08(1) 0.45 (0.38) (0.13) (0.51) 10.65 4.38 2003 10.67 0.40(1) 0.28(1) 0.68 (0.42) (0.22) (0.64) 10.71 6.63 2002 10.75 0.52 0.08 0.60 (0.52) (0.16) (0.68) 10.67 5.89 Class I 2006 $10.43 $ 0.45(1) $(0.11)(1) $ 0.34 $(0.45) $(0.03) $(0.48) $10.29 3.44% 2005 10.65 0.38(1) (0.12)(1) 0.26 (0.39) (0.09) (0.48) 10.43 2.48 2004 10.71 0.34(1) 0.09(1) 0.43 (0.36) (0.13) (0.49) 10.65 4.12 2003 10.67 0.37(1) 0.28(1) 0.65 (0.39) (0.22) (0.61) 10.71 6.37 2002 10.76 0.49 0.07 0.56 (0.49) (0.16) (0.65) 10.67 5.53 HIGH YIELD BOND FUND Class A 2006 $ 8.50 $ 0.65(1) $(0.12)(1) $ 0.53 $(0.65) $ -- $(0.65) $ 8.38 6.51% 2005 8.58 0.64(1) (0.08)(1) 0.56 (0.64) -- (0.64) 8.50 6.71 2004 8.37 0.67(1) 0.21(1) 0.88 (0.67) -- (0.67) 8.58 10.84 2003 7.60 0.68(1) 0.77(1) 1.45 (0.68) -- (0.68) 8.37 19.88 2002 7.86 0.70 (0.26) 0.44 (0.70) -- (0.70) 7.60 5.45 --------------------------------------------------------------------------------------------- Ratio of Ratio of Expenses Expenses to Average Ratio of Net to Average Net Assets Investment Ratio of Net Assets (Excluding Income Net Assets Expenses (Excluding Fees Paid (Loss) Portfolio End of Period to Average Fees Paid Indirectly to Average Turnover ($Thousands) Net Assets Indirectly) and Waivers) Net Assets Rate+ --------------------------------------------------------------------------------------------- SMALL CAP GROWTH FUND Class A 2006 $1,111,329 1.11% 1.13% 1.27% (0.40)% 99% 2005 1,058,413 1.11 1.11 1.27 (0.60) 116 2004 970,759 1.10 1.10 1.27 (0.63) 124 2003 875,906 1.10 1.10 1.27 (0.66) 166 2002 606,999 1.10 1.10 1.27 (0.69) 156 Class I 2006 $ 11,910 1.36% 1.38% 1.52% (0.65)% 99% 2005 11,077 1.36 1.36 1.52 (0.85) 116 2004 8,530 1.35 1.35 1.52 (0.90) 124 2003 5,339 1.35 1.35 1.52 (0.91) 166 2002 1,879 1.35 1.35 1.53 (0.71) 156 MID-CAP FUND Class A 2006 $ 90,208 1.01% 1.01% 1.03% 0.67% 135% 2005 71,162 1.01 1.01 1.03 0.30 137 2004 53,642 1.00 1.00 1.02 0.53 121 2003 41,502 1.00 1.00 1.03 0.86 109 2002 25,499 1.00 1.00 1.02 0.39 222 U.S. MANAGED VOLATILITY FUND Class A 2006 $ 303,523 1.11% 1.11% 1.27% 0.91% 133% 2005(6) 160,047 1.11 1.11 1.27 1.03 102 GLOBAL MANAGED VOLATILITY FUND Class A 2006(7) $ 94,951 1.10% 1.10% 1.30% 1.22% 13% REAL ESTATE FUND Class A 2006 $ 192,674 1.11% 1.12% 1.27% 1.39% 65% 2005 96,405 1.11 1.11 1.27 1.95 58 2004(8) 35,008 1.10 1.10 1.30 2.20 98 ENHANCED INCOME FUND Class A 2006(7) $ 235,981 0.60% 0.60% 1.10% 5.54% 70% CORE FIXED INCOME FUND Class A 2006 $4,293,309 0.63% 0.63% 0.84% 4.62% 478% 2005 4,094,011 0.61 0.61 0.84 3.83 557 2004 4,067,065 0.61** 0.61** 0.84 3.52 430 2003 3,823,429 0.60 0.60 0.84 3.77 470 2002 3,686,946 0.60 0.60 0.84 4.96 379 Class I 2006 $ 14,035 0.88% 0.88% 1.09% 4.37% 478% 2005 12,979 0.86 0.86 1.09 3.60 557 2004 10,420 0.86** 0.86** 1.09 3.25 430 2003 5,931 0.85 0.85 1.09 3.46 470 2002 4,268 0.85 0.85 1.09 4.52 379 HIGH YIELD BOND FUND Class A 2006 $1,068,711 0.86% 0.86% 1.12% 7.69% 126% 2005 1,599,921 0.86 0.86 1.12 7.46 132 2004 1,197,554 0.85 0.85 1.11 7.84 179 2003 976,659 0.85 0.85 1.12 8.50 129 2002 745,525 0.85 0.85 1.12 8.67 126
+ Returns and turnover rates are for the period indicated and have not been annualized. +++ The expense ratios include dividend expense and interest expense on securities sold short. Had these expenses been excluded the ratios would have been 0.95% and 0.75% for Class A and Class I Shares, respectively. * Amount represents less than $0.01. ** The expense ratio includes the litigation fees paid (see Note 10). Had these fees been excluded the ratio would have been 0.60% and 0.85% for Class A and Class I, respectively. (1) Per share net investment income and net realized and unrealized gains/(losses) calculated using average shares. (2) Commenced operations on December 14, 2005. All ratios for the period have been annualized. (3) Commenced operations on September 14, 2006. All ratios for the period have been annualized. (4) Commenced operations on April 8, 2002. All ratios for the period have been annualized. (5) Commenced operations on February 11, 2002. All ratios for the period have been annualized. (6) Commenced operations on October 28, 2004. All ratios for the period have been annualized. (7) Commenced operations on July 27, 2006. All ratios for the period have been annualized. (8) Commenced operations on November 13, 2003. All ratios for the period have been annualized. (9) 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. Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 177 Notes to Financial Statements September 30, 2006 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 16 Funds: Large Cap Diversified Alpha, Tax-Managed Large Cap, Large Cap Value, Large Cap Growth, Tax-Managed Small Cap, Small Cap Value, Small Cap Growth, Mid-Cap, U.S. Managed Volatility (formerly the Managed Volatility Fund), Global Managed Volatility, Real Estate, Enhanced Income, Core Fixed Income, High Yield Bond, Small/Mid Cap Equity and Real Return Plus Funds (each a "Fund," collectively the "Funds"). The Trust is registered to offer Class A shares of the Funds, Class I shares of the Large Cap Diversified Alpha, Large Cap Value, Large Cap Growth, Small Cap Value, Small Cap Growth, Mid-Cap, U.S. Managed Volatility, Global Managed Volatility, Real Estate, Enhanced Income, Core Fixed Income, High Yield Bond, Small/Mid Cap Equity and Real Return Plus Funds, and Class Y shares of Tax-Managed Large Cap Fund. The assets of each Fund are segregated, and a shareholder's interest is limited to the Fund in which shares are held. The Funds' prospectuses provide a description of each Fund's investment objective, policies, and strategies. As of September 30, 2006, the Small/Mid Cap Equity and Real Return Plus Funds have not yet commenced operations. 2. SIGNIFICANT ACCOUNTING POLICIES The following is a summary of the significant accounting policies followed by the Funds. USE OF ESTIMATES -- The preparation of financial statements, in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. SECURITY VALUATION -- Securities listed on a securities exchange, market or automated quotation system for which quotations are readily available (except for securities traded on NASDAQ) are valued at the last quoted sale price on the primary exchange or market (foreign or domestic) on which they are traded, or, if there is no such reported sale, at the most recent quoted bid price. For securities traded on NASDAQ, the NASDAQ Official Closing Price will be used. If available, debt securities are priced based upon valuations provided by independent, third-party pricing agents. Such values generally reflect the last reported sales price if the security is actively traded. The third-party pricing agents may also value debt securities at an evaluated bid price by employing methodologies that utilize actual market transactions, broker-supplied valuations, or other methodologies designed to identify the market value for such securities. Debt obligations with remaining maturities of sixty days or less may be valued at their amortized cost, which approximates market value. Prices for most securities held in the Funds are provided daily by recognized independent pricing agents. If a security price cannot be obtained from an independent, third-party pricing agent, the Funds seek to obtain a bid price from at least one independent broker. Securities for which market prices are not "readily available" are valued in accordance with Fair Value Procedures established by the Funds' Board of Trustees. The Funds' Fair Value Procedures are implemented through a Fair Value Committee (the "Committee") designated by the Funds' Board of Trustees. Some of the more common reasons that may necessitate that a security be valued using Fair Value Procedures include: the security's trading has been halted or suspended; the security has been de-listed from a national exchange; the security's primary trading market is temporarily closed at a time when, under normal conditions, it would be open; or the security's primary pricing source is not able or willing to provide a price. When a security is valued in accordance with the Fair Value Procedures, the Committee will determine the value after taking into consideration relevant information reasonably available to the Committee. For securities that principally trade on a foreign market or exchange, a significant gap in time can exist between the time of a particular security's last trade and the time at which a Fund calculates its net asset value. The closing prices of such securities may no longer reflect their market value at the time the Fund calculates net asset value if an event that could materially affect the value of those securities (a "Significant Event") has occurred between the time of the security's last close and the time that the Fund calculates net asset value. A Significant Event may relate to a single issuer or to an entire market sector. If the adviser or sub-adviser of a Fund becomes aware of a Significant Event that has occurred with respect to a security or group of securities after the closing of the exchange or market on which the security or securities principally trade, but before the time at which the Fund calculates net asset value, it may request that a Fair Value Committee Meeting be called. In addition, the Funds' administrator monitors price movements among certain selected indices, securities and/or baskets of securities that may be an indicator that the closing prices received earlier from foreign exchanges or markets may not reflect market value at the time the Fund calculates net asset value. If price movements in a monitored index or security exceed levels established by the administrator, the administrator notifies the adviser or sub-adviser for any Fund holding the relevant securities that such limits have been exceeded. In such event, the adviser or sub-adviser makes the determination whether a Fair Value Committee Meeting should be called based on the information provided. Options and warrants for which the primary market is a national securities exchange are valued at the last sale price on the exchange on which they are traded, or, in the absence of any sale, at the closing bid price. Options and warrants not traded on a national securities exchange are valued at the last quoted bid price. -------------------------------------------------------------------------------- 178 SEI Institutional Managed Trust / Annual Report / September 30, 2006 SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are recorded on the trade date. Costs used in determining net realized capital gains and losses on the sale of securities are on the basis of specific identification. Dividend income is recognized on the ex-dividend date, and interest income is recognized using the accrual basis of accounting. Income from payment-in-kind securities is recorded daily based on the effective interest method of accrual. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The trust estimates the components of distributions received that may be considered nontaxable distributions or capital gain distributions. Amortization and accretion is calculated using the scientific interest method, which approximates the effective interest method over the holding period of the security. Amortization of premiums and discounts is included in interest income. REPURCHASE AGREEMENTS -- Securities pledged as collateral for repurchase agreements are held by each Fund's custodian bank until the repurchase date of the repurchase agreement. The Funds also invest in tri-party repurchase agreements. Securities held as collateral for tri-party repurchase agreements are maintained by the broker's custodian bank in a segregated account until the repurchase date of the repurchase agreement. Provisions of the repurchase agreements and the Trust's policies require that the market value of the collateral, including accrued interest thereon, is sufficient in the event of default by the counterparty. Tri-Party Repurchase agreements purchased as collateral for securities on loan are maintained by the securities lending agent (see Note 7). If the counterparty defaults and the value of the collateral declines, or if the counterparty enters into an insolvency proceeding, realization of the collateral by the Funds may be delayed or limited. REVERSE REPURCHASE AGREEMENTS -- The Core Fixed Income Fund may issue reverse repurchase agreements. A reverse repurchase agreement involves the sale of portfolio assets together with an agreement to repurchase the same assets later at a fixed price. Additional assets are maintained in an account with the broker. The segregated assets may consist of cash, U.S. Government securities, or other liquid securities at least equal in value to the obligations under the reverse repurchase agreements. