-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, RJZfAfGDF9jxqzwhKDC+DcWalLzKynDBgFD7vow5BOg8Vo8g4tVRQDzIkssw143H kIZ6K4QRZwQajq7J2zV/gw== 0000935069-08-001409.txt : 20080609 0000935069-08-001409.hdr.sgml : 20080609 20080609121255 ACCESSION NUMBER: 0000935069-08-001409 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 5 CONFORMED PERIOD OF REPORT: 20080331 FILED AS OF DATE: 20080609 DATE AS OF CHANGE: 20080609 EFFECTIVENESS DATE: 20080609 FILER: COMPANY DATA: COMPANY CONFORMED NAME: SEI INSTITUTIONAL MANAGED TRUST CENTRAL INDEX KEY: 0000804239 IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FISCAL YEAR END: 0930 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-04878 FILM NUMBER: 08887408 BUSINESS ADDRESS: STREET 1: 2 OLIVER ST CITY: BOSTON STATE: MA ZIP: 02109 BUSINESS PHONE: 8003455734 MAIL ADDRESS: STREET 1: SEI INVESTMENTS STREET 2: 1 FREEDOM VALLEY DRIVE CITY: OAKS STATE: PA ZIP: 19456 FORMER COMPANY: FORMER CONFORMED NAME: TRUSTFUNDS INSTITUTIONAL MANAGED TRUST DATE OF NAME CHANGE: 19890509 0000804239 S000006667 SIMT CORE FIXED INCOME FUND C000018186 SIMT CORE FIXED INCOME FUND - CLASS I C000018187 SIMT CORE FIXED INCOME FUND - CLASS A TRLVX 0000804239 S000006668 SIMT LARGE CAP DIVERSIFIED ALPHA FUND C000018188 SIMT LARGE CAP DIVERSIFIED ALPHA FUND - CLASS A C000030066 SIMT LARGE CAP DIVERSIFIED ALPHA FUND - CLASS I 0000804239 S000006669 SIMT REAL ESTATE FUND C000018189 SIMT REAL ESTATE FUND - CLASS A SETAX C000036883 Class I 0000804239 S000006670 SIMT SMALL CAP GROWTH FUND C000018190 SIMT SMALL CAP GROWTH FUND - CLASS I C000018191 SIMT SMALL CAP GROWTH FUND - CLASS A SSCGX 0000804239 S000006671 SIMT LARGE CAP GROWTH FUND C000018192 SIMT LARGE CAP GROWTH FUND - CLASS I C000018193 SIMT LARGE CAP GROWTH FUND - CLASS A SELCX 0000804239 S000006672 SIMT SMALL CAP VALUE FUND C000018194 SIMT SMALL CAP VALUE FUND - CLASS I C000018195 SIMT SMALL CAP VALUE FUND - CLASS A SESVX 0000804239 S000006673 SIMT HIGH YIELD BOND FUND C000018196 SIMT HIGH YIELD BOND FUND - CLASS A SHYAX C000036884 Class I 0000804239 S000006674 SIMT LARGE CAP VALUE FUND C000018197 SIMT LARGE CAP VALUE FUND - CLASS I C000018198 SIMT LARGE CAP VALUE FUND - CLASS A TRMVX 0000804239 S000006675 SIMT MID CAP FUND C000018199 SIMT MID CAP FUND - CLASS A SEMCX C000030067 SIMT MID CAP FUND - CLASS I 0000804239 S000006676 SIMT TAX-MANAGED LARGE CAP FUND C000018200 SIMT TAX-MANAGED LARGE CAP FUND - CLASS Y C000018201 SIMT TAX-MANAGED LARGE CAP FUND - CLASS A TMLCX 0000804239 S000006677 SIMT TAX-MANAGED SMALL CAP FUND C000018202 SIMT TAX-MANAGED SMALL CAP FUND - CLASS A STMSX 0000804239 S000006678 SIMT US MANAGED VOLATILITY FUND C000018203 SIMT US MANAGED VOLATILITY FUND - CLASS A C000036885 Class I 0000804239 S000010829 SIMT ENHANCED INCOME FUND C000030062 SIMT ENHANCED INCOME FUND - CLASS A C000036886 Class I 0000804239 S000010830 SIMT GLOBAL MANAGED VOLATILITY FUND C000030063 SIMT GLOBAL MANAGED VOLATILITY FUND - CLASS A C000036887 Class I 0000804239 S000010831 SIMT SMALL/MID CAP DIVERSIFIED ALPHA FUND C000030064 SIMT SMALL/MID CAP DIVERSIFIED ALPHA FUND - CLASS A C000030065 SIMT SMALL/MID CAP DIVERSIFIED ALPHA FUND - CLASS I 0000804239 S000017259 SIMT Tax-Managed Managed Volatility Fund C000047774 SIMT Tax-Managed Managed Volatility Fund - Class A 0000804239 S000018490 SIMT S&P 500 Index Fund C000051280 Class A C000051281 Class E C000051282 Class I N-CSRS 1 simt0308sarcomb.txt SIMT SAR 3_08 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 811-04878 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, 2008 DATE OF REPORTING PERIOD: MARCH 31, 2008 ITEM 1. REPORTS TO STOCKHOLDERS. [LOGO] SEI New ways. New answers.(R) - -------------------------------------------------------------------------------- SEI Institutional Managed Trust - -------------------------------------------------------------------------------- Semi-Annual Report as of March 31, 2008 - -------------------------------------------------------------------------------- Large Cap Value Fund Large Cap Growth Fund Tax-Managed Large Cap Fund Large Cap Diversified Alpha Fund S&P 500 Index Fund Small Cap Value Fund Small Cap Growth Fund Tax-Managed Small Cap Fund Small/Mid Cap Diversified Alpha Fund Mid-Cap Fund U.S. Managed Volatility Fund Global Managed Volatility Fund Tax-Managed Managed Volatility Fund Real Estate Fund Enhanced Income Fund Core Fixed Income Fund High Yield Bond Fund - -------------------------------------------------------------------------------- TABLE OF CONTENTS - -------------------------------------------------------------------------------- Schedules of Investments 1 - ------------------------------------------------------------------------------- Statements of Assets and Liabilities 178 - ------------------------------------------------------------------------------- Statements of Operations 182 - ------------------------------------------------------------------------------- Statements of Changes in Net Assets 186 - ------------------------------------------------------------------------------- Financial Highlights 191 - ------------------------------------------------------------------------------- Notes to Financial Statements 195 - ------------------------------------------------------------------------------- Disclosure of Fund Expenses 209 - ------------------------------------------------------------------------------- Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements 211 - ------------------------------------------------------------------------------- The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission ("Commission") for the first and third quarters of each fiscal year on Form N-Q within sixty days after period end. The Trust's Form N-Q is available on the Commission's website at http://www.sec.gov, and may be reviewed and copied at the Commission's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities, as well as information relating to how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, is available (i) without charge, upon request, by calling 1-800-DIAL-SEI; and (ii) on the Commission's website at http://www.sec.gov. SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Value Fund March 31, 2008 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS#: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] Financials 22.9% Short-Term Investments 15.4% Energy 13.4% Industrials 9.5% Consumer Staples 7.2% Health Care 7.0% Consumer Discretionary 6.7% Telecommunication Services 5.6% Utilities 4.5% Materials 4.2% Information Technology 3.4% U.S. Treasury Obligation 0.2% # Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7). - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- COMMON STOCK+++ -- 98.0% CONSUMER DISCRETIONARY -- 7.8% Abercrombie & Fitch, Cl A (B) 42,300 $ 3,094 AnnTaylor Stores* 5,500 133 Apollo Group, Cl A (B)* 40,900 1,767 Autoliv (B) 131,700 6,611 AutoNation* 2,700 40 Barnes & Noble 94,200 2,887 Black & Decker (B) 1,900 126 BorgWarner 91,100 3,920 Brinker International 139,100 2,580 Brunswick (B) 105,100 1,678 Cablevision Systems, Cl A* 95,900 2,055 Carnival 900 36 CBS, Cl B (B) 334,400 7,384 Centex 41,400 1,002 Clear Channel Communications 2,900 85 Comcast, Cl A (B)* 271,700 5,255 Darden Restaurants 96,200 3,131 Dick's Sporting Goods* 86,000 2,303 DIRECTV Group* 127,700 3,166 Discovery Holding, Cl A* 86,000 1,825 Dollar Tree* 110,600 3,051 Eastman Kodak (B) 191,500 3,384 EW Scripps, Cl A 2,700 113 Expedia* 47,700 1,044 Foot Locker 8,800 104 Ford Motor (B)* 379,200 2,169 Fortune Brands 23,300 1,619 Gannett (B) 211,700 6,150 Gap 12,500 246 General Motors (B) 267,500 5,096 Genuine Parts 12,000 483 Goodyear Tire & Rubber* 82,800 2,136 Harley-Davidson (B) 58,000 2,175 Hasbro (B) 360,300 10,052 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Home Depot 436,900 $ 12,220 Idearc (B) 244,755 891 Interpublic Group (B)* 103,400 870 Jarden (B)* 15,800 343 J.C. Penney* 31,500 1,188 Johnson Controls 76,500 2,586 Jones Apparel Group 101,400 1,361 KB Home (B) 138,800 3,433 Leggett & Platt (B) 6,700 102 Liberty Global, Cl A (B)* 132,800 4,526 Liberty Media - Entertainment, Cl A* 216,800 4,908 Liberty Media - Interactive, Cl A* 1,600 26 Ltd Brands (B) 47,700 816 Macy's 371,300 8,562 Magna International, Cl A* 51,500 3,716 Mattel 256,000 5,094 McDonald's 348,700 19,447 Mohawk Industries (B)* 10,000 716 New York Times, Cl A (B) 5,700 108 Newell Rubbermaid 25,400 581 News, Cl A 193,000 3,619 Nike, Cl B (B) 47,100 3,203 NVR (B)* 6,300 3,764 Pulte Homes (B) 10,400 151 RadioShack 12,900 210 R.H. Donnelley (B)* 8,800 45 Saks* 1,700 21 Sears Holdings (B)* 6,300 643 Service International 38,300 388 Shaw Communications, Cl B* 242,200 4,403 Sherwin-Williams (B) 58,400 2,981 Snap-On 8,700 442 Stanley Works (B) 41,697 1,986 Time Warner 1,655,900 23,216 Time Warner Cable, Cl A* 5,800 145 Toll Brothers* 21,600 507 VF 55,400 4,294 Virgin Media 15,000 211 Walt Disney (B) 406,700 12,762 Washington Post, Cl B 1,100 728 Wendy's International 28,200 650 Whirlpool (B) 49,500 4,296 Wyndham Worldwide 36,000 744 -------------- 227,803 -------------- CONSUMER STAPLES -- 8.4% Alberto-Culver 2,800 77 Altria Group 207,600 4,609 Anheuser-Busch 10,800 512 Archer-Daniels-Midland 66,100 2,721 Avon Products 7,200 285 BJ's Wholesale Club (B)* 14,200 507 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 1 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Value Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Brown-Forman, Cl B 15,400 $ 1,020 Bunge (B) 25,100 2,181 Campbell Soup 7,200 244 Coca-Cola 230,200 14,012 Coca-Cola Enterprises 219,000 5,300 Colgate-Palmolive 56,600 4,410 ConAgra Foods 579,000 13,867 Constellation Brands, Cl A (B)* 81,300 1,437 Corn Products International 126,100 4,683 Costco Wholesale 35,500 2,306 CVS Caremark 62,800 2,544 Del Monte Foods 392,400 3,740 Energizer Holdings (B)* 11,800 1,068 General Mills 115,400 6,910 Hershey 7,700 290 HJ Heinz 34,900 1,639 JM Smucker 35,900 1,817 Kellogg (B) 96,200 5,056 Kimberly-Clark 124,000 8,004 Kraft Foods, Cl A 203,660 6,316 Kroger 648,500 16,472 Loews - Carolina Group 18,200 1,320 Molson Coors Brewing, Cl B 29,700 1,561 Pepsi Bottling Group 199,400 6,762 PepsiAmericas 47,700 1,218 PepsiCo 89,300 6,447 Philip Morris International* 207,600 10,500 Procter & Gamble 723,000 50,661 Reynolds American (B) 167,200 9,870 Safeway (B) 208,227 6,111 Sara Lee 165,600 2,315 Smithfield Foods (B)* 35,400 912 SUPERVALU (B) 217,245 6,513 SYSCO 117,800 3,419 Tyson Foods, Cl A (B) 223,600 3,566 UST (B) 35,400 1,930 Wal-Mart Stores 287,100 15,124 WM Wrigley Jr. 73,700 4,631 -------------- 244,887 -------------- ENERGY -- 15.6% Anadarko Petroleum 83,700 5,276 Apache 106,600 12,879 Baker Hughes 31,700 2,171 Cameron International (B)* 33,800 1,407 Chesapeake Energy 6,600 305 Chevron 1,065,400 90,943 Cimarex Energy (B) 161,800 8,857 ConocoPhillips 862,893 65,761 Devon Energy 46,600 4,862 El Paso 17,700 295 EOG Resources 57,400 6,888 Exxon Mobil 2,074,000 175,419 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Forest Oil* 14,000 $ 685 Frontier Oil (B) 120,900 3,296 Helix Energy Solutions Group* 11,100 350 Helmerich & Payne 30,300 1,420 Hess 10,100 891 Marathon Oil 510,900 23,297 Murphy Oil 73,700 6,054 Newfield Exploration* 7,200 380 Noble Energy 28,700 2,089 Occidental Petroleum 198,800 14,546 Overseas Shipholding Group (B) 17,500 1,226 Patterson-UTI Energy (B) 163,200 4,273 Petro-Canada (B)* 68,100 2,956 Pride International* 9,500 332 Rowan (B) 11,900 490 Schlumberger 36,250 3,154 SEACOR Holdings (B)* 500 43 Sunoco (B) 115,700 6,071 Teekay Shipping (B) 5,400 229 Tidewater 8,100 446 Unit* 3,200 181 Valero Energy 169,400 8,319 Williams 4,200 138 -------------- 455,929 -------------- FINANCIALS -- 26.3% ACE 67,500 3,717 Aflac 18,100 1,176 Alleghany (B)* 1,581 540 Allied Capital (B) 37,000 682 Allied World Assurance Holdings 700 28 Allstate 477,700 22,958 AMB Property+ 2,500 136 AMBAC Financial Group (B) 21,700 125 American Capital Strategies (B) 13,200 451 American International Group (B) 797,800 34,505 AmeriCredit (B)* 10,100 102 Ameriprise Financial 110,400 5,724 Annaly Capital Management+ (B) 226,700 3,473 AON 142,800 5,741 Assurant 141,200 8,593 Astoria Financial 23,600 641 AvalonBay Communities+ (B) 1,600 154 Axis Capital Holdings 124,900 4,244 Bancorpsouth 33,300 771 Bank of America (B) 2,357,950 89,390 Bank of Hawaii 5,200 258 Bank of New York Mellon 34,422 1,436 BB&T (B) 417,600 13,388 Camden Property Trust+ 5,100 256 Capital One Financial (B) 6,500 320 Charles Schwab 156,400 2,945 Chubb (B) 329,300 16,294 - -------------------------------------------------------------------------------- 2 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Cincinnati Financial 3,600 $ 137 CIT Group 290,100 3,438 Citigroup 2,458,800 52,667 City National (B) 15,700 777 CME Group 13,100 6,145 Colonial BancGroup (B) 41,000 395 Comerica (B) 336,200 11,794 Commerce Bancshares 2,800 118 Conseco* 36,300 370 Countrywide Financial (B) 165,300 909 Credicorp 6,600 473 Cullen/Frost Bankers 8,800 467 Discover Financial Services 89,350 1,463 Douglas Emmett+ 11,500 254 East West Bancorp (B) 17,700 314 Endurance Specialty Holdings (B) 181,000 6,625 Erie Indemnity, Cl A (B) 2,300 118 Everest Re Group 101,400 9,078 Fannie Mae 282,700 7,441 Fidelity National Financial, Cl A (B) 55,600 1,019 Fifth Third Bancorp (B) 239,700 5,015 First American 4,900 166 First Horizon National (B) 68,600 961 Forestar Real Estate Group* 1,200 30 Franklin Resources 73,800 7,158 Freddie Mac (B) 225,600 5,712 Fulton Financial (B) 49,400 607 Genworth Financial, Cl A 93,500 2,117 Goldman Sachs Group 144,400 23,882 Guaranty Financial Group* 1,700 18 Hanover Insurance Group 33,900 1,395 Hartford Financial Services Group 165,400 12,532 Hospitality Properties Trust+ (B) 90,800 3,089 Host Hotels & Resorts+ 1,460 23 Hudson City Bancorp 40,100 709 IndyMac Bancorp (B) 102,900 510 iStar Financial+ (B) 12,100 170 Janus Capital Group (B) 122,200 2,844 Jefferies Group 20,700 334 Jones Lang LaSalle (B) 47,700 3,689 JPMorgan Chase 1,842,704 79,144 Keycorp 389,100 8,541 Lehman Brothers Holdings (B) 182,800 6,881 Leucadia National (B) 95,600 4,323 Liberty Media - Capital, Ser A* 68,200 1,073 Lincoln National 125,467 6,524 Loews 255,600 10,280 M&T Bank 5,000 402 Markel* 2,300 1,012 Marsh & McLennan (B) 7,300 178 Marshall & Ilsley 16,700 387 MBIA (B) 122,800 1,501 Merrill Lynch (B) 257,900 10,507 MetLife (B) 159,100 9,587 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- MGIC Investment (B) 91,000 $ 958 Moody's (B) 37,900 1,320 Morgan Stanley (B) 520,900 23,805 NASDAQ Stock Market* 3,300 128 National City (B) 280,500 2,791 Nationwide Financial Services, Cl A 100,900 4,771 New York Community Bancorp (B) 103,000 1,877 Northern Trust 12,100 804 NYSE Euronext (B) 22,100 1,364 Old Republic International (B) 155,400 2,006 PartnerRe 6,200 473 Plum Creek Timber+ (B) 10,300 419 PNC Financial Services Group (B) 91,855 6,023 Popular (B) 111,000 1,294 Principal Financial Group (B) 81,100 4,519 Progressive (B) 21,700 349 Prologis+ 1,500 88 Prudential Financial (B) 137,700 10,775 Raymond James Financial 10,300 237 Rayonier+ 3,000 130 Regions Financial (B) 307,184 6,067 Reinsurance Group of America 3,000 163 RenaissanceRe Holdings (B) 21,300 1,106 Safeco (B) 192,200 8,434 Stancorp Financial Group 4,200 200 Sunstone Hotel Investors+ (B) 95,800 1,534 SunTrust Banks (B) 199,300 10,989 TCF Financial 21,400 383 Torchmark 60,000 3,607 Toronto-Dominion Bank 13,503 828 Travelers 601,200 28,767 UnionBanCal 78,800 3,868 Unitrin (B) 7,600 269 Unum Group (B) 141,700 3,119 US Bancorp (B) 871,600 28,205 Valley National Bancorp (B) 27,019 519 Wachovia (B) 882,392 23,825 Washington Federal 20,100 459 Washington Mutual (B) 468,700 4,828 Wells Fargo (B) 1,238,900 36,052 White Mountains Insurance Group 400 192 Whitney Holding 42,400 1,051 Wilmington Trust (B) 8,400 261 WR Berkley 121,000 3,350 XL Capital, Cl A (B) 64,300 1,900 Zions Bancorporation 3,300 150 -------------- 767,608 -------------- HEALTH CARE -- 8.2% Abbott Laboratories 77,700 4,285 Aetna 10,900 459 Alcon 35,700 5,078 AmerisourceBergen 172,100 7,053 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 3 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Value Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Amgen* 189,400 $ 7,913 Applera -- Applied Biosystems Group 14,800 486 Beckman Coulter 2,000 129 Biogen Idec* 5,900 364 Boston Scientific* 64,800 834 Cardinal Health 73,200 3,844 Celgene* 66,500 4,076 Charles River Laboratories International* 12,100 713 Cigna 127,800 5,185 Community Health Systems (B)* 8,600 289 Cooper (B) 9,600 331 Coventry Health Care* 4,500 182 Covidien* 58,550 2,591 Eli Lilly 225,100 11,613 Forest Laboratories* 89,200 3,569 Genentech* 49,300 4,002 Gilead Sciences* 122,200 6,297 Hillenbrand Industries 8,200 392 Hologic* 42,400 2,357 IMS Health 13,200 277 Invitrogen (B)* 21,200 1,812 Johnson & Johnson 565,100 36,658 Kinetic Concepts* 4,700 217 King Pharmaceuticals (B)* 529,100 4,603 LifePoint Hospitals* 9,800 269 McKesson 20,100 1,053 Medco Health Solutions* 78,900 3,455 Merck 361,700 13,727 Omnicare 7,400 134 PerkinElmer 27,400 664 Pfizer 4,175,400 87,391 PharMerica (B)* 4,093 68 Quest Diagnostics 6,700 303 Thermo Fisher Scientific* 49,700 2,825 Universal Health Services, Cl B 12,500 671 Watson Pharmaceuticals (B)* 11,300 331 WellPoint* 140,800 6,214 Wyeth 151,100 6,310 -------------- 239,024 -------------- INDUSTRIALS -- 11.0% 3M 63,300 5,010 AGCO (B)* 6,400 383 Alexander & Baldwin 6,200 267 Alliant Techsystems (B)* 2,300 238 Boeing 13,700 1,019 Burlington Northern Santa Fe 2,300 212 Carlisle 27,300 913 Caterpillar 50,500 3,954 Con-way 2,500 124 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Cooper Industries, Cl A 46,200 $ 1,855 Crane 31,200 1,259 CSX 99,700 5,590 Cummins 119,400 5,590 Deere 122,000 9,814 Dover 3,000 125 DRS Technologies 2,500 146 Eaton 116,400 9,274 Flowserve 3,200 334 Fluor 22,700 3,204 General Dynamics 21,000 1,751 General Electric 3,818,900 141,337 Harsco 56,700 3,140 Hertz Global Holdings* 10,600 128 Honeywell International 223,400 12,604 Hubbell, Cl B (B) 23,400 1,022 Illinois Tool Works 27,500 1,326 Ingersoll-Rand, Cl A (B) 213,500 9,518 ITT 4,800 249 Kennametal 23,800 700 L-3 Communications Holdings (B) 45,700 4,997 Lennox International 4,800 173 Lincoln Electric Holdings 6,900 445 Lockheed Martin 30,600 3,039 Masco (B) 188,600 3,740 Norfolk Southern 95,700 5,198 Northrop Grumman 275,200 21,413 Northwest Airlines* 7,700 69 Owens Corning (B)* 11,100 201 Pall 900 32 Parker Hannifin (B) 205,350 14,225 Pentair (B) 45,900 1,464 Raytheon 32,000 2,068 Republic Services 12,500 366 RR Donnelley & Sons 10,600 321 Ryder System (B) 87,300 5,317 Shaw Group* 1,300 61 Spirit Aerosystems Holdings, Cl A* 54,600 1,211 SPX 48,800 5,119 Teleflex 6,600 315 Terex* 22,300 1,394 Textron 42,000 2,328 Timken 17,100 508 Tyco International 72,950 3,213 UAL (B) 3,000 65 Union Pacific 23,900 2,997 United Rentals* 16,900 318 United Technologies 202,400 13,929 URS* 32,900 1,076 Waste Management 11,300 379 WW Grainger 51,900 3,965 -------------- 321,032 -------------- - -------------------------------------------------------------------------------- 4 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- INFORMATION TECHNOLOGY -- 4.0% ADC Telecommunications* 34,100 $ 412 Adobe Systems* 62,800 2,235 Advanced Micro Devices (B)* 22,600 133 Affiliated Computer Services, Cl A* 600 30 Apple* 45,200 6,486 Applied Materials 139,200 2,716 Arrow Electronics* 107,100 3,604 Avnet* 87,900 2,877 Broadcom, Cl A* 106,800 2,058 Cadence Design Systems (B)* 22,300 238 Cisco Systems* 122,600 2,953 Computer Sciences (B)* 104,300 4,254 Compuware (B)* 104,900 770 Convergys* 82,100 1,236 Cree (B)* 22,900 640 eBay* 75,500 2,253 Electronic Data Systems 103,200 1,718 Fidelity National Information Services 5,585 213 Google, Cl A* 13,700 6,035 Hewitt Associates, Cl A* 145,300 5,779 Hewlett-Packard 231,500 10,570 Ingram Micro, Cl A* 77,200 1,222 Intel 125,600 2,660 International Business Machines (B) 117,000 13,471 International Rectifier (B)* 10,200 219 Intersil, Cl A 25,400 652 Juniper Networks (B)* 93,800 2,345 MEMC Electronic Materials* 21,500 1,524 Metavante Technologies* 5,400 108 Micron Technology (B)* 46,700 279 Microsoft 163,200 4,632 Molex (B) 21,400 496 Motorola 293,400 2,729 NCR* 25,600 585 Nvidia* 137,500 2,721 Sanmina-SCI* 634,300 1,028 Seagate Technology (B) 408,100 8,546 Symantec (B)* 247,300 4,110 Teradata* 18,100 399 Tyco Electronics* 84,350 2,895 Vishay Intertechnology (B)* 209,200 1,895 Western Digital (B)* 123,600 3,342 Xerox 259,700 3,888 -------------- 116,956 -------------- MATERIALS -- 4.9% Air Products & Chemicals (B) 67,400 6,201 Alcoa 506,100 18,250 Ashland 18,900 894 Carpenter Technology 56,600 3,168 Celanese, Ser A 10,000 390 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Chemtura 12,700 $ 93 Cytec Industries 6,900 372 Dow Chemical 705,000 25,979 Eastman Chemical (B) 88,400 5,521 E.I. Du Pont de Nemours 256,100 11,975 FMC 30,000 1,665 Freeport-McMoRan Copper & Gold, Cl B (B) 12,555 1,208 Huntsman 6,400 151 International Flavors & Fragrances 3,700 163 International Paper (B) 447,400 12,169 Lubrizol 124,000 6,883 MeadWestvaco 28,500 776 Monsanto 45,000 5,017 Mosaic* 15,700 1,611 Nucor 226,500 15,343 Owens-Illinois* 4,700 265 PPG Industries 118,900 7,195 Reliance Steel & Aluminum 7,600 455 Rohm & Haas (B) 80,800 4,370 Sigma-Aldrich (B) 11,600 692 Smurfit-Stone Container (B)* 237,700 1,830 Sonoco Products 100,400 2,874 Steel Dynamics (B) 13,400 443 Temple-Inland 31,200 397 United States Steel (B) 27,900 3,540 Valspar (B) 74,900 1,486 Weyerhaeuser (B) 12,400 806 -------------- 142,182 -------------- TELECOMMUNICATION SERVICES -- 6.6% AT&T 3,138,302 120,197 CenturyTel 122,600 4,075 Citizens Communications 69,300 727 Crown Castle International* 9,200 318 Embarq (B) 12,800 513 Sprint Nextel (B) 1,210,050 8,095 Telephone & Data Systems 27,300 1,072 Verizon Communications 1,511,800 55,105 Windstream 46,426 555 -------------- 190,657 -------------- UTILITIES -- 5.2% Alliant Energy 256,200 8,970 Ameren (B) 76,800 3,382 American Electric Power 336,300 14,000 Atmos Energy 92,100 2,349 CMS Energy (B) 11,300 153 Consolidated Edison (B) 38,900 1,544 Constellation Energy Group 55,400 4,890 Dominion Resources 80,500 3,288 DTE Energy 192,200 7,475 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 5 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Value Fund (Concluded) March 31, 2008 - -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Duke Energy 158,848 $ 2,835 Dynegy, Cl A* 16,000 126 Edison International 88,300 4,329 Energen 24,200 1,508 Energy East 85,300 2,057 Entergy 135,000 14,726 Equitable Resources 700 41 Exelon 82,200 6,680 FirstEnergy 246,000 16,881 FPL Group (B) 50,700 3,181 MDU Resources Group 5,500 135 Mirant* 4,000 146 National Fuel Gas 12,900 609 Northeast Utilities 12,300 302 NRG Energy (B)* 10,100 394 Oneok 93,100 4,155 Pepco Holdings 183,400 4,534 PG&E 202,800 7,467 Pinnacle West Capital (B) 130,800 4,588 PPL 71,400 3,279 Progress Energy (B) 56,100 2,339 Public Service Enterprise Group (B) 258,200 10,377 Puget Energy 14,000 362 Questar 21,400 1,210 Reliant Energy (B)* 193,400 4,574 Sempra Energy 4,500 240 Sierra Pacific Resources 206,700 2,611 Southern 6,300 224 Southern Union 20,200 470 UGI 46,600 1,161 Xcel Energy 197,400 3,938 -------------- 151,530 -------------- Total Common Stock (Cost $2,677,260) ($ Thousands) 2,857,608 -------------- CORPORATE OBLIGATION (C) (E) -- 0.3% FINANCIALS -- 0.3% SLM MTN, Ser S 2.827%, 04/14/08 $ 8,825 8,825 -------------- Total Corporate Obligation (Cost $8,825) ($ Thousands) 8,825 -------------- CASH EQUIVALENTS**++ -- 17.9% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 3.190% 49,690,464 49,690 SEI Liquidity Fund L.P., 3.200% (C) 472,917,831 472,918 -------------- Total Cash Equivalents (Cost $522,608) ($ Thousands) 522,608 -------------- - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATION (A) (D) -- 0.3% U.S. Treasury Bill 2.167%, 05/22/08 $ 8,199 $ 8,185 -------------- Total U.S. Treasury Obligation (Cost $8,174) ($ Thousands) 8,185 -------------- Total Investments -- 116.5% (Cost $3,216,867) ($ Thousands) $ 3,397,226 ============== A summary of the open futures contracts held by the Fund at March 31, 2008, is as follows (see Note 2 in Notes to Financial Statements): - -------------------------------------------------------------------------------- NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION APPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - -------------------------------------------------------------------------------- S&P 500 Composite Index 135 Jun-2008 $ 1,613 ============= Percentages are based on Net Assets of $2,916,225 ($ Thousands). * Non-Income Producing Security. ** Rate shown is the 7-day effective yield as of March 31, 2008. +++ Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. + Real Estate Investment Trust. ++ Investment in Affiliated Security (see Note 3). (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. (B) This security or a partial position of this security is on loan at March 31, 2008 (see Note 7). The total value of securities on loan at March 31, 2008 was $470,173 ($ Thousands). (C) This security was purchased with cash collateral held from securities on loan (see Note 7). The total value of such securities as of March 31, 2008 was $481,743 ($ Thousands). (D) The rate reported is the effective yield at time of purchase. (E) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2008. Cl -- Class L.P. -- Limited Partnership MTN -- Medium Term Note Ser -- Series The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 6 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 Large Cap Growth Fund March 31, 2008 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS#: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] Information Technology 25.5% Short-Term Investments 16.2% Health Care 15.1% Consumer Discretionary 9.5% Consumer Staples 9.1% Industrials 8.2% Energy 7.9% Financials 4.6% Materials 1.7% Telecommunication Services 1.4% Utilities 0.6% U.S. Treasury Obligation 0.2% # Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7). - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- COMMON STOCK+++ -- 96.9% CONSUMER DISCRETIONARY -- 11.0% Abercrombie & Fitch, Cl A 3,900 $ 285 Amazon.com (B)* 152,170 10,850 American Eagle Outfitters 14,200 249 AnnTaylor Stores* 76,300 1,845 Apollo Group, Cl A (B)* 119,200 5,149 Autozone* 1,469 167 Best Buy (B) 105,400 4,370 Big Lots (B)* 37,500 836 Black & Decker 4,300 284 BorgWarner 15,600 671 Brinker International (B) 131,000 2,430 Cablevision Systems, Cl A* 51,146 1,096 Cache (B)* 13,900 157 Capella Education* 10,800 590 Career Education* 34,800 443 CBS, Cl B (B) 14,663 324 Central European Media Enterprises, Cl A* 700 60 Christopher & Banks (B) 30,100 301 Clear Channel Communications 1,700 50 Coach* 111,341 3,357 Comcast, Cl A (B)* 479,744 9,278 CROCS* 67,900 1,186 Darden Restaurants 61,859 2,014 Deckers Outdoor (B)* 11,300 1,218 Dick's Sporting Goods* 11,000 295 DIRECTV Group* 285,700 7,083 Discovery Holding, Cl A* 112,000 2,377 DISH Network, Cl A* 23,200 667 Dolan Media* 4,200 84 Dollar Tree* 71,489 1,972 Fortune Brands (B) 172,800 12,010 GameStop, Cl A (B)* 146,000 7,550 Garmin* 22,300 1,204 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Gentex (B) 30,700 $ 527 Goodyear Tire & Rubber* 34,500 890 Guess? 24,400 987 Gymboree* 40,700 1,623 H&R Block 14,800 307 Hanesbrands* 67,000 1,956 Harley-Davidson (B) 28,031 1,051 Harman International Industries 15,800 688 Home Depot 89,900 2,515 IAC/InterActive (B)* 88,500 1,837 International Game Technology 530,000 21,311 ITT Educational Services* 42,480 1,951 Jarden* 5,900 128 John Wiley & Sons, Cl A 18,200 723 Johnson Controls 144,000 4,867 Kohl's* 4,910 211 Lamar Advertising, Cl A (B) 80,330 2,886 Las Vegas Sands* 3,000 221 Liberty Global, Cl A* 137,182 4,675 Lowe's 762,345 17,488 Ltd Brands 29,400 503 Macy's 34,700 800 McDonald's 245,000 13,664 McGraw-Hill 381,501 14,096 MGM Mirage (B)* 373,700 21,962 Newell Rubbermaid (B) 166,950 3,818 News, Cl A 103,484 1,940 Nike, Cl B 216,200 14,702 O'Reilly Automotive* 4,300 123 Omnicom Group 27,128 1,199 Orient-Express Hotels, Cl A 9,100 393 Penn National Gaming* 47,700 2,086 Polo Ralph Lauren 2,021 118 Pulte Homes 9,700 141 RadioShack 11,600 188 Regal Entertainment Group, Cl A 6,400 123 Rent-A-Center* 12,729 234 Reuters Group ADR* 205,000 14,204 Saks* 12,500 156 Scientific Games, Cl A* 7,300 154 Sherwin-Williams 7,200 367 Staples (B)* 1,050,000 23,215 Starbucks* 14,900 261 Steven Madden* 12,300 211 Target 336,262 17,042 Thor Industries (B) 16,200 482 Tiffany 22,600 946 Tim Hortons 19,403 661 Time Warner 71,700 1,005 Time Warner Cable, Cl A* 7,600 190 TJX 17,600 582 Urban Outfitters* 12,900 404 Viacom, Cl B* 318,341 12,613 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 7 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Growth Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- WABCO Holdings 6,933 $ 316 Walt Disney 167,183 5,246 Warnaco Group* 52,800 2,082 Weight Watchers International (B) 451,500 20,918 Whirlpool 1,700 148 Williams-Sonoma 5,300 128 Wyndham Worldwide 6,100 126 Wynn Resorts* 5,900 594 XM Satellite Radio Holdings, Cl A* 13,600 158 Yum! Brands 170,104 6,330 -------------- 331,923 -------------- CONSUMER STAPLES -- 10.6% Altria Group 113,340 2,516 Anheuser-Busch 147,752 7,011 Avon Products 39,400 1,558 Bare Escentuals* 46,000 1,077 Brown-Forman, Cl B 39,100 2,589 Campbell Soup 30,201 1,025 Church & Dwight 22,300 1,210 Clorox 46,900 2,656 Coca-Cola 616,717 37,540 Colgate-Palmolive 165,267 12,876 Costco Wholesale (B) 202,300 13,143 CVS Caremark 532,231 21,561 Energizer Holdings* 29,400 2,660 Estee Lauder, Cl A 11,200 514 General Mills 21,800 1,305 Hansen Natural* 6,100 215 Herbalife 35,900 1,705 HJ Heinz 61,500 2,889 Kellogg 27,700 1,456 Kimberly-Clark 99,702 6,436 Kraft Foods, Cl A 155,740 4,829 Kroger 236,100 5,997 Loews - Carolina Group 11,500 834 McCormick 1,100 41 NBTY* 1,200 36 Pepsi Bottling Group 64,553 2,189 PepsiCo 790,764 57,093 Philip Morris International* 113,340 5,733 Procter & Gamble 1,030,595 72,214 Reynolds American (B) 31,500 1,859 Sara Lee 72,400 1,012 SYSCO 10,100 293 UST 4,400 240 Wal-Mart Stores 251,401 13,244 Walgreen (B) 652,885 24,868 Whole Foods Market 27,800 917 WM Wrigley Jr. 111,308 6,995 -------------- 320,336 -------------- - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- ENERGY -- 9.2% Arch Coal 6,200 $ 270 Baker Hughes 20,233 1,386 Cameron International (B)* 260,152 10,833 Chesapeake Energy (B) 508,698 23,476 Chevron 28,422 2,426 Consol Energy 10,000 692 Core Laboratories* 27,800 3,317 Denbury Resources* 49,500 1,413 Devon Energy 128,400 13,396 Diamond Offshore Drilling 8,100 943 Dresser-Rand Group* 49,300 1,516 EOG Resources (B) 100,000 12,000 Exxon Mobil 226,500 19,157 FMC Technologies* 92,200 5,245 Frontier Oil 51,400 1,401 Frontline* 7,600 350 Global Industries* 48,200 776 Grant Prideco* 1,400 69 Halliburton 459,500 18,072 Helix Energy Solutions Group* 3,400 107 Hess (B) 176,470 15,561 Holly 42,800 1,858 Massey Energy 4,600 168 National Oilwell Varco* 60,900 3,555 Noble 36,100 1,793 Occidental Petroleum 135,800 9,936 Oceaneering International* 16,900 1,065 Patterson-UTI Energy (B) 18,600 487 Peabody Energy 2,500 127 Pride International* 16,600 580 Range Resources 1,100 70 Rowan (B) 41,800 1,721 SandRidge Energy (B)* 53,200 2,083 Schlumberger (B) 604,662 52,606 SEACOR Holdings* 1,500 128 Smith International 37,400 2,402 Suncor Energy* 209,970 20,231 Sunoco (B) 76,100 3,993 Superior Energy Services* 10,500 416 Tesoro 68,500 2,055 Tidewater (B) 63,600 3,505 Transocean 34,412 4,653 Unit* 23,200 1,314 Valero Energy 89,100 4,376 Weatherford International (B)* 303,498 21,994 Williams 117,300 3,869 XTO Energy 17,186 1,063 -------------- 278,454 -------------- - -------------------------------------------------------------------------------- 8 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- FINANCIALS -- 5.0% ACE 16,500 $ 908 Aflac 23,334 1,516 American Express 71,746 3,137 American International Group 42,603 1,843 Axis Capital Holdings 24,700 839 Bank of Hawaii 5,200 258 Charles Schwab (B) 884,921 16,663 CME Group 95,844 44,960 CNA Financial (B) 4,300 111 Discover Financial Services 399,160 6,534 Eaton Vance 39,100 1,193 Erie Indemnity, Cl A 2,600 133 Forest City Enterprises, Cl A 21,204 780 Franklin Resources 29,312 2,843 General Growth Properties+ (B) 26,400 1,008 Goldman Sachs Group 27,996 4,630 HCC Insurance Holdings 12,500 284 Hudson City Bancorp 293,300 5,186 IntercontinentalExchange* 254,100 33,160 Investment Technology Group* 17,400 803 Janus Capital Group (B) 7,100 165 Jones Lang LaSalle 1,900 147 Lazard LP, Cl A 21,700 829 MF Global (B)* 36,900 366 Moody's (B) 211,150 7,354 Morgan Stanley 43,272 1,977 MSCI, Cl A* 20,700 616 NASDAQ Stock Market* 6,800 263 Northern Trust 13,618 905 NYSE Euronext (B) 14,500 895 PartnerRe 26,000 1,984 Platinum Underwriters Holdings 32,400 1,052 Plum Creek Timber+ 3,000 122 Prudential Financial 5,000 391 SLM 41,018 630 T. Rowe Price Group 9,624 481 TD Ameritrade Holding* 229,400 3,787 Toronto-Dominion Bank 11,763 722 Ventas+ 3,200 144 XL Capital, Cl A 21,200 626 -------------- 150,245 -------------- HEALTH CARE -- 17.5% Abbott Laboratories 548,916 30,273 Aetna 32,200 1,355 Allergan 701,758 39,572 Amgen* 102,253 4,272 Amylin Pharmaceuticals (B)* 255,669 7,468 Analogic* 9,200 612 Applera -- Applied Biosystems Group (B) 63,800 2,096 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Baxter International 395,622 $ 22,875 Beckman Coulter 5,600 362 Becton Dickinson 57,025 4,896 Biogen Idec* 9,500 586 Bristol-Myers Squibb 333,100 7,095 Cardinal Health 63,688 3,344 Celgene* 43,360 2,658 Charles River Laboratories International* 12,500 737 Cigna 99,721 4,046 Cooper 7,600 262 Covance* 44,400 3,684 Coventry Health Care* 15,000 605 C.R. Bard 1,600 154 Cubist Pharmaceuticals* 48,300 890 Cutera* 12,000 162 DaVita* 5,400 258 Dentsply International 72,400 2,795 Dionex* 7,500 577 Edwards Lifesciences* 4,500 200 Eli Lilly 146,690 7,568 Endo Pharmaceuticals Holdings* 11,800 283 Express Scripts* 120,180 7,730 Forest Laboratories* 84,400 3,377 Gen-Probe* 25,700 1,239 Genentech* 641,110 52,045 Genzyme* 4,800 358 Gilead Sciences* 539,968 27,825 Health Net* 34,700 1,069 Henry Schein* 24,300 1,395 Hillenbrand Industries 4,400 210 HLTH* 106,300 1,014 Hospira* 8,100 346 Humana* 10,700 480 Idexx Laboratories* 84,100 4,143 ImClone Systems* 6,800 288 IMS Health 7,400 155 Intuitive Surgical (B)* 20,700 6,714 Invacare 5,800 129 Invitrogen* 13,100 1,120 Johnson & Johnson 482,492 31,299 Kinetic Concepts* 31,500 1,456 Laboratory of America Holdings* 5,700 420 Martek Biosciences (B)* 7,500 229 McKesson 18,512 969 Medco Health Solutions* 172,582 7,557 Medtronic 247,800 11,986 Mentor (B) 16,500 424 Merck 1,103,753 41,887 Merit Medical Systems* 7,200 114 Millennium Pharmaceuticals (B)* 139,700 2,160 Omnicare 7,200 131 OSI Pharmaceuticals (B)* 49,500 1,851 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 9 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Growth Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Par Pharmaceutical* 6,300 $ 110 Patterson* 10,000 363 Pediatrix Medical Group* 6,200 418 PerkinElmer 6,700 162 Pfizer 47,100 986 Pharmaceutical Product Development 16,500 691 Quest Diagnostics 68,400 3,096 Schering-Plough 1,699,951 24,496 Sciele Pharma (B)* 5,800 113 St. Jude Medical* 401,240 17,330 STERIS 8,600 231 Stryker 294,400 19,151 Teva Pharmaceutical Industries ADR (B)* 303,377 14,013 Thermo Fisher Scientific* 315,320 17,923 UnitedHealth Group 1,107,220 38,044 Universal Health Services, Cl B 5,600 301 VCA Antech* 27,320 747 Warner Chilcott, Cl A* 91,600 1,649 Waters* 17,949 1,000 Watson Pharmaceuticals* 2,700 79 WellPoint* 93,733 4,136 Wyeth 122,518 5,116 Zimmer Holdings* 254,300 19,800 -------------- 529,760 -------------- INDUSTRIALS -- 9.5% 3M 79,026 6,255 Administaff 23,600 557 Alliant Techsystems* 20,400 2,112 Ametek 20,100 883 BE Aerospace* 1,700 59 Boeing 158,716 11,804 Burlington Northern Santa Fe (B) 25,100 2,315 Carlisle 10,500 351 Caterpillar 60,000 4,697 CH Robinson Worldwide 1,966 107 Con-way 2,800 139 Continental Airlines, Cl B* 5,500 106 Cooper Industries, Cl A 25,800 1,036 Copart* 10,000 388 Corporate Executive Board 10,800 437 Corrections of America* 21,500 592 CSX 59,900 3,359 Cummins 135,200 6,330 Danaher 1,600 122 Deere 5,400 434 Delta Air Lines* 57,300 493 Donaldson 3,900 157 Dover 21,200 886 Dun & Bradstreet 5,500 448 Eaton 13,700 1,091 Emerson Electric 448,408 23,075 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Equifax 3,500 $ 121 Expeditors International Washington (B) 523,400 23,647 Fastenal (B) 32,600 1,497 First Solar (B)* 15,600 3,606 Flowserve 19,900 2,077 Fluor 129,300 18,252 Foster Wheeler* 22,200 1,257 General Electric 731,544 27,074 Goodrich 52,600 3,025 Harsco 36,600 2,027 Herman Miller 29,100 715 Hertz Global Holdings* 19,000 229 Honeywell International 167,600 9,456 Hubbell, Cl B 19,100 834 IDEX 8,700 267 Illinois Tool Works 33,800 1,630 Ingersoll-Rand, Cl A 105,579 4,707 Jacobs Engineering Group* 32,900 2,421 JB Hunt Transport Services 26,600 836 Kennametal 22,400 659 Kimball International, Cl B 16,400 176 Kirby* 2,700 154 L-3 Communications Holdings (B) 30,100 3,291 Lincoln Electric Holdings 4,900 316 Lockheed Martin 103,915 10,319 Manitowoc 14,000 571 Manpower 12,100 681 McDermott International* 13,600 746 MSC Industrial Direct, Cl A 16,000 676 Norfolk Southern (B) 75,300 4,090 Northrop Grumman 64,448 5,015 Northwest Airlines* 16,100 145 Nuco2* 4,400 122 Oshkosh Truck 28,400 1,030 Paccar 37,750 1,699 Pall 25,500 894 Parker Hannifin (B) 25,250 1,749 PeopleSupport* 27,300 249 Precision Castparts 57,721 5,892 Quanta Services* 29,700 688 Raytheon 48,500 3,134 Republic Services 51,300 1,500 Robert Half International 48,700 1,254 Rockwell Automation 86,400 4,961 Rockwell Collins (B) 21,747 1,243 Roper Industries 14,600 868 Shaw Group* 2,300 108 Southwest Airlines 21,000 260 Steelcase, Cl A 118,300 1,308 Stericycle (B)* 85,390 4,398 Sunpower, Cl A* 1,500 112 Terex* 9,700 606 Textron 44,700 2,477 - -------------------------------------------------------------------------------- 10 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Thomas & Betts* 38,400 $ 1,397 Toro 23,800 985 Trane 4,600 211 Trinity Industries (B) 90,400 2,409 TrueBlue (B)* 27,200 366 Tyco International 59,500 2,621 UAL 4,700 101 Union Pacific 16,800 2,106 United Parcel Service, Cl B (B) 388,375 28,359 United Technologies 201,030 13,835 URS* 12,600 412 Waste Management 3,800 127 WESCO International* 36,700 1,339 -------------- 287,570 -------------- INFORMATION TECHNOLOGY -- 29.7% Accenture, Cl A 108,100 3,802 Activision* 258,772 7,067 Adobe Systems* 125,200 4,456 Advanced Micro Devices* 44,800 264 Agilent Technologies* 159,000 4,743 Alliance Data Systems* 15,600 741 Altera 15,800 291 Amdocs* 15,700 445 Amphenol, Cl A 12,400 462 Analog Devices 39,300 1,160 Apple* 470,899 67,574 Applied Materials 24,705 482 Arrow Electronics* 23,500 791 Autodesk* 4,300 135 Automatic Data Processing 120,800 5,121 Avnet* 32,600 1,067 BEA Systems* 55,200 1,057 BMC Software* 76,190 2,478 Broadridge Financial Solutions 13,700 241 Brocade Communications Systems* 87,600 639 Cadence Design Systems (B)* 251,311 2,684 Ciena* 24,400 752 Cisco Systems* 1,705,046 41,075 Citrix Systems* 26,100 766 CMGI* 23,100 306 CommScope* 42,500 1,480 Corning 35,800 861 Cree* 10,500 294 Cypress Semiconductor* 27,000 637 Dell (B)* 581,976 11,593 Diebold 14,400 541 DST Systems* 15,600 1,026 eBay* 1,050,500 31,347 Electronic Arts (B)* 553,580 27,635 EMC* 231,300 3,317 Factset Research Systems 2,600 140 Fidelity National Information Services 7,000 267 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Fiserv* 2,800 $ 135 Global Payments 3,600 149 Google, Cl A (B)* 177,001 77,964 Harris 2,800 136 Hewitt Associates, Cl A* 33,200 1,320 Hewlett-Packard 855,200 39,048 Integrated Device Technology* 47,500 424 Intel 1,470,217 31,139 International Business Machines (B) 300,019 34,544 Intersil, Cl A 39,100 1,004 Intuit (B)* 943,400 25,481 Iron Mountain* 7,300 193 Jabil Circuit 172,800 1,635 Juniper Networks (B)* 417,100 10,427 Kla-Tencor 3,700 137 Lawson Software (B)* 29,100 219 Linear Technology (B) 308,220 9,459 LSI Logic* 36,700 182 Mastercard, Cl A (B) 165,200 36,838 McAfee* 37,500 1,241 MEMC Electronic Materials* 71,559 5,074 Mettler Toledo International* 5,500 534 Microchip Technology 1,500 49 Micron Technology* 22,900 137 Microsoft 2,506,458 71,133 Molex 12,200 283 MPS Group* 10,200 121 Multi-Fineline Electronix (B)* 3,000 56 National Instruments 4,400 115 National Semiconductor 17,100 313 NAVTEQ* 29,100 1,979 NCR* 1,700 39 NetApp (B)* 205,700 4,124 NeuStar, Cl A* 10,400 275 Nvidia (B)* 218,377 4,322 Oracle* 540,865 10,579 QLogic (B)* 120,400 1,848 Qualcomm 2,241,118 91,886 Red Hat* 10,300 189 Research In Motion (B)* 597,570 67,065 Seagate Technology (B) 1,590,200 33,299 Silicon Laboratories* 37,100 1,170 Sun Microsystems (B)* 1,034,600 16,067 Symantec (B)* 298,600 4,963 Synopsys* 25,764 585 Teradata* 836,600 18,455 Texas Instruments 244,715 6,918 Trimble Navigation* 48,700 1,392 Varian Semiconductor Equipment Associates* 24,300 684 VeriSign* 30,400 1,011 Visa* 408,820 25,494 Vishay Intertechnology* 14,400 130 VMware, Cl A* 2,700 116 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 11 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Growth Fund (Concluded) March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Western Digital (B)* 68,900 $ 1,863 Western Union 1,093,180 23,252 Xerox 10,700 160 Zebra Technologies, Cl A* 6,800 227 -------------- 895,319 -------------- MATERIALS -- 2.0% Air Products & Chemicals 18,400 1,693 AK Steel Holding (B)* 45,900 2,498 Alcoa 54,600 1,969 Allegheny Technologies 7,500 535 Ball 10,000 459 Celanese, Ser A 17,300 676 Cleveland-Cliffs 4,400 527 Crown Holdings* 3,000 76 Ecolab 3,700 161 E.I. Du Pont de Nemours 13,000 608 Freeport-McMoRan Copper & Gold, Cl B 6,300 606 International Flavors & Fragrances 8,200 361 Lubrizol 7,800 433 Martin Marietta Materials 15,600 1,656 Monsanto 61,214 6,825 Mosaic* 32,800 3,365 Nalco Holding 52,200 1,104 Newmont Mining 4,300 195 Nucor 6,100 413 Olin (B) 107,100 2,116 Owens-Illinois* 65,200 3,679 Packaging of America 9,900 221 Praxair (B) 313,100 26,373 Reliance Steel & Aluminum 7,400 443 Sigma-Aldrich 5,200 310 Southern Copper 17,500 1,817 Valspar 7,300 145 Vulcan Materials 6,717 446 -------------- 59,710 -------------- TELECOMMUNICATION SERVICES -- 1.7% American Tower, Cl A (B)* 398,300 15,617 Crown Castle International (B)* 876,620 30,235 Leap Wireless International* 18,000 839 MetroPCS Communications* 5,000 85 Telephone & Data Systems 24,300 954 Windstream 217,400 2,598 -------------- 50,328 -------------- - -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- UTILITIES -- 0.7% AES* 243,100 $ 4,053 Allegheny Energy 18,200 919 Constellation Energy Group 24,100 2,127 Equitable Resources 23,600 1,390 Exelon 34,500 2,804 Mirant* 3,800 138 NRG Energy* 87,600 3,416 PPL 96,500 4,431 Questar 13,200 747 -------------- 20,025 -------------- Total Common Stock (Cost $2,560,615) ($ Thousands) 2,923,670 -------------- CORPORATE OBLIGATION (C) (E) -- 0.3% FINANCIALS -- 0.3% SLM MTN, Ser S 2.827%, 04/14/08 $ 8,932 8,932 -------------- Total Corporate Obligation (Cost $8,933) ($ Thousands) 8,932 -------------- CASH EQUIVALENTS** -- 18.8% Merrill Lynch EBP Master, 2.090% 16,279,734 16,280 SEI Daily Income Trust, Prime Obligation Fund, Cl A, 3.190%++ 72,111,223 72,111 SEI Liquidity Fund L.P., 3.200%++ (C) 478,681,019 478,681 -------------- Total Cash Equivalents (Cost $567,072) ($ Thousands) 567,072 -------------- U.S. TREASURY OBLIGATION (A) (D) -- 0.2% U.S. Treasury Bill 2.167%, 05/22/08 5,785 5,775 -------------- Total U.S. Treasury Obligation (Cost $5,767) ($ Thousands) 5,775 -------------- Total Investments -- 116.2% (Cost $3,142,387) ($ Thousands) $ 3,505,449 ============== - -------------------------------------------------------------------------------- 12 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 A summary of the open futures contracts held by the Fund at March 31, 2008, is as follows (see Note 2 in Notes to Financial Statements): - -------------------------------------------------------------------------------- NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION APPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - -------------------------------------------------------------------------------- S&P 500 Composite Index 184 Jun-2008 $ 2,892 ============= Percentages are based on Net Assets of $3,017,065 ($ Thousands). * Non-Income Producing Security. ** Rate shown is the 7-day effective yield as of March 31, 2008. +++ Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. + Real Estate Investment Trust. ++ Investment in Affiliated Security (see Note 3). (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. (B) This security or a partial position of this security is on loan at March 31, 2008 (see Note 7). The total value of securities on loan at March 31, 2008 was $480,414 ($ Thousands). (C) This security was purchased with cash collateral held from securities on loan (see Note 7). The total value of such securities as of March 31, 2008 was $487,613 ($ Thousands). (D) The rate reported is the effective yield at time of purchase. (E) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2008. ADR -- American Depositary Receipt Cl -- Class L.P. -- Limited Partnership MTN -- Medium Term Note Ser -- Series The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 13 SCHEDULE OF INVESTMENTS (Unaudited) Tax-Managed Large Cap Fund March 31, 2008 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS#: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] SECTOR WEIGHTINGS#: Short-Term Investments 16.3% Information Technology 15.8% Financials 13.8% Health Care 11.1% Energy 10.6% Consumer Discretionary 8.1% Industrials 7.8% Consumer Staples 7.6% Telecommunication Services 3.6% Materials 3.0% Utilities 2.2% U.S. Treasury Obligations 0.1% Rights 0.0% # Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7). - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- COMMON STOCK -- 97.2% CONSUMER DISCRETIONARY -- 9.4% Abercrombie & Fitch, Cl A (B) 4,600 $ 336 Amazon.com (B)* 59,520 4,244 American Eagle Outfitters 6,300 110 Apollo Group, Cl A (B)* 38,405 1,659 Autoliv (B) 63,500 3,188 AutoNation (B)* 18,800 281 Autozone* 3,200 364 Barnes & Noble 21,250 651 Bed Bath & Beyond* 5,700 168 Best Buy (B) 46,675 1,935 Big Lots (B)* 3,200 71 Black & Decker 750 50 BorgWarner 13,200 568 Brinker International 3,150 58 Brunswick (B) 27,400 438 Cablevision Systems, Cl A* 9,900 212 Carmax (B)* 4,080 79 Cavco Industries* 130 5 CBRL Group 2,500 89 CBS, Cl B (B) 127,532 2,816 CEC Entertainment* 3,000 87 Centex (B) 31,250 757 Central European Media Enterprises, Cl A (B)* 1,100 94 Cheesecake Factory (B)* 1,125 25 Clear Channel Communications 9,000 263 Clear Channel Outdoor Holdings, Cl A* 9,900 188 Coach* 41,200 1,242 Comcast, Cl A (B)* 371,191 7,179 Darden Restaurants 17,600 573 Deckers Outdoor (B)* 7,500 809 DeVry 1,021 43 Dick's Sporting Goods* 29,200 782 Dillard's, Cl A (B) 23,900 411 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- DIRECTV Group* 183,465 $ 4,548 Discovery Holding, Cl A* 4,780 101 DISH Network, Cl A* 5,350 154 Dolan Media* 6,200 125 Dollar Tree* 47,100 1,300 DR Horton (B) 13,850 218 DreamWorks Animation SKG, Cl A* 5,600 144 Eastman Kodak (B) 64,500 1,140 Ethan Allen Interiors (B) 35,000 995 Expedia* 1,535 34 Foot Locker 5,350 63 Ford Motor (B)* 71,400 408 Fortune Brands (B) 106,942 7,433 GameStop, Cl A* 32,522 1,682 Gannett (B) 68,300 1,984 Gap 12,950 255 Garmin (B)* 1,700 92 Gemstar-TV Guide International* 216 1 General Motors (B) 56,450 1,075 Gentex (B) 9,000 154 Genuine Parts 4,950 199 Goodyear Tire & Rubber* 55,150 1,423 H&R Block (B) 6,800 141 Hanesbrands (B)* 10,800 315 Harley-Davidson (B) 25,600 960 Harman International Industries 2,200 96 Hasbro (B) 141,000 3,934 Hearst-Argyle Television 700 14 Home Depot 159,800 4,470 IAC/InterActive* 3,948 82 Idearc (B) 11,225 41 International Game Technology 321,200 12,915 International Speedway, Cl A 9,500 391 Interpublic Group (B)* 3,050 26 ITT Educational Services* 1,200 55 Jack in the Box (B)* 13,000 349 J.C. Penney* 45,700 1,723 Johnson Controls 13,800 466 Jones Apparel Group 93,600 1,256 KB Home (B) 39,900 987 Kohl's (B)* 15,200 652 Lamar Advertising, Cl A (B) 46,339 1,665 Las Vegas Sands (B)* 1,850 136 Leggett & Platt (B) 59,300 904 Lennar, Cl A (B) 6,500 122 Liberty Global, Cl A (B)* 16,670 568 Liberty Global, Ser C* 2,201 72 Liberty Media - Entertainment, Cl A* 9,560 216 Liberty Media - Interactive, Cl A* 7,950 128 Lowe's 460,854 10,572 Ltd Brands 9,450 162 Macy's 147,700 3,406 Magna International, Cl A* 20,000 1,443 Marriott International, Cl A (B) 11,600 399 - -------------------------------------------------------------------------------- 14 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Mattel 98,100 $ 1,952 McClatchy, Cl A (B) 15,600 167 McDonald's 316,162 17,632 McGraw-Hill 192,681 7,120 MDC Holdings (B) 1,150 50 MGM Mirage (B)* 194,000 11,401 Mohawk Industries (B)* 1,900 136 New York Times, Cl A (B) 5,200 98 Newell Rubbermaid 94,720 2,166 News, Cl A 33,094 621 Nike, Cl B 126,400 8,595 Nordstrom (B) 9,800 320 NVR (B)* 2,700 1,613 O'Reilly Automotive (B)* 1,800 51 Office Depot* 9,050 100 OfficeMax 4,500 86 Omnicom Group 20,000 884 PetSmart 2,400 49 Pulte Homes (B) 11,300 164 RadioShack 18,300 297 Regal Entertainment Group, Cl A (B) 9,050 175 Rent-A-Center* 36,500 670 Reuters Group ADR* 120,000 8,315 Ross Stores 5,200 156 Saks (B)* 6,000 75 Sears Holdings (B)* 2,690 275 Shaw Communications, Cl B* 84,600 1,538 Sherwin-Williams (B) 21,600 1,102 Sirius Satellite Radio (B)* 15,600 45 Skechers U.S.A., Cl A* 12,900 261 Snap-On 3,900 198 Stanley Works (B) 12,600 600 Staples (B)* 665,525 14,715 Starbucks* 16,700 292 Starwood Hotels & Resorts Worldwide 3,150 163 Target 196,280 9,948 Tempur-Pedic International (B) 3,550 39 Thor Industries (B) 5,500 164 Tiffany 1,300 54 Time Warner 734,619 10,299 Time Warner Cable, Cl A* 4,000 100 TJX (B) 24,000 794 Toll Brothers* 4,900 115 Under Armour, Cl A (B)* 12,800 469 Urban Outfitters* 3,950 124 Valassis Communications (B)* 55,300 600 VF 9,900 767 Viacom, Cl B* 142,182 5,633 Virgin Media 6,900 97 WABCO Holdings 1,200 55 Walt Disney (B) 208,800 6,552 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Warnaco Group* 1,700 $ 67 Washington Post, Cl B 100 66 Weight Watchers International 242,200 11,221 Wendy's International 18,600 429 Whirlpool (B) 20,000 1,736 Williams-Sonoma (B) 2,000 49 Wyndham Worldwide (B) 7,500 155 Wynn Resorts* 1,600 161 XM Satellite Radio Holdings, Cl A* 8,800 102 Yum! Brands 67,100 2,497 -------------- 236,344 -------------- CONSUMER STAPLES -- 8.8% Altria Group 140,100 3,110 Anheuser-Busch 42,200 2,002 Archer-Daniels-Midland 90,457 3,723 Avon Products 11,200 443 Bare Escentuals* 19,200 450 BJ's Wholesale Club (B)* 9,000 321 Brown-Forman, Cl B 1,200 79 Bunge (B) 14,300 1,242 Campbell Soup 7,500 255 Clorox 27,950 1,583 Coca-Cola 303,300 18,462 Coca-Cola Enterprises 60,850 1,473 Colgate-Palmolive 75,402 5,875 ConAgra Foods 261,500 6,263 Constellation Brands, Cl A* 3,000 53 Costco Wholesale (B) 131,369 8,535 CVS Caremark 283,145 11,470 Dean Foods (B) 18,050 363 Del Monte Foods 161,100 1,535 Energizer Holdings (B)* 6,400 579 General Mills (B) 49,100 2,940 Hershey (B) 3,600 136 HJ Heinz 2,150 101 Hormel Foods 4,000 167 Kellogg 27,900 1,466 Kimberly-Clark 52,200 3,369 Kraft Foods, Cl A 159,515 4,947 Kroger 268,100 6,810 Loews - Carolina Group 5,300 384 McCormick 2,100 78 Molson Coors Brewing, Cl B 24,500 1,288 Nu Skin Enterprises, Cl A 11,600 209 Pepsi Bottling Group 8,100 275 PepsiCo 372,177 26,871 Philip Morris International* 140,100 7,086 Procter & Gamble 832,166 58,310 Reynolds American (B) 67,800 4,002 Safeway (B) 68,234 2,003 Sara Lee 56,500 790 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 15 SCHEDULE OF INVESTMENTS (Unaudited) Tax-Managed Large Cap Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Smithfield Foods* 1,350 $ 35 SUPERVALU (B) 79,850 2,394 SYSCO (B) 71,050 2,062 TreeHouse Foods* 7,282 166 Tyson Foods, Cl A 26,372 421 UST (B) 13,100 714 Wal-Mart Stores 143,400 7,554 Walgreen (B) 366,300 13,952 Whole Foods Market (B) 2,500 82 WM Wrigley Jr. 75,967 4,774 -------------- 221,202 -------------- ENERGY -- 12.4% Anadarko Petroleum 12,900 813 Apache 39,571 4,781 Arch Coal 3,800 165 Baker Hughes 11,441 784 BJ Services 3,100 88 Cabot Oil & Gas 1,000 51 Cameron International (B)* 132,600 5,521 Chesapeake Energy (B) 272,570 12,579 Chevron 458,662 39,151 Cimarex Energy (B) 59,885 3,278 ConocoPhillips 384,475 29,301 Consol Energy (B) 2,800 194 Cross Timbers Royalty Trust* 53 3 Devon Energy 106,890 11,152 Dresser-Rand Group* 4,750 146 El Paso (B) 30,300 504 ENSCO International 6,000 376 EOG Resources (B) 82,900 9,948 Exxon Mobil (B) 921,282 77,922 FMC Technologies* 16,500 939 Forest Oil* 1,150 56 Foundation Coal Holdings 2,050 103 Grant Prideco* 4,550 224 Halliburton 250,716 9,861 Helix Energy Solutions Group* 850 27 Helmerich & Payne 4,300 202 Hess (B) 114,520 10,098 Marathon Oil (B) 223,174 10,177 Mariner Energy* 931 25 Massey Energy 2,200 80 Murphy Oil 27,500 2,259 Nabors Industries* 3,600 122 National Oilwell Varco* 20,860 1,218 Newfield Exploration* 5,100 270 Noble 2,200 109 Noble Energy 15,950 1,161 Occidental Petroleum 217,600 15,922 Overseas Shipholding Group 1,600 112 Patriot Coal* 440 21 Patterson-UTI Energy (B) 35,800 937 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Peabody Energy (B) 4,400 $ 224 Petro-Canada (B)* 27,000 1,172 Pioneer Natural Resources 9,900 486 Plains Exploration & Production* 4,095 218 Pride International* 1,050 37 Rowan 13,000 535 Schlumberger (B) 256,456 22,312 Smith International 7,200 462 Spectra Energy 10,922 249 Suncor Energy (B)* 118,754 11,442 Sunoco (B) 62,900 3,300 Tidewater 7,350 405 Transocean 5,277 713 Unit* 10,450 592 Valero Energy 85,494 4,199 Weatherford International (B)* 155,050 11,236 Williams 15,900 524 XTO Energy 29,720 1,839 -------------- 310,625 -------------- FINANCIALS -- 15.8% ACE 46,100 2,538 Affiliated Managers Group* 1,350 123 Aflac 9,650 627 Alleghany* 102 35 Allied Capital (B) 6,600 122 Allied World Assurance Holdings 600 24 Allstate 204,300 9,819 AMB Property+ 1,700 93 AMBAC Financial Group (B) 14,600 84 American Capital Strategies (B) 6,600 225 American Express 44,200 1,932 American Financial Group 53,600 1,370 American International Group (B) 333,202 14,411 American National Insurance 300 32 AmeriCredit (B)* 8,500 86 Ameriprise Financial 38,100 1,975 Annaly Capital Management+ (B) 72,000 1,103 AON 57,350 2,305 Apartment Investment & Management, Cl A+ 2,700 97 Arbor Realty Trust+ (B) 16,500 249 Arch Capital Group* 10,100 694 Arthur J. Gallagher 950 22 Aspen Insurance Holdings 14,600 385 Assurant 44,600 2,714 Astoria Financial 4,800 130 AvalonBay Communities+ 1,100 106 Axis Capital Holdings 99,950 3,396 Banco Bilbao Vizcaya Argentaria ADR 2,254 50 Bank of America (B) 946,223 35,871 Bank of Hawaii 50 2 - -------------------------------------------------------------------------------- 16 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Bank of New York Mellon 32,784 $ 1,368 BB&T (B) 139,100 4,460 Bear Stearns (B) 2,100 22 Boston Properties+ 1,600 147 Brandywine Realty Trust+ (B) 49,700 843 Capital Lease Funding+ 4,200 33 Capital One Financial (B) 17,901 881 CapitalSource+ (B) 7,300 71 CB Richard Ellis Group, Cl A* 5,300 115 CBL & Associates Properties+ 16,400 386 Cedar Shopping Centers+ 6,400 75 Central Pacific Financial 2,100 40 Charles Schwab 530,793 9,995 Chubb 194,200 9,609 Cincinnati Financial (B) 40,752 1,550 CIT Group 92,100 1,091 Citigroup 742,673 15,908 CME Group 56,730 26,612 Comerica (B) 102,700 3,603 Countrywide Financial (B) 47,300 260 Developers Diversified Realty+ 2,600 109 Discover Financial Services 289,415 4,738 Duke Realty+ 5,550 127 E*Trade Financial (B)* 28,700 111 Endurance Specialty Holdings (B) 33,800 1,237 Equity Residential+ (B) 8,950 371 Erie Indemnity, Cl A 3,500 179 Everest Re Group 50,800 4,548 Fannie Mae 67,200 1,769 Federal Realty Investment Trust+ 300 23 Fidelity National Financial, Cl A (B) 32,299 592 Fifth Third Bancorp (B) 106,700 2,232 First American 3,000 102 First Horizon National (B) 24,300 340 First Industrial Realty Trust+ (B) 5,000 154 FirstMerit 2,600 54 Forest City Enterprises, Cl A 2,800 103 Forestar Real Estate Group* 366 9 Franklin Resources 35,700 3,463 Freddie Mac (B) 49,800 1,261 General Growth Properties+ 5,300 202 Genworth Financial, Cl A 45,700 1,035 Goldman Sachs Group 59,200 9,791 Guaranty Financial Group* 366 4 Hanover Insurance Group 8,200 337 Hartford Financial Services Group 74,200 5,622 HCC Insurance Holdings 3,000 68 HCP+ (B) 5,300 179 Health Care+ 650 29 Hercules Technology Growth Capital 11,900 129 Highwoods Properties+ 1,500 47 Hospitality Properties Trust+ (B) 53,400 1,817 Host Hotels & Resorts+ (B) 26,632 424 HRPT Properties Trust+ 13,400 90 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Hudson City Bancorp 117,300 $ 2,074 Huntington Bancshares (B) 84,500 908 IndyMac Bancorp (B) 39,300 195 IntercontinentalExchange* 139,000 18,140 Invesco* 5,400 132 Investment Technology Group* 2,400 111 iStar Financial+ 1,900 27 Janus Capital Group (B) 67,400 1,568 Jones Lang LaSalle (B) 14,700 1,137 JPMorgan Chase 782,770 33,620 Keycorp 217,900 4,783 Kimco Realty+ (B) 1,600 63 Legg Mason 2,700 151 Lehman Brothers Holdings (B) 103,738 3,905 Lexington Realty Trust+ 7,100 102 Liberty Media - Capital, Ser A* 2,390 38 Liberty Property Trust+ (B) 1,650 51 Lincoln National 58,036 3,018 Loews 42,300 1,701 M&T Bank 2,950 237 Macerich+ 650 46 Mack-Cali Realty+ 2,400 86 Manulife Financial 9,245 351 Markel* 100 44 Marsh & McLennan (B) 11,253 274 Marshall & Ilsley 8,900 206 MBIA (B) 39,200 479 MCG Capital 31,500 286 Merrill Lynch 135,900 5,537 MetLife (B) 57,400 3,459 MGIC Investment (B) 31,500 332 Montpelier Re Holdings 36,200 581 Moody's (B) 144,730 5,041 Morgan Stanley (B) 238,200 10,886 MSCI, Cl A* 10,400 309 MVC Capital 6,700 102 NASDAQ Stock Market* 1,200 46 National City (B) 105,900 1,054 Nationwide Financial Services, Cl A 37,850 1,790 New York Community Bancorp (B) 2,237 41 Northern Trust 3,400 226 Nymex Holdings 2,300 208 NYSE Euronext 400 25 Old Republic International 76,506 988 Oriental Financial Group 12,700 250 PartnerRe 7,600 580 Penson Worldwide* 5,000 46 People's United Financial 4,725 82 Phoenix (B)* 15,400 188 Piper Jaffray* 366 12 Platinum Underwriters Holdings 24,100 782 Plum Creek Timber+ (B) 4,700 191 PMI Group (B) 16,000 93 PNC Financial Services Group (B) 55,207 3,620 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 17 SCHEDULE OF INVESTMENTS (Unaudited) Tax-Managed Large Cap Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Popular (B) 34,000 $ 396 Principal Financial Group (B) 45,400 2,530 Progressive (B) 15,600 251 Prologis+ 13,854 815 Protective Life 2,000 81 Prudential Financial (B) 72,900 5,704 Public Storage+ 2,050 182 Ramco-Gershenson Properties+ 2,100 44 Raymond James Financial 2,025 47 Rayonier+ 1,600 70 Realty Income+ (B) 1,050 27 Regency Centers+ 850 55 Regions Financial (B) 181,220 3,579 Reinsurance Group of America (B) 55,700 3,032 RenaissanceRe Holdings 2,700 140 Resource Capital+ (B) 2,900 22 Safeco 84,500 3,708 SeaBright Insurance Holdings* 14,800 218 Simon Property Group+ (B) 9,925 922 SL Green Realty+ 1,200 98 SLM 15,800 243 Sovereign Bancorp (B) 17,890 167 St. Joe (B) 1,750 75 State Street 6,755 534 Student Loan 900 89 Sunstone Hotel Investors+ (B) 36,400 583 SunTrust Banks 94,600 5,216 SVB Financial Group (B)* 1,550 68 Synovus Financial 5,000 55 T. Rowe Price Group (B) 33,100 1,655 Taubman Centers+ 2,350 122 TCF Financial 7,600 136 TD Ameritrade Holding* 42,050 694 Thomas Weisel Partners Group* 3,900 26 Torchmark 27,550 1,656 Toronto-Dominion Bank 1,949 120 Transatlantic Holdings 1,100 73 Travelers 280,331 13,414 UDR+ 4,600 113 UnionBanCal 25,050 1,229 United America Indemnity, Cl A* 1,800 35 Unitrin 550 19 Unum Group (B) 47,750 1,051 US Bancorp (B) 390,061 12,622 Validus Holdings* 1,000 23 Ventas+ 3,450 155 Vornado Realty Trust+ 1,500 129 Wachovia (B) 354,094 9,561 Waddell & Reed Financial, Cl A 3,900 125 Washington Federal (B) 4,400 100 Washington Mutual (B) 106,507 1,097 Weingarten Realty Investors+ 700 24 Wells Fargo (B) 367,855 10,705 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Whitney Holding 1,200 $ 30 WR Berkley 50,200 1,390 XL Capital, Cl A 8,200 242 Zions Bancorporation 2,900 132 -------------- 394,816 -------------- HEALTH CARE -- 13.0% Abbott Laboratories 230,600 12,718 Advanced Medical Optics (B)* 1,222 25 Aetna 48,600 2,046 Alcon (B) 11,500 1,636 Allergan 398,108 22,449 AmerisourceBergen 79,302 3,250 Amgen* 129,042 5,391 AMN Healthcare Services* 3,600 56 Amylin Pharmaceuticals (B)* 139,680 4,080 Analogic* 6,500 433 Applera -- Applied Biosystems Group (B) 30,250 994 Barr Pharmaceuticals* 1,650 80 Baxter International 172,780 9,990 Beckman Coulter 600 39 Becton Dickinson 26,650 2,288 Biogen Idec* 5,220 322 Boston Scientific* 20,717 267 Bristol-Myers Squibb 67,500 1,438 Cardinal Health 44,630 2,344 Celgene* 30,400 1,863 Cephalon* 400 26 Charles River Laboratories International* 18,300 1,079 Cigna 59,900 2,430 Covance* 350 29 Coventry Health Care* 1,424 57 Covidien* 32,450 1,436 C.R. Bard 3,800 366 DaVita* 2,325 111 Dentsply International 900 35 Dionex* 7,600 585 Eli Lilly 133,588 6,892 Express Scripts* 33,000 2,123 Forest Laboratories* 49,200 1,968 Genentech* 384,090 31,180 Genzyme* 4,350 324 Gilead Sciences* 338,680 17,452 Health Net* 1,600 49 Hillenbrand Industries 900 43 HLTH* 10,300 98 Hologic (B)* 1,560 87 Hospira* 3,920 168 Humana* 8,600 386 Idexx Laboratories* 4,400 217 ImClone Systems* 650 28 - -------------------------------------------------------------------------------- 18 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- IMS Health 3,944 $ 83 Intuitive Surgical (B)* 5,850 1,897 Invitrogen* 1,350 115 Johnson & Johnson 434,800 28,205 King Pharmaceuticals* 133,500 1,161 Laboratory of America Holdings (B)* 5,300 390 LifePoint Hospitals* 1,600 44 Lincare Holdings* 1,750 49 McKesson 12,126 635 Medco Health Solutions* 66,992 2,934 Medtronic 53,900 2,607 Merck 595,375 22,594 Merit Medical Systems* 6,300 100 Millennium Pharmaceuticals* 17,650 273 Millipore* 700 47 Mylan Laboratories (B) 9,900 115 OSI Pharmaceuticals* 21,300 796 Patterson (B)* 2,100 76 PerkinElmer 11,950 290 Pfizer 1,545,833 32,354 Pharmaceutical Product Development 4,300 180 PharMerica (B)* 428 7 Quest Diagnostics 2,400 109 Quidel (B)* 6,300 101 Resmed* 1,200 51 Schering-Plough 873,461 12,587 Sciele Pharma (B)* 11,700 228 St. Jude Medical* 233,050 10,065 STERIS 5,400 145 Stryker (B) 149,737 9,740 Tenet Healthcare (B)* 86,900 492 Teva Pharmaceutical Industries ADR (B)* 171,700 7,931 Thermo Fisher Scientific* 155,816 8,857 UnitedHealth Group 555,492 19,087 Universal Health Services, Cl B 800 43 Valeant Pharmaceuticals International (B)* 6,000 77 Varian Medical Systems* 2,300 108 Warner Chilcott, Cl A* 11,300 203 Waters* 5,800 323 Watson Pharmaceuticals* 1,550 45 WellPoint* 60,115 2,653 Wyeth 128,372 5,361 Zimmer Holdings* 156,800 12,208 -------------- 324,244 -------------- INDUSTRIALS -- 9.1% 3M 45,600 3,609 ACCO Brands* 482 7 AGCO (B)* 2,600 156 Alliant Techsystems (B)* 1,300 135 Allied Waste Industries* 76,354 825 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Avis Budget Group* 3,750 $ 40 Boeing 38,603 2,871 Brink's 650 44 Burlington Northern Santa Fe 12,900 1,190 Caterpillar (B) 47,100 3,687 C.H. Robinson Worldwide 3,200 174 ChoicePoint* 1,300 62 Continental Airlines, Cl B* 2,450 47 Cooper Industries, Cl A 1,300 52 Covanta Holding* 1,150 32 Crane 35,950 1,451 CSX 47,700 2,675 Cummins 59,000 2,762 Danaher 5,400 411 Deere 39,900 3,210 Dover 3,050 127 DRS Technologies 1,050 61 Dun & Bradstreet 800 65 Eaton 49,300 3,928 Emerson Electric 235,700 12,129 Equifax 7,000 241 Expeditors International Washington (B) 313,400 14,159 Fastenal (B) 3,600 165 FedEx 13,400 1,242 First Solar* 1,400 324 Flowserve 6,000 626 Fluor (B) 64,350 9,084 Foster Wheeler* 2,800 158 GATX 1,600 62 General Dynamics 6,200 517 General Electric 1,829,422 67,707 Goodrich 3,950 227 Harsco 4,600 255 Herman Miller 950 23 Hertz Global Holdings (B)* 9,500 115 Honeywell International 86,700 4,892 Hubbell, Cl B 6,850 299 Hudson Highland Group* 750 6 IKON Office Solutions 5,019 38 Illinois Tool Works 8,900 429 Ingersoll-Rand, Cl A (B) 50,600 2,256 ITT 4,000 207 Jacobs Engineering Group* 3,380 249 JB Hunt Transport Services (B) 1,800 57 Joy Global 1,800 117 Kansas City Southern (B)* 2,600 104 KBR* 3,300 91 Kirby* 2,100 120 L-3 Communications Holdings (B) 14,900 1,629 Lockheed Martin 57,100 5,670 Manitowoc 1,300 53 Manpower 2,200 124 Masco (B) 169,200 3,355 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 19 SCHEDULE OF INVESTMENTS (Unaudited) Tax-Managed Large Cap Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- McDermott International* 4,800 $ 263 Monster Worldwide* 5,000 121 MSC Industrial Direct, Cl A 4,000 169 NCI Building Systems (B)* 6,800 165 Norfolk Southern 122,100 6,632 Northrop Grumman 143,334 11,153 Paccar (B) 15,168 683 Pall 4,750 167 Parker Hannifin (B) 109,050 7,554 Pentair (B) 2,400 77 PHH* 957 17 Pitney Bowes 4,000 140 Precision Castparts 800 82 Quanta Services (B)* 8,100 188 Raytheon 25,800 1,667 Republic Services 9,600 281 Robert Half International 5,800 149 Rockwell Automation 6,000 344 Rockwell Collins (B) 7,900 451 RR Donnelley & Sons 62,100 1,882 Ryder System (B) 19,800 1,206 Shaw Group* 1,550 73 Skywest 4,400 93 Southwest Airlines 18,950 235 Spirit Aerosystems Holdings, Cl A* 18,900 419 SPX 13,850 1,453 Steelcase, Cl A 11,750 130 Stericycle (B)* 22,000 1,133 Terex* 850 53 Textron 20,200 1,119 Timken 27,500 817 Trane 3,600 165 Trinity Industries (B) 3,800 101 Tyco International 75,600 3,330 UAL (B) 5,000 108 Union Pacific 8,500 1,066 United Parcel Service, Cl B (B) 211,561 15,448 United Rentals* 4,550 86 United Technologies 177,662 12,227 Viad 425 15 Waste Management 21,200 711 WESCO International* 17,900 653 WW Grainger 4,800 367 -------------- 227,544 -------------- INFORMATION TECHNOLOGY -- 18.4% 3Com* 6,400 15 Accenture, Cl A 13,000 457 Activision* 166,750 4,554 ADC Telecommunications* 3,200 39 Adobe Systems* 45,712 1,627 Advanced Micro Devices (B)* 3,800 22 Advent Software (B)* 1,400 60 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Affiliated Computer Services, Cl A* 2,100 $ 105 Agilent Technologies* 14,100 421 Akamai Technologies (B)* 6,400 180 Altera 6,400 118 Amkor Technology (B)* 16,800 180 Amphenol, Cl A 2,200 82 Analog Devices 11,050 326 Apple* 257,980 37,020 Applied Materials 67,308 1,313 Arrow Electronics* 44,500 1,497 Autodesk* 4,100 129 Automatic Data Processing 25,400 1,077 Avnet (B)* 39,000 1,276 AVX 4,950 63 BEA Systems* 9,850 189 BMC Software* 14,400 468 Broadcom, Cl A* 43,000 829 Broadridge Financial Solutions 3,275 58 Brocade Communications Systems* 7,400 54 CA 23,568 530 Cadence Design Systems* 14,800 158 Ciena (B)* 1,500 46 Cisco Systems* 648,683 15,627 Citrix Systems* 14,250 418 Cognizant Technology Solutions, Cl A* 8,912 257 Computer Sciences (B)* 33,100 1,350 Compuware (B)* 73,062 536 Corning 25,700 618 CSG Systems International* 8,100 92 Cypress Semiconductor (B)* 6,250 148 Dell (B)* 205,050 4,085 Diebold 3,800 143 Dolby Laboratories, Cl A* 4,600 167 DST Systems (B)* 850 56 Earthlink* 33,800 255 eBay (B)* 550,334 16,422 EchoStar (B)* 1,070 32 Electronic Arts (B)* 318,562 15,903 Electronic Data Systems 52,200 869 EMC* 69,500 997 Emulex (B)* 14,900 242 Fair Isaac 2,025 44 Fidelity National Information Services 5,129 196 Fiserv* 2,125 102 Flextronics International* 7,800 73 Global Payments 4,000 165 Google, Cl A* 91,595 40,345 Harris 6,000 291 Hewitt Associates, Cl A* 41,400 1,646 Hewlett-Packard 385,338 17,595 Ingram Micro, Cl A* 93,200 1,475 Integral Systems 2,600 76 - -------------------------------------------------------------------------------- 20 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Integrated Device Technology* 9,200 $ 82 Intel 520,706 11,029 International Business Machines 162,536 18,714 International Rectifier* 950 20 Intersil, Cl A 2,750 71 Intuit (B)* 531,900 14,367 Iron Mountain* 4,725 125 Juniper Networks (B)* 275,250 6,881 Kla-Tencor 700 26 Lam Research* 2,600 99 Lexmark International, Cl A (B)* 41,000 1,260 Linear Technology (B) 155,771 4,781 LSI Logic* 20,306 100 Marvell Technology Group* 9,100 99 Mastercard, Cl A (B) 79,700 17,772 MAXIMUS 900 33 McAfee* 4,400 146 MEMC Electronic Materials* 34,800 2,467 Metavante Technologies* 1,533 31 Mettler Toledo International* 2,300 223 Microchip Technology (B) 3,650 119 Micron Technology (B)* 16,100 96 Microsoft 885,548 25,132 MKS Instruments* 1,750 37 Molex 700 16 Motorola 47,250 439 Multi-Fineline Electronix (B)* 7,200 135 National Semiconductor 24,800 454 NAVTEQ* 2,150 146 NetApp (B)* 10,900 219 Novell* 3,500 22 Nvidia (B)* 90,650 1,794 Oracle* 157,785 3,086 Paychex (B) 4,466 153 Perot Systems, Cl A* 6,700 101 Phoenix Technologies* 7,000 110 PMC - Sierra (B)* 8,950 51 Polycom (B)* 11,200 252 QLogic (B)* 40,800 626 Qualcomm 1,202,512 49,303 Red Hat* 3,800 70 Research In Motion (B)* 344,610 38,676 Salesforce.com* 1,500 87 SanDisk (B)* 7,550 170 Sanmina-SCI* 147,400 239 Seagate Technology (B) 1,037,800 21,732 Semtech* 5,750 82 Silicon Laboratories* 800 25 Sun Microsystems (B)* 724,200 11,247 Sybase (B)* 1,200 32 Symantec (B)* 205,327 3,413 Synopsys* 9,289 211 Tech Data* 15,593 511 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Teradata* 460,000 $ 10,148 Teradyne* 9,400 117 Texas Instruments 86,900 2,457 Total System Services 1,119 26 Tyco Electronics* 27,200 933 Verigy* 863 16 VeriSign (B)* 7,450 248 Visa* 235,200 14,667 Vishay Intertechnology (B)* 81,300 737 Volterra Semiconductor* 3,900 44 Western Digital (B)* 62,500 1,690 Western Union 636,351 13,535 Xerox 277,800 4,159 Xilinx 11,000 261 Yahoo!* 23,000 665 -------------- 459,933 -------------- MATERIALS -- 3.6% Air Products & Chemicals (B) 25,100 2,309 AK Steel Holding (B)* 2,000 109 Alcoa 220,300 7,944 Allegheny Technologies 2,855 204 Ashland 11,700 553 Ball 4,400 202 Carpenter Technology 23,700 1,326 Celanese, Ser A 23,200 906 Cleveland-Cliffs 1,100 132 Crown Holdings* 3,000 75 Dow Chemical 298,400 10,996 Eagle Materials 1,506 54 Eastman Chemical 35,300 2,204 Ecolab (B) 11,200 486 E.I. Du Pont de Nemours 172,300 8,057 Freeport-McMoRan Copper & Gold, Cl B (B) 8,910 857 Greif, Cl A 20,700 1,406 Hercules 3,250 59 Huntsman 1,600 38 International Flavors & Fragrances 3,100 137 International Paper (B) 156,600 4,259 Lubrizol 43,300 2,404 Martin Marietta Materials (B) 550 58 MeadWestvaco 2,450 67 Methanex 58,300 1,526 Monsanto 27,538 3,070 Mosaic* 20,600 2,114 Newmont Mining 12,000 544 Nucor 92,500 6,266 Olin (B) 18,400 364 OM Group* 26,800 1,462 Owens-Illinois* 2,750 155 Pactiv* 8,000 210 PPG Industries 42,000 2,541 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 21 SCHEDULE OF INVESTMENTS (Unaudited) Tax-Managed Large Cap Fund (Concluded) March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Praxair (B) 185,800 $ 15,650 Reliance Steel & Aluminum 2,700 162 Rohm & Haas (B) 35,200 1,904 RPM International 3,000 63 Sealed Air (B) 21,000 530 Sigma-Aldrich 2,700 161 Smurfit-Stone Container (B)* 49,800 383 Sonoco Products 29,200 836 Southern Copper (B) 900 93 Spartech 19,200 162 Steel Dynamics (B) 33,800 1,117 Temple-Inland 1,100 14 Terra Industries (B)* 26,700 949 United States Steel (B) 22,400 2,842 Valspar (B) 30,400 603 Weyerhaeuser 4,407 287 -------------- 88,850 -------------- TELECOMMUNICATION SERVICES -- 4.1% American Tower, Cl A (B)* 230,064 9,021 AT&T 1,215,761 46,564 Atlantic Tele-Network 7,000 237 CenturyTel 39,400 1,310 Citizens Communications 13,450 141 Crown Castle International (B)* 529,272 18,254 Embarq 9,576 384 Leap Wireless International (B)* 2,300 107 Qwest Communications International (B) 72,561 329 SBA Communications, Cl A (B)* 2,550 76 Sprint Nextel (B) 435,302 2,912 Telephone & Data Systems 2,600 102 Telephone & Data Systems, Special Shares* 2,600 97 US Cellular* 6,500 357 Verizon Communications 636,405 23,197 Windstream 54,723 654 -------------- 103,742 -------------- UTILITIES -- 2.6% AES* 100,650 1,678 Allegheny Energy 11,900 601 Alliant Energy 83,900 2,937 Ameren (B) 60,000 2,642 American Electric Power 167,700 6,981 Aqua America (B) 1,333 25 Centerpoint Energy 38,600 551 CMS Energy 70,900 960 Consolidated Edison 4,700 187 Constellation Energy Group 21,100 1,863 Dominion Resources 46,300 1,891 DTE Energy (B) 98,620 3,835 - -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Duke Energy 120,344 $ 2,148 Dynegy, Cl A* 6,800 54 Edison International 55,800 2,735 Energy East 1,250 30 Entergy 41,650 4,543 Equitable Resources 900 53 Exelon 28,600 2,324 FirstEnergy 104,700 7,185 FPL Group 6,900 433 Great Plains Energy 3,550 88 Idacorp (B) 1,450 47 Mirant* 2,800 102 Nicor (B) 2,350 79 NiSource 8,950 154 NRG Energy (B)* 45,400 1,770 OGE Energy 6,100 190 Pepco Holdings 111,000 2,744 PG&E 62,150 2,288 Pinnacle West Capital (B) 44,300 1,554 PPL 9,800 450 Progress Energy (B) 21,050 878 Public Service Enterprise Group 99,800 4,011 Questar 8,400 475 Reliant Energy* 18,862 446 Sempra Energy 7,450 397 Sierra Pacific Resources 36,000 455 Southern (B) 13,800 491 TECO Energy (B) 92,100 1,469 Wisconsin Energy (B) 18,200 801 Xcel Energy (B) 118,800 2,370 -------------- 64,915 -------------- Total Common Stock (Cost $2,081,399) ($ Thousands) 2,432,215 -------------- CORPORATE OBLIGATION (C) (E) -- 0.3% FINANCIALS -- 0.3% SLM MTN, Ser S 2.827%, 04/14/08 $ 7,660 7,660 -------------- Total Corporate Obligation (Cost $7,660) ($ Thousands) 7,660 -------------- Number of Rights ------------- RIGHTS -- 0.0% MCGC Capital, Expires 04/18/08* 4,500 5 -------------- Total Rights (Cost $--) ($ Thousands) 5 -------------- - -------------------------------------------------------------------------------- 22 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- CASH EQUIVALENTS** -- 19.0% Merrill Lynch EBP Master, 2.090% 8,940,051 $ 8,940 SEI Daily Income Trust, Prime Obligation Fund, Cl A, 3.190%++ 56,335,014 56,335 SEI Liquidity Fund L.P., 3.200%++ (C) 410,500,852 410,501 -------------- Total Cash Equivalents (Cost $475,776) ($ Thousands) 475,776 -------------- U.S. TREASURY OBLIGATIONS (A) (D) -- 0.2% U. S. Treasury Bill 2.167%, 05/22/08 $ 4,274 4,267 0.731%, 06/19/08 100 100 -------------- Total U.S. Treasury Obligations (Cost $4,362) ($ Thousands) 4,367 -------------- Total Investments -- 116.7% (Cost $2,569,197) ($ Thousands) $ 2,920,023 ============== A summary of the open futures contracts held by the Fund at March 31, 2008, is as follows (see Note 2 in Notes to Financial Statements): - -------------------------------------------------------------------------------- NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION APPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - -------------------------------------------------------------------------------- S&P Mid 400 Index E-MINI 79 Jun-2008 $ 142 S&P 500 Composite Index 128 Jun-2008 1,852 ------------- $ 1,994 ============= Percentages are based on Net Assets of $2,502,596 ($ Thousands). * Non-Income Producing Security. ** Rate shown is the 7-day effective yield as of March 31, 2008. + Real Estate Investment Trust. ++ Investment in Affiliated Security (see Note 3). (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. (B) This security or a partial position of this security is on loan at March 31, 2008 (see Note 7). The total value of securities on loan at March 31, 2008 was $409,914 ($ Thousands). (C) This security was purchased with cash collateral held from securities on loan (see Note 7). The total value of such securities as of March 31, 2008 was $418,161 ($ Thousands). (D) The rate reported is the effective yield at time of purchase. (E) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2008. ADR -- American Depositary Receipt Cl -- Class L.P. -- Limited Partnership MTN -- Medium Term Note Ser -- Series Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 23 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Diversified Alpha Fund March 31, 2008 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS#: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] Information Technology 14.7% Financials 11.4% Industrials 10.6% Health Care 10.5% Consumer Discretionary 9.1% Energy 8.8% Short-Term Investment 6.6% Consumer Staples 6.5% U.S. Government Agency Obligations 5.4% Mortgage-Backed Securities 4.7% Asset-Backed Securities 3.1% Materials 3.1% Telecommunication Services 2.8% Utilities 2.3% U.S. Treasury Obligations 0.4% Purchased Options 0.0% # Percentages based on total investments - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- COMMON STOCK -- 95.6% CONSUMER DISCRETIONARY -- 11.0% Abercrombie & Fitch, Cl A (D) 23,500 $ 1,719 Aeropostale* 40,100 1,087 Amazon.com* 28,238 2,013 American Eagle Outfitters (D) 16,100 282 AnnTaylor Stores (D)* 17,300 418 Apollo Group, Cl A* 50,800 2,195 Asbury Automotive Group 20,200 278 Autoliv 17,000 853 Autozone* 1,183 135 Best Buy (D) 147,271 6,106 Big Lots (D)* 188,809 4,210 Black & Decker 1,800 119 BorgWarner 13,500 581 Brinker International (D) 59,500 1,104 Cablevision Systems, Cl A (D)* 82,361 1,765 Cache* 7,600 86 California Pizza Kitchen* 10,100 132 Capella Education* 4,400 240 Career Education* 5,200 66 CBS, Cl B (D) 51,983 1,148 Central European Media Enterprises, Cl A* 1,200 102 Charlotte Russe Holding* 4,700 81 Choice Hotels International 2,031 69 Christopher & Banks 30,300 303 Clear Channel Communications 10,080 295 Coach (D)* 20,695 624 Comcast, Cl A (D)* 60,027 1,161 Cooper Tire & Rubber 11,900 178 CROCS* 15,900 278 Darden Restaurants (D) 33,800 1,100 Deckers Outdoor* 6,900 744 Dick's Sporting Goods* 1,900 51 DIRECTV Group (D)* 300,331 7,445 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Discovery Holding, Cl A* 46,600 $ 989 DISH Network, Cl A* 29,508 848 Dollar Tree* 83,100 2,293 Eastman Kodak (D) 2,600 46 EW Scripps, Cl A 1,700 71 Expedia* 45,481 996 Family Dollar Stores 7,400 144 Ford Motor (D)* 510,413 2,920 Fortune Brands 900 63 GameStop, Cl A* 37,500 1,939 Gannett 7,931 230 Gap 64,716 1,274 Garmin* 6,500 351 General Motors (D) 21,400 408 Gentex (D) 53,600 919 Genuine Parts 6,263 252 Goodyear Tire & Rubber (D)* 7,000 181 Guess? 6,700 271 Gymboree (D)* 34,400 1,372 H&R Block 6,500 135 Hanesbrands (D)* 141,261 4,125 Harley-Davidson 13,433 504 Harman International Industries 14,400 627 Hasbro (D) 105,542 2,945 Home Depot 60,300 1,687 IAC/InterActive* 26,500 550 Idearc 25,433 93 International Game Technology 150,000 6,031 International Speedway, Cl A 4,600 189 Interpublic Group (D)* 311,857 2,623 ITT Educational Services* 20,500 942 J Crew Group* 13,900 614 Jack in the Box (D)* 25,800 693 Jarden* 1,200 26 John Wiley & Sons, Cl A 5,900 234 Johnson Controls (D) 41,409 1,400 Jones Apparel Group 85,900 1,153 Kohl's* 2,256 97 Landry's Restaurants 2,900 47 Las Vegas Sands* 1,600 118 Liberty Global, Cl A (D)* 93,704 3,193 Liberty Media - Entertainment, Cl A* 67,600 1,530 Ltd Brands 27,400 469 Macy's 3,800 88 Marriott International, Cl A 29,088 999 Marvel Entertainment* 46,800 1,254 Mattel 10,900 217 McDonald's (D) 87,042 4,854 MDC Holdings 1,300 57 Meredith 1,400 54 MGM Mirage* 106,600 6,265 Mohawk Industries* 1,800 129 NetFlix* 43,200 1,497 - -------------------------------------------------------------------------------- 24 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Newell Rubbermaid 28,505 $ 652 News, Cl A 53,577 1,005 Nike, Cl B 27,624 1,878 NVR* 2,500 1,494 Omnicom Group 6,148 272 Orient-Express Hotels, Cl A 600 26 Penn National Gaming* 12,600 551 Penske Auto Group (D) 78,343 1,525 PetSmart 18,300 374 PF Chang's China Bistro* 4,300 122 Phillips-Van Heusen 500 19 Polo Ralph Lauren 1,300 76 Pulte Homes 5,100 74 RadioShack 4,300 70 Regal Entertainment Group, Cl A 2,900 56 Rent-A-Center* 12,100 222 Reuters Group ADR* 61,000 4,227 R.H. Donnelley (D)* 10,000 51 Saks* 8,700 108 Scientific Games, Cl A* 4,100 87 Service International 64,996 659 Shaw Communications, Cl B (D)* 87,200 1,585 Sherwin-Williams (D) 32,080 1,637 Snap-On 46,476 2,363 Stamps.com* 2,900 30 Stanley Works 9,100 433 Staples* 325,000 7,186 Target 5,945 301 Thor Industries 35,400 1,054 Tiffany 6,100 255 Tim Hortons 5,387 183 Time Warner (D) 560,238 7,854 Time Warner Cable, Cl A* 6,037 151 TJX 6,700 222 Toll Brothers* 7,000 164 TravelCenters of America LLC* 1 -- TRW Automotive Holdings (D)* 97,436 2,277 Urban Outfitters* 15,500 486 Valassis Communications* 15,900 172 VF 11,718 908 Viacom, Cl B (D)* 42,400 1,680 WABCO Holdings 2,200 100 Walt Disney (D) 243,779 7,650 Warnaco Group* 16,900 666 Washington Post, Cl B 200 132 Weight Watchers International 129,300 5,990 Whirlpool (D) 1,500 130 Wyndham Worldwide (D) 104,107 2,153 Wynn Resorts* 8,200 825 Yum! Brands (D) 58,410 2,173 -------------- 160,282 -------------- - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- CONSUMER STAPLES -- 7.8% Alberto-Culver 3,200 $ 88 Altria Group (D) 72,846 1,617 Anheuser-Busch (D) 60,024 2,848 Archer-Daniels-Midland (D) 131,877 5,428 Avon Products 13,300 526 Bare Escentuals* 38,200 895 BJ's Wholesale Club* 1,800 64 Brown-Forman, Cl B 12,100 801 Bunge 9,700 843 Church & Dwight 4,500 244 Clorox 34,200 1,937 Coca-Cola (D) 75,805 4,614 Coca-Cola Enterprises 145,608 3,524 Colgate-Palmolive 18,412 1,434 ConAgra Foods 102,700 2,460 Constellation Brands, Cl A* 105,778 1,869 Corn Products International 7,300 271 Costco Wholesale 9,558 621 CVS Caremark 34,088 1,381 Dean Foods 41,069 825 Del Monte Foods 7,100 68 Energizer Holdings* 10,100 914 Estee Lauder, Cl A 24,300 1,114 General Mills (D) 55,000 3,293 Hansen Natural (D)* 2,300 81 Herbalife 64,900 3,083 HJ Heinz 11,474 539 JM Smucker 8,100 410 Kellogg 18,475 971 Kimberly-Clark (D) 41,635 2,688 Kraft Foods, Cl A 9,039 280 Kroger (D) 287,648 7,306 Loews - Carolina Group 12,750 925 McCormick 2,653 98 Molson Coors Brewing, Cl B 18,727 984 Nu Skin Enterprises, Cl A 1,800 32 Pepsi Bottling Group (D) 32,671 1,108 PepsiAmericas 18,400 470 PepsiCo (D) 104,547 7,548 Philip Morris International* 72,846 3,685 Procter & Gamble (D) 272,627 19,103 Ralcorp Holdings* 900 52 Reynolds American (D) 29,790 1,759 Rite Aid* 499,240 1,468 Safeway (D) 66,406 1,949 Sara Lee 45,900 642 Smithfield Foods* 9,900 255 SUPERVALU (D) 57,953 1,737 SYSCO 206,530 5,994 Tyson Foods, Cl A (D) 146,729 2,340 UST 2,300 125 Wal-Mart Stores (D) 70,850 3,732 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 25 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Diversified Alpha Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Walgreen 176,700 $ 6,731 Whole Foods Market 11,300 373 WM Wrigley Jr. 10,200 641 -------------- 114,788 -------------- ENERGY -- 10.6% Anadarko Petroleum 6,400 403 Apache 9,622 1,163 Arch Coal 1,500 65 Baker Hughes 5,830 399 Cameron International (D)* 16,676 694 Chesapeake Energy (D) 83,200 3,840 Chevron (D) 259,165 22,122 Cimarex Energy (D) 57,400 3,142 ConocoPhillips (D) 119,179 9,083 Consol Energy 2,800 194 Denbury Resources* 13,800 394 Devon Energy 10,900 1,137 Diamond Offshore Drilling 1,400 163 Dresser-Rand Group (D)* 11,500 354 EnCana (D) 14,800 1,121 ENSCO International 8,900 557 EOG Resources 30,000 3,600 Exxon Mobil (D) 496,896 42,027 FMC Technologies (D)* 33,300 1,894 Forest Oil* 3,900 191 Frontier Oil 58,700 1,600 Frontline (D)* 1,400 64 Global Industries* 12,300 198 Grant Prideco* 300 15 Halliburton (D) 188,610 7,418 Helix Energy Solutions Group* 1,600 50 Helmerich & Payne 40,500 1,898 Hess 1,345 119 Holly (D) 23,500 1,020 Marathon Oil (D) 143,525 6,545 Massey Energy 1,700 62 Murphy Oil 42,726 3,510 National Oilwell Varco* 22,002 1,285 Newfield Exploration* 1,000 53 Noble (D) 29,500 1,465 Noble Energy 2,000 146 Occidental Petroleum (D) 77,410 5,664 Oceaneering International* 5,300 334 Overseas Shipholding Group 6,600 462 Patterson-UTI Energy (D) 75,000 1,964 Peabody Energy 900 46 Petro-Canada (D)* 40,000 1,736 Plains Exploration & Production* 57,809 3,072 Pride International (D)* 17,316 605 Quicksilver Resources* 2,000 73 Range Resources 900 57 Rowan 26,500 1,091 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- SandRidge Energy* 22,500 $ 881 Schlumberger 45,174 3,930 SEACOR Holdings* 8,400 717 Smith International 10,300 662 Southwestern Energy* 400 14 Sunoco (D) 59,700 3,132 Superior Energy Services* 600 24 Teekay Shipping 1,600 68 Tesoro 22,200 666 Tidewater 27,900 1,538 Transocean 7,019 949 Trico Marine Services* 8,900 347 Valero Energy (D) 55,100 2,706 Weatherford International* 11,357 823 Willbros Group* 12,000 367 Williams 130,846 4,315 XTO Energy 5,091 315 -------------- 154,549 -------------- FINANCIALS -- 13.6% ACE 55,090 3,033 Aflac 12,516 813 Alleghany* 1,943 664 Allied Capital 15,211 280 Allied World Assurance Holdings 5,100 202 Allstate (D) 84,360 4,054 AMB Property+ 1,000 54 American Express 13,315 582 American Financial Group (D) 82,596 2,111 American International Group (D) 116,622 5,044 American National Insurance 1,733 185 AmeriCredit* 1,115 11 Ameriprise Financial 39,988 2,073 Annaly Capital Management+ 107,800 1,651 AON (D) 16,086 647 Arch Capital Group* 1,800 124 Ashford Hospitality Trust+ 38,800 220 Aspen Insurance Holdings 5,800 153 Assurant (D) 11,874 723 Astoria Financial 7,700 209 AvalonBay Communities+ (D) 15,854 1,530 Axis Capital Holdings 96,347 3,274 Bancorpsouth 8,800 204 Bank of America (D) 163,636 6,203 Bank of Hawaii 3,300 164 Bank of New York Mellon 68,397 2,854 BB&T 17,139 549 BlackRock 14,078 2,874 BOK Financial 9,961 520 Boston Properties+ 51,442 4,736 Brandywine Realty Trust+ (D) 79,800 1,353 Camden Property Trust+ 1,300 65 Capital One Financial (D) 29,106 1,433 - -------------------------------------------------------------------------------- 26 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Capitol Federal Financial 2,951 $ 111 CBL & Associates Properties+ 54,600 1,285 Charles Schwab 306,040 5,763 Chubb (D) 80,304 3,973 Cincinnati Financial 7,153 272 CIT Group (D) 51,964 616 Citigroup (D) 271,434 5,814 City National 1,900 94 CME Group 19,374 9,088 Colonial BancGroup 53,800 518 Colonial Properties Trust+ 7,780 187 Comerica (D) 3,845 135 Commerce Bancshares 1,300 55 Conseco* 42,500 433 Credicorp (D) 21,700 1,557 Crystal River Capital+ 4,200 37 Cullen/Frost Bankers 3,600 191 Douglas Emmett+ 5,400 119 East West Bancorp 18,588 330 Eaton Vance (D) 14,400 439 Endurance Specialty Holdings 74,200 2,716 Erie Indemnity, Cl A 1,100 56 Everest Re Group 23,400 2,095 Fairfax Financial Holdings 6,400 1,837 Fannie Mae 20,147 530 Federated Investors, Cl B 23,800 932 First American 2,000 68 First Citizens BancShares, Cl A 2,343 326 Forest City Enterprises, Cl A 4,830 178 Forestar Real Estate Group* 17,134 427 Franklin Resources (D) 40,116 3,891 Freddie Mac 2,200 56 Fulton Financial 20,700 254 General Growth Properties+ (D) 31,500 1,202 GLG Partners* 76,460 908 Goldman Sachs Group (D) 33,524 5,545 Greenhill 12,400 863 Hanover Insurance Group (D) 24,200 996 Hartford Financial Services Group 13,203 1,000 HCC Insurance Holdings 2,300 52 Hospitality Properties Trust+ 9,787 333 Host Hotels & Resorts+ 28,048 447 Hudson City Bancorp 128,600 2,274 Huntington Bancshares 62,800 675 IntercontinentalExchange* 70,600 9,213 Investment Technology Group* 20,700 956 iStar Financial+ (D) 67,400 946 Janus Capital Group (D) 104,872 2,440 Jefferies Group 7,000 113 Jones Lang LaSalle (D) 27,552 2,131 JPMorgan Chase (D) 332,972 14,301 Kilroy Realty+ 2,096 103 Lazard L.P., Cl A 3,900 149 Leucadia National 25,700 1,162 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Liberty Media - Capital, Ser A* 25,490 $ 401 Loews (D) 126,742 5,098 M&T Bank 1,700 137 Markel* 394 173 Marsh & McLennan 4,997 122 Marshall & Ilsley 7,100 165 MBIA (D) 5,500 67 Merrill Lynch (D) 12,509 510 MetLife (D) 42,548 2,564 MF Global* 53,133 527 Montpelier Re Holdings 16,200 260 Moody's (D) 14,500 505 Morgan Stanley (D) 24,062 1,100 MSCI, Cl A* 13,400 399 NASDAQ Stock Market* 13,284 514 Nationwide Financial Services, Cl A 1,000 47 New York Community Bancorp 30,000 547 Northern Trust 31,683 2,106 NorthStar Realty Finance+ (D) 106,100 867 Parkway Properties+ 5,700 211 PartnerRe 54,855 4,185 Penson Worldwide* 5,600 52 Platinum Underwriters Holdings 2,400 78 Plum Creek Timber+ 2,900 118 PNC Financial Services Group (D) 2,646 173 Progressive 3,300 53 Prudential Financial 6,000 469 Raymond James Financial 34,800 800 Rayonier+ (D) 92,406 4,014 Regions Financial 77,184 1,524 RenaissanceRe Holdings 6,500 337 Resource Capital+ 3,100 23 Safeco 41,389 1,816 SLM 15,600 239 St. Joe 2,575 111 Stancorp Financial Group 30,800 1,469 State Street 4,094 323 Sunstone Hotel Investors+ 11,100 178 SunTrust Banks (D) 42,821 2,361 T. Rowe Price Group 5,454 273 TCF Financial 6,700 120 TD Ameritrade Holding* 192,805 3,183 TFS Financial* 17,261 208 Torchmark 2,671 161 Toronto-Dominion Bank 3,728 229 Transatlantic Holdings 12,965 860 Travelers (D) 196,816 9,418 Unitrin 5,535 196 Unum Group 8,800 194 US Bancorp 3,404 110 Valley National Bancorp 3,100 60 Ventas+ 1,800 81 Wachovia (D) 105,181 2,840 Washington Federal 10,700 244 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 27 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Diversified Alpha Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Washington Mutual (D) 11,800 $ 122 Wells Fargo (D) 119,812 3,487 White Mountains Insurance Group 787 378 Whitney Holding 9,100 226 Willis Group Holdings 47,400 1,593 Wilmington Trust 1,700 53 WR Berkley 53,800 1,490 XL Capital, Cl A 23,800 703 -------------- 199,656 -------------- HEALTH CARE -- 12.6% Abbott Laboratories (D) 46,875 2,585 Abraxis Bioscience* 228 13 Advanced Medical Optics* 5,357 109 Aetna (D) 72,790 3,064 Allergan 136,294 7,686 AmerisourceBergen (D) 144,255 5,912 Amgen* 161,855 6,762 Amylin Pharmaceuticals* 3,400 99 Analogic* 1,400 93 APP Pharmaceuticals* 2,418 29 Applera -- Applied Biosystems Group 58,967 1,938 Aspect Medical Systems* 2,000 12 Baxter International 75,207 4,348 Beckman Coulter 1,100 71 Becton Dickinson (D) 27,448 2,356 Biogen Idec (D)* 20,500 1,265 Bristol-Myers Squibb 84,103 1,791 Cardinal Health (D) 144,360 7,580 Celgene* 8,506 521 Charles River Laboratories International (D)* 4,900 289 Cigna (D) 108,457 4,400 Cooper 1,300 45 Covance* 15,100 1,253 Coventry Health Care* 4,908 198 Covidien (D)* 2,400 106 C.R. Bard 1,100 106 Cubist Pharmaceuticals* 43,400 799 DaVita* 1,000 48 Dentsply International 21,800 842 Dionex* 5,400 416 Edwards Lifesciences* 17,132 763 Eli Lilly (D) 57,789 2,981 Endo Pharmaceuticals Holdings* 28,800 689 Express Scripts (D)* 66,500 4,277 Forest Laboratories (D)* 53,600 2,145 Gen-Probe* 6,200 299 Genentech (D)* 140,800 11,430 Genzyme* 19,038 1,419 Gilead Sciences (D)* 44,034 2,269 Health Management Associates, Cl A 8,605 46 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Health Net (D)* 107,856 $ 3,322 Henry Schein* 6,700 385 Hillenbrand Industries 7,737 370 HLTH* 29,500 281 Hospira* 1,300 56 Humana (D)* 72,360 3,246 Idexx Laboratories* 37,900 1,867 ImClone Systems* 2,700 115 IMS Health 5,100 107 Intuitive Surgical* 8,300 2,692 Invacare 3,000 67 Invitrogen (D)* 13,100 1,120 Johnson & Johnson (D) 138,575 8,989 Kinetic Concepts* 8,400 388 King Pharmaceuticals* 210,600 1,832 Laboratory of America Holdings* 1,545 114 LifePoint Hospitals* 13,900 382 Lincare Holdings* 31,800 894 Martek Biosciences* 3,900 119 McKesson (D) 102,097 5,347 Medco Health Solutions (D)* 224,956 9,851 Medical Action Industries* 1,800 30 Medtronic (D) 66,392 3,211 Mentor 16,700 430 Merck (D) 112,936 4,286 Merit Medical Systems* 5,300 84 Millennium Pharmaceuticals* 100,500 1,554 Omnicare 3,400 62 OSI Pharmaceuticals* 32,400 1,211 Par Pharmaceutical* 4,200 73 Patterson* 4,200 152 Pediatrix Medical Group* 1,900 128 PerkinElmer 24,877 603 Pfizer (D) 681,981 14,274 Pharmaceutical Product Development 7,300 306 Quest Diagnostics 16,900 765 Quidel* 30,600 491 Schering-Plough 58,796 847 Sciele Pharma* 2,200 43 Sepracor* 19,597 383 St. Jude Medical* 2,500 108 STERIS 2,800 75 Stryker 52,650 3,425 Tenet Healthcare* 334,629 1,894 Thermo Fisher Scientific* 18,612 1,058 UnitedHealth Group (D) 368,635 12,666 Universal Health Services, Cl B 2,500 134 VCA Antech* 7,500 205 Vertex Pharmaceuticals* 6,400 153 Warner Chilcott, Cl A* 49,300 887 Waters (D)* 19,063 1,062 Watson Pharmaceuticals* 3,400 100 WellPoint (D)* 72,411 3,196 - -------------------------------------------------------------------------------- 28 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Wyeth 50,356 $ 2,103 Zimmer Holdings* 72,500 5,645 -------------- 184,242 -------------- INDUSTRIALS -- 12.7% 3M (D) 28,345 2,244 AGCO* 4,900 293 Alliant Techsystems* 5,200 538 Allied Waste Industries* 171,568 1,855 Ametek 7,300 321 Armstrong World Industries* 4,954 177 BE Aerospace* 2,900 101 Boeing (D) 152,248 11,323 Burlington Northern Santa Fe 10,328 952 Carlisle 10,414 348 Caterpillar (D) 36,800 2,881 C.H. Robinson Worldwide (D) 43,379 2,360 Con-way 1,200 59 Continental Airlines, Cl B* 5,600 108 Cooper Industries, Cl A 7,300 293 Copart* 3,800 147 Corporate Executive Board 3,300 134 Corrections of America* 10,000 275 Crane 47,400 1,913 CSX 78,642 4,409 Cummins (D) 95,200 4,457 Danaher 845 64 Deere 8,500 684 Delta Air Lines* 113,366 975 Dover 13,100 547 DryShips 15,600 935 Dun & Bradstreet (D) 2,674 218 Eaton (D) 32,000 2,549 Emerson Electric 3,418 176 Equifax 1,600 55 Expeditors International Washington 156,500 7,071 Fastenal 27,900 1,281 FedEx (D) 52,184 4,836 First Solar* 6,900 1,595 Flowserve (D) 23,652 2,469 Fluor 25,180 3,554 Foster Wheeler* 9,000 510 GATX 8,798 344 General Cable* 1,900 112 General Dynamics 5,782 482 General Electric (D) 826,437 30,586 Goodrich (D) 43,000 2,473 Harsco (D) 21,901 1,213 Herman Miller 10,000 246 Hertz Global Holdings* 27,432 331 Honeywell International (D) 33,774 1,906 Hubbell, Cl B 29,300 1,280 IDEX 3,800 117 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Illinois Tool Works 5,900 $ 285 Ingersoll-Rand, Cl A 58,500 2,608 ITT 1,418 73 Jacobs Engineering Group* 43,721 3,217 JB Hunt Transport Services 4,500 141 Kansas City Southern* 7,022 282 KBR* 56,593 1,569 Kennametal 9,000 265 Kimball International, Cl B 10,500 113 Kirby* 1,000 57 L-3 Communications Holdings (D) 18,600 2,034 Lennox International 49,700 1,788 Lincoln Electric Holdings 1,100 71 Lockheed Martin (D) 79,495 7,894 Manitowoc 15,300 624 Manpower 48,676 2,739 McDermott International* 5,700 312 MSC Industrial Direct, Cl A (D) 3,900 165 NCI Building Systems* 1,300 31 Norfolk Southern 66,300 3,601 Northrop Grumman (D) 62,583 4,870 Northwest Airlines* 38,663 348 Nuco2* 5,500 153 Oshkosh Truck 6,500 236 Owens Corning* 35,891 651 Paccar 8,888 400 Pall 7,100 249 Parker Hannifin (D) 58,597 4,059 Pentair 8,000 255 Precision Castparts (D) 17,480 1,784 Quanta Services* 52,818 1,224 Raytheon (D) 93,476 6,039 Republic Airways Holdings* 5,000 108 Republic Services 17,300 506 Robert Half International 65,900 1,696 Rockwell Automation (D) 18,300 1,051 Rockwell Collins 1,154 66 Roper Industries 4,138 246 RR Donnelley & Sons (D) 42,439 1,286 Ryder System (D) 21,000 1,279 Shaw Group* 12,500 589 Southwest Airlines 4,800 60 SPX (D) 5,294 555 Steelcase, Cl A 152,067 1,682 Stericycle (D)* 39,570 2,038 Sunpower, Cl A* 1,000 75 Teleflex 1,700 81 Terex* 3,700 231 Textron 12,100 671 Thomas & Betts (D)* 25,700 935 Timken (D) 93,368 2,775 Toro 5,800 240 Trane 1,100 50 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 29 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Diversified Alpha Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Trinity Industries 33,400 $ 890 TrueBlue* 26,400 355 Tyco International (D) 46,100 2,031 UAL 800 17 Union Pacific 6,839 857 United Parcel Service, Cl B 150,253 10,971 United Rentals* 2,300 43 United Technologies 14,004 964 URS* 29,094 951 WESCO International* 42,538 1,552 WW Grainger (D) 17,452 1,333 -------------- 186,118 -------------- INFORMATION TECHNOLOGY -- 17.6% Accenture, Cl A 35,367 1,244 Activision* 15,300 418 ADC Telecommunications* 10,200 123 Adobe Systems* 106,700 3,797 Advanced Micro Devices* 21,400 126 Agilent Technologies (D)* 45,400 1,354 Akamai Technologies* 2,864 81 Alliance Data Systems* 5,200 247 Altera 6,700 123 Amdocs* 66,460 1,885 Amphenol, Cl A 3,500 130 Analog Devices 38,600 1,139 Anaren* 4,500 57 Apple* 66,848 9,593 Applied Materials (D) 3,195 62 Arrow Electronics (D)* 103,794 3,493 Atmel* 233,340 812 Autodesk* 2,300 72 Automatic Data Processing 85,401 3,620 Avnet (D)* 63,523 2,079 AVX 45,530 583 BEA Systems* 18,400 352 BMC Software* 90,300 2,937 Broadcom, Cl A* 7,500 145 Broadridge Financial Solutions 28,100 495 Brocade Communications Systems* 77,600 566 Cabot Microelectronics* 3,300 106 Cadence Design Systems (D)* 81,652 872 Check Point Software Technologies (D)* 74,900 1,678 Ciena* 30,700 947 Cisco Systems (D)* 209,830 5,055 Citrix Systems* 5,800 170 CMGI* 21,300 282 CommScope* 12,900 449 Computer Sciences (D)* 84,755 3,457 Compuware (D)* 199,800 1,467 Convergys* 93,113 1,402 Corning 12,500 301 Cree* 7,800 218 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Cypress Semiconductor* 8,500 $ 201 Dell* 20,900 416 Diebold 3,100 116 DST Systems* 4,021 264 Earthlink* 41,100 310 eBay (D)* 330,486 9,862 Electronic Arts* 1,100 55 Electronic Data Systems (D) 168,697 2,809 EMC (D)* 50,900 730 F5 Networks* 600 11 Fairchild Semiconductor International* 64,849 773 Fidelity National Information Services 9,746 372 Fiserv* 1,200 58 Global Payments 42,900 1,774 Google, Cl A (D)* 27,929 12,302 Harris (D) 2,001 97 Hewitt Associates, Cl A* 60,300 2,398 Hewlett-Packard (D) 353,949 16,161 Ingram Micro, Cl A (D)* 84,742 1,341 Integral Systems 2,700 79 Integrated Device Technology* 122,200 1,091 Intel (D) 160,733 3,404 International Business Machines (D) 45,562 5,246 Intersil, Cl A (D) 52,400 1,345 Intuit (D)* 264,300 7,139 Iron Mountain* 3,200 85 Jabil Circuit 154,911 1,465 Juniper Networks* 112,200 2,805 Kla-Tencor (D) 1,900 71 Lam Research (D)* 28,300 1,082 Lexmark International, Cl A* 22,000 676 Linear Technology 41,000 1,258 Mastercard, Cl A 48,900 10,904 McAfee* 15,100 500 MEMC Electronic Materials* 15,174 1,076 Mettler Toledo International (D)* 5,262 511 Microchip Technology 1,500 49 Micron Technology* 9,500 57 Microsoft (D) 801,163 22,737 Molex 2,300 53 MoneyGram International 76,904 143 Motorola 161,185 1,499 Multi-Fineline Electronix* 6,500 122 National Instruments 3,600 94 National Semiconductor 3,100 57 NAVTEQ* 7,100 483 NCR (D)* 32,834 750 NetApp* 66,700 1,337 NeuStar, Cl A* 2,300 61 Nvidia* 68,100 1,348 Oracle (D)* 273,908 5,358 QLogic* 204,700 3,142 Qualcomm (D) 347,100 14,231 - -------------------------------------------------------------------------------- 30 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Red Hat* 3,100 $ 57 Research In Motion (D)* 85,000 9,540 SanDisk* 3,500 79 Seagate Technology 533,500 11,172 Semtech* 2,400 34 Silicon Laboratories (D)* 44,200 1,394 Sun Microsystems* 514,932 7,997 SYKES Enterprises* 21,400 376 Symantec (D)* 224,856 3,737 Synopsys* 50,812 1,154 Tech Data (D)* 90,511 2,969 Teradata* 228,200 5,034 Texas Instruments (D) 265,025 7,492 Trimble Navigation* 10,700 306 Unisys* 385,461 1,708 Varian Semiconductor Equipment Associates* 6,600 186 VeriSign* 8,600 286 Visa* 91,300 5,693 Vishay Intertechnology* 99,480 901 VMware, Cl A* 600 26 Volterra Semiconductor* 8,800 100 WebMD Health, Cl A* 1,307 31 Western Digital* 4,300 116 Xerox (D) 111,840 1,674 Xilinx 66,300 1,575 Yahoo!