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund's use of the proceeds under the agreement may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the obligation to repurchase the securities. There were no reverse repurchase agreements outstanding as of September 30, 2006. COMPENSATING BALANCES -- Funds with cash overdrafts in excess of $100,000 are required to leave 112% in compensating balance with US Bank (formerly 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 US Bank on the following day. EXPENSES -- Expenses that are directly related to one of the Funds are charged directly to that Fund. Other operating expenses of the Funds are prorated to the Funds on the basis of relative daily net assets. CLASSES -- Class-specific expenses are borne by that class of shares. Income, realized and unrealized gains/losses and non class-specific expenses are allocated to the respective class on the basis of relative daily net assets. FOREIGN CURRENCY TRANSLATION -- The books and records of the Funds are maintained in U.S. dollars on the following basis: (I) market value of investment securities, assets and liabilities at the current rate of exchange; and (II) purchases and sales of investment securities, income and expenses at the relevant rates of exchange prevailing on the respective dates of such transactions. The Funds do not isolate that portion of gains and losses on investments in equity securities that is due to changes in the foreign exchange rates from that which is due to changes in market prices of equity securities. The Funds report certain foreign-currency-related transactions as components of realized gains for financial reporting purposes, whereas such components are treated as ordinary income for Federal income tax purposes. FORWARD FOREIGN CURRENCY CONTRACTS -- The Small Cap Growth, Global Managed Volatility, Enhanced Income and Core Fixed Income Funds may enter into forward foreign currency contracts as hedges against either specific transactions, fund positions or anticipated fund positions. The Core Fixed Income Fund may also engage in currency transactions to enhance the Fund's returns. All commitments are "marked-to-market" daily at the applicable foreign exchange rate, and any resulting unrealized gains or losses are recorded currently. The Small Cap Growth and Core Fixed Income Funds realize gains and losses at the time forward contracts are extinguished. Unrealized gains or losses on outstanding positions in forward foreign currency contracts held at the close of the period are recognized as ordinary income or loss for Federal income tax purposes. The Funds could be exposed to risk if the counterparties to the contracts are unable to meet the terms of the contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Finally, the risk exists that losses could exceed amounts disclosed on the Statement of Assets and Liabilities. At the year ended September 30, 2006, the Small Cap Growth Fund did not have any forward foreign currency contracts outstanding. FUTURES CONTRACTS -- All Funds, with the exception of the Real Estate and High Yield Bond Funds, utilized futures contracts during the year or period ended September 30, 2006. The Funds' investments in futures contracts are designed to enable the Funds to more closely approximate the performance of their benchmark indices. The Core Fixed Income Fund may use futures contracts for tactical hedging purposes as well as to enhance the Fund's returns. Initial margin -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 179 Notes to Financial Statements (Continued) September 30, 2006 deposits of cash or securities are made upon entering into futures contracts. The contracts are marked to market daily and the resulting changes in value are accounted for as unrealized gains and losses. Variation margin payments are paid or received, depending upon whether unrealized gains or losses are incurred. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the amount invested in the contract. Risks of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a position prior to its maturity date. Third, the futures contract involves the risk that the fund could lose more than the original margin deposit required to initiate a futures transaction. Finally, the risk exists that losses could exceed amounts disclosed on the Statement of Assets and Liabilities. OPTION WRITING/PURCHASING -- Each Fund may invest in financial option contracts for the purpose of hedging its existing fund securities, or securities that the Fund intends to purchase, against fluctuations in fair value caused by changes in prevailing market interest rates. The Core Fixed Income Fund may also invest in financial option contracts to enhance the Fund's returns. 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 Large Cap Diversified Alpha and Core Fixed Income Funds had option contracts as of September 30, 2006 as disclosed in the Funds' Schedule of Investments. The risk in writing a call option is that the Funds give up the opportunity for profit if the market price of the security increases. The risk in writing a put option is that the Funds may incur a loss if the market price of the security decreases and the option is exercised. The risk in purchasing an option is that the Funds pay a premium whether or not the option is exercised. The Funds also have the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. Option contracts also involve the risk that they may not work as intended due to unanticipated developments in market conditions or other causes. Finally, the risk exists that losses on written options could exceed amounts disclosed on the Statement of Assets and Liabilities. Written option transactions entered into during the year or period ended September 30, 2006 are summarized as follows: ------------------------------------------------------------------------------- Large Cap Diversified Alpha Core Fixed Income -------------------------------------------------------------------------------- Number of Premium Number of Premium Contracts ($Thousands) Contracts ($Thousands) -------------------------------------------------------------------------------- Balance at the beginning of period -- $-- 812 $ 332 Written 131 71 4,457 2,008 Expired -- -- (2,818) (1,117) Closing Buys -- -- (940) (358) -------------------------------------------------------------------------------- Balance at the end of period 131 $71 1,511 $ 865 -------------------------------------------------------------------------------- At September 30, 2006, the Large Cap Diversified Alpha and Core Fixed Income Funds had cash and/or securities at least equal to the value of written options. SWAP AGREEMENTS -- A swap agreement is a two-party contract under which an agreement is made to exchange returns from predetermined investments or instruments, including a particular interest rate, foreign currency, or "basket" of securities representing a particular index. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal. Credit-default swaps involve periodic payments by the Fund or counterparty based on a specified rate multiplied by a notional amount assigned to an underlying debt instrument or group of debt instruments in exchange for the assumption of credit risk on the same instruments. In the event of a credit event, usually in the form of a credit rating downgrade, the party receiving periodic payments (i.e. floating rate payer) must pay the other party (i.e. fixed rate payer) an amount equal to the outstanding principal of the downgraded debt instrument, and also take possession of the instrument. Total return swaps allow an investor to benefit from the cash flow without ever actually owning the underlying security. The receiver must pay any decline in value to the payer at the end of the total return swap. However, the investor does not need to make a payment if there is no decline in price. Payments can be made on various indices, bonds (i.e. mortgage backed securities, bank debt and corporate), loans or commodities. The value of a total return swap is equal to the change in value of the underlying asset versus the accrued income payment based on LIBOR or some other form of indices on the notional amount. In connection with swap agreements securities may be set aside as collateral by the Fund's custodian. A Fund may enter into swap agreements in order to, among other things, change the maturity or duration of the investment portfolio, to protect the Fund's value from changes in interest rates, or to expose a Fund to a different security or market. Swaps are marked-to-market daily based upon quotations from market makers and the resulting changes in market values, if any, are recorded as an unrealized gain or loss in the Statement of Operations. Net payments of interest are recorded as realized gains or losses. Entering into swap agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the -------------------------------------------------------------------------------- 180 SEI Institutional Managed Trust / Annual Report / September 30, 2006 Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreement may default on its obligation to perform and that there may be unfavorable changes in the fluctuation of interest rates. Risks also arise from potential losses from adverse market movements. DELAYED DELIVERY TRANSACTIONS -- The Core Fixed Income Fund may purchase or sell securities on a when-issued or delayed delivery basis. These transactions involve a commitment by the Fund to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed delivery purchases are outstanding, the Fund will set aside liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed delivery basis, the Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. The Fund may dispose of or renegotiate a delayed delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When the Fund has sold a security on a delayed delivery basis, the Fund does not participate in future gains and losses with respect to the security. The total value of delayed delivery transactions as of September 30, 2006 was $883,808 ($ Thousands) COLLATERALIZED DEBT OBLIGATIONS -- The Funds may invest in collateralized debt obligations ("CDOs"), which include collateralized loan obligations ("CLOs") and other similarly structured securities. CLOs are a type of asset-backed securities. A CLO is a trust typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. CDOs may charge management fees and administrative expenses. For CDOs, the cashflows from the trust are split into two or more portions, called tranches, varying in risk and yield. The riskiest portion is the "equity" tranche which bears the bulk of defaults from the bonds or loans in the trust and serves to protect the other, more senior tranches from default in all but the most severe circumstances. Since it is partially protected from defaults, a senior tranche from a CDO trust typically has a higher rating and lower yield than their underlying securities, and can be rated investment grade. Despite the protection from the equity tranche, CDO tranches can experience substantial losses due to actual defaults, increased sensitivity to defaults due to collateral default and disappearance of protecting tranches, market anticipation of defaults, as well as aversion to CDO securities as a class. The risks of an investment in a CDO depend largely on the type of the collateral securities and the class of the CDO in which a Fund invests. Normally, CLOs and other CDOs are privately offered and sold, and thus, are not registered under the securities laws. As a result, investments in CDOs may be characterized by the Funds as illiquid securities; however, an active dealer market may exist for CDOs, allowing a CDO to qualify for Rule 144A transactions. In addition to the normal risks associated with fixed income securities (e.g., interest rate risk and default risk), CDOs carry additional risks including, but are not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline in value or default; (iii) the Funds may invest in CDOs that are subordinate to other classes; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results. ILLIQUID SECURITIES -- A security is considered illiquid if it cannot be sold or disposed of in the ordinary course of business within seven days or less for its approximate carrying value on the books of the Funds. Valuations of illiquid securities may differ significantly from the values that would have been used had an active market value for these securities existed. RESTRICTED SECURITIES -- At September 30, 2006, the following Fund owned private placement investments that were purchased through private offerings or acquired through initial public offerings and cannot be sold without prior registration under the Securities Act of 1933 or pursuant to an exemption therefrom. In addition, the Fund has generally agreed to further restrictions on the disposition of certain holdings as set forth in various agreements entered into in connection with the purchase of these investments. These investments are valued at fair value as determined in accordance with the procedures approved by the Board of Trustees. The acquisition dates of these investments, the enforceable right to acquire these securities, along with their cost and values at September 30, 2006, were as follows:
NUMBER ACQUISITION RIGHT TO ACQUIRE COST MARKET VALUE % OF NET OF SHARES DATE DATE ($THOUSANDS) ($THOUSANDS) ASSETS ----------------------------------------------------------------------------------------------------------------- SMALL CAP GROWTH FUND BJ's Restaurants 85,800 03/10/05 03/10/05 $1,330 $1,888 0.17% North American Oil Sands 300,000 05/30/06 05/30/06 3,277 3,227 0.29 Parkervision Warrants 17,500 06/20/05 06/20/05 36 33 0.00 Synenco Energy 37,852 08/19/05 08/19/05 438 513 0.04 Spatialight 100,000 01/12/06 01/12/06 262 209 0.02 ------ ------ ---- $5,343 $5,870 0.52% ====== ====== ====
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment income are declared and paid to shareholders quarterly for the Large Cap Diversified Alpha, Tax-Managed Large Cap, Large Cap Value, Large Cap Growth, Tax-Managed Small Cap, Small Cap Value, Small Cap Growth, Mid-Cap, U.S. Managed Volatility, Enhanced Income and Real Estate Funds; are declared and paid annually for the Global Managed Volatility Fund; and declared daily and paid monthly for the Core Fixed Income and High Yield Bond Funds. Any net realized capital gains on sales of securities are distributed to shareholders at least annually. Dividends and distributions are recorded on the ex-dividend date. -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 181 Notes to Financial Statements (Continued) September 30, 2006 The Large Cap Diversified Alpha, Large Cap Value, Tax-Managed Small Cap, Small Cap Value, Mid-Cap and U.S. Managed Volatility Funds utilized earnings and profits distributed to shareholders on redemption of shares as a part of the dividends paid deduction for income tax purposes. INVESTMENTS IN REITS -- With respect to the Real Estate Fund, dividend income is recorded based on the income included in distributions received from the REIT investments using published REIT reclassifications including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and cap ital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts. 3. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES ADMINISTRATION AND TRANSFER AGENCY AGREEMENT -- The Trust and SEI Investments Global Funds Services (formerly SEI Investments Funds Management) (the "Administrator") are parties to an amended and restated Administration and Transfer Agency Agreement dated December 10, 2003 under which the Administrator provides administrative and transfer agency services to the Funds for an annual fee of 0.35% of the average daily net assets of the Large Cap Diversified Alpha, Tax-Managed Large Cap Class A, Large Cap Value, Large Cap Growth, Tax-Managed Small Cap, Small Cap Value, Small Cap Growth, Mid-Cap, U.S. Managed Volatility, Global Managed Volatility, Real Estate, Enhanced Income and High Yield Bond Funds; 0.15% of average daily net assets of the Tax-Managed Large Cap Class Y; and 0.28% of the average daily net assets of the Core Fixed Income Fund. The Administrator has agreed to waive all or a portion of its fee in order to limit the operating expenses of a Fund. Any such waiver is voluntary and may be terminated at any time at the Administrator's sole discretion. INVESTMENT ADVISORY AGREEMENT -- SEI Investments Management Corporation ("SIMC") serves as investment adviser (the "Adviser") to each Fund. In connection with serving as Adviser, SIMC is entitled to a fee, which is calculated daily and paid monthly, based on the average daily net assets of each Fund. SIMC has voluntarily agreed to waive a portion of its fee so that the total annual expenses of each Fund, exclusive of short sale expenses, will not exceed certain voluntary expense limitations adopted by SIMC. These waivers may be terminated at any time. Accordingly, the advisory fee and voluntary expense limitations for each Fund are as follows: -------------------------------------------------------------------------------- Voluntary Advisory Expense Fees Limitations -------------------------------------------------------------------------------- Large Cap Diversified Alpha Fund, Class A 0.4000% 0.9500% Large Cap Diversified Alpha Fund, Class I 0.4000 1.2000 Tax-Managed Large Cap Fund, Class A 0.4000 0.8600 Tax-Managed Large Cap Fund, Class Y 0.4000 0.5600 Large Cap Value Fund, Class A 0.3500 0.8600 Large Cap Value Fund, Class I 0.3500 1.1100 Large Cap Growth Fund, Class A 0.4000 0.8600 Large Cap Growth Fund, Class I 0.4000 1.1100 Tax-Managed Small Cap Fund, Class A 0.6500 1.1100 -------------------------------------------------------------------------------- Voluntary Advisory Expense Fees Limitations -------------------------------------------------------------------------------- Small Cap Value Fund, Class A 0.6500% 1.1100% Small Cap Value Fund, Class I 0.6500 1.3600 Small Cap Growth Fund, Class A 0.6500 1.1100 Small Cap Growth Fund, Class I 0.6500 1.3600 Mid-Cap Fund, Class A 0.4000 1.0100 U.S. Managed Volatility Fund, Class A 0.6500 1.1100 Global Managed Volatility Fund, Class A 0.6500 1.1000 Real Estate Fund, Class A 0.6500 1.1100 Enhanced Income Fund, Class A 0.4000 0.6000 Core Fixed Income Fund, Class A 0.2750 0.6400(1) Core Fixed Income Fund, Class I 0.2750 0.8900(1) High Yield Bond Fund, Class A 0.4875 0.8600 (1) During the current period the sub-adviser reimbursed sub-adviser fees for the Fund. This reimbursement resulted in the Fund running below its expense cap. As of September 30, 2006, SIMC has entered into investment sub-advisory agreements with the following parties: -------------------------------------------------------------------------------- Investment Sub-Adviser -------------------------------------------------------------------------------- LARGE CAP DIVERSIFIED ALPHA FUND Analytic Investors, Inc. Aronson + Johnson + Ortiz, LP Delaware Management Company Enhanced Investment Technologies, LLC Quantitative Management Associates LLC Smith Breeden Associates, Inc. TAX-MANAGED LARGE CAP FUND Alliance Capital Management LP Aronson + Johnson + Ortiz, LP Delaware Management Company Goldman Sachs Asset Management, L.P. LSV Asset Management Montag and Caldwell, Inc. Parametric Portfolio Associates Quantitative Management Associates LLC LARGE CAP VALUE FUND Alliance Capital Management LP Aronson + Johnson + Ortiz, LP Enhanced Investment Technologies, LLC LSV Asset Management LARGE CAP GROWTH FUND Delaware Management Company Enhanced Investment Technologies, LLC Goldman Sachs Asset Management, L.P. Montag and Caldwell, Inc. Quantitative Management Associates LLC TAX-MANAGED SMALL CAP FUND BlackRock Advisors, Inc. David J. Greene and Company, LLC Delaware Management Company LSV Asset Management Mazama Capital Management, Inc. McKinley Capital Management Inc. Parametric Portfolio Associates SMALL CAP VALUE FUND Artisan Partners Limited Partnership BlackRock Advisors, Inc. David J. Greene and Company, LLC LSV Asset Management -------------------------------------------------------------------------------- 182 SEI Institutional Managed Trust / Annual Report / September 30, 2006 -------------------------------------------------------------------------------- Investment Sub-Adviser -------------------------------------------------------------------------------- SMALL CAP VALUE FUND (CONTINUED) Lee Munder Investments, Ltd. Martingale Asset Management, L.P. PanAgora Asset Management, Inc.* Weiss, Peck & Greer Investments* Wellington Management Company, LLP SMALL CAP GROWTH FUND Delaware Management Company Lee Munder Investments, Ltd. Martingale Asset Management, L.P. Mazama Capital Management, Inc. McKinley Capital Management Inc. PanAgora Asset Management, Inc.* Wellington Management Company, LLP MID-CAP FUND Martingale Asset Management, L.P. U.S. MANAGED VOLATILITY FUND Aronson + Johnson + Ortiz, LP Analytic Investors, Inc. GLOBAL MANAGED VOLATILITY FUND Acadian Asset Management, Inc. Analytic Investors, Inc. REAL ESTATE FUND Security Capital Research and Management Incorporated Wellington Management Company, LLP ENHANCED INCOME FUND Highland Capital Management, L.P. Record Currency Management Limited Wellington Management Company, LLP CORE FIXED INCOME FUND Metropolitan West Asset Management LLC Smith Breeden Associates, Inc. Wells Capital Management, Inc. Western Asset Management Company Western Asset Management Company Limited HIGH YIELD BOND FUND ING Investment Management Co. J.P. Morgan Investment Management, Inc. Metropolitan West Asset Management LLC Nomura Corporate Research and Asset Management Inc. *As of September 30, 2006, these Managers were not yet funded. Under the investment sub-advisory agreements, each party receives an annual fee paid by SIMC. PAYMENT BY AFFILIATE -- During the fiscal year ended September 30, 2006, the Core Fixed Income Fund was reimbursed by a sub-adviser, deemed as a "Payment by Affiliate" in the Statement of Operations, for sub-advisory fees received of $239,132. After terminating its sub-advisory agreement with the Fund the sub-adviser agreed to reimburse the Fund for sub-advisory fees received since their hiring in September 2005. During the fiscal year ended September 30, 2006, the High Yield Bond Fund was reimbursed by the sub-adviser, deemed as a "Payment by Affiliate" in the Statement of Operations and Statement of Changes, for losses incurred of $2,947 due to the sale of shares in a specific company in excess of the amount permitted under applicable Securities and Exchange Commission rules. This amount is included in the net realized and unrealized gain (loss) on investments section on the Statement of Operations. The reimbursement has no impact on the Fund's total return. During the fiscal year ended September 30, 2005, the Large Cap Growth Fund was reimbursed by the sub-adviser, deemed as a "Payment by Affiliate" in the Statement of Changes, for losses incurred of $1,930 due to the purchase of shares in a specific company in excess of the amount permitted under applicable Securities and Exchange Commission rules. This amount is included in the net realized and unrealized gain (loss) on investments section on the Statement of Operations. The reimbursement has no impact on the Fund's total return. DISTRIBUTION AGREEMENT -- SEI Investments Distribution Co. (the "Distributor"), a wholly owned subsidiary of SEI Investments Company ("SEI"), serves as each Fund's Distributor pursuant to a distribution agreement with the Trust. The Trust has adopted a shareholder servicing plan for Class A, Class I and Class Y shares (the "Shareholder Servicing Plans") under which a shareholder servicing fee of up to 0.25% of average daily net assets attributable to Class A and Class I shares, and a shareholder servicing fee of up to 0.15% of average daily net assets attributable to Class Y shares, will be paid to the Distributor. In addition to the Shareholder Servicing Plans, the Class I shares have adopted administrative service plans that provide for administrative service fees payable to the Distributor of up to 0.25% of the average daily net assets attributed to that class. OTHER -- The Distribution Agreement between the Distributor and the Trust provides that the Distributor may receive compensation on fund transactions effected for the Trust in accordance with the rules of the Securities and Exchange Commission ("SEC"). Accordingly, it is expected that fund transactions may result in brokerage commissions being paid to the Distributor. SEC rules require that such commissions not exceed usual and customary commissions. Such commissions for the year ended September 30, 2006 were as follows ($ Thousands): Tax-Managed Large Cap Fund $ 196 Large Cap Value Fund 356 Large Cap Growth Fund 417 Tax-Managed Small Cap Fund 150 Small Cap Value Fund 389 Small Cap Growth Fund 259 Real Estate Fund 27 ------ $1,794 ====== Under both the Shareholder Servicing Plans and administrative service plan, the Distributor may retain as profit any difference between the fee it receives and the amount it pays to third parties. For the year ended September 30, 2006, the Distributor retained 100% of the shareholder servicing fees, less the waiver, and 100% of the administration servicing fees. Certain officers and/or trustees of the Trust are also officers of the Administrator or the Adviser. The Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly, interim and committee meetings. Compensation of officers and affiliated Trustees of the Trust is paid by the Adviser or Administrator. -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 183 Notes to Financial Statements (Continued) September 30, 2006 LSV Asset Management (a partially owned subsidiary of SIMC) serves as the sub-adviser to the Tax-Managed Large Cap, Large Cap Value, Tax-Managed Small Cap and Small Cap Value Funds. For this service LSV Asset Management is entitled to receive a fee from SIMC. Such fees for the year ended September 30, 2006 were as follows ($ Thousands): Tax-Managed Large Cap Fund $ 301 Large Cap Value Fund 1,460 Tax-Managed Small Cap Fund 341 Small Cap Value Fund 545 ------ $2,647 ====== FEES PAID INDIRECTLY -- The Funds may direct certain fund trades to the Distributor who pays a portion of the Fund's expenses. Accordingly, the expenses reduced, which were used to pay third party expenses, and the effect on the Fund's expense ratio, as a percentage of the Fund's average daily net assets for the year ended September 30, 2006, can be found on the Statement of Operations. INVESTMENT IN AFFILIATED REGISTERED INVESTMENT COMPANY -- Pursuant to an exemptive order issued by the Securities and Exchange Commission, the Funds may invest in the SEI money market funds, provided that investments in the SEI money market funds do not exceed 25% of the investing Fund's total assets. 4. CAPITAL SHARE TRANSACTIONS Capital Share Transactions for the Funds were as follows (Thousands): For the years or period ended September 30,