* 14,331 415 Zebra Technologies, Cl A (D)* 45,800 1,526 -------------- 257,823 -------------- MATERIALS -- 3.7% Air Products & Chemicals 5,800 534 Airgas 16,712 760 AK Steel Holding* 18,893 1,028 Alcoa 118,300 4,266 Allegheny Technologies 2,600 185 Ashland 103,184 4,881 Ball (D) 15,900 730 Cabot 49,701 1,392 Carpenter Technology 27,400 1,534 Celanese, Ser A 43,200 1,687 Cleveland-Cliffs 1,700 204 Commercial Metals 10,980 329 Crown Holdings (D)* 60,710 1,527 Cytec Industries 1,000 54 Dow Chemical (D) 90,200 3,324 Eastman Chemical 13,100 818 Ecolab 1,900 82 E.I. Du Pont de Nemours 34,898 1,632 FMC 8,300 460 Freeport-McMoRan Copper & Gold, Cl B 8,332 802 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Greif, Cl A 13,900 $ 944 Huntsman 7,600 179 International Flavors & Fragrances 7,500 330 International Paper (D) 83,991 2,284 Lubrizol 21,000 1,166 Martin Marietta Materials 2,900 308 MeadWestvaco 2,100 57 Methanex (D) 41,100 1,076 Monsanto (D) 3,612 403 Mosaic* 8,000 821 Nalco Holding 149,381 3,159 Newmont Mining 7,961 361 Nucor (D) 34,500 2,337 Olin 39,100 773 OM Group* 5,600 305 Owens-Illinois* 16,100 908 Packaging of America 4,400 98 Pactiv (D)* 19,789 519 PPG Industries 16,100 974 Praxair 84,815 7,144 Reliance Steel & Aluminum 1,800 108 RPM International 10,249 215 Sigma-Aldrich 3,100 185 Smurfit-Stone Container (D)* 4,050 31 Southern Copper (D) 6,200 644 Spartech 5,400 46 Steel Dynamics (D) 1,800 59 Temple-Inland 3,000 38 Terra Industries* 15,700 558 United States Steel (D) 8,100 1,028 Valspar 22,200 440 Vulcan Materials 6,389 424 Weyerhaeuser 800 52 -------------- 54,203 -------------- TELECOMMUNICATION SERVICES -- 3.3% American Tower, Cl A* 29,693 1,164 AT&T (D) 627,476 24,032 CenturyTel (D) 38,294 1,273 Citizens Communications 17,011 178 Crown Castle International* 169,600 5,850 Embarq 5,922 238 Qwest Communications International 144,900 656 Rogers Communications, Cl B (D)* 30,200 1,085 Sprint Nextel (D) 234,000 1,565 Telephone & Data Systems 15,600 613 US Cellular* 36,846 2,027 Verizon Communications (D) 230,132 8,388 Windstream (D) 149,252 1,784 -------------- 48,853 -------------- - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 31 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Diversified Alpha Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- UTILITIES -- 2.7% AES* 57,900 $ 965 AGL Resources 14,100 484 Allegheny Energy 1,121 57 Alliant Energy 32,492 1,138 Ameren 5,300 233 American Electric Power 22,800 949 Atmos Energy 20,800 530 Centerpoint Energy 65,900 940 CMS Energy 47,500 643 Consolidated Edison (D) 26,300 1,044 Constellation Energy Group (D) 9,700 856 Dominion Resources 34,894 1,425 DPL 6,000 154 DTE Energy 31,800 1,237 Duke Energy 71,800 1,282 Dynegy, Cl A* 229,829 1,813 Edison International (D) 76,700 3,760 Energen (D) 6,500 405 Energy East 23,100 557 Entergy 8,800 960 Equitable Resources 9,300 548 Exelon 4,274 347 FirstEnergy (D) 21,865 1,500 FPL Group 20,600 1,292 Mirant* 2,000 73 National Fuel Gas 3,000 142 Northeast Utilities 11,300 277 NRG Energy (D)* 25,200 983 Oneok 13,700 611 Pepco Holdings 5,400 134 PG&E (D) 36,337 1,338 PPL 33,462 1,537 Progress Energy (D) 13,800 576 Public Service Enterprise Group (D) 75,402 3,030 Questar 5,200 294 Reliant Energy* 220,568 5,216 Sempra Energy 6,404 341 Sierra Pacific Resources 76,600 968 Southern 1,727 62 Southern Union 15,005 349 UGI 30,000 748 Xcel Energy 471 9 -------------- 39,807 -------------- Total Common Stock (Cost $1,435,617) ($ Thousands) 1,400,321 -------------- - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- ASSET-BACKED SECURITIES -- 3.7% MORTGAGE RELATED SECURITIES -- 1.6% ABSC NIM Trust, Ser 2005-HE6, Cl A1 (E) 5.050%, 08/27/35 $ 29 $ 5 Ace Securities, Ser 2003-OP1, Cl M1 (C) 3.299%, 04/26/08 500 374 Ace Securities, Ser 2005-HE7, Cl A2D (C) 3.465%, 04/25/08 800 648 Aegis Asset-Backed Securities Trust, Ser 2003-3, Cl M1 (C) 3.299%, 04/25/08 38 30 Ameriquest Mortgage Securities, Ser 2003-2, Cl M1 (C) 3.949%, 04/25/08 421 368 Argent Securities, Ser 2003-W5, Cl M1 (C) 3.299%, 04/25/08 250 208 Argent Securities, Ser 2003-W9, Cl M1 (C) 3.289%, 04/26/08 343 268 Asset-Backed Funding Certificates, Ser 2005-AQ1, Cl A2 (B) 4.300%, 06/25/35 376 372 Asset-Backed Securities Home Equity Loan Trust, Ser 2003-HE5, Cl M1 (C) 3.871%, 04/15/08 547 464 Bear Stearns Asset-Backed Securities, Ser 2005-HE11, Cl A1 (E) 5.500%, 11/25/35 116 -- Bear Stearns Asset-Backed Securities, Ser 2006-HE7, Cl 2A2 (C) 3.295%, 04/25/08 1,300 1,059 Bear Stearns Asset-Backed Securities, Ser 2007-HE4, Cl 1A1 (C) 3.255%, 04/30/08 2,301 2,177 Countrywide Asset-Backed Certificates, Ser 2006-S1, Cl A2 5.549%, 08/25/21 1,351 1,318 Home Equity Asset Trust NIM, Ser 2006-1N, Cl 1A (E) 6.500%, 05/27/36 68 2 - -------------------------------------------------------------------------------- 32 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Home Equity Asset Trust, Ser 2003-4, Cl M2 (C) 4.999%, 04/25/08 $ 310 $ 240 Home Equity Asset Trust, Ser 2006-5, Cl 2A3 (C) 3.285%, 04/26/08 250 214 Home Equity Mortgage Trust, Ser 2006-5, Cl A1 (B) 5.500%, 01/25/37 2,215 1,315 Irwin Home Equity, Ser 2007-1, Cl 2A1 (C) (E) 3.285%, 04/17/08 4,158 3,535 Morgan Stanley Capital I, Ser 2003-NC10, Cl M1 (C) 3.619%, 04/27/08 583 458 Morgan Stanley Dean Witter Capital I, Ser 2003-NC1, Cl M2 (C) 6.210%, 04/27/08 103 73 New Century Home Equity Loan Trust, Ser 2003-B, Cl M1 (C) 3.249%, 04/27/08 566 418 New Century Home Equity Loan Trust, Ser 2005-A, Cl A2 (B) 4.461%, 04/25/08 365 361 Novastar Home Equity Loan, Ser 2007-1, Cl A2A1 (C) 2.699%, 04/30/08 3,164 3,004 Option One Mortgage Loan Trust, Ser 2003-5, Cl M1 (C) 3.249%, 04/23/08 164 132 Option One Mortgage Loan Trust, Ser 2006-1, Cl M11 (C) (E) 5.099%, 04/27/08 190 8 Option One Mortgage Loan Trust, Ser 2007-HL1, Cl 2A1 (C) 2.719%, 04/26/08 2,617 2,342 Residential Asset Securities, Ser 2005-KS12, Cl A3 (C) 3.455%, 04/25/08 800 729 SB Finance NIM Trust, Ser 2006-KS4N, Cl N1 (E) 7.500%, 06/25/36 72 31 Terwin Mortgage Trust, Ser 2006-2HGS, Cl A1 (C) (E) 4.500%, 03/25/37 1,628 786 Terwin Mortgage Trust, Ser 2006-4SL, Cl A1 (C) (E) 4.500%, 05/25/37 1,676 1,613 Terwin Mortgage Trust, Ser 2006-6, Cl A1 (C) 4.500%, 07/25/37 823 499 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Terwin Mortgage Trust, Ser 2006-HF1, Cl A1A (C) (E) 4.500%, 02/25/37 $ 22 $ 22 Wells Fargo Home Equity Trust, Ser 2004-2, Cl M8A (C) (E) 6.135%, 04/28/08 201 70 -------------- 23,143 -------------- OTHER ASSET-BACKED SECURITIES -- 2.1% Aames Mortgage Investment Trust, Ser 2005-4, Cl B2 (C) 5.349%, 04/12/08 170 18 Carrington Mortgage Loan Trust, Ser 2007-FRE1, Cl A1 (C) 2.719%, 04/25/08 1,893 1,784 Chase Funding Mortgage Loan, Ser 2003-6, Cl 1A3 3.340%, 05/25/26 143 142 Countrywide Asset-Backed Certificates, Ser 2003-5, Cl MV2 (C) 4.735%, 04/25/08 262 204 Countrywide Asset-Backed Certificates, Ser 2005-7, Cl MV8 (C) 4.585%, 04/27/08 250 129 Credit-Based Asset Servicing, Ser 2005-CB2, Cl M1 (C) 3.575%, 04/25/08 102 83 Credit-Based Asset Servicing, Ser 2007-CB4, Cl A1A (C) 2.689%, 04/27/08 2,002 1,805 Credit-Based Asset Servicing, Ser 2007-CB4, Cl A2A (B) 5.844%, 04/01/08 2,174 2,144 FBR Securitization Trust, Ser 2005-2, Cl M10 (C) 5.385%, 04/28/08 100 7 First Franklin Mortgage Loan Asset, Ser 2006-FF11, Cl M1 (C) 3.385%, 04/06/08 3,500 1,422 First Franklin Mortgage Loan Asset, Ser 2006-FF14, Cl A2 (C) 2.659%, 04/25/08 2,358 2,229 GSAMP Trust, Ser 2007-HE2, Cl A2A (C) 3.255%, 04/20/08 2,278 2,117 Lehman XS Trust, Ser 2005-5N, Cl M3 (C) 4.135%, 04/25/08 600 255 Lehman XS Trust, Ser 2005-5N, Cl M4 (C) 4.349%, 04/30/08 725 145 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 33 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Diversified Alpha Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Lehman XS Trust, Ser 2005-7N, Cl M51 (C) 4.385%, 04/30/08 $ 150 $ 45 Lehman XS Trust, Ser 2005-7N, Cl M7I (C) 4.885%, 04/27/08 325 65 Lehman XS Trust, Ser 2005-9N, Cl M4 (C) 4.535%, 04/30/08 225 96 Lehman XS Trust, Ser 2005-9N, Cl M6 (C) 4.885%, 04/30/08 415 104 Lehman XS Trust, Ser 2006-12N, Cl M4 (C) 3.685%, 04/25/08 270 116 Lehman XS Trust, Ser 2006-12N, Cl M5 (C) 3.735%, 04/25/08 150 52 Lehman XS Trust, Ser 2006-2N, Cl M5 (C) 4.285%, 04/27/08 240 90 Long Beach Mortgage Loan Trust, Ser 2005-WL2, Cl M1 (C) 3.605%, 04/25/08 700 559 Long Beach Mortgage Loan Trust, Ser 2006-WL1, Cl 1A3 (C) 2.929%, 04/27/08 560 434 Merrill Lynch Mortgage Investors, Ser 2005-FF6, Cl N1 (E) 4.500%, 05/25/36 43 -- Merrill Lynch Mortgage Investors, Ser 2007-HE2, Cl A2A (C) 2.719%, 04/30/08 2,522 2,322 Merrill Lynch Mortgage Investors, Ser 2007-SL1, Cl A1 (C) 2.899%, 04/11/08 2,196 1,834 Morgan Stanley ABS Capital I, Ser 2005-HE6, Cl A2C (C) 2.919%, 04/25/08 1,600 1,485 Ownit Mortgage Loan Asset-Backed Securities Trust, Ser 2006-1, Cl AF1 (B) 5.424%, 12/25/36 873 861 RAAC, Ser 2007-SP1, Cl A1 (C) 2.749%, 04/10/08 2,604 2,524 Residential Asset Mortgage Products, Ser 2003-RS10, Cl AI5 (C) 4.910%, 01/25/31 52 51 Residential Asset Mortgage Products, Ser 2006-RZ4, Cl M9 (C) 5.635%, 04/25/08 115 12 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Resmae Mortgage Loan Trust, Ser 2006-1, Cl A2B (C) (E) 2.749%, 04/25/08 $ 1,000 $ 873 SLM Student Loan Trust, Ser 2006-C, Cl C (C) 5.381%, 06/15/08 1,000 641 Saco I Trust, Ser 2005-10, Cl 2A1 (C) 3.395%, 04/30/08 2,724 2,425 Securitized Asset Backed Receivables Trust LLC, Ser 2005-HE1, Cl A3C (C) 2.929%, 04/25/08 400 371 Structured Asset Investment Loan, Ser 2003-BC4, Cl M2 (C) 5.599%, 04/25/08 192 145 Structured Asset Investment Loan, Ser 2005-4, Cl M11 (C) 5.635%, 04/25/08 250 75 Structured Asset Securities, Ser 2007-BC1, Cl A4 (C) 2.729%, 04/25/08 1,400 1,086 Wachovia Student Loan Trust, Ser 2006-1, Cl B (C) (E) 3.571%, 06/29/08 3,200 2,625 -------------- 31,375 -------------- Total Asset-Backed Securities (Cost $67,455) ($ Thousands) 54,518 -------------- MORTGAGE-BACKED SECURITIES -- 5.7% AGENCY MORTGAGE-BACKED OBLIGATIONS -- 0.4% FHLMC CMO STRIPS, Ser 232, Cl IO, IO 5.000%, 08/01/35 6,158 1,338 FHLMC CMO STRIPS, Ser 233, Cl 12, IO 5.000%, 09/15/35 1,022 210 FNMA ARM 5.507%, 05/01/36 894 911 FNMA CMO STRIPS, Ser 359, Cl 6, IO 5.000%, 11/01/35 377 79 FNMA CMO STRIPS, Ser 360, Cl 2, IO 5.000%, 08/01/35 16,128 3,504 GNMA ARM 5.625%, 08/20/34 384 386 -------------- 6,428 -------------- - -------------------------------------------------------------------------------- 34 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 5.3% American Home Mortgage Assets, Ser 2006-3, Cl M5 (C) 3.755%, 04/25/08 $ 250 $ 80 American Home Mortgage Investment Trust, Ser 2005-1, Cl 6A (C) 5.294%, 04/25/08 3,851 2,988 American Home Mortgage Investment Trust, Ser 2005-4, Cl 5A (C) 5.350%, 04/25/08 2,051 1,742 American Home Mortgage Investment Trust, Ser 2006-1, Cl 2A3 (C) 5.100%, 04/25/08 1,219 1,024 Banc of America Commercial Mortgage, Ser 2005-6, Cl AM (C) 5.182%, 09/10/47 1,619 1,545 Banc of America Commercial Mortgage, Ser 2006-3, Cl A4 (C) 5.889%, 07/10/44 1,854 1,880 Banc of America Commercial Mortgage, Ser 2007-3, Cl A4 (C) 5.838%, 06/10/49 5,050 4,985 Bank of America Commercial Mortgage, Ser 2005-5, Cl AM (C) 5.176%, 10/10/45 1,762 1,682 Bank of America Commercial Mortgage, Ser 2006-2, Cl A4 (C) 5.740%, 04/01/08 1,911 1,931 Countrywide Alternative Loan Trust, Ser 2004-33, Cl 1A1 (C) 6.742%, 04/01/08 299 275 Countrywide Alternative Loan Trust, Ser 2005-69, Cl M3 (C) 4.285%, 04/27/08 235 87 Countrywide Alternative Loan Trust, Ser 2005-IM1, Cl M3 (C) 5.135%, 04/27/08 375 56 Countrywide Alternative Loan Trust, Ser 2006-OA11, Cl M3 (C) 3.565%, 04/30/08 500 189 Countrywide Alternative Loan Trust, Ser 2006-OA16, Cl M5 (C) 3.685%, 04/25/08 225 23 Countrywide Home Loans, Ser 2004-22, Cl A1 (C) 5.094%, 04/01/08 394 372 Countrywide Home Loans, Ser 2006-OA4, Cl M4 (C) 3.955%, 04/27/08 285 114 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Countrywide Home Loans, Ser 2006-OA4, Cl M5 (C) 4.005%, 04/27/08 $ 195 $ 68 Countrywide Home Loans, Ser 2006-OA5, Cl 1M4 (C) 4.185%, 04/27/08 275 28 Countrywide Home Loans, Ser 2007-HYB1, Cl 1A1 (C) 5.564%, 04/01/08 1,636 1,544 Credit Suisse Mortgage Capital Certificates, Ser 2006-C3, Cl A3 (C) 6.021%, 06/15/38 2,381 2,416 DSLA Mortgage Loan Trust, Ser 2004-AR4, Cl B1 (C) 3.159%, 04/19/08 268 248 First Horizon Alternative Mortgage Trust, Ser 2006-AA6, Cl 2A1 (C) 5.634%, 04/01/08 3,155 2,393 First Horizon Mortgage Pass- Through, Ser 2006-AR3, Cl 1A1 (C) 5.672%, 04/01/08 672 641 GS Mortgage Securities, Ser 2006-GG6, Cl AM (C) 5.622%, 04/10/38 3,800 3,527 Greenwich Capital Commercial Funding, Ser 2006-GG7, Cl AM (C) 5.911%, 04/01/08 2,100 1,985 Impac CMB Trust, Ser 2004-10, Cl 4M1 (C) 3.735%, 04/25/08 276 191 Impac Secured Assets CMO Owners Trust, Ser 2007-1, Cl A1 (C) 3.195%, 04/25/08 5,130 4,411 Impac Secured Assets CMO Owners Trust, Ser 2007-2, Cl 1A1A (C) 2.709%, 04/29/08 3,112 2,714 Indymac Index Mortgage Loan Trust, Ser 2006-AR12, Cl M2 (C) 3.685%, 04/25/08 235 199 Indymac Index Mortgage Loan Trust, Ser 2006-AR2, Cl M6 (C) 4.885%, 04/25/08 240 72 Indymac Index Mortgage Loan Trust, Ser 2006-AR4, Cl M4 (C) 3.835%, 04/25/08 165 58 JPMorgan Chase Commercial Mortgage, Ser 2006-LDP9, Cl A3 5.336%, 05/15/47 1,155 1,120 JPMorgan Chase Commercial Mortgage, Ser 2007-C1, Cl A4 5.716%, 11/15/17 7,000 6,858 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 35 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Diversified Alpha Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- JPMorgan Chase Commercial Mortgage, Ser 2007-CB18, Cl A4 5.440%, 04/01/08 $ 5,050 $ 4,904 Merrill Lynch Mortgage Investors, Ser 2005-A4, Cl 1A (C) 5.765%, 04/01/08 437 428 Merrill Lynch Mortgage Investors, Ser 2006-1, Cl 1A (C) 5.300%, 04/01/08 1,588 1,536 Merrill Lynch Mortgage Trust, Ser 2005-CKI1, Cl A6 (C) 5.417%, 11/12/37 2,316 2,314 Merrill Lynch/Countrywide Commercial Mortgage, Ser 2006-4, Cl A3 (C) 5.172%, 12/12/49 5,667 5,454 Morgan Stanley Mortgage Loan Trust, Ser 2007-14AR, Cl 6A1 (C) 6.487%, 11/25/37 1,816 1,271 Nomura Asset Acceptance, Ser 2007-1, Cl 1A1A (B) 5.995%, 04/09/08 2,021 1,950 Residential Accredit Loans, Ser 2006-Q01, Cl 2A3 (C) 2.999%, 04/27/08 315 156 Residential Accredit Loans, Ser 2006-Q06, Cl M5 (C) 3.635%, 04/29/08 350 49 Residential Accredit Loans, Ser 2006-QO3, Cl M4 (C) 3.855%, 04/25/08 250 32 Residential Accredit Loans, Ser 2006-QO3, Cl M5 (C) 3.915%, 04/25/08 250 23 Residential Asset Securitization Trust, Ser 2004-IP2, Cl 3A1 (C) 5.247%, 04/25/08 1,220 1,232 Structured Adjustable Rate Mortgage Loan, Ser 2005-16XS, Cl M2 (C) 3.499%, 04/25/08 505 167 Structured Adjustable Rate Mortgage Loan, Ser 2007-9, Cl 2A1 (C) 5.996%, 04/01/08 1,886 1,741 Structured Asset Mortgage Investments, Ser 2006-AR1, Cl B4 (C) 4.085%, 04/27/08 191 50 Structured Asset Mortgage Investments, Ser 2006-AR1, Cl B5 (C) 4.185%, 04/27/08 121 22 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Structured Asset Securities, Ser 2006-NC1, Cl A4 (C) 2.749%, 04/25/08 $ 300 $ 251 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-HY2, Cl 1A1 (C) 5.776%, 04/25/37 1,073 768 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-HY4, Cl 1A1 (C) 5.551%, 04/01/08 4,363 4,115 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-HY6, Cl 1A1 (C) 5.707%, 06/25/37 3,558 3,362 -------------- 77,271 -------------- Total Mortgage-Backed Securities (Cost $93,668) ($ Thousands) 83,699 -------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS -- 5.4% FHLMC TBA 6.000%, 04/01/16 2,000 2,057 FNMA TBA 6.500%, 04/30/37 6,000 6,214 6.000%, 04/30/20 37,000 38,075 5.500%, 04/30/22-05/01/32 32,000 32,733 -------------- Total U.S. Government Agency Mortgage-Backed Obligations (Cost $78,390) ($ Thousands) 79,079 -------------- U.S. GOVERNMENT AGENCY OBLIGATIONS (F) -- 1.0% FHLMC 2.215%, 06/27/08 1,700 1,691 2.094%, 07/11/08 300 298 FNMA (F) 4.392%, 04/16/08 1,025 1,024 4.281%, 05/09/08 1,021 1,019 2.950%, 05/07/08 8,379 8,364 2.409%, 06/27/08 1,100 1,095 2.360%, 06/23/08 1,500 1,493 2.100%, 09/24/08 150 149 -------------- Total U.S. Government Agency Obligations (Cost $15,107) ($ Thousands) 15,133 -------------- - -------------------------------------------------------------------------------- 36 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)/Shares/Contracts ($ Thousands) - -------------------------------------------------------------------------------- CORPORATE OBLIGATIONS -- 0.1% FINANCIALS -- 0.1% Discover Financial Services (E) 6.450%, 06/12/17 $ 115 $ 99 Shinsei Finance Cayman (C) (E) 6.418%, 01/29/49 400 265 Washington Mutual Preferred Funding (C) (E) 6.534%, 03/29/49 400 211 -------------- Total Corporate Obligations (Cost $914) ($ Thousands) 575 -------------- CASH EQUIVALENT**++ -- 7.9% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 3.190% 116,068,075 116,068 -------------- Total Cash Equivalent (Cost $116,068) ($ Thousands) 116,068 -------------- U.S. TREASURY OBLIGATIONS -- 0.5% U.S. Treasury Bills (A) (F) 3.055%, 06/05/08 820 818 2.167%, 05/22/08 3,609 3,603 U.S. Treasury Bond TIPS 2.375%, 04/15/11 2,822 3,031 -------------- Total U.S. Treasury Obligations (Cost $7,228) ($ Thousands) 7,452 -------------- PURCHASED OPTIONS -- 0.0% June 2008 U.S. Ten Year Treasury Call, Expires 06/16/08 Strike Price: $95.00* 43 294 -------------- Total Purchased Options (Cost $18) ($ Thousands) 294 -------------- Total Investments -- 119.9% (Cost $1,814,465) ($ Thousands) $ 1,757,139 ============== COMMON STOCK SOLD SHORT -- (14.8)% CONSUMER DISCRETIONARY -- (3.3)% Advance Auto Parts (8,095) (276) Amazon.com* (12,000) (856) Apollo Group, Cl A* (24,545) (1,060) Career Education* (14,218) (181) Centex (85,353) (2,066) Central European Media Entertainment, Cl A* (39,310) (3,350) Circuit City Stores (216,916) (863) Clear Channel Outdoor Holdings, Cl A* (5,400) (103) - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Coldwater Creek* (56,558) $ (286) CTC Media* (36,877) (1,023) Dick's Sporting Goods* (38,500) (1,031) Dish Network, Cl A* (28,400) (816) DR Horton (129,819) (2,045) Dreamworks Animation SKG, Cl A* (87,142) (2,246) E.W. Scripps, Cl A (2,410) (101) Eastman Kodak (16,000) (283) Fortune Brands (6,025) (419) Gentex (115,742) (1,985) Getty Images* (23,226) (743) Harte-Hanks (18,708) (256) Hearst-Argyle Television (6,163) (127) International Game Technology (1,900) (76) International Speedway, Cl A (17,256) (711) Interpublic Group (197,700) (1,663) J.C. Penney (10,266) (387) Lamar Advertising, Cl A* (35,000) (1,257) Las Vegas Sands* (38,100) (2,806) Lennar, Cl A (133,245) (2,506) Liberty Media Interactive, Cl A* (8,600) (139) Marriott International, Class A (2,900) (100) MDC Holdings (34,643) (1,517) MGM Mirage (51,100) (3,003) News, Cl A (26,500) (497) O'Reilly Automotive* (43,100) (1,229) Orient Express Hotels, Cl A (18,200) (785) Petsmart (11,601) (237) Priceline.com* (8,100) (979) Pulte Homes (182,445) (2,655) Quiksilver* (97,200) (954) R.H. Donnelley (22,133) (112) Ryland Group (50,202) (1,651) Saks (62,700) (782) Sally Beauty Holdings (94,000) (649) Scientific Games, Cl A* (66,700) (1,408) Tiffany (31,615) (1,323) Weight Watchers International (5,774) (267) -------------- (47,809) -------------- CONSUMER STAPLES -- (0.1)% Church & Dwight (5,355) (290) Hansen Natural* (9,902) (350) Herbalife (5,584) (265) Hershey Foods (8,862) (334) JM Smucker (4,174) (211) WM Wrigley Jr. (1,727) (109) -------------- (1,559) -------------- ENERGY -- (1.8)% Arch Coal (15,100) (657) Baker Hughes (2,900) (199) BJ Services (33,900) (966) - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 37 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Diversified Alpha Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Cabot Oil And Gas, Cl A (34,000) $ (1,729) Cameco (57,300) (1,887) Continental Resources* (28,500) (909) Diamond Offshore Drilling (7,600) (885) Enbridge (46,200) (1,902) Forest Oil* (14,500) (710) Foundation Coal Holdings (2,500) (126) Newfield Exploration* (9,122) (482) Peabody Energy (63,300) (3,228) Quicksilver Resources* (34,400) (1,257) Range Resources (54,300) (3,445) Teekay Shipping (46,176) (1,961) Tetra Technologies* (52,600) (833) TransCanada (55,100) (2,123) Transocean (3,900) (527) Unit* (36,858) (2,088) -------------- (25,914) -------------- FINANCIALS -- (2.1)% Allied World Assurance Holdings (746) (30) AMB Property+ (3,400) (185) Arthur J. Gallagher (6,400) (151) Assured Guaranty (54,700) (1,299) AvalonBay Communities+ (11,400) (1,100) Bancorpsouth (2,600) (60) Brandywine Realty Trust (47,062) (798) Camden Property Trust+ (9,800) (492) Capital Source (76,074) (736) Capitol Federal Financial (44,500) (1,668) Commerce Bancshares (2,000) (84) Conseco* (101,200) (1,032) Equity Residential+ (7,000) (290) Fannie Mae (75,336) (1,983) Federal Realty Investment Trust (4,900) (382) Fidelity National Financial, Cl A (174,370) (3,196) First American (62,942) (2,136) Forestar Real Estate Group (7,266) (181) Freddie Mac (92,334) (2,338) Leucadia National (65,424) (2,958) Markel* (900) (396) Marsh & McLennan (5,900) (144) Merrill Lynch (17,654) (719) Morgan Stanley (12,105) (553) MSCI* (2,973) (89) Plum Creek Timber+ (10,500) (427) PMI Group (95,607) (557) Progressive (20,000) (321) Rayonier+ (3,100) (135) SL Green Realty+ (7,400) (603) SLM (107,700) (1,653) T. Rowe Price Group (12,400) (620) Unitrin (7,300) (258) - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Valley National Bancorp (57,925) $ (1,113) Ventas (26,500) (1,190) Washington Mutual (25,148) (259) White Mountains Insurance Group (900) (432) -------------- (30,568) -------------- HEALTH CARE -- (2.2)% Advanced Medical Optics (10,800) (219) Allergan (17,300) (976) Biomarin Pharmaceutical* (46,400) (1,641) Brookdale Senior Living (18,973) (454) Cephalon* (7,422) (478) Community Health Care Systems* (37,400) (1,256) Cooper (89,339) (3,076) DaVita* (22,400) (1,070) Henry Schein* (19,900) (1,142) ImClone Systems* (28,500) (1,209) LifePoint Hospitals* (76,719) (2,107) McKesson (17,900) (937) Millipore (8,100) (546) Mylan (345,935) (4,013) Omnicare (56,706) (1,030) Patterson* (8,000) (290) PDL BioPharma* (31,983) (339) Pharmaceutical Product Development (3,900) (163) Resmed* (73,400) (3,096) Schering Plough (31,200) (450) Tenet Healthcare* (373,500) (2,114) Varian Medical Systems* (13,900) (651) VCA Antech* (41,100) (1,124) Vertex Pharmaceuticals* (103,400) (2,470) Waters* (351) (20) WellCare Health Plans* (50,716) (1,975) -------------- (32,846) -------------- INDUSTRIALS -- (1.6)% Aircastle (71,272) (802) AMR* (116,900) (1,054) BE Aerospace* (5,300) (185) Continental Airlines, Cl B* (71,200) (1,369) Copa Holdings, Cl A (76,905) (2,931) Copart* (11,794) (457) Corporate Executive Board (18,003) (729) Corrections Corporation of America* (10,700) (294) Covanta Holding* (55,600) (1,529) Delta Airlines* (107,100) (921) DRS Technologies (3,520) (205) Dun & Bradstreet (2,518) (205) Expeditors International Washington (13,900) (628) General Cable (15,100) (892) Goodrich (396) (23) Graco (888) (32) IHS, Cl A* (22,800) (1,466) - -------------------------------------------------------------------------------- 38 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Joy Global (26,600) $ (1,733) KB Home (42,190) (1,043) Kennametal (10,000) (294) MSC Industrial Direct, Cl A (18,036) (762) Oshkosh Truck (8,060) (293) Pall (14,900) (523) Pitney Bowes (45,685) (1,600) Quanta Services* (61,100) (1,416) Republic Services (4,439) (130) Stericycle* (1,420) (73) Sunpower, Cl A* (16,400) (1,222) Textron (2,900) (161) Toro (2,827) (117) URS* (11,000) (360) UTI Worldwide (41,000) (823) -------------- (24,272) -------------- INFORMATION TECHNOLOGY -- (2.4)% Acxiom (7,763) (92) Advanced Micro Devices* (1,331) (8) Altera (20,903) (385) Amphenol, Cl A (34,900) (1,300) Applied Materials (50,600) (987) Autodesk (37,200) (1,171) AVX (6,400) (82) Ciena* (29,200) (900) Cypress Semiconductor* (137,900) (3,256) Diebold (24,045) (903) Dst Systems* (11,600) (763) Electronic Arts* (39,500) (1,972) Equinix* (21,600) (1,436) F5 Networks* (25,191) (458) Factset Research Systems (1,640) (88) Fair Isaac (46,851) (1,008) Fidelity National Information Services (31,035) (1,184) Integrated Device Technology* (143) (1) International Rectifier* (2,300) (49) Iron Mountain* (33,800) (894) Kla-Tencor (24,900) (924) Linear Technology (82,049) (2,518) Marvel Technology* (20,595) (224) Microchip Technology (40,547) (1,327) Micron Technology (158,900) (949) Motorola (23,600) (219) Novell* (31,700) (199) Novellus Systems (44,800) (943) Paychex (53,679) (1,839) - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Rambus* (70,500) $ (1,643) Red Hat* (35,010) (644) Riverbed Technology* (39,135) (582) Salesforce.com* (34,800) (2,014) SanDisk* (10,234) (231) Tellabs* (26,400) (144) Trimble Navigation* (44,400) (1,269) VeriFone Holdings* (28,508) (453) VeriSign* (5,200) (173) Zebra Technology, Cl A* (53,211) (1,773) -------------- (35,005) -------------- MATERIALS -- (0.8)% Allegheny Technologies (7,800) (557) Bemis (84,212) (2,142) Cleveland-Cliffs (553) (66) Eagle Materials (40,616) (1,444) Ivanhoe Mines* (155,100) (1,601) Louisiana-Pacific (231,000) (2,121) Potash of Saskatchewan (8,800) (1,366) Sealed Air (3,000) (76) Silver Standard Resources* (31,800) (964) Titanium Metals (19,000) (286) Weyerhaeuser (14,700) (956) -------------- (11,579) -------------- TELECOMMUNICATION SERVICES -- (0.3)% Citizens Communications (45,098) (473) MetroPCS Communications* (42,400) (721) NeuStar, Cl A* (4,700) (124) NII Holdings, Cl B* (35,900) (1,141) Sprint Nextel (18,656) (125) Windstream (176,141) (2,105) -------------- (4,689) -------------- UTILITIES -- (0.2)% Allegheny Energy (4,000) (202) Entergy (1,503) (164) Equitable Resources (19,300) (1,137) Mirant* (9,700) (353) PPL (9,653) (443) Wisconsin Energy (16,100) (707) -------------- (3,006) -------------- Total Common Stock Sold Short (Proceeds $(241,393)) ($ Thousands) (217,247) -------------- - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 39 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Diversified Alpha Fund (Continued) March 31, 2008 A summary of the open futures contracts held by the Fund at March 31, 2008, is as follows (see Note 2 in Notes to Financial Statements): - -------------------------------------------------------------------------------- UNREALIZED NUMBER OF APPRECIATION TYPE OF CONTRACTS EXPIRATION (DEPRECIATION) CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - -------------------------------------------------------------------------------- 90-Day Euro$ 55 Mar-2009 $ 21 90-Day Euro$ (20) Mar-2010 (92) 90-Day Euro$ (18) Mar-2011 (53) 90-Day Euro$ (9) Mar-2012 (15) 90-Day Euro$ 75 Jun-2008 497 90-Day Euro$ 116 Jun-2009 402 90-Day Euro$ (119) Jun-2010 (516) 90-Day Euro$ (5) Jun-2011 (8) 90-Day Euro$ (4) Jun-2012 (4) 90-Day Euro$ 55 Sep-2008 185 90-Day Euro$ 110 Sep-2009 305 90-Day Euro$ (3) Sep-2011 (4) 90-Day Euro$ (4) Sep-2012 (4) 90-Day Euro$ (6) Dec-2008 (14) 90-Day Euro$ 4 Dec-2009 (2) 90-Day Euro$ (9) Dec-2011 (16) 10-Year Swap (179) Jun-2008 (713) S&P 500 Composite Index 66 Jun-2008 4,893 U.S. 2-Year Note 241 Jun-2008 315 U.S. 5-Year Note 155 Jun-2008 306 U.S. 10-Year Note (197) Jun-2008 (754) U.S. Long Treasury Bond (24) Jun-2008 (89) ------------- $ 4,640 ============= A summary of outstanding swap agreements held by the Fund at March 31, 2008, is as follows (see Note 2 in Notes to Financial Statements): - -------------------------------------------------------------------------------- TOTAL RETURN SWAPS - -------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------- Fund receives payment on monthly reset spread from Bank of America--CMBS AAA 10 YR Index minus 145 basis points times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: JPMorgan Chase) 04/01/08 $ 5,000 $ 114 Fund receives payment on monthly reset spread from Bank of America--CMBS AAA 10 YR Index minus 65 basis points times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Wachovia) 08/01/08 15,000 341 Fund receives payment on monthly reset spread from Bank of America--CMBS AAA 10 YR Index minus 35 basis points times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Bank of America) 08/01/08 20,000 456 Fund receives payment on monthly reset spread from Bank of America--CMBS AAA 10 YR Index plus zero basis points times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Bank of America) 10/01/08 5,000 -- Fund receives payment on monthly reset spread from Bank of America--CMBS AAA 10 YR Index plus 50 basis points times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Bank of America) 06/01/08 4,000 91 Fund receives payment on monthly reset spread from Bank of America--CMBS IG 10 YR Index plus 35 basis points times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Bank of America) 05/01/08 12,000 167 - -------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------- Fund receives payment on monthly reset spread from Bank of America--CMBS AAA 10 YR Index plus 40 basis points times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Bank of America) 04/30/08 $ 18,000 $ 410 Fund pays 3-Month LIBOR less 11 basis points and receives spread on the S&P 500 Total Return Index times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Merrill Lynch) 12/25/08 24,465,980 (138) ------------- $ 1,441 ============= - -------------------------------------------------------------------------------- CREDIT DEFAULT SWAPS - -------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------- Fund pays monthly payment of 0.052% (0.624% per annum) times the notional amount of the CMBX NA-A 3 Index. Upon a defined credit event, Fund receives the notional amount and delivers the defined deliverable obligation. (Counterparty: Goldman Sachs) 12/25/49 $ 1,000 $ 164 Fund pays quarterly payment of 0.2375% (0.95% per annum) times notional amount of Lowe's Inc., 8.25%, 06/01/2010. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 03/20/13 1,000 3 Fund pays quarterly payment of 0.1475% (0.59% per annum) times notional amount of Safeway Inc., 5.80%, 08/15/2012. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 03/20/13 1,250 2 Fund pays quarterly payment of 0.068% (0.272% per annum) times notional amount of Southwest Airlines Co., 6.50%, 03/01/2012. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 750 59 Fund pays quarterly payment of 0.113% (0.452% per annum) times notional amount of Lubrizol Corp., 7.25%, 06/15/2035. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 750 11 Fund pays quarterly payment of 0.173% (0.692% per annum) times notional amount of Donnelley (R.R.) & Sons, 4.95%, 04/01/2014. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 750 27 Fund pays quarterly payment of 0.05% (0.20% per annum) times notional amount of PPG Industries Inc., 7.05%, 08/15/2009. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 15 Fund pays quarterly payment of 0.113% (0.452% per annum) times notional amount of Lubrizol Corp., 7.25%, 06/15/2025. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 750 11 Fund pays quarterly payment of 0.11% (0.44% per annum) times notional amount of Autozone Inc., 5.875%, 10/15/2012. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 750 14 Fund pays quarterly payment of 0.119% (0.476% per annum) times notional amount of MeadWestavaco Corp., 6.85%, 04/01/2012. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 750 28 Fund pays quarterly payment of 0.115% (0.46% per annum) times notional amount of Autozone Inc., 5.875%, 10/15/2012. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 13 - -------------------------------------------------------------------------------- 40 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------- Fund pays quarterly payment of 0.295% (1.18% per annum) times notional amount of Gap Inc., 8.80%, 12/15/2008. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 $ 750 $ 18 Fund pays quarterly payment of 0.138% (0.552% per annum) times notional amount of Black & Decker Corp., 7.125%, 06/01/2011. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 750 20 Fund pays quarterly payment of 0.048% (0.192% per annum) times notional amount of TJX Companies Inc., 7.45%, 12/15/2009. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 750 10 Fund pays quarterly payment of 0.055% (0.22% per annum) times notional amount of Nucor Corp., 4.875%, 10/01/2012. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 750 15 Fund pays quarterly payment of 0.033% (0.132% per annum) times notional amount of Lowes Companies Inc., 8.25%, 06/01/2010. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 750 18 Fund pays quarterly payment of 0.295% (1.18% per annum) times notional amount of Gap Inc., 8.80%, 12/15/2008. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 750 16 Fund pays quarterly payment of 0.193% (0.772% per annum) times notional amount of Jones Apparel Group, 5.125%, 11/15/2014. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 62 Fund pays quarterly payment of 0.035% (0.14% per annum) times notional amount of Pitney Bowes Inc., 4.625%, 10/01/2012. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 1,500 24 Fund pays quarterly payment of 0.111% (0.444% per annum) times notional amount of Darden Restaurants Inc, 7.125%, 02/01/2016. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 750 29 Fund pays quarterly payment of 0.119% (0.476% per annum) times notional amount of The Limited Inc., 6.125%, 12/01/2012. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 750 72 Fund pays quarterly payment of 0.138% (0.552% per annum) times notional amount of Black & Decker Corp., 7.125%, 06/01/2011. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 34 Fund pays quarterly payment of 0.225% (0.90% per annum) times notional amount of MDC Holdings Inc., 5.50%, 05/15/2013. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 750 21 Fund pays quarterly payment of 0.098% (0.392% per annum) times notional amount of Hasbro Inc., 2.75%, 12/01/2021. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/2011 750 21 Fund pays quarterly payment of 0.085% (0.340% per annum) times notional amount of Whirlpool Corp., 7.75%, 07/15/2016. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 28 Fund pays quarterly payment of 0.113% (0.452% per annum) times notional amount of Weyerhaeuser Co., 6.75%, 03/15/2012. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 350 14 - -------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------- Fund pays quarterly payment of 0.055% (0.22% per annum) times notional amount of Nucor Corp., 4.875%, 10/01/2012. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 $ 750 $ 7 Fund pays quarterly payment of 0.068% (0.272% per annum) times notional amount of Southwest Airlines Co., 6.50%, 03/01/2012. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 59 Fund pays quarterly payment of 0.098% (0.392% per annum) times notional amount of Radian Group Inc., 7.75%, 06/01/2011. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 750 215 Fund pays quarterly payment of 0.093% (0.372% per annum) times notional amount of Johnson Controls Inc., 7.125%, 07/15/2017. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 750 23 Fund pays quarterly payment of 0.088% (0.352% per annum) times notional amount of MGIC Investment Corp., 6.00%, 03/15/2007. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 750 154 Fund pays quarterly payment of 0.088% (0.352% per annum) times notional amount of PMI Group Inc., 6.00%, 09/15/2016. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 750 166 Fund pays quarterly payment of 0.098% (0.392% per annum) times notional amount of Johnson Controls Inc., 7.125%, 07/15/2017. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 750 10 Fund pays quarterly payment of 0.088% (0.352% per annum) times notional amount of Alcan Inc., 4.875%, 09/15/2012. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 750 11 Fund pays quarterly payment of 0.098% (0.392% per annum) times notional amount of Radian Group Inc., 7.75%, 06/01/2011. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/2013 750 237 Fund pays quarterly payment of 0.088% (0.352% per annum) times notional amount of PMI Group Inc., 6.00%, 09/15/2016. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 750 165 Fund pays quarterly payment of 0.088% (0.352% per annum) times notional amount of MGIC Investment Corp., 6.00%, 03/15/2007. Upon a defined credit event, Fund will receive he notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 750 143 Fund pays quarterly payment of 0.07% (0.28% per annum) times notional amount of Nordstrom Inc., 6.95%, 03/15/2028. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 750 19 Fund pays quarterly payment of 0.063% (0.252% per annum) times notional amount of Dow Chemical Inc., 6.00%, 10/01/2012. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/13 750 24 Fund pays quarterly payment of 0.183% (0.732% per annum) times notional amount of Masco Corp., 5.875%, 07/15/2012. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 750 52 Fund pays quarterly payment of 0.065% (0.26% per annum) times notional amount of Dow Chemical Inc., 6.00%, 10/01/2012. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 750 13 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 41 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Diversified Alpha Fund (Concluded) March 31, 2008 - -------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------- Fund pays quarterly payment of 0.07% (0.28% per annum) times notional amount of Nordstrom Inc., 6.95%, 03/15/2028. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/13 $ 750 $ 19 Fund pays quarterly payment of 0.054% (0.216% per annum) times notional amount of Carnival Corp., 6.65%, 1/15/2028. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 06/20/12 650 25 Fund pays quarterly payment of 0.05% (0.20% per annum) times notional amount of Campbell Soup Co., 4.875, 10/01/2013. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 06/20/14 1,150 14 Fund pays quarterly payment of 0.08% (0.32% per annum) times notional amount of Washington Mutual Co., 5.25%, 09/15/2017. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 03/20/12 700 113 Fund pays quarterly payment of 0.113% (0.452% per annum) times notional amount of Weyerhaeuser Co., 6.75%, 03/15/2012. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 03/20/12 750 34 Fund pays quarterly payment of 0.08% (0.32% per annum) times notional amount of Alcan Inc., 4.875%, 9/15/2012. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 03/20/14 650 11 Fund pays quarterly payment of 0.165 (0.66% per annum) times notional amount of BorgWarner Inc., 6.5% 02/15/2009. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Goldman Sachs) 03/20/13 1,250 13 Fund pays quarterly payment of 0.20% (0.80% per annum) times notional amount of BorgWarner Inc., 6.50%, 03/20/2013. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Goldman Sachs) 03/20/13 1,000 4 Fund pays quarterly payment of 0.275% (1.10% per annum) times notional amount of Century Telephone, 6.00%, 04/01/2017. Upon a defined credit event, Fund receives the notional amount and delivers receipt of the defined deliverable obligation. (Counterparty: Goldman Sachs) 03/20/13 1,250 24 Fund pays quarterly payment of 0.16 (0.64% per annum) times notional amount of Safeway Inc., 5.80% 08/15/2012. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 03/20/13 1,250 (1) Fund pays quarterly payment of 0.16% (0.64% per annum) times notional amount of Kroger Co., 5.5%, 02/01/2013. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 03/20/13 1,500 (1) Fund pays quarterly payment of 0.15% (0.60% per annum) times notional amount of the CDX.NA.IG9 Index. Upon a defined credit event, Fund receives the notional amount and delivers the defined deliverable obligation. (Counterparty: Goldman Sachs) 12/20/12 5,000 (15) Fund pays quarterly payment of 0.113% (0.452% per annum) times notional amount of the ITRAXX Europe Senior Financials 5 YR Series 8. Upon a defined credit event, Fund receives the notional amount and delivers the defined deliverable obligation. (Counterparty: Bank of America) 12/20/12 1,750 57 - -------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------- Fund pays quarterly payment of 0.113% (0.452% per annum) times notional amount of the CDX.TES-F5-8T0 Index. Upon a defined credit event, Fund receives the notional amount and delivers the defined deliverable obligation. (Counterparty: Bank of America) 12/20/12 $ 2,750 $ 87 Fund receives monthly payment of 0.008% (0.096% per annum) times the notional amount of the CMBX NA-AAA 1 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Barclays) 10/12/52 (10,000) 479 Fund pays monthly payment of 0.02083% (0.25% per annum) times notional amount of the CMBX-NA-A 2 Upon a defined credit event, Fund receives the notional amount and delivers the defined deliverable obligation. (Counterparty: JPMorgan Chase) 03/15/49 1,000 6 ------------- $ 2,916 ============= Percentages are based on Net Assets of $1,465,687 ($ Thousands). * Non-Income Producing Security. ** Rate shown is the 7-day effective yield as of March 31, 2008. + Real Estate Investment Trust. ++ Investment in Affiliated Security (see Note 3). (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. (B) Step Bonds -- The rate reflected on the Schedule of Investments is the effective yield on March 31, 2008. The coupon on a step bond changes on a specified date. (C) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2008. (D) All or a portion of this security has been pledged as collateral for securities sold short. The total value of collateral for securities sold short at March 31, 2008 was $814,911 ($ Thousands). (E) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (F) Zero Coupon Bond -- The rate reported on the Schedule of Investments is the effective yield at time of purchase. ABS -- Asset-Backed Security ADR -- American Depositary Receipt ARM -- Adjustable Rate Mortgage Cl -- Class CMBS -- Collateralized Mortgage-Backed Security CMO -- Collateralized Mortgage Obligation FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GNMA -- Government National Mortgage Association IO -- Interest Only LLC -- Limited Liability Company L.P. -- Limited Partnership NIM -- Net Interest Margin Ser -- Series STRIPS -- Separately Traded Registered Interest and Principal Securities TBA -- To Be Announced TIPS -- Treasury Inflated Protection Securities Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 42 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 S&P 500 Index Fund March 31, 2008 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS#: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] Short-Term Investments 14.7% Financials 14.5% Information Technology 13.4% Energy 11.2% Industrials 10.4% Health Care 10.0% Consumer Staples 9.4% Consumer Discretionary 7.4% Utilities 3.0% Materials 3.0% Telecommunication Services 2.9% U.S. Treasury Obligation 0.1% # Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7). - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- COMMON STOCK -- 98.0% CONSUMER DISCRETIONARY -- 8.5% Abercrombie & Fitch, Cl A (B) 11,000 $ 805 Amazon.com (B)* 36,800 2,624 Apollo Group, Cl A (B)* 16,103 696 AutoNation (B)* 18,826 282 Autozone* 5,094 580 Bed Bath & Beyond (B)* 32,933 971 Best Buy (B) 41,741 1,731 Big Lots (B)* 13,713 306 Black & Decker (B) 8,209 543 Brunswick (B) 11,315 181 Carnival 52,084 2,108 CBS, Cl B (B) 81,501 1,800 Centex 14,944 362 Clear Channel Communications 59,563 1,740 Coach* 44,710 1,348 Comcast, Cl A (B)* 364,244 7,044 Darden Restaurants 18,113 590 Dillard's, Cl A (B) 7,605 131 DIRECTV Group* 85,300 2,115 DR Horton (B) 34,149 538 Eastman Kodak (B) 35,910 634 E.W. Scripps, Cl A 10,400 437 Expedia* 25,500 558 Family Dollar Stores (B) 18,922 369 Ford Motor (B)* 249,609 1,428 Fortune Brands 19,019 1,322 GameStop, Cl A (B)* 19,600 1,013 Gannett (B) 29,347 852 Gap 54,531 1,073 General Motors (B) 70,748 1,348 Genuine Parts 21,336 858 Goodyear Tire & Rubber* 30,293 782 H&R Block (B) 40,304 837 Harley-Davidson 28,408 1,065 Harman International Industries 7,100 309 Hasbro (B) 17,791 496 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Home Depot 205,964 $ 5,761 IAC/InterActive* 22,800 473 International Game Technology 37,356 1,502 Interpublic Group (B)* 58,601 493 JC Penney* 26,280 991 Johnson Controls 70,957 2,398 Jones Apparel Group 9,790 131 KB Home (B) 9,655 239 Kohl's (B)* 37,247 1,597 Leggett & Platt (B) 22,154 338 Lennar, Cl A (B) 17,207 324 Liz Claiborne 12,923 235 Lowe's 178,836 4,102 Ltd Brands (B) 38,927 666 Macy's 50,764 1,171 Marriott International, Cl A (B) 37,140 1,276 Mattel 44,318 882 McDonald's 140,260 7,822 McGraw-Hill 38,921 1,438 Meredith 4,863 186 New York Times, Cl A (B) 17,992 340 Newell Rubbermaid 34,747 795 News, Cl A 277,833 5,209 Nike, Cl B 45,894 3,121 Nordstrom (B) 21,002 685 Office Depot* 34,620 383 OfficeMax 9,393 180 Omnicom Group (B) 38,804 1,714 Polo Ralph Lauren 7,700 449 Pulte Homes (B) 26,555 386 RadioShack 17,025 277 Sears Holdings (B)* 9,165 936 Sherwin-Williams (B) 12,016 613 Snap-On 7,353 374 Stanley Works (B) 10,379 494 Staples* 83,914 1,855 Starbucks (B)* 86,658 1,516 Starwood Hotels & Resorts Worldwide 22,335 1,156 Target 98,919 5,013 Tiffany (B) 14,673 614 Time Warner 432,314 6,061 TJX (B) 52,167 1,725 VF 11,214 869 Viacom, Cl B* 78,601 3,114 Walt Disney (B) 229,427 7,199 Washington Post, Cl B 730 483 Wendy's International 10,808 249 Whirlpool (B) 9,805 851 Wyndham Worldwide 22,602 467 Yum! Brands 56,970 2,120 -------------- 121,149 -------------- - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 43 SCHEDULE OF INVESTMENTS (Unaudited) S&P 500 Index Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- CONSUMER STAPLES -- 10.8% Altria Group 256,856 $ 5,702 Anheuser-Busch 88,274 4,189 Archer-Daniels-Midland 77,066 3,172 Avon Products 51,051 2,018 Brown-Forman, Cl B 9,976 661 Campbell Soup 27,275 926 Clorox 16,242 920 Coca-Cola 241,496 14,700 Coca-Cola Enterprises 34,817 842 Colgate-Palmolive 62,393 4,861 ConAgra Foods 57,852 1,385 Constellation Brands, Cl A (B)* 24,100 426 Costco Wholesale (B) 52,018 3,380 CVS Caremark 174,395 7,065 Dean Foods 16,100 323 Estee Lauder, Cl A 14,500 665 General Mills 40,291 2,413 Hershey (B) 21,612 814 HJ Heinz 37,549 1,764 Kellogg (B) 31,267 1,643 Kimberly-Clark 50,699 3,273 Kraft Foods, Cl A 186,388 5,780 Kroger 81,059 2,059 McCormick 16,261 601 Molson Coors Brewing, Cl B 17,046 896 Pepsi Bottling Group 16,436 557 PepsiCo 194,367 14,033 Philip Morris International* 256,856 12,992 Procter & Gamble 373,276 26,155 Reynolds American (B) 21,440 1,266 Safeway 55,046 1,616 Sara Lee 87,887 1,229 SUPERVALU (B) 25,997 779 SYSCO 72,420 2,102 Tyson Foods, Cl A (B) 31,590 504 UST (B) 18,540 1,011 Wal-Mart Stores 285,411 15,035 Walgreen (B) 121,444 4,626 Whole Foods Market (B) 17,600 580 WM Wrigley Jr. 25,760 1,619 -------------- 154,582 -------------- ENERGY -- 12.9% Anadarko Petroleum 55,880 3,522 Apache 39,800 4,809 Baker Hughes 38,034 2,605 BJ Services (B) 36,656 1,045 Cameron International (B)* 26,400 1,099 Chesapeake Energy (B) 54,100 2,497 Chevron 252,997 21,596 ConocoPhillips 190,225 14,497 Consol Energy (B) 21,700 1,501 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Devon Energy 54,013 $ 5,635 El Paso (B) 87,294 1,453 ENSCO International (B) 16,900 1,058 EOG Resources (B) 29,344 3,521 Exxon Mobil 649,336 54,921 Halliburton 105,779 4,160 Hess 33,275 2,934 Marathon Oil 85,456 3,897 Murphy Oil 22,863 1,878 Nabors Industries (B)* 34,778 1,175 National Oilwell Varco* 42,668 2,491 Noble 32,542 1,616 Noble Energy 21,400 1,558 Occidental Petroleum 100,604 7,361 Peabody Energy (B) 31,700 1,617 Range Resources 17,700 1,123 Rowan (B) 13,797 568 Schlumberger 144,362 12,560 Smith International 24,900 1,599 Spectra Energy 75,161 1,710 Sunoco (B) 13,857 727 Tesoro 17,100 513 Transocean (B) 38,302 5,178 Valero Energy 66,108 3,247 Weatherford International* 40,254 2,917 Williams 70,865 2,337 XTO Energy 62,218 3,849 -------------- 184,774 -------------- FINANCIALS -- 16.5% ACE 39,385 2,169 Aflac 58,508 3,800 Allstate 68,459 3,290 AMBAC Financial Group (B) 12,814 74 American Capital Strategies (B) 22,500 769 American Express 139,815 6,113 American International Group (B) 306,271 13,246 Ameriprise Financial 27,384 1,420 AON 36,429 1,464 Apartment Investment & Management, Cl A+ 10,450 374 Assurant 11,600 706 AvalonBay Communities+ (B) 9,900 956 Bank of America 538,770 20,425 Bank of New York Mellon 137,186 5,725 BB&T (B) 67,597 2,167 Bear Stearns (B) 13,498 142 Boston Properties+ 14,900 1,372 Capital One Financial (B) 44,762 2,203 CB Richard Ellis Group, Cl A (B)* 23,400 506 Charles Schwab 112,027 2,109 Chubb 45,756 2,264 - -------------------------------------------------------------------------------- 44 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Cincinnati Financial (B) 19,379 $ 737 CIT Group 24,208 287 Citigroup 634,246 13,586 CME Group 6,447 3,024 Comerica 18,283 641 Countrywide Financial (B) 73,771 406 Developers Diversified Realty+ (B) 15,900 666 Discover Financial Services 57,530 942 E*Trade Financial (B)* 53,439 206 Equity Residential+ (B) 32,940 1,367 Fannie Mae 119,881 3,155 Federated Investors, Cl B 11,145 436 Fifth Third Bancorp 63,211 1,322 First Horizon National (B) 15,715 220 Franklin Resources 19,215 1,864 Freddie Mac (B) 78,759 1,994 General Growth Properties+ (B) 30,700 1,172 Genworth Financial, Cl A 54,900 1,243 Goldman Sachs Group (B) 47,862 7,916 Hartford Financial Services Group 37,586 2,848 HCP+ 27,600 933 Host Hotels & Resorts+ 65,100 1,036 Hudson City Bancorp 60,900 1,077 Huntington Bancshares (B) 45,575 490 IntercontinentalExchange* 8,600 1,122 Janus Capital Group (B) 18,777 437 JPMorgan Chase 413,772 17,772 Keycorp 48,583 1,066 Kimco Realty+ (B) 29,900 1,171 Legg Mason 16,400 918 Lehman Brothers Holdings (B) 64,906 2,443 Leucadia National (B) 21,200 959 Lincoln National 31,898 1,659 Loews 52,473 2,110 M&T Bank 9,561 769 Marsh & McLennan (B) 61,650 1,501 Marshall & Ilsley (B) 29,770 691 MBIA (B) 16,227 198 Merrill Lynch 118,347 4,821 MetLife (B) 86,405 5,207 MGIC Investment (B) 10,395 109 Moody's (B) 25,108 875 Morgan Stanley 134,561 6,149 National City (B) 78,248 779 Northern Trust 22,705 1,509 NYSE Euronext (B) 31,600 1,950 Plum Creek Timber+ (B) 20,935 852 PNC Financial Services Group (B) 41,783 2,740 Principal Financial Group (B) 31,148 1,736 Progressive (B) 82,568 1,327 Prologis+ (B) 32,060 1,887 Prudential Financial (B) 53,766 4,207 Public Storage+ 15,328 1,358 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Regions Financial 85,763 $ 1,694 Safeco 11,238 493 Simon Property Group+ 27,509 2,556 SLM (B) 54,943 843 Sovereign Bancorp (B) 45,144 421 State Street 47,391 3,744 SunTrust Banks (B) 41,796 2,305 T. Rowe Price Group (B) 31,508 1,575 Torchmark 10,705 644 Travelers 74,732 3,576 Unum Group (B) 42,052 926 US Bancorp (B) 210,606 6,815 Vornado Realty Trust+ (B) 15,814 1,363 Wachovia (B) 240,660 6,498 Washington Mutual (B) 103,619 1,067 Wells Fargo (B) 401,606 11,687 XL Capital, Cl A (B) 22,605 668 Zions Bancorporation (B) 13,760 627 -------------- 234,686 -------------- HEALTH CARE -- 11.5% Abbott Laboratories 186,468 10,284 Aetna 60,002 2,526 Allergan 36,666 2,068 AmerisourceBergen 19,496 799 Amgen* 132,793 5,548 Applera -- Applied Biosystems Group 19,357 636 Barr Pharmaceuticals* 13,300 643 Baxter International 77,638 4,489 Becton Dickinson 29,162 2,504 Biogen Idec* 34,900 2,153 Boston Scientific* 166,612 2,144 Bristol-Myers Squibb 242,001 5,155 Cardinal Health 43,155 2,266 Celgene* 53,000 3,248 Cigna 33,171 1,346 Coventry Health Care* 19,413 783 Covidien* 59,482 2,632 C.R. Bard 12,388 1,194 Eli Lilly 118,830 6,130 Express Scripts* 30,152 1,939 Forest Laboratories* 36,963 1,479 Genzyme* 31,732 2,365 Gilead Sciences* 112,076 5,775 Hospira* 19,504 834 Humana* 20,797 933 IMS Health 24,395 513 Johnson & Johnson 343,556 22,287 King Pharmaceuticals* 30,386 264 Laboratory of America Holdings (B)* 14,263 1,051 McKesson 34,469 1,805 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 45 SCHEDULE OF INVESTMENTS (Unaudited) S&P 500 Index Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Medco Health Solutions* 64,116 $ 2,808 Medtronic 137,217 6,637 Merck 262,717 9,970 Millipore (B)* 6,793 458 Mylan Laboratories (B) 34,511 400 Patterson (B)* 17,400 632 PerkinElmer 15,240 370 Pfizer 819,704 17,156 Quest Diagnostics (B) 19,824 897 Schering-Plough 194,872 2,808 St. Jude Medical* 40,594 1,753 Stryker 28,942 1,883 Tenet Healthcare (B)* 58,976 334 Thermo Fisher Scientific* 50,443 2,867 UnitedHealth Group 152,447 5,238 Varian Medical Systems* 16,100 754 Waters* 12,697 707 Watson Pharmaceuticals* 12,771 375 WellPoint* 65,461 2,889 Wyeth 162,566 6,789 Zimmer Holdings* 28,955 2,254 -------------- 163,772 -------------- INDUSTRIALS -- 12.0% 3M 86,582 6,853 Allied Waste Industries* 31,842 344 Avery Dennison 13,615 671 Boeing 92,532 6,882 Burlington Northern Santa Fe (B) 36,624 3,377 Caterpillar (B) 76,597 5,997 C.H. Robinson Worldwide (B) 20,100 1,093 Cintas* 17,007 485 Cooper Industries, Cl A 22,786 915 CSX 50,050 2,806 Cummins 24,040 1,126 Danaher (B) 30,248 2,300 Deere 52,602 4,231 Dover 23,437 979 Eaton 18,269 1,456 Emerson Electric 96,406 4,961 Equifax 17,225 594 Expeditors International Washington (B) 26,500 1,197 FedEx 37,905 3,513 Fluor (B) 11,022 1,556 General Dynamics 48,326 4,029 General Electric 1,211,907 44,853 Goodrich 15,720 904 Honeywell International 91,355 5,154 Illinois Tool Works 49,424 2,384 Ingersoll-Rand, Cl A 32,106 1,431 ITT 22,700 1,176 Jacobs Engineering Group* 14,900 1,097 L-3 Communications Holdings (B) 14,923 1,632 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Lockheed Martin 41,394 $ 4,110 Manitowoc 15,700 641 Masco (B) 45,668 906 Monster Worldwide* 16,034 388 Norfolk Southern 46,126 2,506 Northrop Grumman 40,519 3,153 Paccar (B) 44,091 1,984 Pall 15,395 540 Parker Hannifin 19,871 1,376 Pitney Bowes 24,875 871 Precision Castparts 16,400 1,674 Raytheon 52,668 3,403 Robert Half International 21,027 541 Rockwell Automation 17,626 1,012 Rockwell Collins (B) 19,178 1,096 RR Donnelley & Sons 27,311 828 Ryder System (B) 7,554 460 Southwest Airlines 92,249 1,144 Terex* 12,800 800 Textron 29,798 1,651 Trane 21,833 1,002 Tyco International 58,982 2,598 Union Pacific 31,547 3,955 United Parcel Service, Cl B (B) 125,190 9,141 United Technologies 118,783 8,175 Waste Management 60,428 2,028 WW Grainger 8,265 631 -------------- 170,610 -------------- INFORMATION TECHNOLOGY -- 15.4% Adobe Systems* 68,536 2,439 Advanced Micro Devices (B)* 73,263 432 Affiliated Computer Services, Cl A* 12,349 619 Agilent Technologies* 43,406 1,295 Akamai Technologies (B)* 20,400 574 Altera 35,851 661 Analog Devices 35,399 1,045 Apple* 107,092 15,368 Applied Materials 164,750 3,214 Autodesk* 29,017 913 Automatic Data Processing 62,850 2,664 BMC Software* 22,849 743 Broadcom, Cl A* 59,236 1,141 CA 45,827 1,031 Ciena (B)* 10,642 328 Cisco Systems* 726,163 17,493 Citrix Systems* 21,942 644 Cognizant Technology Solutions, Cl A* 35,600 1,026 Computer Sciences* 19,233 784 Compuware (B)* 33,875 249 Convergys* 17,076 257 Corning 192,678 4,632 Dell* 274,074 5,460 eBay* 136,532 4,074 - -------------------------------------------------------------------------------- 46 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Electronic Arts* 37,478 $ 1,871 Electronic Data Systems 63,102 1,051 EMC* 251,940 3,613 Fidelity National Information Services 20,365 777 Fiserv* 19,280 927 Google, Cl A* 28,116 12,384 Hewlett-Packard 300,352 13,714 Intel 701,594 14,860 International Business Machines (B) 167,890 19,331 Intuit* 39,086 1,056 Jabil Circuit 23,079 218 JDS Uniphase (B)* 26,456 354 Juniper Networks (B)* 62,000 1,550 Kla-Tencor 23,171 860 Lexmark International, Cl A (B)* 12,039 370 Linear Technology (B) 27,494 844 LSI Logic (B)* 88,746 439 MEMC Electronic Materials* 27,200 1,928 Microchip Technology (B) 22,000 720 Micron Technology (B)* 94,369 563 Microsoft 972,662 27,604 Molex 17,760 411 Motorola 274,306 2,551 National Semiconductor 29,837 547 NetApp (B)* 43,776 878 Novell* 42,389 267 Novellus Systems (B)* 13,927 293 Nvidia (B)* 65,948 1,305 Oracle* 480,156 9,392 Paychex (B) 39,456 1,352 QLogic* 15,948 245 Qualcomm 195,132 8,000 SanDisk (B)* 28,400 641 Sun Microsystems* 98,102 1,524 Symantec (B)* 102,747 1,708 Tellabs* 54,699 298 Teradata* 22,368 493 Teradyne* 23,707 294 Texas Instruments 161,534 4,567 Total System Services (B) 25,280 598 Tyco Electronics* 59,082 2,028 Unisys* 43,195 191 VeriSign (B)* 27,200 904 Western Union 89,212 1,898 Xerox 109,536 1,640 Xilinx 35,709 848 Yahoo! (B)* 163,638 4,734 -------------- 219,727 -------------- MATERIALS -- 3.5% Air Products & Chemicals (B) 25,726 2,367 Alcoa 99,235 3,578 Allegheny Technologies 12,759 911 Ashland 6,993 331 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Ball 12,891 $ 592 Bemis 13,090 333 Dow Chemical 115,675 4,263 Eastman Chemical 10,508 656 Ecolab (B) 22,230 966 E.I. Du Pont de Nemours 110,035 5,145 Freeport-McMoRan Copper & Gold, Cl B (B) 45,868 4,413 Hercules 14,607 267 International Flavors & Fragrances 9,494 418 International Paper 53,370 1,452 MeadWestvaco 22,815 621 Monsanto 66,648 7,431 Newmont Mining 54,008 2,447 Nucor 34,182 2,316 Pactiv* 16,587 435 PPG Industries 20,545 1,243 Praxair (B) 37,799 3,184 Rohm & Haas (B) 15,222 823 Sealed Air (B) 20,128 508 Sigma-Aldrich (B) 16,536 986 Titanium Metals (B) 10,900 164 United States Steel (B) 14,126 1,792 Vulcan Materials (B) 12,549 833 Weyerhaeuser (B) 24,788 1,612 -------------- 50,087 -------------- TELECOMMUNICATION SERVICES -- 3.4% American Tower, Cl A* 48,100 1,886 AT&T 733,158 28,080 CenturyTel 13,960 464 Citizens Communications 42,331 444 Embarq 18,786 753 Qwest Communications International (B) 184,226 835 Sprint Nextel (B) 341,622 2,285 Verizon Communications 349,022 12,722 Windstream 59,646 713 -------------- 48,182 -------------- UTILITIES -- 3.5% AES* 83,090 1,385 Allegheny Energy 20,568 1,039 Ameren 25,844 1,138 American Electric Power 47,715 1,986 Centerpoint Energy 40,068 572 CMS Energy (B) 27,892 378 Consolidated Edison (B) 32,133 1,276 Constellation Energy Group 21,499 1,898 Dominion Resources 70,040 2,860 DTE Energy (B) 21,045 818 Duke Energy 150,922 2,694 Dynegy, Cl A* 63,889 504 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 47 SCHEDULE OF INVESTMENTS (Unaudited) S&P 500 Index Fund (Concluded) March 31, 2008 - -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Edison International 38,853 $ 1,905 Entergy 23,264 2,538 Exelon 79,554 6,465 FirstEnergy 36,487 2,504 FPL Group (B) 48,820 3,063 Integrys Energy Group 9,434 440 Nicor (B) 5,525 185 NiSource 34,279 591 Pepco Holdings 24,200 598 PG&E 42,029 1,548 Pinnacle West Capital (B) 12,549 440 PPL 44,371 2,038 Progress Energy (B) 30,683 1,279 Public Service Enterprise Group 60,930 2,449 Questar 21,400 1,210 Sempra Energy 31,065 1,655 Southern (B) 91,135 3,245 TECO Energy (B) 26,212 418 Xcel Energy 49,219 982 -------------- 50,101 -------------- Total Common Stock (Cost $704,710) ($ Thousands) 1,397,670 -------------- CORPORATE OBLIGATION (C) (E) -- 0.3% FINANCIALS -- 0.3% SLM MTN, Ser S 2.827%, 04/14/08 $ 4,093 4,093 -------------- Total Corporate Obligation (Cost $4,093) ($ Thousands) 4,093 -------------- CASH EQUIVALENTS**++ -- 17.0% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 3.190% 23,142,198 23,142 SEI Liquidity Fund L.P., 3.200% (C) 219,343,149 219,343 -------------- Total Cash Equivalents (Cost $242,485) ($ Thousands) 242,485 -------------- U.S. TREASURY OBLIGATION (A) (D) -- 0.1% U.S. Treasury Bill 1.572%, 06/12/08 1,585 1,582 -------------- Total U.S. Treasury Obligation (Cost $1,580) ($ Thousands) 1,582 -------------- Total Investments -- 115.4% (Cost $952,868) ($ Thousands) $ 1,645,830 ============== A summary of the open futures contracts held by the Fund at March 31, 2008, is as follows (see Note 2 in Notes to Financial Statements): - -------------------------------------------------------------------------------- NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION APPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - -------------------------------------------------------------------------------- S&P 500 Index E-MINI 427 Jun-2008 $ 195 ============= Percentages are based on Net Assets of $1,425,780 ($ Thousands). * Non-Income Producing Security. ** Rate shown is the 7-day effective yield as of March 31, 2008. + Real Estate Investment Trust. ++ Investment in Affiliated Security (see Note 3). (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. (B) This security or a partial position of this security is on loan at March 31, 2008 (see Note 7). The total value of securities on loan at March 31, 2008 was $218,822 ($ Thousands). (C) This security was purchased with cash collateral held from securities on loan (see Note 7). The total value of such securities as of March 31, 2008 was $223,436 ($ Thousands). (D) The rate reported is the effective yield at time of purchase. (E) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2008. Cl -- Class L.P. -- Limited Partnership MTN -- Medium Term Note Ser -- Series The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 48 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 Small Cap Value Fund March 31, 2008 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS#: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] Short-Term Investments 27.9% Financials 19.1% Information Technology 11.7% Industrials 10.4% Consumer Discretionary 9.3% Health Care 5.4% Energy 5.1% Materials 4.1% Consumer Staples 3.3% Utilities 3.2% Telecommunication Services 0.3% U.S. Treasury Obligation 0.1% Exchange Traded Fund 0.1% Warrants 0.0% Rights 0.0% # Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7). - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- COMMON STOCK+++ -- 96.5% CONSUMER DISCRETIONARY -- 12.5% Advance Auto Parts 41,200 $ 1,403 Aftermarket Technology (B)* 72,347 1,406 AH Belo, Cl A (B)* 26,589 304 American Axle & Manufacturing Holdings 93,175 1,910 American Greetings, Cl A (B) 44,900 833 AnnTaylor Stores* 64,100 1,550 Arctic Cat (B) 43,600 318 ArvinMeritor (B) 88,400 1,106 Asbury Automotive Group 12,600 173 Bebe Stores (B) 133,231 1,432 Belo, Cl A 132,949 1,405 Blyth* 25,900 511 Brown Shoe 20,100 303 California Pizza Kitchen* 29,700 389 Callaway Golf 44,700 656 Carmike Cinemas 1,600 16 Carrols Restaurant Group* 74,300 664 Carter's* 39,000 630 Casual Male Retail Group* 223,900 940 Cato, Cl A 59,500 889 CBRL Group 22,200 794 CEC Entertainment (B)* 20,600 595 Champion Enterprises (B)* 77,800 780 Cheesecake Factory* 18,900 412 Chico's FAS* 77,700 552 Childrens Place Retail Stores (B)* 57,200 1,405 CKE Restaurants 25,900 291 Collective Brands* 53,900 653 Cooper Tire & Rubber (B) 147,161 2,203 Corinthian Colleges (B)* 182,500 1,319 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- CSK Auto (B)* 34,249 $ 319 CSS Industries 600 21 Dana (B) 392,100 4 Domino's Pizza 28,000 378 Dress Barn* 38,200 494 DSW, Cl A* 96,803 1,254 Ethan Allen Interiors (B) 181,484 5,160 FTD Group 56,500 758 Gaylord Entertainment (B)* 17,600 533 Group 1 Automotive (B) 11,000 258 Handleman (B)* 49,600 12 Helen Of Troy* 13,100 220 hhgregg* 37,300 420 Hooker Furniture 12,500 279 HOT Topic* 31,700 137 Jack in the Box* 85,100 2,287 Jackson Hewitt Tax Service 95,600 1,097 Jakks Pacific (B)* 79,900 2,203 Jarden* 39,386 856 Journal Communications, Cl A 107,100 790 Journal Register 50,135 28 Lakeland Industries* 130,000 1,520 Leapfrog Enterprises (B)* 179,326 1,264 Lear (B)* 51,100 1,324 Lee Enterprises 78,800 789 Libbey 142,300 2,396 Lifetime Brands 90,466 809 LKQ (B)* 183,700 4,128 M/I Homes (B) 2,200 37 MarineMax (B)* 107,400 1,338 Marriott International, Cl A (B) 85,200 2,927 Marvel Entertainment (B)* 60,900 1,632 MDC Partners, Cl A (Canada)* 503,300 3,659 Men's Wearhouse (B) 28,892 672 Modine Manufacturing (B) 111,000 1,608 Morgans Hotel Group (B)* 102,378 1,517 Movado Group 9,900 193 Nautilus (B) 37,400 123 Nexstar Broadcasting Group, Cl A (B)* 16,900 100 O'Charleys 36,300 418 Orbitz Worldwide (B)* 86,400 595 Orient-Express Hotels, Cl A 63,500 2,741 Pacific Sunwear Of California (B)* 104,729 1,321 Penske Auto Group 9,800 191 Perry Ellis International* 47,850 1,045 PF Chang's China Bistro* 6,400 182 Pier 1 Imports (B)* 168,900 1,061 Pinnacle Entertainment (B)* 167,200 2,140 Polaris Industries (B) 21,800 894 Princeton Review* 38,560 303 Quiksilver (B)* 234,300 2,299 RC2 (B)* 45,277 949 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 49 SCHEDULE OF INVESTMENTS (Unaudited) Small Cap Value Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Regis (B) 47,842 $ 1,315 Rent-A-Center* 186,000 3,413 Ruby Tuesday (B) 52,100 391 Ruth's Chris Steak House (B)* 90,300 624 Ryland Group (B) 12,800 421 Sally Beauty Holdings (B)* 100,362 693 Scholastic (B)* 112,300 3,399 Scientific Games, Cl A* 92,100 1,944 Shoe Carnival* 69,750 944 Sinclair Broadcast Group, Cl A (B) 130,800 1,165 Skechers U.S.A., Cl A* 23,900 483 Smith & Wesson Holding* 122,200 613 Sonic Automotive, Cl A (B) 101,300 2,082 Speedway Motorsports 10,900 273 Stoneridge* 22,200 299 Talbots (B) 188,800 2,035 Tempur-Pedic International (B) 107,165 1,179 Tenneco* 5,200 145 Thor Industries (B) 49,900 1,486 Trans World Entertainment* 56,100 211 Tupperware Brands* 38,100 1,474 Vail Resorts (B)* 73,264 3,538 Valassis Communications* 87,200 946 Warnaco Group* 30,100 1,187 Warner Music Group (B) 209,900 1,045 WMS Industries (B)* 39,500 1,421 World Wrestling Entertainment, Cl A (B) 42,300 787 Zale (B)* 90,800 1,794 -------------- 118,832 -------------- CONSUMER STAPLES -- 4.4% Alliance One International* 367,120 2,217 BJ's Wholesale Club* 90,900 3,244 Casey's General Stores (B) 38,703 875 Central Garden and Pet (B)* 102,602 473 Central Garden and Pet, Cl A (B)* 81,385 361 Chiquita Brands International* 19,500 451 Corn Products International 43,019 1,598 Dean Foods 94,171 1,892 Del Monte Foods 197,454 1,882 Elizabeth Arden* 83,336 1,662 Hain Celestial Group (B)* 104,600 3,086 JM Smucker 14,239 721 Lancaster Colony 17,200 687 Longs Drug Stores (B) 47,500 2,017 Molson Coors Brewing, Cl B 69,300 3,643 Nash Finch (B) 20,000 680 Pantry (B)* 129,534 2,731 Performance Food Group (B)* 33,099 1,082 Ralcorp Holdings (B)* 32,126 1,868 Ruddick 138,700 5,112 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Sanderson Farms (B) 77,700 $ 2,953 Universal (B) 25,300 1,658 Weis Markets 23,600 813 -------------- 41,706 -------------- ENERGY -- 6.9% Alon USA Energy (B) 17,200 262 American Oil & Gas* 78,900 258 Atlas America (B) 30,902 1,868 Berry Petroleum, Cl A 46,603 2,167 Bois d'Arc Energy (B)* 33,200 713 Cal Dive International* 189,387 1,966 Cimarex Energy (B) 44,700 2,447 Complete Production Services (B)* 101,600 2,331 Comstock Resources* 78,900 3,180 Delek US Holdings (B) 62,200 788 Delta Petroleum (B)* 59,800 1,348 Double Hull Tankers 62,900 667 Dresser-Rand Group* 63,700 1,959 Energy Partners (B)* 70,801 671 Exterran Holdings* 2,900 187 General Maritime (B) 27,000 637 GeoMet* 59,200 394 Global Industries* 90,300 1,453 Goodrich Petroleum (B)* 51,701 1,555 Grey Wolf (B)* 660,100 4,475 Gulfmark Offshore (B)* 8,800 482 Helix Energy Solutions Group* 4,840 152 Holly 30,500 1,324 ION Geophysical (B)* 169,600 2,340 Lufkin Industries 18,000 1,149 Mariner Energy (B)* 103,620 2,799 Newpark Resources* 286,400 1,461 North American Energy Partners* 93,900 1,440 Oil States International* 53,700 2,406 Overseas Shipholding Group 8,100 567 Parker Drilling (B)* 250,900 1,621 Rosetta Resources (B)* 96,500 1,898 RPC (B) 229,500 3,486 SEACOR Holdings (B)* 13,100 1,118 St. Mary Land & Exploration 43,500 1,675 Stone Energy* 24,600 1,287 Swift Energy* 126,467 5,690 Tesoro 17,000 510 Tetra Technologies* 109,200 1,730 Union Drilling* 27,100 474 Uranium Resources* 24,230 145 W-H Energy Services* 40,529 2,790 -------------- 65,870 -------------- - -------------------------------------------------------------------------------- 50 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- FINANCIALS -- 25.1% 1st Source 7,700 $ 162 Acadia Realty Trust+ 28,400 686 Advance America Cash Advance Centers 46,700 353 Advanta, Cl B (B) 31,500 221 AMB Property+ (B) 56,700 3,086 Amcore Financial (B) 71,830 1,462 American Equity Investment Life Holding (B) 82,481 765 American Physicians Capital 16,400 760 Ameris Bancorp 600 10 Amtrust Financial Services 27,400 444 Anchor Bancorp Wisconsin (B) 5,400 102 Anthracite Capital+ (B) 63,800 421 Anworth Mortgage Asset+ 91,600 562 Apollo Investment 34,400 545 Arbor Realty Trust+ (B) 85,795 1,294 Ares Capital 44,100 554 Ashford Hospitality Trust+ (B) 104,200 592 Aspen Insurance Holdings 84,000 2,216 Assured Guaranty (B) 84,100 1,997 Asta Funding 17,800 248 BancFirst (B) 10,200 467 Bancorp Rhode Island 2,358 85 Bancorpsouth (B) 61,270 1,419 Bank Mutual (B) 125,251 1,345 Bank of the Ozarks (B) 6,700 160 Berkshire Hills Bancorp 48,400 1,219 BioMed Realty Trust+ (B) 51,300 1,226 Boston Private Financial Holdings (B) 25,200 267 Boston Properties+ (B) 41,000 3,775 British Land (United Kingdom)+ 77,570 1,415 Brookfield Asset Management, Cl A* 46,600 1,250 Brookfield Properties 23,900 462 Camden Property Trust+ (B) 41,971 2,107 Capital Lease Funding+ 215,500 1,674 Capital Trust, Cl A+ 2,000 54 Capstead Mortgage+ (B) 70,600 805 Cardinal Financial 120,525 1,069 Cash America International 32,600 1,187 CBL & Associates Properties+ 16,700 393 Chemical Financial (B) 63,700 1,519 Citizens Republic Bancorp 61,236 761 City Bank (B) 12,850 286 City Holding 37,300 1,488 CNA Surety* 44,500 684 Commerce Group 2,700 97 Community Bank System (B) 22,500 553 CompuCredit* 14,800 131 Cousins Properties+ (B) 94,600 2,338 Crystal River Capital+ (B) 39,200 350 Danvers Bancorp* 86,600 870 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Darwin Professional Underwriters* 35,100 $ 789 Dawnay Day Sirius (United Kingdom)* 405,932 431 Dawnay Day Treveria (United Kingdom)* 471,407 493 Dearborn Bancorp* 41,900 318 Delphi Financial Group, Cl A 28,300 827 DiamondRock Hospitality+ 42,900 544 Douglas Emmett+ (B) 142,300 3,139 Duke Realty+ 111,100 2,534 Eastern Insurance Holdings 40,700 589 Education Realty Trust+ 114,883 1,444 Employers Holdings 128,407 2,381 Encore Bancshares* 23,490 411 Endurance Specialty Holdings (B) 32,336 1,183 Entertainment Properties Trust+ (B) 18,600 918 Equity One+ (B) 77,492 1,857 Equity Residential+ (B) 180,900 7,506 ESSA Bancorp* 34,800 409 Evercore Partners, Cl A 29,900 531 FBL Financial Group, Cl A 16,300 464 Financial Federal (B) 28,800 628 First American (B) 81,300 2,759 First Community Bancorp 24,000 644 First Financial (B) 4,500 139 First Financial Bancorp (B) 182,473 2,454 First Financial Bankshares 8,700 357 First Industrial Realty Trust+ (B) 39,400 1,217 First Merchants (B) 35,400 1,010 First Mercury Financial* 50,900 886 First Midwest Bancorp (B) 73,037 2,028 First Niagara Financial Group 210,400 2,859 FirstFed Financial (B)* 6,300 171 FirstMerit (B) 128,682 2,659 Flagstar Bancorp (B) 52,400 378 Flushing Financial 55,800 981 Forest City Enterprises, Cl A 64,100 2,359 Fpic Insurance Group* 16,800 792 GAMCO Investors, Cl A 11,800 594 General Growth Properties+ (B) 194,370 7,419 Gramercy Capital+ (B) 130,426 2,730 Great Southern Bancorp 5,200 81 Greenhill (B) 10,800 751 Hallmark Financial Services* 22,100 247 Hammerson (United Kingdom)+ 83,171 1,841 Hancock Holding (B) 35,064 1,473 Hanmi Financial 71,800 531 Harleysville Group 800 29 Heritage Commerce (B) 6,200 114 Hersha Hospitality Trust+ 156,700 1,415 Hilb Rogal & Hobbs (B) 136,600 4,299 Home Federal Bancorp 45,560 546 Horace Mann Educators 66,979 1,171 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 51 SCHEDULE OF INVESTMENTS (Unaudited) Small Cap Value Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Host Hotels & Resorts+ (B) 472,955 $ 7,529 HRPT Properties Trust+ (B) 113,900 767 IMPAC Mortgage Holdings+ (B) 67,100 85 Imperial Capital Bancorp 14,300 309 Independent Bank 14,600 431 Infinity Property & Casualty (B) 46,389 1,930 Investors Bancorp* 28,700 441 IPC Holdings (B) 87,900 2,461 Irwin Financial (B) 29,800 158 Jefferies Group 48,200 778 KBW (B)* 66,500 1,466 Kimco Realty+ (B) 207,200 8,116 Knight Capital Group, Cl A* 14,900 242 LandAmerica Financial Group (B) 9,000 355 LaSalle Hotel Properties+ 25,900 744 Lexington Realty Trust+ (B) 45,500 656 Liberty Property Trust+ (B) 51,200 1,593 Marlin Business Services* 63,000 475 Max Capital Group (B) 18,400 482 Meadowbrook Insurance Group* 186,300 1,455 MFA Mortgage Investments+ (B) 259,746 1,636 Mid-America Apartment Communities+ 27,748 1,383 Montpelier Re Holdings (B) 65,500 1,051 National Financial Partners 23,200 521 National Retail Properties+ (B) 67,700 1,493 Navigators Group* 18,952 1,031 NBT Bancorp (B) 41,600 924 Nelnet, Cl A 14,500 170 New York Community Bancorp 19,100 348 NewAlliance Bancshares 153,416 1,881 Newcastle Investment+ (B) 21,100 174 Odyssey Re Holdings (B) 29,400 1,080 Old National Bancorp (B) 64,200 1,156 Old Second Bancorp (B) 11,300 300 Oriental Financial Group (B) 70,900 1,397 Pacific Capital Bancorp 1 -- Parkway Properties+ 16,100 595 PennantPark Investment 92,902 791 Pennsylvania Real Estate Investment Trust+ (B) 30,700 749 Pico Holdings (B)* 46,800 1,415 Piper Jaffray (B)* 82,664 2,807 Platinum Underwriters Holdings 94,156 3,056 PMA Capital, Cl A* 700 6 Preferred Bank (B) 8,300 139 Presidential Life 31,600 551 ProAssurance* 39,508 2,127 Prosperity Bancshares (B) 38,600 1,106 Provident Bankshares (B) 44,200 475 Provident New York Bancorp (B) 33,400 451 PS Business Parks+ 30,699 1,593 Rainier Pacific Financial Group 21,859 304 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- RAIT Financial Trust+ (B) 29,400 $ 204 Redwood Trust+ (B) 15,243 554 RenaissanceRe Holdings 28,800 1,495 Renasant 33,100 745 Resource Capital+ (B) 27,600 209 RLI 10,900 540 Safety Insurance Group 18,200 621 Sandy Spring Bancorp (B) 16,400 451 Saul Centers+ (B) 17,600 884 SCBT Financial 5,100 172 SeaBright Insurance Holdings* 29,500 435 Selective Insurance Group (B) 64,900 1,550 Senior Housing Properties Trust+ (B) 40,900 969 Signature Bank (B)* 60,737 1,549 Simmons First National, Cl A 3,900 116 Simon Property Group+ (B) 82,800 7,693 South Financial Group (B) 76,046 1,130 Southside Bancshares (B) 5,000 120 State Auto Financial 29,100 848 Sterling Bancshares 150,502 1,496 Stewart Information Services (B) 132,600 3,711 Sun Bancorp* 6,800 90 Sun Communities+ 70,000 1,435 Sunstone Hotel Investors+ (B) 86,800 1,390 Superior Bancorp (B)* 113,120 562 Susquehanna Bancshares (B) 49,800 1,014 SVB Financial Group (B)* 32,100 1,401 TCF Financial 73,496 1,317 Texas Capital Bancshares* 25,100 424 Thomas Properties Group 60,200 529 Tompkins Financial (B) 4,700 231 TradeStation Group (B)* 21,300 181 UMB Financial (B) 18,106 746 Unibail (France)+ 9,582 2,475 United America Indemnity, Cl A (B)* 16,700 322 United Bankshares (B) 62,872 1,676 United Financial Bancorp 74,056 821 Validus Holdings* 47,200 1,106 Verde Realty PIPE (G) (H)* 21,100 696 ViewPoint Financial Group 23,700 391 Vornado Realty Trust+ (B) 80,500 6,940 WesBanco (B) 23,900 591 West Coast Bancorp 18,900 276 Westfield Financial 104,900 1,025 Wilshire Bancorp 45,600 348 Winthrop Realty Trust+ (B) 71,500 295 Wintrust Financial 32,165 1,124 WR Berkley 44,237 1,225 WSFS Financial 27,817 1,371 Zenith National Insurance 82,900 2,973 -------------- 237,916 -------------- - -------------------------------------------------------------------------------- 52 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- HEALTH CARE -- 7.3% Accelrys* 225,000 $ 1,217 Advanced Medical Optics (B)* 136,200 2,765 Albany Molecular Research* 20,200 245 Amedisys (B)* 47,100 1,853 America Service Group* 51,700 313 American Dental Partners* 39,500 382 AMN Healthcare Services* 173,300 2,672 Amsurg (B)* 63,460 1,503 Analogic* 1,800 120 Applera -- Celera Group* 115,800 1,702 Apria Healthcare Group (B)* 113,700 2,246 Bio-Rad Laboratories, Cl A* 1,600 142 Brookdale Senior Living (B) 66,800 1,596 Cambrex 221,820 1,537 Centene* 30,900 431 Chemed (B) 28,400 1,198 Community Health Systems (B)* 91,700 3,078 Computer Programs & Systems 44,800 936 Conmed* 170,312 4,367 Cooper (B) 207,828 7,155 Cross Country Healthcare* 194,600 2,407 Discovery Laboratories (B)* 112,200 264 Emergent Biosolutions (B)* 18,800 168 Hanger Orthopedic Group* 53,600 578 Healthspring* 159,000 2,239 HealthTronics* 68,707 223 ICU Medical* 41,400 1,191 IMS Health 50,600 1,063 InterMune (B)* 6,700 98 Kensey Nash* 25,600 741 Kindred Healthcare* 141,875 3,103 LCA-Vision (B) 34,600 432 LifePoint Hospitals* 51,200 1,406 Magellan Health Services (B)* 100,144 3,975 Masimo* 16,600 432 Medcath* 5,600 102 Medical Action Industries* 10,200 168 Medical Staffing Network Holdings* 151,800 710 Merit Medical Systems* 6,100 97 Molina Healthcare (B)* 2,400 59 Myriad Genetics (B)* 62,300 2,510 National Dentex* 35,900 463 Neurocrine Biosciences (B)* 125,100 675 NovaMed* 49,060 186 Omnicare 58,900 1,070 Orthofix International* 18,100 720 Owens & Minor (B) 18,700 736 Par Pharmaceutical* 26,300 457 Patterson* 24,173 877 Perrigo (B) 13,700 517 Pharmacopeia* 135,050 497 PharMerica (B)* 79,700 1,321 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Providence Service* 19,800 $ 594 PSS World Medical (B)* 49,764 829 Res-Care* 42,721 733 Sciele Pharma (B)* 23,500 458 Sunrise Senior Living (B)* 33,200 740 Symmetry Medical* 17,100 284 Universal American (B)* 32,600 346 Varian* 3,600 208 Viropharma (B)* 27,100 242 -------------- 69,377 -------------- INDUSTRIALS -- 14.0% ABM Industries 76,800 1,723 Actuant, Cl A 72,400 2,187 Acuity Brands (B) 55,700 2,392 Alaska Air Group* 23,700 465 Albany International, Cl A (B) 47,300 1,709 Altra Holdings* 24,000 323 American Woodmark (B) 16,100 331 Ampco-Pittsburgh 13,400 576 AO Smith 28,900 950 Applied Industrial Technologies 18,425 551 Arkansas Best (B) 93,500 2,979 Astec Industries* 27,300 1,058 Avis Budget Group (B)* 144,625 1,536 Barnes Group 3,400 78 BE Aerospace* 27,429 959 Beacon Roofing Supply* 40,100 401 Belden (B) 30,043 1,061 Brady, Cl A (B) 51,240 1,713 Brink's 79,900 5,368 Chart Industries* 46,600 1,577 CIRCOR International 23,567 1,090 Clean Harbors (B)* 14,012 911 Columbus McKinnon* 23,200 719 Comfort Systems USA 59,200 770 Con-way 73,800 3,652 Courier 50,184 1,252 Crane 69,400 2,800 Cubic 19,900 566 Danaos 48,100 1,183 Deluxe (B) 115,400 2,217 Diamond Management & Technology Consultants 163,600 1,055 EMCOR Group (B)* 120,700 2,681 EnPro Industries (B)* 39,800 1,241 ESCO Technologies (B)* 46,500 1,847 Federal Signal 84,721 1,183 G&K Services, Cl A 28,328 1,009 GATX (B) 21,600 844 Genco Shipping & Trading (B) 9,400 530 Geo Group (B)* 82,900 2,358 GrafTech International (B)* 47,100 763 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 53 SCHEDULE OF INVESTMENTS (Unaudited) Small Cap Value Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Griffon* 9,900 $ 85 H&E Equipment Services* 52,400 659 Heartland Express (B) 76,700 1,094 Heidrick & Struggles International* 40,600 1,321 Hubbell, Cl B 48,400 2,115 Hudson Highland Group* 134,800 1,142 ICF International* 39,000 782 IDEX 39,062 1,199 IKON Office Solutions (B) 94,300 717 Interface, Cl A 43,357 609 Kadant* 39,216 1,152 Kansas City Southern (B)* 66,062 2,650 Kaydon 44,227 1,942 KBR* 66,600 1,847 Kelly Services, Cl A 19,700 405 Kforce* 197,000 1,741 Kirby* 42,400 2,417 Knight Transportation (B) 73,700 1,213 Korn/Ferry International (B)* 116,500 1,969 LECG* 197,300 1,847 Mesa Air Group* 56,600 133 Milacron (B)* 32,043 81 Mueller Industries 33,200 958 Mueller Water Products, Cl B 24,290 191 Navistar International* 16,700 1,004 NCI Building Systems (B)* 2,400 58 Orbital Sciences (B)* 110,300 2,658 Oshkosh Truck 24,505 889 Pacer International 33,800 555 Pall 93,500 3,279 PeopleSupport* 60,900 555 Perini* 52,605 1,906 Regal-Beloit 15,600 571 Republic Airways Holdings* 61,200 1,326 Robbins & Myers 2,700 88 RSC Holdings (B)* 61,700 673 Rush Enterprises, Cl A* 26,300 417 Ryder System (B) 62,200 3,789 Saia* 8,900 141 Schawk 2,100 34 School Specialty (B)* 53,866 1,699 Skywest 66,600 1,407 Spherion* 146,000 894 Steelcase, Cl A 62,200 688 Superior Essex* 23,200 652 TBS International, Cl A* 1,800 54 Tecumseh Products, Cl A (B)* 123,500 3,789 Teledyne Technologies* 96,900 4,554 Teleflex 21,627 1,032 Tetra Tech (B)* 53,628 1,046 Textainer Group Holdings 18,600 280 Tredegar 32,200 586 Trimas* 27,700 146 Triumph Group (B) 21,755 1,238 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- United Rentals* 18,000 $ 339 United Stationers (B)* 23,800 1,135 Viad 25,788 929 Waste Connections (B)* 62,600 1,924 Watsco (B) 1,000 41 Watson Wyatt Worldwide, Cl A 86,600 4,915 Watts Water Technologies, Cl A (B) 34,141 957 WESCO International* 35,762 1,305 YRC Worldwide (B)* 24,900 327 -------------- 132,757 -------------- INFORMATION TECHNOLOGY -- 15.9% Actel* 86,000 1,317 Actuate* 74,300 305 Alliance Semiconductor 233,100 259 Amkor Technology (B)* 60,300 645 Anaren* 26,500 335 Applied Micro Circuits* 97,525 700 ARM Holdings ADR (United Kingdom) (B)* 343,700 1,811 Arris Group (B)* 285,250 1,660 ATMI* 54,900 1,528 Avanex (B)* 335,900 238 Avocent (B)* 78,530 1,327 Axesstel* 411,000 144 BearingPoint (B)* 308,400 518 Benchmark Electronics (B)* 168,700 3,028 Black Box 54,348 1,677 Broadridge Financial Solutions 107,300 1,888 Brocade Communications Systems* 529,100 3,862 Cabot Microelectronics* 2,300 74 CACI International, Cl A* 133,438 6,078 Checkpoint Systems* 4,400 118 Ciber* 212,800 1,043 CMGI* 25,900 343 Cognex (B) 76,300 1,666 Coherent (B)* 79,992 2,231 Comverse Technology* 178,500 2,749 CPI International* 74,648 740 CSG Systems International (B)* 145,800 1,658 CTS (B) 147,500 1,578 Cymer (B)* 70,500 1,836 Diebold 28,684 1,077 Digi International* 42,630 492 DSP Group* 55,800 711 Dycom Industries* 4,900 59 Earthlink (B)* 515,100 3,889 Emulex (B)* 138,087 2,243 Entegris (B)* 304,760 2,191 Epicor Software (B)* 101,600 1,138 Foundry Networks* 230,365 2,668 Global Cash Access Holdings (B)* 47,400 278 Ikanos Communications* 162,300 742 - -------------------------------------------------------------------------------- 54 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Imation (B) 53,800 $ 1,223 Intevac* 98,200 1,272 JDA Software Group* 48,900 892 JDS Uniphase (B)* 126,000 1,687 Kemet (B)* 87,300 353 Keynote Systems (B)* 123,800 1,460 Lawson Software (B)* 571,100 4,300 LeCroy (B)* 38,900 337 Littelfuse (B)* 72,358 2,530 LTX (B)* 286,000 898 Manhattan Associates* 109,600 2,513 MasTec (B)* 35,300 290 MAXIMUS 7,000 257 Mentor Graphics (B)* 61,800 546 Mercury Computer Systems* 95,100 534 Merrimac Industries* 29,200 196 Methode Electronics 112,800 1,319 Micrel (B) 97,100 900 Microsemi (B)* 31,231 712 MicroStrategy, Cl A* 9,100 673 MKS Instruments* 49,200 1,053 MPS Group* 215,300 2,545 Multi-Fineline Electronix (B)* 27,200 511 O2Micro International ADR* 89,500 692 Omnivision Technologies* 11,300 190 ON Semiconductor (B)* 71,530 406 Orbotech* 227,300 4,169 Orckit Communications* 100,100 738 Parametric Technology* 217,711 3,479 Perot Systems, Cl A* 182,491 2,745 Photronics* 41,400 395 Plantronics 19,400 375 Powerwave Technologies (B)* 227,635 580 QLogic* 22,400 344 Quantum* 343,200 734 Rackable Systems* 160,900 1,467 Radisys (B)* 75,400 761 RADWARE* 155,800 1,592 RF Micro Devices (B)* 151,600 403 Richardson Electronics 60,287 255 Rudolph Technologies* 152,700 1,492 SAIC* 53,500 995 Seachange International* 207,800 1,461 SI International* 92,200 1,769 Silicon Image* 198,200 993 SkillSoft ADR* 205,458 2,151 Skyworks Solutions (B)* 667,500 4,859 SRA International, Cl A* 77,400 1,882 Standard Microsystems* 39,800 1,161 Sybase (B)* 116,541 3,065 Synopsys* 38,802 881 Tech Data* 22,700 745 Technitrol* 112,800 2,609 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Tekelec (B)* 227,800 $ 2,836 TIBCO Software (B)* 432,100 3,085 TNS 12,600 260 Trident Microsystems* 164,800 849 Tyler Technologies* 15,500 217 Ultra Clean Holdings (B)* 114,500 1,122 Ultratech (B)* 280,000 2,691 United Online 118,800 1,255 Utstarcom (B)* 264,300 751 Verint Systems* 131,700 2,124 Vignette* 30,800 407 Wavecom ADR (B)* 52,200 609 WidePoint* 354,300 461 Xyratex* 195,757 3,512 Zoran (B)* 219,200 2,994 -------------- 150,406 -------------- MATERIALS -- 5.6% Aptargroup (B) 18,637 726 Arch Chemicals 36,751 1,369 Bemis (B) 54,927 1,397 Buckeye Technologies* 106,100 1,184 Cabot 34,508 966 CF Industries Holdings 8,100 839 Chemtura 221,600 1,627 Constar International (B)* 92,600 243 Crown Holdings* 88,600 2,229 Cytec Industries 62,500 3,366 Ferro 48,124 715 FMC 19,933 1,106 H.B. Fuller (B) 40,400 825 Hercules 137,900 2,522 Innophos Holdings (B) 8,900 143 Innospec (United Kingdom) 6,700 142 Myers Industries 19,300 253 Neenah Paper 75,173 1,938 NewMarket 21,200 1,600 Olin (B) 87,740 1,734 Olympic Steel 17,200 776 OM Group* 35,000 1,909 Omnova Solutions* 88,000 351 Pactiv* 85,951 2,253 Quaker Chemical 23,200 726 Quanex (B) 111,075 5,747 Rock-Tenn, Cl A 54,200 1,624 Schnitzer Steel Industries, Cl A 700 50 Schulman, Cl A 25,500 523 Schweitzer-Mauduit International 31,300 724 Sensient Technologies (B) 152,600 4,500 Silgan Holdings 96,556 4,792 Steel Dynamics (B) 24,000 793 Texas Industries (B) 49,800 2,993 -------------- 52,685 -------------- - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 55 SCHEDULE OF INVESTMENTS (Unaudited) Small Cap Value Fund (Concluded) March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES -- 0.4% Atlantic Tele-Network 23,000 $ 778 IDT* 3,900 13 Premiere Global Services* 130,200 1,867 Syniverse Holdings* 67,600 1,127 USA Mobility 20,600 147 -------------- 3,932 -------------- UTILITIES -- 4.4% AGL Resources 60,482 2,076 Allete (B) 76,100 2,939 Atmos Energy 56,589 1,443 Avista 37,700 737 Black Hills 48,300 1,728 Centerpoint Energy 148,600 2,121 Cleco 65,900 1,462 CMS Energy (B) 129,800 1,757 El Paso Electric* 207,300 4,430 Empire District Electric (B) 34,725 703 Great Plains Energy 17,000 419 ITC Holdings (B) 35,400 1,843 Laclede Group 53,100 1,892 Oneok 8,300 370 Ormat Technologies (B) 41,300 1,776 PNM Resources 32,600 407 Portland General Electric 165,569 3,734 Southern Union 88,600 2,062 Southwest Gas (B) 78,198 2,186 Synthesis Energy Systems* 1,262 11 UGI 42,100 1,049 UIL Holdings (B) 85,100 2,564 Vectren 14,300 384 Westar Energy (B) 83,621 1,904 WGL Holdings 23,320 748 Wisconsin Energy 11,696 515 -------------- 41,260 -------------- Total Common Stock (Cost $923,109) ($ Thousands) 914,741 -------------- EXCHANGE TRADED FUND (B) -- 0.2% iShares Russell 2000 Index Fund 20,178 1,382 -------------- Total Exchange Traded Fund (Cost $1,382) ($ Thousands) 1,382 -------------- - -------------------------------------------------------------------------------- Face Amount ($ Thousands)/ Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Number of Warrants ------------- WARRANTS -- 0.0% Washington Mutual (D)* 310,642 $ 109 -------------- Total Warrants (Cost $43) ($ Thousands) 109 -------------- Number of Rights ------------- RIGHTS -- 0.0% Ares Capital, Expires 04/21/08 14,700 8 -------------- Total Rights (Cost $--) ($ Thousands) 8 -------------- CORPORATE OBLIGATION (C) (F) -- 0.6% FINANCIALS -- 0.6% SLM MTN, Ser S 2.827%, 04/14/08 $ 6,059 6,059 -------------- Total Corporate Obligation (Cost $6,059) ($ Thousands) 6,059 -------------- CASH EQUIVALENTS** -- 37.6% Merrill Lynch EBP Master, 2.090% 1,652,631 1,653 SEI Daily Income Trust, Prime Obligation Fund, Cl A, 3.190%++ 30,531,908 30,532 SEI Liquidity Fund L.P., 3.200%++ (C) 324,716,821 324,717 -------------- Total Cash Equivalents (Cost $356,902) ($ Thousands) 356,902 -------------- U.S. TREASURY OBLIGATION (A) (E) -- 0.2% U.S. Treasury Bill 2.167%, 05/22/08 1,735 1,732 -------------- Total U.S. Treasury Obligation (Cost $1,730) ($ Thousands) 1,732 -------------- Total Investments -- 135.1% (Cost $1,289,225) ($ Thousands) $ 1,280,933 ============== - -------------------------------------------------------------------------------- 56 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 A summary of the open futures contracts held by the Fund at March 31, 2008, is as follows (see Note 2 in Notes to Financial Statements): - -------------------------------------------------------------------------------- NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION APPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - -------------------------------------------------------------------------------- Russell 2000 Index E-MINI 273 Jun-2008 $ 588 ============= Percentages are based on Net Assets of $948,163 ($ Thousands). * Non-Income Producing Security. ** Rate shown is the 7-day effective yield as of March 31, 2008. +++ Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting. + Real Estate Investment Trust. ++ Investment in Affiliated Security (see Note 3). (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. (B) This security or a partial position of this security is on loan at March 31, 2008 (see Note 7). The total value of securities on loan at March 31, 2008 was $321,275 ($ Thousands). (C) This security was purchased with cash collateral held from securities on loan (see Note 7). The total value of such securities as of March 