----------------------------------------------------------------------------------------------------------------------------- LARGE CAP DIVERSIFIED TAX-MANAGED LARGE CAP ALPHA FUND(1) LARGE CAP FUND VALUE FUND ----------------------------------------------------------------------------------------------------------------------------- 2006 2006 2005 2006 2005 ----------------------------------------------------------------------------------------------------------------------------- Class A: Shares Issued 115,472 33,862 34,030 26,779 33,561 Shares Issued in Lieu of Dividends & Distributions 576 1,534 1,942 14,126 4,168 Shares Redeemed (11,833) (32,596) (41,498) (69,601) (59,040)(2) ----------------------------------------------------------------------------------------------------------------------------- Total Class A Transactions 104,215 2,800 (5,526) (28,696) (21,311) ----------------------------------------------------------------------------------------------------------------------------- Class I: Shares Issued 2 -- -- 465 279 Shares Issued in Lieu of Dividends & Distributions -- -- -- 85 20 Shares Redeemed -- -- -- (322) (216) ----------------------------------------------------------------------------------------------------------------------------- Total Class I Transactions 2 -- -- 228 83 ----------------------------------------------------------------------------------------------------------------------------- Class Y: Shares Issued -- 14 -- -- -- Shares Issued in Lieu of Dividends & Distributions -- 4 5 -- -- Shares Redeemed -- (89) (48) -- -- ----------------------------------------------------------------------------------------------------------------------------- Total Class Y Transactions -- (71) (43) -- -- ----------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Capital Share Transactions 104,217 2,729 (5,569) (28,468) (21,228) ----------------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------------- LARGE CAP TAX-MANAGED SMALL CAP GROWTH FUND SMALL CAP FUND VALUE FUND ----------------------------------------------------------------------------------------------------------------------------- 2006 2005 2006 2005 2006 2005 ----------------------------------------------------------------------------------------------------------------------------- Class A: Shares Issued 32,792 37,545 6,096 4,781 14,206 12,101 Shares Issued in Lieu of Dividends & Distributions 300 913 1,122 1,210 5,563 7,107 Shares Redeemed (71,571) (54,683) (3,751) (3,938) (14,670) (15,221) ----------------------------------------------------------------------------------------------------------------------------- Total Class A Transactions (38,479) (16,225) 3,467 2,053 5,099 3,987 ----------------------------------------------------------------------------------------------------------------------------- Class I: Shares Issued 383 334 -- -- 263 317 Shares Issued in Lieu of Dividends & Distributions -- 6 -- -- 68 67 Shares Redeemed (535) (453) -- -- (248) (150) ----------------------------------------------------------------------------------------------------------------------------- Total Class I Transactions (152) (113) -- -- 83 234 ----------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Capital Share Transactions (38,631) (16,338) 3,467 2,053 5,182 4,221 -----------------------------------------------------------------------------------------------------------------------------
(1) The Large Cap Diversified Alpha Fund commenced operations on December 14, 2005. (2) Includes redemptions as a result of in-kind transfers of securities (see note 9). Amounts designated as "--" are zero or have been rounded to zero. -------------------------------------------------------------------------------- 184 SEI Institutional Managed Trust / Annual Report / September 30, 2006
------------------------------------------------------------------------------------------------------------------------- SMALL CAP MID-CAP U.S. MANAGED GLOBAL MANAGED GROWTH FUND FUND VOLATILITY FUND(1) VOLATILITY FUND(3) ------------------------------------------------------------------------------------------------------------------------- 2006 2005 2006 2005 2006 2005 2006 ------------------------------------------------------------------------------------------------------------------------- Class A: Shares Issued 20,574 17,025 3,896 2,758 17,714 15,432(2) 9,704 Shares Issued in Lieu of Dividends & Distributions -- -- 342 292 366 58 -- Shares Redeemed (19,958) (21,881) (3,323) (2,551) (6,865) (1,457) (547) ------------------------------------------------------------------------------------------------------------------------- Total Class A Transactions 616 (4,856) 915 499 11,215 14,033 9,157 ------------------------------------------------------------------------------------------------------------------------- Class I: Shares Issued 228 311 -- -- -- -- -- Shares Issued in Lieu of Dividends & Distributions -- -- -- -- -- -- -- Shares Redeemed (205) (252) -- -- -- -- -- ------------------------------------------------------------------------------------------------------------------------- Total Class I Transactions 23 59 -- -- -- -- -- ------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Capital Share Transactions 639 (4,797) 915 499 11,215 14,033 9,157 ------------------------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------------------------- REAL ESTATE ENHANCED CORE FIXED HIGH YIELD FUND INCOME FUND(3) INCOME FUND BOND FUND ------------------------------------------------------------------------------------------------------------------------- 2006 2005 2006 2006 2005 2006 2005 ------------------------------------------------------------------------------------------------------------------------- Class A: Shares Issued 7,942 5,103 24,889 109,028 87,292 57,619 83,256 Shares Issued in Lieu of Dividends & Distributions 375 156 -- 19,036 17,306 9,708 10,907 Shares Redeemed (4,351) (1,715) (1,550) (103,170) (94,180) (128,063) (45,595) ------------------------------------------------------------------------------------------------------------------------- Total Class A Transactions 3,966 3,544 23,339 24,894 10,418 (60,736) 48,568 ------------------------------------------------------------------------------------------------------------------------- Class I: Shares Issued -- -- -- 611 490 -- -- Shares Issued in Lieu of Dividends & Distributions -- -- -- 58 48 -- -- Shares Redeemed -- -- -- (549) (273) -- -- ------------------------------------------------------------------------------------------------------------------------- Total Class I Transactions -- -- -- 120 265 -- -- ------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Capital Share Transactions 3,966 3,544 23,339 25,014 10,683 (60,736) 48,568 -------------------------------------------------------------------------------------------------------------------------
(1) The U.S. Managed Volatility Fund commenced operations on October 28, 2004. (2) Includes subscriptions as a result of in-kind transfers of securities (see note 9). (3) The Global Managed Volatility and Enhanced Income Funds commenced operations on July 27, 2006. Amounts designated as "--" are zero or have been rounded to zero. -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 185 Notes to Financial Statements (Continued) September 30, 2006 5. INVESTMENT TRANSACTIONS The cost of security purchases and proceeds from the sale of securities, other than temporary cash investments and futures, during the year or period ended September 30, 2006, were as follows: -------------------------------------------------------------------------------- U.S. Gov't Other Total ($ Thousands) ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- LARGE CAP DIVERSIFIED ALPHA FUND Purchases .................. $ -- $ 1,538,380 $ 1,538,380 Sales ...................... -- 715,392 715,392 TAX-MANAGED LARGE CAP FUND Purchases .................. -- 1,493,465 1,493,465 Sales ...................... -- 1,469,593 1,469,593 LARGE CAP VALUE FUND Purchases .................. -- 2,193,703 2,193,703 Sales ...................... -- 3,098,534 3,098,534 LARGE CAP GROWTH FUND Purchases .................. -- 3,205,018 3,205,018 Sales ...................... -- 4,012,760 4,012,760 TAX-MANAGED SMALL CAP FUND Purchases .................. -- 227,184 227,184 Sales ...................... -- 203,704 203,704 SMALL CAP VALUE FUND Purchases .................. -- 781,310 781,310 Sales ...................... -- 806,384 806,384 SMALL CAP GROWTH FUND Purchases .................. -- 1,086,540 1,086,540 Sales ...................... -- 1,093,307 1,093,307 MID-CAP FUND Purchases .................. -- 134,908 134,908 Sales ...................... -- 122,641 122,641 U.S. MANAGED VOLATILITY FUND Purchases .................. -- 384,768 384,768 Sales ...................... -- 279,956 279,956 GLOBAL MANAGED VOLATILITY FUND Purchases .................. -- 97,430 97,430 Sales ...................... -- 10,820 10,820 REAL ESTATE FUND Purchases .................. -- 126,928 126,928 Sales ...................... -- 83,601 83,601 ENHANCED INCOME FUND Purchases .................. 57,790 83,707 141,497 Sales ...................... 40,456 17,501 57,957 CORE FIXED INCOME FUND Purchases .................. 17,459,659 1,526,913 18,986,572 Sales ...................... 17,336,336 1,778,162 19,114,498 HIGH YIELD BOND FUND Purchases .................. 15,627 1,212,605 1,228,232 Sales ...................... 12,187 1,622,516 1,634,703 For the year or period ended September 30, 2006, the following Funds effected transactions with other Funds. The purchases, sales transactions and the net realized gains/(losses) on sales of securities, executed at independently derived prices pursuant to Rule 17a-7 under the Investment Company Act of 1940, were: -------------------------------------------------------------------------------- Purchases Sales Gain/(Loss) ($ Thousands) ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Large Cap Diversified Alpha Fund $ 658,979 $ -- $ -- Large Cap Value Fund -- 330,714 32,431 Large Cap Growth Fund -- 328,265 28,169 Small Cap Value Fund -- 10,000 1,026 Enhanced Income Fund 71,002 -- -- High Yield Bond Fund -- 689,107 (21,935) 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, REIT income reclassification and utilization of earnings and profits on shareholder redemptions and net operating losses have been reclassified to/from the following accounts as of September 30, 2006: -------------------------------------------------------------------------------- Undistributed Accumulated Paid-in Net Investment Realized Capital Income/(Loss) Gain/(Loss) ($ Thousands) ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Large Cap Diversified Alpha Fund $ 615 $ 112 $ (727) Tax-Managed Large Cap Fund -- 39 (39) Large Cap Value Fund 49,443 80 (49,523) Large Cap Growth Fund -- 10 (10) Tax-Managed Small Cap Fund 1,606 31 (1,637) Small Cap Value Fund 14,020 522 (14,542) Small Cap Growth Fund (4,495) 4,619 (124) Mid-Cap Fund 2,557 28 (2,585) U.S. Managed Volatility 1,751 18 (1,769) Global Managed Volatility Fund -- 396 (396) Real Estate Fund* -- 1,008 (1,008) Enhanced Income Fund -- (7) 7 Core Fixed Income Fund -- 159 (159) High Yield Bond Fund -- 211 (211) *Information reflects Fund activity based on Fund's December 31, 2005 tax reporting year. -------------------------------------------------------------------------------- 186 SEI Institutional Managed Trust / Annual Report / September 30, 2006 The tax character of dividends and distributions paid during the years or period ended September 30, 2006 and September 30, 2005 was as follows:
--------------------------------------------------------------------------------------------- Ordinary Long-term Income Capital Gain Total ($ Thousands) ($ Thousands) $ Thousands) --------------------------------------------------------------------------------------------- Large Cap Diversified Alpha Fund 2006 $ 5,836 $ -- $ 5,836 Tax-Managed Large Cap Fund 2006 19,664 -- 19,664 2005 22,762 -- 22,762 Large Cap Value Fund 2006 109,621 203,649 313,270 2005 88,105 4,927 93,032 Large Cap Growth Fund 2006 6,263 -- 6,263 2005 17,915 -- 17,915 Tax-Managed Small Cap Fund 2006 4,108 10,936 15,044 2005 1,893 13,691 15,584 Small Cap Value Fund 2006 38,571 77,086 115,657 2005 58,192 90,972 149,164 Small Cap Growth Fund 2006 -- -- -- 2005 -- -- -- Mid-Cap Fund 2006 4,046 3,186 7,232 2005 2,402 3,479 5,881 U.S. Managed Volatility Fund 2006 4,098 102 4,200 2005 635 6 641 Global Managed Volatility Fund 2006 -- -- -- Real Estate Fund 2006 4,354 1,919 6,273 2005 1,959 220 2,179 Enhanced Income Fund 2006 -- -- -- Core Fixed Income Fund 2006 194,350 13,007 207,357 2005 171,693 23,897 195,590 High Yield Bond Fund 2006 89,029 -- 89,029 2005 100,331 -- 100,331
As of September 30, 2006, the components of Distributable Earnings/(Accumulated Losses) were as follows:
------------------------------------------------------------------------------------------------------------------------------------ Total Distributable Undistributed Undistributed Capital Post Unrealized Other Earnings/ Ordinary Long-Term Loss October Appreciation Temporary (Accumulated Income Capital Gain Carryforwards Losses (Depreciation) Differences Losses) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------------------------------------------------------------ Large Cap Diversified Alpha Fund $ 3,969 $ 2,954 $ -- $ (1) $ 31,206 $ (61) $ 38,067 Tax-Managed Large Cap Fund 5,081 -- (426,770) -- 470,018 (1) 48,328 Large Cap Value Fund 37,892 265,434 -- -- 737,626 -- 1,040,952 Large Cap Growth Fund 843 -- (1,283,428) (28,217) 374,094 -- (936,708) Tax-Managed Small Cap Fund 2,629 17,421 -- -- 43,166 -- 63,216 Small Cap Value Fund 20,231 85,277 -- -- 155,011 -- 260,519 Small Cap Growth Fund -- -- (36,498) -- 30,207 -- (6,291) Mid-Cap Fund 371 5,399 -- -- 7,785 -- 13,555 U.S. Managed Volatility Fund 4,375 3,837 -- -- 15,534 -- 23,746 Global Managed Volatility Fund 1,264 15 -- -- 2,151 (266) 3,164 Real Estate Fund* 572 8,248 -- -- 37,237 -- 46,057 Enhanced Income Fund 2,456 -- -- (478) 748 (406) 2,320 Core Fixed Income Fund 17,472 -- (18,435) (46,207) 18,099 (17,918) (46,989) High Yield Bond Fund 7,291 -- (133,914) (30,072) (9,221) (6,793) (172,709)
*Information reflects Fund activity based on Fund's December 31, 2005 tax reporting year. Post October losses represent losses realized on investment transactions from November 1, 2005 through September 30, 2006 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 Loss 2014 2012 2011 2010 Carryforwards ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------------------------------- Tax-Managed Large Cap Fund $ -- $ 16,066 $ 203,461 $ 207,243 $ 426,770 Large Cap Growth Fund -- 7,113 625,971 650,344 1,283,428 Small Cap Growth Fund -- -- 36,498 -- 36,498 Core Fixed Income Fund 18,435 -- -- -- 18,435 High Yield Bond Fund 8,149 -- 57,114 68,651 133,914
-------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 187 Notes to Financial Statements (Concluded) September 30, 2006 During the year ended September 30, 2006, the Tax-Managed Large Cap, Large Cap Growth and Small Cap Growth Funds utilized $51,847,526, $104,070,991 and $60,625,876, respectively, of capital loss carryforward to offset capital gains. For Federal income tax purposes, the cost of securities owned at September 30, 2006, and the net realized gains or losses on securities sold for the period, were different from amounts reported for financial reporting purposes, primarily due to wash sales which cannot be used for Federal income tax purposes in the current year and have been deferred for use in future years. The Federal tax cost and aggregate gross unrealized appreciation and depreciation on investments held by the Funds at September 30, 2006, were as follows:
---------------------------------------------------------------------------------------- Net Unrealized Federal Appreciated Depreciated Appreciation Tax Cost Securities Securities (Depreciation) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ---------------------------------------------------------------------------------------- Large Cap Diversified Alpha Fund $1,184,020 $ 62,890 $ (35,310) $ 27,580 Tax-Managed Large Cap Fund 2,209,470 519,985 (49,967) 470,018 Large Cap Value Fund 3,500,913 801,606 (63,980) 737,626 Large Cap Growth Fund 3,391,395 535,013 (160,919) 374,094 Tax-Managed Small Cap Fund 406,574 55,148 (11,982) 43,166 Small Cap Value Fund 1,320,747 210,688 (55,677) 155,011 Small Cap Growth Fund 1,461,690 140,739 (110,532) 30,207 Mid-Cap Fund 93,442 9,781 (1,996) 7,785 U.S. Managed Volatility Fund 286,168 20,995 (5,461) 15,534 Global Managed Volatility Fund 90,521 3,282 (1,434) 1,848 Real Estate Fund 139,943 37,964 (727) 37,237 Enhanced Income Fund 256,198 753 (411) 342 Core Fixed Income Fund 6,025,486 62,165 (43,511) 18,654 High Yield Bond Fund 1,153,690 17,092 (27,280) (10,188)
7. SECURITIES LENDING Each Fund may lend portfolio securities to brokers, dealers and other financial organizations that meet capital and other credit requirements or other criteria established by the Trust's Board of Trustees. These loans may not exceed 33 1/3% of the total asset value of the Fund (including the loan collateral). No Fund will lend portfolio securities to its Adviser, sub-adviser or their affiliates unless it has applied for and received specific authority to do so from the SEC. Loans of portfolio securities will be fully collateralized by cash. Collateral will be maintained in an amount equal to at least 100% of the current market value of the loaned securities by marking to market daily, although the borrower will be required to deliver collateral of 102% and 105% of the market value of borrowed securities for domestic and foreign securities, respectively. However, due to market fluctuations during the day, the value of securities loaned on a particular day may, during the course of the day, exceed the value of collateral. On each business day, the amount of collateral is adjusted based on the prior day's market fluctuations and the current day's lending activity. Income from lending activity is determined by the amount of interest earned on collateral, less any amounts payable to the borrowers of the securities and the lending agent. Lending securities involves certain risks, including the risk that the Fund may be delayed or prevented from recovering the collateral if the borrower fails to return the securities. Cash collateral received in connection with securities lending is invested in short-term investments by the lending agent. These investments may include repurchase agreements, which are collateralized by United States Treasury and Government Agency securities, and high-quality, short-term instruments, such as floating rate corporate obligations, commercial paper, and private placements with an average weighted maturity not to exceed 60 days and a maturity not to exceed 397 days. 8. CONCENTRATIONS/RISKS In the normal course of business, the Funds enter into contracts that provide general indemnifications by the Funds to the counterparty to the contract. The Funds' maximum exposure under these arrangements is dependent on future claims that may be made against the Funds and, therefore, cannot be estimated; however, based on experience, the risk of loss from such claims is considered remote. The market values of the Core Fixed Income and High Yield Bond Funds' investments will change in response to interest rate changes and other factors. During periods of falling interest rates, the values of fixed income securities generally rise. Conversely, during periods of rising interest rates, the values of such securities generally decline. Changes by recognized rating agencies in the ratings of any fixed income security and in the ability of an issuer to make payments of interest and principal may also affect the value of these investments. 9. IN-KIND TRANSFERS OF SECURITIES During the year ended September 30, 2005, the Large Cap Value and U.S. Managed Volatility Funds issued (redeemed) shares of beneficial interest in exchange for securities. The securities were transferred at their current value on the date of transaction. -------------------------------------------------------------------------------- Shares Issued (Redeemed) Value Gain -------------------------------------------------------------------------------- Large Cap Value Fund 10/28/04 (301,626) $ 5,993,304 $ 306,542 U.S. Managed Volatility Fund 10/28/04 599,330 5,993,304 -- -------------------------------------------------------------------------------- 188 SEI Institutional Managed Trust / Annual Report / September 30, 2006 10. LITIGATION The Core Fixed Income Fund has participated as a plaintiff bondholder, along with other institutional bondholders, in litigation against Duty Free International, British Airport Authority ("BAA") and other defendants relating to Notes issued by Duty Free International which are held by the Fund. BAA is the former parent company of Duty Free International. The plaintiffs in that action have since settled with all defendants with the exception of BAA. The litigation proceeded to jury trial against BAA in December, 2003, and the jury found against the plaintiffs on all counts. Plaintiffs subsequently appealed. In January 2006, the Court of Appeals ruled in favor of plantiffs and remanded for a new trial. The Core Fixed Income Fund is bearing its portion of the legal expenses associated with this litigation over and above the expense limitations of the Fund. 11. NEW ACCOUNTING PRONOUNCEMENTS In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB interpretation 48 ("FIN 48"), "Accounting for Uncertainty in Income Taxes." This standard defines the threshold for recognizing the benefits of tax-return positions in the financial statements as "more-likely-than-not" to be sustained by the taxing authority and requires measurement of a tax position meeting the more-likely-than-not criterion, based on the largest benefit that is more than 50 percent likely to be realized. FIN 48 is effective as of the beginning of the first fiscal year beginning after December 15, 2006. At adoption, companies must adjust their financial statements to reflect only those tax positions that are more-likely-than-not to be sustained as of the adoption date. As of September 30, 2006, the Funds have not evaluated the impact that will result, if any, from adopting FIN 48. In September 2006, the FASB issued Statement on Financial Accounting Standards ("SFAS") No. 157, "Fair Value Measurements". This standard establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and requires additional disclosures about fair value measurements. SFAS No. 157 applies to fair value measurements already required or permitted by existing standards. SFAS No. 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. The changes to current generally accepted accounting principles from the application of this Statement relate to the definition of fair value, the methods used to measure fair value, and the expanded disclosures about fair value measurements. As of September 30, 2006, the Funds do not believe the adoption of SFAS No. 157 will impact the amounts reported in the financial statements, however, additional disclosures may be required about the inputs used to develop the measurements and the effect of certain of the measurements reported in the financial statements for a fiscal period. 12. SUBSEQUENT EVENT On November 1, 2006, the Board approved a change in investment policies for the Small/Mid Cap Equity Fund. The Board also approved a name change from Small/Mid Cap Equity Fund to Small/Mid Cap Diversified Alpha Fund. As of November 21, 2006 the Small/Mid Cap Diversified Alpha Fund had not yet commenced operations. -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 189 Report of Independent Registered Public Accounting Firm To the Board of Trustees and Shareholders of SEI Institutional Managed Trust We have audited the accompanying statements of assets and liabilities, including the schedules of investments of SEI Institutional Managed Trust, comprising the Large Cap Diversified Alpha, Tax-Managed Large Cap, Large Cap Value, Large Cap Growth, Tax-Managed Small Cap, Small Cap Value, Small Cap Growth, Mid-Cap, U.S. Managed Volatility, Global Managed Volatility, Real Estate, Enhanced Income, Core Fixed Income and High Yield Bond Funds (collectively, the "Funds"), as of September 30, 2006, and the related statements of operations, changes in net assets and the financial highlights for the year or period then ended. These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The statements of changes in net assets and the financial highlights of the Tax-Managed Large Cap, Large Cap Value, Large Cap Growth, Tax-Managed Small Cap, Small Cap Value, Small Cap Growth, Mid-Cap, U.S. Managed Volatility, Real Estate, Core Fixed Income and High Yield Bond Funds for the years or periods ended September 30, 2005 and prior, were audited by other auditors. Those auditors expressed an unqualified opinion on those statements of changes in net assets and financial highlights in their report dated November 28, 2005. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2006, by correspondence with the custodians and brokers. As to securities purchased or sold but not yet received or delivered, we performed other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the portfolios comprising SEI Institutional Managed Trust as of September 30, 2006, the results of their operations, the changes in their net assets and the financial highlights for the year or period then ended, in conformity with U.S. generally accepted accounting principles. /s/ KPMG LLP Philadelphia, Pennsylvania November 27, 2006 -------------------------------------------------------------------------------- 190 SEI Institutional Managed Trust / Annual Report / September 30, 2006 TRUSTEES AND OFFICERS OF THE TRUST (Unaudited) The following chart lists Trustees and Officers as of November 24, 2006. Set forth below are the names, addresses, ages, position with the Trust, Term of Office and Length of Time Served, the principal occupations for the last five years, number of portfolios in fund complex overseen by trustee, and other directorships outside the fund complex of each of the persons currently serving as Trustees and Officers of the Trust. The Trust's Statement of Additional Information ("SAI") includes additional information about the Trustees and Officers. The SAI may be obtained without charge by calling 1-800-342-5734.