31, 2008 was $330,776 ($ Thousands). (D) This warrant represents a potential distribution settlement in a legal claim and does not have a strike price or expiration date. (E) The rate reported is the effective yield at time of purchase. (F) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2008. (G) Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total value of such securities as of March 31, 2008 was $696 ($ Thousands) and represented 0.07% of Net Assets. (H) Securities considered illiquid and restricted. The total value of such securities as of March 31, 2008 was $696 ($ Thousands) and represented 0.07% of Net Assets. ADR -- American Depositary Receipt Cl -- Class MTN -- Medium Term Note L.P. -- Limited Partnership PIPE -- Public Investment in Public Entity Ser -- Series Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 57 SCHEDULE OF INVESTMENTS (Unaudited) Small Cap Growth Fund March 31, 2008 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS#: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] Short-Term Investments 28.8% Information Technology 17.0% Health Care 12.9% Industrials 10.6% Consumer Discretionary 9.3% Financials 8.0% Energy 6.1% Materials 3.1% Telecommunication Services 1.7% Consumer Staples 1.5% Utilities 0.7% Convertible Bond 0.2% U.S. Treasury Obligation 0.1% Exchange Traded Fund 0.0% Warrants 0.0% # Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7). - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- COMMON STOCK -- 97.1% CONSUMER DISCRETIONARY -- 12.8% 1-800-FLOWERS.COM, Cl A* 53,950 $ 459 Advance Auto Parts 7,209 245 Aeropostale (B)* 31,400 851 Airmedia Group ADR (B)* 19,300 307 Amerigon* 130,355 1,929 AnnTaylor Stores* 672 16 Bally Technologies* 50,673 1,740 Belo, Cl A 11,087 117 BJ's Restaurants (B)* 71,733 1,034 Black & Decker 3,604 238 Blue Nile (B)* 12,900 699 Blyth* 12,299 243 Buckle (B) 8,700 389 Callaway Golf 18,634 274 Capella Education* 41,026 2,240 Carrols Restaurant Group (B)* 4,500 40 Casual Male Retail Group (B)* 357,700 1,502 Cato, Cl A 82,600 1,234 CEC Entertainment* 19,900 575 Century Casinos* 81,564 264 Charming Shoppes (B)* 304,400 1,470 Chipotle Mexican Grill, Cl A (B)* 14,200 1,611 Christopher & Banks 28,860 288 CKE Restaurants 22,500 252 Coldwater Creek (B)* 69,442 351 CROCS (B)* 225,200 3,934 Crown Media Holdings, Cl A (B)* 29,600 153 Ctrip.com International ADR (B)* 19,995 1,060 DeVry 21,312 892 Dick's Sporting Goods* 19,364 519 Dolan Media* 24,895 501 Dover Downs Gaming & Entertainment (B) 41,050 349 DreamWorks Animation SKG, Cl A* 9,465 244 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- DSW, Cl A (B)* 89,000 $ 1,153 Dufry South America BDR (Brazil)* 43,800 803 Eddie Bauer Holdings (B)* 290,051 1,128 Einstein Noah Restaurant Group* 32,100 275 Entravision Communications, Cl A* 41,837 279 Focus Media Holding ADR (B)* 59,941 2,107 Fossil (B)* 10,200 312 Furniture Brands International 25,292 296 Gaiam, Cl A (B)* 94,400 1,635 Genius Products* 349,055 244 Gildan Activewear* 28,800 1,076 Global Sources (B)* 47,910 711 Group 1 Automotive (B) 53,100 1,247 GSI Commerce (B)* 157,532 2,072 Gymboree* 72,520 2,892 Harris Interactive* 72,228 197 hhgregg* 35,200 396 Hibbett Sports (B)* 24,084 372 Ihop 84 4 Interactive Data 10,141 289 J Crew Group (B)* 47,200 2,085 Jack in the Box (B)* 34,800 935 Jarden* 66,040 1,436 JOS A Bank Clothiers (B)* 23,200 476 K12* 13,767 270 Lear (B)* 34,900 904 Life Time Fitness (B)* 11,828 369 Lin TV, Cl A* 21,549 207 LKQ (B)* 61,900 1,391 Lululemon Athletica (B)* 38,000 1,080 Lumber Liquidators (B)* 12,500 132 Maidenform Brands* 1,932 31 Martha Stewart Living Omnimedia, Cl A (B)* 137,100 1,019 Marvel Entertainment* 30,510 817 Matthews International, Cl A* 8,623 416 McCormick & Schmick's Seafood Restaurants* 84,149 980 Meredith 5,465 209 Monarch Casino & Resort* 3,200 57 Morningstar (B)* 19,681 1,207 National CineMedia 31,270 703 NetFlix (B)* 95,711 3,316 Nexstar Broadcasting Group, Cl A* 33,203 196 NutriSystem* 12,322 186 NVR* 419 250 Orbitz Worldwide (B)* 66,600 459 Overstock.com* 23,217 277 Pacific Sunwear Of California* 76,000 958 Peet's Coffee & Tea (B)* 39,776 935 Phillips-Van Heusen 24,200 918 Polaris Industries (B) 2,000 82 Pre-Paid Legal Services* 4,704 199 priceline.com (B)* 26,855 3,246 - -------------------------------------------------------------------------------- 58 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Quiksilver (B)* 522,200 $ 5,123 RadioShack 4,737 77 Raser Technologies (B)* 38,900 334 RCN 2,366 26 Red Robin Gourmet Burgers (B)* 28,600 1,075 Regis (B) 76,200 2,095 Rent-A-Center* 13,439 247 Retail Ventures (B)* 185,300 899 RRSat Global Communications Network* 75,900 1,152 Ryland Group 8,913 293 Sally Beauty Holdings* 34,603 239 Scholastic* 8,612 261 Shutterfly (B)* 128,200 1,906 Sinclair Broadcast Group, Cl A (B) 41,300 368 Skechers U.S.A., Cl A* 13,845 280 Snap-On 22,095 1,124 Sonic (B)* 34,800 767 Sotheby's (B) 29,970 866 Stamps.com* 62,202 638 Standard-Pacific 41,909 204 Strayer Education (B) 4,900 747 Tecnisa (Brazil)* 326,700 1,495 Tempur-Pedic International 9,281 102 Tenneco* 20,200 564 Texas Roadhouse, Cl A (B)* 67,700 663 Thor Industries 35,377 1,053 Thunderbird Resorts PIPE (D) (G) (I)* 153,500 1,381 Thunderbird Resorts PIPE (D) (G) (H) (I)* 3,200 29 True Religion Apparel* 71,800 1,332 Tupperware Brands* 81,690 3,160 Tween Brands* 11,908 295 Under Armour, Cl A (B)* 21,200 776 Universal Electronics* 34,155 827 Volcom* 25,830 522 Warnaco Group* 24,200 954 WMS Industries (B)* 68,401 2,460 Zumiez* 65,275 1,024 -------------- 104,612 -------------- CONSUMER STAPLES -- 2.1% American Dairy (B)* 14,000 129 American Oriental Bioengineering* 76,110 617 Asiatic Development (Malaysia)* 771,000 2,025 Bare Escentuals (B)* 17,900 419 Boston Beer, Cl A (B)* 25,920 1,232 Chattem (B)* 22,480 1,491 Church & Dwight 479 26 Constellation Brands, Cl A* 7,727 137 Cosan SA Industria e Comercio (Brazil)* 168,200 2,482 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Darling International* 94,127 $ 1,219 Great Atlantic & Pacific Tea* 9,708 255 Green Mountain Coffee Roasters* 3,600 114 Herbalife 31,452 1,494 Lance 119,100 2,334 Longs Drug Stores 19,700 836 Nash Finch 10,556 359 National Beverage 7,726 59 NBTY* 2,520 75 Nu Skin Enterprises, Cl A 56,060 1,010 Pilgrim's Pride 10,466 212 Ralcorp Holdings (B)* 13,100 762 -------------- 17,287 -------------- ENERGY -- 8.3% Arena Resources* 116,755 4,520 Alon USA Energy 25 -- Alpha Natural Resources* 55,370 2,405 Approach Resources* 68,903 1,080 Arlington Tankers (B) 97,000 2,037 ATP Oil & Gas (B)* 20,200 661 Atwood Oceanics* 13,800 1,266 Basic Energy Services (B)* 90,700 2,003 Berry Petroleum, Cl A 2,800 130 Bois d'Arc Energy (B)* 41,136 884 BPZ Energy PIPE (D) (G) (I)* 114,500 2,488 Cal Dive International* 124,900 1,296 CARBO Ceramics (B) 25,800 1,035 Carrizo Oil & Gas* 17,210 1,020 Cimarex Energy (B) 21,690 1,187 Complete Production Services (B)* 109,000 2,500 Comstock Resources* 50,756 2,045 Core Laboratories* 8,510 1,015 Dawson Geophysical* 8,300 560 Delek US Holdings 16,300 207 Dril-Quip* 33,906 1,576 Encore Acquisition* 29,100 1,172 Energy Partners* 168,500 1,596 Foundation Coal Holdings 1,010 51 Geokinetics* 6,458 117 Gulf Island Fabrication 5,500 158 Gulfport Energy* 46,300 491 Helmerich & Payne 14,580 683 Hercules Offshore (B)* 84,463 2,122 Infinity Bio-Energy* 741,494 2,966 International Coal Group* 45,123 287 ION Geophysical (B)* 204,936 2,828 James River Coal* 168 3 Kodiak Oil & Gas* 428,900 716 Mariner Energy* 18,490 499 Massey Energy 6,494 237 Meridian Resource* 80,938 120 NATCO Group, Cl A* 43,949 2,055 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 59 SCHEDULE OF INVESTMENTS (Unaudited) Small Cap Growth Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Oilsands Quest (Canada) (B)* 341,000 $ 1,344 OPTI Canada (Canada)* 113,000 1,905 PetroHawk Energy* 82,461 1,663 Petroquest Energy* 45,600 791 Rentech (B)* 762,800 679 Rosetta Resources* 22,090 435 Rowan 8,485 349 StealthGas 120,000 1,866 Superior Energy Services* 34,203 1,355 Superior Well Services (B)* 73,900 1,616 Swift Energy* 29,000 1,305 Synenco Energy, Cl A (Canada) (D) (G) (I)* 19,500 138 Synenco Energy, Cl A (Canada)* 306,360 2,165 Tesco* 41,800 1,001 Uranium One (Canada)* 137,549 453 USEC* 1,010 4 Vaalco Energy* 34,099 169 Venoco* 39,100 454 W&T Offshore 10,575 361 W-H Energy Services* 21,900 1,508 Whiting Petroleum* 4,536 293 Willbros Group (B)* 51,289 1,569 World Fuel Services 28,750 807 -------------- 68,246 -------------- FINANCIALS -- 10.3% Affiliated Managers Group (B)* 33,618 3,050 Alexander's+* 342 121 Amerisafe* 38,500 487 Amtrust Financial Services 27,805 451 Anworth Mortgage Asset+ 67,300 413 Brasil Brokers Participacoes (Brazil)* 2,700 1,892 Canaccord Capital (Canada) 106,100 1,013 CapitalSource+ 117,750 1,139 Capstead Mortgage+ (B) 142,609 1,626 Cash America International 35,839 1,305 Castlepoint Holdings* 91,300 888 Cathay General Bancorp 84 2 Citizens Republic Bancorp 2,414 30 Cohen & Steers (B) 29,700 787 Columbia Bancorp 30,300 518 Companhia Brasileira de Desenvolvimento Imobiliario Turistico (Brazil) (H)* 3,500 1,491 Companhia Brasileira de Desenvolvimento Imobiliario Turistico (Brazil)* 700 298 Darwin Professional Underwriters* 8,800 198 Delphi Financial Group, Cl A 29,025 848 Digital Realty Trust+ 5,857 208 Dollar Financial (B)* 113,129 2,602 Dundee (Canada)+* 44,600 1,412 East West Bancorp 95,156 1,689 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- eHealth (B)* 9,312 $ 206 Equity Lifestyle Properties+ 370 18 Evercore Partners, Cl A 180,100 3,197 Ezcorp, Cl A* 38,200 470 FCStone Group (B)* 64,080 1,775 Federal Realty Investment Trust+ 3,528 275 FelCor Lodging Trust+ 77,100 928 First Industrial Realty Trust+ (B) 12,200 377 FirstFed Financial (B)* 37,400 1,015 Frontier Financial 14 -- GAMCO Investors, Cl A 2,500 126 General Shopping Brasil (Brazil)* 277,400 2,125 GFI Group* 11,200 642 Glacier Bancorp (B) 45,018 863 Gluskin Sheff + Associates (Canada) (H)* 85,600 1,669 GMP Capital Trust (Canada) 69,400 1,134 Greenhill (B) 31,929 2,221 Grubb & Ellis (B)* 308,080 2,116 Grubb & Ellis Realty Advisors* 395,700 2,402 Hercules Technology Growth Capital 101,428 1,101 Hersha Hospitality Trust+ 173,200 1,564 HFF, Cl A* 42,600 213 Highbury Financial (B)* 36,700 106 Highbury Financial Units* 115,400 381 Huntington Bancshares 4,200 45 Imperial Capital Bancorp 269 6 Interactive Brokers Group (B)* 43,395 1,114 Investors Real Estate Trust+ (B) 197,500 1,932 Janus Capital Group (B) 30,800 717 Jefferies Group (B) 92,900 1,498 Jones Lang LaSalle 10,665 825 Kansas City Life Insurance 24,401 1,173 Knight Capital Group, Cl A* 24,181 393 MarketAxess Holdings* 68,495 681 Meadowbrook Insurance Group* 32,300 252 Meruelo Maddux Properties* 322,400 819 MFA Mortgage Investments+ (B) 262,400 1,653 MSCI, Cl A* 56,550 1,682 NASDAQ Stock Market* 7,932 307 Nationwide Health Properties+ (B) 29,000 979 Navigators Group* 19,200 1,044 Nelnet, Cl A 53,460 628 Ocwen Financial* 342 2 Omega Healthcare Investors+ 64,799 1,125 optionsXpress Holdings (B) 86,894 1,800 Platinum Underwriters Holdings 53,260 1,729 PMI Group 2,142 12 PS Business Parks+ 5,000 259 Ram Holdings (B)* 99,300 225 Raymond James Financial 10,060 231 Riskmetrics Group* 96,665 1,870 Sierra Bancorp (B) 3,400 73 Signature Bank (B)* 20,500 523 - -------------------------------------------------------------------------------- 60 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Sterling Financial, Washington Shares 59,800 $ 933 Stifel Financial (B)* 19,368 870 SVB Financial Group (B)* 29,900 1,305 Tejon Ranch* 134 5 Titanium Asset* 140,900 793 TradeStation Group* 14,582 124 UCBH Holdings (B) 137,600 1,068 United Fire & Casualty 25,300 946 Uranium Participation (Canada)* 62,000 577 Value Creation (Canada)* 121,940 1,189 Victory Acquisition* 50,032 470 Waddell & Reed Financial, Cl A 53,187 1,709 Washington Real Estate Investment Trust+ (B) 9,500 317 Westamerica Bancorporation 15,300 805 World Acceptance (B)* 63,479 2,022 ------------- 84,122 ------------- HEALTH CARE -- 17.8% 3SBio ADR* 84,800 741 Abaxis* 57,245 1,326 Abiomed (B)* 32,000 420 Abraxis Bioscience (B)* 5,550 328 Acadia Pharmaceuticals (B)* 109,300 990 Achillion Pharmaceuticals* 77,560 344 Acorda Therapeutics* 23,665 425 Affymax (B)* 9,100 128 Affymetrix (B)* 198,062 3,448 Air Methods* 422 20 Albany Molecular Research* 16,301 198 Alexion Pharmaceuticals (B)* 22,514 1,335 Align Technology (B)* 69,000 767 Alkermes (B)* 105,062 1,248 Alnylam Pharmaceuticals (B)* 20,239 494 AMAG Pharmaceuticals* 5,063 205 Amedisys (B)* 37,985 1,494 American Medical Systems Holdings (B)* 27,455 390 AMN Healthcare Services* 61,903 955 Amsurg (B)* 70,900 1,679 Animal Health International* 65,351 715 APP Pharmaceuticals (B)* 98,200 1,186 Applera -- Celera Group* 48,400 711 Apria Healthcare Group (B)* 44,500 879 Arena Pharmaceuticals (B)* 250,400 1,713 Ariad Pharmaceuticals (B)* 449,387 1,514 Array Biopharma (B)* 91,755 643 Arthrocare (B)* 57,397 1,914 Bio-Reference Labs* 11,347 300 BioMarin Pharmaceuticals (B)* 114,268 4,042 Bruker BioSciences* 7,900 122 Capital Senior Living* 9,909 80 Caraco Pharmaceutical Laboratories* 504 9 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Cell Genesys (B)* 246,100 $ 578 Centene* 49,750 694 Cephalon (B)* 74,500 4,798 Chemed 12,182 514 Conceptus (B)* 20,800 386 Conmed* 14,965 384 Corvel* 8,650 265 Cougar Biotechnology PIPE (D) (G) (I)* 21,000 441 CryoLife* 45,942 432 Cubist Pharmaceuticals (B)* 245,747 4,527 CV Therapeutics (B)* 492,800 3,514 Cynosure, Cl A (B)* 32,800 699 Cypress Bioscience (B)* 34,600 248 Dionex* 28,535 2,197 Discovery Laboratories (B)* 216,123 508 Durect* 56,043 294 Eclipsys* 18,772 368 Emergency Medical Services, Cl A (B)* 46,900 1,158 Encysive Pharmaceuticals (B)* 408,000 959 Enzon Pharmaceuticals (B)* 32,567 300 eResearchTechnology* 30,422 378 Exelixis (B)* 384,621 2,673 GTx (B)* 11,800 190 Haemonetics* 7,417 442 Hanger Orthopedic Group* 593 6 HealthExtras* 42,164 1,047 HealthTronics* 11,665 38 Healthways* 41,866 1,480 HMS Holdings* 13,030 372 Hologic (B)* 96,590 5,370 Human Genome Sciences (B)* 413,400 2,435 I-Flow* 89,412 1,254 Illumina (B)* 22,661 1,720 Immucor (B)* 30,900 659 Incyte (B)* 266,000 2,796 Integra LifeSciences Holdings (B)* 7,988 347 InterMune (B)* 22,500 328 Inverness Medical Innovations* 6,924 208 Isis Pharmaceuticals (B)* 47,800 674 Kendle International (B)* 38,244 1,718 Kensey Nash* 3,780 109 Kindred Healthcare* 9,900 217 KV Pharmaceutical, Cl A (B)* 33,480 836 LHC Group* 32,860 552 Lifecell* 11,755 494 LifePoint Hospitals* 420 12 Lincare Holdings* 7,739 218 Luminex* 12,805 252 MannKind* 56,320 336 Martek Biosciences (B)* 21,300 651 Medarex (B)* 578,900 5,123 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 61 SCHEDULE OF INVESTMENTS (Unaudited) Small Cap Growth Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Medical Action Industries* 12,751 $ 209 Medicines* 106,730 2,156 Medicis Pharmaceutical, Cl A (B) 45,718 900 Medtox Scientific* 493 6 Meridian Bioscience 81,720 2,732 Metabolix (B)* 88,800 972 Micrus Endovascular (B)* 83,500 1,032 Momenta Pharmaceuticals (B)* 16,800 184 MWI Veterinary Supply* 31,317 1,104 Myriad Genetics (B)* 74,657 3,008 Natus Medical* 12,682 230 Nektar Therapeutics* 45,817 318 NuVasive* 13,330 460 Obagi Medical Products* 21,000 182 Odyssey HealthCare* 229,300 2,064 Omnicell* 37,015 744 Omrix Biopharmaceuticals* 51,783 725 Onyx Pharmaceuticals (B)* 40,598 1,179 OraSure Technologies (B)* 98,800 722 OSI Pharmaceuticals (B)* 45,462 1,700 Owens & Minor (B) 15,600 614 Parexel International* 77,153 2,014 Patterson* 8,583 312 Pediatrix Medical Group* 22,000 1,483 Penwest Pharmaceuticals (B)* 213,100 554 Perrigo (B) 73,533 2,774 PharmaNet Development Group* 8,243 208 Pozen (B)* 42,756 443 Profarma Distribuidora de Produtos Farmaceuticos (Brazil)* 117,500 1,969 Psychiatric Solutions (B)* 90,461 3,068 Qiagen* 51,512 1,071 Quidel (B)* 43,600 700 Regeneron Pharmaceuticals (B)* 96,373 1,849 Rigel Pharmaceuticals (B)* 121,900 2,275 Salix Pharmaceuticals* 12,104 76 Savient Pharmaceuticals (B)* 70,170 1,403 Sciele Pharma (B)* 28,700 560 Seattle Genetics (B)* 58,288 530 Sirona Dental Systems (B)* 40,236 1,085 Somanetics* 9,724 151 SonoSite* 8,471 241 Sun Healthcare Group* 87,600 1,151 SurModics* 4,851 203 Tercica (B)* 85,300 489 Theravance* 32,375 341 Third Wave Technologies* 88,858 819 Thoratec* 3,775 54 TomoTherapy* 62,425 896 TranS1* 46,700 544 Trizetto Group* 19,580 327 United Therapeutics (B)* 35,027 3,037 Universal American (B)* 15,741 167 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Varian* 19,700 $ 1,141 Viropharma (B)* 70,552 631 Vital Signs 14,342 726 Vivus (B)* 171,438 1,034 Waters* 4,524 252 Wright Medical Group (B)* 85,658 2,068 XenoPort (B)* 13,818 559 -------------- 145,408 -------------- INDUSTRIALS -- 14.7% AAON 1,670 33 Actuant, Cl A 48,421 1,463 Acuity Brands 16,000 687 Advisory Board* 26,610 1,462 Aecom Technology* 45,000 1,170 Aegean Marine Petroleum Network* 32,045 1,096 AGCO* 5,546 332 Allegiant Travel* 10,559 279 Allen-Vanguard (Canada)* 293,000 977 American Commercial Lines (B)* 13,800 218 American Railcar Industries (B) 1,700 35 American Science & Engineering 4,962 271 American Woodmark 254 5 AMR* 20,474 185 AO Smith 20,600 677 Apogee Enterprises 159,714 2,460 Applied Industrial Technologies 13,006 389 Badger Meter (B) 7,900 341 Barnes Group (B) 106,840 2,452 BE Aerospace* 102,210 3,572 Beacon Roofing Supply* 4,981 50 Belden 21,279 752 Brady, Cl A 7,559 253 Bucyrus International, Cl A 16,185 1,645 Canadian Solar (B)* 19,900 416 CDI 14,200 356 Ceradyne (B)* 25,500 815 Chart Industries* 59,216 2,004 Chicago Bridge & Iron 51,082 2,004 CIRCOR International 19,124 884 Clarcor 19,655 699 Clean Harbors (B)* 19,500 1,267 Columbus McKinnon* 28,600 886 Comfort Systems USA 58,900 766 COMSYS IT Partners* 3,500 30 Corrections of America* 98,207 2,703 CoStar Group (B)* 66,509 2,860 CRA International (B)* 60,040 1,930 Crane 18,288 738 Cubic 24,600 699 Diamond Management & Technology Consultants 39,533 255 DRS Technologies 4,818 281 - -------------------------------------------------------------------------------- 62 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Dynamex* 18,418 $ 466 Dynamic Materials (B) 56,700 2,449 Energy Conversion Devices (B)* 15,400 460 Esterline Technologies* 19,355 975 Evergreen Solar (B)* 98,100 909 Expeditors International Washington (B) 45,200 2,042 Flow International (B)* 159,200 1,479 Force Protection (B)* 39,600 80 Force Protection (D) (G) (I)* 173,900 350 Forward Air 38,720 1,372 FTI Consulting* 300 21 Fuel Tech (B)* 43,100 884 Gardner Denver* 28,550 1,059 Genco Shipping & Trading (B) 15,700 886 General Cable (B)* 51,322 3,032 Geo Group (B)* 57,422 1,633 Gorman-Rupp 2,939 97 Graham 5,116 182 Greenbrier (B) 13,200 350 H&E Equipment Services* 109,300 1,374 Healthcare Services Group (B) 82,337 1,699 Heartland Express (B) 28,196 402 Heico, Cl A 31,619 1,240 Heidrick & Struggles International* 9,161 298 Herman Miller 28,460 699 Hexcel* 68,800 1,315 Horizon Lines, Cl A 103,430 1,925 HUB Group, Cl A* 47,530 1,563 Hubbell, Cl B 6,306 276 Hurco* 6,300 295 Huron Consulting Group (B)* 2,700 112 IHS, Cl A* 14,698 945 II-VI (B)* 1,484 56 Innerworkings (B)* 126,015 1,768 Interface, Cl A 31,221 439 JA Solar Holdings ADR* 124,392 2,314 Kansas City Southern (B)* 28,820 1,156 Kaydon 19,100 839 Kforce* 31,400 278 Knoll (B) 98,800 1,140 Korn/Ferry International* 20,388 345 Landstar System (B) 19,545 1,019 Layne Christensen* 15,200 532 LB Foster, Cl A* 8,528 367 Lincoln Electric Holdings 16,100 1,038 Lydall* 10,535 121 Manpower 4,613 260 Michael Baker* 18,602 418 Middleby (B)* 34,025 2,123 Multi-Color 1 -- NCI Building Systems (B)* 46,900 1,135 Nuco2* 32,338 898 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Old Dominion Freight Line* 85,666 $ 2,727 Orbital Sciences* 13,012 314 Orion Energy Systems (B)* 138,300 1,319 Orion Marine Group* 169,200 2,022 Oshkosh Truck 5,925 215 Pacer International 3,311 54 Peerless Manufacturing* 4,624 150 Pentair 7,980 255 Perini* 56,585 2,050 Pinnacle Airlines (B)* 66,600 581 Quanta Services (B)* 64,130 1,486 RBC Bearings* 46,875 1,740 Republic Airways Holdings* 60,140 1,303 Resources Connection 83,005 1,483 Robbins & Myers 7,637 249 Rollins 10,800 191 RSC Holdings (B)* 244,100 2,661 Rush Enterprises, Cl A* 15,928 252 Rush Enterprises, Cl B* 13,022 191 Shaw Group* 4,568 215 Spherion* 5,100 31 Standard Parking* 39,775 834 Sun Hydraulics 5,600 164 TAL International Group (B) 79,800 1,881 Tecumseh Products, Cl A* 10,163 312 Tecumseh Products, Cl B* 170 5 Teledyne Technologies* 17,300 813 Tetra Tech (B)* 54,900 1,071 Textainer Group Holdings (B) 148,500 2,239 TransDigm Group* 24,305 901 Twin Disc 16,458 260 United Stationers (B)* 18,600 887 Wabtec 9,000 339 Waste Connections (B)* 40,250 1,237 Watson Wyatt Worldwide, Cl A 29,810 1,692 WESCO International* 6,502 237 Xerium Technologies 47,957 62 -------------- 119,935 -------------- INFORMATION TECHNOLOGY -- 23.5% Acme Packet* 139,800 1,117 Actuate* 116,400 477 Advanced Analogic Technologies* 131,500 739 Advent Software (B)* 23,752 1,012 Alvarion* 139,500 1,011 Amkor Technology (B)* 68,400 732 Anaren* 17,100 216 Ansoft* 18,600 568 Ansys* 40,915 1,412 Ariba (B)* 140,792 1,360 Arris Group* 131,625 766 Art Technology Group (B)* 645,197 2,503 Asyst Technologies* 418,900 1,466 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 63 SCHEDULE OF INVESTMENTS (Unaudited) Small Cap Growth Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Atheros Communications (B)* 119,890 $ 2,499 Atmel* 201,335 701 ATMI* 48,080 1,338 Avocent* 12,598 213 Bankrate (B)* 28,475 1,421 Benchmark Electronics* 1,700 31 Blackbaud 13,185 320 Blackboard (B)* 25,440 848 Blue Coat Systems* 86,625 1,909 BluePhoenix Solutions* 55,780 466 BMC Software* 86 3 Bottomline Technologies* 7,894 99 Brooks Automation* 91,300 887 CACI International, Cl A* 7,087 323 Cadence Design Systems* 23,516 251 Cavium Networks (B)* 76,700 1,258 China Digital TV Holding ADR (B)* 76,400 1,424 Chordiant Software* 80,300 484 CommScope* 38,895 1,355 Commvault Systems (B)* 56,000 694 ComScore (B)* 20,000 401 Comtech Group (B)* 86,600 934 Comtech Telecommunications* 6,442 251 Comverge (B)* 14,071 145 Concur Technologies (B)* 87,300 2,711 Conexant Systems* 184,577 107 Cray* 52,402 312 Credence Systems* 112,626 191 CSG Systems International (B)* 98,900 1,124 Cybersource* 93,265 1,363 Cymer* 50,660 1,319 Cypress Semiconductor* 52,005 1,228 Daktronics (B) 32,366 580 Data Domain* 75,000 1,785 DealerTrack Holdings* 37,705 762 Digi International* 9,155 106 Digimarc* 27,884 279 Digital River* 12,550 389 Diodes (B)* 48,757 1,071 DSP Group (B)* 191,500 2,440 DTS (B)* 81,848 1,964 Dycom Industries* 40,400 485 Echelon (B)* 26,650 360 EFJ* 117,900 141 Elixir Gaming Technologies* 211,460 410 EMS Technologies* 15,600 423 Emulex* 94,049 1,527 Epicor Software* 7,268 81 Equinix (B)* 31,659 2,105 Euronet Worldwide (B)* 55,740 1,074 F5 Networks* 17,300 314 Factset Research Systems (B) 19,755 1,064 FalconStor Software (B)* 99,175 755 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- FARO Technologies* 4,000 $ 125 FEI* 26,000 568 Flir Systems (B)* 22,100 665 Greenfield Online* 6,500 77 Harmonic (B)* 84,800 644 Harris Stratex Networks, Cl A (B)* 190,600 1,912 Hewitt Associates, Cl A* 6,919 275 Hittite Microwave (B)* 41,045 1,536 Hughes Communications* 3,700 188 Hutchinson Technology (B)* 72,900 1,160 Hypercom* 29,684 129 Imation 98,700 2,244 Informatica (B)* 141,340 2,411 Information Services Group* 108,680 561 infoUSA* 33,091 202 Integrated Device Technology* 31,412 281 Interactive Intelligence* 16,188 191 InterDigital* 12,683 251 InterVoice* 588 5 Interwoven* 9,000 96 IPG Photonics (B)* 107,990 1,694 IXYS* 17,969 123 Jack Henry & Associates (B) 70,000 1,727 JDA Software Group* 152,200 2,778 Jupitermedia* 191,500 400 Knot (B)* 12,575 148 LDK Solar ADR (B)* 14,400 389 Lionbridge Technologies* 85,135 285 Liquidity Services (B)* 57,108 457 LoJack* 33,800 427 Mantech International, Cl A* 25,600 1,161 Marchex, Cl B (B)* 144,400 1,441 MAXIMUS (B) 15,300 562 Measurement Specialties* 2,358 41 MEMSIC* 161,900 973 Micros Systems* 65,265 2,197 Microsemi (B)* 242,924 5,539 MicroStrategy, Cl A* 4,534 335 MIPS Technologies (B)* 343,200 1,359 Monolithic Power Systems* 66,136 1,166 Move* 143,800 443 MTS Systems 8,735 282 Multi-Fineline Electronix (B)* 33,056 620 National Semiconductor 14,464 265 Net 1 UEPS Technologies (B)* 94,139 2,123 Netgear* 2,600 52 Netlogic Microsystems (B)* 28,084 678 Network Equipment Technologies (B)* 61,200 402 NeuStar, Cl A* 42,930 1,137 Novatel Wireless (B)* 247,601 2,397 Nuance Communications (B)* 71,425 1,244 Omniture (B)* 164,475 3,817 - -------------------------------------------------------------------------------- 64 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- ON Semiconductor (B)* 282,076 $ 1,602 Open Text* 33,585 1,052 OSI Systems* 45,900 1,057 Palm (B)* 277,000 1,385 Park Electrochemical 74,600 1,928 Parkervision (B)* 169,700 1,313 Perfect World ADR (B)* 83,480 1,896 Perficient* 7,600 60 Phoenix Technologies* 3,274 51 Plantronics 11,623 224 PLX Technology (B)* 128,427 857 PMC - Sierra (B)* 241,200 1,375 Polycom (B)* 296,400 6,681 Power Integrations* 58,295 1,706 Presstek (B)* 73,522 322 QAD 7,286 61 QLogic (B)* 80,239 1,232 Quality Systems (B) 24,994 747 Radiant Systems* 53,599 749 Red Hat (B)* 298,800 5,495 Renaissance Learning 4,781 67 RF Micro Devices (B)* 707,700 1,882 Rimage* 11,858 260 Riverbed Technology (B)* 241,500 3,589 Rudolph Technologies* 242,000 2,364 SAVVIS* 62,130 1,011 Scansource* 9,291 336 Seachange International* 228,000 1,603 Secure Computing (B)* 86,994 561 Shanda Interactive Entertainment ADR* 31,860 927 ShoreTel (B)* 65,500 335 Sigma Designs (B)* 32,259 731 Sina (B)* 51,253 1,807 Skyworks Solutions (B)* 308,400 2,245 Smart Modular Technologies* 5,900 37 Sohu.com (B)* 19,500 880 Solera Holdings* 48,780 1,188 SPSS (B)* 30,755 1,193 Standard Microsystems* 8,735 255 STEC* 32,004 198 Stratasys (B)* 55,488 988 Switch & Data Facilities* 24,438 250 Sybase (B)* 65,697 1,728 Symmetricom* 27,887 97 Synaptics* 12,132 290 Synchronoss Technologies (B)* 80,555 1,614 Synopsys* 11,017 250 Taleo, Cl A* 71,620 1,389 Technitrol* 12,174 282 TechTarget* 36,105 512 Tekelec* 5,458 68 Terremark Worldwide* 155,105 850 Tessera Technologies (B)* 32,010 666 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- THQ (B)* 64,841 $ 1,414 TNS 149 3 Travelzoo* 4,464 49 Trimble Navigation* 27,470 785 Trina Solar ADR (B)* 28,800 885 Triquint Semiconductor* 414,554 2,098 TTM Technologies* 224,217 2,538 Tyler Technologies* 26,688 373 Ultimate Software Group* 73,845 2,220 Ultra Clean Holdings* 58,800 576 Unica* 8,672 59 Universal Display (B)* 85,300 1,221 Valueclick (B)* 83,243 1,436 Vasco Data Security International (B)* 40,920 560 Verigy* 14,400 271 Viasat* 2,400 52 Vignette* 64,638 854 Virtusa* 34,638 338 VistaPrint (B)* 73,123 2,556 Wind River Systems* 356,100 2,756 Wright Express* 4,177 128 Zoran* 21,754 297 Zygo* 129,801 1,615 -------------- 191,617 -------------- MATERIALS -- 4.3% ADA-ES* 20,700 173 AEP Industries* 9,165 278 AK Steel Holding* 6,764 368 AM Castle 10,834 292 Brush Engineered Materials* 10,641 273 Carpenter Technology 28,100 1,573 CF Industries Holdings 1,800 186 Crown Holdings* 10,783 271 Esmark (B)* 111,200 1,257 Frontera Copper (Canada)* 210,100 1,065 Glatfelter 85 1 Greif, Cl A (B) 44,175 3,001 Grupo Simec SAB de CV ADR* 175,000 1,948 Haynes International (B)* 18,700 1,026 Hecla Mining (B)* 131,334 1,466 Hercules 203,937 3,730 Horsehead Holding (B)* 173,084 2,004 Katanga Mining (Canada)* 131,200 1,995 Koppers Holdings 43,522 1,928 LSB Industries* 1,029 15 NewMarket 4,758 359 Olin (B) 60,155 1,189 Olympic Steel 5,134 231 Reliance Steel & Aluminum 5,407 324 Rock-Tenn, Cl A 1,020 31 Schnitzer Steel Industries, Cl A (B) 17,064 1,212 Sherritt International (Canada) 116,100 1,643 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 65 SCHEDULE OF INVESTMENTS (Unaudited) Small Cap Growth Fund (Concluded) March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Silgan Holdings 23,285 $ 1,156 Steel Dynamics (B) 53,800 1,778 Stillwater Mining (B)* 8,300 128 Terra Industries (B)* 45,800 1,627 Universal Stainless & Alloy* 43,752 1,300 Western Goldfields* 430,000 1,376 -------------- 35,204 -------------- TELECOMMUNICATION SERVICES -- 2.3% Alaska Communications Systems Group 17,620 216 Cbeyond (B)* 92,617 1,740 Centennial Communications (B)* 333,200 1,969 Clearwire, Cl A (B)* 178,700 2,647 Cogent Communications Group (B)* 88,536 1,621 Fairpoint Communications (B) 242,000 2,183 iPCS 13,390 313 NTELOS Holdings 48,940 1,184 Premiere Global Services* 91,200 1,308 SBA Communications, Cl A (B)* 142,139 4,240 Shenandoah Telecom* 2,939 44 Syniverse Holdings* 59,210 986 Time Warner Telecom, Cl A* 42,835 663 -------------- 19,114 -------------- UTILITIES -- 1.0% AGL Resources 46 2 Atmos Energy 33 1 Cascal* 139,200 1,670 Cia de Saneamento de Minas Gerais-COPASA (Brazil)* 91,000 1,379 Cleco 168 4 ITC Holdings (B) 34,058 1,773 Ormat Technologies (B) 25,100 1,080 PNOC Energy Development (Philippines)* 12,377,500 1,748 Southern Union 9,553 222 -------------- 7,879 -------------- Total Common Stock (Cost $861,502) ($ Thousands) 793,424 -------------- EXCHANGE TRADED FUND -- 0.1% Midcap SPDR Trust, Ser 1 4,417 623 -------------- Total Exchange Traded Fund (Cost $608) ($ Thousands) 623 -------------- - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)/Shares ($ Thousands) - -------------------------------------------------------------------------------- Number of Warrants --------- WARRANTS* -- 0.0% Grubb & Ellis Realty, Expires 02/27/10 791,400 $ -- Oilsands Quest, Expires 12/05/09 17,500 16 Rentech, Expires 04/25/12 (D) (G) (I) 19,400 4 Titanium Asset Management, Expires 06/21/11 147,800 199 Victory Acquisition, Expires 04/24/11 156,541 88 -------------- Total Warrants (Cost $266) ($ Thousands) 307 -------------- CORPORATE OBLIGATION (C) (F) -- 0.7% FINANCIALS -- 0.7% SLM MTN, Ser S 2.827%, 04/14/08 $ 5,654 5,654 -------------- Total Corporate Obligation (Cost $5,654) ($ Thousands) 5,654 -------------- CONVERTIBLE BOND -- 0.2% Nova BioSource 10.000%, 09/30/12 1,926 1,741 -------------- Total Convertible Bond (Cost $1,926) ($ Thousands) 1,741 -------------- U.S. TREASURY OBLIGATION (A) (E) -- 0.2% U.S. Treasury Bill 2.167%, 05/22/08 1,405 1,403 -------------- Total U.S. Treasury Obligation (Cost $1,401) ($ Thousands) 1,403 -------------- CASH EQUIVALENTS** -- 39.8% Merrill Lynch EBP Master, 2.090% 10,002,183 10,002 SEI Daily Income Trust, Prime Obligation Fund, Cl A, 3.190%++ 12,300,266 12,300 SEI Liquidity Fund L.P.++, 3.200% (C) 303,014,586 303,015 -------------- Total Cash Equivalents (Cost $325,317) ($ Thousands) 325,317 -------------- Total Investments -- 138.1% (Cost $1,196,674) ($ Thousands) $ 1,128,469 ============== - -------------------------------------------------------------------------------- 66 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 A summary of the open futures contracts held by the Fund at March 31, 2008, is as follows (see Note 2 in Notes to Financial Statements): - -------------------------------------------------------------------------------- NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION APPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - -------------------------------------------------------------------------------- Russell 2000 Index E-MINI 66 Jun-2008 $ 176 ============= Percentages are based on Net Assets of $816,868 ($ Thousands). * Non-Income Producing Security. ** Rate shown is the 7-day effective yield as of March 31, 2008. + Real Estate Investment Trust. ++ Investment in Affiliated Security (see Note 3). (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. (B) This security or a partial position of this security is on loan at March 31, 2008 (see Note 7). The total value of securities on loan at March 31, 2008 was $294,976 ($ Thousands). (C) This security was purchased with cash collateral held from securities on loan (see Note 7). The total value of such securities as of March 31, 2008 was $308,669 ($ Thousands). (D) This security considered restricted. The total value of such securities as of March 31, 2008 was $4,832 ($ Thousands) and represented 0.59% of Net Assets. (E) The rate reported is the effective yield at time of purchase. (F) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2008. (G) Securities considered illiquid. The total value of such securities as of March 31, 2008 was $4,832 ($ Thousands) and represented 0.59% of Net Assets. (H) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (I) Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total value of such securities as of March 31, 2008 was $4,832 ($ Thousands) and represented 0.59% of Net Assets. ADR -- American Depositary Receipt BDR -- British Depositary Receipt Cl -- Class L.P. -- Limited Partnership MTN -- Medium Term Note PIPE -- Public Investment in Public Entity Ser -- Series SPDR -- Standard and Poor's Depository Receipt Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 67 SCHEDULE OF INVESTMENTS (Unaudited) Tax-Managed Small Cap Fund March 31, 2008 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS#: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] Short-Term Investments 27.1% Information Technology 13.9% Industrials 12.5% Financials 11.3% Consumer Discretionary 9.8% Health Care 9.2% Energy 5.0% Materials 4.4% Utilities 3.2% Consumer Staples 2.5% Telecommunication Services 0.9% U.S. Treasury Obligation 0.2% Rights 0.0% Warrants 0.0% # Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7). - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- COMMON STOCK -- 97.8% CONSUMER DISCRETIONARY -- 13.1% 99 Cents Only Stores (B)* 4,000 $ 40 Aaron Rents 2,300 50 Abercrombie & Fitch, Cl A 2,594 190 Advance Auto Parts 9,900 337 Aeropostale* 1,500 41 AH Belo, Cl A* 3,140 36 American Eagle Outfitters 4,150 73 American Greetings, Cl A (B) 19,200 356 Ameristar Casinos 1,700 31 AnnTaylor Stores* 3,000 73 Arbitron (B) 2,400 104 ArvinMeritor (B) 21,100 264 Autoliv (B) 17,900 899 AutoNation* 10,115 151 Bally Technologies* 3,600 124 Barnes & Noble 3,200 98 Beazer Homes USA (B) 6,200 59 Belo, Cl A (B) 13,900 147 Big Lots* 10,800 241 Black & Decker (B) 11,000 727 Blyth* 2,700 53 Bob Evans Farms 3,200 88 Bon-Ton Stores (B) 15,100 83 Borders Group (B) 16,200 95 BorgWarner (B) 7,800 336 Bright Horizons Family Solutions* 900 39 Brinker International 16,000 297 Brunswick 18,500 295 Cabela's (B)* 5,600 79 Callaway Golf 2,200 32 Carmax (B)* 4,400 85 Carter's* 12,800 207 Cato, Cl A (B) 28,250 422 CBRL Group (B) 7,600 272 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Central European Media Enterprises, Cl A* 1,300 $ 111 Champion Enterprises (B)* 4,000 40 Charming Shoppes (B)* 5,500 27 Cherokee (B) 900 30 Chico's FAS* 37,200 264 Childrens Place Retail Stores (B)* 10,500 258 Chipotle Mexican Grill, Cl A (B)* 7,400 839 Cinemark Holdings (B) 3,600 46 Circuit City Stores (B) 11,100 44 Coach* 3,400 103 Coinstar* 2,000 56 Columbia Sportswear 100 4 Conn's (B)* 12,400 202 Corinthian Colleges (B)* 41,390 299 CROCS (B)* 73,750 1,288 Dana (B) 89,500 1 Deckers Outdoor* 300 32 Denny's* 9,200 27 Dick's Sporting Goods (B)* 1,600 43 Dillard's, Cl A (B) 3,400 59 Discovery Holding, Cl A* 1,700 36 Dolan Media* 1,200 24 Dollar Tree* 4,700 130 Domino's Pizza 5,000 67 Dover Motorsports (B) 22,500 138 DreamWorks Animation SKG, Cl A* 8,125 209 Eastman Kodak 4,325 76 Ethan Allen Interiors (B) 1,400 40 Expedia* 1,600 35 Family Dollar Stores 13,700 267 Fossil* 1,300 40 GameStop, Cl A (B)* 12,151 628 Gander Mountain (B)* 18,200 111 Gaylord Entertainment* 1,700 51 Gemstar-TV Guide International* 8,500 40 Gentex 5,300 91 Getty Images* 5,947 190 Goodyear Tire & Rubber* 22,932 592 Guess? (B) 34,515 1,397 Gymboree (B)* 21,500 857 Handleman (B)* 13,300 3 Harman International Industries 802 35 Harte-Hanks 4,500 62 Hasbro 19,700 550 Hearst-Argyle Television 6,900 142 Heelys* 5,700 24 Hooker Furniture (B) 17,800 398 IAC/InterActive* 9,300 193 Iconix Brand Group (B)* 1,600 28 Ihop (B) 1,900 91 Interactive Data 900 26 iRobot* 1,900 32 - -------------------------------------------------------------------------------- 68 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- ITT Educational Services (B)* 2,359 $ 108 J Crew Group* 25,800 1,140 Jakks Pacific (B)* 16,800 463 Jarden* 28,464 619 Jones Apparel Group 21,722 292 Journal Communications, Cl A (B) 39,400 291 KB Home 3,400 84 Lamar Advertising, Cl A (B) 1,400 50 Lear* 15,700 407 Lee Enterprises (B) 7,600 76 Live Nation* 7,000 85 LKQ (B)* 77,450 1,740 Lululemon Athletica (B)* 27,400 779 Martha Stewart Living Omnimedia, Cl A (B)* 44,200 328 Matthews International, Cl A* 3,400 164 McClatchy, Cl A (B) 12,200 131 MDC Holdings 1,100 48 Men's Wearhouse 1,400 33 Mestek* 2,100 25 Modine Manufacturing (B) 17,900 259 Morgans Hotel Group (B)* 26,900 399 Morningstar* 3,800 233 National CineMedia (B) 4,000 90 NetFlix (B)* 17,445 604 NexCen Brands* 2,975 10 NVR* 700 418 O'Reilly Automotive* 1,600 46 OfficeMax 11,300 216 Orient-Express Hotels, Cl A (B) 11,900 514 Pacific Sunwear Of California (B)* 48,900 617 Panera Bread, Cl A (B)* 800 34 Papa John's International* 1,400 34 Penn National Gaming* 8,300 363 Penske Auto Group 600 12 Phillips-Van Heusen 21,700 823 Pier 1 Imports (B)* 37,100 233 Pinnacle Entertainment* 45,661 584 Polaris Industries (B) 7,800 320 Polo Ralph Lauren 4,400 256 Pool (B) 7,600 144 Pre-Paid Legal Services (B)* 800 34 priceline.com (B)* 12,765 1,543 Quiksilver (B)* 236,300 2,318 RadioShack (B) 19,000 309 Raser Technologies (B)* 6,400 55 RC2* 725 15 Regal Entertainment Group, Cl A (B) 1,300 25 Regis 4,100 113 Rent-A-Center* 5,986 110 RH Donnelley (B)* 8,000 40 Ross Stores 900 27 Ruby Tuesday 34,800 261 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Ryland Group 8,600 $ 283 Saks (B)* 31,593 394 Salem Communications, Cl A 6,229 25 Sally Beauty Holdings* 4,725 33 Sauer-Danfoss 4,011 89 Scholastic (B)* 17,700 536 Scientific Games, Cl A (B)* 39,654 837 Sealy (B) 14,900 113 Service International 3,400 34 Sinclair Broadcast Group, Cl A 5,700 51 Skechers U.S.A., Cl A* 2,500 51 Snap-On (B) 6,715 341 Sonic (B)* 25,100 553 Sonic Automotive, Cl A 12,800 263 Sotheby's (B) 11,150 322 Stamps.com* 1,600 16 Strayer Education 1,800 274 Syntax-Brillian* 22,700 22 Talbots (B) 44,188 476 Tempur-Pedic International (B) 2,300 25 Thor Industries (B) 600 18 Tiffany 9,300 389 TravelCenters of America LLC* 780 5 Triarc, Cl B 15,200 105 Tupperware Brands (B)* 13,405 518 Ulta Salon Cosmetics & Fragrance* 2,500 35 Under Armour, Cl A (B)* 6,655 244 Universal Electronics (B)* 11,230 272 Urban Outfitters (B)* 59,200 1,856 Vail Resorts (B)* 1,400 68 Visteon* 6,575 25 Warnaco Group* 1,510 60 Warner Music Group (B) 46,200 230 Wendy's International 3,700 85 Whirlpool 8,500 738 Williams-Sonoma (B) 16,300 395 Winnebago Industries (B) 1,600 27 WMS Industries* 12,250 441 Wynn Resorts (B)* 7,400 745 XM Satellite Radio Holdings, Cl A* 3,900 45 Zale (B)* 2,900 57 Zumiez* 1,800 28 ------------- 45,846 ------------- CONSUMER STAPLES -- 3.4% American Italian Pasta, Cl A (B) 6,300 34 American Oriental Bioengineering* 15,500 126 Andersons 729 32 Avon Products 5,352 212 Bare Escentuals (B)* 8,300 194 BJ's Wholesale Club (B)* 24,300 867 Boston Beer, Cl A (B)* 800 38 Bunge 798 69 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 69 SCHEDULE OF INVESTMENTS (Unaudited) Tax-Managed Small Cap Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Casey's General Stores 900 $ 20 Central Garden and Pet, Cl A* 24,041 107 Chattem (B)* 13,120 870 Church & Dwight 4,600 249 Corn Products International 3,764 140 Diamond Foods 1,900 34 Elizabeth Arden* 13,462 269 Energizer Holdings* 1,000 90 Flowers Foods 1,650 41 Fresh Del Monte Produce 6,634 241 Hain Celestial Group (B)* 22,800 673 Hansen Natural* 2,225 79 Lancaster Colony 1,400 56 Lance 1,400 27 Longs Drug Stores (B) 8,600 365 McCormick 23,800 880 Molson Coors Brewing, Cl B 33,986 1,787 Nash Finch 11,300 384 NBTY* 1,200 36 Nu Skin Enterprises, Cl A 16,710 301 Pepsi Bottling Group 14,200 482 PepsiAmericas 9,200 235 Performance Food Group* 1,000 33 Pilgrim's Pride 8,000 162 Prestige Brands Holdings* 5,100 42 Pricesmart 1,600 44 Ralcorp Holdings* 1,100 64 Ruddick 19,067 703 Seaboard 89 139 SUPERVALU 20,900 627 Tootsie Roll Industries (B) 3,000 76 TreeHouse Foods* 3,700 85 Tyson Foods, Cl A 2,400 38 Universal (B) 6,930 454 Village Super Market, Cl A (B) 3,400 175 WD-40 900 30 Whole Foods Market (B) 8,400 277 ------------- 11,887 ------------- ENERGY -- 6.7% Arena Resources* 750 29 Alon USA Energy 1,985 30 Alpha Natural Resources* 7,730 336 Arch Coal 2,046 89 ATP Oil & Gas (B)* 5,275 173 Atwood Oceanics (B)* 4,000 367 Basic Energy Services (B)* 3,100 68 Berry Petroleum, Cl A 3,400 158 Bill Barrett (B)* 1,000 47 BPZ Resources* 3,350 73 Bristow Group (B)* 1,800 97 Cameron International (B)* 27,250 1,135 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- CARBO Ceramics 800 $ 32 Cheniere Energy (B)* 1,100 22 Cimarex Energy 7,885 432 Compagnie Generale de Geophysique-Veritas ADR* 16,400 812 Consol Energy 1,600 111 Continental Resources 8,300 265 Core Laboratories (B)* 2,515 300 Crosstex Energy 1,785 61 Delek US Holdings (B) 1,800 23 Denbury Resources* 8,900 254 Dresser-Rand Group* 18,840 579 Dril-Quip* 8,690 404 Encore Acquisition* 1,400 56 ENSCO International 1,800 113 EOG Resources 800 96 Exterran Holdings (B)* 6,254 404 FMC Technologies (B)* 26,875 1,529 Forest Oil* 2,359 116 Foundation Coal Holdings 10,125 510 General Maritime (B) 1,400 33 Global Industries* 24,400 393 GMX Resources* 975 34 Golar (B) 2,900 53 Goodrich Petroleum (B)* 3,000 90 Grant Prideco* 5,000 246 Grey Wolf* 12,000 81 Gulf Island Fabrication (B) 1,200 34 Gulfmark Offshore* 1,000 55 Harvest Natural Resources (B)* 2,600 31 Helix Energy Solutions Group* 31,300 986 Helmerich & Payne 4,500 211 Hercules Offshore* 9,400 236 Hess 3,600 317 Hugoton Royalty Trust* 3,650 101 ION Geophysical* 43,200 596 Kinder Morgan Management LLC* 2,060 105 Lufkin Industries 1,100 70 Mariner Energy* 3,274 88 Massey Energy 2,969 108 McMoRan Exploration (B)* 3,710 64 NATCO Group, Cl A (B)* 6,835 320 National Oilwell Varco (B)* 4,200 245 Newfield Exploration* 2,600 137 Occidental Petroleum 2,856 209 Oceaneering International* 10,250 646 Oil States International* 1,300 58 Overseas Shipholding Group 3,500 245 Patriot Coal* 240 11 Patterson-UTI Energy (B) 40,400 1,058 Peabody Energy 2,400 122 PetroHawk Energy (B)* 30,400 613 Petroleum Development* 2,850 197 - -------------------------------------------------------------------------------- 70 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Plains Exploration & Production* 3,525 $ 187 Pride International* 10,700 374 Quicksilver Resources* 1,300 47 Range Resources 3,700 235 Rosetta Resources* 4,100 81 Rowan 13,700 564 RPC 3,375 51 Southwestern Energy* 2,000 67 Stone Energy* 2,400 126 Sunoco 11,600 609 Superior Energy Services* 13,200 523 Swift Energy* 18,400 828 Tesoro 35,179 1,055 Tetra Technologies* 29,150 462 Tidewater 1,720 95 Transmontaigne Partners L.P. 600 17 Ultra Petroleum* 900 70 Unit* 8,175 463 US BioEnergy* 29,000 171 VeraSun Energy (B)* 8,100 60 W&T Offshore 2,150 73 W-H Energy Services* 900 62 Whiting Petroleum* 1,000 65 Willbros Group (B)* 16,700 511 Williams 2,885 95 ------------- 23,405 ------------- FINANCIALS -- 15.2% Abington Bancorp 3,900 40 Acadia Realty Trust+ 2,000 48 Advance America Cash Advance Centers 41,100 310 Affiliated Managers Group* 26,470 2,402 Agree Realty+ 1,700 47 Alesco Financial 9,875 28 Alexander's+* 100 35 Alexandria Real Estate Equities+ 4,300 399 Alfa 1,200 26 AllianceBernstein Holding L.P. 457 29 AMB Property+ (B) 3,900 212 American Financial Group (B) 33,300 851 American Financial Realty Trust+ 20,200 160 American National Insurance 500 53 AmeriCredit (B)* 34,700 349 Annaly Capital Management+ 43,705 670 AON 10,600 426 Apartment Investment & Management, Cl A++ 313 11 Apollo Investment (B) 5,600 89 Ares Capital 8,500 107 Ashford Hospitality Trust+ (B) 41,700 237 Aspen Insurance Holdings 21,400 565 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Assured Guaranty 1,400 $ 33 Asta Funding 900 13 Astoria Financial (B) 15,700 426 AvalonBay Communities+ 2,900 280 Axis Capital Holdings 900 31 BancFirst 700 32 Banco Latinoamericano de Exportaciones* 31,500 485 Bancorpsouth 3,200 74 Bank Mutual 1,700 18 Bank of Hawaii 6,300 312 Bear Stearns 1,000 11 Beneficial Mutual Bancorp* 9,000 89 BioMed Realty Trust+ 800 19 BlackRock 1,396 285 BlackRock Kelso Capital (B) 3,200 38 Blackstone Group L.P. (B)* 54,700 869 Brandywine Realty Trust+ 7,000 119 BRE Properties, Cl A+ 400 18 Capital Lease Funding+ (B) 2,500 19 Capitol Federal Financial (B) 300 11 Cash America International 1,000 36 Cathay General Bancorp (B) 1,400 29 CBL & Associates Properties+ 5,000 118 Chimera Investment* 2,500 31 CIT Group 16,700 198 Citizens Republic Bancorp (B) 11,800 147 City Bank 1,632 36 City National 500 25 Clayton Holdings* 19,400 90 Clifton Savings Bancorp 9,700 98 CME Group 704 330 Cohen & Steers (B) 3,100 82 Colonial BancGroup (B) 45,500 438 Colonial Properties Trust+ 6,300 152 Comerica 28,700 1,007 Commerce Bancshares (B) 2,082 88 Community Bank System (B) 33,200 815 Corporate Office Properties Trust+ 700 24 Cousins Properties+ (B) 2,600 64 Cullen/Frost Bankers (B) 14,100 748 DCT Industrial Trust+* 7,800 78 Deerfield Capital 1,612 2 Delphi Financial Group, Cl A 600 18 DiamondRock Hospitality+ 1,600 20 Digital Realty Trust+ (B) 2,700 96 Discover Financial Services 6,700 110 East West Bancorp (B) 20,000 355 Eaton Vance 18,679 570 EMC Insurance Group 3,420 92 Employers Holdings 6,900 128 Endurance Specialty Holdings 4,798 176 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 71 SCHEDULE OF INVESTMENTS (Unaudited) Tax-Managed Small Cap Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Enstar Group (B)* 600 $ 67 Entertainment Properties Trust+ 800 39 Equity Lifestyle Properties+ 2,800 138 Essex Property Trust+ 2,600 296 Everest Re Group 9,500 851 Extra Space Storage+ (B) 10,200 165 FCStone Group* 2,000 55 Federal Agricultural Mortgage, Cl C 300 8 Federal Realty Investment Trust+ 300 23 Federated Investors, Cl B 2,300 90 FelCor Lodging Trust+ 6,100 73 Financial Federal 15,500 338 Financial Institutions 2,200 42 First American (B) 25,300 859 First Bancorp Puerto Rico 4,200 43 First Busey (B) 2,300 49 First Commonwealth Financial (B) 13,200 153 First Financial Bankshares 1,500 61 First Industrial Realty Trust+ (B) 1,000 31 First Marblehead 2,825 21 First Mercury Financial* 12,282 214 First Midwest Bancorp (B) 11,500 319 First Niagara Financial Group 61,300 833 FirstMerit 3,300 68 Flagstone Reinsurance Holdings 8,500 103 FNB (Pennsylvania) (B) 11,000 172 Forestar Real Estate Group* 3,300 82 Frontier Financial (B) 6,200 110 General Growth Properties+ 7,400 282 Getty Realty+ (B) 4,400 70 GFI Group* 2,200 126 Glimcher Realty Trust+ 9,400 112 Greenhill (B) 8,100 563 Hancock Holding 900 38 Hanover Insurance Group (B) 18,400 757 Harleysville Group 3,500 126 HCC Insurance Holdings 10,000 227 HCP+ 1,100 37 Healthcare Realty Trust+ (B) 3,100 81 Hersha Hospitality Trust+ 57,600 520 Highwoods Properties+ 600 19 Hilb Rogal & Hobbs 2,300 72 Hilltop Holdings+* 6,400 67 Home Bancshares (B) 10,700 223 Horace Mann Educators 3,500 61 Hospitality Properties Trust+ (B) 23,100 786 Host Hotels & Resorts+ (B) 22,200 353 HRPT Properties Trust+ (B) 68,500 461 Hudson City Bancorp 5,600 99 Huntington Bancshares (B) 34,000 366 IndyMac Bancorp (B) 10,000 50 Inland Real Estate+ 10,700 163 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Interactive Brokers Group* 11,745 $ 302 IntercontinentalExchange* 3,735 487 Investment Technology Group* 1,300 60 Investors Real Estate Trust+ (B) 3,100 30 IPC Holdings (B) 11,400 319 Janus Capital Group 1,800 42 Jefferies Group (B) 40,583 655 Jones Lang LaSalle 2,900 224 KBW (B)* 13,400 295 Kilroy Realty+ 2,875 141 KKR Financial Holdings L.P. 17,300 219 Knight Capital Group, Cl A* 2,300 37 LandAmerica Financial Group (B) 6,200 245 LaSalle Hotel Properties+ 700 20 Lazard LP, Cl A 8,775 335 Legg Mason 508 28 Leucadia National 2,075 94 Lexington Realty Trust+ (B) 2,000 29 Macerich+ 1,800 126 Markel* 500 220 Marsh & McLennan 17,368 423 Max Capital Group 23,300 610 MCG Capital 29,500 268 Meruelo Maddux Properties* 123,000 312 MF Global* 1,700 17 MFA Mortgage Investments+ 4,000 25 MGIC Investment (B) 6,340 67 Midland 1,000 65 Mid-America Apartment Communities+ (B) 1,300 65 Montpelier Re Holdings 2,400 39 MVC Capital (B) 31,900 486 NASDAQ Stock Market* 14,330 554 National Financial Partners 5,857 132 National Health Investors+ 11,100 347 National Penn Bancshares (B) 5,400 98 National Retail Properties+ (B) 15,600 344 Nationwide Financial Services, Cl A 19,500 922 Nationwide Health Properties+ (B) 400 14 Navigators Group (B)* 10,718 583 NBT Bancorp 3,100 69 New York Community Bancorp (B) 10,823 197 NewAlliance Bancshares 9,600 118 Newcastle Investment+ (B) 3,800 31 Northwest Bancorp (B) 1,100 30 NYSE Euronext 1,375 85 Och-Ziff Capital Management Group LLC, Cl A* 30,500 641 Old National Bancorp (B) 24,900 448 Old Republic International 27,375 353 Omega Healthcare Investors+ 7,100 123 One Liberty Properties+ (B)* 1,500 24 - -------------------------------------------------------------------------------- 72 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- OneBeacon Insurance Group 1,400 $ 27 optionsXpress Holdings (B) 3,800 79 Pacific Capital Bancorp 1,600 34 Park National (B) 2,200 156 Parkway Properties+ 900 33 PartnerRe 700 53 PennantPark Investment (B) 27,991 238 Pennsylvania Real Estate Investment Trust+ (B) 4,900 120 People's United Financial (B) 55,890 967 Piper Jaffray* 17,600 598 Platinum Underwriters Holdings 5,600 182 PMI Group 18,200 106 Popular (B) 23,100 269 Post Properties+ 600 23 Potlatch 900 37 ProAssurance (B)* 3,700 199 Prosperity Bancshares (B) 9,900 284 Provident Bankshares (B) 15,800 170 PS Business Parks+ 1,800 93 Public Storage+ 4,159 369 Radian Group (B) 35,000 230 RAIT Financial Trust+ (B) 42,000 291 Rayonier+ (B) 9,350 406 Realty Income+ (B) 7,400 190 Redwood Trust+ (B) 7,789 283 Reinsurance Group of America (B) 5,410 295 S&T Bancorp 900 29 Safeco 15,000 658 Saul Centers+ 1,300 65 South Financial Group 6,100 91 Sovran Self Storage+ (B) 1,600 68 St. Joe 15,651 672 Stancorp Financial Group 8,800 420 State Auto Financial 1,400 41 State Street 3,895 308 Sterling Bancshares 30,700 305 Sterling Financial, Washington Shares 6,700 105 Strategic Hotels & Resorts+ 2,200 29 Sunstone Hotel Investors+ (B) 25,800 413 Susquehanna Bancshares 4,570 93 SVB Financial Group* 1,300 57 SWS Group 3,400 42 T. Rowe Price Group 1,316 66 Tanger Factory Outlet Centers+ (B) 900 35 TCF Financial (B) 35,300 633 TD Ameritrade Holding* 8,629 142 Tejon Ranch* 2,600 97 Toronto-Dominion Bank (Canada) (B) 1,783 109 Transatlantic Holdings 718 48 Triad Guaranty (B)* 19,200 96 U-Store-It Trust+ 3,500 40 UCBH Holdings 3,600 28 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Umpqua Holdings (B) 7,500 $ 116 UnionBanCal 14,300 702 United Fire & Casualty 2,000 75 Unitrin 10,800 382 Universal Health Realty Income Trust+ 300 10 Unum Group 39,200 863 Validus Holdings* 1,300 30 Ventas+ 1,400 63 Waddell & Reed Financial, Cl A 5,900 190 Washington Federal 1,800 41 Washington Real Estate Investment Trust+ (B) 1,600 53 Westfield Financial (B) 2,625 26 Whitney Holding 27,600 684 Wintrust Financial 3,200 112 WR Berkley 6,700 186 Zions Bancorporation 9,800 446 -------------- 53,238 -------------- HEALTH CARE -- 12.4% Abaxis* 2,200 51 Abraxis Bioscience* 10,025 592 Acadia Pharmaceuticals (B)* 65,400 593 Accelrys* 46,500 252 Accuray (B)* 9,400 73 Adolor* 10,300 47 Advanced Medical Optics (B)* 29,900 607 Affymetrix* 57,200 996 Air Methods* 708 34 Albany Molecular Research* 3,100 38 Alexion Pharmaceuticals (B)* 1,400 83 Alexza Pharmaceuticals* 1,200 8 Align Technology (B)* 8,365 93 Alpharma, Cl A* 1,008 26 Amedisys (B)* 11,035 434 American Medical Systems Holdings (B)* 3,400 48 AMERIGROUP* 1,920 53 Amsurg* 4,200 99 Amylin Pharmaceuticals (B)* 2,400 70 Analogic* 1,474 98 APP Pharmaceuticals (B)* 54,900 663 Applera -- Applied Biosystems Group 13,885 456 Applera -- Celera Group (B)* 31,100 457 Apria Healthcare Group (B)* 21,700 429 Arena Pharmaceuticals* 3,900 27 Arthrocare (B)* 11,100 370 Barr Pharmaceuticals (B)* 17,400 841 Beckman Coulter 500 32 Bio-Rad Laboratories, Cl A* 900 80 BioMarin Pharmaceuticals (B)* 24,960 883 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 73 SCHEDULE OF INVESTMENTS (Unaudited) Tax-Managed Small Cap Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Bruker BioSciences* 4,400 $ 68 Cambrex (B) 50,700 351 Celgene* 1,422 87 Cell Genesys (B)* 77,400 182 Centene* 800 11 Cephalon (B)* 24,821 1,599 Cerner (B)* 400 15 Charles River Laboratories International* 3,450 203 Chemed 11,264 475 Community Health Systems (B)* 28,500 957 Computer Programs & Systems 820 17 Conmed* 2,100 54 Cooper (B) 24,635 848 Corvel* 693 21 Cougar Biotechnology PIPE (F) (G)* 11,400 239 Covance* 4,975 413 Cubist Pharmaceuticals (B)* 71,400 1,315 CV Therapeutics (B)* 65,100 464 Cyberonics* 1,300 19 Datascope 11,200 464 DaVita* 20,100 960 Dentsply International 20,100 776 Dionex* 500 39 Discovery Laboratories* 26,400 62 Eclipsys* 3,896 76 Edwards Lifesciences (B)* 4,000 178 Endo Pharmaceuticals Holdings* 4,700 113 Enzon Pharmaceuticals (B)* 2,600 24 eResearchTechnology* 10,948 136 ev3* 3,187 26 Exelixis* 14,300 99 Express Scripts* 11,050 711 Forest Laboratories* 5,175 207 Gen-Probe* 700 34 Genzyme* 4,802 358 Geron (B)* 21,200 103 GTx (B)* 2,200 35 Haemonetics* 700 42 Health Management Associates, Cl A 17,800 94 Health Net* 15,625 481 Healthsouth (B)* 3,300 59 Healthways (B)* 3,500 124 Henry Schein* 300 17 Hi-Tech Pharmacal (B)* 3,000 27 Hillenbrand Industries 2,300 110 HLTH (B)* 10,870 104 Hologic (B)* 19,107 1,062 Human Genome Sciences* 14,800 87 Humana* 300 14 Idexx Laboratories (B)* 8,550 421 Illumina* 3,700 281 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Immucor (B)* 1,950 $ 42 Immunomedics* 4,400 12 IMS Health 11,200 235 Integra LifeSciences Holdings (B)* 600 26 Intuitive Surgical (B)* 1,450 470 Invacare (B) 3,100 69 inVentiv Health* 1,000 29 Inverness Medical Innovations (B)* 2,917 88 Invitrogen (B)* 17,345 1,483 Isis Pharmaceuticals (B)* 3,900 55 Javelin Pharmaceuticals* 5,500 15 Kendle International (B)* 9,825 441 Keryx Biopharmaceuticals* 4,100 3 Kindred Healthcare* 14,927 326 King Pharmaceuticals* 20,000 174 KV Pharmaceutical, Cl A (B)* 3,300 82 Landauer 700 35 LCA-Vision (B) 18,400 230 Lifecell (B)* 10,800 454 LifePoint Hospitals* 1,200 33 Ligand Pharmaceuticals, Cl B* 5,500 22 Lincare Holdings* 9,200 259 Magellan Health Services* 12,352 490 MannKind* 2,700 16 Martek Biosciences (B)* 14,800 452 Medarex (B)* 231,200 2,046 MedAssets* 12,400 184 Medicines (B)* 5,800 117 Medicis Pharmaceutical, Cl A 8,900 175 Merit Medical Systems* 2,500 40 Metabolix (B)* 27,800 304 Millennium Pharmaceuticals (B)* 26,700 413 Millipore* 400 27 Myriad Genetics* 29,510 1,189 National Healthcare 1,200 58 Neurocrine Biosciences (B)* 24,600 133 NuVasive* 1,600 55 Omnicare 4,000 73 Omnicell* 1,731 35 Onyx Pharmaceuticals* 2,700 78 Orthofix International* 735 29 OSI Pharmaceuticals (B)* 5,218 195 Owens & Minor 3,485 137 Par Pharmaceutical* 3,770 66 Parexel International (B)* 10,900 285 Patterson* 10,600 385 Pediatrix Medical Group (B)* 7,740 522 Penwest Pharmaceuticals* 4,200 11 PerkinElmer 6,400 155 Perrigo 11,980 452 Pharmaceutical Product Development (B) 7,600 318 - -------------------------------------------------------------------------------- 74 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Pharmacopeia (B)* 29,750 $ 110 PharMerica (B)* 17,700 293 Phase Forward* 3,300 56 PSS World Medical* 1,400 23 Psychiatric Solutions (B)* 16,705 567 Qiagen (B)* 15,394 320 Regeneron Pharmaceuticals (B)* 28,700 551 Resmed* 5,565 235 Savient Pharmaceuticals (B)* 26,010 520 Sciele Pharma (B)* 1,800 35 Seattle Genetics* 3,800 35 Sepracor* 600 12 Sirona Dental Systems* 4,825 130 STERIS 2,400 64 SurModics (B)* 1,100 46 Symmetry Medical* 14,000 232 Thermo Fisher Scientific* 3,600 205 Thoratec (B)* 2,000 29 Trizetto Group* 4,100 68 United Therapeutics (B)* 15,900 1,379 Universal American* 3,400 36 Universal Health Services, Cl B 1,514 81 Valeant Pharmaceuticals International* 6,000 77 Varian* 700 41 Varian Medical Systems (B)* 1,000 47 VCA Antech* 800 22 Vertex Pharmaceuticals (B)* 19,600 468 Vital Signs 1,400 71 Vnus Medical Technologies (B)* 4,400 80 Volcano* 2,600 33 Waters* 1,725 96 Watson Pharmaceuticals* 27,800 815 WellCare Health Plans* 475 19 Wright Medical Group* 2,900 70 Zoll Medical* 1,800 48 ------------- 43,132 ------------- INDUSTRIALS -- 16.8% AAON 1,500 30 ABX Holdings* 5,469 16 ACCO Brands* 2,900 39 Actuant, Cl A (B) 7,752 234 Advisory Board* 2,400 132 AGCO* 20,007 1,198 Alaska Air Group (B)* 13,800 271 Albany International, Cl A 11,284 408 Alexander & Baldwin 2,339 101 Alliant Techsystems* 688 71 Allied Waste Industries* 2,300 25 Amerco* 441 25 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- American Commercial Lines* 3,062 $ 48 American Ecology 32,700 828 American Reprographics* 2,700 40 American Superconductor (B)* 2,800 65 American Woodmark (B) 13,400 276 Ametek 750 33 Ampco-Pittsburgh 8,000 344 Angelica 1,400 25 AO Smith (B) 10,300 339 Applied Industrial Technologies 1,050 31 Arkansas Best 7,200 229 Atlas Air Worldwide Holdings* 800 44 Avis Budget Group (B)* 14,900 158 Baldor Electric 1,300 36 Barnes Group (B) 11,695 268 Basin Water (B)* 4,800 28 BE Aerospace (B)* 24,430 854 Blount International* 2,375 29 BlueLinx Holdings (B) 9,000 46 Bowne 23,500 358 Brady, Cl A 1,600 54 Briggs & Stratton 20,300 363 Brink's 29,000 1,948 Bucyrus International, Cl A 4,700 478 Ceradyne* 14,900 476 Chicago Bridge & Iron (B) 10,585 415 ChoicePoint* 1,460 70 Clarcor 1,600 57 CNH Global (B) 3,060 159 Columbus McKinnon* 2,949 91 Compx International 1,900 17 Continental Airlines, Cl B* 12,000 231 Copa Holdings, Cl A (B)* 1,900 72 Copart* 23,100 895 Corporate Executive Board 1,000 40 Corrections of America (B)* 25,675 707 CoStar Group (B)* 1,500 65 Crane (B) 15,400 621 Cummins 19,600 918 Curtiss-Wright 1,200 50 Danaos (B) 10,000 246 Deluxe (B) 23,200 446 Donaldson 600 24 DRS Technologies 4,100 239 Dun & Bradstreet 9,549 777 Dynamic Materials (B) 20,800 899 Eagle Bulk Shipping 5,900 152 EMCOR Group (B)* 18,614 413 Energy Conversion Devices (B)* 1,400 42 EnergySolutions* 11,600 266 EnerSys* 1,800 43 Ennis Business Forms 1,200 20 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 75 SCHEDULE OF INVESTMENTS (Unaudited) Tax-Managed Small Cap Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Equifax 8,533 $ 294 ESCO Technologies (B)* 13,710 545 Evergreen Solar (B)* 35,400 328 Expeditors International Washington 14,400 651 Fastenal (B) 1,200 55 First Solar (B)* 3,853 891 Flow International* 95,000 883 Flowserve 7,900 825 Fluor 727 103 Forward Air (B) 1,500 53 Foster Wheeler* 2,800 159 Franklin Electric (B) 800 27 FreightCar America 1,711 59 FTI Consulting* 1,000 71 Fuel Tech (B)* 33,900 695 G&K Services, Cl A 1,600 57 GATX (B) 3,600 141 GenCorp (B)* 15,425 159 General Cable (B)* 17,689 1,045 Geo Group* 3,788 108 Goodrich 10,257 590 Gorman-Rupp 1,250 41 Graco 500 18 GrafTech International* 4,600 75 H&E Equipment Services* 2,775 35 Hardinge 300 4 Harsco 3,600 199 Heartland Express (B) 1,800 26 Heidrick & Struggles International* 4,579 149 Herman Miller 8,300 204 Hexcel* 1,800 34 HNI (B) 1,600 43 Honeywell International 1,939 109 HUB Group, Cl A* 10,330 340 Hubbell, Cl B (B) 11,200 489 Huron Consulting Group* 400 17 II-VI* 1,200 46 Ingersoll-Rand, Cl A 3,700 165 Jacobs Engineering Group* 10,849 798 JB Hunt Transport Services 40,900 1,286 JetBlue Airways (B)* 10,600 61 Joy Global 6,200 404 Kaman 2,307 65 Kansas City Southern* 29,455 1,181 Kaydon (B) 9,400 413 KBR* 14,600 405 Kelly Services, Cl A (B) 16,300 335 Kenexa (B)* 1,900 35 Kirby* 2,704 154 Korn/Ferry International* 2,200 37 Ladish* 2,317 83 Landstar System 4,800 250 Lennox International (B) 22,700 817 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Lincoln Electric Holdings 2,305 $ 149 Manitowoc (B) 46,850 1,911 Manpower 5,600 315 Middleby (B)* 12,800 799 Milacron (B)* 6,736 17 Mine Safety Appliances (B) 1,600 66 Monster Worldwide* 1,700 41 Moog, Cl A (B)* 2,300 97 MSC Industrial Direct, Cl A 1,200 51 Mueller Industries (B) 24,300 701 Mueller Water Products, Cl B 3,205 25 Navistar International* 3,700 223 Nordson 1,000 54 Old Dominion Freight Line (B)* 21,950 699 Orbital Sciences* 30,500 735 Oshkosh Truck 7,600 276 Pall (B) 35,465 1,244 PAM Transportation Services (B)* 1,500 23 Quanta Services (B)* 59,331 1,375 RBC Bearings (B)* 13,635 506 Republic Airways Holdings (B)* 23,660 512 Robert Half International 1,600 41 Rockwell Automation 250 14 Rollins 2,400 42 Roper Industries 10,800 642 RR Donnelley & Sons 1,500 45 Ryder System 39,600 2,412 School Specialty (B)* 2,600 82 Shaw Group* 6,271 296 Simpson Manufacturing (B) 1,300 35 Skywest 1,500 32 Spirit Aerosystems Holdings, Cl A* 15,400 342 SPX 700 73 Standard Register 4,364 34 Steelcase, Cl A (B) 45,400 502 Stericycle* 1,000 52 Sunpower, Cl A (B)* 11,900 887 Suntech Power Holdings ADR* 6,400 260 TAL International Group 2,200 52 Taser International (B)* 4,000 38 Tecumseh Products, Cl A (B)* 27,100 831 Teledyne Technologies (B)* 23,150 1,088 TeleTech Holdings* 2,300 52 Tetra Tech* 1,300 25 Thomas & Betts* 1,600 58 Timken 16,460 489 Toro 1,400 58 TransDigm Group* 900 33 Twin Disc 1,205 19 UAP Holding 4,540 174 United Rentals* 18,300 345 United Stationers* 18,512 883 United Technologies 2,685 185 - -------------------------------------------------------------------------------- 76 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Universal Forest Products (B) 12,700 $ 409 URS* 6,839 224 USG (B)* 800 29 UTI Worldwide 4,700 94 Wabtec 10,437 393 Walter Industries (B) 6,480 406 Waste Connections (B)* 28,979 891 Waste Industries USA 1,800 65 Watsco (B) 1,300 54 Watson Wyatt Worldwide, Cl A 8,455 480 Watts Water Technologies, Cl A (B) 2,300 64 Woodward Governor (B) 29,000 775 WW Grainger 7,300 558 YRC Worldwide (B)* 17,300 227 ------------- 58,589 ------------- INFORMATION TECHNOLOGY -- 18.8% 3PAR* 6,600 45 ACI Worldwide (B)* 2,700 54 Acme Packet* 7,000 56 Activision (B)* 38,550 1,053 Acxiom 6,200 74 ADC Telecommunications* 2,900 35 Adobe Systems* 966 34 Advanced Analogic Technologies* 14,475 81 Advanced Energy Industries* 2,300 31 Akamai Technologies* 9,906 279 Alliance Semiconductor 29,600 33 Amdocs* 34,400 976 Amkor Technology (B)* 29,900 320 Ansys* 4,200 145 Applied Micro Circuits (B)* 20,525 147 Ariba* 8,700 84 ARM Holdings ADR* 82,400 434 Arris Group (B)* 73,500 428 Arrow Electronics* 1,000 34 Art Technology Group* 187,800 729 Aspen Technology* 3,200 41 Atheros Communications* 43,335 903 Atmel* 11,100 39 ATMI* 12,300 342 Autodesk* 1,000 32 Avanex (B)* 121,800 86 Avid Technology (B)* 2,100 51 Avnet (B)* 26,055 853 Avocent* 28,200 477 AVX 4,600 59 Axcelis Technologies* 5,300 30 BEA Systems* 3,400 65 BearingPoint (B)* 68,400 115 Benchmark Electronics* 4,600 83 Black Box 6,200 191 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Blackbaud 1,500 $ 36 Blackboard (B)* 3,525 118 BMC Software (B)* 19,410 631 Brightpoint* 2,705 23 Broadridge Financial Solutions (B) 23,600 415 Brocade Communications Systems* 104,700 764 Cabot Microelectronics (B)* 3,100 100 Cavium Networks* 36,400 597 Checkpoint Systems* 5,977 161 China Digital TV Holding ADR* 23,800 444 Cirrus Logic* 7,787 52 Citrix Systems* 22,621 663 CMGI* 2,600 34 CNET Networks* 6,000 43 Cognex 18,300 400 Cognizant Technology Solutions, Cl A* 7,400 213 CommScope (B)* 12,175 424 Commvault Systems* 18,100 224 Comtech Telecommunications* 1,000 39 Comverse Technology* 39,300 605 Concur Technologies (B)* 25,700 798 Convergys* 17,000 256 Cree* 1,549 43 CSG Systems International* 1,534 17 CTS 16,750 179 Cymer (B)* 20,101 523 Cypress Semiconductor* 4,800 113 Data Domain* 47,100 1,121 Diebold 6,675 251 Digital River* 1,800 56 Dolby Laboratories, Cl A* 1,500 54 DST Systems (B)* 2,800 184 Earthlink (B)* 35,000 264 Echelon (B)* 2,600 35 Electro Scientific Industries* 1,000 17 Electronic Arts* 10,725 535 Electronics for Imaging* 7,390 110 Emulex* 1,900 31 Entegris* 9,900 71 Equinix (B)* 500 33 F5 Networks (B)* 36,900 670 Factset Research Systems (B) 13,570 731 Fair Isaac 4,400 95 Fairchild Semiconductor International* 3,100 37 FEI* 2,700 59 Fidelity National Information Services 900 34 Flextronics International* 102,090 959 Flir Systems* 7,460 224 Formfactor* 3,700 71 Forrester Research* 900 24 Foundry Networks (B)* 28,500 330 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 77 SCHEDULE OF INVESTMENTS (Unaudited) Tax-Managed Small Cap Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Gartner* 2,600 $ 50 Gevity HR 48,900 423 Giant Interactive Group ADR (B)* 8,300 105 Global Payments 4,100 170 Greenfield Online (B)* 4,400 52 Harris 800 39 Heartland Payment Systems 5,135 118 Hewitt Associates, Cl A* 10,834 431 Ikanos Communications (B)* 37,000 169 Imation 6,600 150 Immersion* 32,300 230 Informatica (B)* 41,900 715 Ingram Micro, Cl A* 1,200 19 Integrated Device Technology* 42,900 383 InterDigital* 1,700 34 Intermec* 3,601 80 International Rectifier* 3,707 80 Intersil, Cl A 27,100 696 Intuit* 9,400 254 IPG Photonics* 7,900 124 Iron Mountain* 1,200 32 Isilon Systems (B)* 10,100 49 Itron (B)* 5,115 462 Jack Henry & Associates 2,200 54 JDS Uniphase* 26,900 360 Juniper Networks* 13,754 344 Keynote Systems (B)* 31,700 374 Kulicke & Soffa Industries (B)* 47,600 228 L-1 Identity Solutions (B)* 6,423 85 Lam Research (B)* 2,150 82 Lawson Software (B)* 46,700 352 Lexmark International, Cl A* 20,700 636 Littelfuse* 2,200 77 Logitech International (B)* 10,530 268 Longtop Financial Technologies ADR* 11,700 221 LoopNet (B)* 2,900 37 Loral Space & Communications* 1,900 45 LSI Logic* 19,825 98 Manhattan Associates* 3,800 87 Mantech International, Cl A* 1,500 68 MAXIMUS 9,600 352 McAfee (B)* 20,696 685 MEMC Electronic Materials* 2,925 207 Mentor Graphics* 10,200 90 Mercury Computer Systems (B)* 28,900 162 Merrimac Industries* 6,300 42 Methode Electronics 33,500 392 Mettler Toledo International* 400 39 Micrel 8,400 78 Microsemi (B)* 55,275 1,260 MicroStrategy, Cl A* 437 32 Microtune* 6,135 22 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- MKS Instruments* 22,400 $ 479 Molex 13,100 303 Monolithic Power Systems* 6,428 113 Move* 59,455 183 MSC.Software* 2,900 38 MTS Systems 1,519 49 National Instruments 1,300 34 NAVTEQ* 1,700 116 NCR* 2,625 60 Ness Technologies* 2,600 25 Net 1 UEPS Technologies (B)* 1,300 29 Netezza* 4,800 45 Netgear* 1,300 26 Netlogic Microsystems* 525 13 Nextwave Wireless (B)* 23,400 118 NIC (B)* 3,700 26 Novell* 4,200 26 Novellus Systems* 5,700 120 Nuance Communications (B)* 43,200 752 Omniture* 41,700 968 Omnivision Technologies (B)* 2,800 47 ON Semiconductor* 62,984 358 Open Text (B)* 10,020 314 Orckit Communications (B)* 22,900 169 Pericom Semiconductor* 2,100 31 Plantronics 1,600 31 Plexus* 1,200 34 PMC - Sierra* 8,500 48 Polycom (B)* 115,500 2,603 Progress Software* 1,200 36 QLogic (B)* 20,310 312 Quest Software* 3,700 48 RADWARE (B)* 15,800 161 Rambus* 2,400 56 RealNetworks* 15,050 86 Red Hat (B)* 98,000 1,802 RF Micro Devices (B)* 214,100 570 Riverbed Technology (B)* 94,700 1,407 Rofin-Sinar Technologies* 3,400 153 Rubicon Technology* 1,100 32 S1* 3,900 28 SAIC* 2,800 52 Salesforce.com (B)* 24,010 1,389 SanDisk* 1,350 30 Sapient* 5,700 40 Satyam Computer Services ADR (B)* 34,300 775 SAVVIS* 1,900 31 Seachange International (B)* 45,700 321 Seagate Technology 6,734 141 Semtech* 4,000 57 Shanda Interactive Entertainment ADR* 9,425 274 - -------------------------------------------------------------------------------- 78 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Silicon Laboratories* 2,950 $ 93 Sina (B)* 9,075 320 SkillSoft ADR* 59,495 623 Skyworks Solutions (B)* 173,500 1,263 Solera Holdings (B)* 40,800 994 SRA International, Cl A* 1,500 36 Standard Microsystems* 748 22 Sun Microsystems* 12,205 190 Supertex (B)* 900 18 Sybase (B)* 22,985 605 Sycamore Networks* 11,300 41 SYKES Enterprises (B)* 50,400 887 Symyx Technologies* 5,003 38 Synaptics (B)* 1,300 31 Synchronoss Technologies (B)* 12,225 245 SYNNEX* 1,418 30 Synopsys* 5,853 133 Syntel (B) 2,100 56 Take-Two Interactive Software* 2,600 66 Taleo, Cl A (B)* 30,600 594 Tech Data* 7,800 256 Technitrol* 20,900 483 Tekelec (B)* 60,400 752 Teradata* 2,500 55 Teradyne* 32,400 402 THQ (B)* 3,750 82 TIBCO Software (B)* 92,000 657 Tivo* 4,800 42 Trimble Navigation (B)* 16,090 460 Triquint Semiconductor* 128,500 650 Ultratech (B)* 35,700 343 Unisys* 26,300 117 United Online 31,500 333 Universal Display (B)* 26,500 380 Utstarcom (B)* 58,200 165 Valueclick* 1,400 24 Varian Semiconductor Equipment Associates* 12,475 351 Veeco Instruments (B)* 7,871 131 VeriFone Holdings* 1,100 17 Verint Systems* 29,000 468 Viasat* 900 20 Vishay Intertechnology* 53,500 485 Wavecom ADR* 12,900 150 Websense* 3,400 64 Western Digital (B)* 62,035 1,677 Wind River Systems (B)* 113,900 882 Zoran (B)* 59,569 814 -------------- 65,496 -------------- - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- MATERIALS -- 5.9% Airgas 9,075 $ 413 AK Steel Holding* 12,453 678 Albemarle (B) 15,200 555 Allegheny Technologies 9,000 642 Apex Silver Mines* 3,175 39 Aptargroup (B) 12,980 505 Ashland 15,125 715 Ball 16,900 776 Cabot 7,969 223 Carpenter Technology 8,253 462 Celanese, Ser A 6,500 254 CF Industries Holdings 1,800 187 Chemtura (B) 48,700 357 Cleveland-Cliffs 1,400 168 Coeur d'Alene Mines (B)* 20,000 81 Commercial Metals 1,400 42 Compass Minerals International (B) 2,700 159 Constar International* 18,500 48 Crown Holdings (B)* 45,800 1,152 Cytec Industries (B) 18,400 991 Deltic Timber 700 39 Eagle Materials (B) 800 28 Eastman Chemical 10,700 668 FMC 15,522 861 Glatfelter 2,300 35 Greif, Cl A (B) 8,443 574 HB Fuller 3,700 76 Hercules (B) 51,470 941 Innospec (United Kingdom) 3,200 68 International Flavors & Fragrances 500 22 Koppers Holdings 1,200 53 Lubrizol 14,300 794 MeadWestvaco 14,800 403 Mosaic* 6,500 667 Neenah Paper 2,742 71 NewMarket 692 52 Owens-Illinois* 18,677 1,054 Packaging of America 900 20 Pactiv* 18,200 477 PolyOne* 37,100 236 Quanex 2,700 140 Rock-Tenn, Cl A 14,800 444 Royal Gold (B) 900 27 Schnitzer Steel Industries, Cl A (B) 300 21 Schulman, Cl A 13,800 283 Schweitzer-Mauduit International 1,500 35 Sealed Air 1,200 30 Sensient Technologies 3,400 100 ShengdaTech* 2,500 21 Sigma-Aldrich 5,800 346 Silgan Holdings 9,310 462 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 79 SCHEDULE OF INVESTMENTS (Unaudited) Tax-Managed Small Cap Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Sims Group ADR 1,435 $ 40 Steel Dynamics (B) 15,400 509 Terra Industries (B)* 18,640 662 Texas Industries (B) 11,100 667 Titanium Metals 668 10 United States Steel 6,400 812 Valhi 1,400 33 Valspar 14,000 278 WR Grace* 735 17 ------------- 20,523 ------------- TELECOMMUNICATION SERVICES -- 1.2% Alaska Communications Systems Group 20,070 246 American Tower, Cl A* 5,315 208 Cbeyond* 275 5 Centennial Communications* 18,730 111 CenturyTel 19,200 638 Clearwire, Cl A (B)* 57,400 850 Consolidated Communications Holdings 94 2 Crown Castle International* 3,022 104 FiberTower* 17,075 30 General Communication, Cl A* 5,600 34 Global Crossing (B)* 2,500 38 IDT, Cl B* 1,140 4 Iowa Telecommunications Services 5,015 89 Leap Wireless International* 1,485 69 NII Holdings (B)* 800 26 NTELOS Holdings (B) 14,620 354 Price Communications* 3,800 -- SBA Communications, Cl A* 39,210 1,170 Time Warner Telecom, Cl A* 8,590 133 USA Mobility 3,475 25 Verizon Communications 1,983 72 Vonage Holdings* 36,195 67 Windstream 2,200 26 ------------- 4,301 ------------- UTILITIES -- 4.3% AGL Resources 2,500 86 Allegheny Energy 1,500 76 Allete (B) 2,400 93 Alliant Energy 8,678 304 Avista (B) 3,700 72 Black Hills 1,885 67 California Water Service Group (B) 1,400 53 Centerpoint Energy (B) 41,600 594 CH Energy Group 900 35 Cleco 1,200 27 CMS Energy 43,200 585 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Consolidated Edison 1,400 $ 56 Constellation Energy Group 1,100 97 DPL (B) 10,525 270 Dynegy, Cl A* 4,200 33 El Paso Electric* 2,000 43 Empire District Electric (B) 11,431 232 Energen 11,000 685 EnergySouth 800 42 Equitable Resources 16,254 957 Idacorp (B) 1,600 51 Integrys Energy Group 10,422 486 ITC Holdings 8,384 436 Laclede Group 2,875 102 MDU Resources Group 20,600 506 MGE Energy (B) 3,000 102 National Fuel Gas 2,400 113 New Jersey Resources* 1,350 42 Nicor (B) 7,200 241 NiSource 34,600 597 Northeast Utilities 4,000 98 Northwest Natural Gas 1,300 57 NorthWestern 17,025 415 NRG Energy (B)* 9,360 365 Oneok 5,150 230 Ormat Technologies 17,425 749 Otter Tail (B) 2,200 78 Pepco Holdings 500 12 Pinnacle West Capital (B) 19,300 677 PNM Resources 7,052 88 Portland General Electric 1,470 33 PPL 2,600 119 Puget Energy 16,000 414 Reliant Energy (B)* 17,038 403 SCANA 10,047 368 Sempra Energy 2,900 155 Southern Union 23,900 556 Southwest Gas (B) 12,850 359 TECO Energy 31,100 496 UGI 35,000 872 UIL Holdings 1,533 46 Unisource Energy 443 10 Vectren 14,600 392 Westar Energy 21,600 492 WGL Holdings 1,100 35 Wisconsin Energy 10,000 440 ------------- 15,042 ------------- Total Common Stock (Cost $333,403) ($ Thousands) 341,459 ------------- - -------------------------------------------------------------------------------- 80 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Number of Warrants ------------ WARRANT -- 0.0% Washington Mutual (D)* 116,700 $ 40 ------------- Total Warrant (Cost $27) ($ Thousands) 40 ------------- Number of Rights ------------ RIGHTS -- 0.0% Ares Capital, Expires 04/21/08 2,833 2 FX Real Estate And Entertainment, Expires 04/11/08 (B) 60 -- MCGC Capital, Expires 04/18/08 4,214 4 ------------- Total Rights (Cost --) ($ Thousands) 6 ------------- CASH EQUIVALENTS**++ -- 36.4% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 3.190% 7,573,665 7,574 SEI Liquidity Fund L.P., 3.200%(C) 119,508,640 119,509 ------------- Total Cash Equivalents (Cost $127,083) ($ Thousands) 127,083 ------------- U.S. TREASURY OBLIGATION (A) (E) -- 0.3% U.S. Treasury Bill 2.167%, 05/22/08 $ 1,066 1,064 ------------- Total U.S. Treasury Obligation (Cost $1,063) ($ Thousands) 1,064 ------------- Total Investments -- 134.5% (Cost $461,576) ($ Thousands) $ 469,652 ============= A summary of the open futures contracts held by the Fund at March 31, 2008, is as follows (see Note 2 in Notes to Financial Statements): - -------------------------------------------------------------------------------- NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION APPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - -------------------------------------------------------------------------------- S&P Mid 400 Index E-MINI 54 Jun-2008 $ 86 Russell 2000 Index E-MINI 64 Jun-2008 166 ------------- $ 252 ============= Percentages are based on Net Assets of $349,108 ($ Thousands). * Non-Income Producing Security. ** Rate shown is the 7-day effective yield as of March 31, 2008. + Real Estate Investment Trust. ++ Investment in Affiliated Security (see Note 3). (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. (B) This security or a partial position of this security is on loan at March 31, 2008 (see Note 7). The total value of securities on loan at March 31, 2008 was $116,949 ($ Thousands). (C) This security was purchased with cash collateral held from securities on loan (see Note 7). The total value of such securities as of March 31, 2008 was $119,509 ($ Thousands). (D) This warrant does not have a strike price or expiration date. (E) The rate reported is the effective yield at time of purchase. (F) This security is considered illiquid and restricted. The total value of such securities as of March 31, 2008 was $239 ($ Thousands) and represented 0.07% of Net Assets. (G) Security fair valued using methods determined in good faith by the valuation committee of the Board of Trustees. The total value of such securities as of March 31, 2008 was $239 ($ Thousands) and represented 0.07% of Net Assets. ADR -- American Depositary Receipt Cl -- Class LLC -- Limited Liability Company L.P. -- Limited Partnership PIPE -- Private Investment in Public Entity Ser -- Series Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 81 SCHEDULE OF INVESTMENTS (Unaudited) Small/Mid Cap Diversified Alpha Fund March 31, 2008 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS#: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] Financials 14.2% Industrials 11.3% Information Technology 11.3% U.S. Government Agency Obligations 10.1% Health Care 9.0% Consumer Discretionary 8.0% Energy 7.0% Materials 6.3% Short-Term Investment 6.3% Mortgage-Backed Securities 4.5% Asset-Backed Securities 3.8% Utilities 3.5% Consumer Staples 2.6% Telecommunication Services 1.4% U.S. Treasury Obligations 0.5% Convertible Bond 0.2% Purchased Option 0.0% Warrants 0.0% Rights 0.0% # Percentages based on total investments. - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- COMMON STOCK -- 86.8% CONSUMER DISCRETIONARY -- 9.3% 1-800-FLOWERS.COM, Cl A* 6,300 $ 54 Abercrombie & Fitch, Cl A 1,235 90 Advance Auto Parts 3,046 104 Aeropostale (C)* 2,850 77 Aftermarket Technology* 3,000 58 American Eagle Outfitters 800 14 Amerigon* 2,900 43 AnnTaylor Stores* 7,939 192 Autoliv 2,700 136 Bally Technologies* 2,382 82 Big Lots (C)* 7,953 177 Black & Decker 1,138 75 Blyth* 1,300 26 BorgWarner (C) 6,148 265 Brown Shoe (C) 6,109 92 Brunswick 2,000 32 Buckle (C) 500 22 Burger King Holdings 4,800 133 Callaway Golf 13,356 196 Capella Education* 1,391 76 Career Education* 6,488 83 Carmike Cinemas 2,200 23 Carrols Restaurant Group* 1,600 14 Casual Male Retail Group* 40,000 168 Cato, Cl A 12,000 179 CBRL Group 1,721 62 CEC Entertainment* 7,841 226 Central European Media Enterprises, Cl A* 775 66 Charming Shoppes* 37,600 182 Chipotle Mexican Grill, Cl A* 275 31 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Christopher & Banks 4,400 $ 44 Cinemark Holdings 5,762 74 Cooper Tire & Rubber (C) 14,586 218 Corinthian Colleges* 685 5 CROCS* 1,650 29 CSK Auto* 15 -- Deckers Outdoor* 200 22 Denny's* 5,375 16 DeVry 2,134 89 DISH Network, Cl A* 3,600 103 Dollar Tree* 6,000 166 Dover Downs Gaming & Entertainment (C) 2,700 23 DreamWorks Animation SKG, Cl A* 8,809 227 Drew Industries (C)* 2,800 69 DSW, Cl A* 13,000 168 Eastman Kodak 2,505 44 Eddie Bauer Holdings* 28,700 112 Entercom Communications, Cl A 7,444 74 Entravision Communications, Cl A* 10,473 70 Expedia* 950 21 Family Dollar Stores 5,500 107 Fossil* 4,744 145 FTD Group 8,500 114 Furniture Brands International 6,870 80 G-III Apparel Group* 4,500 60 Gaiam, Cl A* 2,192 38 GameStop, Cl A* 3,600 186 Getty Images* 1,455 47 Gildan Activewear* 3,500 131 Global Sources (C)* 3,850 57 Goodyear Tire & Rubber* 6,762 174 Group 1 Automotive 5,000 117 Hanesbrands* 4,500 131 Harman International Industries 515 22 Harris Interactive* 7,300 20 Hasbro (C) 13,269 370 Heelys* 3,400 15 Hooker Furniture 1,700 38 IAC/InterActive* 5,450 113 Interactive Data (C) 4,189 119 iRobot* 1,100 19 ITT Educational Services* 930 43 Jarden* 3,180 69 JOS A Bank Clothiers (C)* 5,000 103 Lear (C)* 6,300 163 Lennar, Cl A 3,400 64 Lennar, Cl B 200 3 Lin TV, Cl A* 1,889 18 LKQ* 1,400 31 Lodgian* 1,600 18 Matthews International, Cl A* 1,914 92 Media General, Cl A 3,000 42 Meredith (C) 2,765 106 - -------------------------------------------------------------------------------- 82 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Monaco Coach 1,418 $ 13 Morningstar* 275 17 NetFlix* 5,675 197 NexCen Brands* 1,700 6 Nexstar Broadcasting Group, Cl A* 1,600 9 NutriSystem* 1,567 24 NVR* 169 101 O'Charleys 3,148 36 OfficeMax 3,900 75 Orbitz Worldwide* 9,300 64 Penn National Gaming* 7,795 341 Perry Ellis International (C)* 3,200 70 Playboy Enterprises, Cl B* 1,494 12 priceline.com* 1,300 157 RadioShack 12,486 203 RC2* 1,700 36 RCN 9,800 110 Regal Entertainment Group, Cl A (C) 7,600 147 Regis 8,700 239 Rent-A-Center* 2,315 42 Retail Ventures* 21,500 104 Sally Beauty Holdings* 13,547 93 Sauer-Danfoss 1,855 41 Scholastic* 3,883 118 Sealy 1,925 15 Snap-On 800 41 Sotheby's 800 23 Speedway Motorsports 2,673 67 Stamps.com* 7,200 74 Standard-Pacific 27,925 136 Sturm Ruger* 3,600 30 Syntax-Brillian* 13,400 13 Talbots 4,395 47 Tecnisa (Brazil)* 39,000 178 Thor Industries 2,202 66 Thunderbird Resorts PIPE (D) (H)* 15,300 138 Thunderbird Resorts PIPE (D) (G) (H)* 1,700 15 True Religion Apparel* 8,000 148 TRW Automotive Holdings* 2,100 49 Tupperware Brands (C)* 7,000 271 Under Armour, Cl A* 350 13 Universal Electronics* 100 2 Visteon* 3,825 14 Warnaco Group* 1,265 50 WMS Industries (C)* 850 31 Zumiez* 1,000 16 -------------- 11,099 -------------- - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- CONSUMER STAPLES -- 3.0% American Oriental Bioengineering* 6,575 $ 53 Andersons 380 17 Asiatic Development (Malaysia)* 87,000 229 Avon Products 3,115 123 BJ's Wholesale Club* 2,895 103 Bunge 460 40 Casey's General Stores 3,419 77 Central Garden and Pet, Cl A* 3,295 15 Chiquita Brands International* 4,948 114 Church & Dwight 1,980 107 Coca-Cola Enterprises 600 15 Constellation Brands, Cl A* 3,861 68 Corn Products International 3,358 125 Cosan SA Industria e Comercio (Brazil)* 18,700 276 Darling International* 13,793 179 Energizer Holdings* 1,406 127 Fresh Del Monte Produce 3,473 126 Great Atlantic & Pacific Tea* 2,291 60 Hansen Natural* 1,300 46 Hormel Foods 1,862 78 Lance 13,400 263 Loews - Carolina Group 2,780 202 Longs Drug Stores (C) 6,980 296 Molson Coors Brewing, Cl B (C) 4,015 211 Nash Finch (C) 700 24 NBTY (C)* 3,671 110 Pepsi Bottling Group 2,500 85 Pilgrim's Pride 3,464 70 Ralcorp Holdings* 1,605 93 Ruddick 678 25 Smithfield Foods* 4,760 123 Tyson Foods, Cl A 18 -- Universal (C) 1,985 130 WD-40 1,595 53 -------------- 3,663 -------------- ENERGY -- 8.2% Arena Resources* 400 16 Alon USA Energy 1,130 17 Approach Resources* 10,200 160 Arch Coal 215 9 Arlington Tankers 11,200 235 ATP Oil & Gas* 2,630 86 Basic Energy Services* 10,800 238 Bois d'Arc Energy (C)* 9,337 201 BPZ Energy PIPE (D) (H)* 12,800 278 BPZ Resources* 5,450 118 Bronco Drilling* 2,800 45 Callon Petroleum* 1,305 24 Cameron International* 1,650 69 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 83 SCHEDULE OF INVESTMENTS (Unaudited) Small/Mid Cap Diversified Alpha Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Carrizo Oil & Gas* 2,900 $ 172 Cimarex Energy 5,951 326 Complete Production Services* 10,700 245 Comstock Resources (C)* 8,573 346 Crosstex Energy 1,015 34 Denbury Resources* 4,000 114 Dresser-Rand Group* 2,345 72 Dril-Quip* 1,499 70 Encore Acquisition* 3,400 137 Energy Partners* 21,200 201 ENSCO International 1,100 69 Exterran Holdings* 3,080 199 FMC Technologies* 3,559 203 Forest Oil* 1,600 78 Foundation Coal Holdings 5,334 268 Frontier Oil 5,600 153 GMX Resources* 550 19 Grant Prideco* 250 12 Helix Energy Solutions Group* 1,350 43 Helmerich & Payne 5,200 244 Hercules Offshore* 9,100 229 Holly 3,879 168 Hugoton Royalty Trust* 2,150 59 Infinity Bio-Energy* 52,500 231 International Coal Group* 10,660 68 ION Geophysical* 5,787 80 Kinder Morgan Management LLC* 1,195 61 Lufkin Industries 1,548 99 Mariner Energy* 6,170 167 Massey Energy 6,038 220 Matrix Service (C)* 9,287 160 McMoRan Exploration* 1,160 20 Newfield Exploration* 1,550 82 Oceaneering International* 1,275 80 Oilsands Quest* 30,700 121 Oilsands Quest PIPE (D) (H)* 3,500 14 OPTI Canada (Canada)* 13,800 233 PetroHawk Energy* 6,652 134 Petroleum Development* 1,250 87 Plains Exploration & Production* 1,100 58 Quicksilver Resources* 800 29 Rentech* 82,100 73 Rosetta Resources (C)* 3,700 73 Rowan 2,602 107 SEACOR Holdings (C)* 1,950 166 StealthGas 13,000 202 Stone Energy* 3,383 177 Superior Energy Services* 4,038 160 Superior Well Services* 8,500 186 Swift Energy (C)* 8,075 363 Synenco Energy, Cl A (Canada)* 37,340 264 Tesoro 1,470 44 Tetra Technologies* 2,150 34 Tidewater (C) 1,180 65 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Transmontaigne Partners L.P. 325 $ 9 Unit* 8,914 505 Uranium One (Canada)* 15,500 51 W&T Offshore 7,819 267 Whiting Petroleum* 1,747 113 Williams 1,740 57 -------------- 9,817 -------------- FINANCIALS -- 16.5% Alesco Financial 5,800 17 Alexander's+* 100 35 Alexandria Real Estate Equities+ 1,180 109 AllianceBernstein Holding L.P. 285 18 AMB Property+ 947 52 American Financial Group (C) 11,091 284 American Physicians Capital 800 37 Amtrust Financial Services (C) 8,005 130 Annaly Capital Management+ (C) 41,548 637 Anworth Mortgage Asset+ 39,163 240 AON 6,185 249 Apollo Investment 2,439 39 Arch Capital Group* 3,280 225 Ares Capital 1,061 13 Ashford Hospitality Trust+ 1,700 10 Aspen Insurance Holdings 1,700 45 Associated Banc 6,450 172 Assurant 3,055 186 Assured Guaranty (C) 10,982 261 Asta Funding 1,200 17 Astoria Financial 4,700 128 Axis Capital Holdings 4,300 146 Bancorp* 4,600 56 Bancorpsouth 3,919 91 Bank of Hawaii 1,200 59 BankAtlantic Bancorp, Cl A 8,000 31 BankUnited Financial, Cl A (C) 11,941 60 Berkshire Hills Bancorp 1,000 25 BlackRock 870 178 Brasil Brokers Participacoes (Brazil)* 200 140 Calamos Asset Management, Cl A 8,323 136 Canaccord Capital (Canada) 12,100 116 Capital Trust, Cl A+ 105 3 CapitalSource+ 1,082 10 Capitol Federal Financial 2,200 82 Capstead Mortgage+ 18,200 207 Cash America International (C) 5,913 215 Cathay General Bancorp 3,784 78 Centerline Holding L.P. 100 -- Central Pacific Financial 6,554 124 Chimera Investment* 9,851 121 Citizens Republic Bancorp 10,358 129 City Bank (C) 965 22 City Holding (C) 1,700 68 - -------------------------------------------------------------------------------- 84 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- CME Group 390 $ 183 CNA Surety* 5,465 84 Colonial BancGroup 17,074 164 Colonial Properties Trust+ 4,700 113 Commerce Bancshares 1,943 82 Companhia Brasileira de Desenvolvimento Imobiliario Turistico (Brazil)* 500 213 Countrywide Financial 11,870 65 Cullen/Frost Bankers 1,500 80 Darwin Professional Underwriters (C)* 1,000 23 Delphi Financial Group, Cl A 2,879 84 DiamondRock Hospitality+ (C) 4,600 58 Digital Realty Trust+ 362 13 Dime Community Bancshares 10,467 183 Discover Financial Services 3,900 64 Dollar Financial* 16,300 375 Downey Financial (C) 2,430 45 Dundee (Canada)+* 1,000 32 Dundee (Canada)+ 2,600 82 DuPont Fabros Technology 9,015 149 E*Trade Financial* 17,393 67 East West Bancorp (C) 2,179 39 Eaton Vance (C) 11,552 352 Education Realty Trust+ 900 11 EMC Insurance Group 2,015 54 Entertainment Properties Trust+ (C) 1,400 69 Evercore Partners, Cl A (C) 9,800 174 Ezcorp, Cl A (C)* 8,200 101 Federated Investors, Cl B 7,239 283 Fidelity National Financial, Cl A 2,870 53 First Community Bancorp 6,473 174 First Industrial Realty Trust+ (C) 3,700 114 First Marblehead (C) 1,600 12 First Midwest Bancorp 8,890 247 FirstFed Financial (C)* 5,643 153 FirstMerit 3,015 62 GAMCO Investors, Cl A (C) 600 30 General Shopping Brasil (Brazil)* 24,400 187 GFI Group* 1,800 103 Gluskin Sheff + Associates (Canada)* 9,500 185 GMP Capital Trust (Canada) 8,400 137 Gramercy Capital+ 191 4 Greenhill 1,545 107 Grubb & Ellis* 34,500 237 Grubb & Ellis Realty Advisors* 31,800 193 Hallmark Financial Services* 1,200 13 Hancock Holding 4,415 186 Hanmi Financial 3,650 27 Hanover Insurance Group 5,420 223 HCP+ 8,350 282 Health Care+ 8,176 369 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Hersha Hospitality Trust+ (C) 25,800 $ 233 Highbury Financial Units* 13,600 45 Hospitality Properties Trust+ (C) 4,000 136 Huntington Bancshares 6,199 67 Independent Bank 1,100 33 IndyMac Bancorp 14,481 72 IntercontinentalExchange* 680 89 Investment Technology Group* 2,018 93 Investors Real Estate Trust+ 29,565 289 Janus Capital Group 4,479 104 Jones Lang LaSalle (C) 500 39 Kansas City Life Insurance 2,900 139 Kilroy Realty+ 1,500 74 Knight Capital Group, Cl A* 10,695 174 Lazard L.P., Cl A 3,650 139 Legg Mason 330 18 Leucadia National 650 29 Lexington Realty Trust+ 7,600 110 Life Partners Holdings 900 17 LTC Properties+ 2,600 67 Marsh & McLennan 10,215 249 Medical Properties Trust+ 6,751 76 MFA Mortgage Investments+ 41,395 261 MGIC Investment 325 3 NASDAQ Stock Market* 2,849 110 National Financial Partners 3,385 76 National Interstate 700 16 National Penn Bancshares 2,728 50 National Retail Properties+ (C) 5,929 131 Nationwide Health Properties+ 572 19 Navigators Group (C)* 3,175 173 New York Community Bancorp 26,000 474 NorthStar Realty Finance+ (C) 10,700 87 NYSE Euronext 820 51 Omega Healthcare Investors+ 13,426 233 optionsXpress Holdings 6,183 128 Oriental Financial Group 5,200 103 Parkway Properties+ 900 33 Pennsylvania Real Estate Investment Trust+ 700 17 People's United Financial 1,465 25 PFF Bancorp 9,214 77 Philadelphia Consolidated Holding (C)* 1,124 36 Platinum Underwriters Holdings 5,864 190 PMA Capital, Cl A* 3,100 26 PMI Group (C) 6,600 38 Preferred Bank 143 2 Prologis+ 1,500 88 Provident New York Bancorp 3,400 46 Public Storage+ 1,850 164 RAIT Financial Trust+ 12,647 88 Ram Holdings* 10,700 24 Raymond James Financial 3,824 88 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 85 SCHEDULE OF INVESTMENTS (Unaudited) Small/Mid Cap Diversified Alpha Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Rayonier+ 5,931 $ 258 Realty Income+ 8,830 226 Resource Capital+ 4,600 35 Safeco 1,100 48 Sandy Spring Bancorp 1,500 41 SCBT Financial 700 24 SeaBright Insurance Holdings* 2,400 35 Sierra Bancorp (C) 600 13 South Financial Group 4,929 73 Southside Bancshares 700 17 Sovereign Bancorp 9,300 87 St. Joe 9,185 394 Stancorp Financial Group 2,100 100 Stifel Financial* 2,425 109 Sun Bancorp* 100 1 SVB Financial Group (C)* 3,500 153 SWS Group 2,000 24 T. Rowe Price Group 795 40 TD Ameritrade Holding* 5,130 85 Texas Capital Bancshares* 4,226 71 Titanium Asset* 13,400 75 TradeStation Group* 6,163 53 Transatlantic Holdings 2,612 173 Trustmark 6,387 142 UCBH Holdings 7,016 54 Uranium Participation (Canada)* 2,400 23 Uranium Participation (Canada) (G)* 2,600 24 Value Creation (Canada)* 8,040 79 Ventas+ 2,729 123 Waddell & Reed Financial, Cl A 1,374 44 Washington Federal 7,260 166 Webster Financial 2,100 59 World Acceptance (C)* 13,215 421 WR Berkley (C) 600 17 -------------- 19,777 -------------- HEALTH CARE -- 10.5% Adolor* 6,000 27 Affymax (C)* 1,000 14 Air Methods* 1,336 65 Alexza Pharmaceuticals* 700 5 Align Technology* 2,155 24 Alnylam Pharmaceuticals* 2,300 56 Alpharma, Cl A* 570 15 AMERIGROUP* 3,601 98 Amsurg* 10,500 249 Analogic* 435 29 Applera -- Applied Biosystems Group (C) 600 20 Applera -- Celera Group* 1,000 15 Arena Pharmaceuticals* 30,300 207 Ariad Pharmaceuticals* 50,100 169 Array Biopharma (C)* 3,500 25 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- BioScrip* 10,638 $ 72 Caraco Pharmaceutical Laboratories* 4,735 85 Centene (C)* 10,525 147 Cephalon (C)* 1,340 86 Charles River Laboratories International* 2,100 124 Chemed 1,725 73 Chindex International* 220 8 Computer Programs & Systems 445 9 Conmed (C)* 3,900 100 Cooper 995 34 Corvel* 370 11 Covance* 2,650 220 CryoLife* 1,300 12 Cubist Pharmaceuticals (C)* 5,715 105 CV Therapeutics* 34,300 245 Cyberonics* 700 10 Cynosure, Cl A (C)* 3,400 72 DaVita* 1,254 60 Dentsply International 6,528 252 Eclipsys* 6,447 126 Edwards Lifesciences* 800 36 Emergency Medical Services, Cl A* 1,100 27 Emergent Biosolutions (C)* 2,200 20 Encysive Pharmaceuticals* 111,000 261 Endo Pharmaceuticals Holdings (C)* 18,604 445 eResearchTechnology* 7,375 92 Exelixis (C)* 40,300 280 Express Scripts* 2,475 159 Forest Laboratories (C)* 3,050 122 Genzyme* 2,855 213 GTx (C)* 2,300 37 Health Net (C)* 9,958 307 HealthExtras* 3,027 75 Healthways* 1,467 52 Henry Schein* 706 40 Hillenbrand Industries 1,000 48 HLTH* 550 5 HMS Holdings* 3,179 91 Hologic* 2,273 126 Human Genome Sciences* 46,700 275 Illumina* 275 21 Immunomedics* 2,550 7 IMS Health 3,800 80 Incyte* 28,100 295 InterMune (C)* 3,000 44 Intuitive Surgical* 1,790 581 Inverness Medical Innovations* 1,075 32 Invitrogen* 1,431 122 Javelin Pharmaceuticals* 3,200 9 Kendle International* 2,047 92 Kensey Nash* 1,553 45 Keryx Biopharmaceuticals* 2,400 1 - -------------------------------------------------------------------------------- 86 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Kindred Healthcare* 3,876 $ 85 Kinetic Concepts (C)* 5,555 257 King Pharmaceuticals* 20,867 182 Lincare Holdings (C)* 9,637 271 Magellan Health Services* 3,242 129 MannKind* 1,600 10 Martek Biosciences* 900 27 Masimo* 1,400 36 Medical Action Industries* 1,600 26 Medicines* 10,000 202 Meridian Bioscience 1,500 50 Micrus Endovascular* 10,000 124 Molina Healthcare* 2,048 50 Neurocrine Biosciences* 4,300 23 Odyssey HealthCare* 25,400 229 Omnicell* 1,045 21 Orthofix International* 395 16 OSI Pharmaceuticals (C)* 5,748 215 Owens & Minor 4,140 163 Par Pharmaceutical* 1,015 18 Parexel International* 1,200 31 Patterson* 4,085 148 Pediatrix Medical Group* 1,300 88 Penwest Pharmaceuticals* 2,400 6 PerkinElmer 8,573 208 Perrigo 2,829 107 Pharmaceutical Product Development 2,900 121 PharmaNet Development Group (C)* 2,052 52 Pozen (C)* 1,300 13 Profarma Distribuidora de Produtos Farmaceuticos (Brazil)* 12,400 208 Quidel* 8,924 143 Regeneron Pharmaceuticals* 1,600 31 Repligen* 500 2 Resmed* 2,935 124 Rigel Pharmaceuticals* 13,400 250 Sciele Pharma (C)* 9,603 187 Sepracor* 325 6 Sirona Dental Systems (C)* 8,275 223 Somanetics* 3,056 48 SonoSite* 100 3 Sun Healthcare Group* 3,400 45 Synta Pharmaceuticals* 2,300 19 Techne (C)* 400 27 Universal American* 4,587 49 Universal Health Services, Cl B 5,836 313 Varian* 400 23 Vertex Pharmaceuticals (C)* 4,375 104 Viropharma (C)* 12,218 109 Vivus* 8,600 52 Warner Chilcott, Cl A (C)* 7,300 131 Waters (C)* 6,010 335 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Watson Pharmaceuticals (C)* 11,368 $ 333 WellCare Health Plans (C)* 250 10 -------------- 12,592 -------------- INDUSTRIALS -- 13.1% ABX Holdings* 3,165 9 Actuant, Cl A 10,415 315 Acuity Brands (C) 2,900 125 Administaff 100 2 Advisory Board* 1,557 85 AGCO (C)* 11,539 691 Albany International, Cl A 1,680 61 Alexander & Baldwin 1,410 61 Allegiant Travel* 3,040 80 Allen-Vanguard (Canada)* 40,000 133 Alliant Techsystems* 2,145 222 Allied Waste Industries (C)* 17,674 191 Amerco* 287 16 American Commercial Lines* 2,930 46 American Science & Engineering 1,503 82 AMR (C)* 2,604 23 AO Smith 2,820 93 Apogee Enterprises (C) 7,200 111 Applied Industrial Technologies 3,071 92 BE Aerospace* 2,355 82 Belden 3,052 108 Blount International* 1,375 17 Briggs & Stratton 11,895 213 Brink's 8 1 Bucyrus International, Cl A 550 56 Ceradyne (C)* 600 19 Chart Industries* 2,773 94 ChoicePoint* 895 43 Columbus McKinnon* 4,400 136 Comfort Systems USA 7,800 101 COMSYS IT Partners (C)* 2,800 24 Corrections of America* 8,668 239 CRA International* 5,250 169 Crane 5,074 205 Cubic 3,500 99 Curtiss-Wright 3,711 154 Deluxe (C) 4,147 80 DRS Technologies 4,242 247 Dun & Bradstreet 4,355 354 EMCOR Group (C)* 8,760 195 Ennis Business Forms 700 12 EnPro Industries (C)* 4,200 131 Equifax 4,325 149 ESCO Technologies* 975 39 Esterline Technologies* 2,402 121 First Solar* 1,014 234 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 87 SCHEDULE OF INVESTMENTS (Unaudited) Small/Mid Cap Diversified Alpha Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Fluor 410 $ 58 Force Protection* 27,200 55 FreightCar America 955 33 Gardner Denver (C)* 5,600 208 GenCorp* 6,900 71 General Cable* 1,495 88 Geo Group* 5,161 147 Goodrich 1,450 83 GrafTech International (C)* 14,996 243 H&E Equipment Services* 12,880 162 Hardinge 200 3 Harsco (C) 2,600 144 Heidrick & Struggles International (C)* 2,100 68 Herman Miller (C) 2,482 61 Hertz Global Holdings (C)* 11,700 141 HNI 2,184 59 Honeywell International 1,180 67 Hubbell, Cl A 318 15 Hubbell, Cl B 1,845 81 IKON Office Solutions 5,700 43 Ingersoll-Rand, Cl A 2,200 98 Interface, Cl A 4,000 56 Jacobs Engineering Group* 3,815 281 JB Hunt Transport Services 9,000 283 Joy Global 650 42 Kaman 1,345 38 Kansas City Southern* 3,800 152 Kennametal 1,930 57 Kirby* 1,095 62 Ladish* 1,300 47 LB Foster, Cl A* 2,070 89 Lennox International (C) 2,000 72 Lincoln Electric Holdings (C) 2,400 155 Manitowoc (C) 3,800 155 Manpower 1,197 67 Michael Baker* 1,809 41 Moog, Cl A* 3,514 148 NCI Building Systems* 6,200 150 Nuco2* 2,904 81 Orion Marine Group* 16,500 197 Oshkosh Truck 5,807 211 Pacer International 4,877 80 Pall 5,839 205 Pentair 2,700 86 Perini (C)* 3,700 134 Pinnacle Airlines* 5,700 50 PowerSecure International* 200 2 Quanta Services* 9,810 227 Regal-Beloit 930 34 Republic Airways Holdings (C)* 5,500 119 Republic Services (C) 6,415 188 Robbins & Myers 2,690 88 Rockwell Automation 175 10 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Rollins 100 $ 2 RSC Holdings (C)* 21,600 235 Rush Enterprises, Cl A* 7,012 111 Rush Enterprises, Cl B* 1,200 18 Ryder System 8,200 499 School Specialty* 654 21 Shaw Group* 7,607 359 Skywest 5,090 107 Spirit Aerosystems Holdings, Cl A* 14,002 311 SPX 400 42 Standard Register 2,530 20 Steelcase, Cl A (C) 9,300 103 Sunpower, Cl A* 1,475 110 Superior Essex (C)* 3,000 84 TAL International Group 10,600 250 Tecumseh Products, Cl A* 3,433 105 Tecumseh Products, Cl B* 3,703 101 Teledyne Technologies* 4,495 211 Textainer Group Holdings 17,500 264 Thomas & Betts (C)* 100 4 Timken 4,525 134 Toro 537 22 Tredegar 1,300 24 Twin Disc 1,309 21 UAP Holding 2,690 103 United Stationers* 7,756 370 United Technologies 1,610 111 Wabtec 6,279 236 Walter Industries 645 40 Waste Connections* 2,285 70 Watson Wyatt Worldwide, Cl A (C) 3,200 182 Werner Enterprises 4,586 85 WESCO International* 2,443 89 -------------- 15,739 -------------- INFORMATION TECHNOLOGY -- 13.1% Activision* 5,066 138 ADC Telecommunications* 13,616 165 Advanced Analogic Technologies* 5,055 28 Advanced Energy Industries* 4,062 54 Advent Software* 1,773 76 Akamai Technologies* 4,475 126 Amkor Technology (C)* 13,500 144 Anaren* 3,017 38 Ariba* 1,300 13 Arrow Electronics* 8,659 291 Asyst Technologies* 33,600 118 Atmel* 95,651 333 ATMI* 200 6 Avnet (C)* 5,675 186 Benchmark Electronics* 10,345 186 Blackbaud 450 11 Blackboard* 725 24 - -------------------------------------------------------------------------------- 88 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Blue Coat Systems* 7,857 $ 173 BMC Software (C)* 10,278 334 Bottomline Technologies* 1,600 20 Brightpoint* 1,535 13 Broadridge Financial Solutions (C) 1,400 25 Cabot Microelectronics* 706 23 CACI International, Cl A* 466 21 Cadence Design Systems (C)* 7,532 80 Checkpoint Systems* 3,540 95 Chordiant Software (C)* 7,900 48 Ciena* 39 1 Cirrus Logic* 4,540 31 Citrix Systems* 1,995 59 CMGI* 1,700 23 CommScope (C)* 3,200 111 Comtech Telecommunications* 753 29 Convergys (C)* 2,200 33 Cray* 4,300 26 Credence Systems* 12,797 22 Cree* 940 26 CSG Systems International (C)* 8,015 91 CTS (C) 2,720 29 Cymer* 565 15 Cypress Semiconductor* 4,967 117 Diebold 2,875 108 Digital River* 2,971 92 Diodes* 8,181 180 Dolby Laboratories, Cl A* 3,300 120 DSP Group* 21,500 274 DST Systems* 2,459 162 Dycom Industries (C)* 4,900 59 Earthlink* 7,400 56 EFJ* 21,000 25 Electronic Arts* 6,275 313 Electronic Data Systems (C) 7,700 128 Electronics for Imaging* 4,370 65 Emulex (C)* 4,200 68 Fair Isaac 2,708 58 Flir Systems* 2,935 88 Global Cash Access Holdings* 2,900 17 Harris (C) 1,800 87 Harris Stratex Networks, Cl A* 23,000 231 Heartland Payment Systems 3,690 85 Hewitt Associates, Cl A* 12,806 509 Hughes Communications* 300 15 Hutchinson Technology* 8,200 130 Imation 10,800 246 Integrated Device Technology (C)* 29,868 267 Interactive Intelligence* 2,038 24 Intermec* 1,140 25 International Rectifier* 510 11 Intersil, Cl A 900 23 Interwoven* 4,800 51 Intuit* 5,525 149 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Itron* 1,465 $ 132 IXYS* 3,402 23 Jack Henry & Associates (C) 1,700 42 JDA Software Group* 18,287 334 JDS Uniphase* 7,200 96 Juniper Networks* 8,115 203 Jupitermedia* 19,300 40 Lam Research (C)* 300 11 Lexmark International, Cl A* 4,586 141 LSI Logic* 8,500 42 MasTec* 26,583 218 MAXIMUS 3,100 114 McAfee* 3,575 118 MEMC Electronic Materials (C)* 1,825 129 Methode Electronics 6,500 76 Mettler Toledo International (C)* 3,623 352 Micros Systems* 1,864 63 Microsemi* 10,350 236 MicroStrategy, Cl A* 1,530 113 Microtune* 3,610 13 MIPS Technologies* 36,500 145 Monolithic Power Systems* 3,785 67 Move* 35,035 108 MTS Systems 3,449 111 Multi-Fineline Electronix* 4,600 86 National Semiconductor 3,574 66 NCR* 1,475 34 Net 1 UEPS Technologies* 5,393 122 Netgear* 3,265 65 Netlogic Microsystems* 320 8 Network Equipment Technologies* 6,400 42 Novatel Wireless* 22,000 213 Nvidia* 3,600 71 ON Semiconductor (C)* 4,410 25 Oplink Communications* 700 6 OSI Systems* 4,750 109 Palm* 33,100 166 Parametric Technology* 10,791 172 Park Electrochemical 8,200 212 Parkervision* 18,300 142 Phoenix Technologies* 5,128 80 Plantronics 950 18 Plexus* 6,949 195 PMC - Sierra* 28,300 161 QLogic* 12,900 198 Radiant Systems* 7,193 101 RealNetworks* 2,975 17 Riverbed Technology* 500 7 Rudolph Technologies* 15,500 151 SAIC* 1,000 19 SanDisk* 725 16 Sapient* 12,291 86 Scansource* 2,426 88 Seachange International* 15,500 109 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 89 SCHEDULE OF INVESTMENTS (Unaudited) Small/Mid Cap Diversified Alpha Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Seagate Technology 7,700 $ 161 Secure Computing* 12,745 82 Sierra Wireless (Canada)* 4,000 64 Silicon Laboratories* 1,300 41 Sohu.com* 2,600 117 SonicWALL* 523 4 Standard Microsystems* 420 12 Sun Microsystems* 7,131 111 Switch & Data Facilities* 1,500 15 Sybase (C)* 10,093 265 Symyx Technologies* 2,945 22 Synaptics* 633 15 SYNNEX* 785 17 Synopsys (C)* 11,782 268 Taleo, Cl A* 3,096 60 Technitrol (C)* 5,040 117 Teradata* 1,450 32 TNS (C) 5,827 120 Trina Solar ADR* 3,400 105 Triquint Semiconductor* 18,526 94 TTM Technologies* 29,381 333 Varian Semiconductor Equipment Associates (C)* 1,925 54 Veeco Instruments* 3,690 61 VeriFone Holdings* 650 10 Viasat* 1,544 34 Vignette* 3,600 48 Vishay Intertechnology (C)* 7,566 69 Western Digital (C)* 10,800 292 Zoran* 13,896 190 Zygo* 9,000 112 -------------- 15,685 -------------- MATERIALS -- 7.4% Airgas 3,858 175 AK Steel Holding (C)* 13,717 746 Albemarle (C) 800 29 AM Castle 2,973 80 Apex Silver Mines* 1,900 23 Ashland 8,925 422 Brush Engineered Materials* 1,700 44 Buckeye Technologies (C)* 10,100 113 Cabot 4,655 130 Calgon Carbon* 4,807 72 Carpenter Technology 5,490 307 Celanese, Ser A (C) 4,900 191 CF Industries Holdings 1,572 163 Commercial Metals 3,274 98 Crown Holdings* 4,581 115 Eastman Chemical 1,685 105 Esmark* 13,900 157 Ferro 4,742 70 FMC (C) 4,600 255 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Frontera Copper (Canada)* 27,500 $ 139 Glatfelter 100 2 Greif 100 6 Greif, Cl A 5,341 363 Grupo Simec SAB de CV ADR* 20,000 223 HB Fuller 6,185 126 Hecla Mining* 14,871 166 Hercules (C) 5,923 108 Horsehead Holding* 20,100 233 Innophos Holdings 1,300 21 Innospec 1,900 40 Katanga Mining (Canada)* 14,700 224 LSB Industries* 3,326 49 Lubrizol 561 31 Myers Industries 9,037 119 Neenah Paper 1,120 29 NewMarket 1,070 81 Olin 6,200 123 Olympic Steel 5,428 245 OM Group (C)* 4,377 239 Owens-Illinois* 15,405 869 Packaging of America 3,400 76 Pactiv (C)* 6,928 182 Reliance Steel & Aluminum 4,893 293 Rock-Tenn, Cl A (C) 7,800 234 Schnitzer Steel Industries, Cl A 4,135 294 Scotts Miracle-Gro, Cl A 1,000 32 ShengdaTech* 1,500 13 Sherritt International (Canada) 9,600 136 Silgan Holdings 1,160 58 Sonoco Products 4,500 129 Steel Dynamics 6,100 202 Terra Industries* 3,500 124 Texas Industries 100 6 Universal Stainless & Alloy* 5,500 163 Western Goldfields* 48,000 154 WR Grace* 395 9 -------------- 8,836 -------------- TELECOMMUNICATION SERVICES -- 1.6% Alaska Communications Systems Group 16,931 207 Atlantic Tele-Network (C) 2,200 74 Cbeyond* 175 3 Centennial Communications* 44,475 263 CenturyTel (C) 3,000 100 Cincinnati Bell* 30,684 131 Citizens Communications 3,964 42 Embarq (C) 2,700 108 Fairpoint Communications 26,900 243 FiberTower* 10,150 18 IDT, Cl B* 635 2 Iowa Telecommunications Services 2,040 36 - -------------------------------------------------------------------------------- 90 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- iPCS 156 $ 4 Leap Wireless International* 825 38 Premiere Global Services (C)* 14,563 209 Sierra Wireless* 7,000 112 Syniverse Holdings (C)* 11,739 196 Time Warner Telecom, Cl A* 5,090 79 US Cellular* 400 22 USA Mobility (C) 2,025 14 Vonage Holdings* 21,335 39 -------------- 1,940 -------------- UTILITIES -- 4.1% AES (C)* 9,300 155 AGL Resources (C) 5,196 178 Alliant Energy 3,348 117 Atmos Energy 2,258 58 Black Hills (C) 1,485 53 Cia de Saneamento de Minas Gerais-COPASA (Brazil)* 10,500 159 Cleco 9,664 214 Consolidated Edison 835 33 DPL 4,825 124 Edison International (C) 2,100 103 El Paso Electric (C)* 3,200 68 Empire District Electric 3,200 65 Energen (C) 7,575 472 Equitable Resources 3,465 204 Great Plains Energy 3,772 93 Idacorp 4,111 132 Integrys Energy Group 232 11 Laclede Group 755 27 MDU Resources Group 1,700 42 New Jersey Resources* 6,001 186 Northwest Natural Gas 3,676 160 NorthWestern 6,925 169 Oneok 8,666 387 Ormat Technologies 200 9 Pepco Holdings 3,000 74 PNM Resources 1,060 13 Portland General Electric (C) 810 18 Reliant Energy* 5,100 121 SCANA 8,861 324 Sempra Energy (C) 2,400 128 Southern Union 3,844 89 Southwest Gas 1,765 49 UGI 12,152 303 Unisource Energy 270 6 Vectren 9,872 265 WGL Holdings 780 25 Wisconsin Energy 6,500 286 -------------- 4,920 -------------- Total Common Stock (Cost $113,492) ($ Thousands) 104,068 -------------- - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Number of Warrants --------- WARRANTS* -- 0.0% Grubb & Ellis Realty, Expires 02/27/10 63,600 $ -- Oilsands Quest, Expires 12/05/09 2,250 2 Rentech (D) (H), Expires 04/25/12 1,000 -- Titanium Asset Management, Expires 06/21/11 8,400 12 -------------- Total Warrants (Cost $--) ($ Thousands) 14 -------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS -- 10.6% FHLMC TBA 6.000%, 04/01/16 $ 2,000 2,057 FNMA TBA 6.000%, 04/30/20 8,000 8,232 5.500%, 04/30/22-04/30/35 1,300 1,382 5.000%, 04/30/20 1,000 1,009 -------------- Total U.S. Government Agency Mortgage-Backed Obligations (Cost $12,567) ($ Thousands) 12,680 -------------- ASSET-BACKED SECURITIES -- 4.5% MORTGAGE RELATED SECURITIES -- 1.4% GMAC Mortgage Loan Trust, Ser 2007-HE1, Cl A2 (E) 5.621%, 08/25/37 216 188 Home Equity Mortgage Trust, Ser 2007-2, Cl 2A1A (E) 3.285%, 04/30/08 403 299 Novastar Home Equity Loan, Ser 2007-1, Cl A2A1 (E) 2.699%, 04/30/08 300 285 Option One Mortgage Loan Trust, Ser 2007-HL1, Cl 2A1 (E) 2.719%, 04/26/08 408 366 Renaissance Home Equity Loan Trust, Ser 2007-1, Cl AV1 (E) 2.729%, 04/29/08 273 262 Residential Funding Mortgage Securities, Ser 2007-HI1, Cl A1 (E) 5.450%, 03/25/37 277 253 -------------- 1,653 -------------- OTHER ASSET-BACKED SECURITIES -- 3.1% Carrington Mortgage Loan Trust, Ser 2007-FRE1, Cl A1 (E) 2.719%, 04/25/08 279 263 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 91 SCHEDULE OF INVESTMENTS (Unaudited) Small/Mid Cap Diversified Alpha Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Countrywide Asset-Backed Certificates, Ser 2007-BC1, Cl M1 (E) 2.849%, 04/30/08 $ 400 $ 161 Credit-Based Asset Servicing, Ser 2007-CB4, Cl A1A (E) 2.689%, 04/27/08 406 366 First Franklin Mortgage Loan Asset, Ser 2006-FF12, Cl A2 (E) 2.639%, 04/25/08 149 141 First Franklin Mortgage Loan Asset, Ser 2006-FF14, Cl A2 (E) 2.659%, 04/25/08 378 357 GSAMP Trust, Ser 2007-HE2, Cl A2A (E) 3.255%, 04/20/08 304 283 Indymac Residential Asset-Backed Trust, Ser 2007-A, Cl 2A1 (E) 2.729%, 04/12/08 264 254 Merrill Lynch Mortgage Investors, Ser 2007-HE2, Cl A2A (E) 2.719%, 04/30/08 343 316 RAAC, Ser 2007-SP1, Cl A1 (E) 2.749%, 04/10/08 273 265 Residential Asset Securities, Ser 2007-KS3, Cl A1A (E) 2.709%, 04/25/37 313 293 Securitized Asset Backed Receivables Trust LLC, Ser 2007-HE1, Cl M1 (E) 2.849%, 04/30/08 500 157 Structured Asset Investment Loan, Ser 2003-BC4, Cl M2 (E) 5.599%, 04/25/08 64 48 Structured Asset Securities, Ser 2007-EQ1, Cl A2 (E) 2.689%, 04/30/08 423 390 Wells Fargo Home Equity Trust, Ser 2007-2, Cl A1 (E) 2.689%, 04/20/08 410 392 -------------- 3,686 -------------- Total Asset-Backed Securities (Cost $6,384) ($ Thousands) 5,339 -------------- MORTGAGE-BACKED SECURITIES -- 5.2% AGENCY MORTGAGE-BACKED OBLIGATIONS -- 0.8% FHLMC CMO STRIPS, Ser 232, Cl IO, IO 5.000%, 08/01/35 3,869 840 FNMA CMO STRIPS, Ser 360, Cl 2, IO 5.000%, 08/01/35 631 137 -------------- 977 -------------- - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 4.4% American Home Mortgage Investment Trust, Ser 2004-3, Cl 2A (E) 6.149%, 09/01/08 $ 196 $ 162 American Home Mortgage Investment Trust, Ser 2005-1, Cl 4A1 (E) 4.992%, 04/01/08 93 67 American Home Mortgage Investment Trust, Ser 2005-4, Cl 5A (E) 5.350%, 04/25/08 513 436 Bear Stearns Alternative Trust, Ser 2004-12, Cl 2A2 (E) 6.958%, 04/01/08 188 173 Citigroup Mortgage Loan Trust, Ser 2007-AR5, Cl 1A2A (E) 5.612%, 04/01/08 408 415 Countrywide Home Loans, Ser 2007-HYB1, Cl 1A1 (E) 5.564%, 04/01/08 409 386 Countrywide Home Loans, Ser 2007-HYB2, Cl 3A1 (E) 5.461%, 04/01/08 90 68 GS Mortgage Securities, Ser 2007-GG10, Cl A4 (E) 5.799%, 04/01/08 100 100 Impac Secured Assets CMO Owners Trust, Ser 2007-2, Cl 1A1A (E) 2.709%, 04/29/08 349 304 Impac Secured Assets CMO Owners Trust, Ser 2007-3, Cl 1A1A (E) 2.709%, 04/30/08 420 398 JP Morgan Chase Commercial Mortgage, Ser 2006-CB17, Cl A4 5.429%, 12/12/43 200 196 Lehman XS Trust, Ser 2007-4N, Cl 1A1 (E) 5.450%, 03/25/47 318 156 Merrill Lynch Mortgage Investors, Ser 2005-A4, Cl 1A (E) 5.765%, 04/01/08 168 165 Morgan Stanley Mortgage Loan Trust, Ser 2007-11AR, Cl 2A5 (E) 6.000%, 04/01/08 93 60 Morgan Stanley Mortgage Loan Trust, Ser 2007-14AR, Cl 6A1 (E) 6.487%, 11/25/37 545 382 Structured Adjustable Rate Mortgage Loan, Ser 2007-3, Cl 2A1 (E) 5.971%, 04/01/08 456 357 - -------------------------------------------------------------------------------- 92 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Structured Adjustable Rate Mortgage Loan, Ser 2007-9, Cl 2A1 (E) 5.996%, 04/01/08 $ 472 $ 435 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-HY2, Cl 1A1 (E) 5.776%, 04/25/37 447 320 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-HY4, Cl 1A1 (E) 5.551%, 04/01/08 349 329 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-HY6, Cl 1A1 (E) 5.707%, 06/25/37 356 336 -------------- 5,245 -------------- Total Mortgage-Backed Securities (Cost $7,174) ($ Thousands) 6,222 -------------- U.S. GOVERNMENT AGENCY OBLIGATIONS (F) -- 1.1% FHLMC 2.214%, 06/27/08 275 274 FNMA 4.392%, 04/16/08 950 949 2.360%, 06/23/08 125 124 -------------- Total U.S. Government Agency Obligations (Cost $1,346) ($ Thousands) 1,347 -------------- CORPORATE OBLIGATION -- 0.0% FINANCIALS -- 0.0% Discover Financial Services (G) 6.450%, 06/12/17 10 9 -------------- Total Corporate Obligation (Cost $10) ($ Thousands) 9 -------------- CONVERTIBLE BOND -- 0.2% PETROLEUM REFINING -- 0.2% Nova Biosource 10.000%, 09/30/12 223 201 -------------- Total Convertible Bond (Cost $221) ($ Thousands) 201 -------------- - -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands)/Contracts ($ Thousands) - -------------------------------------------------------------------------------- Number of Rights --------- RIGHTS -- 0.0% Ares Capital, Expires 04/21/08 354 $ -- Centerline Holding Preferred, Expires 04/04/08 100 -- -------------- Total Rights (Cost $--) ($ Thousands) -- -------------- CASH EQUIVALENT**++ -- 7.3% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 3.190% 8,796,505 8,797 -------------- Total Cash Equivalent (Cost $8,797) ($ Thousands) 8,797 -------------- U.S. TREASURY OBLIGATIONS (A) -- 0.5% U. S. Treasury Bills (B) 3.385%, 06/26/08 $ 30 30 2.167%, 05/22/08 430 429 U. S. Treasury Bond TIPS 2.375%, 04/15/11 185 199 -------------- Total U.S. Treasury Obligations (Cost $642) ($ Thousands) 658 -------------- PURCHASED OPTION -- 0.0% U.S. 10-Year Treasury Call, July 2008, Expires 06/16/08, Strike Price : $95.00* 7 48 -------------- Total Purchased Option (Cost $3) ($ Thousands) 48 -------------- Total Investments -- 116.2% (Cost $150,636) ($ Thousands) $ 139,383 ============== COMMON STOCK SOLD SHORT -- (5.9)% CONSUMER DISCRETIONARY -- (1.2)% 99 Cents Only Stores* (4,300) (43) Arctic Cat (3,100) (23) Asbury Automotive Group (7,200) (99) Audiovox, Cl A* (1,700) (18) California Coastal Communities* (11,846) (57) Century Casinos* (14,571) (47) Coinstar* (4,805) (135) Coldwater Creek* (1,200) (6) CPI (200) (4) Great Wolf Resorts* (4,800) (31) Group 1 Automotive (900) (21) H&R Block (1,000) (21) K-Swiss, Class A (6,100) (97) - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 93 SCHEDULE OF INVESTMENTS (Unaudited) Small/Mid Cap Diversified Alpha Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Lakes Entertainment* (15,666) $ (69) Levitt, Cl A (39,409) (78) Lifetime Brands (3,616) (32) Lithia Motors, Cl A (7,600) (77) Lodgenet Entertainment* (2,300) (14) MTR Gaming Group* (13,055) (91) Nordstrom (1,600) (52) Peets Coffee & Tea* (685) (16) Ruth's Chris Steak House* (4,362) (30) Sonic Automotive (4,800) (99) Spartan Motors (200) (2) Steinway Musical Instruments* (2,300) (66) Superior Industries International (3,800) (79) The Steak N Shake* (414) (3) Timberland, Class A* (2,000) (27) Toll Brothers* (5,400) (127) Town Sports International* (1,900) (12) Triarc, Cl B (1,613) (11) -------------- (1,487) -------------- CONSUMER STAPLES -- (0.3)% Alico (2,081) (92) Andersons (1,278) (57) Calavo Growers (3,570) (62) MGP Ingredients (3,600) (25) Smithfield Foods* (1,800) (46) Tootsie Roll Industries (1,545) (39) Weis Markets (1,900) (66) -------------- (387) -------------- ENERGY -- (0.4)% Carbo Ceramics (2,600) (104) Exco Resources* (6,700) (124) Exterran Holdings* (1,200) (78) Oyo Geospace* (1,400) (64) Peabody Energy (1,100) (56) Petroleum Development* (800) (55) -------------- (481) -------------- FINANCIALS -- (1.0)% Bankfinancial (4,174) (66) Beneficial Mutual Bancorp* (2,100) (21) Cardinal Financial (4,574) (41) Centennial Bank Holdings* (12,166) (76) Cousins Properties+ (1,300) (32) Cowen Group* (3,300) (23) Deerfield Capital (171) -- Dime Community (100) (2) EMC Insurance Group (2,700) (73) Harris & Harris Group* (7,798) (56) Independence Holding (6,883) (82) Irwin Financial (100) (1) - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Jefferies Group (5,200) $ (84) KBW* (700) (16) Nymagic (2,200) (50) Oceanfirst Financial (4,554) (80) Piper Jaffaray* (2,100) (71) Plum Creek Timber+ (4,100) (167) State Auto Financial (900) (26) Stewart Information Services (5,509) (154) Westfield Financial (4,158) (41) -------------- (1,161) -------------- HEALTH CARE -- (0.8)% Abiomed* (3,000) (39) Alpharma, Cl A (4,000) (105) AMAG Pharmaceuticals* (2,600) (105) APP Pharmaceuticals* (2,305) (28) Auxilium Pharmaceuticals* (700) (19) Brookdale Senior Living (3,100) (74) Cepheid* (2,500) (61) Cross Country* (5,200) (64) Emeritus* (4,707) (98) Enzo Biochem* (6,259) (57) Micrus Endovascular* (3,000) (37) Minrad International* (26,545) (62) Mylan (4,000) (46) Third Wave Technologies* (8,764) (81) Vital Images* (3,200) (47) Volcano* (1,000) (14) -------------- (937) -------------- INDUSTRIALS -- (0.6)% Baldor Electric (3,300) (92) Coleman Cable* (8,439) (93) Flanders* (11,460) (70) Gehl* (2,300) (39) Healthcare Services Group (4,900) (101) Innovative Solutions & Support* (5,484) (58) Insteel Industries (1,200) (14) LMI Aerospace* (3,807) (74) Northwest Pipe* (1,200) (51) Owens Corning* (4,700) (85) Turbochef Technologies* (3,300) (21) Universal Forest Products (1,700) (55) -------------- (753) -------------- INFORMATION TECHNOLOGY -- (0.8)% Agilysys (8,400) (98) Ariba* (7,200) (70) Ditech Networks* (16,733) (49) DTS* (4,620) (111) Electro Scientific Industries* (1,000) (17) Electronic Arts* (300) (15) - -------------------------------------------------------------------------------- 94 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Equinix* (1,200) $ (80) Exar* (4,100) (34) Liquidity Services* (2,400) (19) LivePerson* (21,672) (67) Micron Technology (9,570) (57) Mosys* (14,671) (64) PDF Solutions* (8,217) (45) Radisys* (3,900) (39) Smith Micro Software* (6,126) (37) SourceForge* (36,551) (73) Switch & Data Facilities* (2,000) (20) Symyx Technologies* (4,100) (31) T-HQ* (800) (17) -------------- (943) -------------- MATERIALS -- (0.3)% Balchem, Cl B (100) (2) Deltic Timber (1,236) (69) Esmark* (58) (1) Idaho General Mines* (10,400) (83) Louisiana-Pacific (10,200) (94) Royal Gold (1,900) (57) Valhi (1,200) (28) Wausau Paper (4,700) (39) Westlake Chemical (1,700) (22) -------------- (395) -------------- TELECOMMUNICATION SERVICES -- (0.2)% Crown Castle International* (900) (31) Leap Wireless International* (2,300) (107) Surewest Communications (4,231) (65) -------------- (203) -------------- UTILITIES -- (0.3)% California Water Service Group (2,437) (93) Central Vermont Public Service (217) (5) CH Energy Group (2,500) (97) Connecticut Water Service (1,940) (46) Middlesex Water (3,236) (59) SJW (1,065) (30) -------------- (330) -------------- Total Common Stock Sold Short (Proceeds $(8,395)) ($ Thousands) (7,077) -------------- A summary of the open futures contracts held by the Fund at March 31, 2008, is as follows (see Note 2 in Notes to Financial Statements): - -------------------------------------------------------------------------------- UNREALIZED NUMBER OF APPRECIATION TYPE OF CONTRACTS EXPIRATION (DEPRECIATION) CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - -------------------------------------------------------------------------------- 90-Day Euro$ 1 Mar-2010 $ (1) 90-Day Euro$ (1) Mar-2011 (3) 90-Day Euro$ (1) Mar-2012 (2) 90-Day Euro$ 2 Mar-2012 2 90-Day Euro$ 9 Mar-2009 4 90-Day Euro$ (19) Jun-2010 (79) 90-Day Euro$ 4 Jun-2012 6 90-Day Euro$ (19) Jun-2008 (36) 90-Day Euro$ 14 Jun-2008 47 90-Day Euro$ 25 Jun-2009 81 90-Day Euro$ (1) Sep-2010 (3) 90-Day Euro$ 6 Sep-2012 10 90-Day Euro$ 10 Sep-2008 11 90-Day Euro$ 26 Sep-2009 75 90-Day Euro$ (1) Dec-2010 (3) 90-Day Euro$ (1) Dec-2011 (2) 90-Day Euro$ 3 Dec-2008 1 90-Day Euro$ 11 Dec-2009 4 Russell 2000 Index E-MINI 69 Jun-2008 33 Russell 2000 Index E-MINI 126 Jun-2008 288 S&P Mid 400 Index E-MINI 12 Jun-2008 15 S&P Mid 400 Index E-MINI 130 Mar-2008 167 10-Year Swap (31) Jun-2008 (86) U.S. 2-Year Note 5 Mar-2008 7 U.S. 10-Year Note 16 Jun-2008 54 U.S. Long Treasury Bond 1 Mar-2008 4 -------------- $ 594 ============== A summary of outstanding swap agreements held by the Fund at March 31, 2008, is as follows (see Note 2 in Notes to Financial Statements): - -------------------------------------------------------------------------------- TOTAL RETURN SWAPS - -------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------- Fund receives payment on the monthly reset spread from Bank of America--CMBS AAA 10 YR Index minus 0 basis points time the notional amount. Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Barclays) 08/30/08 $ 15,000 $ 342 ============= - -------------------------------------------------------------------------------- CREDIT DEFAULT SWAPS - -------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------- Fund receives monthly payment of 0.015% (0.18% per annum) times the notional amount of the ABX-HE-AAA-6-1 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Barclays) 07/25/45 $ (100) $ (5) Fund receives monthly payment of 0.015% (0.18% per annum) times the notional amount of the ABX-HE-AAA-6-1 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Barclays) 07/25/45 (200) (9) Fund pays quarterly payment of 0.275% (1.10% per annum) times the notional amount of Century Tel Inc., 04/01/17. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Goldman Sachs International) 03/20/13 250 5 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 95 SCHEDULE OF INVESTMENTS (Unaudited) Small/Mid Cap Diversified Alpha Fund (Concluded) March 31, 2008 - -------------------------------------------------------------------------------- CREDIT DEFAULT SWAPS - -------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------- Fund pays quarterly payment of 0.1475% (0.59% per annum) times the notional amount of Safeway Inc., 08/15/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 03/20/13 $ 250 $ -- Fund pays quarterly payment of 0.2375% (0.95% per annum) times the notional amount of Lowe's Co. Inc., 06/01/10. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 03/20/13 250 1 Fund pays quarterly payment of 0.20% (0.80% per annum) times the notional amount of Borg-Warner Auto, 02/15/09. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Goldman Sachs) 03/20/13 250 1 Fund pays quarterly payment of 0.15% (0.60% per annum) times the notional amount of the CDX.NA.IG9 Index. Upon a defined credit event, Fund receives the notional amount and delivers the defined deliverable obligation. (Counterparty: Goldman Sachs) 12/20/12 1,000 2 Fund pays quarterly payment of 0.15% (0.60% per annum) times the notional amount of the CDX.NA.IG9 Index. Upon a defined credit event, Fund receives the notional amount and delivers the defined deliverable obligation. (Counterparty: Goldman Sachs) 12/20/12 750 -- Fund pays quarterly payment of 0.15% (0.60% per annum) times the notional amount of the CDX.NA.IG9 Index. Upon a defined credit event, Fund receives the notional amount and delivers the defined deliverable obligation. (Counterparty: Goldman Sachs) 12/20/12 500 (1) Fund receives monthly payment of 0.05% (0.60% per annum) times the notional amount of the CMBX NA-BBB 2 Index. Upon a defined credit event, Fund pays the notional amount and takes the defined deliverable obligation. (Counterparty: Goldman Sachs) 03/14/49 1,000 119 Fund pays quarterly payment of 0.15% (0.60% per annum) times the notional amount of the CDX.NA.IG9 Index. Upon a defined credit event, Fund receives the notional amount and delivers the defined deliverable obligation. (Counterparty: Bank of America) 12/20/12 500 14 Fund pays quarterly payment of 0.113% (0.452% per annum) times the notional amount of the CDX.TES F5 Index. Upon a defined credit event, Fund receives the notional amount and delivers the defined deliverable obligation. (Counterparty: Bank of America) 12/20/12 250 5 Fund pays quarterly payment of 0.113% (0.452% per annum) times the notional amount of the CDX.TES F5 Index. Upon a defined credit event, Fund receives the notional amount and delivers the defined deliverable obligation. (Counterparty: Bank of America) 12/20/12 250 5 ------------- $ 137 ============= - -------------------------------------------------------------------------------- Description - -------------------------------------------------------------------------------- Percentages are based on Net Assets of $119,926 ($ Thousands). * Non-Income Producing Security. ** Rate shown is the 7-day effective yield as of March 31, 2008. + Real Estate Investment Trust. ++ Investment in Affiliated Security (see Note 3). (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. (B) The rate reported is the effective yield at time of purchase. (C) All or a portion of this security has been pledged as collateral for securities sold short. The total value of collateral for securities sold short at March 31, 2008 was $24,233 ($ Thousands). (D) Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total value of such securities as of March 31, 2008 was $445 ($ Thousands) and represented 0.37% of Net Assets. (E) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2008. (F) Zero Coupon Bond -- The rate shown is the effective yield at time of purchase. (G) Security sold within the terms of a private placement memorandum, exempt from registration under section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (H) Security considered illiquid and restricted. The total value of such securities at March 31, 2008 was $445 ($ Thousands) and represented 0.37% of Net Assets. ADR -- American Depositary Receipt ARM -- Adjustable Rate Mortgage Cl -- Class CMO -- Collateralized Mortgage Obligation FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GMAC -- General Motors Acceptance Corporation IO -- Interest Only LLC -- Limited Liability Company L.P. -- Limited Partnership MTN -- Medium Term Note PIPE -- Public Investment in Public Entity Ser -- Series STRIPS -- Separately Traded Registered Interest and Principal Securities TBA -- To Be Announced TIPS -- Treasury Inflation Protected Securities Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 96 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 Mid-Cap Fund March 31, 2008 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS#: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] Financials 13.5% Information Technology 13.4% Industrials 13.4% Short-Term Investments 13.1% Consumer Discretionary 11.5% Energy 9.2% Health Care 8.1% Materials 6.0% Utilities 5.8% Consumer Staples 4.1% Telecommunication Services 1.6% U.S. Treasury Obligation 0.3% Rights 0.0% # Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7). - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- COMMON STOCK--97.9% CONSUMER DISCRETIONARY -- 13.0% Abercrombie & Fitch, Cl A 3,600 $ 263 Advance Auto Parts 15,100 514 American Eagle Outfitters 16,900 296 AnnTaylor Stores* 7,100 172 Apollo Group, Cl A* 6,400 277 Asbury Automotive Group 7,800 107 Autoliv 20,400 1,024 AutoNation* 5,900 88 Autozone* 2,900 330 Big Lots (C)* 38,400 856 Black & Decker 1,800 119 Boyd Gaming 6,900 138 Brinker International 10,400 193 Christopher & Banks 4,500 45 Coach* 14,900 449 CROCS (C)* 20,800 363 Darden Restaurants 22,600 736 DIRECTV Group* 13,600 337 DISH Network, Cl A* 39,900 1,146 Dollar Tree* 41,100 1,134 Expedia* 34,200 749 Family Dollar Stores 13,100 255 GameStop, Cl A* 12,500 646 Gannett 10,000 291 Garmin (C)* 2,800 151 Gymboree* 1,300 52 H&R Block 800 17 Hanesbrands* 34,000 993 Harley-Davidson 3,500 131 Harman International Industries 1,700 74 Hasbro (C) 26,500 739 IAC/InterActive* 13,600 282 International Speedway, Cl A 3,500 144 Jack in the Box* 6,000 161 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Jarden (C)* 16,500 $ 359 Jones Apparel Group 18,100 243 Ltd Brands 7,300 125 Mattel 13,100 261 McGraw-Hill 900 33 Newell Rubbermaid 2,100 48 Nordstrom 2,000 65 PetSmart 4,400 90 RadioShack 37,900 616 Regal Entertainment Group, Cl A (C) 60,100 1,159 Royal Caribbean Cruises 2,000 66 Service International 86,600 878 Sherwin-Williams 1,000 51 Snap-On 16,600 844 Stanley Works 6,100 291 Steven Madden* 1,000 17 Thor Industries 600 18 TJX (C) 48,800 1,614 TRW Automotive Holdings* 7,600 178 Urban Outfitters* 5,400 169 VF 2,800 217 Warnaco Group* 3,300 130 Weight Watchers International 500 23 Whirlpool 3,500 304 Wolverine World Wide 2,300 67 Wyndham Worldwide 9,900 205 Yum! Brands 5,200 194 -------------- 21,537 -------------- CONSUMER STAPLES -- 4.7% Bare Escentuals* 5,300 124 Campbell Soup 5,400 183 Clorox 5,900 334 Coca-Cola Enterprises 51,600 1,249 ConAgra Foods 14,300 342 Constellation Brands, Cl A* 6,600 117 Del Monte Foods 26,500 253 Energizer Holdings* 1,300 118 HJ Heinz 2,500 117 Kimberly-Clark 2,200 142 Kroger 9,100 231 Loews - Carolina Group 200 15 Molson Coors Brewing, Cl B 7,400 389 Nu Skin Enterprises, Cl A 11,200 202 Pepsi Bottling Group 35,900 1,217 PepsiAmericas 1,100 28 Reynolds American 3,200 189 Safeway 27,200 798 Sara Lee 29,000 405 SUPERVALU (C) 40,200 1,205 TreeHouse Foods* 600 14 -------------- 7,672 -------------- - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 97 SCHEDULE OF INVESTMENTS (Unaudited) Mid-Cap Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- ENERGY -- 10.4% Chesapeake Energy 11,800 $ 545 Cimarex Energy (C) 20,500 1,122 El Paso (C) 83,000 1,381 ENSCO International (C) 22,100 1,384 FMC Technologies* 10,000 569 Frontier Oil 6,300 172 Frontline (C)* 23,300 1,072 Helmerich & Payne 35,200 1,650 Hess 3,100 273 Holly 1,900 82 Murphy Oil 6,500 534 National Oilwell Varco* 300 18 Noble 1,700 84 Noble Energy 2,600 189 Overseas Shipholding Group 1,500 105 Patterson-UTI Energy (C) 13,900 364 Pioneer Natural Resources 6,600 324 Pride International* 6,300 220 Quicksilver Resources* 7,200 263 Rowan 4,200 173 SandRidge Energy* 9,600 376 Spectra Energy 1,300 30 St Mary Land & Exploration 2,000 77 Sunoco 11,200 588 Tidewater 21,700 1,196 Unit* 25,600 1,450 W&T Offshore 26,800 914 Western Refining 300 4 Williams 59,800 1,972 -------------- 17,131 -------------- FINANCIALS -- 15.1% Allied World Assurance Holdings 2,900 115 American Financial Group 11,800 302 Annaly Capital Management+ (C) 100,200 1,535 Apollo Investment (C) 1,800 29 Arch Capital Group* 5,900 405 Astoria Financial 36,400 989 Axis Capital Holdings 38,100 1,295 Bank of Hawaii 19,300 957 Brandywine Realty Trust+ 17,700 300 CB Richard Ellis Group, Cl A* 7,400 160 CBL & Associates Properties+ 13,300 313 CIT Group 3,700 44 CNA Financial 2,900 75 Colonial BancGroup (C) 12,000 116 Colonial Properties Trust+ (C) 31,400 755 Comerica 9,100 319 Community Bancorp* 800 11 Conseco* 1,000 10 Duke Realty+ 4,500 103 East West Bancorp 10,600 188 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Endurance Specialty Holdings 5,000 $ 183 Everest Re Group 3,500 313 Federated Investors, Cl B 26,400 1,034 General Growth Properties+ 6,200 237 Genworth Financial, Cl A 8,700 197 HCC Insurance Holdings 2,400 54 Health Care+ (C) 32,400 1,462 Hercules Technology Growth Capital 1,400 15 Hospitality Properties Trust+ 42,000 1,429 Host Hotels & Resorts+ 17,900 285 Hudson City Bancorp 26,000 460 Huntington Bancshares 27,900 300 Invesco* 45,300 1,104 Investment Technology Group* 4,100 189 iStar Financial+ (C) 19,700 276 Janus Capital Group (C) 11,100 258 Jones Lang LaSalle (C) 13,800 1,067 Keycorp 7,600 167 Legg Mason 2,900 162 M&T Bank 400 32 Macerich+ 1,500 105 Marshall & Ilsley 4,800 111 MCG Capital 1,300 12 MF Global* 7,100 70 MSCI, Cl A* 9,100 271 NASDAQ Stock Market* 3,500 135 Nationwide Financial Services, Cl A 300 14 Northern Trust 1,800 120 NorthStar Realty Finance+ (C) 5,200 43 PartnerRe 4,400 336 Platinum Underwriters Holdings 2,000 65 Prologis+ (C) 22,500 1,324 Ramco-Gershenson Properties+ 1,200 25 Regions Financial 1,500 30 RenaissanceRe Holdings 16,900 877 Safeco 2,400 105 SeaBright Insurance Holdings* 1,800 27 Sovereign Bancorp (C) 73,000 680 TD Ameritrade Holding* 16,000 264 Torchmark 11,800 709 Transatlantic Holdings 6,400 425 Travelers 2,600 124 Valley National Bancorp (C) 39,900 766 Wilmington Trust 500 16 WR Berkley 17,900 496 XL Capital, Cl A 8,200 242 Zions Bancorporation 6,400 292 -------------- 24,929 -------------- HEALTH CARE -- 9.2% AmerisourceBergen 800 33 Applera -- Applied Biosystems Group 11,300 371 Cephalon (C)* 5,300 341 - -------------------------------------------------------------------------------- 98 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Cigna 36800 $ 1,493 Covance* 3,500 290 CR Bard 400 39 Edwards Lifesciences* 4,200 187 Endo Pharmaceuticals Holdings* 6,100 146 Express Scripts* 7,500 482 Forest Laboratories* 14,600 584 Health Net* 35,800 1,103 Hillenbrand Industries 300 14 Humana* 6,700 301 Idexx Laboratories* 5,300 261 IMS Health 43,300 910 Intuitive Surgical (C)* 5,200 1,687 Invitrogen* 2,400 205 Kinetic Concepts* 29,500 1,364 King Pharmaceuticals* 28,000 244 LifePoint Hospitals* 10,600 291 Lincare Holdings* 39,100 1,099 Millennium Pharmaceuticals* 21,700 336 Sepracor* 1,400 27 St. Jude Medical* 30,900 1,335 Vertex Pharmaceuticals (C)* 16,300 389 Warner Chilcott, Cl A* 73,500 1,323 Waters* 4,600 256 -------------- 15,111 -------------- INDUSTRIALS -- 15.1% Alliant Techsystems* 2,200 228 Allied Waste Industries* 108,300 1,171 Avery Dennison 6,600 325 Carlisle 4,600 154 Continental Airlines, Cl B* 8,500 163 Cooper Industries, Cl A 3,700 149 Covanta Holding (C)* 23,600 649 Crane 25,300 1,021 CSX 32,500 1,822 Cummins 19,500 913 Dover 6,100 255 Eaton 12,800 1,020 EMCOR Group* 1,600 36 Fastenal 8,500 390 First Solar* 1,000 231 Fluor 10,500 1,482 Gardner Denver* 36,000 1,336 Goodrich 17,700 1,018 Harsco 30,100 1,667 Hertz Global Holdings* 69,600 839 Hubbell, Cl B 3,600 157 Ingersoll-Rand, Cl A 18,600 829 Jacobs Engineering Group* 3,400 250 Kansas City Southern (C)* 5,300 213 KBR* 22,900 635 Kimball International, Cl B 700 7 L-3 Communications Holdings 3,900 426 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Lennox International 2,400 $ 86 Manitowoc 4,600 188 Manpower 7,100 399 Masco (C) 5,100 101 McDermott International* 2,900 159 Norfolk Southern 1,200 65 Northrop Grumman 1,100 86 Oshkosh Truck 24,300 882 Parker Hannifin 19,650 1,361 PeopleSupport (C)* 3,700 34 Pitney Bowes 4,900 172 Precision Castparts 1,400 143 Raytheon 1,600 103 Republic Services 400 12 Robert Half International 9,100 234 Rockwell Automation 6,500 373 Rockwell Collins 7,100 406 RR Donnelley & Sons 12,000 364 Ryder System 11,900 725 Shaw Group* 11,500 542 SPX 1,300 136 Steelcase, Cl A 12,100 134 Stericycle* 6,700 345 Textron 100 6 Trinity Industries (C) 6,500 173 TrueBlue* 3,400 46 Tyco International 1,500 66 United Rentals* 4,600 87 WESCO International* 5,300 193 -------------- 25,007 -------------- INFORMATION TECHNOLOGY -- 15.2% Accenture, Cl A 1,600 56 Activision* 10,100 276 ADC Telecommunications* 29,600 358 Adobe Systems* 3,400 121 Agilent Technologies* 11,700 349 Altera 3,900 72 Amphenol, Cl A 4,200 156 Analog Devices 1,500 44 Arrow Electronics* 31,300 1,053 Automatic Data Processing 4,900 208 Avnet* 39,800 1,303 BMC Software* 45,800 1,489 Broadridge Financial Solutions 40,800 718 Brocade Communications Systems* 5,200 38 CA 21,100 475 Cadence Design Systems* 19,400 207 Ciena* 900 28 CommScope* 3,500 122 Computer Sciences* 23,400 954 Compuware* 15,100 111 DST Systems (C)* 1,000 66 eBay* 9,600 286 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 99 SCHEDULE OF INVESTMENTS (Unaudited) Mid-Cap Fund (Concluded) March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Electronic Data Systems 83,800 $ 1,395 Factset Research Systems 3,000 162 Global Payments 3,900 161 Harris 25,300 1,228 Hewitt Associates, Cl A* 29,900 1,189 Ingram Micro, Cl A* 10,500 166 Integrated Device Technology* 85,700 765 Intuit* 3,400 92 Jabil Circuit 13,200 125 Linear Technology (C) 5,700 175 LSI Logic* 10,300 51 Mastercard, Cl A 800 178 McAfee* 4,800 159 MEMC Electronic Materials* 20,700 1,468 Mettler Toledo International* 16,000 1,554 National Semiconductor 1,900 35 NetApp (C)* 17,200 345 Nvidia* 68,700 1,360 QLogic* 12,700 195 Seagate Technology 78,700 1,648 Silicon Laboratories* 300 9 Symantec* 15,100 251 Synopsys* 65,900 1,497 Western Digital (C)* 62,400 1,687 Xerox 33,300 498 Xilinx 3,900 93 Zebra Technologies, Cl A* 4,200 140 -------------- 25,116 -------------- MATERIALS -- 6.8% AK Steel Holding (C)* 23,200 1,263 Albemarle 5,700 208 Ball 4,500 207 Celanese, Ser A 46,200 1,804 Chemtura 13,800 101 Commercial Metals 1,000 30 Domtar* 1,800 12 Eastman Chemical 5,500 343 Ecolab 2,700 117 FMC 20,700 1,149 Lubrizol 18,900 1,049 Mosaic* 3,000 308 Nalco Holding 2,000 42 Olin 1,300 26 Owens-Illinois* 24,700 1,394 Packaging of America 11,900 266 Pactiv* 13,400 351 PPG Industries 4,200 254 Reliance Steel & Aluminum 17,400 1,042 Rohm & Haas 500 27 Scotts Miracle-Gro, Cl A 8,400 272 Sonoco Products 16,900 484 Spartech 5,100 43 Steel Dynamics (C) 1,200 40 - -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Terra Industries (C)* 3,000 $ 107 United States Steel 2,200 279 Valspar 2,300 46 Zep* 650 10 -------------- 11,274 -------------- TELECOMMUNICATION SERVICES -- 1.9% CenturyTel 8,000 266 Embarq (C) 33,100 1,327 NII Holdings* 6,500 207 Qwest Communications International (C) 23,100 105 US Cellular* 14,000 770 Windstream 31,000 370 -------------- 3,045 -------------- UTILITIES -- 6.5% AES* 114,800 1,914 American Electric Power 7,400 308 Atmos Energy 3,700 94 Centerpoint Energy 20,000 285 CMS Energy 21,300 288 Consolidated Edison 6,600 262 Constellation Energy Group 4,900 433 DTE Energy 5,700 222 Edison International 46,600 2,284 Energen 16,600 1,034 MDU Resources Group 800 20 Nicor 400 13 NiSource 13,200 228 NRG Energy* 4,100 160 OGE Energy 1,200 37 Oneok 3,600 161 Pepco Holdings 29,900 739 Portland General Electric 800 18 PPL 1,000 46 Progress Energy 4,400 184 SCANA 1,900 70 Sempra Energy 22,400 1,193 Sierra Pacific Resources 63,500 802 -------------- 10,795 -------------- Total Common Stock (Cost $171,534) ($ Thousands) 161,617 -------------- CORPORATE OBLIGATION (D) (E) -- 0.2% FINANCIALS -- 0.2% SLM MTN, Ser S 2.827%, 04/14/08 $ 403 403 -------------- Total Corporate Obligation (Cost $403) ($ Thousands) 403 -------------- - -------------------------------------------------------------------------------- 100 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Number of Rights --------- RIGHTS -- 0.0% MCGC Capital, Expires 04/18/08* 186 $ -- -------------- Total Rights (Cost $--) ($ Thousands) -- -------------- CASH EQUIVALENTS**++ -- 14.9% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 3.190% 2,978,831 2,979 SEI Liquidity Fund L.P., 3.200% (D) 21,586,195 21,586 -------------- Total Cash Equivalents (Cost $24,565) ($ Thousands) 24,565 -------------- U.S. TREASURY OBLIGATION (A) (B) -- 0.3% U. S. Treasury Bill 2.167%, 05/22/08 $ 546 545 -------------- Total U.S. Treasury Obligation (Cost $544) ($ Thousands) 545 -------------- Total Investments -- 113.3% (Cost $197,046) ($ Thousands) $ 187,130 ============== A summary of the open futures contracts held by the Fund at March 31, 2008, is as follows (see Note 2 in Notes to Financial Statements): - -------------------------------------------------------------------------------- NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION APPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - -------------------------------------------------------------------------------- S&P Mid 400 Index E-MINI 39 Jun-2008 $ 20 ============= Percentages are based on Net Assets of $165,158 ($ Thousands). * Non-Income Producing Security. ** Rate shown is the 7-day effective yield as of March 31, 2008. + Real Estate Investment Trust. ++ Investment in Affiliated Security (see Note 3). (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. (B) The rate reported is the effective yield at time of purchase. (C) This security or a partial position of this security is on loan at March 31, 2008 (see Note 7). The total value of securities on loan at March 31, 2008 was $21,464 ($ Thousands). (D) This security was purchased with cash collateral held from securities on loan (see Note 7). The total value of such securities as of March 31, 2008 was $21,989 ($ Thousands). (E) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2008. Cl -- Class L.P. -- Limited Partnership MTN -- Medium Term Note Ser -- Series Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 101 SCHEDULE OF INVESTMENTS (Unaudited) U.S. Managed Volatility Fund March 31, 2008 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS#: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] Health Care 24.5% Industrials 11.6% Financials 11.0% Consumer Staples 10.8% Utilities 8.8% Energy 7.7% Consumer Discretionary 6.8% Information Technology 6.4% Short-Term Investment 4.8% Telecommunication Services 3.8% Materials 3.6% U.S. Treasury Obligation 0.2% # Percentages based on total investments. - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- COMMON STOCK -- 94.9% CONSUMER DISCRETIONARY -- 6.8% Autoliv 37,900 $ 1,903 Career Education* 41,100 523 Choice Hotels International 53,500 1,825 Clear Channel Outdoor Holdings, Cl A* 3,907 74 Dillard's, Cl A 51,800 892 DIRECTV Group* 96,700 2,397 Genuine Parts 42,700 1,717 Harte-Hanks 27,000 369 International Speedway, Cl A 38,200 1,574 ITT Educational Services* 36,800 1,690 Jack in the Box* 14,000 376 Lamar Advertising, Cl A 36,900 1,326 McGraw-Hill 27,400 1,012 Pacific Sunwear of California* 23,100 291 Panera Bread, Cl A* 7,800 327 Penn National Gaming* 39,500 1,727 Polaris Industries 12,400 509 Shaw Communications, Cl B* 119,100 2,165 Starwood Hotels & Resorts Worldwide 47,200 2,443 TRW Automotive Holdings* 92,800 2,169 Tupperware Brands* 56,100 2,170 Washington Post, Cl B 6,646 4,396 Weight Watchers International 38,700 1,793 -------------- 33,668 -------------- CONSUMER STAPLES -- 10.8% Alberto-Culver 20,895 573 Altria Group 23,445 520 Anheuser-Busch 36,300 1,722 Brown-Forman, Cl B 6,026 399 Campbell Soup 15,954 542 Church & Dwight 41,700 2,262 Corn Products International 17,870 664 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- General Mills 148,276 $ 8,879 Hansen Natural* 48,300 1,705 Hershey 60,300 2,271 Hormel Foods 208,273 8,677 JM Smucker 15,900 805 Kellogg 115,655 6,079 Kimberly-Clark 63,136 4,075 McCormick 48,466 1,792 Molson Coors Brewing, Cl B 14,200 746 Pepsi Bottling Group 61,600 2,089 PepsiAmericas 3,507 90 PepsiCo 27,166 1,961 Philip Morris International* 23,445 1,186 Procter & Gamble 17,881 1,253 Reynolds American 65,416 3,861 SYSCO 33,186 963 -------------- 53,114 -------------- ENERGY -- 7.7% Berry Petroleum, Cl A 43,500 2,022 Cameco* 70,400 2,319 Chevron 70,454 6,014 Enbridge* 55,900 2,301 Exxon Mobil 72,322 6,117 Imperial Oil 42,000 2,195 Murphy Oil 42,299 3,474 Nexen 80,700 2,390 Petro-Canada* 43,400 1,884 SEACOR Holdings* 71,967 6,143 Spectra Energy 63,075 1,435 TransCanada* 43,700 1,684 -------------- 37,978 -------------- FINANCIALS -- 10.9% Alleghany* 6,050 2,066 American National Insurance 9,677 1,032 Arch Capital Group* 22,695 1,558 Arthur J. Gallagher 58,991 1,393 Bancorpsouth 80,600 1,867 BOK Financial 50,317 2,628 Capitol Federal Financial 8,422 316 Colonial BancGroup 98,200 946 Commerce Bancshares 66,482 2,794 Credicorp 24,600 1,765 East West Bancorp 30,300 538 Erie Indemnity, Cl A 36,500 1,868 Federated Investors, Cl B 58,600 2,295 First Citizens BancShares, Cl A 11,735 1,635 Fulton Financial 168,200 2,067 Investment Technology Group* 29,900 1,381 Jones Lang LaSalle 28,100 2,173 Loews 106,903 4,300 Markel* 10,947 4,816 - -------------------------------------------------------------------------------- 102 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Mercury General 33,985 $ 1,506 OneBeacon Insurance Group 3,138 60 PartnerRe 4,337 331 Popular 162,000 1,889 RenaissanceRe Holdings 38,000 1,973 Stancorp Financial Group 34,500 1,646 Student Loan 48 5 Transatlantic Holdings 41,328 2,742 Valley National Bancorp 85,300 1,639 Wesco Financial 2,209 892 White Mountains Insurance Group 2,642 1,268 Whitney Holding 31,700 786 Willis Group Holdings 56,100 1,885 -------------- 54,060 -------------- HEALTH CARE -- 24.5% Abbott Laboratories 3,623 200 Alcon 16,700 2,376 AmerisourceBergen 192,401 7,885 Amgen* 43,917 1,835 Applera -- Applied Biosystems Group 69,899 2,297 Baxter International 21,895 1,266 Beckman Coulter 11,585 748 Becton Dickinson 63,425 5,445 BioMarin Pharmaceuticals* 59,200 2,094 Cardinal Health 90,148 4,734 Celgene* 17,000 1,042 Charles River Laboratories International* 33,300 1,963 Covance* 46,405 3,850 Coventry Health Care* 29,300 1,182 C.R. Bard 10,590 1,021 Dentsply International 76,876 2,967 Edwards Lifesciences* 102,435 4,563 Eli Lilly 35,439 1,828 Endo Pharmaceuticals Holdings* 97,374 2,331 Genentech* 16,218 1,317 Genzyme* 57,232 4,266 Health Net* 77,982 2,402 Henry Schein* 99,733 5,725 Hillenbrand Industries 102,278 4,889 Hospira* 14,955 640 Humana* 6,083 273 Idexx Laboratories* 81,105 3,995 Immucor* 54,100 1,154 Johnson & Johnson 61,316 3,978 King Pharmaceuticals* 165,400 1,439 Laboratory of America Holdings* 80,806 5,954 McKesson 141,196 7,394 Medco Health Solutions* 115,292 5,049 Onyx Pharmaceuticals* 43,100 1,251 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Patterson* 89,209 $ 3,238 Perrigo 57,000 2,151 Pfizer 112,019 2,344 Pharmaceutical Product Development 8,740 366 Techne* 77,955 5,251 Universal Health Services, Cl B 82,681 4,439 Watson Pharmaceuticals* 14,100 413 WellPoint* 74,200 3,274 -------------- 120,829 -------------- INDUSTRIALS -- 11.6% Alexander & Baldwin 8,100 349 Alliant Techsystems* 20,500 2,122 Amerco* 5,800 331 C.H. Robinson Worldwide 99,992 5,440 Clarcor 47,800 1,699 Dun & Bradstreet 17,553 1,428 Gardner Denver* 50,100 1,859 GATX 25,700 1,004 General Cable* 37,500 2,215 General Dynamics 19,604 1,634 Granite Construction 18,600 608 Hubbell, Cl B 16,300 712 JetBlue Airways* 82,800 480 Landstar System 37,900 1,977 Lennox International 56,100 2,018 Lincoln Electric Holdings 28,900 1,864 Lockheed Martin 57,150 5,675 Northrop Grumman 76,152 5,925 Pitney Bowes 86,690 3,036 Raytheon 51,532 3,330 Republic Services 31,773 929 Ritchie Bros. Auctioneers 27,700 2,275 Robert Half International 64,100 1,650 Stericycle* 7,549 389 United Parcel Service, Cl B 53,285 3,891 Valmont Industries 19,600 1,723 Waste Management 39,244 1,317 Woodward Governor 61,400 1,641 -------------- 57,521 -------------- INFORMATION TECHNOLOGY -- 6.4% Acxiom 37,200 442 Adtran 19,500 361 Affiliated Computer Services, Cl A* 41,800 2,095 Amdocs* 25,847 733 Arrow Electronics* 37,787 1,272 AVX 17,984 230 Computer Sciences* 4,959 202 Diebold 2,088 78 Factset Research Systems 35,100 1,891 Fairchild Semiconductor International* 6,021 72 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 103 SCHEDULE OF INVESTMENTS (Unaudited) U.S. Managed Volatility Fund (Concluded) March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Flir Systems* 55,100 $ 1,658 Hewitt Associates, Cl A* 50,900 2,024 Ingram Micro, Cl A* 263,110 4,165 Lexmark International, Cl A* 47,400 1,456 Mettler Toledo International* 1,113 108 National Instruments 5,939 155 NCR* 20,240 462 Qualcomm 41,800 1,714 Silicon Laboratories* 16,600 524 Sybase* 73,900 1,944 Synopsys* 20,836 473 Tech Data* 188,732 6,190 WebMD Health, Cl A* 27,130 639 Xerox 45,407 680 Zebra Technologies, Cl A* 63,455 2,114 -------------- 31,682 -------------- MATERIALS -- 3.6% Aptargroup 44,300 1,725 Bemis 31,800 809 Eagle Materials 18,100 643 Greif, Cl A 31,800 2,160 Methanex 69,400 1,816 Newmont Mining 109,285 4,951 Nova Chemicals 59,600 1,421 Packaging of America 75,000 1,675 Silver Standard Resources* 23,400 710 Sonoco Products 67,500 1,932 -------------- 17,842 -------------- TELECOMMUNICATION SERVICES -- 3.8% AT&T 77,300 2,961 CenturyTel 55,300 1,838 Sprint Nextel 395,900 2,648 Telephone & Data Systems 88,890 3,491 US Cellular* 59,965 3,298 Verizon Communications 118,922 4,335 -------------- 18,571 -------------- UTILITIES -- 8.8% AGL Resources 53,300 1,829 Alliant Energy 69,895 2,447 Ameren 37,000 1,630 Atmos Energy 77,000 1,964 Consolidated Edison 48,800 1,937 Dominion Resources 19,500 796 DPL 66,200 1,697 DTE Energy 48,000 1,867 Edison International 44,700 2,191 Great Plains Energy 59,600 1,469 Hawaiian Electric Industries 111,495 2,662 MDU Resources Group 66,000 1,620 - -------------------------------------------------------------------------------- Shares/ Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- NiSource 112,600 $ 1,941 NSTAR 50,100 1,525 OGE Energy 135,976 4,238 Oneok 2,582 115 Pepco Holdings 41,100 1,016 PG&E 52,800 1,944 SCANA 50,900 1,862 TECO Energy 134,600 2,147 Vectren 50,877 1,365 Westar Energy 80,500 1,833 Wisconsin Energy 74,355 3,271 -------------- 43,366 -------------- Total Common Stock (Cost $484,901) ($ Thousands) 468,631 -------------- CASH EQUIVALENT**+ -- 4.8% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 3.190% 23,846,678 23,847 -------------- Total Cash Equivalent (Cost $23,847) ($ Thousands) 23,847 -------------- U.S. TREASURY OBLIGATION (A) -- 0.2% U.S. Treasury Bill 2.167%, 05/22/08 $ 1,183 1,181 -------------- Total U.S. Treasury Obligation (Cost $1,179) ($ Thousands) 1,181 -------------- Total Investments -- 99.9% (Cost $509,927) ($ Thousands) $ 493,659 ============== A summary of the open futures contracts held by the Fund at March 31, 2008, is as follows (see Note 2 in Notes to Financial Statements): - -------------------------------------------------------------------------------- NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION DEPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - -------------------------------------------------------------------------------- S&P 500 Index E-MINI 150 Jun-2008 $ (55) ============= Percentages are based on Net Assets of $493,954 ($ Thousands). * Non-Income Producing Security. ** Rate shown is the 7-day effective yield as of March 31, 2008. + Investment in Affiliated Security (see Note 3). (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. The rate reported is the effective yield at time of purchase. Cl -- Class The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 104 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 SCHEDULE OF INVESTMENTS (Unaudited) Global Managed Volatility Fund March 31, 2008 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS#: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] Consumer Staples 19.1% Health Care 16.8% Financials 15.3% Utilities 10.8% Consumer Discretionary 10.4% Industrials 8.5% Energy 5.2% Information Technology 5.2% Materials 4.3% Telecommunication Services 4.3% U.S. Treasury Obligation 0.1% # Percentages based on total investments. - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- COMMON STOCK -- 98.8% AUSTRALIA -- 2.0% AGL Energy 27,357 $ 276 CFS Retail Property Trust+ 53,774 107 Coca-Cola Amatil 57,996 450 Downer EDI 21,816 125 Futuris 48,009 83 Incitec Pivot 6,815 878 ING Industrial Fund+ 471,355 916 Leighton Holdings 3,046 119 MFS 17,170 16 Origin Energy 103,955 869 Telstra 203,981 819 -------------- 4,658 -------------- BELGIUM -- 3.1% Befimmo Sicafi+ 561 69 Belgacom* 15,112 672 Cofinimmo+* 6,748 1,464 Colruyt* 4,160 1,075 Compagnie d'Entreprises* 1,748 170 D'ieteren 186 66 Euronav 11,703 446 InBev* 8,903 786 Intervest Offices+* 1,579 72 KBC Groep* 1,931 251 Mobistar* 20,681 1,881 Solvay 946 121 Tessenderlo Chemie 1,861 85 Warehouses De Pauw+ 873 61 -------------- 7,219 -------------- CANADA -- 6.9% ARC Energy Trust 28,900 743 Bank of Montreal 15,300 685 Bank of Nova Scotia 14,900 676 Barrick Gold 24,400 1,067 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Canadian Imperial Bank of Commerce 8,100 $ 522 Canadian Pacific Railway 2,600 167 Canadian Utilities, Cl A 2,700 109 Celestica* 28,000 190 CGI Group, Cl A* 10,000 106 Enbridge 44,200 1,823 Fairfax Financial Holdings 400 117 First Calgary Petroleums* 72,400 204 Fording Canadian Coal Trust 23,800 1,247 George Weston 9,400 433 Goldcorp 2,000 78 Industrial Alliance Insurance and Financial Services 1,800 66 Jean Coutu Group, Cl A 6,300 64 Manitoba Telecom Services 9,200 351 Methanex 10,300 271 Nova Chemicals 48,000 1,156 Onex 8,000 233 Potash Saskatchewan 5,100 793 Precision Drilling Trust 8,800 205 Provident Energy Trust 25,500 272 Ritchie Bros Auctioneers 3,300 273 Ritchie Bros Auctioneers 2,600 213 Rothmans 7,756 198 Royal Bank of Canada 13,900 650 Saputo 19,800 534 Shoppers Drug Mart 6,700 339 TELUS 8,400 354 Toronto-Dominion Bank 10,600 652 TransAlta 31,100 968 UTS Energy* 22,900 117 Yamana Gold 6,700 98 -------------- 15,974 -------------- DENMARK -- 0.8% D/S Norden* 3,030 338 Danske Bank* 10,000 370 Jyske Bank* 5,575 376 Novo Nordisk, Cl B* 10,650 731 Topdanmark* 675 114 -------------- 1,929 -------------- FINLAND -- 0.7% Componenta* 7,368 96 Fortum* 12,983 531 Kesko, Cl B* 8,554 444 Kone, Cl B* 2,270 93 Orion, Cl B* 10,732 233 Outokumpu* 3,119 142 Ramirent* 3,884 74 -------------- 1,613 -------------- - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 105 SCHEDULE OF INVESTMENTS (Unaudited) Global Managed Volatility Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- FRANCE -- 2.5% Casino Guichard Perrachon* 5,629 $ 677 Cie Generale d'Optique Essilor International* 42,380 2,780 CNP Assurances 1,911 237 France Telecom* 19,591 661 Recylex* 3,676 89 Sanofi-Aventis* 8,956 674 SEB 213 39 Societe Des Autoroutes Paris-Rhin-Rhone 440 53 Total* 6,532 487 -------------- 5,697 -------------- GERMANY -- 1.0% Beiersdorf* 10,998 929 Celesio* 1,637 81 Deutsche Euroshop* 1,124 47 EnBW Energie Baden-Wuerttemberg* 876 74 Fresenius Medical Care* 12,552 634 KWS Saat* 317 64 Salzgitter* 1,861 325 Vossloh* 635 90 -------------- 2,244 -------------- HONG KONG -- 4.1% CLP Holdings 299,500 2,465 Esprit Holdings 54,300 652 Guoco Group 16,000 156 Hang Seng Bank 98,700 1,787 Hong Kong & China Gas 305,000 917 Hong Kong Electric Holdings 169,500 1,070 Jardine Matheson Holdings 26,400 834 Link+ 486,500 1,079 MTR 115,500 396 VTech Holdings 12,000 58 Wing Hang Bank 6,000 91 Yue Yuen Industrial Holdings 31,500 99 -------------- 9,604 -------------- IRELAND -- 0.0% Paddy Power 2,515 93 -------------- ITALY -- 0.8% Banca Carige 69,451 274 Banca Popolare dell'Emilia Romagna 27,244 600 CSP International Fashion Group* 10,228 24 Enel 68,572 730 Unipol Gruppo Finanziario* 72,490 226 -------------- 1,854 -------------- - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- JAPAN -- 31.4% 77 Bank 106,000 $ 594 Acom 23,910 635 Aisin Seiki 16,700 624 Ajinomoto 66,000 670 Ajis* 1,300 37 Alpine Electronics 11,400 126 Asahi Breweries 35,100 725 Astellas Pharma 17,000 659 Benesse 20,500 968 Bosch 5,000 20 Canon 13,600 627 Canon Marketing Japan 1,400 26 Casio Computer* 24,800 363 Central Glass 5,000 20 Central Japan Railway 136 1,407 Chiba Bank 3,000 20 Chubu Electric Power 38,300 958 Chugai Pharmaceutical 23,800 269 Chugoku Electric Power 25,000 558 Combi 9,500 73 Daifuku 9,000 115 Daihatsu Motor 18,000 216 Daiichi Sankyo 26,600 787 Dainippon Ink and Chemicals 32,000 100 Dainippon Sumitomo Pharma 9,000 82 Daito Trust Construction 20,600 1,064 Dena* 106 669 Denki Kagaku Kogyo 33,000 104 Diamond Lease 5,620 196 East Japan Railway 100 833 Eisai 9,200 314 FamilyMart 11,700 420 Fancl 2,000 28 FUJI SOFT 21,500 402 FUJIFILM Holdings 17,400 617 Fukuda* 6,000 17 Geo 40 33 Glory 3,300 70 Gunma Bank 67,000 480 Haruyama Trading* 2,000 13 Hino Motors 278,000 1,838 Hisamitsu Pharmaceutical 6,100 222 Hitachi 95,000 564 Hokkaido Electric Power 22,200 516 Hokuriku Electric Power 37,000 874 Honda Motor 6,900 197 IBJ Leasing 1,000 18 Inpex Holdings* 26 290 Iyo Bank 17,000 182 Japan Prime Realty Investment+ 11 36 Japan Tobacco 137 687 Jupiter Telecommunications* 42 39 - -------------------------------------------------------------------------------- 106 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Kamigumi* 13,000 $ 103 Kanamoto 5,000 31 Kansai Electric Power 62,400 1,555 Kao 22,000 624 Kawasaki Kisen Kaisha 57,000 555 Keihin Electric Express Railway 21,000 143 Keiyo Bank 5,000 32 Kinden 13,000 125 Kintetsu* 68,000 243 Kirin Holdings 63,000 1,193 Kobayashi Pharmaceutical* 1,400 54 Koito Manufacturing 9,000 124 Kokuyo 24,500 210 Konica Minolta Holdings* 53,000 721 Kose 2,100 45 Kyushu Electric Power 28,400 695 Lawson 15,300 678 Mabuchi Motor 28,000 1,353 Makita 3,900 123 Matsushita Electric Industrial 35,000 760 Mcdonald's Holdings Japan* 2,100 34 Mediceo Paltac Holdings 15,100 274 Meiji Dairies 162,000 977 Meitec 4,300 130 Miraca Holdings 1,200 31 Mitani* 2,100 16 Mitsubishi Tanabe Pharma 49,000 572 Mitsui Chemicals 89,000 590 Morinaga Milk Industry* 12,000 37 Musashino Bank 800 33 NAC 1,300 11 Namco Bandai Holdings 31,700 430 Net One Systems 176 207 NGK Spark Plug 8,000 104 NHK Spring 6,000 43 Nichi-iko Pharmaceutical* 1,700 50 Nichirei 341,000 1,641 Nihon Jumbo 2,100 14 Nintendo 1,700 878 Nippon Kayaku 43,000 261 Nippon Meat Packers* 114,000 1,686 Nippon Oil 91,000 569 Nippon Telegraph & Telephone 168 726 Nippon Yusen 78,000 733 Nipro 3,000 52 Nisshin Seifun Group 30,500 326 Nissin Food Products 3,900 132 Nitori 2,650 150 Nitto Denko 3,700 156 Noevir 2,500 22 NOK 10,100 207 NTT DoCoMo 643 975 Odakyu Electric Railway 183,000 1,357 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Okumura* 262,000 $ 1,337 Olympus 18,000 546 Ono Pharmaceutical 5,900 286 Osaka Gas 178,000 712 Promise 22,450 646 Proto 1,000 24 QP 3,000 31 Ricoh* 6,000 99 Round One 183 191 San-In Godo Bank 2,000 16 Sanyo Electric* 338,000 713 Sapporo Hokuyo Holdings 56 391 Sawai Pharmaceutical 600 29 Seiko Epson 27,300 736 Sharp 36,000 613 Shikoku Electric Power 61,800 1,841 Shimachu 17,900 539 Shimano 16,200 745 Shinsei Bank* 219,000 724 Shizuoka Bank 136,000 1,608 Suzuken 65,500 2,698 Taisho Pharmaceutical* 38,000 755 Takeda Pharmaceutical 12,400 622 Takefuji 53,620 1,137 Terumo 12,300 643 Toda* 240,000 989 Toho 13,600 320 Toho Gas 56,000 270 Tohoku Electric Power 46,800 1,145 Tokyo Electric Power 31,700 849 Tokyo Gas 152,000 615 Tokyo Style* 48,000 477 Tonen General Sekiyu 47,000 403 Toyo Kohan 3,000 16 Toyo Suisan Kaisha 82,000 1,236 Toyoda Gosei 3,700 139 Toyota Auto Body 1,500 30 Toyota Boshoku 13,000 390 Unicharm 15,300 1,121 Uniden 22,000 135 Wacoal Holdings* 94,000 1,391 Weathernews* 7,300 71 West Japan Railway 62 273 Yakult Honsha 11,800 366 Yamaguchi Financial Group* 17,000 193 Yamaha 22,300 427 Yamazaki Baking* 10,000 95 Yaoko 1,200 33 -------------- 72,859 -------------- JERSEY -- 0.1% Meinl European Land* 17,686 202 -------------- - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 107 SCHEDULE OF INVESTMENTS (Unaudited) Global Managed Volatility Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- NETHERLANDS -- 2.0% Corio+* 7,009 $ 616 Eurocommercial Properties, Cl A+* 924 52 Heineken 12,888 751 Hunter Douglas* 2,049 139 OCE* 11,345 194 Royal Dutch Shell, Cl A 18,748 649 Royal KPN* 45,489 771 Unilever* 39,601 1,335 Vastned Offices+* 1,249 45 Vastned Retail+* 775 83 -------------- 4,635 -------------- NEW ZEALAND -- 0.2% Air New Zealand 8,920 9 Fisher & Paykel Healthcare, Cl C 40,805 94 Fletcher Building 39,685 262 -------------- 365 -------------- PORTUGAL -- 0.0% Cimpor Cimentos de Portugal* 474 4 -------------- SINGAPORE -- 0.5% Hotel Grand Central 53,000 37 Jardine Cycle & Carriage* 25,000 354 Singapore Telecommunications* 266,500 756 -------------- 1,147 -------------- SPAIN -- 0.4% Abertis Infraestructuras* 21,287 696 Construcciones y Auxiliar de Ferrocarriles 92 41 Ebro Puleva* 7,908 162 -------------- 899 -------------- SWEDEN -- 1.2% Axfood* 700 25 Lundin Petroleum* 41,200 561 Swedish Match* 102,200 2,232 -------------- 2,818 -------------- SWITZERLAND -- 3.3% Affichage Holding Genf 153 35 Alcon 5,467 778 Atel Holding* 105 64 Basler Kantonalbank 272 32 Bell Holding 13 24 Forbo Holding* 58 31 Galenica 1,407 468 Kuehne & Nagel International* 6,901 693 Lonza Group* 5,203 693 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- MCH Messe Schweiz Holding 53 $ 38 Nestle* 1,806 906 Novartis* 13,436 691 PSP Swiss Property* 5,163 350 Roche Holding* 1,602 303 St Galler Kantonalbank* 83 39 Straumann Holding* 369 106 Swatch Group, Cl B* 2,453 658 Swisscom* 4,928 1,695 -------------- 7,604 -------------- UNITED KINGDOM -- 3.7% Balfour Beatty 22,421 210 Beazley Group 49,315 156 BG Group* 29,576 686 BP 37,235 379 British Energy Group 14,960 194 Carphone Warehouse Group 34,884 198 GlaxoSmithKline 65,740 1,393 HMV Group 403,891 1,042 National Grid 26,182 360 Reckitt Benckiser Group 8,362 464 Scottish & Southern Energy 12,805 357 Smith & Nephew 49,310 653 Stagecoach Group 55,813 269 Tate & Lyle 117,158 1,257 WM Morrison Supermarkets 194,363 1,059 -------------- 8,677 -------------- UNITED STATES -- 34.1% Aetna 14,400 606 Aflac 13,100 851 Alberto-Culver 30,300 831 Alleghany* 204 70 Altria Group 5,600 124 AmerisourceBergen 9,100 373 Amgen* 2,600 109 Annaly Capital Management+ 4,885 75 Apollo Group, Cl A* 25,600 1,106 Applera-Applied Biosystems Group 20,100 661 Applied Materials 51,800 1,011 Archer-Daniels-Midland 38,900 1,601 Avon Products 21,200 838 Bank of America 19,800 751 BB&T 41,500 1,331 Beckman Coulter 11,200 723 Brown & Brown 6,600 115 Bunge 1,419 123 Carriage Services* 3,600 28 Church & Dwight 2,300 125 Cincinnati Financial 10,300 392 Clorox 11,500 651 Coca-Cola 6,400 390 - -------------------------------------------------------------------------------- 108 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Colgate-Palmolive 11,000 $ 857 Community Health Systems* 38,200 1,282 Con-way 12,200 604 ConocoPhillips 8,800 671 Consolidated Edison 5,900 234 Covance* 7,700 639 Coventry Health Care* 4,100 165 Darling International* 6,200 80 Dentsply International 100 4 El Paso 24,400 406 Energy East 56,200 1,356 EOG Resources 4,100 492 Expeditors International Washington 5,600 253 Express Scripts* 13,400 862 Exxon Mobil 8,500 719 Fidelity National Financial 79,600 1,459 First American 31,700 1,076 First Merchants 2,700 77 First Niagara Financial Group 10,600 144 FirstEnergy 4,800 329 FMC Technologies* 1,600 91 FTD Group 14,900 200 Genentech* 16,700 1,356 General Mills 54,400 3,257 Genzyme* 1,600 119 Getty Images* 9,400 301 Harleysville Group 400 14 Hershey 22,100 833 Hewitt Associates, Cl A* 21,800 867 HJ Heinz 4,800 225 Hormel Foods 3,900 162 Hospira* 27,700 1,185 Humana* 13,800 619 International Shipholding* 13,200 253 Intervest Bancshares 6,100 59 Johnson & Johnson 55,900 3,626 Kellogg 26,100 1,372 Laboratory Corp of America Holdings* 10,400 766 Liberty Global, Cl A* 15,100 515 Lockheed Martin 7,300 725 M&T Bank 13,400 1,078 Magellan Health Services* 11,600 460 McClatchy, Cl A 67,700 724 Medco Health Solutions* 16,800 736 Medtronic 47,600 2,302 Newmont Mining 16,100 729 NiSource 49,900 860 - -------------------------------------------------------------------------------- Shares/ Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Northrop Grumman 10,000 $ 778 PAM Transportation Services* 6,200 96 Patterson* 19,100 693 PepsiCo 48,200 3,480 Pfizer 29,100 609 Philip Morris International* 5,600 283 PPL 15,800 726 Premier Exhibitions* 7,900 48 Procter & Gamble 11,400 799 Progressive 100,300 1,612 Public Service Enterprise Group 17,400 699 Pulte Homes 24,000 349 Quest Diagnostics 38,700 1,752 Rohm & Haas 12,500 676 Rollins 14,850 263 Safeco 18,100 794 Safeway 14,892 437 Southern 60,300 2,147 Southwest Airlines 118,100 1,464 Suburban Propane Partners L.P. 17,100 664 Symantec* 36,700 610 TEPPCO Partners L.P. 6,900 238 TJX 49,100 1,624 United Parcel Service, Cl B 3,200 234 UnitedHealth Group 16,000 550 Wal-Mart Stores 71,000 3,740 Washington Mutual 24,600 253 Washington Post, Cl B 1,300 860 WellPoint* 9,800 433 Wells Fargo 65,800 1,915 Western Digital* 37,400 1,011 Whole Foods Market 1,500 49 Zions Bancorporation 28,200 1,285 -------------- 79,199 -------------- Total Common Stock (Cost $230,958) ($ Thousands) 229,294 -------------- U.S. TREASURY OBLIGATION (A) -- 0.1% U.S. Treasury Bill 2.167%, 05/22/08 $ 330 330 -------------- Total U.S. Treasury Obligation (Cost $329) ($ Thousands) 330 -------------- Total Investments -- 98.9% (Cost $231,287) ($ Thousands) $ 229,624 ============== - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 109 SCHEDULE OF INVESTMENTS (Unaudited) Global Managed Volatility Fund (Concluded) March 31, 2008 A summary of the open futures contracts held by the Fund at March 31, 2008, is as follows (see Note 2 in Notes to Financial Statements): - -------------------------------------------------------------------------------- UNREALIZED NUMBER OF APPRECIATION TYPE OF CONTRACTS EXPIRATION (DEPRECIATION) CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - -------------------------------------------------------------------------------- FTSE 100 Index 4 Jun-2008 $ 7 Hang Seng Index 1 Jun-2008 1 SPI 200 Index 3 Jun-2008 9 Topix Index 5 Jun-2008 (5) -------- $ 12 ======== A summary of the outstanding forward foreign currency contracts held by the Fund at March 31, 2008, is as follows (see Note 2 in Notes to Financial Statements): - -------------------------------------------------------------------------------- UNREALIZED CURRENCY CURRENCY APPRECIATION MATURITY TO DELIVER TO RECEIVE (DEPRECIATION) DATE ($ THOUSANDS) ($ THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------- 04/28/08 AUD 5,811 USD 5,322 $ 36 04/28/08 CAD 9,562 USD 13,626 104 04/28/08 EUR 25,246 USD 39,717 (221) 04/28/08 GBP 4,153 USD 8,294 56 04/28/08 JPY 7,411,540 USD 74,867 271 04/28/08 USD 37 AUD 40 -- 04/28/08 USD 23 CAD 23 -- 04/28/08 USD 1,108 EUR 702 3 04/28/08 USD 83 GBP 42 -- 04/28/08 USD 1,802 JPY 178,613 (4) -------- $ 245 ======== Percentages are based on Net Assets of $232,074 ($ Thousands). * Non-Income Producing Security. + Real Estate Investment Trust. (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. The rate reported is the effective yield at time of purchase. AUD -- Australian Dollar CAD -- Canadian Dollar Cl -- Class EUR -- Euro GBP -- British Pound Sterling JPY -- Japanese Yen L.P. -- Limited Partnership USD -- United States Dollar Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 110 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 SCHEDULE OF INVESTMENTS (Unaudited) Tax-Managed Managed Volatility Fund March 31, 2008 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS#: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] Consumer Staples 19.0% Health Care 18.3% Utilities 10.8% Industrials 10.1% Financials 8.8% Consumer Discretionary 7.2% Short-Term Investment 5.6% Energy 4.4% Information Technology 4.4% Exchange Traded Fund 4.2% Telecommunication Services 3.8% Materials 2.7% U.S. Treasury Obligation 0.7% # Percentages based on total investments. - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- COMMON STOCK -- 89.1% CONSUMER DISCRETIONARY -- 7.2% Autoliv 3,900 $ 196 Career Education* 2,900 37 Choice Hotels International 6,600 225 Dillard's, Cl A 3,700 64 DIRECTV Group* 10,300 255 Fortune Brands 1,801 125 Genuine Parts 4,600 185 Harte-Hanks 1,900 26 International Speedway, Cl A 10,549 435 ITT Educational Services* 4,300 197 Jack in the Box* 1,000 27 JC Penney* 4,100 155 Lamar Advertising, Cl A 6,300 226 McGraw-Hill 6,700 248 Meredith 5,924 227 Pacific Sunwear Of California* 1,600 20 Panera Bread, Cl A* 600 25 Penn National Gaming* 2,800 122 Polaris Industries 900 37 Shaw Communications, Cl B* 11,600 211 Starwood Hotels & Resorts Worldwide 5,400 279 TRW Automotive Holdings* 8,500 199 Tupperware Brands* 6,000 232 Washington Post, Cl B 1,077 712 Weight Watchers International 4,200 195 -------------- 4,660 -------------- CONSUMER STAPLES -- 18.9% Altria Group 2,841 63 Anheuser-Busch 17,099 811 Brown-Forman, Cl B 7,218 478 Campbell Soup 2,529 86 Church & Dwight 15,326 831 Clorox 4,144 235 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Coca-Cola 4,665 $ 284 Colgate-Palmolive 11,082 863 General Mills 19,082 1,143 Hansen Natural* 6,500 229 Hershey 10,225 385 HJ Heinz 9,923 466 Hormel Foods 19,651 819 JM Smucker 14,627 740 Kellogg 20,871 1,097 Kimberly-Clark 12,087 780 McCormick 14,623 541 Molson Coors Brewing, Cl B 4,400 231 Pepsi Bottling Group 4,400 149 PepsiCo 3,380 244 Philip Morris International* 2,841 144 Procter & Gamble 11,397 799 Reynolds American 12,445 735 WM Wrigley Jr 1,528 96 -------------- 12,249 -------------- ENERGY -- 4.4% Berry Petroleum, Cl A 5,300 246 Cameco* 7,100 234 Chevron 700 60 Enbridge* 4,000 165 Exxon Mobil 3,900 330 Imperial Oil 3,900 204 Nexen 9,700 287 Petro-Canada* 6,000 261 SEACOR Holdings* 10,733 916 TransCanada* 3,100 119 -------------- 2,822 -------------- FINANCIALS -- 8.7% Alleghany* 11 4 American National Insurance 2,555 273 Bancorpsouth 9,800 227 Capitol Federal Financial 19,929 747 Colonial BancGroup 7,000 67 Commerce Bancshares 6,471 272 Credicorp 1,700 122 East West Bancorp 2,100 37 Erie Indemnity, Cl A 9,243 473 Federated Investors, Cl B 5,800 227 Fulton Financial 17,100 210 Investment Technology Group* 4,000 185 Jones Lang LaSalle 2,000 155 Liberty Media - Capital, Ser A* 14,360 226 Markel* 430 189 Mercury General 5,780 256 Popular 15,800 184 RenaissanceRe Holdings 4,400 228 Safeco 5,800 255 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 111 SCHEDULE OF INVESTMENTS (Unaudited) Tax-Managed Managed Volatility Fund (Concluded) March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Stancorp Financial Group 5,300 $ 253 Valley National Bancorp 9,700 186 Wesco Financial 1,547 625 Whitney Holding 2,200 55 Willis Group Holdings 5,400 181 -------------- 5,637 -------------- HEALTH CARE -- 18.2% Abbott Laboratories 7,861 433 Alcon 2,100 299 AmerisourceBergen 6,000 246 Becton Dickinson 3,248 279 BioMarin Pharmaceuticals* 7,000 248 Brookdale Senior Living 10,407 249 Celgene* 1,200 74 Charles River Laboratories International* 4,200 248 Covance* 10,180 845 Coventry Health Care* 2,100 85 CR Bard 4,152 400 Dentsply International 20,599 795 Edwards Lifesciences* 6,537 291 Eli Lilly 46 2 Endo Pharmaceuticals Holdings* 7,100 170 Genzyme* 1,700 127 Henry Schein* 12,615 724 Hillenbrand Industries 14,959 715 Idexx Laboratories* 12,016 592 ImClone Systems* 2,100 89 Immucor* 7,300 156 Johnson & Johnson 12,583 816 King Pharmaceuticals* 24,500 213 Laboratory of America Holdings* 8,460 623 Lincare Holdings* 10,844 305 McKesson 4,800 251 Medtronic 4,015 194 Onyx Pharmaceuticals* 3,100 90 Patterson* 16,206 588 Perrigo 6,800 257 Quest Diagnostics 2,548 115 Techne* 11,617 782 Universal Health Services, Cl B 5,233 281 WellPoint* 2,909 128 Wyeth 1,935 81 -------------- 11,791 -------------- INDUSTRIALS -- 10.1% Alexander & Baldwin 600 26 Alliant Techsystems* 1,400 145 Amerco* 400 23 CH Robinson Worldwide 4,200 229 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Clarcor 5,800 $ 206 Dun & Bradstreet 6,357 517 Gardner Denver* 5,700 212 GATX 1,800 70 General Cable* 4,000 236 Granite Construction 1,300 43 Hubbell, Cl B 1,200 52 JetBlue Airways* 5,900 34 Landstar System 4,500 235 Lennox International 5,600 201 Lincoln Electric Holdings 2,800 181 Northrop Grumman 9,907 771 Pitney Bowes 18,830 659 Republic Services 22,132 647 Ritchie Bros. Auctioneers 3,000 246 Robert Half International 9,400 242 Stericycle* 15,443 795 Union Pacific 1,300 163 United Parcel Service, Cl B 3,090 226 Valmont Industries 2,000 176 Woodward Governor 6,800 182 -------------- 6,517 -------------- INFORMATION TECHNOLOGY -- 4.4% Acxiom 2,600 31 Adtran 1,400 26 Affiliated Computer Services, Cl A* 4,600 230 Diebold 10,921 410 Factset Research Systems 5,100 275 Flir Systems* 3,200 96 Hewitt Associates, Cl A* 6,100 243 Ingram Micro, Cl A* 14,200 225 Jack Henry & Associates 4,200 104 Lexmark International, Cl A* 6,000 184 Microchip Technology 2,181 71 National Instruments 2,714 71 Qualcomm 6,100 250 Silicon Laboratories* 1,200 38 Sybase* 7,100 187 Tech Data* 4,222 138 Zebra Technologies, Cl A* 8,080 269 -------------- 2,848 -------------- MATERIALS -- 2.7% Aptargroup 6,300 245 Bemis 7,200 183 Eagle Materials 1,300 46 Greif, Cl A 3,200 217 Martin Marietta Materials 1,200 128 Methanex 4,900 128 Newmont Mining 7,309 331 Nova Chemicals 4,200 100 - -------------------------------------------------------------------------------- 112 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- Packaging of America 9,800 $ 219 Sonoco Products 4,800 138 -------------- 1,735 -------------- TELECOMMUNICATION SERVICES -- 3.7% AT&T 8,900 341 CenturyTel 13,723 456 Citizens Communications 19,808 208 Sprint Nextel 47,900 321 Telephone & Data Systems 12,481 490 US Cellular* 5,821 320 Verizon Communications 7,800 284 -------------- 2,420 -------------- UTILITIES -- 10.8% AGL Resources 5,500 189 Alliant Energy 6,800 238 Ameren 14,035 618 Atmos Energy 8,400 214 Consolidated Edison 5,488 218 DPL 4,700 121 DTE Energy 6,000 233 Edison International 4,600 225 Energen 1,800 112 Great Plains Energy 9,227 227 Hawaiian Electric Industries 17,164 410 MDU Resources Group 10,000 246 NiSource 13,900 240 NSTAR 7,600 231 OGE Energy 18,046 563 Pepco Holdings 10,600 262 PG&E 7,200 265 Puget Energy 6,561 170 SCANA 18,224 667 Southern 8,793 313 TECO Energy 16,300 260 Vectren 17,344 465 Westar Energy 9,700 221 Wisconsin Energy 5,600 246 -------------- 6,954 -------------- Total Common Stock (Cost $60,389) ($ Thousands) 57,633 -------------- EXCHANGE TRADED FUND -- 4.2% SPDR Trust, Ser 1 20,500 2,706 -------------- Total Exchange Traded Fund (Cost $2,789) ($ Thousands) 2,706 -------------- - -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- CASH EQUIVALENT**++ -- 5.6% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 3.190% 3,599,657 $ 3,600 -------------- Total Cash Equivalent (Cost $3,600) ($ Thousands) 3,600 -------------- U.S. TREASURY OBLIGATION (A) -- 0.7% U.S. Treasury Bill 2.167%, 05/22/08 $ 455 454 -------------- Total U.S. Treasury Obligation (Cost $453) ($ Thousands) 454 -------------- Total Investments -- 99.6% (Cost $67,231) ($ Thousands) $ 64,393 ============== A summary of the open futures contracts held by the Fund at March 31, 2008, is as follows (see Note 2 in Notes to Financial Statements): - -------------------------------------------------------------------------------- NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION APPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - -------------------------------------------------------------------------------- S&P 500 Index E-MINI 58 Jun-2008 $ 46 ============== Percentages are based on Net Assets of $64,623 ($ Thousands). * Non-Income Producing Security. ** Rate shown is the 7-day effective yield as of March 31, 2008. ++ Investment in Affiliated Security (see Note 3). (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. The rate reported is the effective yield at time of purchase. Cl -- Class Ser -- Series The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 113 SCHEDULE OF INVESTMENTS (Unaudited) Real Estate Fund March 31, 2008 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS#: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] Financials 63.0% Short-Term Investments 32.9% Consumer Discretionary 3.2% Health Care 0.9% # Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7). - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- COMMON STOCK -- 96.8% CONSUMER DISCRETIONARY -- 4.7% Marriott International, Cl A (A) 122,300 $ 4,202 Starwood Hotels & Resorts Worldwide 142,400 7,369 -------------- 11,571 -------------- FINANCIALS -- 90.7% Acadia Realty Trust+ 40,500 978 AMB Property+ 147,700 8,038 AvalonBay Communities+ (A) 68,100 6,573 Boston Properties+ (A) 164,483 15,144 British Land (United Kingdom)+ 102,199 1,864 Brookfield Asset Management, Cl A* 68,300 1,832 Brookfield Properties 35,000 676 Camden Property Trust+ (A) 130,800 6,566 CBL & Associates Properties+ 23,400 551 Corporate Office Properties Trust+ 121,600 4,087 Dawnay Day Sirius (United Kingdom)* 490,201 520 Dawnay Day Treveria (United Kingdom)* 473,984 496 Douglas Emmett+ (A) 203,225 4,483 Duke Realty+ 159,700 3,643 Equity Residential+ (A) 474,000 19,666 Essex Property Trust+ (A) 37,800 4,308 Extra Space Storage+ (A) 157,500 2,550 Federal Realty Investment Trust+ (A) 67,500 5,262 Forest City Enterprises, Cl A 93,900 3,456 General Growth Properties+ (A) 326,910 12,478 Hammerson (United Kingdom)+ 125,464 2,778 HCP+ (A) 116,800 3,949 Host Hotels & Resorts+ (A) 686,494 10,929 Kimco Realty+ (A) 298,900 11,708 LaSalle Hotel Properties+ 37,500 1,077 Liberty Property Trust+ (A) 74,000 2,302 Macerich+ (A) 69,100 4,856 Mack-Cali Realty+ 137,300 4,903 Prologis+ (A) 158,100 9,306 PS Business Parks+ 40,305 2,092 Public Storage+ 60,054 5,322 Saul Centers+ (A) 27,300 1,372 Simon Property Group+ (A) 231,450 21,504 SL Green Realty+ (A) 55,700 4,538 - -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Strategic Hotels & Resorts+ (A) 201,700 $ 2,648 Sunstone Hotel Investors+ (A) 49,300 789 Taubman Centers+ 76,650 3,993 Thomas Properties Group 71,458 627 Unibail (France)+ 14,023 3,622 Ventas+ 111,100 4,990 Verde Realty PIPE (D) (E)* 21,400 706 Vornado Realty Trust+ (A) 140,100 12,078 Weingarten Realty Investors+ (A) 143,200 4,932 -------------- 224,192 -------------- HEALTH CARE -- 1.4% Brookdale Senior Living (A) 97,800 2,337 Sunrise Senior Living (A)* 48,700 1,085 -------------- 3,422 -------------- Total Common Stock (Cost $232,897) ($ Thousands) 239,185 -------------- CORPORATE OBLIGATION (B) (C) -- 0.8% FINANCIALS -- 0.8% SLM MTN, Ser S 2.827%, 04/14/08 $ 2,068 2,068 -------------- Total Corporate Obligation (Cost $2,068) ($ Thousands) 2,068 -------------- CASH EQUIVALENTS**++ -- 47.8% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 3.190% 7,318,935 7,319 SEI Liquidity Fund L.P., 3.200% (B) 110,801,048 110,801 -------------- Total Cash Equivalents (Cost $118,120) ($ Thousands) 118,120 -------------- Total Investments -- 145.4% (Cost $353,085) ($ Thousands) $ 359,373 ============== - -------------------------------------------------------------------------------- 114 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Description - -------------------------------------------------------------------------------- Percentages are based on Net Assets of $247,097 ($ Thousands). * Non-Income Producing Security. ** Rate shown is the 7-day effective yield as of March 31, 2008. + Real Estate Investment Trust. ++ Investment in Affiliated Security (see Note 3). (A) This security or a partial position of this security is on loan at March 31, 2008 (see Note 7). The total value of securities on loan at March 31, 2008 was $110,373 ($ Thousands). (B) This security was purchased with cash collateral held from securities on loan (see Note 7). The total value of such securities as of March 31, 2008 was $112,869 ($ Thousands). (C) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2008. (D) Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total value of such securities at March 31, 2008 was $706 ($ Thousands) and represented 0.29% of Net Assets. (E) Securities considered illiquid and restricted. The total value of such securities at March 31, 2008 was $706 ($ Thousands) and represented 0.29% of Net Assets. Cl -- Class L.P. -- Limited Partnership MTN -- Medium Term Note PIPE -- Public Investment in Public Entity Ser -- Series The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 115 SCHEDULE OF INVESTMENTS (Unaudited) Enhanced Income Fund March 31, 2008 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS#: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] Loan Participations 31.6% Mortgage-Backed Securities 24.6% Asset-Backed Securities 22.0% Corporate Obligations 11.8% Time Deposits 6.5% Short-Term Investments 3.5% # Percentages based on total investments. - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- MORTGAGE-BACKED SECURITIES -- 24.1% AGENCY MORTGAGE-BACKED OBLIGATIONS -- 5.1% FHLMC 6.000%, 09/01/26 $ 1,188 $ 1,223 FHLMC CMO STRIPS, Ser 245, Cl IO 5.000%, 05/15/37 1,650 369 FNMA 6.500%, 09/01/26 658 683 6.000%, 11/01/14-01/01/27 9,234 9,504 FNMA TBA 6.000%, 10/01/26 7,123 7,325 -------------- 19,104 -------------- NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 19.0% American Tower Trust, Ser 2007-1A, Cl D 5.957%, 04/15/37 1,250 1,150 Arkle Master Issuer PLC, Ser 2006-1A, Cl 3M (C) 3.260%, 05/20/08 1,000 928 Banc of America Funding, Ser 2005-F, Cl 4A1 (C) 5.349%, 04/01/08 2,446 2,078 Banc of America Mortgage Securities, Ser 2005-I, Cl 2A1 (C) 4.867%, 04/01/08 720 688 Bank of America Mortgage Securities, Ser 2004-J, Cl 2A1 (C) 4.760%, 04/01/08 367 366 Bank of America Mortgage Securities, Ser 2005-C, Cl 2A2 (C) 4.713%, 04/01/08 1,014 1,012 Bayview Commercial Asset Trust, Ser 2006-4A, Cl A2 (C) 3.405%, 12/25/36 555 495 Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-12, Cl 11A1 (C) 5.450%, 04/01/08 782 787 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-6, Cl 3A1 (C) 5.284%, 04/01/08 $ 1,859 $ 1,585 Citigroup Commercial Mortgage Trust, Ser 2006-FL2, Cl D (C) 3.028%, 04/14/08 400 357 Citigroup Commercial Mortgage Trust, Ser 2007-FL3A, Cl J (C) 3.770%, 04/30/08 775 536 Citigroup Mortgage Loan Trust, Ser 2004-HYB3, Cl 1A (C) 5.737%, 04/01/08 239 237 Citigroup Mortgage Loan Trust, Ser 2006-AR1, Cl 1A1 (C) 4.900%, 10/25/35 755 720 Commercial Mortgage Pass-Through Certificate, Ser 2006-FL12, Cl A2 (C) 3.221%, 04/15/08 1,028 979 Countrywide Home Loans, Ser 2005-22, Cl 2A1 (C) 5.256%, 11/25/35 805 675 Countrywide Home Loans, Ser 2005-HY10, Cl 3A1A (C) 5.376%, 04/01/08 527 433 Crown Castle Towers LLC, Ser 2006-1A, Cl E 6.065%, 11/15/36 1,775 1,607 Crusade Global Trust, Ser 2004-2, Cl A1 (C) 3.200%, 11/19/37 209 209 Crusade Global Trust, Ser 2007-1, Cl A1 (C) 3.954%, 04/19/38 1,284 1,205 Diversified REIT Trust, Ser 1999-1A, Cl A2 6.780%, 03/18/11 255 257 First Horizon Alternative Mortgage Trust, Ser 2005-AA3, Cl 3A1 (C) 5.348%, 04/01/08 1,435 1,452 First Horizon Mortgage Pass-Through Certificate, Ser 2005-AR4, Cl 2A1 (C) 5.327%, 10/25/35 1,186 1,138 GE Commercial Loan Trust, Ser 2006-3, Cl C (B) (C) 4.444%, 04/19/08 429 357 GS Mortgage Securities, Ser 2007-EOP, Cl K (C) 4.130%, 04/06/08 380 301 GSR Mortgage Loan Trust, Ser 2005-AR2, Cl 1A2 (C) 6.459%, 04/01/08 402 367 GSR Mortgage Loan Trust, Ser 2006-AR2, Cl 3A1 (C) 5.748%, 04/25/36 1,004 965 - -------------------------------------------------------------------------------- 116 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- GSR Mortgage Loan Trust, Ser 2007-AR2, Cl 1A1 (C) 5.789%, 05/25/37 $ 2,178 $ 2,064 Gracechurch Mortgage Financing PLC, Ser 2007-1A, Cl 2D1 (C) 3.460%, 11/20/56 1,195 1,021 Granite Master Issuer PLC, Ser 2006-3, Cl M1 (C) 4.074%, 04/22/08 570 477 Granite Master Issuer PLC, Ser 2007-1, Cl 1C1 (C) 2.840%, 04/24/08 410 353 Granite Master Issuer PLC, Ser 2007-2, Cl 2C1 (C) 4.428%, 12/17/54 525 337 Greenwich Capital Commercial Funding, Ser 2006-FL4A, Cl C 3.316%, 11/05/21 810 710 Harborview Mortgage Loan Trust, Ser 2005-14, Cl 3A1A (C) 5.299%, 12/19/35 1,649 1,583 Holmes Master Issuer PLC, Ser 2007-1, Cl 1C1 (C) 4.538%, 04/16/08 475 463 Holmes Master Issuer PLC, Ser 2007-2A, Cl 1C (C) 4.488%, 04/16/08 900 857 IMPAC CMB Trust, Ser 2005-1, Cl 1A1 (C) 2.859%, 04/25/08 446 330 IMPAC CMB Trust, Ser 2005-4, Cl 1M1 (C) 3.565%, 04/25/08 697 390 Interstar Millennium Trust, Ser 2002-1G, Cl A2 (C) 4.826%, 07/07/34 130 125 JPMorgan Chase Commercial Mortgage Trust, Ser 2006-FL2A, Cl J (C) 3.771%, 11/15/18 1,971 1,576 JPMorgan Mortgage Trust, Ser 2006-A6, Cl 4A1 (C) 5.251%, 10/25/36 1,121 1,074 JPMorgan Mortgage Trust, Ser 2007-A3, Cl 1A1 (C) 5.478%, 04/01/08 2,127 2,009 Leek Finance PLC, Ser 18A, Cl A2B (C) 5.040%, 06/21/08 500 485 MLCC Mortgage Investors, Ser 2006-1, Cl 2A1 (C) 5.386%, 04/01/08 1,269 1,214 Master Adjustable Rate Mortgage, Ser 2004-12, Cl 5A1 (C) 6.440%, 04/01/08 114 114 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Merrill Lynch Mortgage Investors, Ser 2005-A2, Cl A2 (C) 4.489%, 04/01/08 $ 1,782 $ 1,628 Merrill Lynch Mortgage Investors, Ser 2005-A1, Cl 1A (C) 6.058%, 04/01/08 455 458 Merrill Lynch Mortgage Investors, Ser 2005-A9, Cl 2A1A (C) 5.134%, 04/01/08 1,665 1,621 Merrill Lynch Mortgage Investors, Ser 2005-A9, Cl 2A1E (C) 5.134%, 12/25/35 2,211 2,119 Merrill Lynch Mortgage-Backed Securities Trust, Ser 2007-2, Cl 1A1 (C) 5.800%, 04/01/08 2,264 2,156 Morgan Stanley Capital I, Ser 2007-XLFA, Cl C (C) 3.282%, 10/15/20 1,025 875 MortgageIT Trust, Ser 2005-5, Cl A1 (C) 2.859%, 04/25/08 1,486 1,201 Permanent Master Issuer PLC, Ser 2006-1, Cl 2C (C) 4.660%, 04/16/08 700 668 Prudential Commercial Mortgage Trust, Ser 2003-PWR1, Cl A1 3.669%, 02/11/36 793 770 Residential Funding Mortgage Securities I, Ser 2007-SA2, Cl 2A1 (C) 5.678%, 04/25/37 2,153 2,039 Residential Funding Mortgage Securities, Ser 2006-SA1, Cl 1A1 (C) 5.675%, 02/25/36 626 523 Residential Funding Mortgage Securities, Ser 2007-SA2, Cl 2A2 (C) 5.675%, 04/01/08 1,045 990 Sequoia Mortgage Trust, Ser 2004-10, Cl A2 (C) 3.434%, 04/20/08 297 294 Sequoia Mortgage Trust, Ser 2004-11, Cl A1 (C) 3.414%, 04/20/08 223 211 Sequoia Mortgage Trust, Ser 2005-2, Cl A1 (C) 3.334%, 04/20/08 141 129 Sequoia Mortgage Trust, Ser 2007-1, Cl 2A1 (C) 5.787%, 04/20/08 2,148 2,038 Washington Mutual Mortgage Pass- Through Certificate, Ser 2003-AR10, Cl A6 (C) 4.055%, 04/01/08 1,500 1,497 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 117 SCHEDULE OF INVESTMENTS (Unaudited) Enhanced Income Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Washington Mutual Mortgage Pass- Through Certificate, Ser 2004-AR5, Cl A6 (C) 3.842%, 04/01/08 $ 1,200 $ 1,213 Washington Mutual Mortgage Pass- Through Certificate, Ser 2005-AR14, Cl 1A4 (C) 5.056%, 12/25/35 2,260 2,162 Washington Mutual Mortgage Pass- Through Certificate, Ser 2005-AR3, Cl A2 (C) 4.637%, 04/01/08 1,338 1,198 Washington Mutual Mortgage Pass- Through Certificate, Ser 2006-AR2, Cl 1A1 (C) 5.309%, 04/01/08 750 716 Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR4, Cl 2A2 (C) 4.520%, 04/01/08 514 480 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR10, Cl 2A1 (C) 5.650%, 04/01/08 1,217 1,166 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR10, Cl 4A1 (C) 5.565%, 07/25/36 2,402 2,301 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR16, Cl A1 (C) 5.681%, 10/25/36 1,742 1,664 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR5, Cl 2A1 (C) 5.537%, 04/01/08 1,684 1,611 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR6, Cl 3A1 (C) 5.094%, 04/01/08 21 20 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR8, Cl 2A1 (C) 5.241%, 04/01/08 1,185 1,166 Wells Fargo Mortgage-Backed Securities, Ser 2003-J, Cl 2A4 (C) 4.451%, 10/25/33 265 260 Wells Fargo Mortgage-Backed Securities, Ser 2004-BB, Cl A2 (C) 4.558%, 04/01/08 768 708 Wells Fargo Mortgage-Backed Securities, Ser 2005-AR1, Cl 2A1 (C) 4.489%, 02/25/35 995 999 Wells Fargo Mortgage-Backed Securities, Ser 2005-AR2, Cl 2A2 (C) 4.550%, 04/01/08 876 850 -------------- 71,797 -------------- Total Mortgage-Backed Securities (Cost $96,157) ($ Thousands) 90,901 -------------- - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- ASSET-BACKED SECURITIES -- 21.6% AUTOMOTIVE -- 4.4% AESOP Funding II LLC, Ser 2003-4A, Cl A2 2.860%, 08/20/09 $ 417 $ 415 AmeriCredit Automobile Receivables Trust, Ser 2006-1, Cl B 5.200%, 03/06/11 830 831 AmeriCredit Automobile Receivables Trust, Ser 2007-AX, Cl A4 (C) 3.120%, 10/06/13 570 484 AmeriCredit Prime Automobile Receivables, Ser 2007-1, Cl D 5.520%, 01/08/12 775 745 Americredit Automobile Receivables Trust, Ser 2007-AX, Cl A2 5.290%, 04/06/08 233 232 Capital Auto Receivables Asset Trust, Ser 2006-SN1A, Cl A2A 5.400%, 01/20/09 19 19 Capital Auto Receivables Asset Trust, Ser 2007-1, Cl B 5.150%, 09/17/12 955 922 Carmax Auto Owner Trust, Ser 2004-2, Cl D 3.670%, 09/15/11 202 201 Carmax Auto Owner Trust, Ser 2007-1, Cl C 5.530%, 07/15/13 190 177 Carmax Auto Owner Trust, Ser 2007-2, Cl B 5.370%, 03/15/13 2,055 2,000 Ford Credit Auto Owner Trust, Ser 2006-B, Cl A2A 5.420%, 07/15/09 110 110 Ford Credit Auto Owner Trust, Ser 2007-A, Cl C 5.800%, 02/15/13 515 476 Harley-Davidson Motorcycle Trust, Ser 2006-1, Cl B 5.240%, 11/15/13 1,550 1,543 Harley-Davidson Motorcycle Trust, Ser 2006-3, Cl B 5.430%, 11/15/14 890 884 Harley-Davidson Motorcycle Trust, Ser 2007-2, Cl B 5.230%, 03/17/14 1,225 1,205 Honda Auto Receivables Owners Trust, Ser 2004-3, Cl A4 3.280%, 02/18/10 552 552 Hyundai Auto Receivables Trust, Ser 2006-B, Cl D 5.410%, 05/15/13 680 656 - -------------------------------------------------------------------------------- 118 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Hyundai Auto Receivables Trust, Ser 2007-A, Cl A3B (C) 3.521%, 01/17/12 $ 645 $ 635 Merrill Auto Trust Securitization, Ser 2007-1, Cl C 5.960%, 12/15/13 2,000 1,839 Onyx Acceptance Owner Trust, Ser 2004-C, Cl A4 3.500%, 12/15/11 280 278 USAA Auto Owner Trust, Ser 2007-1, Cl B 5.850%, 12/16/13 2,455 2,346 Whole Auto Loan Trust, Ser 2003-1, Cl A4 2.580%, 03/15/10 67 67 -------------- 16,617 -------------- CREDIT CARDS -- 8.5% Advanta Business Card Master Trust, Ser 2004-C1, Cl C (C) 4.164%, 04/20/08 485 434 Advanta Business Card Master Trust, Ser 2005-C1, Cl C1 (C) 3.045%, 04/20/08 800 783 Advanta Business Card Master Trust, Ser 2006-B2, Cl B2 (C) 2.785%, 04/20/08 1,000 891 Advanta Business Card Master Trust, Ser 2006-C1, Cl C1 (C) 3.594%, 10/20/14 1,500 1,101 Advanta Business Card Master Trust, Ser 2007-B1, Cl B (C) 3.364%, 12/22/14 2,000 1,604 American Express Credit Account Master Trust, Ser 2004-C, Cl C (C) 3.620%, 04/15/08 381 373 Bank One Issuance Trust, Ser 2003-C2, Cl C2 (C) 4.261%, 04/16/08 2,100 2,100 Bank of America Credit Card Trust, Ser 2006-C7, Cl C7 (C) 3.050%, 04/15/08 1,000 925 Cabela's Master Credit Card Trust, Ser 2006-3A, Cl C (C) 3.521%, 04/15/08 520 462 Capital One Master Trust, Ser 2002-1A, Cl B (C) 3.721%, 11/15/11 525 519 Capital One Multi-Asset Execution Trust, Ser 2003-B3, Cl B3 4.500%, 06/15/11 1,500 1,504 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Capital One Multi-Asset Execution Trust, Ser 2005-B2, Cl B2 (C) 2.968%, 04/15/08 $ 1,000 $ 1,000 Capital One Multi-Asset Execution Trust, Ser 2005-C1, Cl C1 (C) 3.521%, 02/15/13 1,800 1,659 Citibank Credit Card Issuance Trust, Ser 2006-C4, Cl C4 (C) 3.295%, 01/09/12 1,800 1,669 Citibank Credit Card Issuance Trust, Ser 2007-B5, Cl B5 (C) 3.695%, 11/07/14 2,000 1,816 Discover Card Master Trust I, Ser 2005-1, Cl B (C) 2.970%, 04/18/08 1,500 1,500 First National Master Note Trust, Ser 2007-1, Cl B (C) 3.321%, 04/15/13 1,335 1,256 First USA Credit Card Master Trust, Ser 1998-2, Cl C 6.800%, 02/18/11 2,125 2,120 GE Capital Credit Card Master Note Trust, Ser 2007-3, Cl C (C) 3.421%, 06/15/13 3,000 2,737 GE Capital Credit Card Master Note Trust, Ser 2007-4, Cl B (C) 3.320%, 04/15/08 3,150 2,829 MBNA Master Credit Card Trust, Ser 1997-B, Cl B (C) 3.470%, 08/15/14 2,100 1,712 MBNA Master Credit Card Trust, Ser 1999-J, Cl C 7.850%, 02/15/12 1,500 1,527 Washington Mutual Master Note Trust, Ser 2006-C2A, Cl C2 (B) (C) 3.320%, 04/15/08 800 805 Washington Mutual Master Note Trust, Ser 2006-C3A, C3A (C) 3.200%, 04/10/08 1,000 894 -------------- 32,220 -------------- MORTGAGE RELATED SECURITIES -- 1.6% Ace Securities, Ser 2006-HE1, Cl M2 (C) 3.535%, 04/27/08 515 231 Ace Securities, Ser 2006-OP2, Cl A2B (C) 3.245%, 08/25/36 1,000 820 Asset Backed Funding Certificates, Ser 2006-OPT2, Cl A3B (C) 2.709%, 04/25/08 1,100 1,017 New Century Home Equity Loan Trust, Ser 2005-1, Cl A1MZ (C) 3.425%, 04/25/08 35 32 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 119 SCHEDULE OF INVESTMENTS (Unaudited) Enhanced Income Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Option One Mortgage Loan Trust, Ser 2005-3, Cl M1 (C) 3.605%, 04/25/08 $ 428 $ 370 Option One Mortgage Loan Trust, Ser 2007-2, Cl M1 (C) 3.495%, 03/25/37 2,635 843 Option One Mortgage Loan Trust, Ser 2007-FXD1, Cl 3A3 (C) 5.611%, 01/25/37 285 229 Option One Mortgage Loan Trust, Ser 2007-FXD2, Cl 2A1 (A) 5.900%, 03/25/37 1,405 1,382 Option One Mortgage Loan Trust, Ser 2007-HL1, Cl 2A1 (C) 2.719%, 04/26/08 1,141 1,021 -------------- 5,945 -------------- OTHER ASSET-BACKED SECURITIES -- 7.1% ACAS Business Loan Trust, Ser 2006-1A, Cl A, (C) 3.319%, 11/27/19 1,750 1,668 ACAS Business Loan Trust, Ser 2007-1A, Cl C (C) 3.920%, 04/24/08 1,916 1,683 AICCO Premium Finance Master Trust, Ser 2007-AA, Cl C (C) 3.521%, 04/15/08 1,245 1,125 Babson CLO, Ser 2007-1A, Cl A1 (C) 4.176%, 04/18/08 1,120 994 Blackrock Senior Income Series, Ser 2006-4A, Cl C (C) 4.574%, 04/20/19 1,930 1,324 C-Bass, Ser 16A, Cl A (C) 3.260%, 06/06/08 529 362 CIT Equipment Collateral, Ser 2006-VT2, Cl C 5.290%, 04/20/14 102 102 Capital Trust Re CDO Ltd., Ser 2006-4A, Cl A1 (C) 3.424%, 10/20/43 1,143 914 CapitalSource Commercial Loan Trust, Ser 2006-2A, Cl A1A (C) 2.745%, 04/20/08 730 678 CapitalSource Commercial Loan Trust, Ser 2007-1A, Cl C (C) 3.764%, 03/20/17 553 439 Citigroup Mortgage Loan Trust, Ser 2006-WFH3, Cl M1 (C) 2.889%, 04/27/08 805 327 Countrywide Asset-Backed Certificates, Ser 2005-13, Cl 3AV3 (C) 3.385%, 04/25/08 1,310 1,249 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Countrywide Asset-Backed Certificates, Ser 2006-18, Cl M1 (C) 3.435%, 03/25/37 $ 1,000 $ 411 Countrywide Asset-Backed Certificates, Ser 2006-22, Cl M1 (C) 3.365%, 05/25/37 1,500 402 Countrywide Asset-Backed Certificates, Ser 2006-22, Cl M3 (C) 3.445%, 05/25/37 1,000 140 Domino's Pizza Master Issuer LLC, Ser 2007-1, Cl A2 5.261%, 04/25/37 2,200 1,913 First Franklin Mortgage Loan Asset, Ser 2007-FF1, Cl M2 (C) 2.859%, 04/26/08 1,145 238 GE Business Loan Trust, Ser 2003-2A, Cl B (C) 4.121%, 11/15/31 110 100 GE Business Loan Trust, Ser 2004-2A, Cl A (C) 3.341%, 12/15/32 142 134 GE Business Loan Trust, Ser 2004-2A, Cl B (C) 3.601%, 12/15/32 106 104 GE Business Loan Trust, Ser 2006-2A, Cl D (C) 3.870%, 11/15/34 291 250 GE Commercial Equipment Financing, Ser 2004-1, Cl B (C) 3.314%, 04/20/08 591 587 GE Dealer Floorplan Master Note Trust, Ser 2006-2, Cl C (C) 3.544%, 04/20/13 460 377 GMAC Mortgage Loan Trust, Ser 2006-HE4, Cl A2 (C) 2.739%, 04/25/08 1,150 1,064 JPMorgan Mortgage Acquisition, Ser 2006-CH1, Cl M1 (C) 3.355%, 07/25/36 335 137 JPMorgan Mortgage Acquisition, Ser 2006-CH2, Cl MV1 (C) 3.345%, 10/25/36 1,125 448 JPMorgan Mortgage Acquisition, Ser 2006-WMC3, Cl A4 (C) 3.285%, 04/25/08 1,250 841 JPMorgan Mortgage Acquisition, Ser 2007-CH3, Cl M3 (C) 3.505%, 03/25/37 385 80 John Deere Owner Trust, Ser 2007-A, Cl A2 5.210%, 10/15/09 150 150 Katonah, Ser 7A, Cl B (B) (C) 3.485%, 05/15/08 700 574 - -------------------------------------------------------------------------------- 120 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Lambda Finance, Ser 2005-1A, Cl A3 (C) 3.295%, 11/15/29 $ 1,600 $ 1,508 Marriott Vacation Club Owner Trust, Ser 2006-2A, Cl A 5.362%, 10/20/28 179 186 Marriott Vacation Club Owner Trust, Ser 2007-1A, Cl D 6.135%, 05/20/29 818 820 Mayport CLO, Ser 2006-1A, Cl A2L (C) 3.440%, 02/22/20 1,005 811 Mayport CLO, Ser 2006-1A, Cl A3L (C) 3.730%, 02/22/20 270 199 Merrill Lynch First Franklin Mortgage Loan Trust, Ser 2007-4, Cl M6 (C) 3.835%, 07/25/37 505 58 Prima, Ser 2006-1, Cl A1 (C) 5.417%, 04/01/08 2,157 1,885 Race Point CLO, Ser 2007-4A, Cl D (C) 5.240%, 05/01/08 500 315 Sierra Receivables Funding, Ser 2007-2A, Cl A2 (C) 3.540%, 04/01/08 1,422 1,224 Superior Wholesale Inventory Financing Trust, Ser 2007-AE1, Cl B (C) 3.120%, 04/15/08 115 107 Superior Wholesale Inventory Financing Trust, Ser 2007-AE1, Cl C (C) 3.420%, 04/13/08 215 192 Triton Container Finance LLC, Ser 2006-1A, Cl N (C) 3.290%, 11/26/21 656 545 Wadsworth CDO, Ser 2006-1A, Cl A2 (C) 3.485%, 11/05/46 940 19 Wadsworth CDO, Ser 2006-1A, Cl B (C) 3.555%, 06/28/08 315 6 -------------- 26,690 -------------- Total Asset-Backed Securities (Cost $98,234) ($ Thousands) 81,472 -------------- LOAN PARTICIPATIONS -- 30.5% Acquireco LLC (E) 0.000%, 10/09/14 54 4 Acquireco LLC, Ser B 6.513%, 10/09/14 921 853 Acquireco LLC, Ser B, Delayed Draw 8.000%, 10/09/14 25 23 Acument Global Tech 8.860%, 08/11/13 1,982 1,824 Alpha Topco 7.093%, 12/31/13 2,500 2,193 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Alpha Topco, 2nd Lien 8.218%, 06/30/14 $ 2,000 $ 1,650 Applied Systems 7.854%, 09/26/13 496 457 Barrington 7.748%, 08/05/13 993 907 Berry Plastics Holdings, Term C Loan 7.360%, 04/03/15 1,990 1,692 Big Dumpster Acquisition 7.448%, 02/05/13 979 783 1.000%, 02/05/13 (E) 21 4 Bio Tech Research Lab 7.360%, 03/17/14 993 802 CCS Medical 8.820%, 09/30/12 1,967 1,670 8.450%, 09/30/12 3,455 2,933 Caritor 7.080%, 05/17/13 1,856 1,373 Caritor (Synthetic) 7.080%, 05/11/13 140 103 Cellnet Group 7.360%, 07/22/11 1,999 1,739 Cequel Communications, 1st Lien 7.214%, 11/05/13 1,486 1,236 Chiquita Brands 7.875%, 06/28/12 880 866 Clarke American, Tranche B 7.330%, 03/09/14 2,000 1,607 DTN 8.370%, 08/15/14 993 943 Delphi, Tranche B, 2nd Lien 8.063%, 04/10/08 1,000 984 Delphi, Tranche C, 1st Lien 8.563%, 07/01/08 1,000 983 Delta Air Lines, 2nd Lien 8.082%, 04/30/14 1,998 1,564 Dynea North, 1st Lien 7.650%, 05/09/08 2,000 1,600 Eddie Bauer 8.380%, 04/01/14 995 836 Emerson Reinsurance, Term A Loan 7.110%, 12/15/11 1,300 1,170 Emerson Reinsurance, Term B Loan 8.360%, 12/15/11 500 450 Emerson Reinsurance, Term C Loan 10.640%, 12/15/11 200 180 Euramax International, 1st Lien 7.813%, 06/29/12 1,485 1,218 Ferro 7.219%, 06/06/12 2,339 2,164 1.000%, 06/06/12 (E) 644 48 Foamex L.P., 1st Lien 6.359%, 02/12/13 2,588 2,070 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 121 SCHEDULE OF INVESTMENTS (Unaudited) Enhanced Income Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Fontainebleau Miami 11.703%, 06/06/12 $ 2,500 $ 2,037 Generac Acquisition 9.250%, 11/15/13 20 16 Ginn La Conduit Lender 8.860%, 06/08/11 681 509 5.098%, 06/08/11 315 236 Ginn La Conduit Lender, 1st Lien, Tranche A 5.098%, 06/08/11 315 236 Ginn La Conduit Lender, 1st Lien, Tranche B 8.698%, 06/08/11 681 509 Global Petroleum 9.855%, 07/26/13 1,980 1,901 Graham Packaging Company L.P., Term B Loan 7.625%, 10/07/11 10 9 Green Valley Ranch Gaming 7.125%, 02/16/14 984 776 Green Valley Ranch Gaming, 2nd Lien 8.791%, 08/16/14 1,000 769 II Exploration (Synthetic) 9.250%, 10/28/13 150 130 II Exploration, L.P., Term B Loan 8.913%, 10/28/13 846 736 Ipayment 6.841%, 05/10/13 1,952 1,630 JHT Holding 10.116%, 12/21/12 1,945 1,102 Kuilima Resort 12.000%, 09/30/10 1,577 1,416 LNR Property 8.110%, 07/12/11 1,000 790 LNR Property, Tranche B 0.909%, 07/12/11 1,000 790 Lake at Las Vegas 15.460%, 06/20/12 1,759 545 Lake at Las Vegas (Synthetic) 15.460%, 06/20/12 241 75 Lake at Las Vegas Joint Venture 11.210%, 06/24/08 1,000 995 Land Investors 8.845%, 05/09/11 901 694 Latham Manufacturing 8.520%, 06/30/12 973 662 Lifecare Holding 8.360%, 08/11/12 496 422 MGM Holding II 8.610%, 04/08/12 2,985 2,351 MGM Holdings II LOC, Tranche B 8.610%, 04/08/12 292 230 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Medical Staffing Network, 1st Lien 8.834%, 07/02/13 $ 1,000 $ 980 Michaels Stores 7.638%, 10/31/13 8 6 Misys Hospital Systems 7.180%, 10/12/07 998 933 Monitor Oil 17.360%, 05/12/08 1,000 450 Monitor Oil, 2nd Lien (E) 0.000%, 01/25/15 47 -- Movie Gallery, 1st Lien 12.250%, 03/08/12 1,915 1,217 Movie Gallery, 1st Lien (Synthetic) 11.000%, 03/08/12 80 53 National Cine Media LLC 6.870%, 02/13/15 2,000 1,729 National Money Mart 8.050%, 10/30/12 422 384 7.950%, 10/30/12 571 519 Nep II 7.448%, 02/16/14 1,990 1,771 Northwest Airlines 7.030%, 08/21/08 990 803 6.970%, 08/21/13 1,000 811 Penton Media 7.240%, 02/01/13 1,493 1,127 Pinnacle Foods Group 7.483%, 04/19/14 995 866 Pivotal Promontory LLC 8.070%, 08/31/10 2,956 2,084 Realogy (Synthetic) 4.976%, 10/10/13 530 421 0.000%, 10/10/13 (F) 118 94 Realogy, Term B Loan 8.240%, 10/10/13 1,965 1,566 0.000%, 10/10/13 (F) 882 703 Roofing Supply Group 9.360%, 06/30/13 990 528 Sabre 7.608%, 09/30/14 4,374 3,585 6.960%, 09/30/14 1,458 1,195 Serena Software 7.175%, 03/10/13 1,707 1,502 Sirva Worldwide 12.500%, 12/01/10 1,787 804 11.930%, 12/01/10 1,000 450 Sitel LLC 7.850%, 01/30/14 2,916 2,303 Spirit Finance 8.356%, 07/15/13 2,500 1,884 7.911%, 07/15/13 1,000 754 Stratos Global 8.110%, 02/13/12 1,980 1,831 - -------------------------------------------------------------------------------- 122 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- The Newark Group 7.380%, 06/30/08 $ 1,667 $ 1,417 7.100%, 06/30/08 333 283 Total Safety, Tranche B, 1st Lien 8.329%, 12/08/12 1,000 950 Totes Isotoner, 1st Lien 7.747%, 01/31/13 746 634 7.744%, 01/31/13 2,241 1,905 7.741%, 01/31/13 993 844 Travelport LLC (Synthetic) (F) 0.000%, 08/23/13 95 83 Travelport LLC, Term B Loan (F) 0.000%, 08/23/13 742 642 Tribune, Tranche B 7.910%, 05/09/14 8 5 US Airways Group 7.355%, 03/19/14 6,500 4,636 VNU 6.964%, 08/01/13 3 2 Venoco 8.938%, 04/28/11 2,000 1,740 Venoco, 2nd Lien 8.938%, 05/07/14 1,000 870 Verint Systems 7.381%, 05/09/14 1,877 1,595 Vertafore, 1st Lien 8.005%, 01/31/12 498 428 Waiccs Las Vegas 3 LLC, 1st Lien 8.040%, 07/30/08 2,000 1,750 Waiccs Las Vegas 3 LLC, 2nd Lien 13.540%, 07/30/08 2,000 1,750 WideOpenWest Finance, 1st Lien 7.932%, 06/01/14 3,000 2,460 7.690%, 06/30/14 2,000 1,640 WideOpenWest Finance, 2nd Lien 11.448%, 06/27/15 1,250 875 Wm. Bolthouse Farms 7.000%, 12/17/12 2,967 2,782 -------------- Total Loan Participations (Cost $141,295) ($ Thousands) 115,139 -------------- CORPORATE OBLIGATIONS -- 11.5% CONSUMER DISCRETIONARY -- 0.8% COX Communications 4.625%, 06/01/13 1,500 1,441 Harrah's Operating 5.500%, 07/01/10 1,000 875 Univision Communications 3.875%, 10/15/08 825 803 -------------- 3,119 -------------- - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- FINANCIALS -- 8.4% BTM Holding (B) (C) 4.760%, 07/21/15 $ 1,000 $ 995 Banco Santander Chile (B) (C) 5.496%, 06/09/08 1,750 1,689 Capmark Financial Group (B) (C) 3.746%, 05/10/10 2,500 1,656 Citigroup (C) 3.643%, 08/25/36 1,500 1,032 Everest Reinsurance Holdings 8.750%, 03/15/10 1,050 1,156 6.600%, 05/15/37 (C) 2,000 1,686 Goldman Sachs Capital III (C) 3.846%, 09/29/49 2,600 1,638 ILFC E-Capital Trust I (B) (C) 5.900%, 06/21/08 1,000 802 JPMorgan Chase Capital XXI, Ser U (C) 4.062%, 02/02/37 2,550 1,879 Liberty Property L.P.