------------------------------------------------------------------------------------------------------------------------------------ TERM OF NUMBER OF OFFICE PORTFOLIOS AND PRINCIPAL IN FUND NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY AND AGE TRUSTS SERVED 1 FIVE YEARS BY TRUSTEE 2 TRUSTEE ------------------------------------------------------------------------------------------------------------------------------------ INTERESTED TRUSTEES ------------------- Robert A. Nesher Chairman since 1982 Currently performs various 72 Trustee of The Advisors' Inner One Freedom of the services on behalf of SEI Circle Fund, The Advisors' Valley Drive, Board of Investments for which Mr. Inner Circle Fund II, Bishop Oaks, PA 19456 Trustees* Nesher is compensated. Street Funds, Director of SEI 60 yrs. old Global Master Fund, plc, SEI Global Assets Fund, plc, SEI Global Investments Fund, plc, SEI Investments Global, Limited, SEI Investments -- Global Fund Services, Limited, SEI Investments (Europe), Limited, SEI Investments -- Unit Trust Management (UK), Limited, SEI Global Nominee Ltd., SEI Opportunity Master Fund, L.P., SEI Opportunity Fund, L.P. and SEI Multi- Strategy Funds plc. ------------------------------------------------------------------------------------------------------------------------------------ William M. Doran Trustee* since 1982 Self-employed consultant since 72 Trustee of The Advisors' Inner 1701 Market Street 2003. Partner, Morgan, Lewis & Circle Fund, The Advisors' Philadelphia, PA Bockius LLP (law firm) from 1976 Inner Circle Fund II, Director 19103 to 2003, counsel to the Trust, of SEI since 1974. Director of 66 yrs. old SEI, SIMC, the Administrator and the Distributor since 2003. the Distributor. Secretary of Director of SEI Investments -- SEI since 1978. Global Fund Services, Limited, SEI Investments Global, Limited, SEI Investments (Europe), Limited, SEI Investments (Asia), Limited and SEI Asset Korea Co., Ltd. ------------------------------------------------------------------------------------------------------------------------------------ TRUSTEES -------- F. Wendell Gooch Trustee since 1982 Retired 72 Trustee of STI Classic Funds One Freedom and STI Classic Variable Valley Drive, Trust. Oaks, PA 19456 73 yrs. old ------------------------------------------------------------------------------------------------------------------------------------ James M. Storey Trustee since 1995 Attorney, sole practitioner 72 Trustee of The Advisors' Inner One Freedom since 1994. Partner, Dechert Circle Fund, The Advisors' Valley Drive, Price & Rhoads, September 1987- Inner Circle Fund II, Oaks, PA 19456 December 1993. Massachusetts Health and 75 yrs. old Education Tax-Exempt Trust, and U.S. Charitable Gift Trust. ------------------------------------------------------------------------------------------------------------------------------------
*MESSRS. NESHER AND DORAN ARE TRUSTEES WHO MAY BE DEEMED AS "INTERESTED" PERSONS OF THE TRUST AS THAT TERM IS DEFINED IN THE 1940 ACT BY VIRTUE OF THEIR AFFILIATION WITH SIMC AND THE TRUST'S DISTRIBUTOR. 1EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR UNTIL HE OR SHE SOONER DIES, RESIGNS OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S DECLARATION OF TRUST. 2THE FUND COMPLEX INCLUDES THE FOLLOWING 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 LIQUID ASSET TRUST AND SEI TAX EXEMPT TRUST. -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 191 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 ------------------------------------------------------------------------------------------------------------------------------------ TRUSTEES (CONTINUED) -------- George J. Sullivan, Jr. Trustee since 1996 Self-Employed Consultant, 72 Trustee of The Advisors' Inner One Freedom Newfound Consultants Inc. since Circle Fund, The Advisors' Valley Drive April 1997. Inner Circle Fund II, State Oaks, PA 19456 Street Navigator Securities 63 yrs. old Lending Trust, SEI Opportunity Master Fund, L.P., and SEI Opportunity Fund, L.P. ------------------------------------------------------------------------------------------------------------------------------------ Rosemarie B. Greco Trustee since 1999 Director, Governor's Office of 72 Director, Sonoco, Inc.; One Freedom` Health Care Reform, Commonwealth Director, Exelon Corporation; Valley Drive of Pennsylvania since 2003. Trustee, Pennsylvania Real Oaks, PA 19456 Founder and Principal, Estate Investment Trust. 60 yrs. old Grecoventures Ltd. from 1999 to 2002. ------------------------------------------------------------------------------------------------------------------------------------ Nina Lesavoy Trustee since 2003 Managing Partner, Cue Capital 72 Director of SEI Opportunity One Freedom since March 2002, Managing Master Fund, L.P., and SEI Valley Drive, Partner and Head of Sales, Opportunity Fund, L.P. Oaks, PA 19456 Investorforce, March 49 yrs. old 2000-December 2001; Global Partner working for the CEO, Invesco Capital, January 1998-January 2000. Head of Sales and Client Services, Chancellor Capital and later LGT Asset Management, 1986-2000. ------------------------------------------------------------------------------------------------------------------------------------ James M. Williams Trustee since 2004 Vice President and Chief 72 Trustee/Director of Ariel One Freedom Investment Officer, J. Paul Mutual Funds, SEI Opportunity Valley Drive, Getty Trust, Non-Profit Master Fund, L.P., and SEI Oaks, PA 19456 Foundation for Visual Arts, Opportunity Fund, L.P. 59 yrs. old since December 2002. President, Harbor Capital Advisors and Harbor Mutual Funds, 2000-2002. Manager, Pension Asset Management, Ford Motor Company, 1997-1999. ------------------------------------------------------------------------------------------------------------------------------------ OFFICERS -------- Robert A. Nesher President since 2005 Currently performs various N/A N/A One Freedom & CEO services on behalf of SEI for Valley Drive, which Mr. Nesher is compensated. Oaks, PA 19456 60 yrs. old ------------------------------------------------------------------------------------------------------------------------------------ Stephen F. Panner Controller and since 2005 Fund Accounting Director of the N/A N/A One Freedom Chief Administrator since 2005. Fund Valley Drive, Financial Administration Manager, Old Oaks, PA 19456 Officer Mutual Fund Services, 2000-2005. 36 yrs. old Chief Financial Officer, Controller and Treasurer, PBHG Funds and PBHG Insurance Series Fund, 2004-2005. Assistant Treasurer, PBHG Funds and PBHG Insurance Series Fund, 2000-2004. Assistant Treasurer, Old Mutual Fund Advisors Fund, 2004-2005. ------------------------------------------------------------------------------------------------------------------------------------ Russell Emery Chief since 2006 Chief Compliance Officer of SEI N/A N/A One Freedom Compliance Opportunity Master Fund, L.P., Valley Drive Officer SEI Opportunity Fund, L.P., Oaks, PA 19456 Bishop Street Funds, SEI 43 yrs. old Institutional Managed Trust, SEI Asset Allocation Trust, SEI Institutional International Trust, SEI Index Funds, SEI Liquid Asset Trust, SEI Daily Income Trust, SEI Tax Exempt Trust, SEI Institutional Investments Trust, The Advisors' Inner Circle Fund and the Advisors' Inner Circle Fund II, since March 2006. Director of Investment Product Management and Development of SIMC, February 2003-March 2006. Senior Investment Analyst--Equity Team of SEI, March 2000-February 2003.
-------------------------------------------------------------------------------- 192 SEI Institutional Managed Trust / Annual Report / September 30, 2006
------------------------------------------------------------------------------------------------------------------------------------ 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) -------- Timothy D. Barto Vice since 2002 General Counsel, Vice President N/A N/A One Freedom President and Secretary of SIMC and the Valley Drive and Administrator since 2004. Vice Oaks, PA 19456 Secretary President and Assistant 38 yrs. old Secretary of SEI since 2001. Vice President of SIMC and the Administrator since 1999. Assistant Secretary of SIMC, the Administrator and the Distributor and Vice President of the Distributor, 1999-2003. ------------------------------------------------------------------------------------------------------------------------------------ Sofia A. Rosala Vice since 2004 Vice President and Assistant N/A N/A One Freedom President Secretary of SIMC and the Valley Drive and Administrator since 2005. Oaks, PA 19456 Assistant Compliance Officer of SEI, 32 yrs. old Secretary September 2001-2004. Account and Product Consultant, SEI Private Trust Company, 1998-2001. ------------------------------------------------------------------------------------------------------------------------------------ James Ndiaye Vice since 2005 Vice President and Assistant N/A N/A One Freedom President Secretary of SIMC since 2005. Valley Drive and Vice President, Deutsche Asset Oaks, PA 19456 Assistant Management (2003-2004). 38 yrs. old Secretary Associate, Morgan, Lewis & Bockius LLP (2000-2003). Assistant Vice President, ING Variable Annuities Group (1999-2000). ------------------------------------------------------------------------------------------------------------------------------------ Michael T. Pang Vice since 2005 Vice President and Assistant N/A N/A One Freedom President Secretary of SIMC since 2005. Valley Drive and Counsel, Caledonian Bank & Oaks, PA 19456 Assistant Trust's Mutual Funds Group 34 yrs. old Secretary (2004). Counsel, Permal Asset Management (2001-2004). Associate, Schulte, Roth & Zabel's Investment Management Group (2000-2001). Staff Attorney, U.S. SEC's Division of Enforcement, Northeast Regional Office (1997-2000). ------------------------------------------------------------------------------------------------------------------------------------ John J. McCue Vice since 2004 Director of Portfolio N/A N/A One Freedom President Implementations for SIMC since Valley Drive 1995. Managing Director of Money Oaks, PA 19456 Market Investments for SIMC 43 yrs. old since 2003. ------------------------------------------------------------------------------------------------------------------------------------ Nicole Welch Anti-Money since 2005 Assistant Vice President and N/A N/A One Freedom Laundering Anti-Money Laundering Compliance Valley Drive Compliance Coordinator of SEI since 2005. Oaks, PA 19456 Officer Compliance Analyst, TD 29 yrs. old Waterhouse (2004). Senior Compliance Analyst, UBS Financial Services (2002-2004). Knowledge Management Analyst, PriceWaterhouseCoopers Consulting (2000-2002). ------------------------------------------------------------------------------------------------------------------------------------
1EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR UNTIL HE OR SHE SOONER DIES, RESIGNS OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S DECLARATION OF TRUST. 2THE FUND COMPLEX INCLUDES THE FOLLOWING 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 LIQUID ASSET TRUST AND SEI TAX EXEMPT TRUST. -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 193 Disclosure of Fund Expenses (Unaudited) All mutual funds have operating expenses. As a shareholder of a mutual fund, your investment is affected by these ongoing costs, which include (among others) costs for portfolio management, administrative services, and shareholder reports like this one. It is important for you to understand the impact of these costs on your investment returns. Operating expenses such as these are deducted from the mutual fund`s gross income and directly reduce your final investment return. These expenses are expressed as a percentage of the mutual fund's average net assets; this percentage is known as the mutual fund's expense ratio. The following examples use the expense ratio and are intended to help you understand the ongoing costs (in dollars) of investing in your Fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The table on the next page illustrates your Fund's costs in two ways: o ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that your Fund incurred over the period. The "Expenses Paid During Period" column shows the actual dollar expense cost incurred by a $1,000 investment in the Fund, and the "Ending Account Value" number is derived from deducting that expense cost from the Fund's gross investment return. You can use this information, together with the actual amount you invested in your Fund, to estimate the expenses you paid over that period. Simply divide your actual starting account value by $1,000 to arrive at a ratio (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply that ratio by the number shown for your Fund under "Expenses Paid During Period." o HYPOTHETICAL 5% RETURN. This section helps you compare your Fund's costs with those of other mutual funds. It assumes that your Fund had an annual 5% return before expenses during the year, but that the expense ratio (Column 3) is unchanged. This example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to make this 5% calculation. You can assess your Fund's comparative cost by comparing the hypothetical result for your Fund in the "Expense Paid During Period" column with those that appear in the same charts in the shareholder reports for other mutual funds. NOTE: Because the return is set at 5% for comparison purposes -- NOT your Fund's actual return -- the account values shown do not apply to your specific investment. -------------------------------------------------------------------------------- 194 SEI Institutional Managed Trust / Annual Report / September 30, 2006
BEGINNING ENDING EXPENSE ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 4/1/06 9/30/06 RATIOS PERIOD* --------------------------------------------------------------------------------------------- LARGE CAP DIVERSIFIED ALPHA FUND --------------------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,015.70 0.95% $4.80 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,020.31 0.95% $4.81 --------------------------------------------------------------------------------------------- TAX-MANAGED LARGE CAP FUND --------------------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,017.80 0.86% $4.35 Class Y Shares $1,000.00 $1,018.60 0.56% $2.83 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,020.76 0.86% $4.36 Class Y Shares $1,000.00 $1,022.26 0.56% $2.84 --------------------------------------------------------------------------------------------- LARGE CAP VALUE FUND --------------------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,063.10 0.86% $4.45 Class I Shares $1,000.00 $1,061.50 1.11% $5.74 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,020.76 0.86% $4.36 Class I Shares $1,000.00 $1,019.50 1.11% $5.62 --------------------------------------------------------------------------------------------- LARGE CAP GROWTH FUND --------------------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $ 974.70 0.86% $4.26 Class I Shares $1,000.00 $ 973.40 1.11% $5.49 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,020.76 0.86% $4.36 Class I Shares $1,000.00 $1,019.50 1.11% $5.62 --------------------------------------------------------------------------------------------- TAX-MANAGED SMALL CAP FUND --------------------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $ 935.00 1.11% $5.38 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,019.50 1.11% $5.62 --------------------------------------------------------------------------------------------- SMALL CAP VALUE FUND --------------------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $ 987.20 1.11% $5.53 Class I Shares $1,000.00 $ 986.60 1.36% $6.77 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,019.50 1.11% $5.62 Class I Shares $1,000.00 $1,018.25 1.36% $6.88 --------------------------------------------------------------------------------------------- SMALL CAP GROWTH FUND --------------------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $ 895.80 1.11% $5.28 Class I Shares $1,000.00 $ 895.00 1.36% $6.46 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,019.50 1.11% $5.62 Class I Shares $1,000.00 $1,018.25 1.36% $6.88 --------------------------------------------------------------------------------------------- MID-CAP FUND --------------------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $ 977.90 1.01% $5.01 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,020.00 1.01% $5.11 --------------------------------------------------------------------------------------------- U.S. MANAGED VOLATILITY FUND --------------------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,032.00 1.11% $5.65 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,019.50 1.11% $5.62 BEGINNING ENDING EXPENSE ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 4/1/06 9/30/06 RATIOS PERIOD* --------------------------------------------------------------------------------------------- REAL ESTATE FUND --------------------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,071.00 1.11% $5.76 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,019.50 1.11% $5.62 --------------------------------------------------------------------------------------------- CORE FIXED INCOME FUND --------------------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,036.90 0.64% $3.27 Class I Shares $1,000.00 $1,035.60 0.89% $4.54 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,021.86 0.64% $3.24 Class I Shares $1,000.00 $1,020.61 0.89% $4.51 --------------------------------------------------------------------------------------------- HIGH YIELD BOND FUND --------------------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,030.90 0.86% $4.38 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,020.76 0.86% $4.36
*Expenses are equal to the Fund's annualized expense ratio multiplied by the average account value over the period, multiplied by 183/365 (to reflect one-half year period shown).