+ 7.250%, 03/15/11 1,000 1,052 MBIA Insurance 14.000%, 01/01/33 1,000 980 Mellon Funding (C) 3.215%, 05/15/14 2,100 2,085 Merrill Lynch (C) 5.751%, 06/12/08 700 485 Monumental Global Funding (B) (C) 4.458%, 04/16/08 1,800 1,647 Progressive (C) 6.700%, 06/15/08 2,330 2,075 Prudential Financial MTN 5.100%, 12/14/11 310 316 RSHB Capital 7.175%, 05/16/13 (B) 115 117 6.299%, 05/15/17 1,065 986 Reinsurance Group of America 5.625%, 03/15/17 1,400 1,250 State Street (C) 3.351%, 04/30/12 1,215 1,207 State Street Cap Trust IV (C) 5.991%, 06/15/37 850 637 UBS Luxembourg (C) 6.230%, 02/11/15 500 503 Unitrin 6.000%, 05/15/17 1,270 1,268 4.875%, 11/01/10 1,000 1,032 VTB 24 Capital PLC MTN, Ser E 6.540%, 12/07/09 1,000 955 VTB Capital (B) (C) 3.839%, 05/02/08 310 307 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 123 SCHEDULE OF INVESTMENTS (Unaudited) Enhanced Income Fund (Concluded) March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Western Union 5.400%, 11/17/11 $ 1,175 $ 1,204 Willis North America 5.125%, 07/15/10 1,000 1,009 -------------- 31,648 -------------- HEALTH CARE -- 0.5% Quest Diagnostic 5.125%, 11/01/10 1,000 1,026 UnitedHealth Group 4.462%, 02/07/11 1,000 1,001 -------------- 2,027 -------------- INDUSTRIALS -- 0.5% Continental Airlines, Ser 061G (C) 3.426%, 06/02/13 1,000 860 President & Fellows of Harvard 3.700%, 04/01/13 1,060 1,067 -------------- 1,927 -------------- INFORMATION TECHNOLOGY -- 0.1% Freescale Semiconductor 8.875%, 12/15/14 500 391 -------------- REGIONAL AGENCIES -- 0.2% Republic of Trinidad & Tobago 9.875%, 10/01/09 500 545 -------------- TELECOMMUNICATION SERVICES -- 0.8% Corning 6.050%, 06/15/15 1,000 1,028 Telecom Italia Capital (C) 4.561%, 04/18/08 1,000 893 Vodafone Group PLC 3.369%, 05/27/08 1,300 1,177 -------------- 3,098 -------------- UTILITIES -- 0.2% Southern, Ser A 5.300%, 01/15/12 665 696 -------------- Total Corporate Obligations (Cost $48,386) ($ Thousands) 43,451 -------------- - -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- CASH EQUIVALENT**++ -- 2.7% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 3.190% 10,100,294 $ 10,100 -------------- Total Cash Equivalent (Cost $10,100) ($ Thousands) 10,100 -------------- TIME DEPOSITS -- 6.3% Barclays Bank London 2.920%, 04/30/08 $ 8,812 8,812 Royal Bank of Canada 2.830%, 04/10/08 9,247 9,247 2.600%, 05/13/08 5,975 5,975 -------------- Total Time Deposits (Cost $24,034) ($ Thousands) 24,034 -------------- REPURCHASE AGREEMENT (D) -- 0.8% Deutsche Bank, 2.450%, dated 03/31/08, to be repurchased on 04/01/08, repurchase price $2,900,197 (collateralized by U.S. Government obligation, par value $3,651,049, 5.000%, 10/01/35, with total market value $2,958,001) 2,900 2,900 -------------- Total Repurchase Agreement (Cost $2,900) ($ Thousands) 2,900 -------------- Total Investments -- 97.5% (Cost $421,106) ($ Thousands) $ 367,997 ============== A summary of the open futures contracts held by the Fund at March 31, 2008, is as follows (see Note 2 in Notes to Financial Statements): - -------------------------------------------------------------------------------- UNREALIZED NUMBER OF APPRECIATION TYPE OF CONTRACTS EXPIRATION (DEPRECIATION) CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - -------------------------------------------------------------------------------- S&P 500 Composite Index 1 Jun-2008 $ 5 U.S. 2-Year Note (51) Jun-2008 (18) U.S. 5-Year Note 56 Jun-2008 1 U.S. 10-Year Note (190) Jun-2008 (307) -------- $ (319) ======== - -------------------------------------------------------------------------------- 124 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 A summary of the outstanding forward foreign currency contracts held by the Fund at March 31, 2008, is as follows (see Note 2 in Notes to Financial Statements): - -------------------------------------------------------------------------------- UNREALIZED CURRENCY CURRENCY APPRECIATION MATURITY TO DELIVER TO RECEIVE (DEPRECIATION) DATE ($ THOUSANDS) ($ THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------- 4/10/08 AUD 7,788 GBP 3,597 $ 44 4/10/08 CAD 850 USD 861 33 4/10/08 EUR 2,829 SEK 26,720 24 4/10/08 GBP 4,059 AUD 8,841 (2) 4/10/08 SEK 36,130 EUR 3,842 (4) 4/10/08 USD 4,064 CAD 4,050 (117) 4/10/08-8/12/08 CHF 25,900 GBP 12,052 (2,307) 4/10/08-8/12/08 GBP 11,159 CHF 23,900 2,052 4/10/08-9/10/08 AUD 19,373 JPY 1,822,000 905 4/10/08-9/10/08 GBP 17,679 JPY 3,887,000 4,206 4/10/08-9/10/08 JPY 1,822,000 AUD 18,915 (1,318) 4/10/08-9/10/08 JPY 3,887,000 GBP 17,460 (4,639) 5/13/08-6/11/08 JPY 1,412,000 USD 12,876 (1,361) 5/13/08-6/11/08 USD 13,095 JPY 1,412,000 1,142 5/14/08-6/11/08 CHF 10,300 USD 9,117 (1,302) 5/14/08-6/11/08 USD 9,220 CHF 10,300 1,198 5/14/08-8/12/08 CHF 15,000 NZD 17,592 (1,523) 5/14/08-8/12/08 NZD 18,097 CHF 15,000 1,131 7/10/08-9/10/08 EUR 8,074 JPY 1,250,000 (73) 7/10/08-9/10/08 JPY 1,654,000 EUR 10,599 (46) 8/12/08 CHF 3,200 EUR 2,004 (81) 8/12/08 EUR 2,025 CHF 3,200 47 9/10/08 EUR 453 USD 700 (12) 9/10/08 GBP 1,364 USD 2,700 26 9/10/08 NZD 381 USD 300 9 9/10/08 USD 2,700 EUR 1,766 74 9/10/08 USD 2,700 GBP 1,345 (62) 9/10/08 USD 1,300 NZD 1,671 (23) -------- $ (1,979) ======== A summary of outstanding swap agreements held by the Fund at March 31, 2008, is as follows (see Note 2 in Notes to Financial Statements):
- -------------------------------------------------------------------------------------------------- CREDIT DEFAULT SWAP - -------------------------------------------------------------------------------------------------- NET NOTIONAL UNREALIZED EXPIRATION AMOUNT DEPRECIATION DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------------------------- Fund receives quarterly payment of 0.0475% (0.19% per annum) times the notional amount of Republic of Italy, 6.875%, 09/27/23. Upon a defined credit event, Fund pays the notional amount and takes receipt of the deliverable obligation. (Counterparty: Goldman Sachs) 12/20/16 $ (1,700) $ (38) ========
- -------------------------------------------------------------------------------------------------- INTEREST RATE SWAPS - -------------------------------------------------------------------------------------------------- NET NOTIONAL UNREALIZED EXPIRATION AMOUNT APPRECIATION DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------------------------- Fund pays a floating rate of 2.360% and receives a floating rate based on the 3-Month LIBOR Index. (Counterparty: Goldman Sachs) 03/25/10 $ 31,500 $ 42 Fund pays a fixed rate of 5.000% and receives a floating rate based on the 3-Month LIBOR Index. (Counterparty: Goldman Sachs) 03/25/13 12,300 27 -------- $ 69 ========
- -------------------------------------------------------------------------------- Description - -------------------------------------------------------------------------------- Percentages are based on Net Assets of $377,441 ($ Thousands). ** Rate shown is the 7-day effective yield as of March 31, 2008. + Real Estate Investment Trust. ++ Investment in Affiliated Security (see Note 3). (A) Step Bonds -- The rate reflected on the Schedule of Investments is the effective yield on March 31, 2008. The coupon on a step bond changes on a specified date. (B) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (C) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2008. The date reported on the Schedule of Investments is the next reset date. (D) Tri-Party Repurchase Agreement. (E) Unfunded bank loan. Interest rate not available. (F) Unsettled bank loan. Interest rate not available. AUD -- Australian Dollar CAD -- Canadian Dollar CDO -- Collateralized Debt Obligation CHF -- Swiss Franc Cl -- Class CLO -- Collateralized Loan Obligation CMO -- Collateralized Mortgage Obligation EUR -- Euro FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GBP -- British Pound Sterling IO -- Interest Only JPY -- Japanese Yen LIBOR -- London Interbank Offered Rate LLC -- Limited Liability Company L.P. -- Limited Partnership Ltd. -- Limited MTN -- Medium Term Note NZD -- New Zealand Dollar PLC -- Public Limited Company REIT -- Real Estate Investment Trust SEK -- Swedish Krona Ser -- Series STRIPS -- Separately Traded Registered Interest and Principal Securities TBA -- To Be Announced USD -- United States Dollar Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 125 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund March 31, 2008 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS#: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] Mortgage-Backed Securities 51.9% Short-Term Investments 11.0% Financials 9.0% Asset-Backed Securities 6.8% U.S. Treasury Obligations 6.0% U.S. Government Agency Obligations 3.1% Energy 2.9% Industrials 1.7% Utilities 1.5% Consumer Discretionary 1.4% Telecommunication Services 1.0% Commercial Paper 0.8% Loan Participations 0.7% Health Care 0.6% Sovereign 0.5% Consumer Staples 0.4% Municipal Bonds 0.3% Materials 0.2% Information Technology 0.1% Certificates of Deposit 0.1% Purchased Swaptions 0.0% # Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7). - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- MORTGAGE-BACKED SECURITIES -- 64.7% AGENCY MORTGAGE-BACKED OBLIGATIONS -- 48.3% FHLB 5.340%, 03/20/14 $ 3,265 $ 3,265 FHLB CMO, Ser 2015-VN, Cl A 5.460%, 11/27/15 7,000 7,115 FHLMC 7.500%, 11/01/29 to 09/01/32 2,183 2,356 7.000%, 06/01/08 to 01/01/32 1,303 1,346 6.500%, 12/01/13 to 02/01/38 29,077 30,293 6.411%, 04/01/37 402 416 6.399%, 06/01/36 349 360 6.300%, 04/01/37 1,220 1,259 6.226%, 05/01/37 437 449 6.000%, 08/01/16 to 03/01/38 71,267 73,253 5.987%, 10/01/37 3,672 3,762 5.911%, 04/01/37 697 709 5.865%, 05/01/37 858 870 5.852%, 12/01/36 1,138 1,161 5.500%, 12/01/13 to 03/01/38 186,510 189,123 5.000%, 10/01/14 to 01/01/40 76,071 76,291 4.500%, 05/01/18 to 11/01/35 15,818 15,684 4.000%, 04/01/19 to 10/01/33 2,975 2,807 FHLMC ARM 6.894%, 04/01/08 1,090 1,111 6.669%, 04/01/08 2,289 2,364 6.668%, 04/01/08 657 681 6.652%, 04/01/08 650 670 6.572%, 04/01/08 1,949 2,016 6.430%, 10/01/37 923 951 6.149%, 09/01/37 2,602 2,677 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- 6.009%, 04/01/37 $ 2,814 $ 2,874 5.940%, 04/01/37 2,967 3,020 5.918%, 04/01/37 7,114 7,230 5.904%, 04/01/37 1 1 5.899%, 02/01/37 16,088 16,366 5.895%, 01/01/37 2,600 2,644 5.876%, 04/01/36 1,694 1,733 5.826%, 08/01/37 2,578 2,605 5.767%, 05/01/37 1,550 1,578 5.541%, 06/01/37 2,536 2,582 5.540%, 04/01/08 3,720 3,793 5.126%, 01/01/36 6,070 6,168 FHLMC CMO STRIPS, Ser 232, Cl IO, IO 5.000%, 08/01/35 11,969 2,600 FHLMC CMO STRIPS, Ser 233, Cl 12, IO 5.000%, 09/15/35 3,379 696 FHLMC CMO STRIPS, Ser 233, Cl 6, IO 4.500%, 08/15/35 496 120 FHLMC CMO STRIPS, Ser 245, Cl IO 5.000%, 05/15/37 2,861 640 FHLMC CMO, Ser 1, Cl Z 9.300%, 04/15/19 156 169 FHLMC CMO, Ser 1611, Cl Z 6.500%, 11/15/23 14,561 15,952 FHLMC CMO, Ser 1983, Cl Z 6.500%, 12/15/23 2,152 2,306 FHLMC CMO, Ser 2043, Cl CJ 6.500%, 04/15/28 3,433 3,595 FHLMC CMO, Ser 2277, Cl B 7.500%, 01/15/31 611 629 FHLMC CMO, Ser 2389, Cl CD 6.000%, 03/15/16 2,875 2,927 FHLMC CMO, Ser 2399, Cl XG 6.500%, 01/15/32 6,844 7,194 FHLMC CMO, Ser 2542, Cl ES 5.000%, 12/15/17 2,316 2,391 FHLMC CMO, Ser 2544, Cl IW, IO 5.500%, 03/15/26 1,178 14 FHLMC CMO, Ser 2558, Cl BD 5.000%, 01/15/18 1,785 1,817 FHLMC CMO, Ser 2583, Cl TD 4.500%, 12/15/13 1,637 1,667 FHLMC CMO, Ser 2590, Cl NU 5.000%, 06/15/17 1,305 1,355 FHLMC CMO, Ser 2603, Cl KT 4.750%, 07/15/14 787 812 FHLMC CMO, Ser 2614, Cl TD 3.500%, 05/15/16 5 5 FHLMC CMO, Ser 2623, Cl AJ 4.500%, 04/01/08 1,309 1,330 - -------------------------------------------------------------------------------- 126 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- FHLMC CMO, Ser 2631, Cl MT 3.500%, 01/15/22 $ 79 $ 79 FHLMC CMO, Ser 2645, Cl MK 3.500%, 07/15/22 371 371 FHLMC CMO, Ser 2672, Cl HA 4.000%, 09/15/16 672 676 FHLMC CMO, Ser 2694, Cl QG 4.500%, 01/15/29 1,930 1,946 FHLMC CMO, Ser 2725, Cl PC 4.500%, 05/15/28 724 733 FHLMC CMO, Ser 2727, Cl PW 3.570%, 06/15/29 113 113 FHLMC CMO, Ser 2733, Cl ME 5.000%, 01/15/34 5,995 5,628 FHLMC CMO, Ser 2780, Cl TB 3.000%, 12/15/24 875 872 FHLMC CMO, Ser 2809, Cl HX, IO 6.000%, 10/15/24 550 5 FHLMC CMO, Ser 2841, Cl BD 4.000%, 04/01/08 1,072 1,079 FHLMC CMO, Ser 2945, Cl SA (F) 7.222%, 04/15/08 5,438 5,771 FHLMC CMO, Ser 2975, Cl EA 5.000%, 04/01/08 933 956 FHLMC CMO, Ser 3017, Cl TA 4.500%, 08/15/35 1,943 1,953 FHLMC CMO, Ser 3020, Cl MA 5.500%, 04/15/27 2,013 2,056 FHLMC CMO, Ser 3034, Cl EH 5.500%, 12/15/34 1,758 1,820 FHLMC CMO, Ser 3035, Cl PA 5.500%, 09/15/35 498 517 FHLMC CMO, Ser 3062, Cl LC 5.500%, 11/15/28 1,258 1,294 FHLMC CMO, Ser 3075, Cl PA 5.500%, 07/15/25 752 766 FHLMC CMO, Ser 3078, Cl PA 5.500%, 07/15/24 989 1,006 FHLMC CMO, Ser 3104, Cl QC 5.000%, 09/15/31 1,199 1,202 FHLMC CMO, Ser 3135, Cl JA 6.000%, 09/15/27 3 3 FHLMC CMO, Ser 3151, Cl PA 6.000%, 04/01/08 2 2 FHLMC CMO, Ser 3164, Cl NA 6.000%, 04/01/08 1 1 FHLMC CMO, Ser 3164, Cl NC 6.000%, 12/15/32 1,080 1,122 FHLMC CMO, Ser 3173, Cl PH 6.000%, 09/15/27 1 1 FHLMC CMO, Ser 3184, Cl PA 5.500%, 02/15/27 344 353 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- FHLMC CMO, Ser 3205, Cl PC 6.000%, 09/15/32 $ 2,297 $ 2,401 FHLMC CMO, Ser 3268, Cl HC 5.000%, 12/15/32 957 948 FHLMC CMO, Ser 3279, Cl PA 5.500%, 02/15/23 1,449 1,483 FHLMC CMO, Ser 3288, Cl PA 5.500%, 05/15/29 43 44 FHLMC CMO, Ser 3289, Cl PB 5.000%, 11/15/29 1,241 1,256 FHLMC CMO, Ser 3298, Cl VB 5.000%, 11/15/25 1,046 993 FHLMC CMO, Ser 3312, Cl AP 5.500%, 11/15/25 1,069 1,093 FHLMC CMO, Ser 3316, Cl HA 5.000%, 07/15/35 3,392 3,431 FHLMC CMO, Ser 3316, Cl PB 5.500%, 03/15/31 656 675 FHLMC CMO, Ser 3325, Cl JL 5.500%, 06/15/37 4,157 4,292 FHLMC CMO, Ser 3326, Cl PC 5.500%, 08/15/32 857 879 FHLMC CMO, Ser 3347, Cl PA 5.000%, 06/15/28 1,888 1,931 FHLMC CMO, Ser 3372, Cl BD 4.500%, 10/15/22 1,188 1,153 FHLMC CMO, Ser 3790. Cl TN 4.000%, 05/15/24 1,398 1,313 FHLMC TBA 6.000%, 04/01/16 14,882 15,305 5.500%, 04/15/37 50,000 50,484 5.000%, 04/01/36 18,400 18,216 FNMA 8.000%, 10/01/15 25 26 7.000%, 09/01/26 to 12/01/37 7,634 8,070 6.500%, 05/01/17 to 01/01/38 52,428 54,262 6.429%, 11/01/37 21 22 6.284%, 09/01/37 256 262 6.124%, 12/01/36 602 612 6.108%, 07/01/36 2,284 2,337 6.106%, 11/01/37 135 138 6.100%, 12/01/36 1,092 1,110 6.082%, 09/01/36 1,193 1,223 6.020%, 04/01/37 517 525 6.000%, 05/01/21 to 10/01/37 122,877 126,072 5.977%, 04/01/37 745 755 5.944%, 10/01/36 2,474 2,527 5.927%, 07/01/37 1,442 1,467 5.925%, 06/01/37 1,148 1,169 5.922%, 04/01/37 3,328 3,386 5.896%, 06/01/37 3,806 3,867 5.878%, 02/01/37 613 620 5.675%, 09/01/37 1,333 1,381 5.500%, 06/01/14 to 08/01/37 173,219 176,253 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 127 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- 5.000%, 10/01/18 to 11/01/36 $ 110,259 $ 110,972 4.500%, 06/01/13 to 08/01/35 30,444 29,682 4.000%, 08/01/20 to 05/01/34 7,842 7,483 FNMA ARM 7.022%, 11/01/35 2,033 2,090 6.920%, 10/01/35 9,748 10,025 6.905%, 10/01/35 6,449 6,632 6.901%, 11/01/35 4,395 4,525 6.662%, 04/01/08 2,059 2,117 6.647%, 04/01/08 4,095 4,212 6.631%, 04/01/08 2,000 2,059 6.062%, 08/01/37 3,464 3,554 6.028%, 01/01/37 712 722 6.000%, 09/01/37 1,389 1,427 5.957%, 01/01/37 909 921 5.952%, 01/01/37 1,979 2,018 5.858%, 02/01/37 8,999 9,141 5.842%, 06/01/37 1,831 1,857 5.820%, 04/01/37 1 1 5.818%, 05/01/37 1,240 1,262 5.794%, 01/01/37 5,130 5,241 5.766%, 08/01/37 1,734 1,763 5.746%, 04/01/36 1,015 1,025 5.740%, 12/01/37 11,276 11,458 5.705%, 05/01/37 5,105 5,194 5.703%, 05/01/37 3,008 3,071 5.644%, 04/01/08 14,327 14,596 5.635%, 02/01/36 662 675 5.628%, 04/01/08 771 783 5.614%, 05/01/37 -- -- 5.193%, 11/01/36 1 1 FNMA CMO STRIPS, Ser 359, Cl 6, IO 5.000%, 11/01/35 1,523 317 FNMA CMO STRIPS, Ser 360, Cl 2, IO 5.000%, 08/01/35 25,325 5,502 FNMA CMO STRIPS, Ser 365, Cl 2, IO 5.000%, 02/01/36 1,371 303 FNMA CMO STRIPS, Ser 365, Cl 4, IO 5.000%, 04/01/36 1,425 320 FNMA CMO, Ser 1999-11, Cl Z 5.500%, 03/25/29 6,506 6,705 FNMA CMO, Ser 2001-T2, Cl B 6.022%, 11/25/10 4,500 4,754 FNMA CMO, Ser 2002-94, Cl BJ, IO 5.500%, 04/25/16 364 9 FNMA CMO, Ser 2003-108, Cl BE 4.000%, 11/25/18 706 689 FNMA CMO, Ser 2003-113, Cl PN 3.500%, 02/25/13 11 11 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- FNMA CMO, Ser 2003-123, Cl AB 4.000%, 10/25/16 $ 1,899 $ 1,910 FNMA CMO, Ser 2003-15, Cl CH 4.000%, 04/01/08 710 713 FNMA CMO, Ser 2003-16, Cl PN 4.500%, 04/01/08 942 950 FNMA CMO, Ser 2003-3, Cl HJ 5.000%, 02/25/18 1,156 1,188 FNMA CMO, Ser 2003-33, Cl CH 4.000%, 04/01/08 1,494 1,501 FNMA CMO, Ser 2003-92, Cl PC 4.500%, 05/25/15 1,909 1,932 FNMA CMO, Ser 2004-34, Cl PL 3.500%, 05/25/14 643 643 FNMA CMO, Ser 2004-4, Cl CA 4.000%, 09/25/17 1,183 1,189 FNMA CMO, Ser 2004-6, Cl CA 4.000%, 06/25/17 1,076 1,081 FNMA CMO, Ser 2004-81, Cl AG 4.000%, 03/25/18 1,432 1,439 FNMA CMO, Ser 2005-38, Cl CD 5.000%, 06/25/19 1,268 1,303 FNMA CMO, Ser 2005-45, Cl BA 4.500%, 11/25/14 59 59 FNMA CMO, Ser 2005-57, Cl EG (F) 3.435%, 04/25/08 3,281 3,184 FNMA CMO, Ser 2005-58, Cl MA 5.500%, 07/25/35 845 878 FNMA CMO, Ser 2005-92, Cl NM 3.500%, 04/25/13 586 585 FNMA CMO, Ser 2006-10, Cl FD (F) 2.948%, 04/25/08 4,355 4,352 FNMA CMO, Ser 2006-18, Cl PA 5.500%, 01/25/26 1,726 1,762 FNMA CMO, Ser 2006-31, Cl PA 5.500%, 11/25/26 33 34 FNMA CMO, Ser 2006-41, Cl MA 5.500%, 04/25/24 1,412 1,433 FNMA CMO, Ser 2006-53, Cl PA 5.500%, 12/25/26 491 503 FNMA CMO, Ser 2006-55, Cl PA 6.000%, 05/25/26 1 1 FNMA CMO, Ser 2006-64, Cl PA 5.500%, 04/01/08 1,059 1,085 FNMA CMO, Ser 2007-113, Cl DB 4.500%, 12/25/22 1,522 1,473 FNMA CMO, Ser 2007-27, Cl KA 5.750%, 09/25/33 856 880 FNMA CMO, Ser 2007-39, Cl NA 4.250%, 01/25/37 3,248 3,251 FNMA CMO, Ser 2007-62, Cl PA 6.000%, 03/25/29 -- -- FNMA CMO, Ser 2007-80, Cl TA 6.000%, 09/25/26 -- -- - -------------------------------------------------------------------------------- 128 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- FNMA CMO, Ser 2007-81, Cl PA 6.000%, 02/25/29 $ 168 $ 173 FNMA CMO, Ser 3098, Cl PB 5.000%, 07/15/25 1,096 1,114 FNMA CMO, Ser 34, Cl QJ 4.500%, 01/25/16 2,314 2,338 FNMA CMO, Ser 60, Cl PA 5.500%, 04/25/34 947 970 FNMA TBA 6.500%, 04/30/37 26,936 27,896 6.000%, 04/30/20 683 703 5.500%, 04/30/22 to 04/30/35 218,663 221,039 5.000%, 04/30/20 to 04/01/38 315,401 312,565 4.500%, 04/14/33 6,550 6,315 GNMA 8.000%, 11/15/29 to 11/15/30 162 177 7.500%, 03/15/29 to 01/15/32 490 528 7.000%, 08/15/13 114 120 6.500%, 04/15/24 to 09/15/35 19,353 20,195 6.000%, 03/15/14 to 03/01/38 70,729 73,105 5.000%, 01/15/18 to 10/15/35 26,201 26,544 GNMA ARM 6.500%, 02/20/34 1,271 1,301 6.000%, 06/20/35 712 721 5.625%, 08/20/34 769 772 5.500%, 01/20/36 385 390 5.000%, 02/20/36 1,140 1,145 4.750%, 04/01/08 to 12/20/33 18,710 18,706 4.500%, 05/20/36 7,042 7,089 4.000%, 02/20/34 to 03/20/36 2,250 2,260 GNMA CMO, Ser 2001-18, Cl WH (F) 20.833%, 04/20/08 332 404 GNMA CMO, Ser 2002-51, Cl SG (F) 21.512%, 04/20/08 307 382 GNMA CMO, Ser 2003-58, Cl LG, IO 5.500%, 05/17/29 3,374 70 GNMA CMO, Ser 2003-86, Cl LC, IO 5.500%, 10/20/27 342 1 GNMA CMO, Ser 2003-86, Cl ZK 5.000%, 10/20/33 9,349 8,564 GNMA CMO, Ser 2004-80, Cl IP, IO 5.500%, 07/20/34 5,011 258 GNMA CMO, Ser 2006-3, Cl A 4.212%, 01/16/28 557 561 GNMA CMO, Ser 2006-37, Cl JG 5.000%, 07/20/36 879 843 GNMA CMO, Ser 2006-8, Cl A 3.942%, 08/16/25 806 809 GNMA TBA 6.500%, 04/30/35 25,888 26,907 6.000%, 06/01/36 to 04/01/38 6,100 6,290 -------------- 2,107,809 -------------- - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 16.4% Adjustable Rate Mortgage Trust, Ser 2005-8, Cl 4A11 (F) 5.438%, 04/01/08 $ 11,197 $ 10,064 American Home Mortgage Investment Trust, Ser 2004-1, Cl 4A (F) 3.280%, 04/25/08 476 477 American Home Mortgage Investment Trust, Ser 2004-4, Cl 4A (F) 4.390%, 04/01/08 2,208 2,015 American Home Mortgage Investment Trust, Ser 2005-1, Cl 6A (F) 5.294%, 04/25/08 6,359 4,934 American Home Mortgage Investment Trust, Ser 2005-4, Cl 5A (F) 5.350%, 04/25/08 5,934 5,039 American Tower Trust, Ser 2007-1A, Cl AFX 5.420%, 04/15/37 1,749 1,629 Banc of America Commercial Mortgage, Ser 2000-1, Cl A2A 7.333%, 11/15/31 1,636 1,673 Banc of America Commercial Mortgage, Ser 2007-4, Cl A4 5.745%, 04/01/08 9,079 9,028 Banc of America Commercial Mortgage Securities, Ser 2002-PB2, Cl B 6.309%, 06/11/35 659 686 Banc of America Commercial Mortgage Securities, Ser 2003-1, Cl A2 4.648%, 04/01/08 746 727 Banc of America Commercial Mortgage Securities, Ser 2004-1, Cl A4 4.760%, 11/10/39 819 801 Banc of America Commercial Mortgage Securities, Ser 2004-2, Cl A5 4.580%, 04/01/08 294 285 Banc of America Commercial Mortgage Securities, Ser 2005-3, Cl A4 4.668%, 07/10/43 11,300 10,915 Banc of America Commercial Mortgage Securities, Ser 2005-6, Cl A4 (F) 5.181%, 04/01/08 1,543 1,535 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 129 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Banc of America Commercial Mortgage Securities, Ser 2006-2, Cl A1 5.611%, 05/10/45 $ 2,299 $ 2,320 Banc of America Commercial Mortgage Securities, Ser 2006-4, Cl AM 5.675%, 07/10/46 8,370 7,730 Banc of America Commerical Mortgage, Ser 2007-3, Cl A4 5.838%, 06/10/49 12,260 12,102 Banc of America Funding, Ser 2003-1, Cl A1 6.000%, 05/20/33 101 101 Banc of America Funding, Ser 2005-B, Cl 2A1 (F) 5.096%, 04/01/08 5,602 5,675 Banc of America Mortgage Securities, Ser 2003-1, Cl 2A4 5.000%, 02/25/18 4,992 4,978 Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 24A (F) 5.316%, 04/01/08 5,490 4,992 Bear Stearns Commercial Mortgage Securities, Ser 2000-WF1, Cl A2 7.780%, 02/15/32 3,854 3,986 Bear Stearns Commercial Mortgage Securities, Ser 2004-ESA, Cl C 4.937%, 05/14/16 2,426 2,495 Bear Stearns Commercial Mortgage Securities, Ser 2004-PWR6, Cl A6 4.825%, 11/11/41 333 328 Bear Stearns Commercial Mortgage Securities, Ser 2005-T18, Cl A4 (F) 4.933%, 04/01/08 1,318 1,290 Bear Stearns Structured Products, Ser 2007-R10, Cl A1 (F) 2.956%, 04/26/08 15,835 15,122 Bear Stearns Structured Products, Ser 2007-R11, Cl A1A (F) 3.724%, 04/25/08 18,076 17,217 Chase Commercial Mortgage Securities, Ser 2000-3, Cl A2 7.319%, 10/15/32 2,567 2,658 Chase Mortgage Finance, Ser 2005-A1, Cl 2A3 (F) 5.237%, 04/01/08 12,400 11,650 Citigroup Mortgage Loan Trust, Ser 2005-11, Cl A3 (F) 4.900%, 04/01/08 10,366 9,875 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Commercial Mortgage Asset Trust, Ser 1999-C2, Cl A2 7.546%, 11/17/32 $ 4,898 $ 5,008 Commercial Mortgage Pass-Through Certificate, Ser 2005-C6, Cl A3 5.144%, 04/10/08 12,000 11,786 Commercial Mortgage Pass-Through Certificate, Ser 2005-LP5, Cl A4 (F) 4.982%, 04/01/08 1,028 1,012 Commercial Mortgage Pass-through Certificates, Ser 2001-J2A, Cl A2 6.096%, 07/16/34 2,619 2,680 Countrywide Alternative Loan Trust, Ser 2003-20CB, Cl 1A1 5.500%, 10/25/33 1,668 1,674 Countrywide Alternative Loan Trust, Ser 2004-J1, Cl 1A1 6.000%, 02/25/34 888 828 Countrywide Alternative Loan Trust, Ser 2005-27, Cl 3A2 (F) 5.622%, 04/01/08 664 486 Countrywide Alternative Loan Trust, Ser 2005-56, Cl 4A1 (F) 2.909%, 04/25/08 8,645 6,706 Countrywide Alternative Loan Trust, Ser 2005-59, Cl 1A1 (F) 3.449%, 04/20/08 10,558 8,354 Countrywide Alternative Loan Trust, Ser 2005-59, Cl 2X, IO (E) 3.285%, 04/01/08 64 2 Countrywide Alternative Loan Trust, Ser 2006-OA2, Cl X1P, IO (H) 2.000%, 04/01/08 35,142 1,667 Countrywide Alternative Loan Trust, Ser 2006-OC6, Cl 2A1 (F) 2.669%, 04/25/08 1,824 1,702 Countrywide Home Loans, Ser 2005-HY10, Cl 1A1 (F) 5.285%, 04/01/08 2,296 2,111 Countrywide Home Loans, Ser 2005-HYB9, Cl 1A1 (F) 5.150%, 04/01/08 1,311 902 Countrywide Home Loans, Ser 2005-HYB9, Cl 1A2 (F) 5.150%, 04/01/08 285 216 Countrywide Home Loans, Ser 2005-R3, Cl AF (F) 2.999%, 04/25/08 6,423 5,480 Countrywide Home Loans, Ser 2006-HYB1, Cl 1A1 (F) 5.352%, 04/20/08 3,095 2,473 - -------------------------------------------------------------------------------- 130 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Credit Suisse First Boston Mortgage Securities, Ser 1998-C2, Cl A2 6.300%, 11/15/30 $ 6,637 $ 6,661 Credit Suisse First Boston Mortgage Securities, Ser 2001-CF2, Cl A4 6.505%, 02/15/34 1,088 1,122 Credit Suisse First Boston Mortgage Securities, Ser 2001-CKN5, Cl A4 5.435%, 09/15/34 1,210 1,217 Credit Suisse First Boston Mortgage Securities, Ser 2002-CKN2, Cl A3 6.133%, 04/15/37 1,211 1,253 Credit Suisse First Boston Mortgage Securities, Ser 2002-CKS4, Cl A2 5.183%, 11/15/36 16,303 16,282 Credit Suisse First Boston Mortgage Securities, Ser 2003-AR24, Cl 2A4 (F) 4.036%, 04/01/08 9,465 9,505 Credit Suisse First Boston Mortgage Securities, Ser 2003-C4, Cl A4 (F) 5.137%, 08/15/36 1,339 1,322 Credit Suisse First Boston Mortgage Securities, Ser 2003-C5, Cl A4 (F) 4.900%, 12/15/36 2,140 2,099 Credit Suisse First Boston Mortgage Securities, Ser 2003-CK2, Cl A4 4.801%, 03/15/36 537 525 Credit Suisse First Boston Mortgage Securities, Ser 2004-C2, Cl A2 (F) 5.416%, 04/01/08 1,341 1,357 Credit Suisse First Boston Mortgage Securities, Ser 2005-C1, Cl AAB 4.815%, 04/01/08 589 568 DLJ Commercial Mortgage, Ser 1999-CG1, Cl A1B 6.460%, 03/10/32 4,603 4,634 DLJ Commercial Mortgage, Ser 2000-CKP1, Cl A1B 7.180%, 11/10/33 1,069 1,108 DLJ Commercial Mortgage, Ser-CG3, Cl A1B 7.340%, 09/10/09 1,279 1,311 DSLA Mortgage Loan Trust, Ser 2004-AR2, Cl A2B (F) 2.959%, 04/19/08 3,392 2,587 DSLA Mortgage Loan Trust, Ser 2004-AR3, Cl B2 (F) 3.659%, 04/20/08 633 316 FFCA Secured Lending, Ser 1999-1A, IO (F) (H) 1.422%, 04/01/08 8,960 335 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- First Union National Bank, Ser 2001-C4, Cl B 6.417%, 12/12/33 $ 809 $ 837 First Union-Lehman Brothers Commercial Mortgage, Ser 1998-C2, Cl A2 6.560%, 11/18/35 572 571 Fund America Investors, Ser 1993-A, Cl A2 (F) 6.693%, 04/01/08 312 304 GE Capital Commercial Mortgage, Ser 2001-2, Cl A3 6.030%, 08/11/33 646 653 GE Capital Commercial Mortgage, Ser 2002-1A, Cl A3 (J) 6.269%, 12/10/35 5,610 5,730 GE Capital Commercial Mortgage, Ser 2002-3A, Cl A2 4.996%, 12/10/37 12,500 12,180 GE Capital Commercial Mortgage, Ser 2004-C1, Cl A3 4.596%, 11/10/38 1,678 1,628 GE Capital Commercial Mortgage, Ser 2005-C4, Cl A3A (F) 5.334%, 04/01/08 13,025 12,828 GE Capital Commercial Mortgage, Ser 2006-C1, Cl A3 (F) 5.340%, 04/01/08 2,845 2,677 GE Capital Commercial Mortgage, Ser 2007-C1, Cl A4 5.543%, 04/01/08 1,510 1,477 GMAC Commercial Mortgage Securities, Ser 1999-C2, Cl A2 6.945%, 09/15/33 230 233 GMAC Commercial Mortgage Securities, Ser 2000-C1, Cl A2 7.724%, 03/15/33 3,384 3,500 GMAC Commercial Mortgage Securities, Ser 2000-C2, Cl A2 7.455%, 08/16/33 1,840 1,910 GMAC Commercial Mortgage Securities, Ser 2000-C3, Cl A2 6.957%, 09/15/35 3,071 3,177 GMAC Commercial Mortgage Securities, Ser 2002-C3, Cl A2 4.930%, 07/10/39 1,394 1,377 GMAC Commercial Mortgage Securities, Ser 2004-C1, Cl A1 3.118%, 03/10/38 88 87 GMAC Commercial Mortgage Securities, Ser 2004-C2, Cl A1 3.896%, 08/10/38 109 108 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 131 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- GMAC Commercial Mortgage Securities, Ser 2006-C1, Cl A4 (F) 5.238%, 04/01/08 $ 4,800 $ 4,696 GS Mortgage Securities, Ser 1998-C1, Cl B 6.970%, 10/18/30 1,189 1,192 GS Mortgage Securities, Ser 1998-GLII, Cl A2 6.562%, 04/13/31 71 71 GS Mortgage Securities, Ser 2005-GG4, Cl A4A 4.751%, 07/10/39 6,500 6,308 GS Mortgage Securities, Ser 2005-GG4, Cl AABA 4.680%, 07/10/39 350 335 GS Mortgage Securities, Ser 2006-GG6, Cl AM 5.622%, 04/10/38 4,300 3,991 GS Mortgage Securities, Ser 2007-GG10, Cl A4 (F) 5.799%, 04/01/08 11,575 11,557 GSMPS Mortgage Loan Trust, Ser 1998-1, Cl A 8.000%, 09/19/27 84 88 GSR Mortgage Loan Trust, Ser 2003-13, Cl 1A1 (F) 4.497%, 04/01/08 7,062 6,490 General Electric Capital Assurance, Ser 2003-1, Cl A4 5.254%, 05/12/35 7,530 7,369 Greenwich Capital Commercial Funding, Ser 2005-GG3, Cl AAB 4.619%, 08/10/42 6,305 6,032 HSI Asset Securitization Trust, Ser 2005-NC1, Cl 2A4 (F) 2.919%, 04/25/08 903 769 Harborview Mortgage Loan Trust, Ser 2005-01, Cl X, IO (E) 2.967%, 04/01/08 16,756 351 Harborview Mortgage Loan Trust, Ser 2005-10, Cl X, IO (F) 3.064%, 04/01/08 112 4 Harborview Mortgage Loan Trust, Ser 2005-12, Cl X2B, IO (F) 2.914%, 04/01/08 22,941 527 Harborview Mortgage Loan Trust, Ser 2007-3, Cl 2A1A (F) 2.759%, 04/19/08 15,731 12,270 Heller Financial Commercial Mortgage, Ser 1999-PH1, Cl C (F) 6.848%, 04/15/08 250 253 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Impac Secured Assets CMO Owners Trust, Ser 2006-3, Cl A4 (F) 2.689%, 04/27/08 $ 5,472 $ 5,178 Impac Secured Assets CMO Owners Trust, Ser 2007-1, Cl A1 (F) 3.195%, 04/25/08 16,609 14,280 Indymac INDA Mortgage Loan Trust, Ser 2005-AR2, Cl 1A1 (F) 4.883%, 04/01/08 555 525 Indymac INDA Mortgage Loan Trust, Ser 2007-AR7, Cl 1A1 6.867%, 11/01/37 2,246 2,148 Indymac Index Mortgage Loan Trust, Ser 2004-AR12, Cl AX2, IO (E) 1.830%, 04/01/08 6,456 91 JPMorgan Chase Commercial Mortgage, Ser 2006-CB15, Cl ASB 5.790%, 06/12/43 711 701 JPMorgan Chase Commercial Mortgage, Ser 2006-LDP7, Cl ASB 5.875%, 04/01/08 806 794 JPMorgan Chase Commercial Mortgage, Ser 2007-CB18, Cl A4 5.440%, 04/01/08 11,000 10,683 JPMorgan Chase Commercial Mortgage, Ser 2007-LD11, Cl AM (F) 5.819%, 04/01/08 3,836 3,523 JPMorgan Chase Commercial Mortgage, Ser 2000-C10, Cl A2 7.371%, 08/15/32 917 945 JPMorgan Chase Commercial Mortgage, Ser 2001-C1, Cl A3 5.857%, 10/12/35 729 741 JPMorgan Chase Commercial Mortgage, Ser 2001-CIB2, Cl A3 6.429%, 04/15/35 5,170 5,294 JPMorgan Chase Commercial Mortgage, Ser 2002-C2, Cl A2 5.050%, 12/12/34 3,215 3,189 JPMorgan Chase Commercial Mortgage, Ser 2002-CIB5, Cl A2 5.161%, 10/12/37 590 588 JPMorgan Chase Commercial Mortgage, Ser 2003-CB7, Cl A4 (F) 4.879%, 04/12/08 1,485 1,451 JPMorgan Chase Commercial Mortgage, Ser 2003-PM1A, Cl A4 5.326%, 08/12/40 184 183 - -------------------------------------------------------------------------------- 132 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- JPMorgan Chase Commercial Mortgage, Ser 2005-CB11, Cl ASB 5.201%, 08/12/37 $ 878 $ 855 JPMorgan Chase Commercial Mortgage, Ser 2005-CB12, Cl A4 4.895%, 09/12/37 680 664 JPMorgan Chase Commercial Mortgage, Ser 2005-LDP2, Cl A1 4.334%, 07/15/42 79 78 JPMorgan Chase Commercial Mortgage, Ser 2005-LDP3, Cl A1 4.655%, 08/15/42 294 292 JPMorgan Chase Commercial Mortgage, Ser 2005-LDP4, Cl A4 (F) 4.918%, 04/01/08 3,700 3,612 JPMorgan Chase Commercial Mortgage, Ser 2006-CB16, Cl ASB 5.523%, 05/12/45 606 598 JPMorgan Mortgage Trust, Ser 2005-A3, Cl 11A2 (F) 4.492%, 04/25/08 12,385 9,828 JPMorgan Mortgage Trust, Ser 2006-A2, Cl 2A2 (F) 5.752%, 04/01/08 12,600 10,957 JPMorgan Mortgage Trust, Ser 2006-A3, Cl 3A4 (F) 5.740%, 04/01/08 13,560 11,751 LB Commercial Conduit Mortgage Trust, Ser 1999-C2, Cl B 7.425%, 10/15/32 378 390 LB-UBS Commercial Mortgage Trust, Ser 2002-C2, Cl A4 5.594%, 06/15/31 7,367 7,487 LB-UBS Commercial Mortgage Trust, Ser 2003-C5, Cl A2 3.478%, 07/15/27 624 621 LB-UBS Commercial Mortgage Trust, Ser 2007-C2, Cl AM (F) 5.493%, 04/11/08 1,753 1,572 MLCC Mortgage Investors, Ser 2004-B, Cl A3 (F) 6.943%, 04/01/08 1,064 1,016 Master Reperforming Loan Trust, Ser 2005-1, Cl 1A1 6.000%, 08/25/34 4,438 4,309 Master Seasoned Securities Trust, Ser 2004-2, Cl A2 6.500%, 08/25/32 4,539 4,474 Merrill Lynch Mortgage Investors Trust, Ser 2004-A1, Cl 4A (F) 5.337%, 04/01/08 7,100 6,465 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Merrill Lynch Mortgage Trust, Ser 2005-MCP1, Cl A4 4.747%, 06/12/43 $ 3,780 $ 3,666 Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-5, Cl A4 5.378%, 08/12/48 1,270 1,229 Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-6, Cl AM (F) 5.526%, 04/01/08 2,411 2,167 Morgan Stanley Capital I, Ser 2003-IQ5, Cl A4 5.010%, 04/01/08 2,161 2,137 Morgan Stanley Capital I, Ser 2004-HQ3, Cl A4 4.800%, 01/13/41 1,109 1,087 Morgan Stanley Capital I, Ser 2005-HQ5, Cl AAB 5.037%, 01/14/42 1,700 1,647 Morgan Stanley Capital I, Ser 2005-HQ6, Cl A4A 4.989%, 08/13/42 5,600 5,503 Morgan Stanley Capital I, Ser 2005-HQ7, Cl AAB (F) 5.180%, 04/01/08 2,189 2,121 Morgan Stanley Capital I, Ser 2007-IQ14, Cl A4 5.692%, 04/15/49 13,680 13,470 Morgan Stanley Dean Witter Capital, Ser 2000-LIFE, Cl A2 7.570%, 11/15/36 2,981 3,070 Morgan Stanley Dean Witter Capital, Ser 2001-TOP1, Cl A4 6.660%, 02/15/33 1,088 1,124 Morgan Stanley Dean Witter Capital, Ser 2001-TOP3, Cl A4 6.390%, 06/15/11 1,269 1,307 Morgan Stanley Dean Witter Capital, Ser 2001-TOP5, Cl A4 6.390%, 10/15/35 163 168 Morgan Stanley Dean Witter Capital, Ser 2002-IQ2, Cl A3 5.520%, 12/15/35 703 709 Morgan Stanley Mortgage Loan Trust, Ser 2007-6XS, Cl 2A1S (F) 2.709%, 04/25/08 583 536 Mortgage Capital Funding, Ser 1998-MC2, Cl A2 6.423%, 06/18/30 1,384 1,380 Residential Accredit Loans, Ser 2006-Q01, Cl 2A3 (F) 2.999%, 04/27/08 709 350 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 133 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Residential Asset Mortgage Products, Ser 2004-SL1, Cl A8 6.500%, 11/25/31 $ 2,781 $ 2,865 Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1 (F) 5.251%, 04/01/08 3,165 3,075 Salomon Brothers Mortgage Securities VII, Ser 2001-C2, Cl A3 6.499%, 10/13/11 5,750 5,894 Salomon Brothers Mortgage Securities VII, Ser 2002-KEY2, Cl A2 4.467%, 03/18/36 1,159 1,146 Structured Adjustable Rate Mortgage Loan, Ser 2005-19XS, Cl 1A1 (F) 2.919%, 04/26/08 2,345 1,854 Structured Adjustable Rate Mortgage Loan, Ser 2007-7, Cl 2AS2 (F) 5.723%, 04/01/08 12,791 12,235 Structured Asset Securities, Ser 2005-17, Cl 5A1 5.500%, 04/01/08 3,614 3,625 Thornburg Mortgage Securities Trust, Ser 2005-3, Cl 2A1 (F) 2.839%, 04/25/08 12,351 12,054 Thornburg Mortgage Securities Trust, Ser 2006-1, Cl A3 (F) 2.769%, 04/01/08 9,502 9,329 Thornburg Mortgage Securities Trust, Ser 2006-3, Cl A2 (F) 2.704%, 04/25/08 13,077 12,839 Thornburg Mortgage Securities Trust, Ser 2006-3, Cl A3 (F) 2.709%, 04/25/08 13,769 13,611 Thornburg Mortgage Securities Trust, Ser 2007-4, Cl 2A1 (F) 6.240%, 04/01/08 6,926 6,442 6.219%, 04/01/08 6,444 5,814 Wachovia Bank Commercial Mortgage Trust, Ser 2002-C1A, Cl A4 6.287%, 04/15/34 1,543 1,602 Wachovia Bank Commercial Mortgage Trust, Ser 2002-C2, Cl A4 4.980%, 11/15/34 1,816 1,795 Wachovia Bank Commercial Mortgage Trust, Ser 2003-C5, Cl A2 3.989%, 06/15/35 449 423 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Wachovia Bank Commercial Mortgage Trust, Ser 2003-C6, Cl A3 (F) 4.957%, 04/01/08 $ 2,490 $ 2,494 Wachovia Bank Commercial Mortgage Trust, Ser 2003-C7, Cl A1 4.241%, 10/15/35 371 365 Wachovia Bank Commercial Mortgage Trust, Ser 2003-C8, Cl A3 4.445%, 11/15/35 873 867 Wachovia Bank Commercial Mortgage Trust, Ser 2003-C9, Cl A4 (F) 5.012%, 04/01/08 585 576 Wachovia Bank Commercial Mortgage Trust, Ser 2004-C10, Cl A4 4.748%, 02/15/41 3,793 3,709 Wachovia Bank Commercial Mortgage Trust, Ser 2004-C11, Cl A4 5.030%, 01/15/41 599 597 Wachovia Bank Commercial Mortgage Trust, Ser 2005-C19, Cl A6 4.699%, 05/15/44 988 953 Wachovia Bank Commercial Mortgage Trust, Ser 2005-C20, Cl A7 (F) 5.118%, 04/01/08 2,061 2,037 Wachovia Bank Commercial Mortgage Trust, Ser 2005-C21, Cl A4 (F) 5.210%, 04/01/08 1,447 1,453 Wachovia Bank Commercial Mortgage Trust, Ser 2006-C25, Cl AM (F) 5.742%, 04/01/08 450 421 Wachovia Bank Commercial Mortgage Trust, Ser 2006-C26, Cl APB 5.997%, 06/15/45 2,154 2,191 Washington Mutual Mortgage Pass-Through Certificates, Ser 2003-MS1, Cl 1A 5.000%, 02/25/18 1,972 1,913 Washington Mutual Mortgage Pass-Through Certificates, Ser 2003-MS2, Cl 3A1 5.000%, 03/25/18 5,841 5,795 - -------------------------------------------------------------------------------- 134 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-AR13, Cl A1A1 (F) 2.889%, 04/25/08 $ 4,973 $ 3,964 Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-AR15, Cl A1A2 (F) 2.879%, 04/25/08 7,455 5,888 Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-AR16, Cl 1A4A (F) 5.102%, 04/25/08 12,955 12,083 Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-AR19, Cl A1A2 (F) 2.889%, 04/25/08 7,223 5,706 Wells Fargo Mortgage Backed Securities Trust, Ser 2004-I, Cl B1 (F) 6.527%, 04/01/08 260 260 Wells Fargo Mortgage Backed Securities Trust, Ser 2005-17, Cl 1A1 5.500%, 04/01/08 10,633 10,573 Wells Fargo Mortgage Backed Securities, Ser 2007-16, Cl 1A1 6.000%, 12/28/37 15,731 15,861 Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-H, Cl A1 (F) 4.527%, 04/01/08 7,677 7,261 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-2, Cl 3A1 5.750%, 03/25/36 1,960 1,850 Zuni Mortgage Loan Trust, Ser 2006-OA1, Cl A1 (F) 2.729%, 04/25/08 6,909 6,551 -------------- 714,121 -------------- Total Mortgage-Backed Securities (Cost $2,833,322) ($ Thousands) 2,821,930 -------------- ASSET-BACKED SECURITIES -- 8.5% AUTOMOTIVE -- 0.5% AmeriCredit Prime Automobile Receivables Trust, Ser 2007-1, Cl A3 5.270%, 11/08/11 1,863 1,895 Capital Auto Receivables Asset Trust, Ser 2006-2, Cl B 5.070%, 12/15/11 2,620 2,590 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Capital Auto Receivables Asset Trust, Ser 2007-1, Cl A3A 5.000%, 04/15/11 $ 75 $ 76 Capital Auto Receivables Asset Trust, Ser 2007-4A, Cl A4 5.300%, 12/15/11 1,124 1,142 DaimlerChrysler Auto Trust, Ser 2006-D, Cl A4 4.940%, 02/08/12 1,190 1,217 DaimlerChrysler Auto Trust, Ser 2007-A, Cl A4 5.280%, 03/08/13 734 752 Ford Credit Auto Owner Trust, Ser 2007-B, Cl A3A 5.150%, 11/15/11 1,254 1,283 Harley Davidson Motorcycle Trust, Ser 2008-1, Cl A3A 4.250%, 02/15/13 958 955 Hyundai Auto Receivables Trust, Ser 2007-A, Cl A3A 5.040%, 01/17/12 776 786 Hyundai Auto Receivables Trust, Ser 2007-A, Cl A4 5.210%, 03/17/14 1,999 2,022 Nissan Auto Receivables Owner Trust, Ser 2007-B, Cl A4 5.160%, 03/17/14 5,405 5,534 Triad Auto Receivables Owner Trust, Ser 2006-B, Cl A4 5.520%, 04/12/08 563 551 Triad Auto Receivables Owner Trust, Ser 2006-C, Cl A3 5.260%, 11/14/11 867 854 USAA Auto Owner Trust, Ser 2005-1, Cl A3 3.900%, 07/15/09 4 4 WFS Financial Owner Trust, Ser 2005-3, Cl A3A 4.250%, 06/17/10 77 77 World Omni Auto Receivables Trust, 2007-B, Cl A3A 5.280%, 01/17/12 652 663 World Omni Auto Receivables Trust, 2007-B, Cl A4 5.390%, 05/15/13 1,406 1,430 -------------- 21,831 -------------- - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 135 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- CREDIT CARDS -- 0.5% American Express Issuance Trust, Ser 2007-2, Cl A (F) 3.068%, 04/01/08 $ 4,674 $ 4,510 Bank of America Credit Card Trust, Ser 2007-A8, Cl A8 5.590%, 11/17/14 515 540 Capital One Multi-Asset Execution Trust, Ser 2007-A7, Cl A7 5.750%, 07/15/20 2,623 2,632 Citibank Credit Card Issuance Trust, Ser 2007-A8, Cl A8 5.650%, 09/20/19 1,491 1,492 Citibank Credit Card Issuance Trust, Ser 2008-A1, Cl A1 5.350%, 02/07/20 5,427 5,280 Discover Card Master Trust, Ser 2007-A1, Cl A1 5.650%, 03/16/20 5,918 5,908 MBNA Credit Card Master Note Trust, Ser 2003-A7, Cl A7 2.650%, 11/15/10 1,361 1,360 Washington Mutual Master Note Trust, Ser 2006-A2A, Cl A (F) 2.868%, 04/15/08 1,747 1,686 -------------- 23,408 -------------- MORTGAGE RELATED SECURITIES -- 2.8% ABS Home Equity Loan Trust, Ser 2001-HE3, Cl A1 (F) 2.936%, 04/15/08 457 407 AFC Home Equity Loan Trust, Ser 1998-1, Cl 1A2 (F) 2.869%, 04/01/08 130 102 AFC Home Equity Loan Trust, Ser 2000-1, Cl 2A (F) 2.839%, 04/25/08 4,688 2,583 Ace Securities, Ser 2003-OP1, Cl M1 (F) 3.299%, 04/26/08 1,000 748 Ace Securities, Ser 2005-HE7, Cl A1B2 (F) 2.899%, 04/27/08 1,263 1,073 Aegis Asset-Backed Securities Trust, Ser 2003-3, Cl M1 (F) 3.299%, 04/25/08 105 84 Ameriquest Mortgage Securities, Ser 2003-2, Cl M1 (F) 3.949%, 04/25/08 1,402 1,226 Argent Securities, Ser 2003-W5, Cl M1 (F) 3.299%, 04/25/08 600 500 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Argent Securities, Ser 2003-W9, Cl M1 (F) 3.289%, 04/26/08 $ 1,287 $ 1,003 Asset-Backed Funding Certificates, Ser 2003-WF1, Cl A2 (F) 3.885%, 04/25/08 2,506 2,385 Asset-Backed Funding Certificates, Ser 2005-AQ1, Cl A2 (G) 4.300%, 06/25/35 1,315 1,303 Asset-Backed Securities Home Equity Loan Trust, Ser 2003-HE4, Cl M2 (F) 6.121%, 04/15/08 416 336 Asset-Backed Securities Home Equity Loan Trust, Ser 2003-HE5, Cl M1 (F) 3.871%, 04/15/08 1,733 1,470 BNC Mortgage Loan Trust, Ser 2007-1, Cl M1 (F) 2.839%, 04/25/08 6,300 1,926 Bear Stearns Asset Backed Securities, Ser 2007-HE2, Cl 1A1 (F) 2.699%, 04/30/08 10,329 10,010 Bear Stearns Asset-Backed Securities, Ser 2000-2, Cl M2 (G) 8.280%, 08/25/30 8,000 7,737 Bear Stearns Asset-Backed Securities, Ser 2003-1, Cl A1 (F) 3.099%, 04/25/08 4,601 4,086 Bear Stearns Asset-Backed Securities, Ser 2007-AQ2, Cl A1 (F) 2.699%, 04/30/08 6,235 5,568 Citigroup Mortgage Loan Trust, Ser 2006-FX1, Cl A1 (F) 2.699%, 04/30/08 1,461 1,389 Citigroup Mortgage Loan Trust, Ser 2007-AHL1, Cl A2A (F) 2.639%, 04/25/08 1,313 1,234 Conseco Finance, Ser 2001-D, Cl A5 (G) 6.190%, 11/15/32 2,052 2,035 Contimortgage Home Equity Loan Trust, Ser 1997-1, Cl A9 7.050%, 03/15/28 53 52 Contimortgage Home Equity Loan Trust, Ser 1997-2, Cl A9 7.090%, 04/15/28 46 46 Countrywide Asset-Backed Certificates, Ser 2006-S1, Cl A2 5.549%, 08/25/21 2,171 2,118 - -------------------------------------------------------------------------------- 136 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Countrywide Asset-Backed Certificates, Ser 2007-S2, Cl A2 (F) 5.649%, 04/01/08 $ 3,354 $ 2,812 Credit Suisse First Boston Mortgage Securities, Ser 2001-CK1 Cl A3 6.380%, 12/18/35 610 626 EMC Mortgage Loan Trust, Ser 2002-AA, Cl A1 (F) 3.069%, 04/25/08 1,856 1,745 Equivantage Home Equity Loan Trust, Ser 1997-2, Cl A3 (G) 7.775%, 04/01/08 168 145 First Union National Bank, Ser 2000-C2, Cl A2 7.202%, 10/15/32 814 849 GMAC Commercial Mortgage Securities, Ser 2003-C3, Cl A4 5.023%, 04/10/40 2,881 2,835 GMAC Mortgage Loan Trust, Ser 2007-HE1, Cl A2 (F) 5.621%, 04/01/08 4,497 3,906 GSAA Home Equity Trust, Ser 2006-2, Cl 2A1 (F) 3.235%, 04/27/08 3,372 3,310 Home Equity Asset Trust, Ser 2003-4, Cl M2 (F) 4.999%, 04/25/08 1,069 826 Indymac Indx Mortgage Loan Trust, Ser 2007-AR15, Cl 2A1 5.996%, 08/25/37 9,686 6,102 Indymac Seconds Asset-Backed Trust, Ser 2006-A, Cl A (F) 2.729%, 04/25/08 3,261 1,257 Master Asset-Backed Securities Trust, Ser 2005-AB1, Cl A1B (G) 5.143%, 04/01/08 80 80 Master Asset-Backed Securities, Ser 2006-AB1, Cl A1 (F) 2.739%, 04/27/08 4,654 4,552 Merrill Lynch Mortgage Investors Trust, Ser 2003-OPT1, Cl A3 (F) 2.959%, 04/26/08 1,227 1,053 Morgan Stanley Capital I, Ser 2003-NC8, Cl M1 (F) 3.649%, 04/27/08 2,200 1,664 Morgan Stanley Capital I, Ser 2007-HE2, Cl A2A (F) 2.639%, 04/25/08 610 586 Morgan Stanley Dean Witter Capital, Ser 2003-NC4, Cl M2 (F) 5.599%, 04/25/08 157 143 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Morgan Stanley Home Equity Loans, Ser 2007-1, Cl A1 (F) 3.185%, 04/25/08 $ 540 $ 518 New Century Home Equity Loan Trust, Ser 2003-B, Cl M1 (F) 3.249%, 04/27/08 1,917 1,413 New Century Home Equity Loan Trust, Ser 2005-A, Cl A2 (G) 4.461%, 04/25/08 1,679 1,662 Novastar Home Equity Loan, Ser 2007-1, Cl A2A1 (F) 2.699%, 04/30/08 11,469 10,887 Option One Mortgage Loan Trust, Ser 2001-4, Cl A (F) 3.199%, 04/25/08 478 454 Option One Mortgage Loan Trust, Ser 2003-5, Cl M1 (F) 3.249%, 04/23/08 666 536 Option One Mortgage Loan Trust, Ser 2006-1, Cl M11 (F) 5.099%, 04/27/08 280 12 Option One Mortgage Securities, Ser 2005-3A, Cl N1 5.438%, 08/26/35 159 3 Residential Funding Mortgage Securities, Ser 2000-HI1, Cl AI7 (G) 8.290%, 02/25/25 2,486 2,478 Residential Funding Mortgage Securities, Ser 2005-HS1, Cl AI1 (F) 2.719%, 04/25/08 2,394 2,312 Salomon Brothers Mortgage Securities, Ser 2000-C3, Cl A2 6.592%, 12/18/33 403 412 Terwin Mortgage Trust, Ser 2005-9HGS, Cl A1 (F) 4.000%, 04/01/08 1,435 1,352 Terwin Mortgage Trust, Ser 2006-2HGS, Cl A1 (F) 4.500%, 04/01/08 5,156 2,490 Terwin Mortgage Trust, Ser 2006-4SL, Cl A1 (F) 4.500%, 04/01/08 4,889 4,706 Terwin Mortgage Trust, Ser 2006-6, Cl 1A2 (F) 4.750%, 04/21/08 7,600 4,729 Terwin Mortgage Trust, Ser 2006-6, Cl A1 (F) 4.500%, 04/01/08 4,319 2,620 Terwin Mortgage Trust, Ser 2006-8, Cl 1A2 (F) 5.000%, 04/01/08 4,500 949 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 137 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Terwin Mortgage Trust, Ser 2006-HF1, Cl A1A (F) 4.500%, 04/01/08 $ 102 $ 102 Wells Fargo Home Equity Trust, Ser 2004-2, Cl M8B (F) 5.000%, 04/01/08 395 110 -------------- 119,657 -------------- OTHER ASSET-BACKED SECURITIES -- 4.7% Aames Mortgage Investment Trust, Ser 2005-4, Cl B2 (F) 5.349%, 04/12/08 780 82 CNH Equipment Trust, Ser 2004-A, Cl A4A (F) 2.928%, 04/15/08 922 922 Chase Funding Mortgage Loan, Ser 2002-1, Cl 2A2 (F) 3.099%, 04/25/08 1,685 1,552 Chase Funding Mortgage Loan, Ser 2003-6, Cl 1A3 3.340%, 05/25/26 571 569 Chase Issuance Trust, Ser 2008-A4, Cl A4 4.650%, 03/15/15 12,748 12,748 Citicorp Residential Mortgage Securities, Ser 2006-1, Cl A2 (G) 5.682%, 07/25/36 1,236 1,210 Citicorp Residential Mortgage Securities, Ser 2006-2, Cl A2 (G) 5.557%, 04/01/08 1,163 1,143 Connecticut RRB Special Purpose Trust, Ser 2001-1, Cl A5 6.210%, 12/30/11 721 757 Conseco Finance Home Loan Trust, Ser 2000-E, Cl M1 (F) 8.130%, 04/01/08 1,781 1,742 Conseco Finance Securitization, Ser 2000-4, Cl A6 (F) 8.310%, 05/01/32 1,396 1,112 Countrywide Asset-Backed Certificates, Ser 2003-BC2, Cl 2A1 (F) 3.735%, 04/25/08 38 35 Countrywide Asset-Backed Certificates, Ser 2004-14, Cl A4 (F) 2.879%, 04/25/08 845 729 Countrywide Asset-Backed Certificates, Ser 2005-15, Cl 1AF1 (F) 2.739%, 04/25/08 1,797 1,795 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Countrywide Asset-Backed Certificates, Ser 2007-3, Cl 2A1 (F) 2.699%, 04/25/08 $ 569 $ 536 Countrywide Asset-Backet Certificates, Ser 2006-10, Cl MV1 (F) 2.859%, 04/25/08 10,450 5,526 Countrywide Home Equity Loan Trust, Ser 2002-E, Cl A 3.078%, 04/15/08 206 181 Countrywide Home Equity Loan Trust, Ser 2004-K, Cl A2 (F) 3.118%, 04/15/08 1,423 1,237 Countrywide Home Equity Loan Trust, Ser 2005-F, Cl 2A (F) 3.058%, 04/15/08 2,839 2,138 Countrywide Home Equity Loan Trust, Ser 2005-M, Cl A2 (F) 2.938%, 04/15/08 853 850 Countrywide Home Equity Loan Trust, Ser 2007-GW, Cl A (F) 3.368%, 04/17/08 16,154 12,902 Credit Suisse First Boston Mortgage Securities, Ser 2001-MH29, Cl A (G) 5.600%, 09/25/31 1,073 1,086 Domino's Pizza Master Issuer LLC, Ser 2007-1, Cl A2 5.261%, 04/25/37 1,743 1,516 Embarcadero Aircraft Securitization, Ser 2000-A, Cl A1 (F) 3.298%, 04/15/08 4,200 3,528 First Franklin Mortgage Loan Asset- Backed Securities, Ser 2004-FF11, Cl 1A2 (F) 2.949%, 04/25/08 138 116 First Franklin Mortgage Loan Asset- Backed Securities, Ser 2005-FF10, Cl A4 (F) 3.455%, 04/25/08 8,400 7,749 First Franklin Mortgage Loan Asset- Backed Securities, Ser 2005-FF9, Cl A3 (F) 3.415%, 04/25/08 9,500 8,898 First Franklin Mortgage Loan, Ser 2006-FFA, Cl A3 (F) 3.255%, 04/25/08 6,348 2,802 First Horizon ABS Trust, Ser 2004-HE2, Cl A (F) 2.819%, 04/25/08 2,102 1,839 - -------------------------------------------------------------------------------- 138 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- GMAC Mortgage Loan Trust, Ser 2005-HE3, Cl A1VN (F) 2.859%, 04/25/08 $ 7,885 $ 5,942 GSAMP Trust, Ser 2003-SEA, Cl A1 (F) 2.999%, 04/25/08 3,797 3,399 Great America Leasing Receivables, Ser 2006-1, Cl A3 5.340%, 01/15/10 1,132 1,141 Green Tree Financial, Ser 1993-4, Cl A5 7.050%, 01/15/19 392 406 Green Tree Financial, Ser 1996-5, Cl A6 7.750%, 07/15/27 1,176 1,234 HSI Asset Securitization Trust, Ser 2005-I1, Cl 2A3 (F) 2.889%, 04/27/08 8,000 6,839 Lehman XS Trust, Ser 2005-5N, Cl 1A1 (F) 2.899%, 04/01/08 6,063 4,749 Lehman XS Trust, Ser 2005-5N, Cl M4 (F) 4.349%, 04/30/08 1,800 360 Lehman XS Trust, Ser 2006-7, Cl 2A1 (F) 2.669%, 04/25/08 125 125 Lehman XS Trust, Ser 2006-GP1, Cl A4A 2.929%, 04/25/08 5,561 3,391 Lehman XS Trust, Ser 2007-1, Cl WF1 7.000%, 01/25/37 3,160 2,653 Lehman XS Trust, Ser 2007-9, Cl 1A1 (F) 2.729%, 04/25/08 13,103 10,936 Long Beach Asset Holdings, Ser 2005-WL1, Cl N1 5.193%, 06/25/45 164 20 Long Beach Mortgage Loan Trust, Ser 2006-WL1, Cl 1A3 (F) 2.929%, 04/27/08 1,306 1,013 MSCC Heloc Trust, Ser 2005-1, Cl A (F) 2.789%, 04/25/08 573 487 Master Specialized Loan Trust, Ser 2007-2, Cl A (F) 2.949%, 04/28/08 11,658 8,627 Merrill Lynch First Franklin Mortgage Loan Trust, Ser 2007-1, Cl M1 (F) 2.979%, 04/27/08 2,084 620 Merrill Lynch Mortgage Investors Trust, Ser 2005-SL3, Cl A1 (F) 2.829%, 04/10/08 869 806 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Merrill Lynch Mortgage Investors Trust, Ser 2006-WMC2, Cl A2D (G) 5.895%, 04/25/08 $ 5,200 $ 4,132 Merrill Lynch Mortgage Investors Trust, Ser 2007-MLN1, Cl M1 (F) 2.999%, 04/25/08 3,010 934 Merrill Lynch Mortgage Investors, Ser 2007-SL1, Cl A1 (F) 2.899%, 04/11/08 7,161 5,981 Mid-State Trust, Ser 11, Cl A1 4.864%, 07/15/38 5,013 4,903 Morgan Stanley Capital I, Ser 2006-T21, Cl A4 5.162%, 10/12/52 2,500 2,437 Morgan Stanley Capital I, Ser 2006-WMC1, Cl A2A (F) 2.669%, 04/25/08 39 39 Oncor Electric Delivery Transition Bond, Ser 2003-1, Cl A2 4.030%, 02/15/12 2,887 2,913 Orchid Structured Finance CDO, Ser 2003-1A, Cl A1MM (F) 3.070%, 05/18/08 4,206 3,661 Ownit Mortgage Loan Asset-Backed Securities Trust, Ser 2006-1, Cl AF1 (G) 5.424%, 12/25/36 3,654 3,604 Residential Asset Mortgage Products, Ser 2003-RS11, Cl MII1 (F) 3.694%, 04/25/08 188 175 Residential Asset Mortgage Products, Ser 2003-RS2, Cl AII (F) 3.279%, 04/25/08 75 57 Residential Asset Mortgage Products, Ser 2003-RS7, Cl AI6 (F) 5.340%, 04/01/08 651 659 Residential Asset Mortgage Products, Ser 2007-RS1, Cl A1 (F) 2.679%, 04/09/08 4,671 4,449 Resmae Mortgage Loan Trust, Ser 2006-1, Cl A2A (C) (F) 2.699%, 04/25/08 4,159 4,025 SLC Student Loan Trust, Ser 2006-2, Cl B (F) 3.030%, 06/19/08 5,250 4,367 SLM Student Loan Trust, Ser 2006-9, Cl B (F) 3.561%, 04/12/08 4,000 3,279 SLM Student Loan Trust, Ser 2006-C, Cl C (F) 5.381%, 06/15/08 4,000 2,565 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 139 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Saco I Trust, Ser 2005-9, Cl A1 (F) 2.849%, 04/27/08 $ 1,199 $ 854 Saco I Trust, Ser 2005-WM3, Cl A1 (F) 2.859%, 04/27/08 1,195 981 Saco I Trust, Ser 2006-6, Cl A (F) 2.729%, 04/25/08 4,108 1,486 Securitized Asset-Backed Receivables LLC, Ser 2005-FR4, Cl A3 (F) 2.799%, 04/25/08 99 99 Soundview Home Equity Loan Trust, Ser 2005-OPT4, Cl M8 (F) 5.099%, 04/25/08 500 77 Start, Ser 2003-1, Cl X (E) 4.130%, 04/21/08 4,176 4,134 Start, Ser 2003-2, Cl X (E) 4.600%, 04/21/08 3,329 3,279 Structured Asset Investment Loan, Ser 2003-BC4, Cl M2 (F) 5.599%, 04/25/08 192 145 Structured Asset Securities, Ser 2004-19XS, Cl A2 (G) 4.370%, 04/01/08 435 434 Structured Asset Securities, Ser 2006-GEL4, Cl A1 (F) 2.719%, 04/27/08 3,711 3,534 Structured Asset Securities, Ser 2007-BC2, Cl A2 (F) 2.689%, 04/25/08 13,549 12,866 TMS SBA Loan Trust, Ser 1999-1, Cl A (F) 3.800%, 04/15/08 198 177 -------------- 204,294 -------------- Total Asset-Backed Securities (Cost $436,099) ($ Thousands) 369,190 -------------- CORPORATE OBLIGATIONS -- 23.8% CONSUMER DISCRETIONARY -- 1.7% American Achievement 8.250%, 04/01/12 900 803 Boyd Gaming 7.125%, 02/01/16 350 282 6.750%, 04/15/14 570 467 CCH I LLC (J) 11.000%, 10/01/15 740 514 COX Communications 7.875%, 08/15/09 750 785 4.625%, 06/01/13 805 773 CSC Holdings 7.625%, 07/15/18 80 73 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Cablevision, B 6.896%, 03/30/13 $ 997 $ 928 Caesars Entertainment 8.125%, 05/15/11 540 454 Cengage Learning Acquisitions (C) 10.500%, 01/15/15 480 413 Clear Channel Communications 6.250%, 03/15/11 2,230 1,968 4.250%, 05/15/09 990 960 Comcast 9.000%, 09/01/08 1,150 1,168 6.500%, 01/15/15 985 1,009 6.500%, 01/15/17 720 735 5.850%, 11/15/15 465 459 5.450%, 11/15/10 525 541 5.300%, 01/15/14 2,340 2,297 Comcast Cable Communications 8.375%, 03/15/13 4,695 5,215 6.750%, 01/30/11 (J) 2,310 2,402 Community Health Systems 8.875%, 07/15/15 1,070 1,074 Daimler Finance LLC 8.500%, 01/18/31 470 537 7.300%, 01/15/12 1,400 1,495 6.500%, 11/15/13 5,170 5,450 Daimler Finance LLC MTN (F) 3.218%, 06/08/08 2,910 2,874 DirecTV Holdings 8.375%, 03/15/13 350 355 Eastman Kodak 7.250%, 11/15/13 2,740 2,617 Echostar DBS 7.125%, 02/01/16 1,970 1,837 Ford Motor 9.215%, 09/15/21 1,000 788 7.450%, 07/16/31 (J) 2,940 1,940 General Motors (J) 8.250%, 07/15/23 3,100 2,170 HCA 9.250%, 11/15/16 1,639 1,700 9.125%, 11/15/14 230 237 HCA PIK 9.625%, 11/15/16 50 52 Hertz 8.875%, 01/01/14 725 687 Home Depot 5.875%, 12/16/36 735 600 Idearc 8.000%, 11/15/16 1,280 829 Inn of the Mountain Gods 12.000%, 11/15/10 1,010 980 Lamar Media, Ser B 6.625%, 08/15/15 720 634 - -------------------------------------------------------------------------------- 140 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- MGM Mirage 8.500%, 09/15/10 $ 160 $ 165 7.625%, 01/15/17 (J) 1,440 1,310 Mandalay Resort Group (J) 9.500%, 08/01/08 440 440 Marriott International, Ser J 5.625%, 02/15/13 235 227 McDonald's 6.300%, 03/01/38 750 767 5.350%, 03/01/18 2,020 2,049 News America 6.200%, 12/15/34 65 62 R.H. Donnelley (C) (J) 8.875%, 10/15/17 415 259 River Rock Entertainment 9.750%, 11/01/11 930 925 Rogers Cable 5.500%, 03/15/14 430 406 Rogers Communications 7.875%, 05/01/12 550 601 6.750%, 03/15/15 1,015 1,011 Service Corp International 7.625%, 10/01/18 340 342 6.750%, 04/01/16 20 19 Station Casinos 7.750%, 08/15/16 1,495 1,204 Sun Media 7.625%, 02/15/13 470 444 Target 7.000%, 01/15/38 1,020 1,048 Time Warner 7.700%, 05/01/32 3,645 3,838 6.875%, 05/01/12 2,455 2,534 Time Warner Cable 5.850%, 05/01/17 1,015 972 Time Warner Entertainment 8.375%, 07/15/33 1,265 1,423 Viacom 6.875%, 04/30/36 500 482 5.750%, 04/30/11 495 500 Visteon (J) 8.250%, 08/01/10 920 752 Wal-Mart Stores 6.500%, 08/15/37 1,286 1,350 Walt Disney 4.700%, 12/01/12 730 749 Yum! Brands 6.875%, 11/15/37 1,255 1,201 -------------- 74,182 -------------- - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- CONSUMER STAPLES -- 0.5% Anheuser-Busch 5.050%, 10/15/16 $ 940 $ 948 CVS Caremark (C) 9.350%, 01/10/23 8,600 8,342 Estee Lauder 5.550%, 05/15/17 1,140 1,164 General Mills 6.000%, 02/15/12 750 786 5.650%, 09/10/12 945 983 Kellogg, Ser B 6.600%, 04/01/11 890 959 Kraft Foods 6.125%, 02/01/18 3,095 3,093 Kroger 5.000%, 04/15/13 1,050 1,056 Philip Morris Capital 7.500%, 07/16/09 1,750 1,775 Reynolds American 6.750%, 06/15/17 1,260 1,274 Schering-Plough 6.000%, 09/15/17 365 367 -------------- 20,747 -------------- ENERGY -- 3.0% Anadarko Finance, Ser B 7.500%, 05/01/31 3,610 4,062 6.750%, 05/01/11 20 21 Anadarko Petroleum 6.450%, 09/15/36 5,850 5,957 3.200%, 06/15/08 (F) 4,000 3,924 Canadian Natural Resources 5.850%, 02/01/35 800 735 5.700%, 05/15/17 265 268 Chesapeake Energy 6.375%, 06/15/15 500 485 Compagnie Generale de Geophysique 7.750%, 05/15/17 110 112 7.500%, 05/15/15 1,205 1,223 Conoco 6.950%, 04/15/29 1,460 1,662 Conoco Funding 7.250%, 10/15/31 530 618 6.350%, 10/15/11 920 1,002 ConocoPhillips 5.900%, 10/15/32 1,090 1,114 Devon Financing 6.875%, 09/30/11 1,700 1,856 Dynegy Holdings 7.750%, 06/01/19 1,485 1,389 Edison Mission Energy 7.625%, 05/15/27 420 395 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 141 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- El Paso 7.000%, 06/15/17 $ 3,920 $ 4,032 6.950%, 06/01/28 6,750 6,311 El Paso MTN 7.800%, 08/01/31 967 993 7.750%, 01/15/32 (J) 1,830 1,880 El Paso Natural Gas 5.950%, 04/15/17 485 476 El Paso Performance-Linked Trust (C) 7.750%, 07/15/11 5,470 5,593 Energy Future Holdings PIK (C) 11.250%, 11/01/17 17,640 17,464 Energy Transfer Partners 6.700%, 07/01/18 2,160 2,176 GAZ Capital (C) 6.510%, 03/07/22 3,460 3,084 6.212%, 11/22/16 4,740 4,396 Hess 7.875%, 10/01/29 1,070 1,270 7.300%, 08/15/31 4,380 4,935 Husky Energy 6.800%, 09/15/37 505 513 Husky Oil 7.550%, 11/15/16 830 952 Intergas Finance 6.375%, 05/14/17 220 193 Kerr-McGee 7.875%, 09/15/31 820 960 6.950%, 07/01/24 450 477 Kinder Morgan Energy Partners 7.125%, 03/15/12 90 96 6.750%, 03/15/11 580 608 6.300%, 02/01/09 570 581 6.000%, 02/01/17 3,485 3,468 5.950%, 02/15/18 2,378 2,355 5.850%, 09/15/12 1,015 1,041 5.000%, 12/15/13 2,735 2,697 Marathon Oil 6.000%, 10/01/17 510 517 5.900%, 03/15/18 1,610 1,618 OPTI Canada (C) 8.250%, 12/15/14 700 693 7.875%, 12/15/14 880 860 Peabody Energy, Ser B 6.875%, 03/15/13 300 305 Pemex Project Funding Master Trust (J) 6.625%, 06/15/35 2,072 2,144 Petrobras International Finance 6.125%, 10/06/16 5,715 5,699 Ras Laffan LNG III (C) 6.332%, 09/30/27 1,305 1,191 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- SemGroup L.P. (C) 8.750%, 11/15/15 $ 200 $ 183 Shell International Finance 5.200%, 03/22/17 1,265 1,336 Sonat 7.625%, 07/15/11 2,850 2,946 Southern Natural Gas 8.000%, 03/01/32 170 186 Southern Natural Gas (C) 5.900%, 04/01/17 405 396 Suburban Propane Partners 6.875%, 12/15/13 735 717 Tennessee Gas Pipeline 7.625%, 04/01/37 830 869 Tosco 8.125%, 02/15/30 400 503 Transocean 6.000%, 03/15/18 1,500 1,543 Vastar Resources (J) 6.500%, 04/01/09 3,490 3,602 Weatherford International 7.000%, 03/15/38 510 519 6.800%, 06/15/37 370 366 6.350%, 06/15/17 1,320 1,365 5.950%, 06/15/12 785 818 Williams 8.750%, 03/15/32 5,860 6,768 7.750%, 06/15/31 (J) 1,880 1,998 Williams, Ser A 7.500%, 01/15/31 90 94 XTO Energy 7.500%, 04/15/12 850 941 -------------- 129,551 -------------- FINANCIALS -- 11.2% ABX Financing (C) 6.350%, 10/15/36 4,250 4,101 ASIF Global Financing XIX (C) 4.900%, 01/17/13 390 384 Ace INA Holdings 6.700%, 05/15/36 290 281 5.700%, 02/15/17 655 652 Aiful (C) 5.000%, 08/10/10 1,420 1,339 Allied Capital 6.625%, 07/15/11 3,420 3,589 Allied World Assurance 7.500%, 08/01/16 2,500 2,565 American Express 8.150%, 03/19/38 2,315 2,565 6.800%, 09/01/16 (F) 2,010 1,890 6.150%, 08/28/17 (J) 1,200 1,194 - -------------------------------------------------------------------------------- 142 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- American General Finance MTN 6.900%, 12/15/17 $ 3,457 $ 3,378 American Honda Finance (C) 5.100%, 03/27/12 1,685 1,763 American International Group 6.250%, 03/15/37 2,560 2,074 4.700%, 10/01/10 225 226 American International Group MTN 5.850%, 01/16/18 4,340 4,259 4.950%, 03/20/12 (J) 880 865 BAC Capital Trust XIV (F) 5.630%, 03/15/12 130 95 BRE Properties+ 7.450%, 01/15/11 2,430 2,516 Bank One 7.875%, 08/01/10 3,525 3,767 Bank of America 8.000%, 07/30/08 (J) 4,500 4,505 7.400%, 01/15/11 1,325 1,419 5.750%, 12/01/17 3,610 3,736 5.420%, 03/15/17 4,300 4,265 5.375%, 06/15/14 2,715 2,792 Bank of New York Mellon 4.500%, 04/01/13 610 614 Banponce Trust I, Ser A 8.327%, 02/01/27 2,590 2,535 Bear Stearns 7.250%, 02/01/18 7,370 7,616 6.400%, 10/02/17 500 494 5.350%, 02/01/12 (J) 3,280 3,154 4.500%, 10/28/10 1,470 1,385 Bunge Finance 4.375%, 12/15/08 425 427 Bunge Finance L.P. (J) 5.900%, 04/01/17 600 603 CIT Group 5.000%, 02/01/15 1,440 1,128 4.250%, 02/01/10 1,595 1,309 Capital One Bank 4.875%, 05/15/08 1,375 1,373 Capital One Capital III 7.686%, 08/15/36 1,361 1,057 Capital One Financial 6.750%, 09/15/17 510 485 China Development Bank 5.000%, 10/15/15 500 498 Citigroup 6.875%, 03/05/38 12,635 12,626 5.875%, 02/22/33 1,685 1,418 5.500%, 02/15/17 2,350 2,201 5.000%, 09/15/14 3,175 2,992 3.625%, 02/09/09 1,370 1,366 Citigroup Capital XXI 8.300%, 12/21/57 1,800 1,774 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Countrywide Financial MTN 5.800%, 06/07/12 $ 975 $ 883 2.874%, 06/18/08 400 393 Countrywide Financial MTN (F) 2.819%, 06/26/08 6,070 5,576 Countrywide Financial MTN, Cl A (J) 3.345%, 05/05/08 700 695 Credit Suisse First Boston USA 4.875%, 08/15/10 2,210 2,268 Credit Suisse New York 5.750%, 02/15/18 5,765 5,751 DI Finance, Ser B 9.500%, 02/15/13 90 92 Delta Airlines, Ser 01-1 6.619%, 03/18/11 420 412 Depfa ACS Bank (C) 5.125%, 03/16/37 3,000 2,930 Deutsche Bank Capital Funding Trust (C) (F) 5.628%, 01/19/49 2,760 2,389 Developers Divers Realty+ 5.375%, 10/15/12 260 243 Discover Financial Services (C) 6.450%, 06/12/17 250 215 Dryden Investor Trust (C) (H) 7.157%, 07/23/08 891 896 East Lane Re (C) (F) 9.239%, 04/30/08 650 658 Equity One+ 3.875%, 04/15/09 7,480 7,323 Export-Import Bank of Korea 5.500%, 10/17/12 2,790 2,861 Farmers Exchange Capital (C) 7.200%, 07/15/48 1,465 1,331 7.050%, 07/15/28 1,434 1,317 Farmers Insurance Exchange (C) 8.625%, 05/01/24 3,017 3,185 First Data 7.960%, 10/15/14 4,850 4,360 First Industrial L.P. MTN 7.500%, 12/01/17 1,800 1,720 Ford Motor Credit LLC 8.050%, 06/15/08 (F) 3,863 3,066 8.000%, 12/15/16 4,680 3,664 7.875%, 06/15/10 7,405 6,457 7.375%, 10/28/09 3,470 3,162 7.250%, 10/25/11 336 276 6.625%, 06/16/08 1,500 1,483 Forest City Enterprises 7.625%, 06/01/15 500 475 6.500%, 02/01/17 270 243 GE Global Insurance Holding 7.500%, 06/15/10 105 113 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 143 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- GMAC LLC 7.750%, 01/19/10 $ 10,170 $ 8,797 7.250%, 03/02/11 3,520 2,772 6.875%, 09/15/11 6,120 4,684 5.850%, 01/14/09 (J) 1,680 1,567 5.625%, 05/15/09 (J) 14,680 13,378 5.276%, 04/25/08 (F) 5,668 3,787 5.125%, 05/09/08 1,480 1,471 General Electric Capital 6.375%, 05/15/08 (F) 5,870 5,744 5.875%, 01/14/38 1,300 1,253 General Electric Capital MTN (J) 5.625%, 09/15/17 610 625 5.250%, 10/19/12 1,265 1,314 General Electric Capital MTN, Ser A 6.750%, 03/15/32 1,665 1,778 5.450%, 01/15/13 20 21 3.750%, 12/15/09 1,838 1,859 General Electric Capital MTN, Ser A (J) 6.000%, 06/15/12 2,005 2,138 General Electric Capital MTN, Ser G 6.150%, 08/07/37 747 746 Genworth Financial 5.650%, 06/15/12 1,280 1,284 4.950%, 10/01/15 1,595 1,456 Glen Meadow PassThrough (C) (F) 6.505%, 04/01/08 2,200 1,977 Glitnir Banki (C) 7.451%, 09/14/08 (F) 400 324 6.693%, 04/01/08 (F) 3,960 3,192 6.375%, 09/25/12 2,330 1,988 6.330%, 07/28/11 1,980 1,700 Goldman Sachs Capital I (J) 6.345%, 04/01/08 1,370 1,186 Goldman Sachs Capital II (F) 5.793%, 04/01/08 2,975 1,982 Goldman Sachs Group 6.750%, 10/01/37 1,930 1,796 6.150%, 04/01/18 495 494 5.950%, 01/18/18 440 436 5.450%, 11/01/12 2,170 2,198 5.350%, 01/15/16 660 644 5.250%, 10/15/13 3,565 3,545 HBOS Capital Funding (C) (F) 6.071%, 06/30/08 1,330 1,168 HBOS PLC 5.920%, 09/29/49 5,850 4,304 HBSC Holdings PLC 6.500%, 09/15/37 950 901 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- HSBC Finance 8.000%, 07/15/10 $ 3,475 $ 3,667 7.000%, 05/15/12 1,505 1,561 6.375%, 11/27/12 585 593 4.625%, 09/15/10 650 641 4.125%, 12/15/08 1,000 999 4.125%, 11/16/09 2,155 2,122 Hartford Financial Services Group 6.300%, 03/15/18 1,520 1,523 Health Care Properties+ 6.000%, 01/30/17 4,000 3,266 5.650%, 12/15/13 1,985 1,771 Highwoods Realty L.P.+ 7.500%, 04/15/18 1,142 1,063 Host Marriott L.P., Ser Q+ (J) 6.750%, 06/01/16 455 425 ICICI Bank 6.375%, 04/01/08 (F) 678 589 6.375%, 04/30/08 (C) (F) 2,320 1,995 6.375%, 04/30/22 960 835 ILFC E-Capital Trust II (C) (F) (J) 6.250%, 12/21/65 900 804 International Lease Finance MTN 5.750%, 06/15/11 2,900 2,918 5.650%, 06/01/14 770 739 4.750%, 01/13/12 1,176 1,138 3.313%, 05/24/08 (F) 925 876 JPMorgan Chase 6.000%, 10/01/17 1,585 1,652 6.000%, 01/15/18 775 808 5.750%, 01/02/13 6,435 6,722 JPMorgan Chase Capital XV 5.875%, 03/15/35 1,645 1,399 Kaupthing Bank 7.625%, 04/12/08 8,810 8,293 7.125%, 05/19/16 (C) 1,350 911 5.750%, 10/04/11 (C) 960 766 Korea Development Bank 4.625%, 09/16/10 1,000 1,019 Landsbanki Islands (C) 6.100%, 08/25/11 5,570 4,866 Lazard Group 7.125%, 05/15/15 2,880 2,801 6.850%, 06/15/17 2,011 1,883 Lehman Brothers Holdings 6.875%, 07/17/37 870 754 5.750%, 01/03/17 1,085 980 Lehman Brothers Holdings Capital Trust VII MTN (F) 5.857%, 04/01/08 4,280 2,707 Lehman Brothers Holdings MTN 14.500%, 06/20/08 (F) 3,977 4,357 11.000%, 11/07/16 (F) 4,283 4,138 - -------------------------------------------------------------------------------- 144 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- 8.920%, 08/16/08 (F) $ 2,370 $ 2,131 6.750%, 12/28/17 5,820 5,595 6.200%, 09/26/14 1,160 1,144 5.625%, 01/24/13 3,220 3,131 5.500%, 04/04/16 520 488 5.250%, 02/06/12 1,220 1,177 Liberty Mutual Group (C) 7.500%, 08/15/36 (J) 1,258 1,192 6.500%, 03/15/35 1,525 1,394 Lincoln National 5.650%, 08/27/12 480 489 MUFG Capital Finance 1 (F) 6.346%, 04/25/08 1,670 1,361 Marathon Oil 6.600%, 10/01/37 1,006 1,003 Merna Reinsurance, Ser B (F) 4.446%, 04/03/08 3,750 3,421 Merrill Lynch 7.430%, 09/01/22 4 4 6.110%, 01/29/37 1,405 1,111 6.050%, 05/16/16 1,270 1,205 5.700%, 05/02/17 1,300 1,235 5.450%, 02/05/13 3,055 3,006 Merrill Lynch MTN (F) 8.950%, 05/18/08 1,790 1,781 8.680%, 05/02/08 3,160 3,148 Metlife 6.400%, 12/15/36 1,265 1,005 Metlife Capital Trust IV (C) 7.875%, 06/12/08 1,200 1,091 Morgan Stanley 6.625%, 04/01/18 3,150 3,150 5.375%, 10/15/15 675 641 5.300%, 03/01/13 1,213 1,209 4.750%, 04/01/14 1,220 1,133 Morgan Stanley MTN 5.950%, 12/28/17 1,985 1,918 4.401%, 04/18/08 (F) 1,200 1,081 Morgan Stanley MTN, Ser E 5.450%, 01/09/17 470 440 Morgan Stanley MTN, Ser G 5.750%, 08/31/12 2,320 2,362 NB Capital Trust IV 8.250%, 04/15/27 4,500 4,624 National Capital Trust II (C) (F) 5.486%, 06/17/08 2,231 1,891 National City Bank MTN 5.800%, 06/07/17 1,290 955 Nationwide Mutual Insurance (C) 6.600%, 04/15/34 690 599 North Front Pass-Through Trust (C) (F) 5.810%, 06/15/08 1,975 1,950 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- PNC Bank 6.875%, 04/01/18 $ 355 $ 362 PNC Funding 5.250%, 11/15/15 1,370 1,293 Power Receivables Financial 6.290%, 01/01/12 3,151 3,297 6.290%, 01/01/12 (C) 259 271 Prime Property Funding+ (C) 5.600%, 06/15/11 1,780 1,780 5.500%, 01/15/14 1,850 1,745 Prologis+ 5.500%, 04/01/12 985 987 5.250%, 11/15/10 455 459 Prudential Financial MTN 5.700%, 12/14/36 275 234 RSHB Capital (C) 6.299%, 05/15/17 4,140 3,835 Rabobank Capital Fund Trust II (C) (F) 5.260%, 04/01/08 200 172 Rabobank Capital Fund Trust III (C) (F) 5.254%, 06/30/08 420 349 Realogy (J) 12.375%, 04/15/15 2,950 1,313 Residential Capital LLC 8.500%, 06/01/12 100 49 8.000%, 05/22/08 1,720 843 6.598%, 04/17/08 (F) 350 199 6.178%, 05/22/08 (F) (J) 970 553 Resona Preferred Global Securities (C) (F) 7.191%, 04/01/08 580 507 Royal Bank of Scotland Group PLC (C) (F) 6.990%, 04/04/08 1,570 1,333 Royal Bank of Scotland Group PLC MTN (F) 7.640%, 04/01/08 1,000 861 SLM MTN 5.625%, 08/01/33 695 474 5.050%, 11/14/14 690 502 SLM MTN, Ser A 5.375%, 05/15/14 4,905 3,681 5.000%, 10/01/13 5,645 4,249 5.000%, 04/15/15 120 86 SLM MTN, Ser CPI (F) 5.210%, 04/01/08 5,580 5,329 SLM MTN, Ser S (F) (K) 2.827%, 04/14/08 6,294 6,294 Shinsei Finance Cayman (C) (F) (J) 6.418%, 04/01/08 5,180 3,433 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 145 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Simon Property Group L.P. 5.750%, 05/01/12++ $ 1,860 $ 1,859 5.750%, 12/01/15+ 910 866 5.600%, 09/01/11+ 690 690 3.750%, 01/30/09 2,500 2,481 Small Business Administration, Ser 2003-P10A, Cl 1 4.524%, 02/10/13 2,811 2,813 Standard Chartered (C) 6.400%, 09/26/17 715 730 Stingray Pass-Through Trust (C) 5.902%, 01/12/15 2,723 517 Sumitomo Mitsui Banking (C) (F) 5.625%, 04/15/08 2,620 2,216 Suntrust Preferred Capital I (F) 5.853%, 04/01/08 1,540 1,141 TNK-BP Finance 7.875%, 03/13/18 (C) 1,570 1,450 7.500%, 07/18/16 100 94 7.500%, 07/18/16 (C) 3,320 3,083 6.625%, 03/20/17 (C) 720 623 Toyota Motor Credit 5.500%, 12/15/08 120 121 Travelers (F) 6.250%, 05/15/08 1,470 1,297 Travelers MTN 5.375%, 06/15/12 370 384 Turanalem Finance 8.250%, 01/22/37 3,614 2,853 8.250%, 01/22/37 (C) 4,190 3,286 UDR MTN+ 5.000%, 01/15/12 2,000 1,952 UDR+ 5.500%, 04/01/14 2,000 1,926 US Bank MTN 5.920%, 05/25/12 4,352 4,520 Ventas Realty L.P.+ 9.000%, 05/01/12 180 189 6.500%, 06/01/16 495 478 Wachovia 5.750%, 02/01/18 4,210 4,124 5.500%, 08/01/35 (J) 1,405 1,113 5.300%, 10/15/11 2,155 2,176 5.250%, 08/01/14 (J) 4,390 4,336 4.875%, 02/15/14 875 852 Wachovia Bank 6.000%, 11/15/17 4,700 4,590 Wachovia Capital Trust III (F) 5.800%, 04/15/08 3,300 2,351 Washington Mutual 4.625%, 04/01/14 3,180 2,242 Washington Mutual Preferred Funding (C) (F) 6.534%, 04/01/08 1,600 843 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Wells Fargo 5.375%, 02/07/35 $ 2,085 $ 1,892 4.375%, 01/31/13 2,000 1,990 Wells Fargo Capital X (J) 5.950%, 12/15/36 760 685 Westfield Capital (C) 4.375%, 11/15/10 2,103 2,062 Westfield Group+ (C) 5.400%, 10/01/12 962 936 Woodbourne Pass-Through Trust (C) (F) 4.158%, 04/08/08 2,500 2,300 ZFS Finance USA Trust I (C) (F) 6.150%, 04/15/08 750 663 ZFS Finance USA Trust II (C) (F) 6.450%, 04/15/08 772 702 iStar Financial, Ser 1+ 5.875%, 03/15/16 795 556 -------------- 490,339 -------------- HEALTH CARE -- 0.8% Abbot Laboratories 5.600%, 11/30/17 755 790 Aetna 6.000%, 06/15/16 1,570 1,606 Astrazeneca PLC 5.400%, 09/15/12 2,455 2,590 Bristol-Myers Squibb 5.875%, 11/15/36 560 542 Coventry Health Care 5.950%, 03/15/17 1,630 1,540 Davita 6.625%, 03/15/13 1,065 1,033 FMC Finance III 6.875%, 07/15/17 1,600 1,600 HCA 7.500%, 11/06/33 (J) 3,380 2,611 6.500%, 02/15/16 (J) 749 631 6.250%, 02/15/13 119 104 5.750%, 03/15/14 3,090 2,549 Schering-Plough 6.550%, 09/15/37 1,130 1,092 Tenet Healthcare 9.875%, 07/01/14 4,115 3,981 7.375%, 02/01/13 (J) 336 300 Teva Pharmaceutical Finance LLC 6.150%, 02/01/36 830 809 5.550%, 02/01/16 475 478 UnitedHealth Group 6.875%, 02/15/38 1,010 965 6.000%, 06/15/17 860 840 - -------------------------------------------------------------------------------- 146 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- WellPoint 6.800%, 08/01/12 $ 1,000 $ 1,069 5.875%, 06/15/17 3,215 3,147 5.250%, 01/15/16 465 437 Wyeth 6.700%, 03/15/11 3,681 3,979 5.950%, 04/01/37 2,680 2,618 -------------- 35,311 -------------- INDUSTRIALS -- 2.2% Aetna 6.750%, 12/15/37 970 924 Air 2 US (C) 8.027%, 10/01/19 765 697 America West Airlines, Ser 1999-1 7.930%, 01/02/19 7,918 8,037 American Airlines, Ser 1999-1 7.024%, 10/15/09 3,630 3,605 Burlington North Santa Fe 5.750%, 03/15/18 1,490 1,494 Burlington Northern Santa Fe 6.750%, 07/15/11 1,610 1,721 Cedar Brakes I LLC (C) 8.500%, 02/15/14 1,306 1,434 Cedar Brakes II LLC (C) 9.875%, 09/01/13 2,431 2,729 Complete Production Services 8.000%, 12/15/16 1,005 965 Continental Airlines, Ser 1997, Cl1A 7.461%, 04/01/15 1,898 1,765 Continental Airlines, Ser 1997, Cl4A 6.900%, 01/02/18 1,652 1,590 Continental Airlines, Ser 1999-2 7.256%, 03/15/20 922 907 Continental Airlines, Ser A 5.983%, 04/19/22 1,700 1,515 DRS Technologies 6.625%, 02/01/16 505 494 Delhaize Group 6.500%, 06/15/17 925 955 Delta Air Lines (C) 6.821%, 08/10/22 1,848 1,782 Delta Air Lines, Ser 2001-1 7.111%, 09/18/11 6,250 6,156 Diageo Capital PLC 5.750%, 10/23/17 485 497 5.200%, 01/30/13 1,555 1,609 FedEx, Ser A3 8.400%, 03/23/10 498 530 General Electric 5.000%, 02/01/13 1,140 1,181 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Hutchison Whampoa International (C) 7.450%, 11/24/33 $ 1,745 $ 1,793 Kinder Morgan Energy Partners MTN 6.950%, 01/15/38 190 186 L-3 Communications, Ser B 6.375%, 10/15/15 520 508 Lockheed Martin 4.121%, 03/14/13 515 516 News America (C) 6.650%, 11/15/37 180 182 Nordstrom 7.000%, 01/15/38 1,955 1,935 Pemex Project Funding Master Trust (C) 6.625%, 06/15/35 715 740 Petrobras International Finance 5.875%, 03/01/18 2,770 2,666 Service International 7.500%, 04/01/27 670 569 Systems 2001 Asset Trust (C) 6.664%, 09/15/13 1,363 1,437 Taqa Abu Dhabi National Energy (C) 5.620%, 10/25/12 5,381 5,549 Teekay 8.875%, 07/15/11 1,785 1,888 Terex 7.375%, 01/15/14 320 317 Tyco International Group 7.000%, 06/15/28 230 221 6.875%, 01/15/29 7,535 7,367 6.750%, 02/15/11 3,470 3,656 6.375%, 10/15/11 8,830 8,799 6.125%, 11/01/08 230 232 6.125%, 01/15/09 80 81 6.000%, 11/15/13 915 919 United Air Lines, Ser A-3 (H) (I) 8.390%, 01/21/11 578 -- United Parcel Service 4.500%, 01/15/13 5,270 5,460 United Technologies 6.500%, 06/01/09 2,365 2,469 Waste Management 7.125%, 12/15/17 5,305 5,891 7.100%, 08/01/26 1,710 1,784 -------------- 95,752 -------------- INFORMATION TECHNOLOGY -- 0.2% Corning 7.250%, 08/15/36 485 523 Electronic Data Systems 7.125%, 10/15/09 3,680 3,753 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 147 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Freescale Semiconductor 8.875%, 12/15/14 $ 280 $ 219 Hewlett-Packard 5.500%, 03/01/18 1,010 1,035 4.500%, 03/01/13 987 1,001 NXP Funding LLC 9.500%, 10/15/15 (J) 365 300 7.875%, 10/15/14 110 101 Sungard Data Systems (J) 10.250%, 08/15/15 725 729 Xerox 6.750%, 02/01/17 240 253 5.500%, 05/15/12 1,025 1,034 -------------- 8,948 -------------- MATERIALS -- 0.3% CodelCo (C) 4.750%, 10/15/14 960 957 Freeport-McMoRan Copper & Gold 8.375%, 04/01/17 1,450 1,539 Georgia Gulf (J) 9.500%, 10/15/14 220 170 Graham Packaging 9.875%, 10/15/14 (J) 210 176 8.500%, 10/15/12 590 531 Lafarge 6.150%, 07/15/11 770 785 PPG Industries 6.650%, 03/15/18 435 461 5.750%, 03/15/13 435 449 Potash of Saskatchewan 4.875%, 03/01/13 1,220 1,242 Steel Dynamics 7.375%, 11/01/12 (C) 290 293 6.750%, 04/01/15 810 794 US Steel 6.050%, 06/01/17 245 227 Vale Overseas 8.250%, 01/17/34 150 167 6.875%, 11/21/36 5,750 5,610 Westlake Chemicals 6.625%, 01/15/16 610 534 Weyerhaeuser 6.750%, 03/15/12 370 389 -------------- 14,324 -------------- SOVEREIGN -- 0.7% Canadian Government 4.000%, 12/01/31 795 1,138 Deutsche Bundesrepublik, Ser 04 3.750%, 01/04/15 6,320 10,013 Emirate of Abu Dhabi (C) 5.500%, 08/02/12 2,400 2,589 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Quebec Province 5.125%, 11/14/16 $ 2,295 $ 2,481 Republic of Brazil (J) 6.000%, 01/17/17 2,375 2,421 Republic of Italy 5.375%, 06/15/33 629 660 Russian Federation (G) 7.500%, 03/31/30 1,676 1,930 United Mexican States 6.050%, 01/11/40 990 988 5.625%, 01/15/17 (J) 804 845 United Mexican States MTN, Ser A 7.500%, 04/08/33 176 213 6.750%, 09/27/34 5,858 6,535 5.875%, 01/15/14 720 770 -------------- 30,583 -------------- TELECOMMUNICATION SERVICES -- 1.3% AT&T 6.500%, 09/01/37 1,380 1,365 6.450%, 06/15/34 625 611 5.500%, 02/01/18 2,660 2,604 5.100%, 09/15/14 6,245 6,204 4.125%, 09/15/09 795 799 AT&T Mobility LLC 6.500%, 12/15/11 1,455 1,544 America Movil 6.375%, 03/01/35 1,186 1,148 6.125%, 11/15/37 610 565 5.625%, 11/15/17 1,710 1,691 BellSouth 6.000%, 11/15/34 850 798 4.750%, 11/15/12 170 170 British Telecom PLC 8.375%, 12/15/10 1,250 1,375 5.950%, 01/15/18 1,786 1,731 Citizens Communications 7.875%, 01/15/27 555 476 7.125%, 03/15/19 370 324 Deutsche Telekom International Finance 8.250%, 06/15/30 510 612 8.000%, 06/15/10 925 989 5.750%, 03/23/16 1,920 1,898 France Telecom 7.750%, 03/01/11 1,500 1,627 Intelsat 9.000%, 06/15/16 75 76 Intelsat Bermuda 9.250%, 06/15/16 325 327 Koninklijke 8.000%, 10/01/10 650 698 Level 3 Financing (J) 9.250%, 11/01/14 690 564 - -------------------------------------------------------------------------------- 148 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Motorola 5.375%, 11/15/12 $ 1,190 $ 1,112 New Cingular Wireless Services 8.125%, 05/01/12 1,595 1,785 New Jersey Bell Telephone 7.850%, 11/15/29 1,135 1,248 Qwest 7.500%, 10/01/14 2,230 2,174 5.625%, 11/15/08 430 428 Qwest Communications International (F) (J) 6.565%, 05/11/08 545 540 Rogers Communications 6.375%, 03/01/14 2,070 2,052 Sprint Capital 8.750%, 03/15/32 660 558 8.375%, 03/15/12 3,430 3,173 6.900%, 05/01/19 100 79 Telecom Italia Capital 6.200%, 07/18/11 1,730 1,716 5.250%, 11/15/13 790 738 5.250%, 10/01/15 90 82 4.950%, 09/30/14 1,250 1,138 Telefonica Emisiones 5.984%, 06/20/11 2,265 2,332 Telefonica Europe 7.750%, 09/15/10 1,925 2,065 Verizon Communications 6.400%, 02/15/38 890 869 Verizon Communications 5.500%, 04/01/17 475 468 5.500%, 02/15/18 1,500 1,461 Verizon New Jersey, Ser A 5.875%, 01/17/12 2,175 2,242 Verizon New York, Ser A 6.875%, 04/01/12 660 694 Vodafone Group PLC 5.625%, 02/27/17 585 569 5.350%, 02/27/12 400 405 Windstream 8.625%, 08/01/16 1,460 1,442 -------------- 57,566 -------------- UTILITIES -- 1.9% AES 8.000%, 10/15/17 5,690 5,761 7.750%, 10/15/15 1,040 1,048 Allegheny Energy Supply (C) 8.250%, 04/15/12 880 950 Arizona Public Services 8.000%, 12/30/15 2,972 3,507 CMS Energy 6.550%, 07/17/17 860 832 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Carolina Power & Light 6.300%, 04/01/38 $ 515 $ 528 Centerpoint Energy 5.875%, 06/01/08 3,500 3,505 Commonwealth Edison 6.450%, 01/15/38 985 949 6.150%, 09/15/17 1,230 1,263 DPL 6.875%, 09/01/11 2,405 2,567 Detroit Edison, Ser A 6.625%, 06/01/36 990 1,028 Dominion Resources 5.700%, 09/17/12 3,870 4,053 4.750%, 12/15/10 1,895 1,939 Duke Energy 6.000%, 01/15/38 1,475 1,470 Duke Energy Carolinas 6.250%, 01/15/12 1,875 2,014 5.625%, 11/30/12 4,000 4,253 Edison Mission Energy 7.200%, 05/15/19 1,160 1,145 7.000%, 05/15/17 880 876 Energy Future Holdings (C) 10.875%, 11/01/17 40 40 Exelon 5.625%, 06/15/35 2,720 2,392 Exelon Generation LLC (C) 6.950%, 06/15/11 1,825 1,936 FirstEnergy, Ser B 6.450%, 11/15/11 510 534 FirstEnergy, Ser C 7.375%, 11/15/31 5,845 6,358 Intergas Finance (C) (J) 6.375%, 05/14/17 3,485 3,041 Midamerican Energy Holdings 5.750%, 04/01/18 2,235 2,257 NRG Energy 7.250%, 02/01/14 1,610 1,590 Nevada Power, Ser A 8.250%, 06/01/11 2,050 2,213 Northern States Power 5.250%, 03/01/18 770 783 Pacific Gas & Electric 6.350%, 02/15/38 1,010 1,027 6.050%, 03/01/34 2,110 2,068 5.800%, 03/01/37 800 757 Pacificorp 6.250%, 10/15/37 1,370 1,384 Power Contract Financing (C) 6.256%, 02/01/10 1,924 1,974 Progress Energy 6.850%, 04/15/12 715 774 Public Service Colorado 7.875%, 10/01/12 1,230 1,418 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 149 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Southern California Edison 6.000%, 01/15/34 $ 1,505 $ 1,518 Southern California Edison, Ser 08-A 5.950%, 02/01/38 1,940 1,944 Swepco Capital Trust I (F) 5.250%, 04/01/08 4,255 4,298 TXU, Ser P 5.550%, 11/15/14 540 422 TXU, Ser Q 6.500%, 11/15/24 1,320 937 TXU, Ser R (J) 6.550%, 11/15/34 4,955 3,498 Virginia Electric & Power 6.350%, 11/30/37 585 598 5.100%, 11/30/12 1,235 1,283 -------------- 82,732 -------------- Total Corporate Obligations (Cost $1,073,561) ($ Thousands) 1,040,035 -------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 3.8% FHLB 5.000%, 09/18/09 4,070 4,232 4.050%, 01/21/09 2,000 2,000 3.310%, 01/23/09 2,000 2,006 2.655%, 04/02/08 (E) 23,240 23,238 2.320%, 04/23/08 (E) 9,370 9,357 2.310%, 04/25/08 (E) 3,527 3,522 2.219%, 04/28/08 (E) 2,949 2,944 2.123%, 04/18/08 (E) 5,925 5,919 1.883%, 04/16/08 (E) 33,210 33,184 FHLMC 5.625%, 11/23/35 4,830 5,030 4.625%, 05/28/13 (J) 3,750 3,760 4.300%, 04/21/08 (E) 525 524 2.911%, 04/28/08 (E) 450 449 2.526%, 08/18/08 (E) 225 223 2.214%, 06/27/08 (E) 450 448 2.081%, 06/23/08 (E) 546 543 FHLMC, Ser 3117, Cl PC 5.000%, 06/15/31 4,875 4,982 FICO STRIPS, Ser D-P (E) 5.448%, 09/26/19 4,904 2,955 FNMA 6.250%, 02/01/11 (J) 8,000 8,606 5.125%, 04/15/11 (J) 4,910 5,237 2.029%, 06/25/08 (E) 74 74 1.825%, 12/15/08 (E) 6,319 6,229 2.868%, 04/23/08 (E) 38,600 38,558 2.732%, 04/25/08 (E) 2,550 2,547 2.573%, 08/25/08 (E) 125 124 4.397%, 04/16/08 (E) 975 974 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)/Shares ($ Thousands) - -------------------------------------------------------------------------------- 4.280%, 05/09/08 (E) $ 11 $ 11 4.263%, 05/07/08 (E) 89 89 4.208%, 04/07/08 (E) 500 500 -------------- Total U.S. Government Agency Obligations (Cost $167,230) ($ Thousands) 168,265 -------------- CASH EQUIVALENTS** -- 11.1% Evergreen Select Money Market Fund, Institutional Class, 3.270% 809,409 809 SEI Daily Income Trust, Prime Obligation Fund, Cl A, 3.190%++ 145,382,636 145,383 SEI Liquidity Fund L.P., 3.200%++ (K) 337,295,990 337,296 -------------- Total Cash Equivalents (Cost $483,488) ($ Thousands) 483,488 -------------- U.S. TREASURY OBLIGATIONS -- 7.5% U.S. Treasury Bill 1.349%, 05/22/08 38 38 U.S. Treasury Bonds TIPS (D) (J) 2.375%, 04/15/11 11,079 11,903 U.S. Treasury Bonds 8.875%, 02/15/19 (J) 4,397 6,392 8.125%, 08/15/19 (J) 4,060 5,656 7.125%, 02/15/23 (J) 7,800 10,336 6.250%, 08/15/23 to 05/15/30 (J) 5,252 6,634 6.125%, 11/15/27 (J) 11,477 14,248 5.375%, 02/15/31 (J) 6,923 8,007 5.250%, 02/15/29 2,670 3,009 5.000%, 05/15/37 (J) 1,528 1,709 4.500%, 03/31/12 110 119 4.500%, 02/15/36 (J) 2,236 2,310 3.875%, 04/15/29 (D) 4,658 6,297 3.625%, 04/15/28 (D) (J) 13,133 17,030 3.375%, 01/15/12 (D) 368 415 2.500%, 07/15/16 (D) 6,622 7,460 2.375%, 01/15/25 to 01/15/27 (D) (J) 39,942 43,489 2.000%, 01/15/26 (D) (J) 1,669 1,720 1.875%, 07/15/15 (D) (J) 17,916 19,339 U.S. Treasury Bonds TIPS (J) 1.750%, 01/15/28 4,662 4,622 U.S. Treasury Notes 5.125%, 05/15/16 (J) 7,410 8,442 4.750%, 08/15/17 to 02/15/37 (J) 12,046 13,091 4.750%, 05/31/12 10 11 4.625%, 07/31/12 (J) 1,340 1,465 4.500%, 05/15/10 873 927 4.250%, 09/30/12 to 11/15/17 (J) 54,044 58,018 4.250%, 08/15/15 1,313 1,430 3.625%, 12/31/12 to 05/15/13 (J) 39,717 41,862 - -------------------------------------------------------------------------------- 150 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Face Amount ($ Thousands)/ Notational Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- 3.500%, 02/15/18 $ 3,473 $ 3,493 2.000%, 02/28/10 1,399 1,409 3.250%, 12/31/09 (J) 688 707 U.S. Treasury STRIPS 5.797%, 11/15/21 (A) (J) 43,310 23,780 4.448%, 11/15/27 5,282 2,172 -------------- Total U.S. Treasury Obligations (Cost $302,468) ($ Thousands) 327,540 -------------- PURCHASED SWAPTIONS -- 0.1% U.S. Swaption Call, Merrill Lynch 66,431 1,769 U.S. Swaption Call, Merrill Lynch 8,765 1,001 -------------- Total Purchased Swaptions (Cost $719) ($ Thousands) 2,770 -------------- COMMERCIAL PAPER (A) -- 1.0% FINANCIAL SERVICES -- 0.9% BNP Paribas Finance 2.670%, 04/28/08 8,450 8,433 Citigroup Funding 2.958%, 04/11/08 10,765 10,756 General Electric Capital 2.326%, 04/25/08 8,455 8,442 Rabobank USA Financial 2.978%, 04/07/08 1,100 1,099 2.625%, 04/28/08 2,080 2,076 UBS Finance 3.023%, 04/04/08 8,500 8,498 -------------- 39,304 -------------- UTILITIES -- 0.1% National Rural Utility 2.320%, 04/23/08 3,865 3,860 -------------- Total Commercial Paper (Cost $43,164) ($ Thousands) 43,164 -------------- CERTIFICATES OF DEPOSIT (F) -- 0.1% JPMorgan Chase 8.750%, 05/28/08 2,152 2,141 7.590%, 06/28/08 1,960 1,923 -------------- Total Certificates of Deposit (Cost $4,017) ($ Thousands) 4,064 -------------- - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- LOAN PARTICIPATIONS -- 0.9% Adesa, Ser B 7.080%, 09/22/13 $ 997 $ 873 Allison Transmission, Ser B 5.750%, 08/07/14 2,000 1,753 Alltel Wireless 7.593%, 11/15/14 500 451 Aramark Facilities Deposit 2.000%, 01/26/14 69 64 Aramark, Strip 6.705%, 01/31/14 931 868 Ashmore Energy (Synthetic Revolving Deposits) 8.198%, 03/07/12 144 122 Bausch & Lomb 8.143%, 05/26/08 800 776 Bausch & Lomb (Unfunded) 0.000%, 04/11/15 200 -- Berry Plastics Holding 6.706%, 04/03/15 1,000 850 Charter Communications 6.990%, 03/15/14 1,500 1,266 Cumulus Media 6.962%, 06/07/13 1,000 755 DAE Aviation Holdings, Ser B1 0.000%, 07/31/14 379 365 DAE Aviation Holdings, Ser B2 0.000%, 07/31/14 287 276 DaimlerChrysler Financial 9.360%, 08/03/12 1,000 828 Delphi, 1st Lien 8.625%, 07/01/08 750 738 Dollar General 7.710%, 07/15/14 1,000 894 Dubai Aerospace Enterprise, Strip 0.000%, 07/21/09 335 330 Education Management, Ser C 7.000%, 06/15/13 1,500 1,299 Enterprise GP Holdings 7.494%, 05/05/08 1,000 982 Freescale Semiconductor 7.330%, 12/01/13 1,000 843 General Motors, Ser B 7.585%, 12/15/13 1,000 875 Georgia-Pacific, Ser B 6.868%, 12/23/13 1,496 1,388 Harrah's 6.244%, 01/28/15 750 687 Hertz 6.894%, 12/21/12 848 793 Hertz LOC (Synthetic) 6.660%, 02/08/12 152 142 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 151 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Iasis 7.066%, 05/01/14 $ 697 $ 621 Iasis (Delayed Draw) 7.703%, 05/01/14 177 158 Iasis (Synthetic) 7.024%, 05/01/14 64 57 Iasis Healthcare (Unfunded, Delayed Draw) 0.000%, 03/15/14 62 7 Iconix, Ser B 7.080%, 05/01/14 1,000 920 Idearc, Ser B 7.200%, 11/01/14 1,000 799 Insight Midwest Holdings LLC 6.480%, 04/06/14 1,000 907 Las Vegas Sands LLC, Strip (Delayed Draw) 0.000%, 05/08/14 167 148 Las Vegas Sands LLC, Strip, Ser B 6.950%, 05/08/14 1,833 1,616 Lodgenet Entertainment 7.200%, 04/04/14 1,000 824 Manor Care 0.000%, 11/15/14 1,000 870 New Page 8.688%, 11/05/14 1,000 979 Nuveen Investments 6.125%, 11/01/14 635 572 Petco Animal Supplies, Ser B 7.328%, 11/15/13 1,000 886 Prisma Energy International 8.198%, 03/30/14 1,356 1,153 Regal Cinemas, Ser B 6.330%, 10/19/10 1,000 929 Royalty Pharma 7.950%, 05/15/14 1,000 989 Sunguard, Ser B 7.356%, 08/15/12 1,250 1,160 TXU 8.622%, 10/10/14 2,000 1,820 Telesat Canada (Unfunded), Ser B 0.000%, 10/15/14 118 9 Telesat Canada, Ser B 7.472%, 10/15/14 1,382 1,279 Tribune, Ser X 7.396%, 05/30/09 1,000 881 UPC Financing Partnership, Ser N 7.130%, 03/30/14 1,000 845 United Airlines 7.001%, 01/12/14 1,000 794 Univision Communications, Ser B 0.000%, 09/15/14 2,500 1,965 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Visteon, Ser B 8.380%, 06/20/13 $ 1,000 $ 773 Yankee Candle 7.200%, 01/15/14 1,000 872 -------------- Total Loan Participations (Cost $45,215) ($ Thousands) 41,051 -------------- MUNICIPAL BONDS -- 0.4% Clark County Nevada School District GO, Ser C, MBIA, Callable 06/15/12 @ 100 5.000%, 06/15/22 890 967 Galveston County Texas GO, Ser C, AMBAC, Callable 02/01/13 @100 5.000%, 02/01/28 1,435 1,564 Greenville County School District I RB, Callable 12/01/12 @ 101 5.500%, 12/01/28 890 1,000 Harris County Texas GO, Flood Control District Contract, Callable 10/01/2013 @ 100 5.250%, 10/01/20 2,005 2,217 Houston Texas Water And Sewer System RB, FSA, Callable 12/01/2012 @ 100, 5.000%, 12/01/30 1,345 1,465 Massachusetts State GO, Consolidated Loan, Ser B, AMBAC, Pre-Refunded 08/01/14 @ 100 5.000%, 08/01/22 810 890 Massachusetts State GO, Consolidated Loan, Ser B, FSA, Pre-Refunded 03/01/12 @ 100 5.500%, 03/01/17 765 837 Massachusetts State GO, Consolidated Loan, Ser B, FSA, Pre-Refunded 03/01/12 @ 100 5.500%, 03/01/18 750 820 Massachusetts State GO, Consolidated Loan, Ser E, FSA, Pre-Refunded 01/01/13 @ 100 5.250%, 01/01/18 1,260 1,379 Massachusetts State Special Obligation RB, Consolidated Loan, Ser A, FGIC, Pre-Refunded 6/01/12 @ 100 5.375%, 06/01/19 630 684 Metropolitan Atlanta Rapid Transit Authority RB, Ser 2nd Indenture, MBIA, Pre-Refunded 01/01/13 @ 100 5.000%, 07/01/28 450 491 - -------------------------------------------------------------------------------- 152 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Face Amount ($ Thousands)/ Notional Amount ($ Thousands)/ Market Value Description Contracts ($ Thousands) - -------------------------------------------------------------------------------- New Jersey Economic Development Authority RB, School Facilities Construction, Ser C, MBIA, Pre-Refunded 06/15/12 @ 100 5.250%, 06/15/17 $ 445 $ 488 Sacramento County Sanitation District RB, Ser A, AMBAC, Pre-Refunded 12/01/14 @ 100 5.000%, 12/01/35 1,695 1,892 University of Texas System RB, Finance, Ser D, Pre-Refunded 08/15/14 @ 100 5.000%, 08/15/24 1,315 1,441 -------------- Total Municipal Bonds (Cost $16,098) ($ Thousands) 16,135 -------------- REPURCHASE AGREEMENT (L) -- 2.7% Deutsche Bank 2.250%, dated 03/31/08, to be repurchased on 04/01/08, repurchase price $117,407,338 (collateralized by a U.S. Government obligation, par value $109,882,000, 6,250%, 02/01/11; with total market value $119,747,350) 117,400 117,400 -------------- Total Repurchase Agreement (Cost $117,400) ($ Thousands) 117,400 -------------- Total Investments -- 124.6% (Cost $5,522,781) ($ Thousands) $ 5,435,032 ============== WRITTEN SWAPTIONS -- (0.1)% U.S. Swaption Call, Merrill Lynch (9,240) (36) U.S. Swaption Call, Merrill Lynch (33,000) (2,326) -------------- Total Written Swaptions (Premiums Received $(719)) ($ Thousands) (2,362) -------------- WRITTEN OPTIONS -- 0.0% June 2008 90 Day Euro Call, Expires 06/19/08, Strike Price: $95.875* (26) (121) June 2008 90 Day Euro Put, Expires 06/17/08, Strike Price: $96.25* (142) (1) June 2008 90 Day Euro Put, Expires 06/19/08, Strike Price: $95.875* (149) (1) - -------------------------------------------------------------------------------- Market Value Description Contracts ($ Thousands) - -------------------------------------------------------------------------------- June 2008 U.S. 10 Year Treasury Note Call, Expires: 05/27/08, Strike Price: $117.00* $ (111) $ (306) June 2008 U.S. 10 Year Treasury Note Call, Expires: 05/27/08, Strike Price: $118.00* (70) (149) June 2008 U.S. 10 Year Treasury Note Call, Expires: 05/27/08, Strike Price: $119.00* (135) (217) June 2008 U.S. 10 Year Treasury Note Call, Expires: 05/27/08, Strike Price: $121.00* (161) (136) June 2008 U.S. 10 Year Treasury Note Call, Expires: 05/27/08, Strike Price: $123.00* (170) (72) June 2008 U.S. 10 Year Treasury Note Put, Expires: 05/27/08, Strike Price: $115.50* (200) (88) March 2009 90 Day Euro Call, Expires 03/17/09, Strike Price: $97.75* (139) (156) May 2008 U.S. 10 Year Treasury Note Put, Expires: 05/27/08, Strike Price: $113.00* (105) (15) May 2008 U.S. 10 Year Treasury Note Put, Expires: 05/27/08, Strike Price: $116.50* (151) (99) May 2008 U.S. 10 Year Treasury Note Put, Expires: 05/27/08, Strike Price: $110.00* (135) (4) -------------- Total Written Options (Premiums Received $(1,243)) ($ Thousands) (1,365) -------------- A summary of the open futures contracts held by the Fund at March 31, 2008, is as follows (see Note 2 in Notes to Financial Statements): - -------------------------------------------------------------------------------- UNREALIZED NUMBER OF APPRECIATION TYPE OF CONTRACTS EXPIRATION (DEPRECIATION) CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - -------------------------------------------------------------------------------- 30-Day Federal Fund (8) Mar-2008 $ 59 90-Day Euro$ 71 Mar-2010 265 90-Day Euro$ (5) Mar-2011 (20) 90-Day Euro$ 92 Mar-2009 395 90-Day Euro$ (270) Jun-2010 (1,138) 90-Day Euro$ (5) Jun-2011 (19) 90-Day Euro$ 1,192 Jun-2008 6,827 90-Day Euro$ 771 Jun-2009 2,171 90-Day Euro$ 3 Sep-2010 12 90-Day Euro$ 559 Sep-2008 601 90-Day Euro$ 393 Sep-2009 1,073 90-Day Euro$ 11 Dec-2010 40 90-Day Euro$ (115) Dec-2008 (759) 90-Day Euro$ 76 Dec-2009 316 3-Month Euro Euribor 196 Jun-2008 (126) 10-Year Swap 27 Jun-2008 41 Eurx Euro-Bond 404 Jun-2008 (614) U.S. 2-Year Note 322 Jun-2008 453 U.S. 5-Year Note 3,781 Jun-2008 6,829 U.S. 10-Year Note (1,345) Mar-2008 (3,749) U.S. Long Treasury Bond 260 Mar-2008 981 --------------- $ 13,638 --------------- - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 153 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund (Continued) March 31, 2008 A summary of the outstanding forward foreign currency contracts held by the Fund at March 31, 2008, is as follows (see Note 2 in Notes to Financial Statements): - -------------------------------------------------------------------------------- UNREALIZED CURRENCY CURRENCY APPRECIATION MATURITY TO DELIVER TO RECEIVE (DEPRECIATION) DATE ($ THOUSANDS) ($ THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------- 05/07/08 EUR 20,545 USD 30,255 $ (2,251) 05/07/08 GBP 6,740 USD 13,314 (44) 05/07/08 USD 18,694 JPY 1,981,542 1,264 -------------- $ (1,031) -------------- - -------------------------------------------------------------------------------- CREDIT DEFAULT SWAPS - -------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------- Fund receives monthly payment of 0.417% (5.00% per annum) times the notional amount of the ABX.HE.BBB-07-2 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Citigroup) 01/25/38 $ (1,750) $ (523) Fund receives monthly payment of 0.16% (1.92% per annum) times the notional amount of the ABX.HE.AA 07-2 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Citigroup) 01/25/38 (3,560) (2,408) Fund receives monthly payment of 0.16% (1.92% per annum) times the notional amount of the ABX.HE.AA 07-2 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Citigroup) 01/25/38 (1,435) (1,019) Fund receives monthly payment of 0.417% (5.00% per annum) times the notional amount of the ABX-HE-BBB 07-2. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Lehman Brothers) 01/25/38 (2,250) (686) Fund receives monthly payment of 0.16% (1.92% per annum) times the notional amount of the ABX-HE-AA 07-2. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Citigroup) 01/25/38 (140) (101) Fund receives monthly payment of 0.16% (1.92% per annum) times the notional amount of the ABX.HE.AA 07-2 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Lehman Brothers) 01/25/38 (1,435) (344) Fund receives monthly payment of 0.16% (1.92% per annum) times the notional amount of the ABX.HE.AA 07-2 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Lehman Brothers) 01/25/38 (1,500) (250) Fund receives monthly payment of 0.063% (0.76% per annum) times the notional amount of the ABX-HE-AAA 07-2 Index. Upon defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Barclays) 01/25/38 (4,500) (31) Fund receives monthly payment of 0.013% (0.156% per annum) times the notional amount of the ABX.HE.AA 07-1 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Citigroup) 08/25/37 (975) (585) Fund receives monthly payment of 0.16% (1.92% per annum) times the notional amount of the ABX.HE.AA 07-2 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Lehman Brothers) 01/25/38 (1,435) (335) - -------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------- Fund receives monthly payment of 0.014% (0.17% per annum) times the notional amount of the ABX.HE.AA 06-2 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Lehman Brothers) 05/25/46 $ (3,015) $ 106 Fund receives monthly payment of 0.014% (0.17% per annum) times the notional amount of the ABX.HE.AA 06-2 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Lehman Brothers) 05/25/46 (1,510) 109 Fund receives monthly payment of 0.045% (0.54% per annum) times the notional amount of the ABX.HE.AA 07-2 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Citigroup) 01/25/38 (1,010) (692) Fund receives monthly payment of 0.16% (1.92% per annum) times the notional amount of the ABX.HE.AA 07-2 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: JP Morgan) 01/25/38 (985) (625) Fund receives monthly payment of 0.013% (0.156% per annum) times the notional amount of the ABX.HE.AA 07-1 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Citigroup) 08/25/37 (985) (545) Fund receives monthly payment of 0.013% (0.156% per annum) times the notional amount of the ABX.HE.AA 07-1 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Barclays) 08/25/37 (1,035) (567) Fund receives monthly payment of 0.013% (0.156% per annum) times the notional amount of the ABX.HE.AA 07-1 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Citigroup) 08/25/37 (980) (525) Fund receives monthly payment of 0.16% (1.92% per annum) times the notional amount of the ABX.HE.AA 07-2 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Citigroup) 01/25/38 (1,475) (922) Fund pays monthly payment of 0.037% (0.444% per annum) times the notional amount of the ABX.HE.A 06-2 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Lehman Brothers) 05/25/46 1,490 636 Fund receives monthly payment of 0.308% (3.696% per annum) times the notional amount of the ABX.HE.A 07-2 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Lehman Brothers) 01/25/38 (1,490) (590) Fund receives monthly payment of .416% (5.00% per annum) times the notional amount of the ABX.HE.BBB 07-2 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Lehman Brothers) 01/25/38 (1,665) (378) Fund receives monthly payment of 0.16% (1.92% per annum) times the notional amount of the ABX.HE.AA 07-2 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: JP Morgan) 01/25/38 (1,960) (1,146) Fund receives monthly payment of 0.013% (0.156% per annum) times the notional amount of the ABX.HE.AA 07-1 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Citigroup) 08/25/37 (2,455) (1,242) - -------------------------------------------------------------------------------- 154 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------- Fund receives monthly payment of 0.16% (1.92% per annum) times the notional amount of the ABX.HE.AA 07-2 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Citigroup) 01/25/38 $ (980) $ (575) Fund delivers monthly payment of 0.3075% (3.69% per annum) times the notional amount of the ABX.HE.A 07-2 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Citigroup) 01/25/38 (2,945) (983) Fund pays monthly payment of 0.037% (0.444% per annum) times the notional amount of the ABX.HE.A 06-2 Index. Upon a defined credit event, Fund pays the notional amount and delivers the defined deliverable obligation. (Counterparty: Citigroup) 05/25/46 2,945 1,020 Fund receives monthly payment of 0.16% (1.92% per annum) times the notional amount of the ABX.HE.AA 07-2 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Citigroup) 01/25/38 (5,500) (3,109) Fund receives monthly payment of 0.013% (0.156% per annum) times the notional amount of the ABX.HE.AA 07-1 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Lehman Brothers) 08/25/37 (4,910) (2,373) Fund receives monthly payment of 0.16% (1.92% per annum) times the notional amount of the ABX.HE.AA 07-2 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: JP Morgan) 01/25/38 (3,435) (1,894) Fund receives monthly payment of 0.416% (5.00% per annum) times the notional amount of the ABX.HE.BBB 07-2 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Lehman Brothers) 01/25/38 (3,335) (728) Fund receives monthly payment of 0.16% (1.92% per annum) times the notional amount of the ABX.HE.AA 07-2 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Citigroup) 01/25/38 (1,840) (984) Fund receives monthly payment of 0.008% (0.096% per annum) times the notional amount of the ABX.HE.AAA07-1 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Citigroup) 08/25/37 (5,795) (1,488) Fund receives monthly payment of 0.16% (1.92% per annum) times the notional amount of the ABX.HE.AA 07-2 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Lehman Brothers) 01/25/38 (1,435) (424) Fund receives monthly payment of 0.16% (1.92% per annum) times the notional amount of the ABX.HE.AA 07-2 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Lehman Brothers) 01/25/38 (1,435) (265) Fund pays quarterly payment of 0.60% (2.40% per annum) times the notional amount of Darden Restaurants Inc., 7.125%, 02/01/2016. Upon a defined credit event, Fund receives the notional amount and delivers the defined deliverable obligation. (Counterparty: Citigroup) 03/20/15 800 (31) Fund pays quarterly payment of 1.00% (4.00% per annum) times the notional amount of Pulte Homes Inc., 5.25%, 01/15/2014. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Deutsche Bank) 03/20/15 1,500 (50) - -------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------- Fund pays quarterly payment of 1.156% (4.62% per annum) times the notional amount of Pulte Homes Inc., 5.25%, 01/15/2014. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Deutsche Bank) 03/20/13 $ 1,500 $ (52) Fund pays quarterly payment of .5625% (2.25% per annum) times the notional amount of Darden Restaurants Inc., 7.125%, 02/01/2016. Upon a defined credit event, Fund receives the notional amount and delivers the defined deliverable obligation. (Counterparty: Deutsche Bank) 03/20/13 400 (9) Fund pays quarterly payment of .5625% (2.25% per annum) times the notional amount of Darden Restaurants Inc., 7.125%, 02/01/2016. Upon a defined credit event, Fund receives the notional amount and delivers the defined deliverable obligation. (Counterparty: Morgan Stanley) 03/20/13 400 (9) Fund pays quarterly payment of 0.16% (0.64% per annum) times the notional amount of Safeway Inc., 5.80%, 08/15/2012. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JP Morgan) 03/20/13 3,500 (3) Fund pays quarterly payment of 0.165% (0.66% per annum) times the notional amount of Borgwarner Inc., 03/20/2013. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Goldman Sachs) 03/20/13 4,250 43 Fund pays quarterly payment of 0.238% (0.952% per annum) times the notional amount of the Lowes Corp., 8.25%, 06/01/2010. Upon a defined credit event, Fund receives the notional amount and pays receipt of the defined deliverable obligation. (Counterparty: Bank of America) 03/20/13 3,000 8 Fund pays quarterly payment of 0.20% (0.80% per annum) times the notional amount of Borgwarner Inc., 6.50%, 02/15/2009. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Goldman Sachs) 03/20/13 2,250 8 Fund pays quarterly payment of 0.148% (0.592% per annum) times the notional amount of Safeway Inc., 5.80%, 08/15/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 03/20/13 3,750 6 Fund pays quarterly payment of 0.112% (0.45% per annum) times the notional amount of Darden Restaurants Inc., 7.125%, 02/01/2016. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 2,250 87 Fund pays quarterly payment of 0.115% (0.46% per annum) times the notional amount of Autozone Inc., 5.875%, 10/15/2012. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JP Morgan) 12/20/11 2,125 37 Fund pays quarterly payment of 0.055% (0.22% per annum) times the notional amount of Nucor Corp., 4.875%, 10/01/2012. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JP Morgan) 12/20/11 2,125 25 Fund pays quarterly payment of 0.295% (1.18% per annum) times the notional amount of Gap Inc., 8.80%, 12/15/2008. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 2,125 (28) - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 155 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------- Fund pays quarterly payment of 0.12% (0.48% per annum) times the notional amount of MeadWestavaco Corp., 6.85%, 04/01/2012. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 $ 2,250 $ 89 Fund pays quarterly payment of 0.055% (0.22% per annum) times the notional amount of Nucor Corp., 4.875%, 10/01/2012. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 2,125 25 Fund pays quarterly payment of 0.048% (0.192% per annum) times the notional amount of TJX Companies Inc., 7.45%, 12/15/2009. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 2,250 31 Fund pays quarterly payment of 0.138% (0.552% per annum) times the notional amount of Black & Decker Corp., 7.125%, 06/01/2011. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JP Morgan) 12/20/11 2,125 66 Fund pays quarterly payment of 0.295% (1.18% per annum) times the notional amount of Gap Inc., 8.80%, 12/15/2008. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JP Morgan) 12/20/11 2,250 (29) Fund pays quarterly payment of 0.098% (0.392% per annum) times the notional amount of Hasbro Inc., 2.75%, 12/01/2021. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JP Morgan) 12/20/11 2,250 63 Fund pays quarterly payment of 0.138% (0.552% per annum) times the notional amount of Black & Decker Corp., 7.125%, 06/01/2011. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 2,125 67 Fund pays quarterly payment of 0.12% (0.48% per annum) times the notional amount of The Limited Inc., 6.125%, 12/01/2012. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 2,250 222 Fund pays quarterly payment of 0.193% (0.772% per annum) times the notional amount of Jones Apparel Group, 5.125%, 11/15/2014. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JP Morgan) 12/20/11 2,250 215 Fund pays quarterly payment of 0.068% (0.272% per annum) times the notional amount of Southwest Airlines Co., 6.50%, 03/01/2012. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JP Morgan) 12/20/11 2,250 107 Fund pays quarterly payment of 0.113% (0.452% per annum) times the notional amount of Lubrizol Corp., 7.25%, 06/15/2035. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JP Morgan) 12/20/11 2,125 31 Fund pays quarterly payment of 0.05% (0.20% per annum) times the notional amount of PPG Industries Inc., 7.05%, 08/15/2009. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JP Morgan) 12/20/11 2,250 47 Fund pays quarterly payment of 0.085% (0.34% per annum) times the notional amount of Whirlpool Corp., 7.75%, 07/15/2016. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JP Morgan) 12/20/11 2,250 50 - -------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------- Fund pays quarterly payment of 0.033% (0.132% per annum) times the notional amount of Lowes Companies Inc., 8.25%, 06/01/2010. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 $ 2,250 $ 61 Fund pays quarterly payment of 0.068% (0.272% per annum) times the notional amount of Southwest Airlines Co., 6.50%, 03/01/2012. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 2,125 101 Fund pays quarterly payment of 0.113% (0.452% per annum) times the notional amount of Lubrizol Corp., 7.25%, 06/15/2025. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 2,125 32 Fund pays quarterly payment of 0.225% (0.90% per annum) times the notional amount of MDC Holdings Inc., 5.50%, 05/15/2013. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 2,250 87 Fund pays quarterly payment of 0.173% (0.692% per annum) times the notional amount of Donnelley (R.R.) & Sons, 4.95%, 04/01/2014. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 2,250 88 Fund pays quarterly payment of 0.035% (0.14% per annum) times the notional amount of Pitney Bowes Inc., 4.625%, 10/01/2012. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 4,500 71 Fund pays quarterly payment of 0.11% (0.44% per annum) times the notional amount of Autozone Inc., 5.875%, 10/15/2012. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 2,125 38 Fund pays quarterly payment of 0.183% (0.732% per annum) times the notional amount of Masco Corp., 5.875%, 07/15/2012. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 2,250 227 Fund pays quarterly payment of 0.065% (0.26% per annum) times the notional amount of Dow Chemical Inc., 6.00%, 10/01/2012. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JP Morgan) 12/20/13 2,125 67 Fund pays quarterly payment of 0.088% (0.352% per annum) times the notional amount of MGIC Investment Corp., 6.00%, 11/01/2015. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 2,125 436 Fund pays quarterly payment of 0.088% (0.352% per annum) times the notional amount of PMI Group Inc., 6.00%, 09/15/2016. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 2,125 470 Fund pays quarterly payment of 0.098% (0.39% per annum) times the notional amount of Radian Group Inc., 7.75%, 06/01/2011. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 2,125 672 Fund pays quarterly payment of 0.07% (0.28% per annum) times the notional amount of Nordstrom Inc., 6.95%, 03/15/2028. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JP Morgan) 12/20/13 2,125 109 - -------------------------------------------------------------------------------- 156 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------- Fund pays quarterly payment of 0.088% (0.352% per annum) times the notional amount of MGIC Investment Corp., 6.00%, 11/01/2015. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JP Morgan) 12/20/13 $ 2,125 $ 470 Fund pays quarterly payment of 0.088% (0.352% per annum) times the notional amount of PMI Group Inc., 6.00%, 09/15/2016. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JP Morgan) 12/20/13 2,125 437 Fund pays quarterly payment of 0.098% (0.392% per annum) times the notional amount of Radian Group Inc., 7.75%, 06/01/2011. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JP Morgan) 12/20/13 2,250 29 Fund pays quarterly payment of 0.07% (0.28% per annum) times the notional amount of Nordstrom Inc., 6.95%, 03/15/2028. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/13 2,125 109 Fund pays quarterly payment of 0.098% (0.392% per annum) times the notional amount of Johnson Controls Inc., 7.125%, 07/15/2017. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 2,125 63 Fund pays quarterly payment of 0.088% (0.352% per annum) times the notional amount of Alcan Inc., 4.875%, 09/15/2012. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 2,125 30 Fund pays quarterly payment of 0.093% (0.372% per annum) times the notional amount of Johnson Controls Inc., 7.125%, 02/01/2016. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 2,125 65 Fund pays quarterly payment of 0.063% (0.252% per annum) times the notional amount of Dow Chemical Inc., 6.00%, 10/01/2012. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/13 2,125 68 Fund pays quarterly payment of 0.054% (0.216% per annum) times the notional amount of Carnival Corp., 6.65%, 1/15/2028. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JP Morgan) 06/20/12 1,600 62 Fund pays quarterly payment of 0.05% (0.20% per annum) times the notional amount of Campbell Soup Co., 4.875%, 10/01/2013. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 06/20/14 2,775 34 Fund pays quarterly payment of 0.113% (0.452% per annum) times the notional amount of Weyerhaeuser Co., 6.75%, 03/15/2012. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 03/20/12 2,125 96 Fund pays quarterly payment of 0.08% (0.32% per annum) times the notional amount of Alcan Inc., 4.875%, 9/15/2012. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 03/20/14 1,800 29 Fund pays quarterly payment of 0.275% (1.10% per annum) times the notional amount of Century Telephone, 6.00%, 04/01/2017. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Goldman Sachs) 03/20/13 4,500 87 - -------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------- Fund pays quarterly payment of 0.485% (1.94% per annum) times the notional amount of Motorola Inc., 6.50%, 09/01/2025. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Goldman Sachs) 03/20/13 $ 1,200 $ 58 Fund pays quarterly payment of 0.16% (0.64% per annum) times the notional amount of Kroger Co., 5.50%, 02/01/2013. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 03/20/13 4,500 (3) Fund pays quarterly payment of 0.7075% (2.83% per annum) times the notional amount of Toll Brothers Inc., 6.875%, 11/15/2012. Upon a defined credit event Fund receives the notional amount and pays receipt of the defined deliverable obligation. (Counterparty: Merrill Lynch) 12/20/12 1,435 133 Fund pays quarterly payment of 0.228% (0.912% per annum) times the notional amount of Morgan Stanley, 6.60%, 04/01/2012. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JP Morgan) 12/20/12 6,200 424 Fund pays quarterly payment of 0.185% (0.740% per annum) times the notional amount of Goldman Sachs, 6.60%, 01/15/2012. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JP Morgan) 12/20/12 6,400 355 Fund pays quarterly payment of 0.188% (0.75% per annum) times the notional amount of Goldman Sachs, 6.60%, 01/15/2012. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Barclays) 12/20/12 200 11 Fund pays quarterly payment of 0.290% (1.16% per annum) times the notional amount of Lehman Brothers, 6.625%, 01/18/2012. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Barclays) 12/20/14 8,770 1,131 Fund pays quarterly payment of 0.89%, (3.56% per annum) times the notional amount of Centex Corp., 5.25%, 06/15/2015. Upon a defined credit event, Fund receives the notional amount and pays receipt of the defined deliverable obligation. (Counterparty: Merrill Lynch) 12/20/12 1,350 190 Fund pays quarterly payment of 0.695% (2.78% per annum) times the notional amount of Toll Brothers Inc., 6.875%, 11/15/2012. Upon a defined credit event, Fund receives the notional amount and pays receipt of the defined deliverable obligation. (Counterparty: Merrill Lynch) 12/20/12 2,450 227 Fund pays quarterly payment of 0.9125% (3.65% per annum) times the notional amount of Centex Corp., 5.25%, 06/15/2015. Upon a defined credit event, Fund receives the notional amount and pays receipt of the defined deliverable obligation. (Counterparty: Merrill Lynch) 12/20/12 925 130 Fund pays quarterly payment of 0.97% (3.88% per annum) times the notional amount of Pulte Homes Inc., 5.25%, 01/15/2014. Upon a defined credit event, Fund receives the notional amount and pays receipt of the defined deliverable obligation. (Counterparty: Citigroup) 12/20/12 2,200 232 Fund pays quarterly payment of 0.9775% (3.91% per annum) times the notional amount of Pulte Homes Inc., 5.25%, 01/15/2014. Upon a defined credit event, Fund receives the notional amount and pays receipt of the defined deliverable obligation. (Counterparty: Citigroup) 12/20/12 1,150 121 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 157 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund (Concluded) March 31, 2008 - -------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------- Fund pays quarterly payment of 0.7075% (2.83% per annum) times the notional amount of Toll Brothers Inc., 6.875%, 11/15/2012. Upon a defined credit event, Fund receives the notional amount and pays receipt of the defined deliverable obligation. (Counterparty: Citigroup) 12/20/12 $ 1,000 $ 92 Fund pays quarterly payment of 0.1875% (0.75% per annum) times the notional amount of AMBAC Monoline AAA. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JP Morgan) 12/20/12 6,250 1,449 Fund receives quarterly payment of 0.15% (0.60% per annum) times the notional amount of the CDX.IG.9 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Bank of America) 12/20/12 (4,500) (77) Fund pays quarterly payment of 0.038% (0.45% per annum) times the notional amount of the CDX.NA.IG Index. Upon a defined credit event, Fund receives the notional amount and delivers the defined deliverable obligation. (Counterparty: Bank of America) 12/20/12 5,000 98 Fund pays quarterly payment of 0.038% (0.45% per annum) times the notional amount of the CDX.NA.IG Index. Upon a defined credit event, Fund receives the notional amount and delivers receipt of the defined deliverable obligation. (Counterparty: Bank of America) 12/20/12 3,000 61 Fund receives quarterly payment of 0.15% (0.60% per annum) times the notional amount of the CDX.NA.IG Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Goldman Sachs) 12/20/12 (32,375) (746) Fund receives quarterly payment of 1.25% (5.00% per annum) times the notional amount of Countrywide Financial Corp., 6.00%, 01/24/2018. Upon defined credit event, Fund receives the notional amount and pays receipt of the defined deliverable obligation. (Counterparty: Deutsche Bank) 12/20/08 (4,500) 460 Fund receives quarterly payments of 0.15% (0.60% per annum) times the notional amount of the CDX.NA.IG Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Goldman Sachs) 12/20/12 8,250 (106) -------------- $ (15,172) ============== - -------------------------------------------------------------------------------- INTEREST RATE SWAPS - -------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------- Fund receives a fixed rate of 4.8575% and pays a floating rate based on the 3 Month LIBOR. (Counterparty: Citigroup) 11/15/09 $ 4,270 $ 230 Fund receives a fixed rate of 3.40123% and pays a floating rate based on the 3 Month LIBOR. (Counterparty: Merrill Lynch) 02/26/13 4,556 22 Fund receives a fixed rate of 3.53573% and pays a floating rate based on the 3 Month LIBOR. (Counterparty: Barclays) 02/26/13 4,520 50 Fund receives a fixed rate of 3.57534% and pays a floating rate based on the 3 Month LIBOR. (Counterparty: Barclays) 02/26/13 4,496 58 Fund receives a fixed rate of 3.70058% and pays a floating rate based on the 3 Month LIBOR. (Counterparty: Merrill Lynch) 02/26/13 9,086 171 Fund pays a fixed rate of 4.52375% and receives floating rate based on the 5Y5Y Swaption Straddle (Counterparty: Lehman Brothers) 05/24/17 5,110 199 Fund pays a fixed rate of 4.65% and receives floating rate based on the 5Y5Y Swaption Straddle (Counterparty: Lehman Brothers) 05/18/17 9,000 251 - -------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------- Fund pays a fixed rate of 5.00% and receives floating rate based on the 5Y5Y Swaption Straddle (Counterparty: Merrill Lynch) 10/18/17 $ (2,370) $ (21) Fund pays a fixed rate of 5.03% and receives floating rate based on the 5Y5Y Swaption Straddle (Counterparty: Merrill Lynch) 10/16/17 2,370 (28) Fund receives a fixed rate of 5.043% and pays a floating rate based on the 3 Month LIBOR. (Counterparty: Merrill Lynch) 11/30/09 3,090 177 Fund pays a fixed rate of 5.05% and receives floating rate based on the 5Y5Y Swaption Straddle (Counterparty: Lehman Brothers) 10/16/17 (2,370) (18) Fund pays a fixed rate of 5.05% and receives floating rate based on the 5Y5Y Swaption Straddle (Counterparty: Lehman Brothers) 11/30/09 3,090 182 Fund pays a floating rate based on the 3 Month LIBOR and receives a fixed rate of 7.16% (Counterparty: Lehman Brothers) 05/25/22 4,500 66 Fund pays a floating rate based on the 3 Month LIBOR and receives a fixed rate of 7.88% (Counterparty: Lehman Brothers) 06/04/22 (3,130) 42 Fund receives a fixed rate of 4.39% and pays a floating rate based on the 3 Month LIBOR. (Counterparty: JP Morgan Chase) 11/15/09 7,180 320 Fund receives a fixed rate of 4.1475% and pays a floating rate based on the 3 Month LIBOR. (Counterparty: Merrill Lynch) 11/23/09 7,190 286 Fund receives a fixed rate of 4.8125% and pays a floating rate based on the 3 Month LIBOR. (Counterparty: Merrill Lynch) 11/15/09 4,300 227 Fund receives a fixed rate of 4.40% and pays a floating rate based on the 3 Month LIBOR. (Counterparty: Deutsche Bank) 05/31/12 9,091 451 ------------- $ 2,665 ============= - -------------------------------------------------------------------------------- TOTAL RETURN SWAPS - -------------------------------------------------------------------------------- NOTIONAL NET UNREALIZED EXPIRATION AMOUNT APPRECIATION DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------- Fund receives payment on the monthly reset spread from Bank of America - CMBS AAA 10 YR Index minus 15 basis points times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Goldman Sachs) 06/01/08 $ 30,000 $ 684 Fund receives payment on the monthly reset spread from Bank of America - CMBS AAA 10 YR Index minus 65 basis points times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Wachovia) 08/01/08 10,000 228 Fund receives payment on the monthly reset spread from Bank of America - CMBS AAA 10 YR Index minus 35 basis points times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Bank of America) 08/01/08 10,000 228 Fund receives payment on the monthly reset spread from Bank of America - CMBS AAA 10 YR Index minus 25 basis points times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Wachovia) 07/01/08 20,000 455 - -------------------------------------------------------------------------------- 158 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- NOTIONAL NET UNREALIZED EXPIRATION AMOUNT APPRECIATION DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) - -------------------------------------------------------------------------------- Fund receives payment on the monthly reset spread from Bank of America - CMBS AAA 10 YR Index minus 20 basis points times the notional amount. Fund receives payment if the return on the spread appreciates over the payment period and pays if the return on the spread depreciates over the payment period. (Counterparty: Bank of America) 05/01/08 $ 20,000 $ 455 -------------- $ 2,050 ============== Percentages are based on Net Assets of $4,362,035 ($ Thousands). * Non-Income Producing Security ** Rate shown is the 7-day effective yield as of March 31, 2008. + Real Estate Investment Trust. ++ Investment in Affiliated Security (see Note 3). (A) The rate reported is the effective yield at time of purchase. (B) Security, or portion thereof, has been pledged as collateral on open futures contracts. (C) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (D) Treasury Inflation Index Notes (E) Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase. (F) Variable Rate Security -- The rate reported on the Statement of Net Assets is the rate in effect as of March 31, 2008. (G) Step Bonds -- The rate reflected on the Schedule of Investments is the effective yield on March 31, 2008. The coupon on a step bond changes on a specified date. (H) Securities considered illiquid. The total value of such securities as of March 31, 2008 was $2,285 ($ Thousands) and represented 0.05% of Net Assets. (I) Security in default on interest payments. (J) This security or a partial position of this security is on loan at March 31, 2008 (see Note 7). The total value of securities on loan at March 31, 2008 was $324,358 ($ Thousands). (K) This security was purchased with cash collateral held from securities on loan (see Note 7). The total value of such securities as of March 31, 2008 was $343,590 ($ Thousands). (L) Tri-Party Repurchase Agreement ABS -- Asset-Backed Security AMBAC -- American Municipal Bond Assurance Corporation ARM -- Adjustable Rate Mortgage CDO -- Collateralized Debt Obligation Cl -- Class CMO -- Collateralized Mortgage Obligation EUR -- Euro FFCA -- Federal Farm Credit Association FHLB -- Federal Home Loan Bank FHLMC -- Federal Home Loan Mortgage Corporation FICO -- Fair Isaac Corporation FNMA -- Federal National Mortgage Association FSA -- Financial Security Assurance GBP -- British Pound Sterling GMAC -- General Motors Acceptance Corporation GNMA -- Government National Mortgage Association IO -- Interest Only JPY -- Japanese Yen LLC -- Limited Liability Company L.P. -- Limited Partnership MBIA -- Municipal Bond Insurance Corporation MTN -- Medium Term Note PIK -- Payment-in-Kind PLC -- Public Limited Company RB -- Revenue Bond Ser -- Series STRIPS -- Separately Traded Registered Interest and Principal Securities TBA -- To Be Announced TIPS -- Treasury Inflated Protection Securities USD -- U.S. Dollar Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 159 SCHEDULE OF INVESTMENTS (Unaudited) High Yield Bond Fund March 31, 2008 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS#: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] Consumer Discretionary 21.4% Short-Term Investments 14.1% Financials 8.0% Industrials 8.0% Telecommunication Services 7.9% Energy 7.7% Materials 7.7% Loan Participations 7.4% Asset-Backed Securities 4.0% Information Technology 3.6% Utilities 3.1% Consumer Staples 2.5% Health Care 2.4% Preferred Stock 1.8% Common Stock 0.3% Convertible Bonds 0.1% Warrants 0.0% # Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 7). - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- CORPORATE OBLIGATIONS -- 81.2% CONSUMER DISCRETIONARY -- 24.0% Adelphia Communication (Escrow Security) 10.250%, 06/15/11 $ 150 $ 11 7.750%, 01/15/09 225 17 Adelphia Communications, Ser B PIK (Escrow Security) (H) 9.500%, 02/15/04 25 2 American Greetings 7.375%, 06/01/16 600 595 Amscan Holdings 8.750%, 05/01/14 1,035 908 Aramark Services 8.500%, 02/01/15 1,275 1,278 6.739%, 05/22/08 (D) 350 309 Arvinmeritor (G) 8.750%, 03/01/12 2,165 1,981 Asbury Automotive Group 7.625%, 03/15/17 150 119 Ashtead Holdings PLC (A) 8.625%, 08/01/15 225 180 Autonation (D) 6.258%, 04/15/08 930 763 Avis Budget Car Rental (D) 5.565%, 05/15/08 965 758 Bausch & Lomb (A) (G) 9.875%, 11/01/15 1,120 1,140 Beazer Homes USA 8.625%, 05/15/11 270 208 Beazer Homes USA (G) 6.875%, 07/15/15 2,155 1,541 Blockbuster (G) 9.000%, 09/01/12 2,125 1,732 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Bonten Media Acquisition PIK (A) 9.000%, 06/01/15 $ 275 $ 212 Boyd Gaming 7.125%, 02/01/16 2,650 2,133 6.750%, 04/15/14 2,725 2,234 Broder Brothers, Ser B (G) 11.250%, 10/15/10 1,260 850 Brookstone (G) 12.000%, 10/15/12 1,040 957 Brown Shoe 8.750%, 05/01/12 1,100 1,089 Burlington Coat (G) 11.125%, 04/15/14 575 444 CCH I Holdings LLC (G) 11.750%, 05/15/14 (B) 150 76 11.125%, 01/15/14 525 252 CCH I LLC 11.000%, 10/01/15 175 120 11.000%, 10/01/15 (G) 5,671 3,941 CCH II LLC 10.250%, 09/15/10 3,135 2,853 CCH II LLC, Ser B 10.250%, 09/15/10 300 272 CCO Holdings LLC 8.750%, 11/15/13 2,975 2,544 CSC Holdings 7.625%, 07/15/18 600 547 7.250%, 07/15/08 (G) 250 250 6.750%, 04/15/12 185 179 CSC Holdings, Ser B 8.125%, 08/15/09 275 278 Cablevision Systems, Ser B 9.644%, 04/03/08 (D) (G) 1,885 1,871 8.000%, 04/15/12 1,400 1,361 Caesars Entertainment (G) 7.875%, 03/15/10 1,650 1,547 Carrols 9.000%, 01/15/13 1,470 1,308 Charter Communications Holdings LLC 10.875%, 09/15/14 125 123 Charter Communications Holdings LLC (A) 8.000%, 04/30/12 175 161 Choctaw Resort Development Entity (A) 7.250%, 11/15/19 1,032 898 Cinemark (B) 10.838%, 03/15/14 450 405 Claire's Stores (G) 10.500%, 06/01/17 5,425 2,387 9.625%, 06/01/15 2,585 1,331 9.250%, 06/01/15 1,025 643 - -------------------------------------------------------------------------------- 160 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Community Health Systems (G) 8.875%, 07/15/15 $ 3,830 $ 3,844 Cooper Standard Auto 8.375%, 12/15/14 1,250 947 Couche-Tard US 7.500%, 12/15/13 3,308 3,300 Dana 7.000%, 03/15/28 200 16 7.000%, 03/01/29 850 68 6.500%, 03/01/09 350 28 Delphi (C) 7.125%, 05/01/29 1,000 315 6.550%, 06/15/06 125 39 6.500%, 05/01/09 (G) 2,325 756 Dex Media 9.173%, 11/15/13 (B) 3,680 2,650 8.000%, 11/15/13 325 237 Dex Media West, Ser B 9.875%, 08/15/13 5,750 5,002 8.500%, 08/15/10 850 827 DirecTV Holdings 8.375%, 03/15/13 1,815 1,840 6.375%, 06/15/15 5,145 4,798 Easton-Bell Sports 8.375%, 10/01/12 1,485 1,207 Echostar DBS 7.125%, 02/01/16 3,774 3,519 7.000%, 10/01/13 1,435 1,352 6.625%, 10/01/14 1,025 933 5.750%, 10/01/08 3,290 3,274 El Dorado Casino Shreveport PIK (G) 10.000%, 08/01/12 1,193 1,187 Eye Care Centers of America 10.750%, 02/15/15 700 714 Federal-Mogul (C) 7.750%, 07/01/06 675 -- 7.500%, 07/01/04 100 -- 7.500%, 01/15/09 (G) 350 -- 7.375%, 01/15/06 225 -- Fontainebleau Las Vegas (A) 10.250%, 06/15/15 4,700 3,313 Ford Motor 9.215%, 09/15/21 350 276 8.900%, 01/15/32 (G) 900 675 8.875%, 01/15/22 50 39 7.450%, 07/16/31 200 132 6.500%, 08/01/18 (G) 2,295 1,538 4.250%, 12/15/36 175 150 Gamestop 8.000%, 10/01/12 800 846 General Motors 8.375%, 07/15/33 (G) 5,991 4,224 8.250%, 07/15/23 (G) 5,575 3,902 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- 7.700%, 04/15/16 $ 1,562 $ 1,140 7.125%, 07/15/13 (G) 2,855 2,198 6.850%, 10/15/08 3,750 3,675 General Nutrition Center PIK 7.199%, 03/15/14 575 480 Goodyear Tire & Rubber 8.625%, 12/01/11 837 878 7.857%, 08/15/11 1,000 1,024 Great Canadian Gaming (A) 7.250%, 02/15/15 300 285 Group 1 Automotive 8.250%, 08/15/13 525 493 HCA 9.250%, 11/15/16 10,400 10,790 9.125%, 11/15/14 655 675 HCA PIK 9.625%, 11/15/16 6,050 6,277 Hanesbrands, Ser B (D) 8.204%, 06/15/08 3,455 3,066 Harrah's Operating 10.750%, 02/01/16 5,210 4,389 8.000%, 02/01/11 675 564 5.500%, 07/01/10 100 88 Herbst Gaming 8.125%, 06/01/12 875 160 7.000%, 11/15/14 1,000 182 Hertz 10.500%, 01/01/16 (G) 1,975 1,849 8.875%, 01/01/14 2,245 2,127 Idearc 8.000%, 11/15/16 1,580 1,023 Indianapolis Downs (A) (G) 11.000%, 11/01/12 1,500 1,305 Inn of the Mountain Gods 12.000%, 11/15/10 275 267 Isle of Capri Casinos 7.000%, 03/01/14 1,253 893 Jarden (G) 7.500%, 05/01/17 4,495 3,933 Jo-Ann Stores 7.500%, 03/01/12 375 326 LBI Media (B) 8.509%, 10/15/13 675 551 LIN Television (G) 6.500%, 05/15/13 2,500 2,319 LIN Televison, Ser B 6.500%, 05/15/13 1,325 1,229 Lamar Media 7.250%, 01/01/13 2,850 2,707 6.625%, 08/15/15 2,550 2,244 Lamar Media, Ser B 6.625%, 08/15/15 550 484 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 161 SCHEDULE OF INVESTMENTS (Unaudited) High Yield Bond Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Leslie's Poolmart 7.750%, 02/01/13 $ 550 $ 500 MGM Mirage 8.375%, 02/01/11 1,500 1,504 7.500%, 06/01/16 4,390 3,951 6.875%, 04/01/16 3,010 2,634 6.750%, 09/01/12 1,000 927 6.750%, 04/01/13 1,600 1,472 5.875%, 02/27/14 1,485 1,270 Majestic Holdings LLC (A) (B) 2.537%, 10/15/11 50 30 Majestic Star II LLC 9.750%, 01/15/11 1,000 390 Mandalay Resort Group 9.375%, 02/15/10 575 592 Mashantucket Pequot Tribe 8.500%, 11/15/15 75 66 MediMedia USA (A) 11.375%, 11/15/14 775 798 Mediacom Broadband LLC 8.500%, 10/15/15 2,425 2,037 Mediacom LLC 9.500%, 01/15/13 2,151 1,979 Michaels Stores 11.375%, 11/01/16 545 428 10.000%, 11/01/14 (G) 525 459 Mohegan Tribal Gaming 8.000%, 04/01/12 75 69 Mohegan Tribal Gaming (G) 7.125%, 08/15/14 450 369 6.875%, 02/15/15 1,325 1,067 6.125%, 02/15/13 325 297 NPC International (G) 9.500%, 05/01/14 250 226 Neff (G) 10.000%, 06/01/15 700 332 Neiman Marcus Group PIK 9.000%, 10/15/15 2,170 2,170 Nexstar Broadcasting 7.000%, 01/15/14 2,800 2,411 Nexstar Financial Holdings LLC (B) 8.053%, 04/01/13 580 563 Outback Steakhouse (A) 10.000%, 06/15/15 650 409 Penhall International (A) 12.000%, 08/01/14 1,850 1,563 Penn National Gaming 6.875%, 12/01/11 75 71 6.750%, 03/01/15 3,460 3,140 Penske Auto Group 7.750%, 12/15/16 2,000 1,730 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Perry Ellis International, Ser B 8.875%, 09/15/13 $ 1,326 $ 1,266 Phillips Van-Heusen 8.125%, 05/01/13 475 482 Pokagon Gaming Authority 10.375%, 06/15/14 125 132 Quebecor Media 7.750%, 03/15/16 1,075 981 7.750%, 03/15/16 (A) 5,285 4,823 R.H. Donnelley (A) (G) 8.875%, 10/15/17 7,700 4,812 6.875%, 01/15/13 375 229 R.H. Donnelley, Ser A-1 6.875%, 01/15/13 1,775 1,083 R.H. Donnelley, Ser A-2 6.875%, 01/15/13 3,000 1,830 R.H. Donnelley, Ser A-3 8.875%, 01/15/16 600 379 RJ Tower (C) 12.000%, 06/01/13 175 4 RSC Equipment Rental 9.500%, 12/01/14 2,880 2,405 ReAble Therapeutics Financial (A) (G) 10.875%, 11/15/14 1,420 1,335 Rent-A-Center, Ser B (G) 7.500%, 05/01/10 2,975 2,752 SGS International 12.000%, 12/15/13 1,875 1,617 Sally Holdings LLC (G) 10.500%, 11/15/16 215 199 9.250%, 11/15/14 2,535 2,529 Sbarro (G) 10.375%, 02/01/15 175 145 Sealy Mattress (G) 8.250%, 06/15/14 4,176 3,487 Seneca Gaming 7.250%, 05/01/12 125 118 Service Corp International 7.625%, 10/01/18 793 797 7.375%, 10/01/14 1,527 1,529 7.000%, 06/15/17 1,155 1,115 6.750%, 04/01/15 1,440 1,417 6.750%, 04/01/16 1,075 1,040 Shingle Springs Tribal Group (A) 9.375%, 06/15/15 600 531 Simmons 12.039%, 12/15/14 (B) (G) 5,625 3,628 7.875%, 01/15/14 1,200 984 Sinclair Broadcast Group (A) (B) 4.875%, 07/15/18 450 409 Six Flags (G) 9.625%, 06/01/14 375 212 - -------------------------------------------------------------------------------- 162 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Sonic Automotive, Ser B 8.625%, 08/15/13 $ 2,145 $ 1,984 Stanadyne Holdings (B) 9.066%, 02/15/15 1,575 1,055 Stanadyne, Ser 1 10.000%, 08/15/14 450 409 Standard Pacific (G) 7.750%, 03/15/13 600 436 7.000%, 08/15/15 375 269 Station Casinos 6.875%, 03/01/16 1,600 932 6.625%, 03/15/18 (G) 2,050 1,138 Steinway Musical Instruments (A) 7.000%, 03/01/14 4,855 4,151 Stewart Enterprises 6.250%, 02/15/13 1,005 940 Sun Media 7.625%, 02/15/13 2,110 1,994 TRW Automotive (A) 7.250%, 03/15/17 (G) 5,065 4,609 7.000%, 03/15/14 2,310 2,131 Tenneco (G) 8.625%, 11/15/14 4,256 4,182 Town Sports International (B) 4.655%, 02/01/14 1,092 994 Travelport LLC 11.875%, 09/01/16 (G) 4,765 4,050 7.701%, 09/01/14 (D) 2,371 1,921 United Components 9.375%, 06/15/13 1,290 1,182 United Rentals North America 7.750%, 11/15/13 25 20 7.000%, 02/15/14 1,150 903 6.500%, 02/15/12 2,705 2,448 Universal City Florida 8.375%, 05/01/10 100 98 7.989%, 05/01/08 (D) 1,247 1,210 Univision Communications 0.000%, 09/29/14 34 7 Univision Communications PIK (A) (G) 9.750%, 03/15/15 3,675 2,223 Vail Resorts 6.750%, 02/15/14 2,880 2,808 Vicorp Restaurants (G) 10.500%, 04/15/11 426 104 Videotron 6.875%, 01/15/14 5,195 4,792 6.375%, 12/15/15 25 22 Visant Holding 11.058%, 12/01/13 (B) 5,995 5,605 8.750%, 12/01/13 795 743 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Visteon (G) 8.250%, 08/01/10 $ 1,100 $ 899 7.000%, 03/10/14 475 300 WMG Acquisition (G) 7.375%, 04/15/14 1,755 1,351 Wynn Las Vegas LLC 6.625%, 12/01/14 3,716 3,577 -------------- 287,588 -------------- CONSUMER STAPLES -- 2.8% B&G Foods 8.000%, 10/01/11 525 508 Constellation Brands 8.375%, 12/15/14 580 597 7.250%, 09/01/16 4,740 4,610 7.250%, 05/15/17 4,100 3,977 Del Monte 6.750%, 02/15/15 2,565 2,456 Dole Foods (G) 7.250%, 06/15/10 1,275 982 Elizabeth Arden 7.750%, 01/15/14 1,500 1,425 Fleming (C) 10.125%, 04/01/08 1,025 31 9.250%, 06/15/10 188 6 Merisant (G) 9.500%, 07/15/13 2,000 1,420 Merisant Worldwide (B) 8.136%, 05/15/14 1,075 344 Michael Foods 8.000%, 11/15/13 2,765 2,696 NBTY 7.125%, 10/01/15 3,026 2,890 Natural Beef Pack 10.500%, 08/01/11 1,652 1,569 Pantry 7.750%, 02/15/14 1,900 1,672 Rite Aid 9.500%, 06/15/17 3,905 3,065 9.375%, 12/15/11 575 451 9.250%, 06/01/13 (G) 1,025 846 8.625%, 03/01/15 725 553 7.700%, 02/15/27 (G) 150 87 7.500%, 01/15/15 25 23 6.875%, 08/15/13 (G) 100 66 6.875%, 12/15/28 (G) 375 199 Spectrum Brands (G) 7.375%, 02/01/15 1,733 1,126 SuperValu 7.500%, 11/15/14 1,425 1,439 -------------- 33,038 -------------- - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 163 SCHEDULE OF INVESTMENTS (Unaudited) High Yield Bond Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- ENERGY -- 8.7% Allis-Chalmers Energy 9.000%, 01/15/14 $ 4,942 $ 4,497 8.500%, 03/01/17 350 308 Atlas Pipeline Partners (G) 8.125%, 12/15/15 375 382 Aventine Renewable Energy (G) 10.000%, 04/01/17 2,175 1,403 Baytex Energy 9.625%, 07/15/10 350 354 Brigham Exploration 9.625%, 05/01/14 850 731 Chaparral Energy 8.875%, 02/01/17 675 586 8.500%, 12/01/15 1,887 1,642 Chesapeake Energy 7.750%, 01/15/15 1,850 1,905 7.625%, 07/15/13 475 487 7.500%, 09/15/13 1,100 1,133 7.500%, 06/15/14 806 826 7.000%, 08/15/14 1,024 1,027 6.875%, 01/15/16 547 542 6.500%, 08/15/17 2,735 2,639 Cimarex Energy 7.125%, 05/01/17 3,250 3,226 Colorado Interstate Gas 6.800%, 11/15/15 125 129 5.950%, 03/15/15 88 87 Compagnie Generale de Geophysique 7.750%, 05/15/17 250 254 7.500%, 05/15/15 425 431 Compton Pet Finance 7.625%, 12/01/13 375 359 Comstock Resources 6.875%, 03/01/12 75 72 Connacher Oil & Gas 10.250%, 12/15/15 525 529 Denbury Resources 7.500%, 04/01/13 2,940 3,006 7.500%, 12/15/15 2,380 2,434 Dynegy Holdings 8.375%, 05/01/16 850 841 7.750%, 06/01/19 6,050 5,657 7.500%, 06/01/15 3,420 3,206 Edison Mission Energy 7.625%, 05/15/27 925 869 El Paso 7.420%, 02/15/37 1,225 1,195 7.000%, 06/15/17 1,510 1,553 El Paso MTN 8.050%, 10/15/30 375 392 7.800%, 08/01/31 (G) 1,050 1,078 7.750%, 01/15/32 (G) 1,050 1,078 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- El Paso Performance-Linked Trust (A) 7.750%, 07/15/11 $ 725 $ 741 Encore Acquisition 7.250%, 12/01/17 850 812 6.000%, 07/15/15 625 562 Energy Partners 9.750%, 04/15/14 (G) 1,275 1,052 9.383%, 04/15/08 (D) 175 140 Forest Oil 8.000%, 06/15/08 120 120 8.000%, 12/15/11 1,550 1,616 7.250%, 06/15/19 500 509 Frontier Oil 6.625%, 10/01/11 500 494 Helix Energy Solutions (A) 9.500%, 01/15/16 2,080 2,080 Hilcorp Energy (A) 9.000%, 06/01/16 1,050 1,058 7.750%, 11/01/15 4,150 3,891 Holly Energy Partners LP 6.250%, 03/01/15 1,225 1,112 Inergy LP 6.875%, 12/15/14 325 317 Key Energy Services (A) 8.375%, 12/01/14 200 200 MarkWest Energy, Ser B 8.500%, 07/15/16 2,550 2,569 6.875%, 11/01/14 1,600 1,512 Newfield Exploration 6.625%, 04/15/16 1,610 1,578 Northwest Pipeline 7.000%, 06/15/16 225 239 5.950%, 04/15/17 300 298 Opti Canada 8.250%, 12/15/14 2,335 2,312 7.875%, 12/15/14 930 909 PHI 7.125%, 04/15/13 125 115 Pacific Energy Partner 7.125%, 06/15/14 225 238 6.250%, 09/15/15 100 99 Parker Drilling 9.625%, 10/01/13 236 248 Peabody Energy 7.375%, 11/01/16 350 362 Peabody Energy, Ser B 6.875%, 03/15/13 2,700 2,740 PetroProd 10.850%, 05/24/13 800 744 Petrohawk Energy 9.125%, 07/15/13 2,500 2,569 Petroleum Development 12.000%, 02/15/18 2,250 2,250 - -------------------------------------------------------------------------------- 164 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Plains Exploration 7.750%, 06/15/15 $ 150 $ 150 7.000%, 03/15/17 825 792 Pride International 7.375%, 07/15/14 859 893 Quicksilver Resources 7.125%, 04/01/16 700 675 Range Resources 6.375%, 03/15/15 350 343 SESI LLC 6.875%, 06/01/14 1,000 955 Sabine Pass LNG L.P. 7.500%, 11/30/16 1,600 1,544 7.250%, 11/30/13 1,400 1,351 Sonat 7.625%, 07/15/11 35 36 Southern Natural Gas 7.350%, 02/15/31 375 384 Southwestern Energy 7.500%, 02/01/18 2,900 3,001 Swift Energy 7.625%, 07/15/11 4,650 4,603 Tesoro 6.625%, 11/01/15 1,130 1,045 6.500%, 06/01/17 2,400 2,148 Transcontinental Gas Pipe 6.400%, 04/15/16 175 180 United Refining, Ser 2 10.500%, 08/15/12 675 668 Veneco 8.750%, 12/15/11 2,730 2,477 Whiting Petroleum 7.000%, 02/01/14 980 970 Williams 7.750%, 06/15/31 500 531 Williams Partners L.P. 7.250%, 02/01/17 2,410 2,422 -------------- 103,512 -------------- FINANCIALS -- 9.0% AAC Group Holding (B) (G) 2.733%, 10/01/12 1,080 875 AAC Group Holding PIK 14.750%, 10/01/12 726 570 ACE Cash Express (A) 10.250%, 10/01/14 775 632 ALH Finance LLC 8.500%, 01/15/13 3,605 3,281 Alamosa Delaware 8.500%, 01/31/12 1,005 907 Algoma Acquisition (A) 9.875%, 06/15/15 500 432 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Alliant Holdings I (A) 11.000%, 05/01/15 $ 2,125 $ 1,700 American Real Estate 7.125%, 02/15/13 4,350 3,948 Ashtead Capital (A) (G) 9.000%, 08/15/16 2,685 2,175 Cardtronics 9.250%, 08/15/13 150 141 9.250%, 08/15/13 (A) 350 329 Cebridge PIK 11.370%, 05/05/14 515 400 Deluxe 7.375%, 06/01/15 200 187 FTI Consulting 7.750%, 10/01/16 525 543 7.625%, 06/15/13 425 436 Felcor Lodging L.P.+ 8.500%, 06/01/11 300 294 6.788%, 04/30/08 (D) 225 199 First Data 3.375%, 08/01/08 630 619 Ford Motor Credit LLC 9.750%, 09/15/10 1,754 1,562 8.708%, 04/17/08 (D) 3,185 2,993 8.000%, 12/15/16 2,600 2,035 7.800%, 06/01/12 3,785 3,122 7.375%, 10/28/09 1,050 957 7.375%, 02/01/11 (G) 675 563 7.250%, 10/25/11 1,290 1,060 7.127%, 04/13/08 (D) 300 222 7.000%, 10/01/13 6,063 4,729 5.828%, 04/18/08 (D) 515 431 GMAC LLC 8.000%, 11/01/31 2,407 1,725 7.750%, 01/19/10 150 130 7.250%, 03/02/11 375 295 7.000%, 02/01/12 100 76 6.875%, 09/15/11 2,725 2,086 6.875%, 08/28/12 5,060 3,845 6.750%, 12/01/14 (G) 7,601 5,379 6.625%, 05/15/12 1,260 953 6.000%, 12/15/11 375 280 4.315%, 05/15/08 375 320 HUB International Holdings (A) 9.000%, 12/15/14 2,900 2,262 Hawker Beechcraft Acquisition 9.750%, 04/01/17 (A) 560 547 9.750%, 04/01/17 (G) 875 859 Hawker Beechcraft Acquisition PIK (A) 8.875%, 04/01/15 2,065 2,111 Hellas II (A) (D) 10.008%, 06/21/08 2,250 1,609 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 165 SCHEDULE OF INVESTMENTS (Unaudited) High Yield Bond Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Hexion US Fin/Nova Scotia 9.750%, 11/15/14 $ 2,250 $ 2,413 7.565%, 05/15/08 (D) 750 701 Host Hotels & Resorts L.P. 6.875%, 11/01/14 1,555 1,481 Host Marriott L.P.+ 7.125%, 11/01/13 1,255 1,230 Host Marriott L.P., Ser M+ 7.000%, 08/15/12 450 440 Host Marriott L.P., Ser O+ 6.375%, 03/15/15 725 674 Host Marriott L.P., Ser Q+ (G) 6.750%, 06/01/16 1,315 1,230 Ipayment 9.750%, 05/15/14 750 666 LVB Acquisition Merger (A) 11.625%, 10/15/17 575 575 10.000%, 10/15/17 150 157 LVB Acquisition Merger PIK (A) (G) 10.375%, 10/15/17 7,770 8,061 Marlin Water Trust II (A) (C) 6.310%, 07/15/03 4,200 315 NSG Holdings LLC (A) 7.750%, 12/15/25 475 461 Nielsen Finance LLC 10.000%, 08/01/14 2,750 2,736 0.000%, 08/01/16 (B) 1,075 680 Nuveen Investments (A) 10.500%, 11/15/15 6,160 5,282 Omega Healthcare Investors+ 7.000%, 01/15/16 1,300 1,235 PXRE Capital Trust I 8.850%, 02/01/27 900 868 Petroplus Finance 7.000%, 05/01/17 (A) 3,740 3,338 6.750%, 05/01/14 1,400 1,274 6.750%, 05/01/14 (A) 1,200 1,095 Pinnacle Foods Finance (G) 10.625%, 04/01/17 1,725 1,466 Regency Energy Partners 8.375%, 12/15/13 1,202 1,226 Residential Capital LLC 7.625%, 11/21/08 (G) 2,550 1,760 6.598%, 04/17/08 725 413 6.370%, 05/21/08 150 102 3.490%, 06/09/08 (D) 75 59 Rouse L.P.+ (A) 6.750%, 05/01/13 700 603 SLM MTN, Ser S (D) (F) 2.827%, 04/14/08 3,066 3,066 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- SPX (A) 7.625%, 12/15/14 $ 1,190 $ 1,226 Senior Housing Properties Trust+ 7.875%, 04/15/15 671 671 Snoqualmie Enterprises Authority (A) 9.125%, 02/01/15 1,025 876 6.936%, 08/01/08 (D) 300 245 Tenneco (A) 8.125%, 11/15/15 945 938 Trustreet Properties+ 7.500%, 04/01/15 475 517 Ventas Realty LP+ 7.125%, 06/01/15 250 248 6.750%, 04/01/17 850 831 6.625%, 10/15/14 375 369 Yankee Acquisition, Ser B (G) 8.500%, 02/15/15 375 303 -------------- 107,650 -------------- HEALTH CARE -- 2.6% Advanced Mecial Optics 7.500%, 05/01/17 3,650 3,139 Bio-Rad Laboratories 7.500%, 08/15/13 175 175 6.125%, 12/15/14 950 907 CRC Health 10.750%, 02/01/16 2,100 1,974 Cooper 7.125%, 02/15/15 4,025 3,844 Davita 6.625%, 03/15/13 2,100 2,037 FMC Finance III 6.875%, 07/15/17 1,695 1,695 Fresenius Medical Capital Trust IV 7.875%, 06/15/11 1,050 1,089 HCA 8.750%, 09/01/10 745 745 6.750%, 07/15/13 615 544 MedCath Holdings (G) 9.875%, 07/15/12 431 450 NMH Holdings PIK (A) 9.925%, 06/15/08 682 593 Norcross Safety Products, Ser B 9.875%, 08/15/11 1,315 1,355 Res-care 7.750%, 10/15/13 675 641 Select Medical 7.625%, 02/01/15 1,525 1,205 Spheris 11.000%, 12/15/12 1,400 1,155 Sun Healthcare Group 9.125%, 04/15/15 375 362 - -------------------------------------------------------------------------------- 166 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Surgical Care Affiliates PIK (A) 8.875%, 07/15/15 $ 850 $ 655 Tenet Healthcare 9.250%, 02/01/15 4,475 4,184 US Oncology 10.750%, 08/15/14 500 494 9.000%, 08/15/12 675 672 United Surgical Partners (G) 8.875%, 05/01/17 1,705 1,603 United Surgical Partners PIK 9.250%, 05/01/17 2,160 1,998 Universal Hospital Services 8.500%, 06/01/15 250 250 8.288%, 06/01/08 175 156 -------------- 31,922 -------------- INDUSTRIALS -- 9.0% ACCO Brands 7.625%, 08/15/15 4,655 4,120 ACIH (A) (B) (G) 11.500%, 12/15/12 975 273 AGY Holding (A) 11.000%, 11/15/14 675 608 Actuant (A) 6.875%, 06/15/17 3,000 2,962 Ahern Rentals 9.250%, 08/15/13 1,225 971 Aleris International 10.000%, 12/15/16 1,900 1,206 Alliant Techsystems 6.750%, 04/01/16 500 486 Allied Waste North America 7.250%, 03/15/15 (G) 205 205 6.500%, 11/15/10 3,300 3,300 6.125%, 02/15/14 (G) 2,030 1,959 Allied Waste North America, Ser B (G) 7.375%, 04/15/14 860 846 7.125%, 05/15/16 545 544 Allison Transmission (A) (G) 11.000%, 11/01/15 400 348 Allison Transmission PIK (A) (G) 11.250%, 11/01/15 275 231 Altos Hornos de Mexico, Ser A (C) 11.375%, 04/30/02 500 300 Altos Hornos de Mexico, Ser B (C) 11.875%, 04/30/04 900 540 American Airlines, Ser 01-1 7.379%, 05/23/16 112 95 American Axle & Manufacturing 7.875%, 03/01/17 1,425 1,208 American Railcar Industries 7.500%, 03/01/14 300 264 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Ames True Temper 10.000%, 07/15/12 (G) $ 1,165 $ 542 8.258%, 04/15/08 (D) 1,345 1,116 Associated Materials (B) (G) 15.609%, 03/01/14 650 444 Baker & Taylor (A) 11.500%, 07/01/13 950 856 Baldor Electric (G) 8.625%, 02/15/17 1,910 1,891 Belden 7.000%, 03/15/17 200 193 Buffalo Thunder Development Authority (A) 9.375%, 12/15/14 2,225 1,669 Buhrmann US 8.250%, 07/01/14 1,750 1,645 7.875%, 03/01/15 625 584 Chart Industries 9.125%, 10/15/15 325 319 Cornell 10.750%, 07/01/12 500 521 Corrections Corp of America 7.500%, 05/01/11 1,000 1,010 6.750%, 01/31/14 450 452 6.250%, 03/15/13 2,672 2,619 D. R. Horton 5.625%, 09/15/14 1,090 926 5.625%, 01/15/16 525 438 DRS Technologies 7.625%, 02/01/18 575 575 6.875%, 11/01/13 300 294 6.625%, 02/01/16 1,000 977 Delta Air Lines, Ser 2002-1 (G) 8.300%, 12/15/29 925 28 Delta Air Lines, Ser 2002-1, Cl C (G) 7.779%, 01/02/12 750 697 Domtar 9.500%, 08/01/16 (G) 275 281 7.125%, 08/15/15 2,025 1,909 ESCO (A) 8.625%, 12/15/13 660 640 6.675%, 06/15/08 (D) 150 129 Education Management LLC 10.250%, 06/01/16 (G) 2,450 1,948 8.750%, 06/01/14 50 42 General Cable (G) 7.125%, 04/01/17 360 344 Graftech Finance 10.250%, 02/15/12 247 256 Gulfmark Offshore 7.750%, 07/15/14 875 888 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 167 SCHEDULE OF INVESTMENTS (Unaudited) High Yield Bond Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Hovnanian Enterprises 8.625%, 01/15/17 (G) $ 1,920 $ 1,478 6.500%, 01/15/14 350 236 6.375%, 12/15/14 250 169 6.250%, 01/15/15 275 184 6.250%, 01/15/16 1,050 709 Indalex Holding, Ser B 11.500%, 02/01/14 784 639 Interline Brands 8.125%, 06/15/14 1,040 993 Iron Mountain 8.750%, 07/15/18 70 73 8.625%, 04/01/13 1,297 1,310 7.750%, 01/15/15 1,670 1,678 6.625%, 01/01/16 (G) 5,470 5,210 J.B. Poindexter 8.750%, 03/15/14 425 277 KAR Holdings 10.000%, 05/01/15 1,675 1,449 8.750%, 05/01/14 2,205 1,962 7.239%, 05/01/08 (G) 800 660 L-3 Communications 5.875%, 01/15/15 4,111 3,936 L-3 Communications, Ser B 6.375%, 10/15/15 2,929 2,863 Lamar Media (G) 6.625%, 08/15/15 700 616 Language Line 11.125%, 06/15/12 50 51 Lyondellbasell (A) 8.375%, 08/15/15 1,225 894 MAAX (C) (G) 9.750%, 06/15/12 375 83 Millar Western Forest 7.750%, 11/15/13 605 408 Mobile Mini 6.875%, 05/01/15 750 623 Mobile Services Group 9.750%, 08/01/14 450 421 Mueller Water Products 7.375%, 06/01/17 1,000 862 NTK Holdings (G) 3.666%, 03/01/14 750 364 Nebraska Book 8.625%, 03/15/12 250 224 Noble Group (A) 6.625%, 03/17/15 575 494 Nortek 8.500%, 09/01/14 500 370 Northwest Airlines 0.000%, 03/15/08 175 4 0.000%, 02/01/09 75 2 0.000%, 11/15/23 1,200 33 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Northwest Airlines (G) 8.875%, 06/01/06 $ 1,575 $ 33 PNA Intermed Holding 10.065%, 05/15/08 500 389 Ply Gem 9.000%, 02/15/12 275 201 Propex Fabrics 10.000%, 12/01/12 175 21 Psychiatric Solutions 7.750%, 07/15/15 2,825 2,811 Quality Distributors 9.000%, 11/15/10 825 516 Quebecor World Capital (G) 8.750%, 03/15/16 (A) 3,650 1,734 6.125%, 11/15/13 975 400 RBS Global & Rexnord 11.750%, 08/01/16 (G) 1,000 865 9.500%, 08/01/14 575 538 8.875%, 09/01/16 2,410 2,133 Rainbow National Services LLC (A) 8.750%, 09/01/12 1,485 1,518 Stallion Oilfield Services (A) 9.750%, 02/01/15 3,700 2,534 Sunstate Equipment (A) 10.500%, 04/01/13 690 531 Superior Essex Com & Essex Group 9.000%, 04/15/12 654 629 Swift Transportation (A) (G) 12.500%, 05/15/17 1,425 581 Terex (G) 8.000%, 11/15/17 7,585 7,547 Titan International 8.000%, 01/15/12 3,015 2,955 Transdigm 7.750%, 07/15/14 1,775 1,775 Tube City IMS 9.750%, 02/01/15 800 704 UCI Holdings 12.491%, 06/15/08 949 825 United Air Lines (C) 9.125%, 01/15/12 1,075 -- United Air Lines, Ser 2001-1 6.201%, 09/01/08 446 441 United Air Lines, Ser 95A1 9.020%, 04/19/12 411 185 United Air Lines, Ser 95A2 9.560%, 10/19/18 645 319 United Air Lines, Ser A (C) 10.670%, 05/01/04 525 -- Vanguard Health Holdings I (B) 0.000%, 10/01/15 600 459 - -------------------------------------------------------------------------------- 168 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Vanguard Health Holdings II 9.000%, 10/01/14 $ 400 $ 385 Visant 7.625%, 10/01/12 500 486 Vought Aircraft Industries (G) 8.000%, 07/15/11 2,600 2,385 -------------- 107,874 -------------- INFORMATION TECHNOLOGY -- 4.1% Activant Solution 9.500%, 05/01/16 1,500 1,260 Advanced Micro Devices (G) 7.750%, 11/01/12 1,642 1,330 Amkor Technologies 7.125%, 03/15/11 1,300 1,222 Amkor Technologies (G) 9.250%, 06/01/16 2,250 2,166 Compucom Systems (A) 12.500%, 10/01/15 900 839 First Data (A) (G) 9.875%, 09/24/15 2,220 1,826 Flextronics International 6.500%, 05/15/13 1,300 1,242 6.250%, 11/15/14 (G) 1,250 1,150 Freescale Semiconductor 10.125%, 12/15/16 (G) 3,150 2,126 8.875%, 12/15/14 2,360 1,847 6.675%, 06/15/08 (D) 275 190 Freescale Semiconductor PIK 9.125%, 12/15/14 6,855 5,004 Magnachip Semiconductor (G) 6.875%, 12/15/11 450 324 NXP Funding LLC 9.500%, 10/15/15 (G) 5,355 4,404 7.875%, 10/15/14 2,200 2,013 7.008%, 04/15/08 (D) 1,000 829 Nortel Networks 8.508%, 04/15/08 400 343 Open Solutions (A) 9.750%, 02/01/15 4,225 3,274 Sanmina-SCI 8.125%, 03/01/16 (G) 1,500 1,327 5.550%, 06/15/08 (A) (D) 2,949 2,773 Seitel 9.750%, 02/15/14 2,300 1,938 Sensata Technologies 8.000%, 05/01/14 3,375 2,970 Smart Modular (D) 10.229%, 04/01/08 1,670 1,637 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Sungard Data Systems (G) 10.250%, 08/15/15 $ 6,425 $ 6,457 Viasystems 10.500%, 01/15/11 400 367 -------------- 48,858 -------------- MATERIALS -- 8.6% AK Steel 7.750%, 06/15/12 3,300 3,329 Abitibi Consolidated 8.850%, 08/01/30 100 45 8.550%, 08/01/10 2,000 1,150 6.000%, 06/20/13 1,275 618 Appleton Papers 8.125%, 06/15/11 300 289 Appleton Papers, Ser B 9.750%, 06/15/14 1,150 1,090 Arch Western Finance 6.750%, 07/01/13 8,950 8,928 Ball 6.625%, 03/15/18 1,250 1,241 Bowater 9.500%, 10/15/12 500 350 Bowater Canada Finance 7.950%, 11/15/11 300 206 Bway 10.000%, 10/15/10 674 649 CII Carbon LLC (A) 11.125%, 11/15/15 525 467 Cascades 7.250%, 02/15/13 655 578 Catalyst Paper 7.375%, 03/01/14 455 341 Catalyst Paper, Ser D 8.625%, 06/15/11 1,033 860 Claymont Steel 8.875%, 02/15/15 150 158 Crown Americas 7.750%, 11/15/15 1,394 1,432 Crown Cork & Seal 8.000%, 04/15/23 1,475 1,372 FMG Finance (A) 10.625%, 09/01/16 (G) 2,885 3,246 10.000%, 09/01/13 400 430 Freeport-McMoRan Copper & Gold 8.394%, 04/01/08 (D) 1,350 1,326 8.375%, 04/01/17 6,505 6,903 Georgia Gulf (G) 9.500%, 10/15/14 275 212 7.125%, 12/15/13 300 216 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 169 SCHEDULE OF INVESTMENTS (Unaudited) High Yield Bond Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Georgia-Pacific LLC 8.125%, 05/15/11 $ 1,140 $ 1,131 8.000%, 01/15/24 1,475 1,298 7.700%, 06/15/15 (G) 2,020 1,899 7.125%, 01/15/17 (A) 2,490 2,303 7.000%, 01/15/15 (A) 3,275 3,070 Graham Packaging (G) 9.875%, 10/15/14 3,415 2,869 Huntsman International LLC 7.875%, 11/15/14 1,355 1,436 Huntsman LLC 11.500%, 07/15/12 905 964 INEOS Group Holdings PLC (A) (G) 8.500%, 02/15/16 3,990 3,102 Innophos 8.875%, 08/15/14 475 461 Innophos Holdings (A) 9.500%, 04/15/12 725 678 Intertape Polymer 8.500%, 08/01/14 475 394 Macdermid (A) (G) 9.500%, 04/15/17 950 850 Methanex 6.000%, 08/15/15 175 170 Millennium America 7.625%, 11/15/26 175 113 Momentive Performance 11.500%, 12/01/16 (G) 2,775 2,112 9.750%, 12/01/14 150 135 Mosaic (A) 7.625%, 12/01/16 (G) 2,550 2,741 7.375%, 12/01/14 650 695 Mosaic Global Holdings 7.300%, 01/15/28 350 339 Nalco (G) 8.875%, 11/15/13 1,480 1,521 7.750%, 11/15/11 2,075 2,101 Neenah 9.500%, 01/01/17 475 328 NewPage 10.000%, 05/01/12 1,980 2,010 Newark Group 9.750%, 03/15/14 775 620 Noranda Aluminum Acquisition PIK (A) 8.738%, 05/18/08 3,440 2,700 Noranda Aluminum Holdings PIK (A) 10.488%, 05/15/08 1,050 772 Novelis 7.250%, 02/15/15 1,200 1,062 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Owens-Brockway Glass Container 8.250%, 05/15/13 $ 1,295 $ 1,340 6.750%, 12/01/14 990 985 P.H. Glatfelter 7.125%, 05/01/16 1,705 1,675 PNA Group 10.750%, 09/01/16 1,325 1,153 Packaging Dynamics (A) 10.000%, 05/01/16 2,430 1,810 Polyone (G) 8.875%, 05/01/12 3,065 3,096 Reichhold Industries (A) 9.000%, 08/15/14 1,519 1,489 Rock-Tenn 5.625%, 03/15/13 2,200 2,024 Rockwood Specialties Group 7.500%, 11/15/14 1,270 1,232 Solo Cup 8.500%, 02/15/14 1,400 1,183 Solutia (C) 7.375%, 10/15/27 450 -- Steel Dynamics 7.750%, 04/15/16 1,400 1,402 7.375%, 11/01/12 (A) 4,295 4,338 Stone Container 8.375%, 07/01/12 2,240 2,027 8.000%, 03/15/17 (G) 825 693 Terra Capital, Ser B 7.000%, 02/01/17 2,860 2,821 US Steel 6.650%, 06/01/37 150 127 Verso Paper Holdings LLC, Ser B (G) 11.375%, 08/01/16 400 367 Vitro 9.125%, 02/01/17 2,745 2,278 -------------- 103,350 -------------- TELECOMMUNICATION SERVICES -- 8.9% American Tower 7.500%, 05/01/12 125 128 7.125%, 10/15/12 875 895 7.000%, 10/15/17 75 75 Centennial Communications 10.580%, 04/01/08 (D) 100 87 10.125%, 06/15/13 2,320 2,291 8.125%, 02/01/14 (G) 975 921 Cincinnati Bell 7.250%, 07/15/13 2,970 2,918 7.000%, 02/15/15 125 113 - -------------------------------------------------------------------------------- 170 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Citizens Communications 9.750%, 04/01/12 $ 3,714 $ 3,895 9.250%, 05/15/11 1,775 1,837 6.625%, 03/15/15 1,480 1,332 6.250%, 01/15/13 150 136 Cricket Communications I 9.375%, 11/01/14 (A) 1,750 1,658 9.375%, 11/01/14 (G) 4,100 3,885 Digicel Group (A) 9.250%, 09/01/12 2,545 2,526 8.875%, 01/15/15 (G) 2,280 1,904 Digicel Group PIK (A) (G) 0.000%, 01/15/15 2,575 2,124 Embarq 7.082%, 06/01/16 450 426 Fairpoint Communications 13.125%, 04/01/18 3,840 3,686 GCI 7.250%, 02/15/14 1,525 1,258 Hawaiian Telecom Communications, Ser B (G) 9.750%, 05/01/13 700 378 Intelsat 9.000%, 06/15/16 475 479 7.625%, 04/15/12 150 113 6.500%, 11/01/13 3,375 2,194 Intelsat Bermuda 11.250%, 06/15/16 2,315 2,347 9.250%, 06/15/16 578 582 Intelsat Intermediate (B) 0.000%, 02/01/15 2,955 2,512 Intelsat Sub Holding 8.625%, 01/15/15 (G) 1,000 1,008 8.250%, 01/15/13 1,105 1,113 Level 3 Financing 9.250%, 11/01/14 (G) 3,500 2,861 8.750%, 02/15/17 800 608 6.704%, 08/15/08 (D) 125 88 Lucent Technologies 6.450%, 03/15/29 375 268 MetroPCS Wireless 9.250%, 11/01/14 7,565 6,960 Nordic Telephone Holdings (A) (G) 8.875%, 05/01/16 3,270 3,172 Orascom Telecom Finance (A) 7.875%, 02/08/14 2,275 2,110 Paetec Holding 9.500%, 07/15/15 4,945 4,549 Primus Telecommunications (G) 8.000%, 01/15/14 1,650 710 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Qwest 8.875%, 03/15/12 $ 1,475 $ 1,505 7.875%, 09/01/11 300 299 7.625%, 06/15/15 832 811 7.500%, 10/01/14 1,280 1,248 7.250%, 09/15/25 350 305 7.250%, 10/15/35 1,200 990 6.875%, 09/15/33 225 180 6.500%, 06/01/17 75 68 6.050%, 06/15/08 (D) 896 806 Qwest Capital Funding (G) 7.900%, 08/15/10 425 425 Qwest Communications International 7.500%, 02/15/14 550 517 7.250%, 02/15/11 125 120 6.565%, 05/11/08 (D) (G) 2,388 2,364 Qwest Communications International, Ser B 7.500%, 02/15/14 4,020 3,779 Rogers Communications 8.000%, 12/15/12 50 52 Rural Cellular 8.250%, 03/15/12 2,315 2,373 6.076%, 06/04/08 845 845 Securus Technologies (G) 11.000%, 09/01/11 100 72 Syniverse Technologies, Ser B 7.750%, 08/15/13 150 141 Telcordia Technologies (A) (G) 10.000%, 03/15/13 1,200 840 Triton 8.500%, 06/01/13 1,550 1,614 Virgin Media Finance PLC 9.125%, 08/15/16 400 358 8.750%, 04/15/14 2,125 1,907 West 11.000%, 10/15/16 250 211 9.500%, 10/15/14 3,960 3,544 Wind Acquisition Finance (A) (G) 10.750%, 12/01/15 3,925 4,003 Wind Acquisition Holdings 12.449%, 12/21/11 310 272 Windstream 8.625%, 08/01/16 (G) 7,125 7,036 8.125%, 08/01/13 640 629 7.000%, 03/15/19 1,775 1,544 Windstream Regatta Holdings (A) 11.000%, 12/01/17 1,000 610 iPCS (D) 5.364%, 05/01/08 1,335 1,028 iPCS PIK 6.489%, 05/01/14 2,455 1,890 -------------- 106,533 -------------- - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 171 SCHEDULE OF INVESTMENTS (Unaudited) High Yield Bond Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- UTILITIES -- 3.5% AES 9.375%, 09/15/10 $ 650 $ 687 8.875%, 02/15/11 2,325 2,435 8.750%, 05/15/13 533 554 8.000%, 10/15/17 2,825 2,860 7.750%, 03/01/14 150 151 7.750%, 10/15/15 240 242 Calpine Generating (C) 14.320%, 04/01/08 1,600 296 Dynegy Holdings 6.875%, 04/01/11 200 197 Edison Mission Energy 7.500%, 06/15/13 300 308 7.200%, 05/15/19 450 444 7.000%, 05/15/17 4,055 4,035 El Paso (G) 7.875%, 06/15/12 1,445 1,511 Energy Future Holdings (A) 10.875%, 11/01/17 2,535 2,560 Mirant (C) 0.000%, 07/15/07 1,150 2 0.000%, 07/15/09 50 1 Mirant (C) (G) 0.000%, 07/15/04 450 9 Mirant Americas Generation LLC 8.500%, 10/01/21 3,097 2,811 8.300%, 05/01/11 2,305 2,351 Mirant North America LLC 7.375%, 12/31/13 2,820 2,848 NRG Energy 7.375%, 02/01/16 1,815 1,779 7.375%, 01/15/17 6,225 6,054 7.250%, 02/01/14 3,335 3,293 Sierra Pacific Resources 7.803%, 06/15/12 775 814 TXU, Ser P 5.550%, 11/15/14 350 273 TXU, Ser R 6.550%, 11/15/34 150 106 Tenaska Alabama (A) 7.000%, 06/30/21 330 308 Texas Competitive Electic Holdings (A) 10.250%, 11/01/15 5,270 5,251 -------------- 42,180 -------------- Total Corporate Obligations (Cost $1,068,887) ($ Thousands) 972,505 -------------- - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- LOAN PARTICIPATIONS -- 8.5% FINANCIALS -- 8.5% Advanstar Communications, 2nd Lien 10.320%, 11/30/14 $ 1,250 $ 875 Aeroflex 8.119%, 07/29/14 648 577 Affinion Holding 11.678%, 03/01/12 900 711 Affinion Holding PIK 11.678%, 01/24/12 3,000 2,370 11.678%, 03/01/12 800 632 Alliant Insurance Services, Ser B 9.400%, 11/15/14 1,247 1,085 Allison Transmission 7.430%, 08/07/14 2,480 2,174 Alltel Holdings 7.778%, 05/31/15 2,065 1,864 Ameritrade Holding 4.770%, 12/31/12 850 803 Ameritrade Holding, Term Loan B 4.770%, 12/31/12 662 626 Ameritrade Holding, Term Loan B, Lot 6 4.770%, 12/31/12 2,150 2,032 Asurion 8.320%, 07/02/14 1,000 840 Asurion, 2nd Lien 12.036%, 07/02/15 500 421 0.000%, 07/07/15 (J) 528 444 0.000%, 07/07/15 (J) 722 608 0.000%, 07/07/15 (J) 211 178 0.000%, 07/07/15 (J) 39 33 BOC Edwards 10.831%, 05/31/14 175 98 7.081%, 05/31/14 150 100 Boise Paper 12.500%, 02/22/15 800 758 Boston Generating 0.000%, 06/19/14 492 433 Boston Generating, 1st Lien 12.198%, 12/21/16 175 161 Boston Generating, 2nd Lien 9.080%, 06/21/14 700 616 CCFC 11.310%, 08/26/09 2,058 2,057 Cebridge 11.370%, 05/05/14 1,890 1,075 Cebridge PIK 11.380%, 05/05/14 829 645 - -------------------------------------------------------------------------------- 172 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Central Parking 7.250%, 05/22/14 $ 1,120 $ 997 0.000%, 05/22/14 569 508 0.000%, 05/22/14 566 506 Central Parking (Synthetic) 0.000%, 05/22/14 307 273 Central Parking LOC (Synthetic) 7.500%, 05/22/14 360 321 Central Parking Synthetic LOC (Synthetic) 7.500%, 05/22/14 179 160 Century Cable 10.250%, 06/30/09 3 -- Charter, 3rd Lien 7.850%, 03/01/14 500 376 7.343%, 09/06/14 350 263 Claire's Stores 8.110%, 05/07/14 2 1 Community Health Systems 7.756%, 07/02/14 43 40 0.000%, 07/02/14 29 27 0.000%, 07/02/14 15 14 0.000%, 07/13/14 (I) 124 -- 0.000%, 07/25/14 79 73 Cooper Standard 7.875%, 12/23/11 2,216 1,987 Dae Aviation Holdings 8.970%, 07/31/14 1,346 1,276 0.000%, 07/31/09 669 659 0.000%, 07/31/09 84 82 0.000%, 07/31/09 84 82 0.000%, 07/31/09 84 82 0.000%, 07/31/09 251 247 0.000%, 07/31/09 167 165 Dae Aviation Holdings, Term Loan B (J) 0.000%, 07/31/14 95 91 0.000%, 07/31/14 95 91 0.000%, 07/31/14 95 91 0.000%, 07/31/14 95 91 Dae Aviation Holdings, Term Loan B 2 (J) 0.000%, 07/31/14 72 69 0.000%, 07/31/14 72 69 0.000%, 07/31/14 72 69 0.000%, 07/31/14 72 69 Delta, 2nd Lien 8.082%, 04/30/14 224 176 Dresser Rand, 1st Lien 7.860%, 05/04/14 470 424 Dresser Rand, 2nd Lien 11.129%, 05/04/15 2,195 1,950 11.110%, 05/04/15 950 844 Entegra PIK 11.340%, 04/04/15 250 208 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Entegra PIK, 3rd Lien 11.340%, 04/19/15 $ 1,668 $ 1,384 Enterprise Group Holdings 6.793%, 05/05/08 1,500 1,474 5.443%, 05/05/08 300 295 Enterprise Group Holdings, Lot 3 7.494%, 05/05/08 100 98 First Data 7.960%, 09/24/14 1,025 921 7.634%, 09/24/14 2,531 2,274 7.580%, 09/24/14 188 169 Ford, 1st Lien 8.000%, 12/12/13 822 673 Georgia Pacific 7.340%, 02/14/13 375 348 Georgia Pacific, Ser B 7.485%, 02/14/13 991 919 Green Valley Ranch Gaming, 2nd Lien 8.791%, 08/06/14 2,000 1,538 Hexion Specialty Chemicals, Term Loan C1 7.000%, 05/05/13 2,525 2,346 Hexion Specialty Chemicals, Term Loan C2 7.125%, 05/05/13 473 440 Iasis Healthcare 10.610%, 06/15/14 2,165 1,711 Infor Global Solutions 11.610%, 03/02/14 475 344 0.000%, 07/28/12 (J) 491 432 0.000%, 07/28/12 (J) 257 226 0.000%, 07/28/12 (J) 655 575 0.000%, 03/02/14 570 413 0.000%, 03/02/14 276 200 0.000%, 03/02/14 329 239 Infor Global Solutions, Delayed Draw 8.950%, 07/28/12 342 300 Intel 8.500%, 01/15/13 1,200 1,092 Intelsat Bermuda 5.611%, 02/02/14 1,325 1,317 Invernell (IM US) Holdings LLC, 2nd Lien 0.000%, 06/26/15 1,000 858 JG Wentworth, 1st Lein 7.093%, 04/04/14 1,019 716 KAR Holding 7.570%, 04/20/14 1,225 1,072 Language Line, Term Loan B 6.520%, 05/14/11 2,000 1,830 McKechnie Aerospace 10.340%, 05/11/15 700 557 7.340%, 05/11/14 225 192 - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 173 SCHEDULE OF INVESTMENTS (Unaudited) High Yield Bond Fund (Continued) March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- McKechnie Aerospace, 1st Lien 7.360%, 05/11/14 $ 325 $ 278 Metroflag, 2nd Lien 13.023%, 07/06/08 300 273 Murray 13.875%, 01/31/11 2,027 1,925 NRG Holdings LOC 6.480%, 02/01/13 301 283 NRG Holdings Term Loan B 6.580%, 06/02/13 653 613 New World Gaming 11.750%, 06/18/14 1,225 1,047 Nielsen Finance LLC 8.190%, 08/09/13 744 669 Orbitz Worldwide 7.838%, 07/01/14 3,242 2,723 Penhall 12.824%, 03/28/12 665 585 Pinnacle Foods 7.593%, 04/02/14 848 738 Proquest 8.328%, 02/09/14 765 700 Proquest Term Loan 7.167%, 02/09/14 530 485 0.000%, 02/09/14 160 146 Proquest, 2nd Lien 10.441%, 02/09/16 1,200 1,122 Resolute Aneth LLC, 2nd Lien 7.810%, 06/27/13 1,500 1,335 Rexnord 12.360%, 02/20/13 2,208 2,009 Reynolds & Reynolds, 3rd Lien 12.860%, 04/01/14 1,300 1,183 12.860%, 04/24/14 500 455 12.698%, 04/01/14 800 728 12.343%, 04/01/14 1,700 1,547 0.000%, 04/24/14 700 637 Sandridge 8.625%, 04/01/15 1,050 1,034 Simmons Holdco 10.650%, 02/15/12 1,500 937 10.648%, 02/15/12 1,145 716 Soren, 2nd Lien 0.000%, 02/16/14 600 576 Sorenson Communications, 2nd Lien 12.500%, 02/16/14 2,500 2,400 Surgical Care Affiliates 7.570%, 12/29/14 1,500 1,230 TPF Generation Holdings LLC 9.620%, 12/15/14 1,750 1,447 Texas Competitive Electric 0.000%, 10/10/14 4,591 4,156 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Texas Competitive Electric 8.622%, 10/10/14 $ 505 $ 457 8.396%, 10/10/14 4 3 8.396%, 10/27/14 450 408 Town Sports International 7.500%, 08/27/13 249 204 Tropicana Entertainment 7.850%, 12/31/11 1,465 1,391 Univision Communications 7.570%, 03/15/14 940 738 7.210%, 09/15/14 94 74 7.210%, 09/29/14 268 211 7.072%, 09/29/14 3 2 5.491%, 09/15/14 881 692 0.000%, 03/15/14 (I) 60 13 0.000%, 09/15/14 (I) 86 18 Univision Communications, B 0.000%, 09/29/14 134 105 0.000%, 09/29/14 537 422 Univision Communications, Delayed Draw 7.095%, 09/29/14 11 8 0.000%, 09/29/14 27 21 0.000%, 09/29/14 3 3 Venoco 9.125%, 05/07/14 375 326 Verint Systems 5.989%, 05/09/14 1,877 1,595 WideOpenWest Finance LLC, 2nd Lien 11.610%, 06/18/15 1,000 700 Wind Acquisition Holdings 12.609%, 12/12/11 2,697 2,369 11.201%, 12/21/11 820 722 -------------- Total Loan Participations (Cost $109,299) ($ Thousands) 102,009 -------------- ASSET-BACKED SECURITIES -- 5.7% OTHER ASSET-BACKED SECURITIES -- 5.7% Ares CLO, Ser 2006-5RA, Cl SUB (A) 0.000%, 02/24/18 7,000 3,640 Ares CLO, Ser 2007-11A, Cl SUB 0.000%, 10/11/21 2 1,512 Ares CLO, Ser 2007-3RA, Cl SUB 0.000%, 04/16/21 3,800 2,318 Babson CLO, Ser 2004-2A, Cl SUB 0.000%, 17 782 Babson CLO, Ser 2007-2A, Cl D 5.958%, 04/15/08 900 524 Babson CLO, Ser 2007-2A, Cl INC 0.000%, 04/15/21 2,500 1,535 - -------------------------------------------------------------------------------- 174 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Battalion CLO, Ser 2007-1A, Cl E 8.627%, 07/14/22 $ 2,300 $ 1,173 Battalion CLO, Ser 2007-1A, Cl SUB 0.000%, 07/14/22 18 1,032 CIFC Funding, Ser 2007-2A, Cl SUB 0.000%, 04/15/21 2,700 1,728 CIFC Funding, Ser 2007-3A, Cl B (D) 4.494%, 04/28/08 2,500 1,600 Capitalsource Advisors, Ser 2006-1A, Cl SUB (A) 0.000%, 08/27/20 3,200 1,728 Carlyle High Yield Partners CLO, Ser 2006-8A, Cl N 0.000%, 05/21/21 3,700 1,776 Connecticut Valley Structured Credit, Ser 2006-3A, Cl NOTE (A) 0.000%, 03/23/03 2,200 660 Copper River, Ser 2006-1A, Cl INC 0.000%, 01/20/21 3,000 2,054 De Meer Middle Market, Ser 2006-1A, Cl INC 0.000%, 10/20/18 3,419 2,178 Denali Capital VII, Ser 2007-1A, Cl INC 10.780%, 01/22/22 2,200 1,811 Duane Street CLO, Ser 2007-5A, Cl SN 0.000%, 10/14/21 3,300 2,475 Gale Force CLO, Ser 2007-4A, Cl E (D) 9.470%, 04/01/08 1,100 708 Gale Force CLO, Ser 2007-4A, Cl INC (D) 0.000%, 04/01/08 15 1,045 Gleneagles CLO, Ser AI (D)* 12.940%, 11/01/17 6,500 4,635 Golden Tree Loan Opportunities III, Ser 2007-3A, Cl SUB 0.000%, 05/01/22 3,400 2,040 ING Investment Management I CLO (A) (D)* 0.000%, 12/01/17 12,500 6,875 ING Investment Management II CLO (A) (D)* 11.120%, 08/01/20 5,600 3,136 Lightpoint CLO, Ser 2006-4A, Cl IN (A) 0.000%, 04/15/18 2,500 1,027 Marathon CLO, Ser 2005-2A, Cl INC 11.520%, 12/20/19 3,000 1,959 Marlborough Street CLO, Ser 2007-1A, Cl INC 0.000%, 04/15/19 2,400 1,437 - -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)/Shares ($ Thousands) - -------------------------------------------------------------------------------- Peritus I CDO (A) (E) 9.000%, 05/24/15 $ 3,750 $ 562 Peritus I CDO, Ser 2005-1A, Cl C (A) (E) 9.000%, 05/24/15 13,402 9,448 Sands Point Funding, Ser 2006-1A, Cl C (D) 4.751%, 04/18/08 640 406 Stanfield Bristol, Ser 2005-1A, Cl SUB (A) 0.000%, 10/15/19 6,300 3,213 Stanfield Veyron CLO, Ser 2006-1A, Cl SUB 9.060%, 07/15/18 2,300 1,449 Tralee CDO, Ser 2007-1A, Cl SUB 0.000%, 04/16/22 2,700 1,593 -------------- Total Asset-Backed Securities (Cost $98,474) ($ Thousands) 68,059 -------------- CONVERTIBLE BONDS -- 0.1% Adelphia Recovery Trust, Ser ACC-1 (Escrow Security) 0.000%, 02/15/04 395 -- Flextronics CV to 64.4122 1.000%, 08/01/10 1,265 1,208 Freeport McKennen CV to 1.3605 0.000%, 4 597 Mirant CV to 14.7167 (C) (G) 2.500%, 06/15/21 2,200 5 -------------- Total Convertible Bonds (Cost $1,896) ($ Thousands) 1,810 -------------- COMMON STOCK -- 0.3% Armstrong World Industries* 6,237 222 Core-Mark Holding (G)* 13,788 396 Dana Holding (G)* 53,322 533 Delta Air Lines (G)* 2,780 24 Federal Mogul, Cl A (G)* 38,359 759 Huntsman 8,061 190 Mirant (G)* 4,276 156 Northwest Airlines* 4,956 45 Owens Corning (G)* 28,933 525 Portland General Electric 520 12 Shreveport Gaming Holdings* 13,948 279 Time Warner Cable, Cl A* 4,255 106 UAL (G) 3,269 70 Winn-Dixie Stores* 8,445 152 -------------- Total Common Stock (Cost $4,207) ($ Thousands) 3,469 -------------- - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 175 SCHEDULE OF INVESTMENTS (Unaudited) High Yield Bond Fund (Concluded) March 31, 2008 - -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) - -------------------------------------------------------------------------------- PREFERRED STOCK -- 0.8% CIFC Funding, Ser 2006-I (A) (D) 2,300,000 $ 1,846 CIFC Funding, Ser 2006-II (A) (D)* 3,000,000 2,198 CIFC Funding, Ser 2007-IV* 1,000,000 917 Dana, Ser B* 547,800 520 Rockwall Investors (A) (D)* 4,000,000 2,512 Rural Cellular PIK* 374 492 White Horse II* 30,000 966 -------------- Total Preferred Stock (Cost $11,005) ($ Thousands) 9,451 -------------- Number of Warrants --------- WARRANTS -- 0.0% Grande Communications, Expires 04/01/11* 850 8 -------------- Total Warrants (Cost $8) ($ Thousands) 8 -------------- CASH EQUIVALENTS -- 15.9% SEI Daily Income Trust, Prime Obligation Fund, Cl A 3.190%**++ 25,494,635 25,495 SEI Liquidity Fund L.P. 3.200% (F) 164,298,552 164,299 -------------- Total Cash Equivalents (Cost $189,794) ($ Thousands) 189,794 -------------- Total Investments -- 112.5% (Cost $1,483,570) ($ Thousands) $ 1,347,105 ============== - -------------------------------------------------------------------------------- Description - -------------------------------------------------------------------------------- Percentages are based on Net Assets of $1,197,148 ($ Thousands). * Non-Income Producing Security ** Rate shown is the 7-day effective yield as of March 31, 2008. + Real Estate Investment Trust. ++ Investment in Affiliated Security (see Note 3). (A) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (B) Step Bonds -- The rate reflected on the Schedule of Investments is the effective yield on March 31, 2008. The coupon on a step bond changes on a specified date. (C) Security in default on interest payments. (D) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2008. The date reported on the Schedule of Investments is the next reset date. (E) Securities considered illiquid. The total value of such securities as of March 31, 2008 was $10,010 ($ Thousands) and represented 0.83% of Net Assets. (F) This security was purchased with cash collateral held from securities on loan (see Note 7). The total value of such securities as of March 31, 2008 was $167,364 ($ Thousands). (G) This security or a partial position of this security is on loan at March 31, 2008 (see Note 7). The total value of securities on loan at March 31, 2008 was $155,243 ($ Thousands). (H) This security is being held in lieu of possible future payments for a default resolution. (I) Unfunded bank loan. Interest rate is not available. (J) Unsettled bank loan. Interest rate is unavailable. CDO -- Collateralized Debt Obligation Cl -- Class CLO -- Collateralized Loan Obligation CV -- Convertible Security GMAC -- General Motors Acceptance Corporation LLC -- Limited Liability Company L.P. -- Limited Partnership MTN -- Medium Term Note PCS -- Personal Communications Service PIK -- Payment-in-Kind PLC -- Public Limited Company Ser -- Series Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 176 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 This page intentionally left blank. Statements of Assets and Liabilities ($ Thousands) March 31, 2008 (Unaudited)
- ------------------------------------------------------------------------------------------------------------------------------------ LARGE CAP LARGE CAP TAX-MANAGED VALUE FUND GROWTH FUND LARGE CAP FUND - ------------------------------------------------------------------------------------------------------------------------------------ ASSETS: Investments at value+ $ 2,874,618* $ 2,954,657* $ 2,453,187* Affiliated investment, at value++ 522,608 550,792 466,836 Cash -- -- 907 Restricted Cash held for Securities Sold Short -- -- -- Receivable for investment securities sold 1,290 18,010 6,923 Receivable for fund shares sold 1,169 1,441 1,096 Dividends and interest receivable 4,926 2,906 3,323 Receivable for variation margin 172 235 48,542 Swap contracts, at value+++++ -- -- -- Prepaid Expenses 35 50 22 - ------------------------------------------------------------------------------------------------------------------------------------ Total Assets 3,404,818 3,528,091 2,980,836 - ------------------------------------------------------------------------------------------------------------------------------------ LIABILITIES: Payable upon return on securities loaned 481,743 487,613 418,161 Payable for securities sold short++++ -- -- -- Payable for investment securities purchased -- 16,342 7,967 Payable for fund shares redeemed 3,905 3,916 1,727 Payable to custodian 525 681 -- Payable for variation margin 6 7 48,331 Margin Call -- -- -- Administration fees payable 869 895 741 Investment advisory fees payable 711 873 667 Shareholder servicing fees payable A 571 478 448 Shareholder servicing fees payable I 3 2 -- Shareholder servicing fees payable Y -- -- 1 Chief Compliance Officer fees payable 9 7 7 Overdraft of foreign currency, at value+++ -- -- -- Administration servicing fees payable Class I 2 2 -- Accrued expense payable 249 210 190 - ------------------------------------------------------------------------------------------------------------------------------------ Total Liabilites 488,593 511,026 478,240 - ------------------------------------------------------------------------------------------------------------------------------------ Net Assets $ 2,916,225 $ 3,017,065 $ 2,502,596 - ------------------------------------------------------------------------------------------------------------------------------------ + Cost of investments 2,694,259 2,591,595 2,102,361 ++ Cost of affiliated investments 522,608 550,792 466,836 +++ Cost of foreign currency -- -- -- ++++ Proceeds from securities sold short -- -- -- +++++ Premiums received/paid -- -- -- * Includes market value of securities on loan 470,173 480,414 409,914 NET ASSETS: Paid-in Capital -- (unlimited authorization -- no par value) $ 2,751,766 $ 3,746,920 $ 2,473,934 Undistributed (distribution in excess of) net investment income 946 29 (40) Accumulated net realized gain (loss) on investments, securities sold short, option contracts, futures, swaps and foreign currency (18,459) (1,095,838) (324,118) Net unrealized appreciation (depreciation) on investments, securities sold short, and option contracts 180,359 363,062 350,826 Net unrealized appreciation on futures contracts 1,613 2,892 1,994 Net unrealized appreciation on swaps -- -- -- Net unrealized depreciation on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies -- -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Net Assets $ 2,916,225 $ 3,017,065 $ 2,502,596 - ------------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Offering and Redemption Price Per Share -- Class A $18.08 $21.05 $12.67 ($2,902,979,541 / ($3,007,236,950 / ($2,498,698,984 / 160,590,519 shares) 142,841,795 shares) 197,268,853 shares) - ------------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Offering and Redemption Price Per Share -- Class E N/A N/A N/A - ------------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Offering and Redemption Price Per Share -- Class I $18.07 $0.84 N/A ($13,245,308 / ($9,827,587 / 732,880 shares) 471,526 shares) - ------------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Offering and Redemption Price Per Share -- Class Y N/A N/A $12.83 ($3,896,902 / 303,743 shares) - ------------------------------------------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 178 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- ------------------------------------------------------------------------------------------------------------------------------------ LARGE CAP DIVERSIFIED S&P 500 SMALL CAP ALPHA FUND INDEX FUND VALUE FUND - ------------------------------------------------------------------------------------------------------------------------------------ ASSETS: Investments at value+ $ 1,641,071 $ 1,403,345* $ 925,684* Affiliated investment, at value++ 116,068 242,485 355,249 Cash -- 12 336 Restricted Cash held for Securities Sold Short 412 -- -- Receivable for investment securities sold 9,198 889 5,054 Receivable for fund shares sold 1,918 5,535 322 Dividends and interest receivable 2,301 2,031 1,365 Receivable for variation margin 1,121 107 161 Swap contracts, at value+++++ 4,054 -- -- Prepaid Expenses 14 16 29 - ------------------------------------------------------------------------------------------------------------------------------------ Total Assets 1,776,157 1,654,420 1,288,200 - ------------------------------------------------------------------------------------------------------------------------------------ LIABILITIES: Payable upon return on securities loaned -- 223,436 330,776 Payable for securities sold short++++ 217,247 -- -- Payable for investment securities purchased 87,224 904 7,256 Payable for fund shares redeemed 727 3,793 1,033 Payable to custodian 1,603 -- -- Payable for variation margin 207 -- 2 Margin Call 2,180 -- -- Administration fees payable 434 235 278 Investment advisory fees payable 491 36 517 Shareholder servicing fees payable A 223 76 117 Shareholder servicing fees payable I -- 1 2 Shareholder servicing fees payable Y -- -- -- Chief Compliance Officer fees payable 4 11 3 Overdraft of foreign currency, at value+++ 18 -- -- Administration servicing fees payable Class I -- 2 2 Accrued expense payable 112 146 51 - ------------------------------------------------------------------------------------------------------------------------------------ Total Liabilites 310,470 228,640 340,037 - ------------------------------------------------------------------------------------------------------------------------------------ Net Assets $ 1,465,687 $ 1,425,780 $ 948,163 - ------------------------------------------------------------------------------------------------------------------------------------ + Cost of investments 1,698,397 710,383 933,976 ++ Cost of affiliated investments 116,068 242,485 355,249 +++ Cost of foreign currency 17 -- -- ++++ Proceeds from securities sold short 241,393 -- -- +++++ Premiums received/paid (303) -- -- * Includes market value of securities on loan -- 218,822 321,275 NET ASSETS: Paid-in Capital -- (unlimited authorization -- no par value) $ 1,603,614 $ 720,041 $ 994,135 Undistributed (distribution in excess of) net investment income (276) 359 569 Accumulated net realized gain (loss) on investments, securities sold short, option contracts, futures, swaps and foreign currency (113,418) 12,223 (38,837) Net unrealized appreciation (depreciation) on investments, securities sold short, and option contracts (33,180) 692,962 (8,292) Net unrealized appreciation on futures contracts 4,640 195 588 Net unrealized appreciation on swaps 4,357 -- -- Net unrealized depreciation on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies (50) -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Net Assets $ 1,465,687 $ 1,425,780 $ 948,163 - ------------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Offering and Redemption Price Per Share -- Class A $9.55 $36.67 $15.91 ($1,465,246,499 / ($541,397,466 / ($939,327,053 / 153,488,909 shares) 14,763,387 shares) 59,051,549 shares) - ------------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Offering and Redemption Price Per Share -- Class E N/A $36.78 N/A ($877,273,403 / 23,850,578 shares) - ------------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Offering and Redemption Price Per Share -- Class I $9.55 $36.73 $15.81 ($440,801 / ($7,108,780 / ($8,836,222 / 46,161 shares) 193,548 shares) 558,756 shares) - ------------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Offering and Redemption Price Per Share -- Class Y N/A N/A N/A - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ SMALL CAP TAX-MANAGED GROWTH FUND SMALL CAP FUND - ------------------------------------------------------------------------------------------------------------------------------------ ASSETS: Investments at value+ $ 813,154* $ 342,569* Affiliated investment, at value++ 315,315 127,083 Cash 614 -- Restricted Cash held for Securities Sold Short -- -- Receivable for investment securities sold 5,828 1,557 Receivable for fund shares sold 273 287 Dividends and interest receivable 456 370 Receivable for variation margin 39 71 Swap contracts, at value+++++ -- -- Prepaid Expenses 19 6 - ------------------------------------------------------------------------------------------------------------------------------------ Total Assets 1,135,698 471,943 - ------------------------------------------------------------------------------------------------------------------------------------ LIABILITIES: Payable upon return on securities loaned 308,669 119,509 Payable for securities sold short++++ -- -- Payable for investment securities purchased 7,563 2,051 Payable for fund shares redeemed 1,462 360 Payable to custodian -- 560 Payable for variation margin 2 -- Margin Call -- -- Administration fees payable 243 103 Investment advisory fees payable 448 150 Shareholder servicing fees payable A 72 74 Shareholder servicing fees payable I 1 -- Shareholder servicing fees payable Y -- -- Chief Compliance Officer fees payable 3 1 Overdraft of foreign currency, at value+++ 284 -- Administration servicing fees payable Class I 1 -- Accrued expense payable 82 27 - ------------------------------------------------------------------------------------------------------------------------------------ Total Liabilites 318,830 122,835 - ------------------------------------------------------------------------------------------------------------------------------------ Net Assets $ 816,868 $ 349,108 - ------------------------------------------------------------------------------------------------------------------------------------ + Cost of investments 881,359 334,493 ++ Cost of affiliated investments 315,315 127,083 +++ Cost of foreign currency 285 -- ++++ Proceeds from securities sold short -- -- +++++ Premiums received/paid -- -- * Includes market value of securities on loan 294,976 116,949 NET ASSETS: Paid-in Capital -- (unlimited authorization -- no par value) $ 951,429 $ 355,360 Undistributed (distribution in excess of) net investment income (2,218) 33 Accumulated net realized gain (loss) on investments, securities sold short, option contracts, futures, swaps and foreign currency (64,314) (14,613) Net unrealized appreciation (depreciation) on investments, securities sold short, and option contracts (68,205) 8,076 Net unrealized appreciation on futures contracts 176 252 Net unrealized appreciation on swaps -- -- Net unrealized depreciation on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Net Assets $ 816,868 $ 349,108 - ------------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Offering and Redemption Price Per Share -- Class A $15.89 $11.07 ($812,458,430 / ($349,107,802 / 51,118,429 shares) 31,533,281 shares - ------------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Offering and Redemption Price Per Share -- Class E N/A N/A - ------------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Offering and Redemption Price Per Share -- Class I $15.61 N/A ($4,409,346 / 282,469 shares) - ------------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Offering and Redemption Price Per Share -- Class Y N/A N/A - ------------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 179 Statements of Assets and Liabilities ($ Thousands) March 31, 2008 (Unaudited)