--------------------------------------------------------------------------------------------- BEGINNING ENDING EXPENSE ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 9/14/06(1) 9/30/06 RATIOS PERIOD --------------------------------------------------------------------------------------------- LARGE CAP DIVERSIFIED ALPHA FUND --------------------------------------------------------------------------------------------- ACTUAL FUND RETURN Class I Shares $1,000.00 $1,009.70 1.20% $0.56* HYPOTHETICAL 5% RETURN Class I Shares $1,000.00 $1,019.05 1.20% $6.07**
(1) Date of inception. * Expenses are equal to the Fund's annualized expense ratio multiplied by the average account value over the period, multiplied by 17/365 (to reflect the period since inception). ** Expenses are equal to the Fund's annualized expense ratio multiplied by the average account value over the period, multiplied by 183/365 (to reflect one-half year period shown).
--------------------------------------------------------------------------------------------- BEGINNING ENDING EXPENSE ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 7/27/06(1) 9/30/06 RATIOS PERIOD --------------------------------------------------------------------------------------------- GLOBAL MANAGED VOLATILITY FUND --------------------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 1,037.00 1.10% $ 2.03* HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,019.65 1.10% $ 5.57** --------------------------------------------------------------------------------------------- ENHANCED INCOME FUND --------------------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 1,011.00 0.60% $ 1.09* HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,022.06 0.60% $ 3.04**
(1) Date of inception. * Expenses are equal to the Fund's annualized expense ratio multiplied by the average account value over the period, by 66/365 (to reflect the period multiplied since inception). ** Expenses are equal to the Fund's annualized expense ratio multiplied by the average account value over the period, multiplied by 183/365 (to reflect one-half year period shown). -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 195 Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited) The SEI Institutional Managed Trust ("the Trust") and SEI Investments Management Corporation ("SIMC") have entered into an investment advisory agreement (the "Advisory Agreement"). Pursuant to the Advisory Agreement, SIMC oversees the investment advisory services provided to each series of the Trust (each, a "Fund" and, collectively, the "Funds") and may manage the cash portion of the Funds' assets. Pursuant to separate sub-advisory agreements (the "Sub-Advisory Agreements" and, together with the Advisory Agreement, the "Investment Advisory Agreements") with SIMC, and under the supervision of SIMC and the Trust's Board of Trustees (the "Board"), the Sub-Advisers are responsible for the day-to-day investment management of all or a discrete portion of the assets of the Funds. The Sub-Advisers also are responsible for managing their employees who provide services to these Funds. The Sub-Advisers are selected based primarily upon the research and recommendations of SIMC, which evaluates quantitatively and qualitatively each Sub-Adviser's skills and investment results in managing assets for specific asset classes, investment styles and strategies. The Investment Company Act of 1940, as amended (the "1940 Act") requires that the initial approval of, as well as the continuation of, each Fund's Investment Advisory Agreements must be specifically approved: (i) by the vote of the Board of Trustees or by a vote of the shareholders of the Fund; and (ii) by the vote of a majority of the Trustees who are not parties to the Investment Advisory Agreements or "interested persons" of any party (the "Independent Trustees"), cast in person at a meeting called for the purpose of voting on such approval. In connection with their consideration of such approvals, the Fund's Trustees must request and evaluate, and SIMC and the Sub-Advisers are required to furnish, such information as may be reasonably necessary to evaluate the terms of the Investment Advisory Agreements. In addition, the Securities and Exchange Commission ("SEC") takes the position that, as part of their fiduciary duties with respect to a mutual fund's fees, mutual fund boards are required to evaluate the material factors applicable to a decision to approve an Investment Advisory Agreement. Consistent with these responsibilities, the Trust's Board of Trustees calls and holds meetings each year that are dedicated to considering whether to renew the Investment Advisory Agreements between the Trust and SIMC and SIMC and each of the Sub-Advisers with respect to the Funds of the Trust. In preparation for these meetings, the Board requests and reviews a wide variety of materials provided by SIMC and the Sub-Advisers, including information about SIMC's and the Sub-Advisers' affiliates, personnel and operations. The Board also receives extensive data provided by third parties. This information is in addition to the detailed information about the Funds that the Board reviews during the course of each year, including information that relates to Fund operations and Fund performance. The Trustees also receive a memorandum from Fund counsel and independent counsel to the Independent Trustees regarding the responsibilities of Trustees in connection with their consideration of whether to approve the Trust's Investment Advisory Agreements. Finally, the Independent Trustees receive advice from independent counsel to the Independent Trustees, meet in executive session outside the presence of Fund management and participate in question and answer sessions with representatives of SIMC and the Sub-Advisers. Specifically, the Board requested and received written materials from SIMC and each Sub-Adviser regarding: (a) the quality of SIMC's and the Sub-Adviser's investment management and other services; (b) SIMC's and the Sub-Adviser's investment management personnel; (c) SIMC's and the Sub-Adviser's operations and financial condition; (d) SIMC's and the Sub-Adviser's brokerage practices (including any soft dollar arrangements) and investment strategies; (e) the level of the advisory fees that SIMC and each Sub-Adviser charge a Fund compared with the fees each charges to comparable mutual funds; (f) a Fund's overall fees and operating expenses compared with similar mutual funds; (g) the level of SIMC's and each Sub-Adviser's profitability from its Fund-related operations; (h) SIMC's and the Sub-Adviser's compliance systems; (i) SIMC's and the Sub-Adviser's policies on and compliance procedures for personal securities transactions; (j) SIMC's and the Sub-Adviser's reputation, expertise and resources in domestic and/or international financial markets; and (k) each Fund's performance compared with similar mutual funds. -------------------------------------------------------------------------------- 196 SEI Institutional Managed Trust / Annual Report / September 30, 2006 At the December 7, 2005, December 8, 2005, March 8, 2006, June 22, 2006 and September 21, 2006 meetings of the Board of Trustees, the Trustees, including a majority of the Independent Trustees, approved the Investment Advisory Agreements and approved the selection of SIMC and the Sub-Advisers to act in their respective capacities for the Funds. The Board's approval was based on its consideration and evaluation of a variety of specific factors discussed at the meetings and at prior meetings, including: o the nature, extent and quality of the services provided to the Funds under the Investment Advisory Agreements, including the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds; o each Fund's investment performance and how it compared to that of other comparable mutual funds; o each Fund's expenses under each Investment Advisory Agreement and how those expenses compared to those of other comparable mutual funds; o the profitability of SIMC and the Sub-Advisers and their affiliates with respect to each Fund, including both direct and indirect benefits accruing to SIMC and the Sub-Advisers and their affiliates; and o the extent to which economies of scale would be realized as the Funds grow and whether fee levels in the Investment Advisory Agreements reflect those economies of scale for the benefit of Fund investors. NATURE, EXTENT AND QUALITY OF SERVICES. The Board of Trustees considered the nature, extent and quality of the services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds. In this regard, the Trustees evaluated, among other things, SIMC's and the Sub-Advisers' personnel, experience, track record and compliance program. Following evaluation, the Board concluded that, within the context of its full deliberations, the nature, extent and quality of services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds supported renewal of the Investment Advisory Agreements. FUND PERFORMANCE. The Board of Trustees considered Fund performance in determining whether to renew the Investment Advisory Agreements. Specifically, the Trustees considered each Fund's performance relative to its peer group and appropriate indices/benchmarks, in light of total return, yield and market trends. As part of this review, the Trustees considered the composition of the peer group and selection criteria. In evaluating performance, the Trustees considered both market risk and shareholder risk expectations for a given Fund. Following evaluation, the Board concluded that, within the context of its full deliberations, the performance of the Funds supported renewal of the Investment Advisory Agreements. FUND EXPENSES. With respect to the Funds' expenses under the Investment Advisory Agreements, the Trustees considered the rate of compensation called for by the Investment Advisory Agreements and each Fund's net operating expense ratio in comparison to those of other comparable mutual funds. The Trustees also considered information about average expense ratios of comparable mutual funds in each Fund's respective peer group. Finally, the Trustees considered the effects of SIMC's voluntary waiver of management and other fees and the Sub-Advisers' fees to prevent total Fund expenses from exceeding a specified cap and that SIMC and the Sub-Advisers, through waivers, have maintained the Funds' net operating expenses at competitive levels for their respective distribution channels. Following evaluation, the Board concluded that, within the context of its full deliberations, the expenses of the Funds are reasonable and supported renewal of the Investment Advisory Agreements. -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 197 Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited) (Concluded) PROFITABILITY. With regard to profitability, the Trustees considered all compensation flowing to SIMC and the Sub-Advisers and their affiliates, directly or indirectly. The Trustees considered whether the varied levels of compensation and profitability under the Investment Advisory Agreements and other service agreements were reasonable and justified in light of the quality of all services rendered to the Funds by SIMC and the Sub-Advisers and their affiliates. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the profitability of SIMC and the Sub-Advisers is reasonable and supported renewal of the Investment Advisory Agreements. ECONOMIES OF SCALE. The Trustees considered the existence of any economies of scale and whether those were passed along to a Fund's shareholders through a graduated investment advisory fee schedule or other means, including any fee waivers by SIMC and its affiliates. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the Funds obtain reasonable benefit from economies of scale. Based on the Trustees' deliberation and their evaluation of the information described above, the Board, including all of the Independent Trustees, unanimously approved the continuation of the Investment Advisory Agreements and concluded that the compensation under the Investment Advisory Agreements is fair and reasonable in light of such services and expenses and such other matters as the Trustees considered to be relevant in the exercise of their reasonable judgment. In the course of their deliberations, the Trustees did not identify any particular information that was all-important or controlling. -------------------------------------------------------------------------------- 198 SEI Institutional Managed Trust / Annual Report / September 30, 2006 Notice to Shareholders (Unaudited) For shareholders who do not have a September 30, 2006, taxable year end, this notice is for informational purposes only. For shareholders with a September 30, 2006, taxable year end, please consult your tax adviser as to the pertinence of this notice. For the fiscal year ended September 30, 2006, the Funds are designating long term and qualifying dividend income with regard to distributions paid during the year as follows:
----------------------------------------------------------------------------------------------------------------- (C) (B) DIVIDENDS (A) ORDINARY QUALIFYING LONG-TERM INCOME TOTAL FOR CORPORATE CAPITAL GAIN DISTRIBUTIONS DISTRIBUTIONS DIVIDENDS REC. FUND DISTRIBUTION (TAX BASIS) (TAX BASIS) DEDUCTION (1) ----------------------------------------------------------------------------------------------------------------- Large Cap Diversified Alpha Fund 2% 98% 100% 78% Tax-Managed Large Cap Fund 0% 100% 100% 100% Large Cap Value Fund 66% 34% 100% 86% Large Cap Growth Fund 0% 100% 100% 100% Tax-Managed Small Cap Fund 74% 26% 100% 29% Small Cap Value Fund 68% 32% 100% 21% Small Cap Growth Fund 0% 0% 0% 0% Mid-Cap Fund 54% 46% 100% 28% U.S. Managed Volatility Fund 13% 87% 100% 46% Global Managed Volatility Fund 0% 0% 0% 0% Real Estate Fund (6) 25% 75% 100% 0% Enhanced Income Fund 0% 0% 0% 0% Core Fixed Income Fund 6% 94% 100% 0% High Yield Bond Fund 0% 100% 100% 0%
----------------------------------------------------------------------------------------------------------------- (D) QUALIFYING DIVIDEND INCOME (E) QUALIFIED QUALIFIED (15% TAX RATE U.S. GOVERNMENT INTEREST SHORT-TERM FUND FOR QDI) (2) INTEREST (3) INCOME (4) CAPITAL GAINS (5) ----------------------------------------------------------------------------------------------------------------- Large Cap Diversified Alpha Fund 78% 1% 96% 100% Tax-Managed Large Cap Fund 100% 1% 4% 0% Large Cap Value Fund 86% 1% 4% 27% Large Cap Growth Fund 100% 1% 15% 0% Tax-Managed Small Cap Fund 28% 1% 0% 5% Small Cap Value Fund 19% 1% 57% 8% Small Cap Growth Fund 0% 1% 0% 0% Mid-Cap Fund 28% 1% 14% 23% U.S. Managed Volatility Fund 45% 1% 54% 30% Global Managed Volatility Fund 0% 0% 0% 0% Real Estate Fund (6) 0% 0% 0% 0% Enhanced Income Fund 0% 0% 0% 0% Core Fixed Income Fund 0% 17% 92% 0% High Yield Bond Fund 0% 1% 89% 0%
(1) Qualifying dividends represent dividends which qualify for the corporate dividends received deduction and is reflected as a percentage of ordinary Income distributions (the total of short term capital gain and net investment income distributions). (2) The percentage in this column represents the amount of "Qualifying Dividend Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of 2003 and is reflected as a percentage of ordinary income distributions (the total of short term capital gain and net investment income distributions). It is the intention of each of the aforementioned funds to designate the maximum amount permitted by law. (3) "U.S. Government Interest" represents the amount of interest that was derived from direct U.S. Government obligations and distributed during the fiscal year. This amount is reflected as a percentage of total ordinary income distributions (the total of short term capital gain and net investment income distributions). Generally, interest from direct U.S. Government obligations is exempt from state income tax. However, for shareholders who are residents of California, Connecticut and New York, the statutory threshold requirements were not satisfied to permit exemption of these amounts from state income. (4) The percentage in this column represents the amount of "Qualifying Interest Income" as created by the American Jobs Creation Act of 2004 and is reflected as a percentage of net investment income distributions that is exempt from U.S. withholding tax when paid to foreign investors. (5) The percentage in this column represents the amount of "Qualifying Short-Term Capital Gain" as created by the American Jobs Creation Act of 2004 and is reflected as a percentage of short-term capital gain distributions that is exempt from U.S. withholding tax when paid to foreign investors. (6) Information reflects Fund activity based on Fund's December 31, 2005 tax reporting year. Items (A) and (B) are based on the percentages of each Fund's total distribution. Items (C) and (D) are based on the percentage of ordinary income distributions of each Fund. Item (E) is based on the percentage of gross income of each Fund. Please consult your tax adviser for proper treatment of this information. This notification should be kept with your permanent tax records. -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Annual Report / September 30, 2006 199 Notes SEI INSTITUTIONAL MANAGED TRUST ANNUAL REPORT SEPTEMBER 30, 2006 Robert A. Nesher, CHAIRMAN TRUSTEES William M. Doran F. Wendell Gooch James M. Storey George J. Sullivan, Jr. Rosemarie B. Greco Nina Lesavoy James M. Williams OFFICERS Robert A. Nesher PRESIDENT AND CHIEF EXECUTIVE OFFICER Stephen F. Panner CONTROLLER AND CHIEF FINANCIAL OFFICER Russell Emery CHIEF COMPLIANCE OFFICER Timothy D. Barto VICE PRESIDENT, SECRETARY Sofia A. Rosala VICE PRESIDENT, ASSISTANT SECRETARY James Ndiaye VICE PRESIDENT, ASSISTANT SECRETARY Michael T. Pang VICE PRESIDENT, ASSISTANT SECRETARY John J. McCue VICE PRESIDENT Nicole Welch ANTI-MONEY LAUNDERING COMPLIANCE OFFICER INVESTMENT ADVISER SEI Investments Management Corporation ADMINISTRATOR SEI Investments Global Funds Services DISTRIBUTOR SEI Investments Distribution Co. LEGAL COUNSEL Morgan, Lewis & Bockius LLP INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM KPMG LLP This report and the financial statements contained herein are submitted for the general information of the shareholders of the Trust and must be preceded or accompanied by a current prospectus. Shares of the Funds are not deposits or obligations of, or guaranteed or endorsed by, any bank. The shares are not federally insured by the Federal Deposit Insurance Corporation (FDIC), the Federal Reserve Board, or any other government agency. Investment in the shares involves risk, including the possible loss of principal. FOR MORE INFORMATION CALL 1 800 DIAL SEI (1 800 342 5734) [SEI LOGO OMITTED] SEI New ways. New answers.(R) SEI Investments Distribution Co. Oaks, PA 19456 1.800.DIAL.SEI (1.800.342.5734) SEI-F-087 (9/06) ITEM 2. CODE OF ETHICS. The registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, comptroller or principal accounting officer. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. (a) (1) The registrant's board of trustees has determined that the registrant has one audit committee financial expert serving on the audit committee. (a) (2) The audit committee financial expert is George J. Sullivan, Jr. Mr. Sullivan is an independent trustee as defined in Form N-CSR Item 3 (a) (2) ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Fees billed by KPMG LLP (KPMG) and PricewaterhouseCoopers, LLP (PwC) Related to the Trust KPMG and PwC billed the Trust aggregate fees for services rendered to the Trust for the last two fiscal years as follows:
------------------ ----------------------------------------------------- ----------------------------------------------------- 2006 + 2005 ++ ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- All fees and All fees and All other fees All fees and All fees and All other fees services to the services to and services to services to the services to and services to Trust that were service service Trust that were service service pre-approved affiliates that affiliates that pre-approved affiliates that affiliates that were did not require were did not require pre-approved pre-approval pre-approved pre-approval ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- (a) Audit $259,600 N/A N/A $185,840 N/A $0 Fees (1) ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- (b) Audit- $ 0 $ 0 N/A $0 $34,645 (2) $0 Related Fees ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- (c) Tax N/A N/A N/A $0 $0 $0 Fees ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- (d) All $ 0 $216,500 $60,630 $0 $0 $0 Other Fees ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
+ KPMG ++ PwC Notes: (1) Audit fees include amounts related to the audit of the registrant's annual financial statements and services normally provided by KPMG and PwC in connection with statutory and regulatory filings. (2) Includes fees for 404 Readiness Assistance for SEI. (e)(1) All requests or applications for services to be provided by the independent auditor shall be submitted to the Chief Financial Officer ("CFO") of the Funds and must include a detailed description of the services proposed to be rendered. The Fund's CFO will determine whether such services (1) require specific pre-approval, (2) are included within the list of services that have received the general pre-approval of the Audit Committee or (3) have been previously pre-approved in connection with the independent auditor's annual engagement letter for the applicable year or otherwise. Requests or applications to provide services that require specific pre-approval by the Audit Committee will be submitted to the Audit Committee by the CFO. The Audit Committee will be informed by the CFO on a quarterly basis of all services rendered by the independent auditor. The Audit Committee has delegated specific pre-approval authority to either the Audit Committee Chair or financial expert, provided that the estimated fee for any such proposed pre-approved service does not exceed $100,000 and any pre-approval decisions are reported to the Audit Committee at its next regularly scheduled meeting. All services to be provided by the independent auditor shall be provided pursuant to a signed written engagement letter with the Funds, the investment advisor or applicable control affiliate (except that matters as to which an engagement letter would be impractical because of timing issues or because the matter is small may not be the subject of an engagement letter) that sets forth both the services to be provided by the independent auditor and the total fees to be paid to the independent auditor for those services. In addition, the Audit Committee has determined to take additional measures on an annual basis to meet its responsibility to oversee the work of the independent auditor and to assure the auditor's independence from the Funds, such as reviewing a formal written statement from the independent auditor delineating all relationships between the independent auditor and the Funds, and discussing with the independent auditor its methods and procedures for ensuring independence. (e)(2) Percentage of fees billed applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows: ---------------------------- ----------------- ---------------- 2006 + 2005 ++ ---------------------------- ----------------- ---------------- Audit-Related Fees 0% 0% ---------------------------- ----------------- ---------------- Tax Fees 0% 0% ---------------------------- ----------------- ---------------- All Other Fees 0% 0% ---------------------------- ----------------- ---------------- + KPMG ++ PwC (f) Not Applicable. (g)(1) The aggregate non-audit fees and services billed by KPMG for the fiscal year 2006 were $277,130. Non-audit fees consist of SAS No. 70 review of fund accounting and administration operations, attestation report in accordance with Rule 17 Ad-13, agreed upon procedures report over certain internal controls related to compliance with federal securities laws and regulations and tax consulting services for various service affiliates of the registrant. (g)(2) The aggregate non-audit fees and services billed by PwC for the 2005 fiscal year was $0. (h) During the past fiscal year, Registrant's principal accountant provided certain non-audit services to Registrant's investment adviser or to entities controlling, controlled by, or under common control with Registrant's investment adviser that provide ongoing services to Registrant that were not subject to pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X. The audit committee of Registrant's Board of Trustees reviewed and considered these non-audit services provided by Registrant's principal accountant to Registrant's affiliates, including whether the provision of these non-audit services is compatible with maintaining the principal accountant's independence. ITEMS 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable to open-end investment management companies. ITEM 6. SCHEDULE OF INVESTMENTS Included in Item 1. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable to open-end investment management companies. ITEM 8. MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES Not applicable. ITEM 9. PURCHASERS OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable to open-end management investment companies. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. The Trust has a standing Nominating Committee (the "Committee") currently consisting of the Independent Trustees. The Committee is responsible for evaluating and recommending nominees for election to the Trust's Board of Trustees (the "Board"). Pursuant to the Committee's Charter, adopted on June 18, 2004, the Committee will review all shareholder recommendations for nominations to fill vacancies on the Board if such recommendations are submitted in writing and addressed to the Committee at the Trust's office. ITEM 11. CONTROLS AND PROCEDURES. (a) The certifying officers, whose certifications are included herewith, have evaluated the registrant's disclosure controls and procedures within 90 days of the filing date of this report. Based on their evaluation, the certifying officers have concluded that the registrant's disclosure controls and procedures are adequately designed, and are operating effectively to ensure, that information required to be disclosed by the registrant in the reports it files or submits under the Securities Exchange Act of 1934 is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms. (b) There were no significant changes in the registrant's internal control over financial reporting that occurred during the registrant's last fiscal half-year that have materially affected, or are reasonably likely to materially affect, the registrants internal control over financial reporting. ITEMS 12. EXHIBITS. (a)(1) Code of Ethics attached hereto. (a)(2) A separate certification for the principal executive officer and the principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed herewith. (b) Officer certifications as required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing as an Exhibit. -------------------------------------------------------------------------------- SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) SEI Institutional Managed Trust By (Signature and Title)* /s/ Robert A. Nesher ----------------------- Robert A. Nesher President & CEO Date: December 7, 2006 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title)* /s/ Robert A. Nesher ----------------------- Robert A. Nesher President & CEO Date: December 7, 2006 By (Signature and Title)* /s/ Stephen F. Panner ----------------------- Stephen F. Panner Controller & CFO Date: December 7, 2006 * Print the name and title of each signing officer under his or her signature.