- ------------------------------------------------------------------------------------------------------------------------------------ SMALL/MID CAP MID-CAP U.S. MANAGED DIVERSIFIED ALPHA FUND FUND VOLATILITY FUND - ------------------------------------------------------------------------------------------------------------------------------------ ASSETS: Investments at value+ $ 130,586 $ 162,565* $ 469,812 Affiliated investment, at value++ 8,797 24,565 23,847 Repurchase agreement+ -- -- -- Cash -- 10 33 Foreign currency, at value+++ -- -- -- Cash collateral on futures -- -- -- Cash collateral on swaps -- -- -- Restricted Cash held for Securities Sold Short 284 -- -- Receivable for investment securities sold 6,087 -- -- Receivable for fund shares sold 203 147 266 Dividends and interest receivable 190 215 663 Receivable for variation margin 199 23 39 Swap contracts, at value+++++ 997 -- -- Receivable for shareholder services fee -- -- -- Unrealized gain on forward foreign currency contracts -- -- -- Prepaid Expenses 1 3 5 - ------------------------------------------------------------------------------------------------------------------------------------ Total Assets 147,344 187,528 494,665 - ------------------------------------------------------------------------------------------------------------------------------------ LIABILITIES: Payable upon return on securities loaned -- 21,989 -- Payable for securities sold short++++ 7,077 -- -- Payable for investment securities purchased 18,828 -- -- Payable for fund shares redeemed 91 228 264 Payable to custodian 539 -- -- Payable for variation margin 28 -- -- Margin Call 630 -- -- Administration fees payable 35 49 147 Investment advisory fees payable 61 58 168 Shareholder servicing fees payable A 20 33 97 Shareholder servicing fees payable I -- -- -- Chief Compliance Officer fees payable -- -- 2 Overdraft of foreign currency, at value+++ 61 -- -- Administration servicing fees payable Class I -- -- -- Income distribution payable -- -- -- Swap contracts, at value+++++ 32 -- -- Options written, at value # -- -- -- Swaptions, written, at value++ -- -- -- Unrealized loss on forward foreign currency contracts -- -- -- Accrued expense payable 16 13 33 - ------------------------------------------------------------------------------------------------------------------------------------ Total Liabilites 27,418 22,370 711 - ------------------------------------------------------------------------------------------------------------------------------------ Net Assets $ 119,926 $ 165,158 $ 493,954 - ------------------------------------------------------------------------------------------------------------------------------------ + Cost of investments and repurchase agreements 141,839 172,481 486,080 ++ Cost of affiliated investments 8,797 24,565 23,847 +++ Cost of foreign currency 61 -- -- ++++ Proceeds from securities sold short 8,395 -- -- +++++ Premiums received/paid 486 -- -- # Premiums received -- -- -- ++ Premiums received -- -- -- * Includes market value of securities on loan -- 21,464 -- NET ASSETS: Paid-in Capital -- (unlimited authorization -- no par value) $ 148,587 $ 184,251 $ 510,222 Undistributed (distributions in excess) net investment income (420) (99) 68 Accumulated net realized loss on investments, securities sold short option contracts, futures, swaps, swaptions and foreign currency (19,379) (9,098) (13) Net unrealized appreciation (depreciation) on investments, securities sold short and option contracts (9,935) (9,916) (16,268) Net unrealized appreciation (depreciation) on futures contracts 594 20 (55) Net unrealized appreciation (depreciation) on swaps 479 -- -- Net unrealized depreciation on swaptions -- -- -- Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies -- -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Net Assets $ 119,926 $ 165,158 $ 493,954 - ------------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Offering and Redemption Price Per Share -- Class A $8.09 $17.26 $11.57 ($119,903,516 / ($165,114,083 / ($493,952,502 / 14,820,525 shares) 9,568,799 shares) 42,687,502 shares) - ------------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Offering and Redemption Price Per Share -- Class I $8.09 $17.26 $11.57 ($22,869 / ($43,838 / ($1,349 / 2,826 Shares) 2,540 shares) 117 shares) - ------------------------------------------------------------------------------------------------------------------------------------
Amounts designated as "--" are $0 or have been rounded to $0. (1) The Tax-Managed Managed Volatility Fund commenced operations on December 20, 2007. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 180 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- ------------------------------------------------------------------------------------------------------------------------------------ GLOBAL MANAGED TAX-MANAGED MANAGED REAL ESTATE VOLATILITY FUND VOLATILITY FUND(1) FUND - ------------------------------------------------------------------------------------------------------------------------------------ ASSETS: Investments at value+ $ 229,624 $ 60,793 $ 241,253* Affiliated investment, at value++ -- 3,600 118,120 Repurchase agreement+ -- -- -- Cash -- 170 -- Foreign currency, at value+++ 3,032 -- -- Cash collateral on futures -- -- -- Cash collateral on swaps -- -- -- Restricted Cash held for Securities Sold Short -- -- -- Receivable for investment securities sold -- -- 3,463 Receivable for fund shares sold 547 162 1,328 Dividends and interest receivable 1,008 99 1,107 Receivable for variation margin 4 15 -- Swap contracts, at value+++++ -- -- -- Receivable for shareholder services fee -- -- -- Unrealized gain on forward foreign currency contracts 470 -- -- Prepaid Expenses 2 -- 2 - ------------------------------------------------------------------------------------------------------------------------------------ Total Assets 234,687 64,839 365,273 - ------------------------------------------------------------------------------------------------------------------------------------ LIABILITIES: Payable upon return on securities loaned -- -- 112,869 Payable for securities sold short++++ -- -- -- Payable for investment securities purchased -- -- -- Payable for fund shares redeemed 299 162 5,035 Payable to custodian 1,824 -- 10 Payable for variation margin 22 -- -- Margin Call -- -- -- Administration fees payable 68 19 73 Investment advisory fees payable 81 20 129 Shareholder servicing fees payable A 49 13 39 Shareholder servicing fees payable I -- -- -- Chief Compliance Officer fees payable 1 -- 1 Overdraft of foreign currency, at value+++ -- -- -- Administration servicing fees payable Class I -- -- -- Income distribution payable -- -- -- Swap contracts, at value+++++ -- -- -- Options written, at value # -- -- -- Swaptions, written, at value++ -- -- -- Unrealized loss on forward foreign currency contracts 225 -- -- Accrued expense payable 44 2 20 - ------------------------------------------------------------------------------------------------------------------------------------ Total Liabilites 2,613 216 118,176 - ------------------------------------------------------------------------------------------------------------------------------------ Net Assets $ 232,074 $ 64,623 $ 247,097 - ------------------------------------------------------------------------------------------------------------------------------------ + Cost of investments and repurchase agreements 231,287 63,631 234,965 ++ Cost of affiliated investments -- 3,600 118,120 +++ Cost of foreign currency -- -- -- ++++ Proceeds from securities sold short -- -- -- +++++ Premiums received/paid -- -- -- # Premiums received -- -- -- ++ Premiums received -- -- -- * Includes market value of securities on loan -- -- 110,373 NET ASSETS: Paid-in Capital -- (unlimited authorization -- no par value) $ 261,577 $ 68,346 $ 250,734 Undistributed (distributions in excess) net investment income (7,065) 6 (378) Accumulated net realized loss on investments, securities sold short option contracts, futures, swaps, swaptions and foreign currency (21,056) (937) (9,549) Net unrealized appreciation (depreciation) on investments, securities sold short and option contracts (1,663) (2,838) 6,288 Net unrealized appreciation (depreciation) on futures contracts 12 46 -- Net unrealized appreciation (depreciation) on swaps -- -- -- Net unrealized depreciation on swaptions -- -- -- Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies 269 -- 2 - ------------------------------------------------------------------------------------------------------------------------------------ Net Assets $ 232,074 $ 64,623 $ 247,097 - ------------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Offering and Redemption Price Per Share -- Class A $9.47 $9.22 $14.87 ($232,064,295 / ($64,622,969 / ($247,080,206 / 24,499,042 shares) 7,009,295 shares) 16,617,998 shares) - ------------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Offering and Redemption Price Per Share -- Class I $9.44 N/A $14.87 ($9,684 / ($16,506 / 1,026 shares) 1,110 share) - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ ENHANCED CORE FIXED HIGH YIELD INCOME FUND INCOME FUND BOND FUND - ------------------------------------------------------------------------------------------------------------------------------------ ASSETS: Investments at value+ $ 354,997 $ 4,834,953* $ 1,157,311* Affiliated investment, at value++ 10,100 482,679 189,794 Repurchase agreement+ 2,900 117,400 -- Cash -- 2,214 -- Foreign currency, at value+++ -- 9 -- Cash collateral on futures 700 -- -- Cash collateral on swaps 211 -- -- Restricted Cash held for Securities Sold Short -- -- -- Receivable for investment securities sold 13,835 343,952 11,648 Receivable for fund shares sold 135 2,395 501 Dividends and interest receivable 5,634 32,900 29,731 Receivable for variation margin 14 1,489 -- Swap contracts, at value+++++ 30 -- -- Receivable for shareholder services fee 99 -- -- Unrealized gain on forward foreign currency contracts 10,891 1,264 -- Prepaid Expenses 5 52 -- - ------------------------------------------------------------------------------------------------------------------------------------ Total Assets 399,551 5,819,307 1,388,985 - ------------------------------------------------------------------------------------------------------------------------------------ LIABILITIES: Payable upon return on securities loaned -- 343,590 167,364 Payable for securities sold short++++ -- -- -- Payable for investment securities purchased 879 1,057,602 12,805 Payable for fund shares redeemed 409 5,216 1,802 Payable to custodian 7,558 -- 8,462 Payable for variation margin 51 606 -- Margin Call -- 5,220 -- Administration fees payable 55 1,038 355 Investment advisory fees payable 243 977 429 Shareholder servicing fees payable A -- 338 78 Shareholder servicing fees payable I -- 2 -- Chief Compliance Officer fees payable 1 -- 3 Overdraft of foreign currency, at value+++ -- -- -- Administration servicing fees payable Class I -- 2 -- Income distribution payable -- 998 488 Swap contracts, at value+++++ -- 35,237 -- Options written, at value # -- 1,365 -- Swaptions, written, at value++ -- 2,362 -- Unrealized loss on forward foreign currency contracts 12,870 2,295 -- Accrued expense payable 44 424 51 - ------------------------------------------------------------------------------------------------------------------------------------ Total Liabilites 22,110 1,457,272 191,837 - ------------------------------------------------------------------------------------------------------------------------------------ Net Assets $ 377,441 $ 4,362,035 $ 1,197,148 - ------------------------------------------------------------------------------------------------------------------------------------ + Cost of investments and repurchase agreements 411,006 5,040,102 1,293,776 ++ Cost of affiliated investments 10,100 482,679 189,794 +++ Cost of foreign currency -- 9 -- ++++ Proceeds from securities sold short -- -- -- +++++ Premiums received/paid (1) -- -- # Premiums received -- (1,243) -- ++ Premiums received -- (719) -- * Includes market value of securities on loan -- 324,358 155,243 NET ASSETS: Paid-in Capital -- (unlimited authorization -- no par value) $ 455,352 $ 4,498,881 $ 1,532,525 Undistributed (distributions in excess) net investment income 2,626 (7,503) 796 Accumulated net realized loss on investments, securities sold short option contracts, futures, swaps, swaptions and foreign currency (25,160) (41,655) (199,708) Net unrealized appreciation (depreciation) on investments, securities sold short and option contracts (53,109) (87,871) (136,465) Net unrealized appreciation (depreciation) on futures contracts (319) 13,638 -- Net unrealized appreciation (depreciation) on swaps 31 (10,457) -- Net unrealized depreciation on swaptions -- (1,643) -- Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies (1,980) (1,355) -- - ------------------------------------------------------------------------------------------------------------------------------------ Net Assets $ 377,441 $ 4,362,035 $ 1,197,148 - ------------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Offering and Redemption Price Per Share -- Class A $8.70 $10.08 $7.38 ($377,430,128 / ($4,354,287,297 / ($1,197,151,972 / 43,385,429 shares) 431,923,608 shares) 162,214,597 shares) - ------------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Offering and Redemption Price Per Share -- Class I $8.70 $10.08 $7.38 ($10,843 / ($7,748,042 / ($34,451 / 1,247 shares) 768,829 shares) 4,668 shares) - ------------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 181 Statements of Operations ($ Thousands) For the six month period ended March 31, 2008 (Unaudited)
- -------------------------------------------------------------------------------------------------------------------- LARGE CAP LARGE CAP TAX-MANAGED VALUE FUND GROWTH FUND LARGE CAP FUND - -------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME: Dividends $ 45,600 $ 19,196 $ 25,273 Dividends from Affiliated Registered Investment Company* 1,457 1,700 1,543 Interest Income 74 274 167 Income from Securities Lending 701 510 499 Less: Foreign Taxes Withheld (25) (32) (31) - -------------------------------------------------------------------------------------------------------------------- Total Investment Income 47,807 21,648 27,451 - -------------------------------------------------------------------------------------------------------------------- EXPENSES: Investment Advisory Fees 5,720 6,779 5,454 Administration Fees 5,720 5,931 4,768 Shareholder Servicing Fees (A) 4,060 4,214 3,403 Shareholder Servicing Fees (E) -- -- -- Shareholder Servicing Fees (I) 26 22 -- Shareholder Servicing Fees (Y) -- -- 3 Administration Servicing Fees (I) 26 22 -- Custodian/Wire Agent Fees 103 102 80 Printing Fees 88 91 72 Professional Fees 57 66 46 Registration Fees 26 25 14 Trustee Fees 21 21 17 Chief Compliance Officer Fees 7 7 7 Licensing Fees -- -- -- Dividend Expense -- -- -- Interest Expense on Securities Sold Short -- -- -- Other Expenses 35 36 30 - -------------------------------------------------------------------------------------------------------------------- Total Expenses 15,889 17,316 13,894 - -------------------------------------------------------------------------------------------------------------------- Less: Waiver of: Investment Advisory Fees (1,068) (987) (1,182) Shareholder Servicing Fees (A) (651) (1,520) (883) Shareholder Servicing Fees (E) -- -- -- Shareholder Servicing Fees (I) (4) (8) -- Shareholder Servicing Fees (Y) -- -- (2) Fees Paid Indirectly (12) (128) (44) - -------------------------------------------------------------------------------------------------------------------- Net Expenses 14,154 14,673 11,783 - -------------------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME 33,653 6,975 15,668 - -------------------------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: NET REALIZED GAIN (LOSS) ON: Investments 36,400 64,301 (3,622) Securities Sold Short -- -- -- Futures Contracts (11,268) (12,873) (9,996) Written Options -- -- -- Swap Contracts -- -- -- Foreign Currency Transactions -- -- -- NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: Investments (627,638) (453,494) (386,510) Securities Sold Short -- -- -- Futures Contracts 771 1,919 (620) Written Options -- -- -- Swap Contracts -- -- -- Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency -- -- -- - -------------------------------------------------------------------------------------------------------------------- NET DECREASE IN NET ASSETS FROM OPERATIONS $ (568,082) $ (393,172) $ (385,080) - --------------------------------------------------------------------------------------------------------------------
Amounts designated as "--" are $0 or have been rounded to $0. * See Note 3 in Notes to Financial Statements. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 182 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- ----------------------------------------------------------------------------------------------------------------------- LARGE CAP DIVERSIFIED S&P 500 SMALL CAP ALPHA FUND INDEX FUND VALUE FUND - ----------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME: Dividends $ 12,999 $ 16,129 $ 7,531 Dividends from Affiliated Registered Investment Company* 2,765 766 672 Interest Income 5,397 47 49 Income from Securities Lending -- 290 789 Less: Foreign Taxes Withheld (28) -- (18) - ----------------------------------------------------------------------------------------------------------------------- Total Investment Income 21,133 17,232 9,023 - ----------------------------------------------------------------------------------------------------------------------- EXPENSES: Investment Advisory Fees 3,152 238 3,296 Administration Fees 2,758 1,746 1,775 Shareholder Servicing Fees (A) 1,969 787 1,253 Shareholder Servicing Fees (E) -- 116 -- Shareholder Servicing Fees (I) 1 13 14 Shareholder Servicing Fees (Y) -- -- -- Administration Servicing Fees (I) 1 13 14 Custodian/Wire Agent Fees 53 44 36 Printing Fees 42 41 28 Professional Fees 26 39 27 Registration Fees 7 17 14 Trustee Fees 10 10 7 Chief Compliance Officer Fees 4 8 2 Licensing Fees -- 39 -- Dividend Expense 2,244 -- -- Interest Expense on Securities Sold Short 819 -- -- Other Expenses 20 17 13 - ----------------------------------------------------------------------------------------------------------------------- Total Expenses 11,106 3,128 6,479 - ----------------------------------------------------------------------------------------------------------------------- Less: Waiver of: Investment Advisory Fees (1) (201) -- Shareholder Servicing Fees (A) (429) (332) (673) Shareholder Servicing Fees (E) -- (116) -- Shareholder Servicing Fees (I) -- (5) (8) Shareholder Servicing Fees (Y) -- -- -- Fees Paid Indirectly -- -- (132) - ----------------------------------------------------------------------------------------------------------------------- Net Expenses 10,676 2,474 5,666 - ----------------------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME 10,457 14,758 3,357 - ----------------------------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: NET REALIZED GAIN (LOSS) ON: Investments (40,546) 30,592 (16,951) Securities Sold Short 8,624 -- -- Futures Contracts (44,710) (4,692) (4,225) Written Options 7 -- -- Swap Contracts (11,535) -- -- Foreign Currency Transactions (2) -- (7) NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: Investments (204,971) (252,130) (131,853) Securities Sold Short 28,481 -- -- Futures Contracts (5,862) (1,473) (118) Written Options 35 -- -- Swap Contracts 6,803 -- -- Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency (49) -- -- - ----------------------------------------------------------------------------------------------------------------------- NET DECREASE IN NET ASSETS FROM OPERATIONS $ (253,268) $ (212,945) $ (149,797) - ----------------------------------------------------------------------------------------------------------------------- - ---------------------------------------------------------------------------------------------- SMALL CAP TAX-MANAGED GROWTH FUND SMALL CAP FUND - ---------------------------------------------------------------------------------------------- INVESTMENT INCOME: Dividends $ 3,870 $ 2,106 Dividends from Affiliated Registered Investment Company* 404 335 Interest Income 227 14 Income from Securities Lending 1,243 454 Less: Foreign Taxes Withheld (86) (2) - ---------------------------------------------------------------------------------------------- Total Investment Income 5,658 2,907 - ---------------------------------------------------------------------------------------------- EXPENSES: Investment Advisory Fees 3,212 1,253 Administration Fees 1,730 675 Shareholder Servicing Fees (A) 1,227 482 Shareholder Servicing Fees (E) -- -- Shareholder Servicing Fees (I) 8 -- Shareholder Servicing Fees (Y) -- -- Administration Servicing Fees (I) 8 -- Custodian/Wire Agent Fees 59 12 Printing Fees 26 10 Professional Fees 19 7 Registration Fees 9 3 Trustee Fees 7 2 Chief Compliance Officer Fees 2 1 Licensing Fees -- -- Dividend Expense -- -- Interest Expense on Securities Sold Short -- -- Other Expenses 13 9 - ---------------------------------------------------------------------------------------------- Total Expenses 6,320 2,454 - ---------------------------------------------------------------------------------------------- Less: Waiver of: Investment Advisory Fees (28) (267) Shareholder Servicing Fees (A) (716) (8) Shareholder Servicing Fees (E) -- -- Shareholder Servicing Fees (I) (5) -- Shareholder Servicing Fees (Y) -- -- Fees Paid Indirectly (78) (40) - ---------------------------------------------------------------------------------------------- Net Expenses 5,493 2,139 - ---------------------------------------------------------------------------------------------- NET INVESTMENT INCOME 165 768 - ---------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: NET REALIZED GAIN (LOSS) ON: Investments (34,626) (6,773) Securities Sold Short -- -- Futures Contracts (1,084) (3,139) Written Options -- -- Swap Contracts -- -- Foreign Currency Transactions (61) -- NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: Investments (191,699) (61,542) Securities Sold Short -- -- Futures Contracts (148) (203) Written Options -- -- Swap Contracts -- -- Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency (56) -- - ---------------------------------------------------------------------------------------------- NET DECREASE IN NET ASSETS FROM OPERATIONS $ (227,509) $ (70,889) - ----------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 183 Statements of Operations ($ Thousands) For the six month period ended March 31, 2008 (Unaudited)
- ------------------------------------------------------------------------------------------------------------------------------------ SMALL/MID CAP MID-CAP U.S. MANAGED DIVERSIFIED ALPHA FUND FUND VOLATILITY FUND - ------------------------------------------------------------------------------------------------------------------------------------ INVESTMENT INCOME: Dividends $ 758 $ 1,209 $ 4,230 Dividends from Affiliated Registered Investment Company* 226 75 619 Interest Income 578 5 18 Income from Securities Lending -- -- -- Less: Foreign Taxes Withheld (5) -- (35) - ------------------------------------------------------------------------------------------------------------------------------------ Total Investment Income 1,557 1,289 4,832 - ------------------------------------------------------------------------------------------------------------------------------------ EXPENSES: Investment Advisory Fees 472 348 1,799 Administration Fees 220 305 968 Shareholder Servicing Fees (A) 157 218 692 Shareholder Servicing Fees (I) -- -- -- Administration Servicing Fees (I) -- -- -- Dividend Expense 83 -- -- Interest Expense 50 -- -- Interest Expense on Securities Sold Short 38 -- -- Registration Fees 12 1 2 Custodian/Wire Agent Fees 9 5 18 Printing Fees 4 5 15 Professional Fees 2 3 10 Trustee Fees 1 1 3 Chief Compliance Officer Fees -- -- 1 Overdraft Fees -- -- -- Other Expenses 8 3 5 - ------------------------------------------------------------------------------------------------------------------------------------ Total Expenses 1,056 889 3,513 - ------------------------------------------------------------------------------------------------------------------------------------ Less: Waiver of: Investment Advisory Fees (85) -- (707) Shareholder Servicing Fees (A) (43) (7) (40) Shareholder Servicing Fees (I) -- -- -- Fees Paid Indirectly (1) -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Net Expenses 927 882 2,766 - ------------------------------------------------------------------------------------------------------------------------------------ NET INVESTMENT INCOME 630 407 2,066 - ------------------------------------------------------------------------------------------------------------------------------------ NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: NET REALIZED GAIN (LOSS) ON: Investments (9,051) (8,556) 8,371 Securities Sold Short 1,054 -- -- Futures Contracts (4,740) (250) (1,741) Written Options 1 -- -- Swaptions -- -- -- Swap Contracts (5,365) -- -- Foreign Currency Transactions (1) -- -- NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: Investments (11,931) (17,137) (64,760) Securities Sold Short 433 -- -- Futures Contracts 457 (50) (784) Written Options 6 -- -- Swaptions -- -- -- Swap Contracts 1,635 -- -- Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency -- -- -- - ------------------------------------------------------------------------------------------------------------------------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ (26,872) $ (25,586) $ (56,848) - ------------------------------------------------------------------------------------------------------------------------------------
Amounts designated as "--" are $0 or have been rounded to $0. * See Note 3 in Notes to Financial Statements. (1) The Tax-Managed Managed Volatility Fund commenced operations on December 20, 2007. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 184 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- ------------------------------------------------------------------------------------------------------------------------------------ GLOBAL MANAGED TAX-MANAGED MANAGED REAL ESTATE VOLATILITY FUND VOLATILITY FUND(1) FUND - ------------------------------------------------------------------------------------------------------------------------------------ INVESTMENT INCOME: Dividends $ 2,467 $ 233 $ 2,857 Dividends from Affiliated Registered Investment Company* 112 72 234 Interest Income 17 3 -- Income from Securities Lending -- -- 146 Less: Foreign Taxes Withheld (132) (1) (13) - ------------------------------------------------------------------------------------------------------------------------------------ Total Investment Income 2,464 307 3,224 - ------------------------------------------------------------------------------------------------------------------------------------ EXPENSES: Investment Advisory Fees 810 86 782 Administration Fees 436 47 421 Shareholder Servicing Fees (A) 311 33 301 Shareholder Servicing Fees (I) -- -- -- Administration Servicing Fees (I) -- -- -- Dividend Expense -- -- -- Interest Expense -- -- -- Interest Expense on Securities Sold Short -- -- -- Registration Fees 1 -- 1 Custodian/Wire Agent Fees 48 -- 9 Printing Fees 7 1 6 Professional Fees 5 1 4 Trustee Fees 2 -- 1 Chief Compliance Officer Fees 1 1 -- Overdraft Fees 5 -- -- Other Expenses 19 -- 2 - ------------------------------------------------------------------------------------------------------------------------------------ Total Expenses 1,645 169 1,527 - ------------------------------------------------------------------------------------------------------------------------------------ Less: Waiver of: Investment Advisory Fees (261) (35) (41) Shareholder Servicing Fees (A) -- (1) (131) Shareholder Servicing Fees (I) -- -- -- Fees Paid Indirectly -- -- (15) - ------------------------------------------------------------------------------------------------------------------------------------ Net Expenses 1,384 133 1,340 - ------------------------------------------------------------------------------------------------------------------------------------ NET INVESTMENT INCOME 1,080 174 1,884 - ------------------------------------------------------------------------------------------------------------------------------------ NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: NET REALIZED GAIN (LOSS) ON: Investments (4,273) (121) (1,485) Securities Sold Short -- -- -- Futures Contracts (1,462) (816) -- Written Options -- -- -- Swaptions -- -- -- Swap Contracts -- -- -- Foreign Currency Transactions (13,745) -- (7) NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: Investments (16,025) (2,838) (25,401) Securities Sold Short -- -- -- Futures Contracts (251) 46 -- Written Options -- -- -- Swaptions -- -- -- Swap Contracts -- -- -- Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency 747 -- 1 - ------------------------------------------------------------------------------------------------------------------------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ (33,929) $ (3,555) $ (25,008) - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ ENHANCED CORE FIXED HIGH YIELD INCOME FUND INCOME FUND BOND FUND - ------------------------------------------------------------------------------------------------------------------------------------ INVESTMENT INCOME: Dividends $ 30 $ 56 $ 3,726 Dividends from Affiliated Registered Investment Company* 562 1,750 1,323 Interest Income 17,243 123,414 51,096 Income from Securities Lending -- 1,859 666 Less: Foreign Taxes Withheld (5) (22) (13) - ------------------------------------------------------------------------------------------------------------------------------------ Total Investment Income 17,830 127,057 56,798 - ------------------------------------------------------------------------------------------------------------------------------------ EXPENSES: Investment Advisory Fees 1,068 6,194 3,077 Administration Fees 935 6,306 2,209 Shareholder Servicing Fees (A) 668 5,618 1,578 Shareholder Servicing Fees (I) -- 13 -- Administration Servicing Fees (I) -- 13 -- Dividend Expense -- -- -- Interest Expense -- 6 -- Interest Expense on Securities Sold Short -- -- -- Registration Fees 2 28 13 Custodian/Wire Agent Fees 22 150 35 Printing Fees 16 120 36 Professional Fees 10 80 28 Trustee Fees 4 28 8 Chief Compliance Officer Fees 2 10 4 Overdraft Fees -- -- -- Other Expenses 43 352 81 - ------------------------------------------------------------------------------------------------------------------------------------ Total Expenses 2,770 18,918 7,069 - ------------------------------------------------------------------------------------------------------------------------------------ Less: Waiver of: Investment Advisory Fees (399) (286) (419) Shareholder Servicing Fees (A) (767) (4,022) (1,190) Shareholder Servicing Fees (I) -- (9) -- Fees Paid Indirectly -- -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Net Expenses 1,604 14,601 5,460 - ------------------------------------------------------------------------------------------------------------------------------------ NET INVESTMENT INCOME 16,226 112,456 51,338 - ------------------------------------------------------------------------------------------------------------------------------------ NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: NET REALIZED GAIN (LOSS) ON: Investments (12,267) 64,591 (20,888) Securities Sold Short -- -- -- Futures Contracts (6,282) 10,892 -- Written Options -- 3,759 -- Swaptions -- 927 -- Swap Contracts (119) (52,270) -- Foreign Currency Transactions (3,155) 349 -- NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: Investments (38,139) (81,855) (106,937) Securities Sold Short -- -- -- Futures Contracts (210) 9,070 -- Written Options -- (245) -- Swaptions -- (993) -- Swap Contracts 1,340 (602) -- Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency 156 (1,348) -- - ------------------------------------------------------------------------------------------------------------------------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ (42,450) $ 64,731 $ (76,487) - ------------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 185 Statements of Changes in Net Assets ($ Thousands) For the six month period ended March 31, 2008 (Unaudited) and the year ended September 30, 2007
- ------------------------------------------------------------------------------------------------------------------------------- LARGE CAP LARGE CAP TAX-MANAGED VALUE FUND GROWTH FUND LARGE CAP FUND - ------------------------------------------------------------------------------------------------------------------------------- 10/1/07 10/1/06 10/1/07 10/1/06 10/1/07 10/1/06 to 3/31/08 to 9/30/07 to 3/31/08 to 9/30/07 to 3/31/08 to 9/30/07 - ------------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income (Loss) $ 33,653 $ 65,244 $ 6,975 $ 9,091 $ 15,668 $ 27,256 Net Realized Gain (Loss) from Investments, Securities Sold Short, Futures Contracts, Written Options and Swap Contracts 25,132 387,608 51,428 235,321 (13,618) 135,641 Net Realized Loss on Foreign Currency Transactions -- -- -- -- -- -- Net Change in Unrealized Appreciation (Depreciation) on Investments, Securities Sold Short, Futures Contracts, Written Options and Swap Contracts (626,867) 40,982 (451,575) 372,559 (387,130) 250,631 Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency -- -- -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations (568,082) 493,834 (393,172) 616,971 (385,080) 413,528 - ------------------------------------------------------------------------------------------------------------------------------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (47,386) (65,236) (9,268) (7,660) (22,419) (25,173) Class E -- -- -- -- -- -- Class I (264) (491) (13) (5) -- -- Class Y -- -- -- -- (37) (48) Net Realized Gains: Class A (308,944) (341,377) -- -- -- -- Class E -- -- -- -- -- -- Class I (2,094) (2,981) -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------- Total Dividends and Distributions (358,688) (410,085) (9,281) (7,665) (22,456) (25,221) - ------------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS: Class A: Proceeds from Shares Issued 361,639 539,733 347,880 541,381 280,675 517,527 Reinvestment of Dividends & Distributions 333,007 380,665 8,807 7,269 21,075 23,768 Cost of Shares Redeemed (487,201) (1,149,311) (572,077) (917,952) (289,013) (409,521) - ------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Class A Transactions 207,445 (228,913) (215,390) (369,302) 12,737 131,774 - ------------------------------------------------------------------------------------------------------------------------------- Class E: Proceeds from Shares Issued -- -- -- -- -- -- Reinvestment of Dividends & Distributions -- -- -- -- -- -- Cost of Shares Redeemed -- -- -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------- Decrease in Net Assets Derived from Class E Transactions -- -- -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------- Class I: Proceeds from Shares Issued 3,340 11,017 3,134 7,267 -- -- Reinvestment of Dividends & Distributions 2,312 3,446 13 5 -- -- Cost of Shares Redeemed (15,294) (17,516) (16,398) (14,646) -- -- - ------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Class I Transactions (9,642) (3,053) (13,251) (7,374) -- -- - ------------------------------------------------------------------------------------------------------------------------------- Class Y: Proceeds from Shares Issued -- -- -- -- 14 97 Reinvestment of Dividends & Distributions -- -- -- -- 37 47 Cost of Shares Redeemed -- -- -- -- (233) (713) - ------------------------------------------------------------------------------------------------------------------------------- Decrease in Net Assets Derived from Class Y Transactions -- -- -- -- (182) (569) - ------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Capital Share Transactions 197,803 (231,966) (228,641) (376,676) 12,555 131,205 - ------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets (728,967) (148,217) (631,094) 232,630 (394,981) 519,512 - ------------------------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF YEAR/PERIOD 3,645,192 3,793,409 3,648,159 3,415,529 2,897,577 2,378,065 - ------------------------------------------------------------------------------------------------------------------------------- END OF YEAR/PERIOD $ 2,916,225 $ 3,645,192 $ 3,017,065 $ 3,648,159 $ 2,502,596 $ 2,897,577 - ------------------------------------------------------------------------------------------------------------------------------- UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME INCLUDED IN NET ASSETS AT PERIOD END $ 946 $ 14,943 $ 29 $ 2,335 $ (40) $ 6,748 - -------------------------------------------------------------------------------------------------------------------------------
(1) See Note 4 in Notes to Financial Statements for additional information. (2) For the six months ended September 30, 2007. Effective September 14, 2007, the Fund's fiscal year end changed from March 31 to September 30. (3) On September 14, 2007, the SEI Institutional Managed Trust acquired the assets of the SEI S&P 500 Index Fund in a tax-free reorganization. (4) For the year ended March 31. (5) Includes realized gain of $4,368 ($ Thousands) due to in-kind redemptions (see Note 9). (6) Includes realized gain of $2,168 ($ Thousands) due to in-kind redemptions (see Note 9). The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 186 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- --------------------------------------------------------------------------------------------------------------------------------- LARGE CAP DIVERSIFIED S&P 500 ALPHA FUND INDEX FUND(3) - --------------------------------------------------------------------------------------------------------------------------------- 10/1/07 10/1/06 10/1/07 4/1/07 4/1/06 to 3/31/08 to 9/30/07 to 3/31/08 to 9/30/07(2) to 3/31/07(4) - --------------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income (Loss) $ 10,457 $ 16,920 $ 14,758 $ 14,373 $ 33,720 Net Realized Gain (Loss) from Investments, Securities Sold Short, Futures Contracts, Written Options and Swap Contracts (88,160) 59,820 25,900 72,082 26,839(5) Net Realized Loss on Foreign Currency Transactions (2) (1) -- -- -- Net Change in Unrealized Appreciation (Depreciation) on Investments, Securities Sold Short, Futures Contracts, Written Options and Swap Contracts (175,514) 108,322 (253,603) 58,964 144,755 Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency (49) 1 -- -- -- - --------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations (253,268) 185,062 (212,945) 145,419 205,314 - --------------------------------------------------------------------------------------------------------------------------------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (15,279) (15,519) (8,115) (2,463) (10,300) Class E -- -- (13,710) (4,424) (23,648) Class I (4) (2) (118) (50) (200) Class Y -- -- -- -- -- Net Realized Gains: Class A (63,042) (7,983) (31,110) -- (8,617) Class E -- -- (51,009) -- (17,342) Class I (19) -- (592) -- (200) - --------------------------------------------------------------------------------------------------------------------------------- Total Dividends and Distributions (78,344) (23,504) (104,654) (6,937) (60,307) - --------------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS: Class A: Proceeds from Shares Issued 256,668 731,868 120,864 54,359 99,732 Reinvestment of Dividends & Distributions 77,788 23,418 37,259 2,336 18,041 Cost of Shares Redeemed (192,023) (344,582) (144,861) (76,635) (155,992) - --------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Class A Transactions 142,433 410,704 13,262 (19,940) (38,219) - --------------------------------------------------------------------------------------------------------------------------------- Class E: Proceeds from Shares Issued -- -- 25,355 61,905 109,388 Reinvestment of Dividends & Distributions -- -- 59,163 3,942 36,859 Cost of Shares Redeemed -- -- (86,620) (209,444) (802,024)(8) - --------------------------------------------------------------------------------------------------------------------------------- Decrease in Net Assets Derived from Class E Transactions -- -- (2,102) (143,597) (655,777) - --------------------------------------------------------------------------------------------------------------------------------- Class I: Proceeds from Shares Issued 25 758 1,865 2,533 4,846 Reinvestment of Dividends & Distributions 23 3 710 50 400 Cost of Shares Redeemed (23) (304) (6,522) (4,795) (5,071) - --------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Class I Transactions 25 457 (3,947) (2,212) 175 - --------------------------------------------------------------------------------------------------------------------------------- Class Y: Proceeds from Shares Issued -- -- -- -- -- Reinvestment of Dividends & Distributions -- -- -- -- -- Cost of Shares Redeemed -- -- -- -- -- - --------------------------------------------------------------------------------------------------------------------------------- Decrease in Net Assets Derived from Class Y Transactions -- -- -- -- -- - --------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Capital Share Transactions 142,458 411,161 7,213 (165,749) (693,821) - --------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets (189,154) 572,719 (310,386) (27,267) (548,814) - --------------------------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF YEAR/PERIOD 1,654,841 1,082,122 1,736,166 1,763,433 2,312,247 - --------------------------------------------------------------------------------------------------------------------------------- END OF YEAR/PERIOD $ 1,465,687 $ 1,654,841 $ 1,425,780 $ 1,736,166 $ 1,763,433 - --------------------------------------------------------------------------------------------------------------------------------- UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME INCLUDED IN NET ASSETS AT PERIOD END $ (276) $ 4,550 $ 359 $ 7,544 $ -- - --------------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------------------------------------- SMALL CAP SMALL CAP VALUE FUND GROWTH FUND - -------------------------------------------------------------------------------------------------------------- 10/1/07 10/1/06 10/1/07 10/1/06 to 3/31/08 to 9/30/07 to 3/31/08 to 9/30/07 - -------------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income (Loss) $ 3,357 $ 2,232 $ 165 $ (5,052) Net Realized Gain (Loss) from Investments, Securities Sold Short, Futures Contracts, Written Options and Swap Contracts (21,176) 161,341(6) (35,710) 117,347(7) Net Realized Loss on Foreign Currency Transactions (7) (4) (61) (293) Net Change in Unrealized Appreciation (Depreciation) on Investments, Securities Sold Short, Futures Contracts, Written Options and Swap Contracts (131,971) (39,729) (191,847) 79,583 Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency -- -- (56) 56 - -------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations (149,797) 123,840 (227,509) 191,641 - -------------------------------------------------------------------------------------------------------------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (1,876) (7,396) (728) -- Class E -- -- -- -- Class I (14) (67) -- -- Class Y -- -- -- -- Net Realized Gains: Class A (136,351) (112,541) (85,670) -- Class E -- -- -- -- Class I (1,639) (1,420) (580) -- - -------------------------------------------------------------------------------------------------------------- Total Dividends and Distributions (139,880) (121,424) (86,978) -- - -------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS: Class A: Proceeds from Shares Issued 164,797 252,503 94,093 268,659 Reinvestment of Dividends & Distributions 132,042 114,441 82,910 -- Cost of Shares Redeemed (193,376) (407,378)(8) (206,204) (415,459)(8) - -------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Class A Transactions 103,463 (40,434) (29,201) (146,800) - -------------------------------------------------------------------------------------------------------------- Class E: Proceeds from Shares Issued -- -- -- -- Reinvestment of Dividends & Distributions -- -- -- -- Cost of Shares Redeemed -- -- -- -- - -------------------------------------------------------------------------------------------------------------- Decrease in Net Assets Derived from Class E Transactions -- -- -- -- - -------------------------------------------------------------------------------------------------------------- Class I: Proceeds from Shares Issued 4,284 6,715 1,245 3,906 Reinvestment of Dividends & Distributions 1,639 1,479 573 -- Cost of Shares Redeemed (7,662) (8,531) (4,585) (8,663) - -------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Class I Transactions (1,739) (337) (2,767) (4,757) - -------------------------------------------------------------------------------------------------------------- Class Y: Proceeds from Shares Issued -- -- -- -- Reinvestment of Dividends & Distributions -- -- -- -- Cost of Shares Redeemed -- -- -- -- - -------------------------------------------------------------------------------------------------------------- Decrease in Net Assets Derived from Class Y Transactions -- -- -- -- - -------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Capital Share Transactions 101,724 (40,771) (31,968) (151,557) - -------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets (187,953) (38,355) (346,455) 40,084 - -------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF YEAR/PERIOD 1,136,116 1,174,471 1,163,323 1,123,239 - -------------------------------------------------------------------------------------------------------------- END OF YEAR/PERIOD $ 948,163 $ 1,136,116 $ 816,868 $ 1,163,323 - -------------------------------------------------------------------------------------------------------------- UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME INCLUDED IN NET ASSETS AT PERIOD END $ 569 $ (898) $ (2,218) $ (1,655) - --------------------------------------------------------------------------------------------------------------
(7) Includes realized loss of $4,305 ($ Thousands) due to in-kind redemptions (see Note 9). (8) Includes redemption as a result of an in-kind transfer of securities (see Note 9). Amounts designated as "--" are $0 or have been rounded to $0. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 187 Statements of Changes in Net Assets ($ Thousands) For the six month period ended March 31, 2008 (Unaudited) and the year ended September 30, 2007
- ------------------------------------------------------------------------------------------------------------------------------------ TAX-MANAGED SMALL/MID CAP SMALL CAP FUND DIVERSIFIED ALPHA FUND(2) MID-CAP FUND - ------------------------------------------------------------------------------------------------------------------------------------ 10/1/07 10/1/06 10/1/07 12/20/06 10/1/07 10/1/06 to 3/31/08 to 9/30/07 to 3/31/08 to 9/30/07 to 3/31/08 to 9/30/07 - ------------------------------------------------------------------------------------------------------------------------------------ OPERATIONS: Net Investment Income $ 768 $ 1,175 $ 630 $ 1,017 $ 407 $ 430 Net Realized Gain (Loss) from Investments, Securities Sold Short, Futures Contracts and Swap Contracts (9,912) 25,492 (18,101) (1,562) (8,806) 22,196 Net Realized Loss on Foreign Currency Transactions -- -- (1) (4) -- -- Net Change in Unrealized Appreciation (Depreciation) on Investments, Securities Sold Short, Futures Contracts, Written Options and Swap Contracts (61,745) 25,122 (9,400) 538 (17,187) (581) Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency -- -- -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Net Assets from Operations (70,889) 51,789 (26,872) (11) (25,586) 22,045 - ------------------------------------------------------------------------------------------------------------------------------------ DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (820) (1,517) (1,079) (699) (544) (641) Net Realized Gains: Class A (23,726) (23,058) -- -- (16,926) (6,793) Class I -- -- -- -- (18) -- - ------------------------------------------------------------------------------------------------------------------------------------ Total Dividends and Distributions (24,546) (24,575) (1,079) (699) (17,488) (7,434) - ------------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS: Class A: Proceeds from Shares Issued 64,458 110,154 30,422 139,849 49,052 161,788 Reinvestment of Dividends & Distributions 22,858 22,918 1,071 698 16,112 6,259 Cost of Shares Redeemed (59,718) (57,674) (14,347) (9,130) (40,304) (89,579) - ------------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets Derived from Class A Transactions 27,598 75,398 17,146 131,417 24,860 78,468 - ------------------------------------------------------------------------------------------------------------------------------------ Class I: Proceeds from Shares Issued -- -- 24 -- 195 -- Reinvestment of Dividends & Distributions -- -- -- -- 18 -- Cost of Shares Redeemed -- -- -- -- (128) -- - ------------------------------------------------------------------------------------------------------------------------------------ Increase in Net Assets Derived from Class I Transactions -- -- 24 -- 85 -- - ------------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets Derived from Capital Share Transactions 27,598 75,398 17,170 131,417 24,945 78,468 - ------------------------------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Net Assets (67,837) 102,612 (10,781) 130,707 (18,129) 93,079 - ------------------------------------------------------------------------------------------------------------------------------------ NET ASSETS: BEGINNING OF YEAR/PERIOD 416,945 314,333 130,707 -- 183,287 90,208 - ------------------------------------------------------------------------------------------------------------------------------------ END OF YEAR/PERIOD $ 349,108 $ 416,945 $ 119,926 $ 130,707 $ 165,158 $ 183,287 - ------------------------------------------------------------------------------------------------------------------------------------ UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME INCLUDED IN NET ASSETS AT PERIOD END $ 33 $ 85 $ (420) $ 29 $ (99) $ 38 - ------------------------------------------------------------------------------------------------------------------------------------
(1) See Note 4 in Notes to Financial Statements for additional information. (2) The Small/Mid Cap Diversified Alpha Fund commenced operations on December 20, 2006. (3) The Tax-Managed Managed Volatility Fund commenced operations on December 20, 2007. Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 188 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- ------------------------------------------------------------------------------------------------------- U.S. MANAGED GLOBAL MANAGED VOLATILITY FUND VOLATILITY FUND - ------------------------------------------------------------------------------------------------------- 10/1/07 10/1/06 10/1/07 10/1/06 to 3/31/08 to 9/30/07 to 3/31/08 to 9/30/07 - ------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income $ 2,066 $ 5,264 $ 1,080 $ 3,057 Net Realized Gain (Loss) from Investments, Securities Sold Short, Futures Contracts and Swap Contracts 6,630 0,239 (5,735) 4,915 Net Realized Loss on Foreign Currency Transactions -- -- (13,745) (7,134) Net Change in Unrealized Appreciation (Depreciation) on Investments, Securities Sold Short, Futures Contracts, Written Options and Swap Contracts (65,544) 32,661 (16,276) 12,452 Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency -- -- 747 (743) - ------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations (56,848) 58,164 (33,929) 12,547 - ------------------------------------------------------------------------------------------------------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (2,942) (4,993) (4,301) (1,567) Net Realized Gains: Class A (22,450) (8,410) (3,779) (675) Class I -- -- -- -- - ------------------------------------------------------------------------------------------------------- Total Dividends and Distributions (25,392) (13,403) (8,080) (2,242) - ------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS: Class A: Proceeds from Shares Issued 141,601 364,416 66,625 225,851 Reinvestment of Dividends & Distributions 24,629 13,136 7,898 2,217 Cost of Shares Redeemed (175,895) (139,978) (76,198) (57,576) - ------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Class A Transactions (9,665) 237,574 (1,675) 170,492 - ------------------------------------------------------------------------------------------------------- Class I: Proceeds from Shares Issued 2 1 10 1 Reinvestment of Dividends & Distributions -- -- -- -- Cost of Shares Redeemed (2) -- (1) -- - ------------------------------------------------------------------------------------------------------- Increase in Net Assets Derived from Class I Transactions -- 1 9 1 - ------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Capital Share Transactions (9,665) 237,575 (1,666) 170,493 - ------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets (91,905) 282,336 (43,675) 180,798 - ------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF YEAR/PERIOD 585,859 303,523 275,749 94,951 - ------------------------------------------------------------------------------------------------------- END OF YEAR/PERIOD $ 493,954 $ 585,859 $ 232,074 $ 275,749 - ------------------------------------------------------------------------------------------------------- UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME INCLUDED IN NET ASSETS AT PERIOD END $ 68 $ 944 $ (7,065) $ (3,844) - ------------------------------------------------------------------------------------------------------- - --------------------------------------------------------------------------------------------------- TAX-MANAGED MANAGED REAL ESTATE VOLATILITY FUND(3) FUND - --------------------------------------------------------------------------------------------------- 12/20/07 10/1/07 10/1/06 to 3/31/08 to 3/31/08 to 9/30/07 - --------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income $ 174 $ 1,884 $ 3,646 Net Realized Gain (Loss) from Investments, Securities Sold Short, Futures Contracts and Swap Contracts (937) (1,485) 12,360 Net Realized Loss on Foreign Currency Transactions -- (7) (4) Net Change in Unrealized Appreciation (Depreciation) on Investments, Securities Sold Short, Futures Contracts, Written Options and Swap Contracts (2,792) (25,401) (5,812) Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency -- 1 1 - --------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations (3,555) (25,008) 10,191 - --------------------------------------------------------------------------------------------------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (168) (4,780) (4,265) Net Realized Gains: Class A -- (15,877) (10,114) Class I -- (1) -- - --------------------------------------------------------------------------------------------------- Total Dividends and Distributions (168) (20,658) (14,379) - --------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS: Class A: Proceeds from Shares Issued 73,592 98,848 202,514 Reinvestment of Dividends & Distributions 150 19,889 13,799 Cost of Shares Redeemed (5,396) (70,982) (159,808) - --------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Class A Transactions 68,346 47,755 56,505 - --------------------------------------------------------------------------------------------------- Class I: Proceeds from Shares Issued -- 19 -- Reinvestment of Dividends & Distributions -- 1 -- Cost of Shares Redeemed -- (3) -- - --------------------------------------------------------------------------------------------------- Increase in Net Assets Derived from Class I Transactions -- 17 -- - --------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Capital Share Transactions 68,346 47,772 56,505 - --------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets 64,623 2,106 52,317 - --------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF YEAR/PERIOD -- 244,991 192,674 - --------------------------------------------------------------------------------------------------- END OF YEAR/PERIOD $ 64,623 $ 247,097 $ 244,991 - --------------------------------------------------------------------------------------------------- UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME INCLUDED IN NET ASSETS AT PERIOD END $ 6 $ (378) $ 2,518 - ---------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 189 Statements of Changes in Net Assets ($ Thousands) For the six month period ended March 31, 2008 (Unaudited) and the year ended September 30, 2007
- ----------------------------------------------------------------------------------------------------------------------------------- ENHANCED CORE FIXED HIGH YIELD INCOME FUND INCOME FUND BOND FUND - ----------------------------------------------------------------------------------------------------------------------------------- 10/1/07 10/1/06 10/1/07 10/1/06 10/1/07 10/1/06 to 3/31/08 to 9/30/07 to 3/31/08 to 9/30/07 to 3/31/08 to 9/30/07 - ----------------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income $ 16,226 $ 27,282 $ 112,456 $ 214,085 $ 51,338 $ 92,638 Net Realized Gain (Loss) on Investments, Futures Contracts, Written Options, Swaptions and Swap Contracts (18,668) (3,742) 27,899 (2,410) (20,888) 7,250 Net Realized Gain (Loss) on Foreign Currency Transactions (3,155) 2,747 349 -- -- -- Net Change in Unrealized Depreciation on Investments, Futures Contracts, Written Options, and Swap Contracts (37,009) (16,515) (74,625) (37,572) (106,937) (26,071) Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currency 156 (2,542) (1,348) 417 -- -- - ----------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations (42,450) 7,230 64,731 174,520 (76,487) 73,817 - ----------------------------------------------------------------------------------------------------------------------------------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (23,439) (21,572) (113,443) (214,787) (51,165) (93,629) Class I -- -- (243) (635) (1) -- Net Realized Gains: Class A -- -- -- -- (15,203) -- - ----------------------------------------------------------------------------------------------------------------------------------- Total Dividends and Distributions (23,439) (21,572) (113,686) (215,422) (66,369) (93,629) - ----------------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS: Class A: Proceeds from Shares Issued 134,127 610,800 527,948 1,187,007 334,103 504,196 Reinvestment of Dividends & Distributions 22,589 21,073 107,360 203,045 62,524 86,274 Cost of Shares Redeemed (334,328) (232,582) (832,741) (1,041,969) (304,273) (391,756) - ----------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Class A Transactions (177,612) 399,291 (197,433) 348,083 92,354 198,714 - ----------------------------------------------------------------------------------------------------------------------------------- Class I: Proceeds from Shares Issued 1 12 3,667 6,866 37 -- Reinvestment of Dividends & Distributions -- -- 232 636 1 -- Cost of Shares Redeemed (1) -- (8,995) (8,508) (1) -- - ----------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Class I Transactions -- 12 (5,096) (1,006) 37 -- - ----------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Capital Share Transactions (177,612) 399,303 (202,529) 347,077 92,391 198,714 - ----------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets (243,501) 384,961 (251,484) 306,175 (50,465) 178,902 - ----------------------------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF YEAR/PERIOD 620,942 235,981 4,613,519 4,307,344 1,247,613 1,068,711 - ----------------------------------------------------------------------------------------------------------------------------------- END OF YEAR/PERIOD $ 377,441 $ 620,942 $ 4,362,035 $ 4,613,519 $ 1,197,148 $ 1,247,613 - ----------------------------------------------------------------------------------------------------------------------------------- UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME INCLUDED IN NET ASSETS AT PERIOD END $ 2,626 $ 9,839 $ (7,503) $ (6,273) $ 796 $ 624 - -----------------------------------------------------------------------------------------------------------------------------------
(1) See Note 4 in the Notes to Financial Statements for additional information. Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 190 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 Financial Highlights For the period ended March 31, 2008 (Unaudited) and the years ended September 30, (unless otherwise indicated) For a Share Outstanding Throughout the Periods
- ------------------------------------------------------------------------------------------------------------------------------ Net Realized and Distributions Total Net Asset Net Unrealized Dividends from Dividends, Value, Investment Gains from Net Realized Distributions Beginning Income (Losses) on Total from Investment Capital Return and Return of Period (Loss) Securities Operations Income Gains of Capital of Capital - ------------------------------------------------------------------------------------------------------------------------------ LARGE CAP VALUE FUND Class A 2008* $ 23.97 $ 0.21(1) $ (3.73)(1) $ (3.52) $ (0.30) $ (2.07) $ -- $ (2.37) 2007 23.54 0.41(1) 2.69(1) 3.10 (0.41) (2.26) -- (2.67) 2006 22.45 0.37(1) 2.41(1) 2.78 (0.37) (1.32) -- (1.69) 2005 19.80 0.35(1) 2.76(1) 3.11 (0.34) (0.12) -- (0.46) 2004 16.81 0.30(1) 2.99(1) 3.29 (0.30) -- -- (0.30) 2003 13.94 0.25(1) 2.86(1) 3.11 (0.24) -- -- (0.24) Class I 2008* $ 23.95 $ 0.19(1) $ (3.74)(1) $ (3.55) $ (0.26) $ (2.07) $ -- $ (2.33) 2007 23.52 0.35(1) 2.69(1) 3.04 (0.35) (2.26) -- (2.61) 2006 22.43 0.31(1) 2.42(1) 2.73 (0.32) (1.32) -- (1.64) 2005 19.78 0.29(1) 2.77(1) 3.06 (0.29) (0.12) -- (0.41) 2004 16.80 0.25(1) 2.98(1) 3.23 (0.25) -- -- (0.25) 2003 13.94 0.21(1) 2.86(1) 3.07 (0.21) -- -- (0.21) LARGE CAP GROWTH FUND Class A 2008* $ 23.74 $ 0.05(1) $ (2.68)(1) $ (2.63) $ (0.06) $ -- $ -- $ (0.06) 2007 19.95 0.06(1) 3.78(1) 3.84 (0.05) -- -- (0.05) 2006 19.23 0.04(1) 0.71(1) 0.75 (0.03) -- -- (0.03) 2005 17.13 0.09(1) 2.09(1) 2.18 (0.08) -- -- (0.08) 2004 15.77 (0.01)(1) 1.37(1) 1.36 -- -- -- -- 2003 12.97 --(1) 2.81(1) 2.81 -- -- (0.01) (0.01) Class I 2008* $ 23.48 $ 0.02(1) $ (2.64)(1) $ (2.62) $ (0.02) $ -- $ -- $ (0.02) 2007 19.75 --**(1) 3.73(1) 3.73 --** -- -- -- 2006 19.04 (0.01)(1) 0.72(1) 0.71 -- -- -- -- 2005 17.00 0.04(1) 2.07(1) 2.11 (0.07) -- -- (0.07) 2004 15.68 (0.05)(1) 1.37(1) 1.32 -- -- -- -- 2003 12.92 (0.03)(1) 2.79(1) 2.76 --** -- -- --** TAX-MANAGED LARGE CAP FUND Class A 2008* $ 14.70 $ 0.08(1) $ (2.00)(1) $ (1.92) $ (0.11) $ -- $ -- $ (0.11) 2007 12.68 0.14(1) 2.01(1) 2.15 (0.13) -- -- (0.13) 2006 11.78 0.11(1) 0.90(1) 1.01 (0.11) -- -- (0.11) 2005 10.41 0.12(1) 1.37(1) 1.49 (0.12) -- -- (0.12) 2004 9.20 0.08(1) 1.21(1) 1.29 (0.08) -- -- (0.08) 2003 7.50 0.08(1) 1.70(1) 1.78 (0.08) -- -- (0.08) Class Y 2008* $ 14.87 $ 0.10(1) $ (2.02)(1) $ (1.92) $ (0.12) $ -- $ -- $ (0.12) 2007 12.79 0.18(1) 2.04(1) 2.22 (0.14) -- -- (0.14) 2006 11.86 0.15(1) 0.89(1) 1.04 (0.11) -- -- (0.11) 2005 10.45 0.16(1) 1.38(1) 1.54 (0.13) -- -- (0.13) 2004 9.21 0.12(1) 1.20(1) 1.32 (0.08) -- -- (0.08) 2003 7.50 0.10(1) 1.71(1) 1.81 (0.10) -- -- (0.10) LARGE CAP DIVERSIFIED ALPHA FUND Class A 2008* $ 11.78 $ 0.07(1) $ (1.76)(1) $ (1.69) $ (0.10) $ (0.44) $ -- $ (0.54) 2007 10.38 0.14(1) 1.47(1) 1.61 (0.13) (0.08) -- (0.21) 2006(2) 10.00 0.10(1) 0.34(1) 0.44 (0.06) -- -- (0.06) Class I 2008* $ 11.78 $ 0.06(1) $ (1.77)(1) $ (1.71) $ (0.08) $ (0.44) $ -- $ (0.52) 2007 10.38 0.11(1) 1.48(1) 1.59 (0.11) (0.08) -- (0.19) 2006(3) 10.28 0.01(1) 0.09(1) 0.10 -- -- -- -- - ----------------------------------------------------------------------------------------------------------------------------------- Ratio of Ratio of Expenses Expenses to Average Ratio of Net to Average Net Assets Investment Ratio of Net Assets (Excluding Income Net Asset Net Assets Expenses (Excluding Fees Paid (Loss) Portfolio Value, End Total End of Period to Average Fees Paid Indirectly to Average Turnover of Period Return+ ($Thousands) Net Assets Indirectly) and Waivers) Net Assets Rate+ - ----------------------------------------------------------------------------------------------------------------------------------- LARGE CAP VALUE FUND Class A 2008* $ 18.08 (15.75)% $ 2,902,980 0.87% 0.87% 0.97% 2.06% 22% 2007 23.97 13.91 3,616,120 0.86 0.86 0.97 1.74 36 2006 23.54 13.42 3,762,101 0.86 0.87 0.97 1.67 58 2005 22.45 15.87 4,230,717 0.86 0.86 0.97 1.63 44 2004 19.80 19.66 4,153,475 0.85 0.85 0.97 1.59 46 2003 16.81 22.55 3,527,686 0.85 0.85 0.97 1.61 106 Class I 2008* $ 18.07 (15.89)% $ 13,245 1.11% 1.11% 1.22% 1.83% 22% 2007 23.95 13.64 29,072 1.11 1.11 1.22 1.49 36 2006 23.52 13.16 31,308 1.11 1.12 1.22 1.40 58 2005 22.43 15.61 24,735 1.11 1.11 1.22 1.37 44 2004 19.78 19.33 20,180 1.10 1.10 1.22 1.33 46 2003 16.80 22.17 9,086 1.10 1.10 1.22 1.36 106 LARGE CAP GROWTH FUND Class A 2008* $ 21.05 (11.09)% $ 3,007,237 0.87% 0.87% 1.02% 0.41% 32% 2007 23.74 19.26 3,622,963 0.86 0.86 1.02 0.26 55 2006 19.95 3.92 3,387,749 0.86 0.87 1.02 0.18 89 2005 19.23 12.75 4,004,347 0.86 0.86 1.02 0.47 52 2004 17.13 8.62 3,846,240 0.85 0.85 1.02 (0.03) 36 2003 15.77 21.66 3,564,487 0.85 0.85 1.02 0.02 72 Class I 2008* $ 20.84 (11.18)% $ 9,828 1.11% 1.12% 1.27% 0.15% 32% 2007 23.48 18.91 25,196 1.11 1.11 1.27 0.01 55 2006 19.75 3.73 27,780 1.11 1.12 1.27 (0.07) 89 2005 19.04 12.42 29,689 1.11 1.11 1.27 0.22 52 2004 17.00 8.42 28,431 1.10 1.10 1.27 (0.28) 36 2003 15.68 21.37 12,323 1.10 1.10 1.27 (0.24) 72 TAX-MANAGED LARGE CAP FUND Class A 2008* $ 12.67 (13.10)% $ 2,498,699 0.87% 0.87% 1.02% 1.15% 23% 2007 14.70 17.05 2,892,866 0.86 0.86 1.02 1.02 44 2006 12.68 8.58 2,373,507 0.86 0.87 1.02 0.91 65 2005 11.78 14.40 2,172,885 0.86 0.86 1.02 1.08 31 2004 10.41 14.05 1,977,883 0.85 0.85 1.02 0.83 29 2003 9.20 23.84 1,757,292 0.85 0.85 1.02 0.85 99 Class Y 2008* $ 12.83 (12.99)% $ 3,897 0.56% 0.56% 0.72% 1.45% 23% 2007 14.87 17.43 4,711 0.56 0.56 0.72 1.32 44 2006 12.79 8.83 4,558 0.56 0.57 0.72 1.21 65 2005 11.86 14.78 5,067 0.56 0.56 0.72 1.39 31 2004 10.45 14.41 4,909 0.55 0.55 0.72 1.13 29 2003 9.21 24.26 3,834 0.55 0.55 0.72 1.17 99 LARGE CAP DIVERSIFIED ALPHA FUND Class A 2008* $ 9.55 (14.87)% $ 1,465,246 1.36%(16) 1.36%(16) 1.41% 1.33% 36% 2007 11.78 15.64 1,654,324 1.21(11) 1.21(11) 1.29 1.25 84 2006(2) 10.38 4.44 1,082,101 1.09+++ 1.09+++ 1.16 1.18 72 Class I 2008* $ 9.55 (15.03)% $ 441 1.61%(16) 1.61%(16) 1.66% 1.08% 36% 2007 11.78 15.42 517 1.46(11) 1.46(11) 1.54 0.99 84 2006(3) 10.38 0.97 21 1.08+++ 1.08+++ 1.15 1.12 72
- -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 191 Financial Highlights For the period ended March 31, 2008 (Unaudited) and the years ended September 30, (unless otherwise indicated) For a Share Outstanding Throughout the Periods
- ------------------------------------------------------------------------------------------------------------------------ Net Realized and Distributions Total Net Asset Net Unrealized Dividends from Dividends, Value, Investment Gains from Net Realized Distributions Beginning Income (Losses) on Total from Investment Capital and Return of Period (Loss) Securities Operations Income Gains of Capital - ------------------------------------------------------------------------------------------------------------------------ S&P 500 INDEX FUND Class A 2008* $ 44.71 $ 0.35(1) $ (5.70)(1) $ (5.35) $ (0.53) $ (2.16) $ (2.69) 2007 (4) 41.45 0.34(1) 3.09(1) 3.43 (0.17) -- (0.17) 2007 (5) 38.38 0.63(1) 3.70(1) 4.33 (0.68) (0.58) (1.26) 2006 (5) 36.21 0.56(1) 3.47(1) 4.03 (0.54) (1.32) (1.86) 2005 (5) 34.66 0.59(1) 1.57(1) 2.16 (0.58) (0.03) (0.61) 2004 (5) 26.18 0.42(1) 8.58(1) 9.00 (0.52) -- (0.52) 2003 (5) 35.39 0.38 (9.21) (8.83) (0.38) -- (0.38) Class E 2008* $ 44.85 $ 0.39(1) $ (5.73)(1) $ (5.34) $ (0.57) $ (2.16) $ (2.73) 2007(4) 41.57 0.30(1) 3.17(1) 3.47 (0.19) -- (0.19) 2007(5) 38.48 0.69(1) 3.72(1) 4.41 (0.74) (0.58) (1.32) 2006(5) 36.31 0.62(1) 3.48(1) 4.10 (0.61) (1.32) (1.93) 2005(5) 34.76 0.66(1) 1.55(1) 2.21 (0.63) (0.03) (0.66) 2004(5) 26.26 0.47(1) 8.61(1) 9.08 (0.58) -- (0.58) 2003(5) 35.49 0.44 (9.25) (8.81) (0.42) -- (0.42) Class I 2008* $ 44.74 $ 0.31(1) $ (5.71)(1) $ (5.40) $ (0.45) $ (2.16) $ (2.61) 2007(4) 41.51 0.28(1) 3.09(1) 3.37 (0.14) -- (0.14) 2007(5) 38.43 0.53(1) 3.71(1) 4.24 (0.58) (0.58) (1.16) 2006(5) 36.26 0.47(1) 3.46(1) 3.93 (0.44) (1.32) (1.76) 2005(5) 34.72 0.51(1) 1.56(1) 2.07 (0.50) (0.03) (0.53) 2004(5) 26.22 0.34(1) 8.60(1) 8.94 (0.44) -- (0.44) 2003(5)(6) 30.63 0.33 (4.46) (4.13) (0.28) -- (0.28) SMALL CAP VALUE FUND Class A 2008* $ 21.26 $ 0.06(1) $ (2.70)(1) $ (2.64) $ (0.03) $ (2.68) $(2.71) 2007 21.28 0.04(1) 2.23(1) 2.27 (0.14) (2.15) (2.29) 2006 21.58 0.05(1) 1.97(1) 2.02 (0.06) (2.26) (2.32) 2005 20.74 0.06(1) 4.02(1) 4.08 (0.05) (3.19) (3.24) 2004 17.45 0.03(1) 4.32(1) 4.35 (0.06) (1.00) (1.06) 2003 13.99 0.08(1) 3.91(1) 3.99 (0.09) (0.44) (0.53) Class I 2008* $ 21.17 $ 0.04(1) $ (2.70)(1) $ (2.66) $ (0.02) $ (2.68) $ (2.70) 2007 21.21 (0.01)(1) 2.21(1) 2.20 (0.09) (2.15) (2.24) 2006 21.52 --(1) 1.98(1) 1.98 (0.03) (2.26) (2.29) 2005 20.71 (0.01)(1) 4.03(1) 4.02 (0.02) (3.19) (3.21) 2004 17.44 (0.02)(1) 4.31(1) 4.29 (0.02) (1.00) (1.02) 2003 13.99 0.04(1) 3.90(1) 3.94 (0.05) (0.44) (0.49) SMALL CAP GROWTH FUND Class A 2008* $ 21.91 $ --(1) $ (4.30)(1) $ (4.30) $ (0.01) $ (1.71) $ (1.72) 2007 18.56 (0.09)(1) 3.44(1) 3.35 -- -- -- 2006 17.86 (0.07)(1) 0.77(1) 0.70 -- -- -- 2005 15.14 (0.10)(1) 2.82(1) 2.72 -- -- -- 2004 14.11 (0.10)(1) 1.13(1) 1.03 -- -- -- 2003 9.62 (0.08)(1) 4.57(1) 4.49 -- -- -- Class I 2008* $ 21.57 $ (0.03)(1) $ (4.22)(1) $ (4.25) $ -- $ (1.71) $ (1.71) 2007 18.32 (0.14)(1) 3.39(1) 3.25 -- -- -- 2006 17.67 (0.12)(1) 0.77(1) 0.65 -- -- -- 2005 15.02 (0.14)(1) 2.79(1) 2.65 -- -- -- 2004 14.03 (0.14)(1) 1.13(1) 0.99 -- -- -- 2003 9.59 (0.11)(1) 4.55(1) 4.44 -- -- -- - -------------------------------------------------------------------------------------------------------------------------------- Ratio of Ratio of Expenses Expenses to Average Ratio of Net to Average Net Assets Investment Ratio of Net Assets (Excluding Income Net Asset Net Assets Expenses (Excluding Fees Paid (Loss) Portfolio Value, End Total End of Period to Average Fees Paid Indirectly to Average Turnover of Period Return+ ($Thousands) Net Assets Indirectly) and Waivers) Net Assets Rate+ - -------------------------------------------------------------------------------------------------------------------------------- S&P 500 INDEX FUND Class A 2008* $ 36.67 (12.57)% $ 541,398 0.40% 0.40% 0.54% 1.76% 6% 2007(4) 44.71 8.28 650,792 0.40 0.40 0.43 1.55 2 2007(5) 41.45 11.38 621,898 0.40 0.40 0.43 1.59 6 2006(5) 38.38 11.32 614,246 0.40 0.40 0.43 1.49 18 2005(5) 36.21 6.25 655,378 0.40 0.40 0.43 1.67 11 2004(5) 34.66 34.62 686,129 0.40 0.40 0.43 1.33 7 2003(5) 26.18 (25.06) 524,554 0.40 0.40 0.43 1.33 7 Class E 2008* $ 36.78 (12.50)% $ 877,273 0.25% 0.25% 0.30% 1.93% 6% 2007(4) 44.85 8.34 1,072,141 0.25 0.25 0.53 1.70 2 2007(5) 41.57 11.57 1,127,189 0.25 0.25 0.53 1.74 6 2006(5) 38.48 11.49 1,684,857 0.25 0.25 0.53 1.65 18 2005(5) 36.31 6.39 1,307,631 0.25 0.25 0.53 1.86 11 2004(5) 34.76 34.83 904,534 0.25 0.25 0.53 1.47 7 2003(5) 26.26 (24.92) 790,231 0.25 0.25 0.53 1.48 7 Class I 2008* $ 36.73 (12.67)% $ 7,109 0.65% 0.65% 0.78% 1.51% 6% 2007(4) 44.74 8.12 13,233 0.65 0.65 0.78 1.29 2 2007(5) 41.51 11.12 14,346 0.65 0.65 0.78 1.34 6 2006(5) 38.43 11.02 13,144 0.65 0.65 0.78 1.25 18 2005(5) 36.26 5.97 11,452 0.65 0.65 0.78 1.44 11 2004(5) 34.72 34.28 6,370 0.65 0.65 0.78 1.06 7 2003(5)(6) 26.22 (13.53) 1,707 0.65 0.65 0.78 1.17 7 SMALL CAP VALUE FUND Class A 2008* $ 15.91 (13.32)% $ 939,327 1.12% 1.14% 1.29% 0.67% 42% 2007 21.26 10.70 1,122,027 1.11 1.13 1.27 0.19 86 2006 21.28 10.34 1,160,178 1.11 1.13 1.27 0.31 72 2005 21.58 21.21 1,066,189 1.11 1.11 1.27 0.27 71 2004 20.74 25.67 942,037 1.10 1.10 1.27 0.17 89 2003 17.45 29.28 795,501 1.10 1.10 1.27 0.52 99 Class I 2008* $ 15.81 (13.49)% $ 8,836 1.36% 1.38% 1.53% 0.41% 42% 2007 21.17 10.41 14,089 1.36 1.38 1.52 (0.04) 86 2006 21.21 10.11 14,293 1.36 1.38 1.52 0.06 72 2005 21.52 20.88 12,713 1.36 1.36 1.52 (0.03) 71 2004 20.71 25.29 7,400 1.35 1.35 1.52 (0.09) 89 2003 17.44 28.91 2,572 1.35 1.35 1.52 0.23 99 SMALL CAP GROWTH FUND Class A 2008* $ 15.89 (20.84)% $ 812,459 1.11% 1.13% 1.28% 0.03% 58% 2007 21.91 18.05 1,154,000 1.11 1.13 1.27 (0.43) 135 2006 18.56 3.92 1,111,329 1.11 1.13 1.27 (0.40) 99 2005 17.86 17.97 1,058,413 1.11 1.11 1.27 (0.60) 116 2004 15.14 7.30 970,759 1.10 1.10 1.27 (0.63) 124 2003 14.11 46.67 875,906 1.10 1.10 1.27 (0.66) 166 Class I 2008* $ 15.61 (20.94)% $ 4,409 1.36% 1.38% 1.52% (0.18)% 58% 2007 21.57 17.74 9,323 1.36 1.38 1.52 (0.67) 135 2006 18.32 3.68 11,910 1.36 1.38 1.52 (0.65) 99 2005 17.67 17.64 11,077 1.36 1.36 1.52 (0.85) 116 2004 15.02 7.06 8,530 1.35 1.35 1.52 (0.90) 124 2003 14.03 46.30 5,339 1.35 1.35 1.52 (0.91) 166
- -------------------------------------------------------------------------------- 192 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008
- ------------------------------------------------------------------------------------------------------------------------ Net Realized and Distributions Total Net Asset Net Unrealized Dividends from Dividends, Value, Investment Gains from Net Realized Distributions Beginning Income (Losses) on Total from Investment Capital and Return of Period (Loss) Securities Operations Income Gains of Capital - ------------------------------------------------------------------------------------------------------------------------ TAX-MANAGED SMALL CAP FUND Class A 2008* $ 14.14 $ 0.02(1) $ (2.26)(1) $ (2.24) $ (0.03) $ (0.80) $ (0.83) 2007 13.10 0.04(1) 2.00(1) 2.04 (0.06) (0.94) (1.00) 2006 13.13 0.01(1) 0.68(1) 0.69 -- (0.72) (0.72) 2005 11.63 (0.02)(1) 2.36(1) 2.34 -- (0.84) (0.84) 2004 10.00 (0.04)(1) 1.67(1) 1.63 -- -- -- 2003 7.54 (0.02)(1) 2.48(1) 2.46 -- -- -- SMALL/MID CAP DIVERSIFIED ALPHA FUND Class A 2008* $ 10.10 $ 0.04(1) $ (1.98)(1) $ (1.94) $ (0.07) $ -- $ (0.07) 2007(10) 10.00 0.10(1) 0.07(1)++ 0.17 (0.07) -- (0.07) Class I 2008* (15) $ 10.28 $ 0.03 $ (2.15) $ (2.12) $ (0.07) $ -- $ (0.07) MID-CAP FUND Class A 2008* $ 22.22 $ 0.04(1) $ (2.85)(1) $ (2.81) $ (0.06) $ (2.09) $ (2.15) 2007 20.40 0.06(1) 3.40(1) 3.46 (0.10) (1.54) (1.64) 2006 20.29 0.14(1) 1.49(1) 1.63 (0.12) (1.40) (1.52) 2005 17.84 0.06(1) 4.61(1) 4.67 (0.06) (2.16) (2.22) 2004 14.96 0.09(1) 3.19(1) 3.28 (0.11) (0.29) (0.40) 2003 11.74 0.11(1) 3.25(1) 3.36 (0.08) (0.06) (0.14) Class I 2008* (15) $ 22.56 $ 0.02(1) $ (3.21)(1) $ (3.19) $ (0.02) $ (2.09) $ (2.11) U.S. MANAGED VOLATILITY FUND Class A 2008* $ 13.45 $ 0.05(1) $ (1.35)(1) $ (1.30) $ (0.07) $ (0.51) $ (0.58) 2007 12.02 0.15(1) 1.74(1) 1.89 (0.14) (0.32) (0.46) 2006 11.41 0.10(1) 0.75(1) 0.85 (0.09) (0.15) (0.24) 2005(7) 10.00 0.10(1) 1.39(1) 1.49 (0.08) --** (0.08) Class I 2008* $ 13.43 $ 0.03(1) $ (1.34)(1) $ (1.31) $ (0.04) $ (0.51) $ (0.55) 2007(13) 13.54 0.01 (0.05) (0.04) (0.07) -- (0.07) GLOBAL MANAGED VOLATILITY FUND Class A 2008* $ 11.22 $ 0.05(1) $ (1.45)(1) $ (1.40) $ (0.18) $ (0.17) $ (0.35) 2007 10.37 0.17(1) 0.85(1) 1.02 (0.11) (0.06) (0.17) 2006(8) 10.00 0.02(1) 0.35(1) 0.37 -- -- -- Class I 2008* $ 11.20 $ 0.07(1) $ (1.48)(1) $ (1.41) $ (0.18) $ (0.17) $ (0.35) 2007(13) 11.45 0.01(1) (0.26)(1) (0.25) -- -- -- TAX-MANAGED MANAGED VOLATILITY FUND Class A 2008* (14) $ 10.00 $ 0.03(1) $ (0.78)(1) $ (0.75) $ (0.03) $ -- $ (0.03) REAL ESTATE FUND Class A 2008* $ 18.20 $ 0.12(1) $ (2.02)(1) $ (1.90) $ (0.32) $ (1.11) $ (1.43) 2007 18.43 0.30(1) 0.76(1) 1.06 (0.36) (0.93) (1.29) 2006 14.86 0.23(1) 4.15(1) 4.38 (0.36) (0.45) (0.81) 2005 11.89 0.27(1) 3.22(1) 3.49 (0.26) (0.26) (0.52) 2004(9) 10.00 0.21(1) 1.85(1) 2.06 (0.17) -- (0.17) Class I 2008* (15) $ 18.55 $ 0.28(1) $ (2.54)(1) $ (2.26) $ (0.31) $ (1.11) $ (1.42) - ------------------------------------------------------------------------------------------------------------------------------------ Ratio of Ratio of Expenses Expenses to Average Ratio of Net to Average Net Assets Investment Ratio of Net Assets (Excluding Income Net Asset Net Assets Expenses (Excluding Fees Paid (Loss) Portfolio Value, End Total End of Period to Average Fees Paid Indirectly to Average Turnover of Period Return+ ($ Thousands) Net Assets Indirectly) and Waivers) Net Assets Rate+ - ------------------------------------------------------------------------------------------------------------------------------------ TAX-MANAGED SMALL CAP FUND Class A 2008* $ 11.07 (16.59)% $ 349,108 1.11% 1.13% 1.28% 0.40% 39% 2007 14.14 16.00 416,945 1.11 1.14 1.27 0.31 72 2006 13.10 5.50 314,333 1.11 1.14 1.27 0.09 73 2005 13.13 20.80 269,519 1.11 1.11 1.27 (0.17) 99 2004 11.63 16.30 214,859 1.10 1.10 1.27 (0.31) 86 2003 10.00 32.63 181,773 1.10 1.10 1.27 (0.21) 142 SMALL/MID CAP DIVERSIFIED ALPHA FUND Class A 2008* $ 8.09 (19.21)% $ 119,903 1.48%(17) 1.48%(17) 1.68% 1.00% 82% 2007(10) 10.10 1.71 130,707 1.29(12) 1.29(12) 1.50 1.25 112 Class I 2008*(15) $ 8.09 (20.66)% $ 23 1.74%(17) 1.74%(17) 1.92% 0.61% 82% MID-CAP FUND Class A 2008* $ 17.26 (13.63)% $ 165,114 1.01% 1.01% 1.02% 0.47% 61% 2007 22.22 17.51 183,287 1.01 1.01 1.02 0.26 176 2006 20.40 8.50 90,208 1.01 1.01 1.03 0.67 135 2005 20.29 28.15 71,162 1.01 1.01 1.03 0.30 137 2004 17.84 22.23 53,642 1.00 1.00 1.02 0.53 121 2003 14.96 28.92 41,502 1.00 1.00 1.03 0.86 109 Class I 2008* (15) $ 17.26 (15.10)% $ 44 1.26% 1.26% 1.27% 0.20% 61% U.S. MANAGED VOLATILITY FUND Class A 2008* $ 11.57 (10.10)% $ 493,953 1.00% 1.00% 1.27% 0.75% 40% 2007 13.45 16.09 585,858 1.04 1.04 1.27 1.19 112 2006 12.02 7.64 303,523 1.11 1.11 1.27 0.91 133 2005(7) 11.41 14.94 160,047 1.11 1.11 1.27 1.03 102 Class I 2008* $ 11.57 (10.18)% $ 1 1.36% 1.36% 1.71% 0.46% 40% 2007(13) 13.43 (0.32) 1 1.36 1.36 1.86 0.19 112 GLOBAL MANAGED VOLATILITY FUND Class A 2008* $ 9.47 (12.82)% $ 232,064 1.11% 1.11% 1.32% 0.87% 60% 2007 11.22 9.88 275,748 1.11 1.11 1.32 1.56 119 2006(8) 10.37 3.70 94,951 1.10 1.10 1.30 1.22 13 Class I 2008* $ 9.44 (12.99)% $ 10 1.36% 1.36% 1.66% 1.48% 60% 2007(13) 11.20 (2.18) 1 1.36 1.36 2.26 0.23 119 TAX-MANAGED MANAGED VOLATILITY FUND Class A 2008*(14) $ 9.22 (7.49)% $ 64,623 1.00% 1.00% 1.27% 1.31% 34% REAL ESTATE FUND Class A 2008* $ 14.87 (10.65)% $ 247,080 1.12% 1.13% 1.27% 1.57% 26% 2007 18.20 5.49 244,991 1.11 1.12 1.27 1.55 84 2006 18.43 30.44 192,674 1.11 1.12 1.27 1.39 65 2005 14.86 29.97 96,405 1.11 1.11 1.27 1.95 58 2004(9) 11.89 20.82 35,008 1.10 1.10 1.30 2.20 98 Class I 2008*(15) $ 14.87 (12.41)% $ 17 1.36% 1.38% 1.51% 3.88% 26%
- -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 193 Financial Highlights For the period ended March 31, 2008 (Unaudited) and the years ended September 30, (unless otherwise indicated) For a Share Outstanding Throughout the Periods
- ------------------------------------------------------------------------------------------------------------------------------------ Net Realized and Distributions Total Net Asset Unrealized Dividends from Dividends, Value, Net Gains from Net Realized Distributions Net Asset Beginning Investment (Losses) on Total from Investment Capital and return Value, End of Period Income Securities Operations Income Gains of Capital of Period - ------------------------------------------------------------------------------------------------------------------------------------ ENHANCED INCOME FUND Class A 2008* $ 9.92 $ 0.29(1) $ (1.08)(1) $ (0.79) $ (0.43) $ -- $ (0.43) $ 8.70 2007 10.11 0.57(1) (0.27)(1) 0.30 (0.49) -- (0.49) 9.92 2006(8) 10.00 0.10(1) 0.01(1) 0.11 -- -- -- 10.11 Class I 2008* $ 9.91 $ 0.28(1) $ (1.07)(1) $ (0.79) $ (0.42) $ -- $ (0.42) $ 8.70 2007(13) 10.25 0.15 (0.35) (0.20) (0.14) -- (0.14) 9.91 CORE FIXED INCOME FUND Class A 2008* $ 10.19 $ 0.25(1) $ (0.10)(1) $ 0.15 $ (0.26) $ -- $ (0.26) $ 10.08 2007 10.29 0.50(1) (0.10)(1) 0.40 (0.50) -- (0.50) 10.19 2006 10.44 0.47(1) (0.11)(1) 0.36 (0.48) (0.03) (0.51) 10.29 2005 10.65 0.40(1) (0.11)(1) 0.29 (0.41) (0.09) (0.50) 10.44 2004 10.71 0.37(1) 0.08(1) 0.45 (0.38) (0.13) (0.51) 10.65 2003 10.67 0.40(1) 0.28(1) 0.68 (0.42) (0.22) (0.64) 10.71 Class I 2008* $ 10.19 $ 0.24(1) $ (0.11)(1) $ 0.13 $ (0.24) $ -- $ (0.24) $ 10.08 2007 10.29 0.41(1) (0.03)(1) 0.38 (0.48) -- (0.48) 10.19 2006 10.43 0.45(1) (0.11)(1) 0.34 (0.45) (0.03) (0.48) 10.29 2005 10.65 0.38(1) (0.12)(1) 0.26 (0.39) (0.09) (0.48) 10.43 2004 10.71 0.34(1) 0.09(1) 0.43 (0.36) (0.13) (0.49) 10.65 2003 10.67 0.37(1) 0.28(1) 0.65 (0.39) (0.22) (0.61) 10.71 HIGH YIELD BOND FUND Class A 2008* $ 8.26 $ 0.32(1) $ (0.79)(1) $ (0.47) $ (0.32) $ (0.09) $ (0.41) $ 7.38 2007 8.38 0.67(1) (0.11)(1) 0.56 (0.68) -- (0.68) 8.26 2006 8.50 0.65(1) (0.12)(1) 0.53 (0.65) -- (0.65) 8.38 2005 8.58 0.64(1) (0.08)(1) 0.56 (0.64) -- (0.64) 8.50 2004 8.37 0.67(1) 0.21(1) 0.88 (0.67) -- (0.67) 8.58 2003 7.60 0.68(1) 0.77(1) 1.45 (0.68) -- (0.68) 8.37 Class I 2008*(15) $ 8.26 $ 0.33(1) $ (0.81)(1) $ (0.48) $ (0.31) $ (0.09) $ (0.40) $ 7.38 - --------------------------------------------------------------------------------------------------------------------- Ratio of Ratio of Expenses Expenses to Average to Average Net Assets Ratio of Net Ratio of Net Assets (Excluding Investment Net Assets Expenses (Excluding Fees Paid Income Portfolio Total End of Period to Average Fees Paid Indirectly to Average Turnover Return+ ($Thousands) Net Assets Indirectly) and Waivers) Net Assets Rate+ - --------------------------------------------------------------------------------------------------------------------- ENHANCED INCOME FUND Class A 2008* (8.14)% $ 377,430 0.60% 0.60% 1.03% 6.08% 7% 2007 2.96 620,931 0.60 0.60 1.03 5.67 43 2006(8) 1.10 235,981 0.60 0.60 1.10 5.54 70 Class I 2008* (8.17)% $ 11 0.85% 0.85% 1.29% 5.85% 7% 2007(13) (2.01) 11 1.09 1.09 1.56 5.78 43 CORE FIXED INCOME FUND Class A 2008* 1.45% $ 4,354,287 0.65% 0.65% 0.84% 5.00% 164% 2007 4.00 4,600,629 0.64 0.64 0.84 4.89 413 2006 3.60 4,293,309 0.63 0.63 0.84 4.62 478 2005 2.83 4,094,011 0.61 0.61 0.84 3.83 557 2004 4.38 4,067,065 0.61*** 0.61*** 0.84 3.52 430 2003 6.63 3,823,429 0.60 0.60 0.84 3.77 470 Class I 2008* 1.32% $ 7,748 0.89% 0.89% 1.09% 4.73% 164% 2007 3.74 12,890 0.89 0.89 1.09 3.96 413 2006 3.44 14,035 0.88 0.88 1.09 4.37 478 2005 2.48 12,979 0.86 0.86 1.09 3.60 557 2004 4.12 10,420 0.86*** 0.86*** 1.09 3.25 430 2003 6.37 5,931 0.85 0.85 1.09 3.46 470 HIGH YIELD BOND FUND Class A 2008* (5.84)% $ 1,197,114 0.87% 0.87% 1.12% 8.15% 30% 2007 6.72 1,247,613 0.86 0.86 1.12 7.89 91 2006 6.51 1,068,711 0.86 0.86 1.12 7.69 126 2005 6.71 1,599,921 0.86 0.86 1.12 7.46 132 2004 10.84 1,197,554 0.85 0.85 1.11 7.84 179 2003 19.88 976,659 0.85 0.85 1.12 8.50 129 Class I 2008*(15) (5.97)% $ 34 1.11% 1.11% 1.37% 8.55% 30%
+ Returns and turnover rates are for the period indicated and have not been annualized. ++ The amount shown for a share outstanding throughout the period does not accord with the aggregate net gains on investments for the period because of the sales and repurchases of fund shares in relation to fluctuating market value of the investments of the Fund. +++ The expense ratios include dividend expense and interest expense on securities sold short. Had these expenses been excluded the ratios would have been 0.95% and 0.75% for Class A and Class I Shares, respectively. * For the six month period ended March 31, 2008. All ratios for the period have been annualized ** Amount represents less than $0.01. *** The expense ratio includes the litigation fees paid (see Note 10). Had these fees been excluded the ratio would have been 0.60% and 0.85% for Class A and Class I, respectively. (1) Per share net investment income and net realized and unrealized gains/(losses) calculated using average shares. (2) Commenced operations on December 14, 2005. All ratios for the period have been annualized. (3) Commenced operations on September 14, 2006. All ratios for the period have been annualized. (4) For the six months ended September 30, 2007. The Fund's fiscal year end changed from March 31 to September 30. All ratios for the period have been annualized. (5) For the year or period ended March 31. (6) Commenced operations on June 28, 2002. All ratios for the period have been annualized. (7) Commenced operations on October 28, 2004. All ratios for the period have been annualized. (8) Commenced operations on July 27, 2006. All ratios for the period have been annualized. (9) Commenced operations on November 13, 2003. All ratios for the period have been annualized. (10) Commenced operations on December 20, 2006. All ratios for the period have been annualized. (11) The expense ratios include dividend expense and interest expense on securities sold short. Had these expenses been excluded the ratios would have been 0.94% and 1.20% for Class A and Class I Shares, respectively. (12) The expense ratios include dividend expense and interest expense on securities sold short. Had these expenses been excluded the ratios would have been 1.17%. (13) Commenced operations on June 29, 2007. All ratios for the period have been annualized. (14) Commenced operations on December 20, 2007. All ratios for the period have been annualized. (15) Commenced operations on October 1, 2007. All ratios for the period have been annualized. (16) The expense ratios include dividend expense and interest expense on securities sold short. Had these expenses been excluded the ratios would have been 0.95% and 1.20% for Class A and Class I, respectively. (17) The expense ratios include dividend expense and interest expense on securities sold short and reverse repurchase agreements. Had these expenses been excluded the ratios would have been 1.20% and 1.45% for Class A and Class I, respectively. Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 194 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 Notes to Financial Statements (Unaudited) March 31, 2008 1. ORGANIZATION SEI Institutional Managed Trust (the "Trust") is organized as a Massachusetts business trust under a Declaration of Trust dated October 20, 1986. The Trust is registered under the Investment Company Act of 1940, as amended, as an open-end investment company with 19 Funds: Large Cap Value, Large Cap Growth, Tax-Managed Large Cap, Large Cap Diversified Alpha, S&P 500 Index, Small Cap Value, Small Cap Growth, Tax-Managed Small Cap, Small/Mid Cap Diversified Alpha, Mid-Cap, U.S. Managed Volatility, Global Managed Volatility, Tax-Managed Managed Volatility, Real Estate, Enhanced Income, Core Fixed Income, High Yield Bond, Real Return Plus and Prime Obligation Funds (each a "Fund," collectively the "Funds"). The Trust is registered to offer Class A shares of the Funds, Class E shares of the S&P 500 Fund, Class I shares of the Large Cap Value, Large Cap Growth, Large Cap Diversified Alpha, S&P 500 Index, Small Cap Value, Small Cap Growth, Small/Mid Cap Diversified Alpha, Mid-Cap, U.S. Managed Volatility, Global Managed Volatility, Real Estate, Enhanced Income, Core Fixed Income, High Yield Bond and Real Return Plus Funds, and Class Y shares of Tax-Managed Large Cap Fund. The assets of each Fund are segregated, and a shareholder's interest is limited to the Fund in which shares are held. The Funds' prospectuses provide a description of each Fund's investment objective, policies, and strategies. As of March 31, 2008, the Real Return Plus and Prime Obligation Funds have not yet commenced operations. 2. SIGNIFICANT ACCOUNTING POLICIES The following is a summary of the significant accounting policies followed by the Funds. USE OF ESTIMATES -- The preparation of financial statements, in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. SECURITY VALUATION -- Securities listed on a securities exchange, market or automated quotation system for which quotations are readily available (except for securities traded on NASDAQ) are valued at the last quoted sale price on the primary exchange or market (foreign or domestic) on which they are traded, or, if there is no such reported sale, at the most recent quoted bid price. For securities traded on NASDAQ, the NASDAQ Official Closing Price will be used. If available, debt securities are priced based upon valuations provided by independent, third-party pricing agents. Such values generally reflect the last reported sales price if the security is actively traded. The third-party pricing agents may also value debt securities at an evaluated bid price by employing methodologies that utilize actual market transactions, broker-supplied valuations, or other methodologies designed to identify the market value for such securities. Debt obligations with remaining maturities of sixty days or less may be valued at their amortized cost, which approximates market value. Prices for most securities held in the Funds are provided daily by recognized independent pricing agents. If a security price cannot be obtained from an independent, third-party pricing agent, the Funds seek to obtain a bid price from at least one independent broker. Securities for which market prices are not "readily available" are valued in accordance with Fair Value Procedures established by the Funds' Board of Trustees. The Funds' Fair Value Procedures are implemented through a Fair Value Committee (the "Committee") designated by the Funds' Board of Trustees. Some of the more common reasons that may necessitate that a security be valued using Fair Value Procedures include: the security's trading has been halted or suspended; the security has been de-listed from a national exchange; the security's primary trading market is temporarily closed at a time when, under normal conditions, it would be open; or the security's primary pricing source is not able or willing to provide a price. When a security is valued in accordance with the Fair Value Procedures, the Committee will determine the value after taking into consideration relevant information reasonably available to the Committee. For securities that principally trade on a foreign market or exchange, a significant gap in time can exist between the time of a particular security's last trade and the time at which a Fund calculates its net asset value. The closing prices of such securities may no longer reflect their market value at the time the Fund calculates net asset value if an event that could materially affect the value of those securities (a "Significant Event") has occurred between the time of the security's last close and the time that the Fund calculates net asset value. A Significant Event may relate to a single issuer or to an entire market sector. If the adviser or sub-adviser of a Fund becomes aware of a Significant Event that has occurred with respect to a security or group of securities after the closing of the exchange or market on which the security or securities principally trade, but before the time at which the Fund calculates net asset value, it may request that a Fair Value Committee Meeting be called. In addition, the Funds' administrator monitors price movements among certain selected indices, securities and/or baskets of securities that may be an indicator that the closing prices received earlier from foreign exchanges or markets may not reflect market value at the time the Fund calculates net asset value. If price movements in a monitored index or security exceed levels established by the administrator, the administrator notifies the adviser or sub-adviser for any Fund holding the relevant securities that such limits have been exceeded. In such event, the adviser or sub-adviser makes the determination whether a Fair Value Committee Meeting should be called based on the information provided. Options and warrants for which the primary market is a national securities exchange are valued at the last sale price on the exchange on which they are traded, or, in the absence of any sale, at the closing - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 195 Notes to Financial Statements (Unaudited) (Continued) March 31, 2008 bid price. Options and warrants not traded on a national securities exchange are valued at the last quoted bid price. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are recorded on the trade date. Costs used in determining net realized capital gains and losses on the sale of securities are on the basis of specific identification. Dividend income is recognized on the ex-dividend date, and interest income is recognized using the accrual basis of accounting. Income from payment-in-kind securities is recorded daily based on the effective interest method of accrual. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The trust estimates the components of distributions received that may be considered nontaxable distributions or capital gain distributions. Amortization and accretion is calculated using the scientific interest method, which approximates the effective interest method over the holding period of the security. Amortization of premiums and discounts is included in interest income. REPURCHASE AGREEMENTS -- Securities pledged as collateral for repurchase agreements are held by each Fund's custodian bank until the repurchase date of the repurchase agreement. The Funds also invest in tri-party repurchase agreements. Securities held as collateral for tri-party repurchase agreements are maintained by the broker's custodian bank in a segregated account until the repurchase date of the repurchase agreement. Provisions of the repurchase agreements and the Trust's policies require that the market value of the collateral, including accrued interest thereon, is sufficient in the event of default by the counterparty. If the counterparty defaults and the value of the collateral declines, or if the counterparty enters into an insolvency proceeding, realization of the collateral by the Funds may be delayed or limited. REVERSE REPURCHASE AGREEMENTS -- The Small/Mid Cap Diversified Alpha and Core Fixed Income Funds may issue reverse repurchase agreements. A reverse repurchase agreement involves the sale of portfolio assets together with an agreement to repurchase the same assets later at a fixed price. Additional assets are maintained in an account with the broker. The segregated assets may consist of cash, U.S. Government securities, or other liquid securities at least equal in value to the obligations under the reverse repurchase agreements. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund's use of the proceeds under the agreement may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the obligation to repurchase the securities. There were no reverse repurchase agreements outstanding as of March 31, 2008. COMPENSATING BALANCES -- Funds with cash overdrafts in excess of $100,000 are required to leave 112% in compensating balance with US Bank, the custodian of the Trust, on the following day. Funds with positive cash balances in excess of $100,000 are allowed to overdraw 90% of the balance with US Bank on the following day. EXPENSES -- Expenses that are directly related to one of the Funds are charged directly to that Fund. Other operating expenses of the Funds are prorated to the Funds on the basis of relative daily net assets. CLASSES -- Class-specific expenses are borne by that class of shares. Income, realized and unrealized gains/losses and non class-specific expenses are allocated to the respective class on the basis of relative daily net assets. FOREIGN CURRENCY TRANSLATION -- The books and records of the Funds are maintained in U.S. dollars on the following basis: (I) market value of investment securities, assets and liabilities at the current rate of exchange; and (II) purchases and sales of investment securities, income and expenses at the relevant rates of exchange prevailing on the respective dates of such transactions. The Funds do not isolate that portion of gains and losses on investments in equity securities that is due to changes in the foreign exchange rates from that which is due to changes in market prices of equity securities. The Funds report certain foreign-currency-related transactions as components of realized gains for financial reporting purposes, whereas such components are treated as ordinary income for Federal income tax purposes. FORWARD FOREIGN CURRENCY CONTRACTS -- The Small Cap Growth, Global Managed Volatility, Enhanced Income and Core Fixed Income Funds may enter into forward foreign currency contracts as hedges against either specific transactions, fund positions or anticipated fund positions. The Core Fixed Income Fund may also engage in currency transactions to enhance the Fund's returns. All commitments are "marked-to-market" daily at the applicable foreign exchange rate, and any resulting unrealized gains or losses are recorded currently. The Small Cap Growth and Core Fixed Income Funds realize gains and losses at the time forward contracts are extinguished. Unrealized gains or losses on outstanding positions in forward foreign currency contracts held at the close of the period are recognized as ordinary income or loss for Federal income tax purposes. The Funds could be exposed to risk if the counter-parties to the contracts are unable to meet the terms of the contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Finally, the risk exists that losses could exceed amounts disclosed on the Statement of Assets and Liabilities. At the six month period ended March 31, 2008, the Small Cap Growth Fund did not have any forward currency contracts outstanding. FUTURES CONTRACTS -- All Funds, with the exception of the Real Estate and High Yield Bond Funds, utilized futures contracts during the six month period ended March 31, 2008. The Funds' investments in futures contracts are designed to enable the Funds to more closely approximate the performance of their benchmark indices. The Core Fixed Income Fund may use futures contracts for tactical hedging - -------------------------------------------------------------------------------- 196 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 purposes as well as to enhance the Fund's returns. Initial margin deposits of cash or securities are made upon entering into futures contracts. The contracts are marked to market daily and the resulting changes in value are accounted for as unrealized gains and losses. Variation margin payments are paid or received, depending upon whether unrealized gains or losses are incurred. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the amount invested in the contract. Risks of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a position prior to its maturity date. Third, the futures contract involves the risk that the fund could lose more than the original margin deposit required to initiate a futures transaction. Finally, the risk exists that losses could exceed amounts disclosed on the Statement of Assets and Liabilities. OPTIONS/SWAPTIONS WRITING/PURCHASING -- Each Fund may invest in financial options/swaptions contracts for the purpose of hedging its existing fund securities, or securities that the Fund intends to purchase, against fluctuations in fair value caused by changes in prevailing market interest rates. The Core Fixed Income Fund may also invest in financial option/swaption contracts to enhance the Fund's returns. When the Fund writes or purchases an option/swaption, an amount equal to the premium received or paid by the Fund is recorded as a liability or an asset and is subsequently adjusted to the current market value of the option/swaption written or purchased. Premiums received or paid from writing or purchasing options/swaptions which expire unexercised are treated by the Fund on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option/swaption is exercised, the premium paid or received is added to the cost of the purchase or proceeds from the sale in determining whether the Fund has realized a gain or a loss on investment transactions. The Large Cap Diversified Alpha, Small/Mid Cap Diversified Alpha and Core Fixed Income Funds had option/swaption contracts as of March 31, 2008 as disclosed in the Fund's Schedule of Investments. The risk in writing a call option/swaption is that the Funds give up the opportunity for profit if the market price of the security increases. The risk in writing a put option/swaption is that the Funds may incur a loss if the market price of the security decreases and the option/swaption is exercised. The risk in purchasing an option/swaption is that the Funds pay a premium whether or not the option/swaption is exercised. The Funds also have the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. Option/swaption contracts also involve the risk that they may not work as intended due to unanticipated developments in market conditions or other causes. Finally, the risk exists that losses on written options could exceed amounts disclosed on the Statement of Assets and Liabilities. Written option transactions entered into during the six month period ended March 31, 2008 are summarized as follows: - -------------------------------------------------------------------------------- Large Cap Diversified Alpha Fund - -------------------------------------------------------------------------------- Number of Premium Contracts ($ Thousands) - -------------------------------------------------------------------------------- Balance at the beginning of period 43 $ 7 Written -- -- Expired -- -- Closing Buys (43) (7) - -------------------------------------------------------------------------------- Balance at the end of period -- -- ================================================================================ - -------------------------------------------------------------------------------- Small/Mid Cap Diversified Alpha Fund - -------------------------------------------------------------------------------- Number of Premium Contracts ($ Thousands) - -------------------------------------------------------------------------------- Balance at the beginning of period 7 $ 1 Written -- -- Expired -- -- Closing Buys (7) 1 - -------------------------------------------------------------------------------- Balance at the end of period -- -- ================================================================================ - -------------------------------------------------------------------------------- Core Fixed Income Fund - -------------------------------------------------------------------------------- Number of Premium Contracts ($ Thousands) - -------------------------------------------------------------------------------- Balance at the beginning of period 2,086 $ 1,344 Written 6,255 3,905 Expired (3,981) (2,529) Closing Buys (2,666) (1,477) - -------------------------------------------------------------------------------- Balance at the end of period 1,694 1,243 ================================================================================ Written swaptions transactions entered into during the six month period ended March 31, 2008 are summarized as follows: - -------------------------------------------------------------------------------- Core Fixed Income Fund - -------------------------------------------------------------------------------- Notional Amount Premium ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Balance at the beginning of period $ 102,000 $ 2,255 Written 9,240 -- Expired -- -- Closing buys (69,000) (1,536) - -------------------------------------------------------------------------------- Balance at the end of period $ 42,240 $ 719 ================================================================================ At March 31, 2008, the Large Cap Diversified Alpha, Small/Mid Cap Diversified Alpha and Core Fixed Income Funds had cash and/or securities at least equal to the value of written options/swaptions. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 197 Notes to Financial Statements (Unaudited) (Continued) March 31, 2008 SWAP AGREEMENTS -- A swap agreement is a two-party contract under which an agreement is made to exchange returns from predetermined investments or instruments, including a particular interest rate, foreign currency, or "basket" of securities representing a particular index. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal. Credit-default swaps involve periodic payments by the Fund or counterparty based on a specified rate multiplied by a notional amount assigned to an underlying debt instrument or group of debt instruments in exchange for the assumption of credit risk on the same instruments. In the event of a credit event, usually in the form of a credit rating downgrade, the party receiving periodic payments (i.e. floating rate payer) must pay the other party (i.e. fixed rate payer) an amount equal to the outstanding principal of the downgraded debt instrument, and also take possession of the instrument. Total return swaps allow an investor to benefit from the cash flow without ever actually owning the underlying security. The receiver must pay any decline in value to the payer at the end of the total return swap. However, the investor does not need to make a payment if there is no decline in price. Payments can be made on various indices, bonds (i.e. mortgage backed securities, bank debt and corporate), loans or commodities. The value of a total return swap is equal to the change in value of the underlying asset versus the accrued income payment based on LIBOR or some other form of indices on the notional amount. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal to manage the Fund's exposure to interest rates. Payments received or made are recorded as realized gains or loss. The Fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. Risk of loss may exceed amounts recognized on the statement of assets and liabilities. Interest rate swap contracts outstanding at period end, if any, are listed after the Fund's portfolio. In connection with swap agreements securities may be set aside as collateral by the Fund's custodian. A Fund may enter into swap agreements in order to, among other things, change the maturity or duration of the investment portfolio, to protect the Fund's value from changes in interest rates, or to expose a Fund to a different security or market. Swaps are marked-to-market daily based upon quotations from market makers and the resulting changes in market values, if any, are recorded as an unrealized gain or loss in the Statement of Operations. Net payments of interest are recorded as realized gains or losses. Entering into swap agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreement may default on its obligation to perform and that there may be unfavorable changes in the fluctuation of interest rates. Risks also arise from potential losses from adverse market movements. DELAYED DELIVERY TRANSACTIONS -- The Core Fixed Income Fund may purchase or sell securities on a when-issued or delayed delivery basis. These transactions involve a commitment by the Fund to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed delivery purchases are outstanding, the Fund will set aside liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed delivery basis, the Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. The Fund may dispose of or renegotiate a delayed delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When the Fund has sold a security on a delayed delivery basis, the Fund does not participate in future gains and losses with respect to the security. COLLATERALIZED DEBT OBLIGATIONS -- The Funds may invest in collateralized debt obligations ("CDOs"), which include collateralized loan obligations ("CLOs") and other similarly structured securities. CLOs are a type of asset-backed securities. A CLO is a trust typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. CDOs may charge management fees and administrative expenses. For CDOs, the cashflows from the trust are split into two or more portions, called tranches, varying in risk and yield. The riskiest portion is the "equity" tranche which bears the bulk of defaults from the bonds or loans in the trust and serves to protect the other, more senior tranches from default in all but the most severe circumstances. Since it is partially protected from defaults, a senior tranche from a CDO trust typically has a higher rating and lower yield than their underlying securities, and can be rated investment grade. Despite the protection from the equity tranche, CDO tranches can experience substantial losses due to actual defaults, increased sensitivity to defaults due to collateral default and disappearance of protecting tranches, market anticipation of defaults, as well as aversion to CDO securities as a class. The risks of an investment in a CDO depend largely on the type of the collateral securities and the class of the CDO in which a Fund invests. Normally, CLOs and other CDOs are privately offered and sold, and thus, are not registered under the securities laws. As a result, investments in CDOs may be characterized by the Funds as illiquid securities; however, an active dealer market may exist for CDOs, allowing a CDO to qualify for Rule 144A transactions. In addition to the normal risks associated with fixed income securities (e.g., interest rate risk and default risk), CDOs carry additional risks including, but are not - -------------------------------------------------------------------------------- 198 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline in value or default; (iii) the Funds may invest in CDOs that are subordinate to other classes; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results. ILLIQUID SECURITIES -- A security is considered illiquid if it cannot be sold or disposed of in the ordinary course of business within seven days or less for its approximate carrying value on the books of the Funds. Valuations of illiquid securities may differ significantly from the values that would have been used had an active market value for these securities existed. RESTRICTED SECURITIES -- At March 31, 2008, the following Funds owned private placement investments that were purchased through private offerings or acquired through initial public offerings and cannot be sold without prior registration under the Securities Act of 1933 or pursuant to an exemption therefrom. In addition, the Funds have generally agreed to further restrictions on the disposition of certain holdings as set forth in various agreements entered into in connection with the purchase of these investments. These investments are valued at fair value as determined in accordance with the procedures approved by the Board of Trustees. The acquisition dates of these investments, the enforceable right to acquire these securities, along with their cost and values at March 31, 2008, were as follows:
RIGHT TO NUMBER ACQUISITION ACQUIRE COST MARKET VALUE % OF NET OF SHARES DATE DATE ($ THOUSANDS) ($ THOUSANDS) ASSETS - ----------------------------------------------------------------------------------------------------------------- SMALL CAP VALUE FUND Verde Realty PIPE 21,100 02/16/07 02/16/07 $ 696 $ 696 0.07% ========= ========= ==== SMALL CAP GROWTH FUND BPZ Energy PIPE 114,500 05/07/07 05/07/07 $ 601 $2,488 0.31% Force Protection 173,900 12/19/06 12/19/06 2,043 350 0.04 Rentech Warrant 19,400 04/20/07 04/20/07 -- 4 0.00 Coguar Biotechnology PIPE 21,000 12/14/07 12/14/07 609 441 0.05 Thunderbird Resorts PIPE 153,500 11/15/07 11/15/07 1,381 1,382 0.17 Thunderbird Resorts PIPE 3,200 02/06/08 02/06/08 29 29 0.00 Synenco Energy 19,500 06/20/05 06/20/05 227 138 0.02 --------- --------- ---- $ 4,890 $ 4,832 0.59% ========= ========= ==== TAX-MANAGED SMALL CAP FUND Coguar Biotechnology PIPE 11,400 02/16/07 02/16/07 $ 331 $ 239 0.07% ========= ========= ==== SMALL/MID CAP DIVERSIFIED ALPHA FUND BPZ Energy PIPE 12,800 05/07/07 05/07/07 $ 67 $ 278 0.23% Rentech Warrant 1,000 05/30/07 05/30/07 -- -- 0.00 Thunderbird Resorts PIPE 15,300 11/15/07 11/15/07 138 138 0.12 Thunderbird Resorts PIPE 1,700 02/07/08 02/07/08 15 15 0.01 Oil Sands Quest PIPE 3,500 05/02/07 05/02/07 10 14 0.01 --------- --------- ---- $ 230 $ 445 0.37% ========= ========= ==== REAL ESTATE FUND Verde Realty PIPE 21,400 02/16/07 02/16/07 $ 706 $ 706 0.29% ========= ========= ====
- -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 199 Notes to Financial Statements (Unaudited) (Continued) March 31, 2008 DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment income are declared and paid to shareholders quarterly for the Large Cap Value, Large Cap Growth, Tax-Managed Large Cap, Large Cap Diversified Alpha, S&P 500 Index, Small Cap Value, Small Cap Growth, Tax-Managed Small Cap, Small/Mid Cap Diversified Alpha, Mid-Cap, U.S. Managed Volatility, Tax-Managed Managed Volatility, Real Estate and Enhanced Income Funds; are declared and paid annually for the Global Managed Volatility Fund; and declared daily and paid monthly for the Core Fixed Income and High Yield Bond Funds. Any net realized capital gains on sales of securities are distributed to shareholders at least annually. Dividends and distributions are recorded on the ex-dividend date. The Large Cap Value, Large Cap Diversified Alpha, Small Cap Value, Tax-Managed Small Cap, Mid-Cap and U.S. Managed Volatility Funds utilized earnings and profits distributed to shareholders on redemption of shares as a part of the dividends paid deduction for income tax purposes. INVESTMENTS IN REITS -- With respect to the Real Estate Fund, dividend income is recorded based on the income included in distributions received from the REIT investments using published REIT reclassifications including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts. 3. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES ADMINISTRATION AND TRANSFER AGENCY AGREEMENT -- The Trust and SEI Investments Global Funds Services (the "Administrator") are parties to an amended and restated Administration and Transfer Agency Agreement dated December 10, 2003 under which the Administrator provides administrative and transfer agency services to the Funds for an annual fee of 0.35% of the average daily net assets of the Large Cap Value, Large Cap Growth, Tax-Managed Large Cap Class A, Large Cap Diversified Alpha, Small Cap Value, Small Cap Growth, Tax-Managed Small Cap, Small/Mid Cap Diversified Alpha, Mid-Cap, U.S. Managed Volatility, Global Managed Volatility, Tax-Managed Managed Volatility, Real Estate, Enhanced Income and High Yield Bond Funds; 0.15% of average daily net assets of the Tax-Managed Large Cap Class Y, 0.22% of the average daily net assets of the S&P 500 Index Fund; and 0.28% of the average daily net assets of the Core Fixed Income Fund. The Administrator has agreed to waive all or a portion of its fee in order to limit the operating expenses of a Fund. Any such waiver is voluntary and may be terminated at any time at the Administrator's sole discretion. INVESTMENT ADVISORY AGREEMENT -- SEI Investments Management Corporation ("SIMC") serves as investment adviser (the "Adviser") to each Fund. In connection with serving as Adviser, SIMC is entitled to a fee, which is calculated daily and paid monthly, based on the average daily net assets of each Fund. SIMC has voluntarily agreed to waive a portion of its fee so that the total annual expenses of each Fund, exclusive of short sale expenses, will not exceed certain voluntary expense limitations adopted by SIMC. These waivers may be terminated at any time. Accordingly, the advisory fee and voluntary expense limitations for each Fund are as follows: - -------------------------------------------------------------------------------- Voluntary Advisory Expense Fees Limitations - -------------------------------------------------------------------------------- Large Cap Value Fund, Class A 0.3500% 0.8900% Large Cap Value Fund, Class I 0.3500 1.1100 Large Cap Growth Fund, Class A 0.4000 0.8900 Large Cap Growth Fund, Class I 0.4000 1.1100 Tax-Managed Large Cap Fund, Class A 0.4000 0.8900 Tax-Managed Large Cap Fund, Class Y 0.4000 0.5600 Large Cap Diversified Alpha Fund, Class A 0.4000 0.9500 Large Cap Diversified Alpha Fund, Class I 0.4000 1.2000 S&P 500 Index Fund, Class A 0.0300 0.4300 S&P 500 Index Fund, Class E 0.0300 0.2500 S&P 500 Index Fund, Class I 0.0300 0.6500 Small Cap Value Fund, Class A 0.6500 1.1400 Small Cap Value Fund, Class I 0.6500 1.3600 Small Cap Growth Fund, Class A 0.6500 1.1100 Small Cap Growth Fund, Class I 0.6500 1.3600 Tax-Managed Small Cap Fund, Class A 0.6500 1.1100 Small/Mid Cap Diversified Alpha Fund, Class A 0.7500 1.2000 Small/Mid Cap Diversified Alpha Fund, Class I 0.7500 1.4500 Mid-Cap Fund, Class A 0.4000 1.0200 Mid-Cap Fund, Class I 0.4000 1.2600 U.S. Managed Volatility Fund, Class A 0.6500 1.0000 U.S. Managed Volatility Fund, Class I 0.6500 1.3600 Global Managed Volatility Fund, Class A 0.6500 1.1100 Global Managed Volatility Fund, Class I 0.6500 1.3600 Tax-Managed Managed Volatility Fund, Class A 0.6500 1.0000 Real Estate Fund, Class A 0.6500 1.1400 Real Estate Fund, Class I 0.6500 1.3600 Enhanced Income Fund, Class A 0.4000 0.6000 Enhanced Income Fund, Class I 0.4000 0.8500 Core Fixed Income Fund, Class A 0.2750 0.6700 Core Fixed Income Fund, Class I 0.2750 0.8900 High Yield Bond Fund, Class A 0.4875 0.8900 High Yield Bond Fund, Class I 0.4875 1.1100 - -------------------------------------------------------------------------------- 200 SEI Institutional Managed Trust / Semi-Annual Report /March 31, 2008 As of March 31, 2008, SIMC has entered into investment sub-advisory agreements with the following parties: - -------------------------------------------------------------------------------- Investment Sub-Adviser - -------------------------------------------------------------------------------- LARGE CAP VALUE FUND AllianceBernstein LP Aronson + Johnson + Ortiz, LP Enhanced Investment Technologies, LLC LSV Asset Management LARGE CAP GROWTH FUND Delaware Management Company Enhanced Investment Technologies, LLC Goldman Sachs Asset Management, L.P. Montag & Caldwell, Inc. Quantitative Management Associates LLC TAX-MANAGED LARGE CAP FUND AllianceBernstein LP Aronson + Johnson + Ortiz, LP Delaware Management Company Goldman Sachs Asset Management, L.P. LSV Asset Management Montag & Caldwell, Inc. Parametric Portfolio Associates Quantitative Management Associates LLC LARGE CAP DIVERSIFIED ALPHA FUND Analytic Investors, LLC Aronson + Johnson + Ortiz, LP Delaware Management Company Enhanced Investment Technologies, LLC Quantitative Management Associates LLC Smith Breeden Associates, Inc. S&P 500 INDEX FUND SSgA Funds Management, Inc. SMALL CAP VALUE FUND Artisan Partners Limited Partnership BlackRock Capital Management, Inc. David J. Greene and Company, LLC LSV Asset Management Lee Munder Investments, Ltd. Martingale Asset Management, L.P. PanAgora Asset Management, Inc.* Robeco U.S.A., Inc. Wellington Management Company, LLP SMALL CAP GROWTH FUND Delaware Management Company Janus Capital Management, Inc. Lee Munder Investments, Ltd. Martingale Asset Management, L.P. Mazama Capital Management, Inc. McKinley Capital Management Inc. PanAgora Asset Management, Inc. Wellington Management Company, LLP - -------------------------------------------------------------------------------- Investment Sub-Adviser - -------------------------------------------------------------------------------- TAX-MANAGED SMALL CAP FUND BlackRock Capital Management, Inc. David J. Greene and Company, LLC Delaware Management Company Los Angeles Capital Management and Equity Research, Inc. LSV Asset Management Mazama Capital Management, Inc. McKinley Capital Management Inc. Parametric Portfolio Associates SMALL/MID CAP DIVERSIFIED ALPHA FUND Integrity Asset Management LLC Los Angeles Capital Management and Equity Research, Inc. Martingale Asset Management, L.P. PanAgora Asset Management, Inc. Smith Breeden Associates, Inc. Wellington Management Company, LLP MID-CAP FUND Martingale Asset Management, L.P. Quantitative Management Associates LLC U.S. MANAGED VOLATILITY FUND Analytic Investors, LLC Aronson + Johnson + Ortiz, LP GLOBAL MANAGED VOLATILITY FUND Acadian Asset Management, LLC Analytic Investors, LLC TAX-MANAGED MANAGED VOLATILITY FUND Analytic Investors, LLC Aronson + Johnson + Ortiz, LP Parametric Portfolio Associates REAL ESTATE FUND Security Capital Research and Management, Inc. Wellington Management Company, LLP ENHANCED INCOME FUND Highland Capital Management, L.P. Record Currency Management Limited Wellington Management Company, LLP CORE FIXED INCOME FUND Metropolitan West Asset Management LLC Smith Breeden Associates, Inc. Wells Capital Management, Inc. Western Asset Management Company Western Asset Management Company Limited HIGH YIELD BOND FUND Ares Management LLC J.P. Morgan Investment Management, Inc. Nomura Corporate Research and Asset Management, Inc. * Not funded - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 201 Notes to Financial Statements (Unaudited) (Continued) March 31, 2008 Under the investment sub-advisory agreements, each party receives an annual fee paid by SIMC. DISTRIBUTION AGREEMENT -- SEI Investments Distribution Co. (the "Distributor"), a wholly owned subsidiary of SEI Investments Company ("SEI"), serves as each Fund's Distributor pursuant to a distribution agreement with the Trust. The Trust has adopted a shareholder servicing plan for Class A, Class E, Class I and Class Y shares (the "Shareholder Servicing Plans") under which a shareholder servicing fee of up to 0.25% of average daily net assets attributable to Class A shares of the Large Cap Value, Large Cap Growth, Tax-Managed Large Cap, Large Cap Diversified Alpha, Small Cap Value, Small Cap Growth, Tax-Managed Small Cap, Small/Mid Cap Diversified Alpha, Mid-Cap, U.S. Managed Volatility, Global Managed Volatility, Tax-Managed Managed Volatility, Real Estate, Enhanced Income, Core Fixed Income and High Yield Bond Funds, Class E and Class I shares, and a shareholder servicing fee of up to 0.15% of average daily net assets attributable to Class A shares of the S&P 500 Index Fund and Class Y shares, will be paid to the Distributor. In addition to the Shareholder Servicing Plans, the Class I shares have adopted administrative service plans that provide for administrative service fees payable to the Distributor of up to 0.25% of the average daily net assets attributed to that class. OTHER -- The Distribution Agreement between the Distributor and the Trust provides that the Distributor may receive compensation on fund transactions effected for the Trust in accordance with the rules of the Securities and Exchange Commission ("SEC"). Accordingly, it is expected that fund transactions may result in brokerage commissions being paid to the Distributor. SEC rules require that such commissions not exceed usual and customary commissions. Such commissions for the six month period ended March 31, 2008 were as follows ($ Thousands): Large Cap Growth Fund $ 98 Large Cap Value Fund 13 Tax-Managed Large Cap Fund 46 Small Cap Value Fund 109 Small Cap Growth Fund 77 Tax-Managed Small Cap Fund 49 Small/Mid Cap Diversified Alpha Fund 1 Real Estate Fund 10 ----- $ 403 ===== Under both the Shareholder Servicing Plans and administrative service plan, the Distributor may retain as profit any difference between the fee it receives and the amount it pays to third parties. For the six month period ended March 31, 2008, the Distributor retained 100% of the shareholder servicing fees, less the waiver, and 100% of the administration servicing fees. Certain officers and/or trustees of the Trust are also officers of the Administrator or the Adviser. The Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly, interim and committee meetings. Compensation of officers and affiliated Trustees of the Trust is paid by the Adviser or Administrator. A portion of the services provided by the Chief Compliance Officer ("CCO") and his staff, whom are employees of the Administrator, are paid for by the Trust as incurred. The services include regulatory oversight of the Trust's Adviser, sub-advisers and service providers as required by SEC regulations. The CCO's services have been approved by and are reviewed by the Board. LSV Asset Management (a partially owned subsidiary of SIMC) serves as the sub-adviser to the Large Cap Value, Tax-Managed Large Cap, Small Cap Value and Tax-Managed Small Cap Funds. For this service LSV Asset Management is entitled to receive a fee from SIMC. Such fees for the six month period ended March 31, 2008 were as follows ($ Thousands): Large Cap Value Fund $ 468 Tax-Managed Large Cap Fund 211 Small Cap Value Fund 209 Tax-Managed Small Cap Fund 101 ----- $ 989 ===== FEES PAID INDIRECTLY -- The Funds may direct certain fund trades to the Distributor who pays a portion of the Fund's expenses. Accordingly, the expenses reduced, which were used to pay third party expenses, and the effect on the Fund's expense ratio, as a percentage of the Fund's average daily net assets for the six month period ended March 31, 2008, can be found on the Statement of Operations. INVESTMENT IN AFFILIATED SECURITY -- The Funds may invest the cash collateral from the securities lending program in the SEI Liquidity Fund L.P. - -------------------------------------------------------------------------------- 202 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 4. CAPITAL SHARE TRANSACTIONS Capital Share Transactions for the Funds were as follows (Thousands): For the six month period ended March 31, 2008 (Unaudited) and the year or period ended September 30, 2007
- ------------------------------------------------------------------------------------------ LARGE CAP LARGE CAP VALUE FUND GROWTH FUND - ------------------------------------------------------------------------------------------ 10/1/07 10/1/06 10/1/07 10/1/06 to 3/31/08 to 9/30/07 to 3/31/08 to 9/30/07 - ------------------------------------------------------------------------------------------ Class A: Shares Issued 17,674 22,820 15,178 24,904 Shares Issued in Lieu of Dividends & Distributions 16,207 16,663 383 339 Shares Redeemed (24,166) (48,402) (25,340) (42,404) - ------------------------------------------------------------------------------------------ Total Class A Transactions 9,715 (8,919) (9,779) (17,161) - ------------------------------------------------------------------------------------------ Class I: Shares Issued 161 467 136 339 Shares Issued in Lieu of Dividends & Distributions 112 151 1 -- Shares Redeemed (754) (735) (738) (673) - ------------------------------------------------------------------------------------------ Total Class I Transactions (481) (117) (601) (334) - ------------------------------------------------------------------------------------------ Class Y: Shares Issued -- -- -- -- Shares Issued in Lieu of Dividends & Distributions -- -- -- -- Shares Redeemed -- -- -- -- - ------------------------------------------------------------------------------------------ Total Class Y Transactions -- -- -- -- - ------------------------------------------------------------------------------------------ Net Increase (Decrease) in Capital Share Transactions 9,234 (9,036) (10,380) (17,495) - ------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------ LARGE CAP TAX-MANAGED DIVERSIFIED LARGE CAP FUND ALPHA FUND - ------------------------------------------------------------------------------------------ 10/1/07 10/1/06 10/1/07 10/1/06 to 3/31/08 to 9/30/07 to 3/31/08 to 9/30/07 - ------------------------------------------------------------------------------------------ Class A: Shares Issued 20,385 37,459 24,072 65,075 Shares Issued in Lieu of Dividends & Distributions 1,517 1,745 7,159 2,114 Shares Redeemed (21,430) (29,612) (18,167) (30,979) - ------------------------------------------------------------------------------------------ Total Class A Transactions 472 9,592 13,064 36,210 - ------------------------------------------------------------------------------------------ Class I: Shares Issued -- -- 2 68 Shares Issued in Lieu of Dividends & Distributions -- -- 2 -- Shares Redeemed -- -- (2) (27) - ------------------------------------------------------------------------------------------ Total Class I Transactions -- -- 2 41 - ------------------------------------------------------------------------------------------ Class Y: Shares Issued 1 7 -- -- Shares Issued in Lieu of Dividends & Distributions 3 3 -- -- Shares Redeemed (17) (49) -- -- - ------------------------------------------------------------------------------------------ Total Class Y Transactions (13) (39) -- -- - ------------------------------------------------------------------------------------------ Net Increase (Decrease) in Capital Share Transactions 459 9,553 13,066 36,251 - ------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------ S&P 500 SMALL CAP INDEX FUND(3) VALUE FUND - ------------------------------------------------------------------------------------------------------------ 10/1/07 4/1/07 4/1/06 10/1/07 10/1/06 to 3/31/08 to 9/30/07(1) to 3/31/07(2) to 3/31/08 to 9/30/07 - ------------------------------------------------------------------------------------------------------------ Class A: Shares Issued 2,968 1,250 2,517 9,568 11,573 Shares Issued in Lieu of Dividends & Distributions 904 53 445 7,687 5,373 Shares Redeemed (3,665) (1,749) (3,966) (10,971) (18,686)(4) - ------------------------------------------------------------------------------------------------------------ Total Class A Transactions 207 (446) (1,004) 6,284 (1,740) - ------------------------------------------------------------------------------------------------------------ Class E: Shares Issued 656 1,414 2,742 -- -- Shares Issued in Lieu of Dividends & Distributions 1,432 89 908 -- -- Shares Redeemed (2,142) (4,713) (20,320)(4) -- -- - ------------------------------------------------------------------------------------------------------------ Total Class E Transactions (54) (3,210) (16,670) -- -- - ------------------------------------------------------------------------------------------------------------ Class I: Shares Issued 46 58 123 230 310 Shares Issued in Lieu of Dividends & Distributions 17 1 10 96 70 Shares Redeemed (165) (109) (129) (433) (388) - ------------------------------------------------------------------------------------------------------------ Total Class I Transactions (102) (50) 4 (107) (8) - ------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Capital Share Transactions 51 (3,706) (17,670) 6,177 (1,748) - ------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------- SMALL CAP TAX-MANAGED GROWTH FUND SMALL CAP FUND - ------------------------------------------------------------------------------------------- 10/1/07 10/1/06 10/1/07 10/1/06 to 3/31/08 to 9/30/07 to 3/31/08 to 9/30/07 - ------------------------------------------------------------------------------------------- Class A: Shares Issued 5,064 12,999 5,191 7,958 Shares Issued in Lieu of Dividends & Distributions 4,398 -- 1,808 1,709 Shares Redeemed (11,003) (20,205)(4) (4,952) (4,181) - ------------------------------------------------------------------------------------------- Total Class A Transactions (1,541) (7,206) 2,047 5,486 - ------------------------------------------------------------------------------------------- Class E: Shares Issued -- -- -- -- Shares Issued in Lieu of Dividends & Distributions -- -- -- -- Shares Redeemed -- -- -- -- - ------------------------------------------------------------------------------------------- Total Class E Transactions -- -- -- -- - ------------------------------------------------------------------------------------------- Class I: Shares Issued 68 190 -- -- Shares Issued in Lieu of Dividends & Distributions 31 -- -- -- Shares Redeemed (249) (408) -- -- - ------------------------------------------------------------------------------------------- Total Class I Transactions (150) (218) -- -- - ------------------------------------------------------------------------------------------- Net Increase (Decrease) in Capital Share Transactions (1,691) (7,424) 2,047 5,486 - -------------------------------------------------------------------------------------------
(1) For the six months ended September 30, 2007. Effective September 17, 2007 the Fund's fiscal year end changed from March 31 to September 30. (2) For the year ended March 31. (3) On September 14, 2007, the SEI Institutional Managed Trust acquired the net assets of the SEI S&P 500 Index Fund in a tax-free reorganization. (4) Includes redemption as a result of in-kind transfer of securities (see Note 9). Amounts designated as "--" are $0 or have been rounded to $0. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 203 Notes to Financial Statements (Unaudited) (Continued) March 31, 2008
- -------------------------------------------------------------------------------------------------------------------- SMALL/MID DIVERSIFIED MID-CAP U.S. MANAGED ALPHA FUND(1) FUND VOLATILITY FUND - -------------------------------------------------------------------------------------------------------------------- 10/1/07 10/1/06 10/1/07 10/1/06 10/1/07 10/1/06 to 3/31/08 to 9/30/07 to 3/31/08 to 9/30/07 to 3/31/08 to 9/30/07 - -------------------------------------------------------------------------------------------------------------------- Class A: Shares Issued 3,379 13,754 2,599 7,597 11,293 28,238 Shares Issued in Lieu of Dividends & Distributions 121 66 837 300 1,926 1,043 Shares Redeemed (1,618) (881) (2,117) (4,069) (14,097) (10,963) - -------------------------------------------------------------------------------------------------------------------- Total Class A Transactions 1,882 12,939 1,319 3,828 (878) 18,318 - -------------------------------------------------------------------------------------------------------------------- Class I: Shares Issued 3 -- 9 -- -- -- Shares Issued in Lieu of Dividends & Distributions -- -- 1 -- -- -- Shares Redeemed -- -- (7) -- -- -- - -------------------------------------------------------------------------------------------------------------------- Total Class I Transactions 3 -- 3 -- -- -- - -------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Capital Share Transactions 1,885 12,939 1,322 3,828 (878) 18,318 - -------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------ TAX-MANAGED GLOBAL MANAGED MANAGED VOLATILITY FUND VOLATILITY FUND(2) - ------------------------------------------------------------------------------------ 10/1/07 10/1/06 12/20/07 to 3/31/08 to 9/30/07 to 3/31/08 - ------------------------------------------------------------------------------------ Class A: Shares Issued 6,401 20,365 7,569 Shares Issued in Lieu of Dividends & Distributions 736 204 16 Shares Redeemed (7,210) (5,154) (576) - ------------------------------------------------------------------------------------ Total Class A Transactions (73) 15,415 7,009 - ------------------------------------------------------------------------------------ Class I: Shares Issued 1 -- -- Shares Issued in Lieu of Dividends & Distributions -- -- -- Shares Redeemed -- -- -- - ------------------------------------------------------------------------------------ Total Class I Transactions 1 -- -- - ------------------------------------------------------------------------------------ Net Increase (Decrease) in Capital Share Transactions (72) 15,415 7,009 - ------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------ REAL ESTATE ENHANCED FUND INCOME FUND - ------------------------------------------------------------------------------------------ 10/1/07 10/1/06 10/1/07 10/1/06 to 3/31/08 to 9/30/07 to 3/31/08 to 9/30/07 - ------------------------------------------------------------------------------------------ Class A: Shares Issued 6,654 10,713 14,259 60,371 Shares Issued in Lieu of Dividends & Distributions 1,286 720 2,410 2,090 Shares Redeemed (4,781) (8,428) (35,878) (23,206) - ------------------------------------------------------------------------------------------ Total Class A Transactions 3,159 3,005 (19,209) 39,255 - ------------------------------------------------------------------------------------------ Class I: Shares Issued 1 -- -- 1 Shares Issued in Lieu of Dividends & Distributions -- -- -- -- Shares Redeemed -- -- -- -- - ------------------------------------------------------------------------------------------ Total Class I Transactions 1 -- -- 1 - ------------------------------------------------------------------------------------------ Net Increase (Decrease) in Capital Share Transactions 3,160 3,005 (19,209) 39,256 - ------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------- CORE FIXED HIGH YIELD INCOME FUND BOND FUND - ------------------------------------------------------------------------------------------- 10/1/07 10/1/06 10/1/07 10/1/06 to 3/31/08 to 9/30/07 to 3/31/08 to 9/30/07 - ------------------------------------------------------------------------------------------- Class A: Shares Issued 51,802 115,881 41,762 59,539 Shares Issued in Lieu of Dividends & Distributions 10,533 19,804 8,016 10,186 Shares Redeemed (81,693) (101,625) (38,660) (46,105) - ------------------------------------------------------------------------------------------- Total Class A Transactions (19,358) 34,060 11,118 23,620 - ------------------------------------------------------------------------------------------- Class I: Shares Issued 360 669 5 -- Shares Issued in Lieu of Dividends & Distributions 23 62 -- -- Shares Redeemed (879) (830) -- -- - ------------------------------------------------------------------------------------------- Total Class I Transactions (496) (99) 5 -- - ------------------------------------------------------------------------------------------- Net Increase (Decrease) in Capital Share Transactions (19,854) 33,961 11,123 23,620 - -------------------------------------------------------------------------------------------
(1) The Small/Mid Cap Diversified Alpha Fund commenced operations on December 20, 2006. (2) The Tax-Managed Managed Volatility Fund commenced operations on December 20, 2007. Amounts designated as "--" are $0 or have been rounded to $0. 5. INVESTMENT TRANSACTIONS The cost of security purchases and proceeds from the sale of securities, other than temporary cash investments and futures, during the six month period ended March 31, 2008, were as follows: - ----------------------------------------------------------------------------- U.S. Gov't Other Total ($ Thousands) ($ Thousands) ($ Thousands) - ----------------------------------------------------------------------------- LARGE CAP VALUE FUND Purchases .................. $ -- $ 717,019 $ 717,019 Sales ...................... -- 867,147 867,147 LARGE CAP GROWTH FUND Purchases .................. -- 1,067,968 1,067,968 Sales ...................... -- 1,290,049 1,290,049 TAX-MANAGED LARGE CAP FUND Purchases .................. -- 632,791 632,791 Sales ...................... -- 613,153 613,153 - ----------------------------------------------------------------------------- U.S. Gov't Other Total ($ Thousands) ($ Thousands) ($ Thousands) - ----------------------------------------------------------------------------- LARGE CAP DIVERSIFIED ALPHA FUND Purchases .................. $ 383,613 $ 297,036 $ 680,649 Sales ...................... 367,025 269,988 637,013 S&P 500 INDEX FUND Purchases .................. -- 98,126 98,126 Sales ...................... -- 160,505 160,505 SMALL CAP VALUE FUND Purchases .................. -- 419,498 419,498 Sales ...................... -- 460,478 460,478 SMALL CAP GROWTH FUND Purchases .................. -- 565,095 565,095 Sales ...................... -- 680,097 680,097 - -------------------------------------------------------------------------------- 204 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 - -------------------------------------------------------------------------------- U.S. Gov't Other Total ($ Thousands) ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- TAX-MANAGED SMALL CAP FUND Purchases ................ $ -- $ 153,148 $ 153,148 Sales .................... -- 144,601 144,601 SMALL/MID CAP DIVERSIFIED ALPHA FUND Purchases ................ 75,192 45,320 120,512 Sales .................... 79,589 34,928 114,517 MID-CAP FUND Purchases ................ -- 112,320 112,320 Sales .................... -- 104,661 104,661 U.S. MANAGED VOLATILITY FUND Purchases ................ -- 210,932 210,932 Sales .................... -- 239,267 239,267 GLOBAL MANAGED VOLATILITY FUND Purchases ................ -- 145,695 145,695 Sales .................... -- 159,734 159,734 - -------------------------------------------------------------------------------- U.S. Gov't Other Total ($ Thousands) ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- TAX-MANAGED MANAGED VOLATILITY+ Purchases ................ $ -- $ 77,307 $ 77,307 Sales .................... -- 14,008 14,008 REAL ESTATE FUND Purchases ................ -- 92,023 92,023 Sales .................... -- 60,528 60,528 ENHANCED INCOME FUND Purchases ................ 7,773 8,339 16,112 Sales .................... 30,824 91,071 121,895 CORE FIXED INCOME FUND Purchases ................ 6,668,604 618,485 7,287,089 Sales .................... 7,129,415 603,337 7,732,752 HIGH YIELD BOND FUND Purchases ................ -- 414,930 414,930 Sales .................... -- 307,908 307,908 + For the period December 20, 2007 through March 31, 2008. 6. FEDERAL TAX INFORMATION It is each Fund's intention to continue to qualify as a regulated investment company under Subchapter M of The Internal Revenue Code and distribute all of its taxable income (including net capital gains). Accordingly, no provision for Federal income taxes is required. Dividends from net investment income and distributions from net realized capital gains are determined in accordance with U.S. Federal income tax regulations, which may differ from those amounts determined under accounting principles generally accepted in the United States. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital, undistributed net investment income or accumulated net realized gain, as appropriate, in the period that the differences arise. The tax character of dividends and distributions paid during the years or period ended September 30, 2007 and September 30, 2006 (unless otherwise indicated) was as follows:
- ---------------------------------------------------------------------------------------------------------------------------------- Ordinary Income Long-term Capital Gain Return of Capital Total ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) - ---------------------------------------------------------------------------------------------------------------------------------- Large Cap Value Fund 2007 $ 89,084 $ 321,001 $ -- $ 410,085 2006 109,345 203,925 -- 313,270 Large Cap Growth Fund 2007 7,665 -- -- 7,665 2006 6,263 -- -- 6,263 Tax-Managed Large Cap Fund 2007 25,221 -- -- 25,221 2006 19,664 -- -- 19,664 Large Cap Diversified Alpha Fund 2007 15,521 7,983 -- 23,504 2006 5,836 -- -- 5,836 S&P 500 Index Fund 2007(1) 6,937 -- -- 6,937 2007(2) 33,765 26,542 -- 60,307 2006(2) 33,739 68,539 -- 102,278 Small Cap Value Fund 2007 28,891 92,533 -- 121,424 2006 38,571 77,086 -- 115,657 Tax-Managed Small Cap Fund 2007 4,745 19,830 -- 24,575 2006 4,108 10,936 -- 15,044 Small/Mid Cap Diversified Alpha Fund 2007 699 -- -- 699 Mid-Cap Fund 2007 1,396 6,038 -- 7,434 2006 4,046 3,186 -- 7,232
(1) For the six months ended September 30, 2007. The Fund's fiscal year end changed from March 31 to September 30. (2) For the year ended March 31. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 205 Notes to Financial Statements (Unaudited) (Continued) March 31, 2008
- ------------------------------------------------------------------------------------------------------------------------------- Ordinary Income Long-term Capital Gain Return of Capital Total ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) - ------------------------------------------------------------------------------------------------------------------------------- U.S. Managed Volatility Fund 2007 $ 9,194 $ 4,209 $ -- $ 13,403 2006 4,098 102 -- 4,200 Global Managed Volatility Fund 2007 2,197 45 -- 2,242 Real Estate Fund 2007 6,013 8,207 159 14,379 2006 4,354 1,919 -- 6,273 Enhanced Income Fund 2007 21,572 -- -- 21,572 Core Fixed Income Fund 2007 215,422 -- -- 215,422 2006 194,350 13,007 -- 207,357 High Yield Bond Fund 2007 93,629 -- -- 93,629 2006 89,029 -- -- 89,029
As of September 30, 2007, the components of Distributable Earnings/(Accumulated Losses) were as follows:
- ------------------------------------------------------------------------------------------------------------------------------------ Total Post Distributable Undistributed Undistributed Capital Post October Unrealized Other Earnings/ Ordinary Long-Term Loss October Losses Appreciation Temporary (Accumulated Income Capital Gain Carryforwards Losses Currency (Depreciation) Differences Losses) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) - ------------------------------------------------------------------------------------------------------------------------------------ Large Cap Value Fund $ 42,493 $ 267,676 $ -- $ -- $ -- $ 781,060 $ -- $ 1,091,229 Large Cap Growth Fund 2,336 -- (1,081,365) -- -- 751,627 -- (327,402) Tax-Managed Large Cap Fund 6,746 -- (289,958) -- -- 719,410 -- 436,198 Large Cap Diversified Alpha Fund 36,616 30,983 -- -- (1) 126,083 4 193,685 S&P 500 Index Fund 8,449 76,392 -- -- -- 938,497 -- 1,023,338 Small Cap Value Fund 30,689 100,430 -- -- (4) 112,590 -- 243,705 Small Cap Growth Fund 12,705 59,544 -- -- -- 107,954 (277) 179,926 Tax-Managed Small Cap Fund 3,026 18,159 -- -- -- 67,998 -- 89,183 Small/Mid Cap Diversified Alpha Fund 77 -- (649) -- (4) (134) -- (710) Mid-Cap Fund 6,433 10,548 -- -- -- 7,000 -- 23,981 U.S. Managed Volatility Fund 11,839 7,176 -- -- -- 46,957 -- 65,972 Global Managed Volatility Fund 7,304 4 -- -- (7,329) 12,025 502 12,506 Real Estate Fund* 2,519 7,949 -- -- -- 31,561 -- 42,029 Enhanced Income Fund 7,703 -- (526) (2,919) -- (18,416) 2,136 (12,022) Core Fixed Income Fund 14,440 -- (59,119) -- (901) (22,502) (19,809) (87,891) High Yield Bond Fund 17,367 -- (155,388) (2,555) -- (35,203) (16,742) (192,521)
* Information reflects Fund activity based on Fund's December 31, 2006 tax reporting year. Post October losses represent losses realized on investment transactions from November 1, 2006 through September 30, 2007 that, in accordance with Federal income tax regulations, the Funds may defer and treat as having arisen in the following fiscal year. For Federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains as follows:
- ------------------------------------------------------------------------------------------------------------------------------------ Total Capital Expires Expires Expires Expires Expires Loss 2015 2014 2012 2011 2010 Carryforwards ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) - ------------------------------------------------------------------------------------------------------------------------------------ Large Cap Growth Fund $ -- $ -- $ 7,113 $ 625,971 $ 448,281 $ 1,081,365 Small/Mid Cap Diversified Alpha Fund 649 -- -- -- -- 649 Tax-Managed Large Cap Fund -- -- 16,066 203,461 70,431 289,958 Enhanced Income Fund 526 -- -- -- -- 526 Core Fixed Income Fund 40,684 18,435 -- -- -- 59,119 High Yield Bond Fund 21,474 8,149 -- 57,113 68,652 155,388
During the year ended September 30, 2007, the Large Cap Growth, Tax-Managed Large Cap and Small Cap Growth Funds utilized $202,062,461, $136,812,157 and $36,498,015, respectively, of capital loss carryforward to offset capital gains. - -------------------------------------------------------------------------------- 206 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 For Federal income tax purposes, the cost of securities owned at March 31, 2008, and the net realized gains or losses on securities sold for the period, were different from amounts reported for financial reporting purposes, primarily due to wash sales which cannot be used for Federal income tax purposes in the current year and have been deferred for use in future years. The Federal tax cost and aggregate gross unrealized appreciation and depreciation on investments held by the Funds at March 31, 2008, were as follows:
- -------------------------------------------------------------------------------------------------- Net Unrealized Federal Appreciated Depreciated Appreciation/ Tax Cost Securities Securities (Depreciation) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) - --------------------------------------------------------------------------------------------------- Large Cap Value Fund $ 3,216,867 $ 486,483 $ (306,124) $ 180,359 Large Cap Growth Fund 3,142,387 506,304 (143,242) 363,062 Tax-Managed Large Cap Fund 2,569,197 488,478 (137,652) 350,826 Large Cap Diversified Alpha Fund 1,814,465 147,336 (204,662) (57,326) S&P 500 Index Fund 956,817 770,633 (81,620) 689,013 Small Cap Value Fund 1,289,225 105,339 (113,631) (8,292) Small Cap Growth Fund 1,196,674 65,169 (133,374) (68,205) Tax-Managed Small Cap Fund 461,576 49,163 (41,087) 8,076 Small/Mid Cap Diversified Alpha Fund 150,636 5,624 (16,877) (11,253) Mid-Cap Fund 197,046 9,182 (19,098) (9,916) U.S. Managed Volatility Fund 509,927 25,438 (41,706) (16,268) Global Managed Volatility Fund 231,287 14,070 (15,733) (1,663) Tax-Managed Managed Volatility Fund 67,231 1,058 (3,896) (2,838) Real Estate 353,085 18,610 (12,322) 6,288 Enhanced Income Fund 421,106 1,029 (54,138) (53,109) Core Fixed Income Fund 5,522,781 92,643 (180,392) (87,749) High Yield Bond Fund 1,483,570 5,489 (141,954) (136,465)
7. SECURITIES LENDING Each Fund may lend portfolio securities to brokers, dealers and other financial organizations that meet capital and other credit requirements or other criteria established by the Trust's Board of Trustees. These loans may not exceed 33 1/3% of the total asset value of the Fund (including the loan collateral). No Fund will lend portfolio securities to its Adviser, sub-adviser or their affiliates unless it has applied for and received specific authority to do so from the SEC. Loans of portfolio securities will be fully collateralized by cash. Collateral will be maintained in an amount equal to at least 100% of the current market value of the loaned securities by marking to market daily, although the borrower will be required to deliver collateral of 102% and 105% of the market value of borrowed securities for domestic and foreign securities, respectively. However, due to market fluctuations during the day, the value of securities loaned on a particular day may, during the course of the day, exceed the value of collateral. On each business day, the amount of collateral is adjusted based on the prior day's market fluctuations and the current day's lending activity. Income from lending activity is determined by the amount of interest earned on collateral, less any amounts payable to the borrowers of the securities and the lending agent. Lending securities involves certain risks, including the risk that the Fund may be delayed or prevented from recovering the collateral if the borrower fails to return the securities. Cash collateral received in connection with securities lending is invested in short-term investments by the lending agent. These investments may include repurchase agreements, which are collateralized by United States Treasury and Government Agency securities, and high-quality, short-term instruments, such as floating rate corporate obligations, commercial paper, and private placements with an average weighted maturity not to exceed 60 days and a maturity not to exceed 397 days. 8. CONCENTRATIONS/RISKS In the normal course of business, the Funds enter into contracts that provide general indemnifications by the Funds to the counterparty to the contract. The Funds' maximum exposure under these arrangements is dependent on future claims that may be made against the Funds and, therefore, cannot be estimated; however, based on experience, the risk of loss from such claims is considered remote. The market values of the Core Fixed Income and High Yield Bond Funds' investments will change in response to interest rate changes and other factors. During periods of falling interest rates, the values of fixed income securities generally rise. Conversely, during periods of rising interest rates, the values of such securities generally decline. Changes by recognized rating agencies in the ratings of any fixed income security and in the ability of an issuer to make payments of interest and principal may also affect the value of these investments. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 207 Notes to Financial Statements (Unaudited) (Concluded) March 31, 2008 9. IN-KIND TRANSFER OF SECURITIES During the year ended September 30, 2007, the Small Cap Value and Small Cap Growth Funds redeemed shares of beneficial interest in exchange for securities. The securities were transferred at their current value on the date of transaction. - -------------------------------------------------------------------------------- Transaction Shares Gain Date Redeemed Value (Loss) - -------------------------------------------------------------------------------- Small Cap Value Fund 10/31/06 2,111,117 $47,246,783 $2,167,503 Small Cap Growth Fund 10/31/06 3,291,723 64,649,433 (4,305,289) During the year ended March 31, 2007, the S&P 500 Index Fund redeemed shares of beneficial interest in exchange for securities. The securities were transferred at their current value on the date of transaction. - -------------------------------------------------------------------------------- Transaction Date Shares Redeemed Value Gain - -------------------------------------------------------------------------------- 10/31/06 1,159,503 $47,458,439 $4,367,598 10. NEW ACCOUNTING PRONOUNCEMENTS On July 13, 2006, the Financial Accounting Standards Board ("FASB") released FASB Interpretation No. 48 ("FIN 48"), "Accounting for Uncertainty in Income Taxes." This standard defines the threshold for recognizing the benefits of tax-return positions in the financial statements as "more-likely-than-not" to be sustained by the taxing authority and requires measurement of a tax position meeting the more-likely-than-not criterion, based on the largest benefit that is more than 50 percent likely to be realized. FIN 48 is effective as of the beginning of the first fiscal year beginning after December 15, 2006. At adoption, companies must adjust their financial statements to reflect only those tax positions that are more-likely-than-not to be sustained as of the adoption date. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. Recent SEC guidance allows implementing FIN 48 in fund asset calculations as late as the fund's last net asset value calculation in the first required financial statement reporting period. As a result, the Funds, with the exception of the Tax-Managed Managed Volatility Fund, will incorporate FIN 48 in their semi-annual report of March 31, 2008. As of March 31, 2008, management does not anticipate a material impact to the financial statements. The Tax-Managed Managed Volatility Fund adopted FIN 48 upon inception and management has determined that the adoption of FIN 48 did not have a material impact to the Fund's financial statements. However, management's conclusions regarding FIN 48 could change in the future to the extent there are changes in tax laws and/or additional guidance from the IRS regarding interpretations of existing laws. In September 2006, the FASB issued Statement on Financial Accounting Standards ("SFAS") No. 157, "Fair Value Measurements." This standard establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and requires additional disclosures about fair value measurements. SFAS No. 157 applies to fair value measurements already required or permitted by existing standards. SFAS No. 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. The changes to current generally accepted accounting principles from the application of this Statement relate to the definition of fair value, the methods used to measure fair value, and the expanded disclosures about fair value measurements. As of March 31, 2008, the Funds do not believe the adoption of SFAS No. 157 will impact the amounts reported in the financial statements, however, additional disclosures may be required about the inputs used to develop the measurements and the effect of certain of the measurements reported in the financial statements for a fiscal period. In March 2008, the Financial Accounting Standards Board (FASB) issued Statement of Financial Accounting Standards (SFAS) No. 161, DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES. SFAS No. 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS No.161 requires enhanced disclosures about the Funds' derivative and hedging activities, including how such activities are accounted for and their effect on the Funds' financial position, performance, and cash flows. Management is currently evaluating the impact the adoption of SFAS No. 161 will have on the Funds' financial statements and related disclosures. 11. OTHER MATTERS Due to volatility in the fixed income and equity markets, the market value of some of the Fund's holdings may currently be lower than shown in the Schedules of Investments ("SOI"). The values shown in the SOI's were the market values as of March 31, 2008 and do not reflect any market events after March 31, 2008. - -------------------------------------------------------------------------------- 208 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 Disclosure of Fund Expenses (Unaudited) All mutual funds have operating expenses. As a shareholder of a mutual fund, your investment is affected by these ongoing costs, which include (among others) costs for portfolio management, administrative services, and shareholder reports like this one. It is important for you to understand the impact of these costs on your investment returns. Operating expenses such as these are deducted from the mutual fund's gross income and directly reduce your final investment return. These expenses are expressed as a percentage of the mutual fund's average net assets; this percentage is known as the mutual fund's expense ratio. The following examples use the expense ratio and are intended to help you understand the ongoing costs (in dollars) of investing in your Fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The table on the next page illustrates your Fund's costs in two ways: o ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that your Fund incurred over the period. The "Expenses Paid During Period" column shows the actual dollar expense cost incurred by a $1,000 investment in the Fund, and the "Ending Account Value" number is derived from deducting that expense cost from the Fund's gross investment return. You can use this information, together with the actual amount you invested in your Fund, to estimate the expenses you paid over that period. Simply divide your actual starting account value by $1,000 to arrive at a ratio (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply that ratio by the number shown for your Fund under "Expenses Paid During Period." o HYPOTHETICAL 5% RETURN. This section helps you compare your Fund's costs with those of other mutual funds. It assumes that your Fund had an annual 5% return before expenses during the year, but that the expense ratio (Column 3) is unchanged. This example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to make this 5% calculation. You can assess your Fund's comparative cost by comparing the hypothetical result for your Fund in the "Expense Paid During Period" column with those that appear in the same charts in the shareholder reports for other mutual funds. NOTE: Because the return is set at 5% for comparison purposes -- NOT your Fund's actual return -- the account values shown do not apply to your specific investment. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 209 BEGINNING ENDING EXPENSE ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 10/1/07 3/31/08 RATIOS PERIOD* - -------------------------------------------------------------------------------- LARGE CAP VALUE FUND - -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 842.50 0.87% $ 4.01 Class I Shares 1,000.00 841.10 1.11 5.11 HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,020.65 0.87% $ 4.39 Class I Shares 1,000.00 1,019.45 1.11 5.60 - -------------------------------------------------------------------------------- LARGE CAP GROWTH FUND - -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 889.10 0.87% $ 4.11 Class I Shares 1,000.00 888.20 1.11 5.24 HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,020.65 0.87% $ 4.39 Class I Shares 1,000.00 1,019.45 1.11 5.60 - -------------------------------------------------------------------------------- TAX-MANAGED LARGE CAP FUND - -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 869.00 0.87% $ 4.07 Class Y Shares 1,000.00 870.10 0.56 2.62 HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,020.65 0.87% $ 4.39 Class Y Shares 1,000.00 1,022.20 0.56 2.83 - -------------------------------------------------------------------------------- LARGE CAP DIVERSIFIED ALPHA FUND - -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 851.30 1.07% $ 4.95 Class I Shares 1,000.00 849.70 1.32 6.10 HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,019.65 1.07% $ 5.40 Class I Shares 1,000.00 1,018.40 1.32 6.66 - -------------------------------------------------------------------------------- S&P 500 INDEX FUND - -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 874.30 0.40% $ 1.87 Class E Shares 1,000.00 875.00 0.25 1.17 Class I Shares 1,000.00 873.30 0.65 3.04 HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,023.00 0.40% $ 2.02 Class E Shares 1,000.00 1,023.75 0.25 1.26 Class I Shares 1,000.00 1,021.75 0.65 3.29 - -------------------------------------------------------------------------------- SMALL CAP VALUE FUND - -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 866.80 1.12% $ 5.23 Class I Shares 1,000.00 865.10 1.36 6.34 HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,019.40 1.12% $ 5.65 Class I Shares 1,000.00 1,018.20 1.36 6.86 - -------------------------------------------------------------------------------- SMALL CAP GROWTH FUND - -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 791.60 1.11% $ 4.97 Class I Shares 1,000.00 790.60 1.36 6.09 HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,019.45 1.11% $ 5.60 Class I Shares 1,000.00 1,018.20 1.36 6.86 - -------------------------------------------------------------------------------- TAX-MANAGED SMALL CAP FUND - -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 834.10 1.11% $ 5.09 HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,019.45 1.11% $ 5.60 - -------------------------------------------------------------------------------- SMALL/MID CAP DIVERSIFIED ALPHA FUND+ - -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 807.90 1.28% $ 5.79 Class I Shares 1,000.00 793.40 1.55 6.95 HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,018.60 1.28% $ 6.46 Class I Shares 1,000.00 1,017.25 1.55 7.82 - -------------------------------------------------------------------------------- MID-CAP FUND+ - -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 863.70 1.01% $ 4.71 Class I Shares 1,000.00 849.00 1.26 5.82 HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,019.95 1.01% $ 5.10 Class I Shares 1,000.00 1,018.70 1.26 6.36 BEGINNING ENDING EXPENSE ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 10/1/07 3/31/08 RATIOS PERIOD* - -------------------------------------------------------------------------------- U.S. MANAGED VOLATILITY FUND - -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 899.00 1.00% $ 4.75 Class I Shares 1,000.00 898.20 1.36 6.45 HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,020.00 1.00% $ 5.05 Class I Shares 1,000.00 1,018.20 1.36 6.86 - -------------------------------------------------------------------------------- GLOBAL MANAGED VOLATILITY FUND - -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 871.80 1.11% $ 5.19 Class I Shares 1,000.00 870.10 1.36 6.36 HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,019.45 1.11% $ 5.60 Class I Shares 1,000.00 1,018.20 1.36 6.86 - -------------------------------------------------------------------------------- REAL ESTATE FUND+ - -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 893.50 1.12% $ 5.30 Class I Shares 1,000.00 875.90 1.36 6.38 HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,019.40 1.12% $ 5.65 Class I Shares 1,000.00 1,018.20 1.36 6.86 - -------------------------------------------------------------------------------- ENHANCED INCOME FUND - -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 918.60 0.60% $ 2.88 Class I Shares 1,000.00 918.30 0.85 4.08 HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,022.00 0.60% $ 3.03 Class I Shares 1,000.00 1,020.75 0.85 4.29 - -------------------------------------------------------------------------------- CORE FIXED INCOME FUND - -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 1,014.50 0.65% $ 3.27 Class I Shares 1,000.00 1,013.20 0.89 4.48 HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,021.75 0.65% $ 3.29 Class I Shares 1,000.00 1,020.55 0.89 4.50 - -------------------------------------------------------------------------------- HIGH YIELD BOND FUND+ - -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 941.60 0.87% $ 4.22 Class I Shares 1,000.00 940.30 1.11 5.38 HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,020.65 0.87% $ 4.39 Class I Shares 1,000.00 1,019.45 1.11 5.60 + Class I Shares commenced operations on October 1, 2007. * Expenses are equal to the Fund's annualized expense ratio multiplied by the average account value over the period, multiplied by 183/366 (to reflect one-half year period shown). BEGINNING ENDING EXPENSE ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 12/20/07(1) 3/31/07 RATIOS PERIOD - -------------------------------------------------------------------------------- TAX-MANAGED MANAGED VOLATILITY FUND - -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 925.10 1.00% $ 2.68* HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,020.00 1.00% $ 5.05** (1) Date of inception. * Expenses are equal to the Fund's annualized expense ratio multiplied by the average account value over the period, multiplied by 102/366 (to reflect the period since inception). ** Expenses are equal to the Fund's annualized expense ratio multiplied by the average account value over the period, multiplied by 183/366 (to reflect one-half year period shown). - -------------------------------------------------------------------------------- 210 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited) SEI Institutional Managed Trust (the "Trust") and SEI Investments Management Corporation ("SIMC") have entered into an investment advisory agreement (the "Advisory Agreement"). Pursuant to the Advisory Agreement, SIMC oversees the investment advisory services provided to the series of the Trust (the "Funds") and may manage the cash portion of the Funds' assets. Pursuant to separate sub-advisory agreements (the "Sub-Advisory Agreements" and, together with the Advisory Agreement, the "Investment Advisory Agreements") with SIMC, and under the supervision of SIMC and the Trust's Board of Trustees (the "Board"), the Sub-Advisers are responsible for the day-to-day investment management of all or a discrete portion of the assets of the Funds. The Sub-Advisers also are responsible for managing their employees who provide services to these Funds. The Sub-Advisers are selected based primarily upon the research and recommendations of SIMC, which evaluates quantitatively and qualitatively the Sub-Advisers' skills and investment results in managing assets for specific asset classes, investment styles and strategies. The Investment Company Act of 1940, as amended (the "1940 Act") requires that the initial approval of, as well as the continuation of, the Funds' Investment Advisory Agreements must be specifically approved: (i) by the vote of the Board of Trustees or by a vote of the shareholders of the Funds; and (ii) by the vote of a majority of the Trustees who are not parties to the Investment Advisory Agreements or "interested persons" of any party (the "Independent Trustees"), cast in person at a meeting called for the purpose of voting on such approval. In connection with their consideration of such approvals, the Funds' Trustees must request and evaluate, and SIMC and the Sub-Advisers are required to furnish, such information as may be reasonably necessary to evaluate the terms of the Investment Advisory Agreements. In addition, the Securities and Exchange Commission ("SEC") takes the position that, as part of their fiduciary duties with respect to a mutual fund's fees, mutual fund boards are required to evaluate the material factors applicable to a decision to approve an Investment Advisory Agreement. Consistent with these responsibilities, the Trust's Board of Trustees calls and holds meetings each year that are dedicated to considering whether to renew the Investment Advisory Agreements between the Trust and SIMC and SIMC and the Sub-Advisers with respect to the Funds of the Trust. In preparation for these meetings, the Board requests and reviews a wide variety of materials provided by SIMC and the Sub-Advisers, including information about SIMC's and the Sub-Advisers' affiliates, personnel and operations. The Board also receives extensive data provided by third parties. This information is in addition to the detailed information about the Funds that the Board reviews during the course of each year, including information that relates to Fund operations and Fund performance. The Trustees also receive a memorandum from Fund counsel and independent counsel to the Independent Trustees regarding the responsibilities of Trustees in connection with their consideration of whether to approve the Trust's Investment Advisory Agreements. Finally, the Independent Trustees receive advice from independent counsel to the Independent Trustees, meet in executive session outside the presence of Fund management and participate in question and answer sessions with representatives of SIMC and the Sub-Advisers. Specifically, the Board requested and received written materials from SIMC and the Sub-Advisers regarding: (a) the quality of SIMC's and the Sub-Advisers' investment management and other services; (b) SIMC's and the Sub-Advisers' investment management personnel; (c) SIMC's and the Sub-Advisers' operations and financial condition; (d) SIMC's and the Sub-Advisers' brokerage practices (including any soft dollar arrangements) and investment strategies; (e) the level of the advisory fees that SIMC and the Sub-Advisers charge the Funds compared with the fees each charge to comparable mutual funds; (f) the Funds' overall fees and operating expenses compared with similar mutual funds; (g) the level of SIMC's and the Sub-Advisers' profitability from their Fund-related operations; (h) SIMC's and the Sub-Advisers' compliance systems; (i) SIMC's and the Sub-Advisers' policies on and compliance procedures for personal securities transactions; (j) SIMC's and the Sub-Advisers' reputation, expertise and resources in domestic and/or international financial markets; and (k) the Funds' performance compared with similar mutual funds. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 211 Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited) (Concluded) At the December 5-6, 2007 and March 12-13, 2008 meetings of the Board of Trustees, the Trustees, including a majority of the Independent Trustees, approved the Investment Advisory Agreements and approved the selection of SIMC and the Sub-Advisers to act in their respective capacities for the Funds. The Board's approval was based on its consideration and evaluation of a variety of specific factors discussed at the meetings and at prior meetings, including: o the nature, extent and quality of the services provided to the Funds under the Investment Advisory Agreements, including the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds; o the Funds' investment performance and how it compared to that of other comparable mutual funds; o the Funds' expenses under each Investment Advisory Agreement and how those expenses compared to those of other comparable mutual funds; o the profitability of SIMC and the Sub-Advisers and their affiliates with respect to the Funds, including both direct and indirect benefits accruing to SIMC and the Sub-Advisers and their affiliates; and o the extent to which economies of scale would be realized as the Funds grow and whether fee levels in the Investment Advisory Agreements reflect those economies of scale for the benefit of Fund investors. NATURE, EXTENT AND QUALITY OF SERVICES. The Board of Trustees considered the nature, extent and quality of the services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds. In this regard, the Trustees evaluated, among other things, SIMC's and the Sub-Advisers' personnel, experience, track record and compliance program. The Trustees found the level of SIMC's professional staff and culture of compliance satisfactory. Following evaluation, the Board concluded that, within the context of its full deliberations, the nature, extent and quality of services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds supported renewal of the Investment Advisory Agreements. FUND PERFORMANCE. The Board of Trustees considered Fund performance in determining whether to renew the Investment Advisory Agreements. Specifically, the Trustees considered the Funds' performance relative to their peer groups and appropriate indices/benchmarks, in light of total return, yield and market trends. As part of this review, the Trustees considered the composition of each peer group and selection criteria. In evaluating performance, the Trustees considered both market risk and shareholder risk expectations for the Funds. The Trustees found Fund performance satisfactory, and where performance was below the benchmark, the Trustees were satisfied that appropriate steps were being taken. Following evaluation, the Board concluded that, within the context of its full deliberations, the performance of the Funds supported renewal of the Investment Advisory Agreements. FUND EXPENSES. With respect to the Funds' expenses under the Investment Advisory Agreements, the Trustees considered the rate of compensation called for by the Investment Advisory Agreements and the Funds' net operating expense ratio in comparison to those of other comparable mutual funds. The Trustees also considered information about average expense ratios of comparable mutual funds in the Funds' respective peer groups. The Trustees further considered the fact that the comparative fee analysis either showed that the various fees were below average or that there was a reasonable basis for the fee level. Finally, the Trustees considered the effects of SIMC's voluntary waiver of management and other fees and the Sub-Advisers' fees to prevent total Fund expenses from exceeding a specified cap and that SIMC and the Sub-Advisers, through waivers, have maintained the Funds' net operating expenses at competitive levels for their respective distribution channels. Following evaluation, the Board concluded that, within the context of its full deliberations, the expenses of the Funds are reasonable and supported renewal of the Investment Advisory Agreements. - -------------------------------------------------------------------------------- 212 SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 PROFITABILITY. With regard to profitability, the Trustees considered all compensation flowing to SIMC and the Sub-Adviser and their affiliates, directly or indirectly. The Trustees considered whether the varied levels of compensation and profitability under the Investment Advisory Agreements and other service agreements were reasonable and justified in light of the quality of all services rendered to the Funds by SIMC and the Sub-Advisers and their affiliates. The Trustees found that profitability was reasonable and that the margin was not increasing despite growth in assets. When considering the profitability of the Sub-Advisers, the Board took into account the fact that the Sub-Advisers are compensated by SIMC, and not by the Funds directly, and such compensation with respect to any Sub-Adviser reflects an arms-length negotiation between the Sub-Adviser and SIMC. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the profitability of SIMC and the Sub-Advisers are reasonable and supported renewal of the Investment Advisory Agreements. ECONOMIES OF SCALE. The Trustees considered the existence of any economies of scale and whether those were passed along to the Funds' shareholders through a graduated investment advisory fee schedule or other means, including any fee waivers by SIMC and its affiliates. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the Funds obtain reasonable benefit from economies of scale. Based on the Trustees' deliberation and their evaluation of the information described above, the Board, including all of the Independent Trustees, unanimously approved the continuation of the Investment Advisory Agreements and concluded that the compensation under the Investment Advisory Agreements is fair and reasonable in light of such services and expenses and such other matters as the Trustees considered to be relevant in the exercise of their reasonable judgment. In the course of their deliberations, the Trustees did not identify any particular information that was all-important or controlling. - -------------------------------------------------------------------------------- SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2008 213 Notes Notes Notes SEI INSTITUTIONAL MANAGED TRUST SEMI-ANNUAL REPORT MARCH 31, 2008 Robert A. Nesher, CHAIRMAN TRUSTEES William M. Doran James M. Storey George J. Sullivan, Jr. Rosemarie B. Greco Nina Lesavoy James M. Williams Mitchell A. Johnson OFFICERS Robert A. Nesher PRESIDENT AND CHIEF EXECUTIVE OFFICER Stephen F. Panner CONTROLLER AND CHIEF FINANCIAL OFFICER Russell Emery CHIEF COMPLIANCE OFFICER Timothy D. Barto VICE PRESIDENT, SECRETARY Sofia A. Rosala VICE PRESIDENT, ASSISTANT SECRETARY James Ndiaye VICE PRESIDENT, ASSISTANT SECRETARY Michael T. Pang VICE PRESIDENT, ASSISTANT SECRETARY Aaron Buser VICE PRESIDENT, ASSISTANT SECRETARY John J. McCue VICE PRESIDENT Andrew S. Decker ANTI-MONEY LAUNDERING COMPLIANCE OFFICER INVESTMENT ADVISER SEI Investments Management Corporation ADMINISTRATOR SEI Investments Global Funds Services DISTRIBUTOR SEI Investments Distribution Co. LEGAL COUNSEL Morgan, Lewis & Bockius LLP INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM KPMG LLP This report and the financial statements contained herein are submitted for the general information of the shareholders of the Trust and must be preceded or accompanied by a current prospectus. Shares of the Funds are not deposits or obligations of, or guaranteed or endorsed by, any bank. The shares are not federally insured by the Federal Deposit Insurance Corporation (FDIC), the Federal Reserve Board, or any other government agency. Investment in the shares involves risk, including the possible loss of principal. FOR MORE INFORMATION CALL 1 800 DIAL SEI (1 800 342 5734) [LOGO] SEI New ways. New answers.(R) SEI Investments Distribution Co. Oaks, PA 19456 1.800.DIAL.SEI (1.800.342.5734) SEI-F-092 (3/08) ITEM 2. CODE OF ETHICS. Not applicable for semi-annual report. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable for semi-annual report. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable for semi-annual report. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable to open-end management investment companies. ITEM 6. SCHEDULE OF INVESTMENTS. Not applicable. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable to open-end management investment companies. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable to open-end management investment companies. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable to open-end management investment companies. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. The Trust has a standing Nominating Committee (the "Committee") currently consisting of the Independent Trustees. The Committee is responsible for evaluating and recommending nominees for election to the Trust's Board of Trustees (the "Board"). Pursuant to the Committee's Charter, adopted on June 18, 2004, the Committee will review all shareholder recommendations for nominations to fill vacancies on the Board if such recommendations are submitted in writing and addressed to the Committee at the Trust's office. ITEM 11. CONTROLS AND PROCEDURES. (a) The certifying officers, whose certifications are included herewith, have evaluated the registrant's disclosure controls and procedures within 90 days of the filing date of this report. Based on their evaluation, the certifying officers have concluded that the registrant's disclosure controls and procedures are adequately designed, and are operating effectively to ensure, that information required to be disclosed by the registrant in the reports it files or submits under the Securities Exchange Act of 1934 is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms. (b) There were no significant changes in the registrant's internal control over financial reporting that occurred during the registrant's last fiscal half-year that have materially affected, or are reasonably likely to materially affect, the registrants internal control over financial reporting. ITEMS 12. EXHIBITS. (a)(1) Not applicable for semi-annual report. (a)(2) A separate certification for the principal executive officer and the principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed herewith. (b) Officer certifications as required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing as an Exhibit. - -------------------------------------------------------------------------------- SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) SEI Institutional Managed Trust By (Signature and Title)* /s/ Robert A Nesher ------------------- Robert A. Nesher, President & CEO Date: May 29, 2008 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title)* /s/ Robert A Nesher ------------------- Robert A. Nesher, President & CEO Date: May 29, 2008 By (Signature and Title)* /s/ Stephen F Panner -------------------- Stephen F. Panner, Controller & CFO Date: May 29, 2008 * Print the name and title of each signing officer under his or her signature. EX-99.CERT 2 simt302_rn.txt SIMT SAR 302 CERT 3 08 _RN CERTIFICATION Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 I, Robert A. Nesher, certify that: 1. I have reviewed this report on Form N-CSR of SEI Institutional Managed Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940)for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: May 29, 2008 /s/ Robert A Nesher - ----------------------------------- Robert A. Nesher, President & CEO EX-99.CERT 3 simt302_sp.txt SIMT SAR 302 CERT 3 08_SP CERTIFICATION Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 I, Stephen F. Panner, certify that: 1. I have reviewed this report on Form N-CSR of SEI Institutional Managed Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940)for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: May 29, 2008 /s/ Stephen F Panner - ---------------------- Stephen F. Panner Controller and CFO EX-99.906CERT 4 simt906_rn.txt SIMT SAR 906 CERT 3 08_RN CERTIFICATION Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 The undersigned, the Chief Executive Officer of SEI Institutional Managed Trust (the "Fund"), with respect to the Fund's Form N-CSR for the period ended March 31, 2008 as filed with the Securities and Exchange Commission, hereby certifies, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that, to the best of my knowledge: 1. such Form N-CSR fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. the information contained in such Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Fund. Dated: May 29, 2008 /s/ Robert A Nesher --------------------------------- Robert A. Nesher, President & CEO EX-99.906CERT 5 simt906_sp.txt SIMT SAR 906 CERT 3 08_SP CERTIFICATION Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 The undersigned, the Chief Executive Officer of SEI Institutional Managed Trust (the "Fund"), with respect to the Fund's Form N-CSR for the period ended March 31, 2008 as filed with the Securities and Exchange Commission, hereby certifies, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that, to the best of my knowledge: 1. such Form N-CSR fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. the information contained in such Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Fund. Dated: May 29, 2008 /s/ Stephen F Panner ------------------------------------ Stephen F. Panner, Controller & CFO -----END PRIVACY-ENHANCED MESSAGE-----